public static IBSocket SendFinancialAdvisor(this IBSocket socket, IBOrderCondition.FinancialAdvisorAllocations?allocation)
{
if (allocation == null)
{
return(socket.Send(string.Empty));
}
switch (allocation.Value)
{
case IBOrderCondition.FinancialAdvisorAllocations.PercentChange:
return(socket.Send("PctChange"));
case IBOrderCondition.FinancialAdvisorAllocations.AvailableEquity:
return(socket.Send("AvailableEquity"));
case IBOrderCondition.FinancialAdvisorAllocations.NetLiquidity:
return(socket.Send("NetLiq"));
case IBOrderCondition.FinancialAdvisorAllocations.EqualQuantity:
return(socket.Send("EqualQuantity"));
default:
throw new ArgumentOutOfRangeException();
}
}
public static IBSocket SendSecurity(this IBSocket socket, SecurityMessage security, bool sendPrimExchange = true, bool sendPrimExchange2 = true)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
var multiplier = security.Multiplier;
socket
.Send(security.Name)
.SendSecurityType(security.SecurityType)
.Send(security.ExpiryDate, _expiryFormat)
.Send(security.Strike)
.SendOptionType(security.OptionType)
.SendIf(ServerVersions.V15, s => s.Send(multiplier == 1 ? string.Empty : multiplier.To <string>()))
.SendBoardCode(security.SecurityId.BoardCode);
if (sendPrimExchange2)
{
socket.Send(security.SecurityId.BoardCode);
socket.Send(security.GetRoutingBoard());
}
else if (sendPrimExchange)
{
socket.SendPrimaryExchange(security);
}
return(socket
.SendCurrency(security.Currency)
.SendSecurityCode(security.SecurityId.SecurityCode));
}
public static IBSocket SendCombo(this IBSocket socket, WeightedIndexSecurity security, IBOrderCondition condition = null)
{
if (security == null)
{
throw new ArgumentNullException(nameof(security));
}
var innerSecurities = security.InnerSecurities.ToArray();
socket.Send(innerSecurities.Length);
foreach (var innerSecurity in innerSecurities)
{
var weight = security.Weights[innerSecurity];
socket
.SendContractId(innerSecurity.ToSecurityId())
.Send((int)weight.Abs())
.SendSide(weight >= 0 ? Sides.Buy : Sides.Sell)
.SendBoardCode(innerSecurity.Board.Code);
if (condition == null)
{
continue;
}
var shortSale = condition.Combo.ShortSales[innerSecurity.ToSecurityId()];
socket
.Send(shortSale.IsOpenOrClose)
.SendShortSale(shortSale, true);
}
return(socket);
}
public static IBSocket SendSecurityId(this IBSocket socket, SecurityId id)
{
if (socket.ServerVersion < ServerVersions.V45)
{
return(socket);
}
if (!id.Cusip.IsEmpty())
{
socket.Send("CUSIP");
socket.Send(id.Cusip);
}
else if (!id.Isin.IsEmpty())
{
socket.Send("ISIN");
socket.Send(id.Isin);
}
else if (!id.Sedol.IsEmpty())
{
socket.Send("SEDOL");
socket.Send(id.Sedol);
}
else if (!id.Ric.IsEmpty())
{
socket.Send("RIC");
socket.Send(id.Ric);
}
else
{
socket.Send(string.Empty);
socket.Send(string.Empty);
}
return(socket);
}
public static IBSocket SendPortfolio(this IBSocket socket, string portfolioName, bool allowNull = true)
{
if (!portfolioName.IsEmpty())
{
return(socket.ServerVersion < ServerVersions.V9 ? socket : socket.Send(portfolioName));
}
if (allowNull)
{
return(socket.Send(string.Empty));
}
throw new ArgumentNullException(nameof(portfolioName));
}
public static IBSocket SendShortSale(this IBSocket socket, IBOrderCondition.ShortSaleCondition shortSale, bool extendCode = false)
{
socket.Send((int)shortSale.Slot);
socket.Send(shortSale.Location);
if (extendCode)
{
if (socket.ServerVersion >= ServerVersions.V51)
{
socket.Send(shortSale.ExemptCode);
}
}
return(socket);
}
public static IBSocket SendIncludeExpired(this IBSocket socket, DateTimeOffset?expiryDate)
{
if (socket.ServerVersion < ServerVersions.V31)
{
return(socket);
}
return(socket.Send((expiryDate != null && !(expiryDate < DateTimeOffset.Now))));
}
public static IBSocket SendEndDate(this IBSocket socket, DateTimeOffset endDate)
{
if (socket.ServerVersion < ServerVersions.V20)
{
return(socket);
}
//yyyymmdd hh:mm:ss tmz
return(socket.Send(endDate.ToUniversalTime().ToString("yyyyMMdd HH:mm:ss") + " GMT"));
}
public static IBSocket SendSide(this IBSocket socket, Sides?side)
{
if (side == null)
{
return(socket.Send(string.Empty));
}
switch (side.Value)
{
case Sides.Buy:
return(socket.Send("BUY"));
case Sides.Sell:
return(socket.Send("SELL"));
default:
throw new ArgumentOutOfRangeException();
}
}
public static IBSocket SendDeltaNeutral(this IBSocket socket, IBOrderCondition condition)
{
if (condition == null)
{
throw new ArgumentNullException(nameof(condition));
}
var volatility = condition.Volatility;
if (socket.ServerVersion < ServerVersions.V28)
{
return(socket.Send(volatility.OrderType == OrderTypes.Market));
}
else
{
socket.SendOrderType(volatility.OrderType, volatility.ExtendedOrderType);
socket.Send(volatility.StopPrice);
if (volatility.ExtendedOrderType != IBOrderCondition.ExtendedOrderTypes.Empty)
{
if (socket.ServerVersion >= ServerVersions.V58)
{
socket
.Send(volatility.ConId)
.Send(volatility.SettlingFirm)
.SendPortfolio(volatility.ClearingPortfolio)
.Send(volatility.ClearingIntent);
}
if (socket.ServerVersion >= ServerVersions.V66)
{
socket
.Send(volatility.ShortSale.IsOpenOrClose)
.Send(volatility.IsShortSale)
.SendShortSale(volatility.ShortSale);
}
}
return(socket);
}
}
public static IBSocket SendAgent(this IBSocket socket, IBOrderCondition.AgentDescriptions?description)
{
if (description == null)
{
return(socket.Send(string.Empty));
}
switch (description.Value)
{
case IBOrderCondition.AgentDescriptions.Individual:
return(socket.Send("I"));
case IBOrderCondition.AgentDescriptions.Agency:
return(socket.Send("A"));
case IBOrderCondition.AgentDescriptions.AgentOtherMember:
return(socket.Send("W"));
case IBOrderCondition.AgentDescriptions.IndividualPTIA:
return(socket.Send("J"));
case IBOrderCondition.AgentDescriptions.AgencyPTIA:
return(socket.Send("U"));
case IBOrderCondition.AgentDescriptions.AgentOtherMemberPTIA:
return(socket.Send("M"));
case IBOrderCondition.AgentDescriptions.IndividualPT:
return(socket.Send("K"));
case IBOrderCondition.AgentDescriptions.AgencyPT:
return(socket.Send("Y"));
case IBOrderCondition.AgentDescriptions.AgentOtherMemberPT:
return(socket.Send("N"));
default:
throw new ArgumentOutOfRangeException();
}
}
public static IBSocket SendFundamental(this IBSocket socket, FundamentalReports report)
{
switch (report)
{
case FundamentalReports.Overview:
return(socket.Send("ReportSnapshot"));
case FundamentalReports.Statements:
return(socket.Send("ReportsFinStatements"));
case FundamentalReports.Summary:
return(socket.Send("ReportsFinSummary"));
case FundamentalReports.Ratio:
return(socket.Send("ReportRatios"));
case FundamentalReports.Estimates:
return(socket.Send("RESC"));
case FundamentalReports.Calendar:
return(socket.Send("CalendarReport"));
default:
throw new ArgumentOutOfRangeException(nameof(report));
}
}
public static IBSocket SendIntent(this IBSocket socket, IBOrderCondition.ClearingIntents?intent)
{
if (intent == null)
{
return(socket);
}
switch (intent.Value)
{
case IBOrderCondition.ClearingIntents.Broker:
return(socket.Send("IB"));
case IBOrderCondition.ClearingIntents.Away:
return(socket.Send("Away"));
case IBOrderCondition.ClearingIntents.PostTradeAllocation:
return(socket.Send("PTA"));
default:
throw new ArgumentOutOfRangeException();
}
}
public static IBSocket SendTimeFrame(this IBSocket socket, IBTimeFrames timeFrame)
{
if (timeFrame == null)
{
throw new ArgumentNullException(nameof(timeFrame));
}
if (socket.ServerVersion < ServerVersions.V20)
{
return(socket);
}
return(socket.Send(timeFrame.Interval));
}
public static IBSocket SendOrderExpiration(this IBSocket socket, OrderRegisterMessage msg)
{
if (msg == null)
{
throw new ArgumentNullException(nameof(msg));
}
if (msg.OrderType != OrderTypes.Conditional)
{
switch (msg.TimeInForce)
{
case TimeInForce.PutInQueue:
case null:
{
if (msg.TillDate == null || msg.TillDate == DateTimeOffset.MaxValue)
{
return(socket.Send("GTC"));
}
else if (msg.TillDate.Value.DateTime != DateTime.Today)
{
return(socket.Send("GTD"));
}
else
{
return(socket.Send("DAY"));
}
}
case TimeInForce.MatchOrCancel:
return(socket.Send("FOK"));
case TimeInForce.CancelBalance:
return(socket.Send("IOC"));
default:
throw new ArgumentOutOfRangeException();
}
}
else if (msg.OrderType == OrderTypes.Conditional)
{
var ibCon = (IBOrderCondition)msg.Condition;
return(socket.Send(ibCon.IsMarketOnOpen ? "OPG" : "DAY"));
}
else
{
throw new ArgumentException(LocalizedStrings.Str2501Params.Put(msg.Type), nameof(msg));
}
}
public static IBSocket SendSecurityType(this IBSocket socket, SecurityTypes?securityType)
{
if (securityType == null)
{
return(socket.Send(string.Empty));
}
switch (securityType)
{
case SecurityTypes.Stock:
return(socket.Send("STK"));
case SecurityTypes.Future:
return(socket.Send("FUT"));
case SecurityTypes.Option:
return(socket.Send("OPT"));
case SecurityTypes.Index:
return(socket.Send("IND"));
case SecurityTypes.Currency:
return(socket.Send("CASH"));
case SecurityTypes.Bond:
return(socket.Send("BOND"));
case SecurityTypes.Warrant:
return(socket.Send("WAR"));
case SecurityTypes.Forward:
case SecurityTypes.Swap:
throw new NotSupportedException(LocalizedStrings.Str2499Params.Put(securityType));
default:
throw new ArgumentOutOfRangeException(nameof(securityType));
}
}
public static IBSocket SendHedge(this IBSocket socket, IBOrderCondition condition)
{
if (condition == null)
{
throw new ArgumentNullException(nameof(condition));
}
if (socket.ServerVersion < ServerVersions.V54)
{
return(socket);
}
if (condition.Hedge.Type == null)
{
return(socket.Send(string.Empty));
}
else
{
switch (condition.Hedge.Type.Value)
{
case IBOrderCondition.HedgeTypes.Delta:
socket.Send("D");
break;
case IBOrderCondition.HedgeTypes.Beta:
socket.Send("B");
break;
case IBOrderCondition.HedgeTypes.FX:
socket.Send("F");
break;
case IBOrderCondition.HedgeTypes.Pair:
socket.Send("P");
break;
default:
throw new ArgumentOutOfRangeException();
}
return(socket.Send(condition.Hedge.Param));
}
}
public static IBSocket SendBoardCode(this IBSocket socket, string boardCode)
{
return(socket.Send(boardCode));
}
public static IBSocket SendOptionType(this IBSocket socket, OptionTypes?type)
{
return(socket.Send(type == null
? string.Empty
: type == OptionTypes.Call ? "C" : "P"));
}
public static IBSocket SendQuantity(this IBSocket socket, decimal volume)
{
return(socket.ServerVersion >= ServerVersions.V101 ? socket.Send(volume) : socket.Send((int)volume));
}
public static IBSocket SendContractId(this IBSocket socket, SecurityId security)
{
return(socket.Send(security.InteractiveBrokers));
}
public static IBSocket SendOrderType(this IBSocket socket, OrderTypes orderType, IBOrderCondition.ExtendedOrderTypes?extendedOrderType)
{
switch (orderType)
{
case OrderTypes.Limit:
return(socket.Send("LMT"));
case OrderTypes.Market:
return(socket.Send("MKT"));
case OrderTypes.Conditional:
{
if (extendedOrderType == null)
{
return(socket.Send("NONE"));
}
switch (extendedOrderType)
{
case IBOrderCondition.ExtendedOrderTypes.MarketOnClose:
return(socket.Send("MOC"));
case IBOrderCondition.ExtendedOrderTypes.LimitOnClose:
return(socket.Send("LMTCLS"));
case IBOrderCondition.ExtendedOrderTypes.PeggedToMarket:
return(socket.Send("PEGMKT"));
case IBOrderCondition.ExtendedOrderTypes.Stop:
return(socket.Send("STP"));
case IBOrderCondition.ExtendedOrderTypes.StopLimit:
return(socket.Send("STP LMT"));
case IBOrderCondition.ExtendedOrderTypes.TrailingStop:
return(socket.Send("TRAIL"));
case IBOrderCondition.ExtendedOrderTypes.Relative:
return(socket.Send("REL"));
case IBOrderCondition.ExtendedOrderTypes.VolumeWeightedAveragePrice:
return(socket.Send("VWAP"));
case IBOrderCondition.ExtendedOrderTypes.TrailingStopLimit:
return(socket.Send("TRAILLIMIT"));
case IBOrderCondition.ExtendedOrderTypes.Volatility:
return(socket.Send("VOL"));
case IBOrderCondition.ExtendedOrderTypes.Empty:
return(socket.Send(""));
case IBOrderCondition.ExtendedOrderTypes.Default:
return(socket.Send("Default"));
case IBOrderCondition.ExtendedOrderTypes.Scale:
return(socket.Send("SCALE"));
case IBOrderCondition.ExtendedOrderTypes.MarketIfTouched:
return(socket.Send("MIT"));
case IBOrderCondition.ExtendedOrderTypes.LimitIfTouched:
return(socket.Send("LIT"));
default:
throw new ArgumentOutOfRangeException(nameof(extendedOrderType), extendedOrderType, LocalizedStrings.Str2500);
}
}
default:
throw new ArgumentOutOfRangeException(nameof(orderType), orderType, LocalizedStrings.Str1600);
}
}
public static IBSocket SendLevel1Field(this IBSocket socket, Level1Fields field)
{
switch (field)
{
case CandleDataTypes.Trades:
return(socket.Send("TRADES"));
case CandleDataTypes.Midpoint:
return(socket.Send("MIDPOINT"));
case CandleDataTypes.Bid:
return(socket.Send("BID"));
case CandleDataTypes.Ask:
return(socket.Send("ASK"));
case CandleDataTypes.BidAsk:
return(socket.Send("BID_ASK"));
case CandleDataTypes.HistoricalVolatility:
return(socket.Send("HISTORICAL_VOLATILITY"));
case CandleDataTypes.ImpliedVolatility:
return(socket.Send("OPTION_IMPLIED_VOLATILITY"));
case CandleDataTypes.YieldAsk:
return(socket.Send("YIELD_ASK"));
case CandleDataTypes.YieldBid:
return(socket.Send("YIELD_BID"));
case CandleDataTypes.YieldBidAsk:
return(socket.Send("YIELD_BID_ASK"));
case CandleDataTypes.YieldLast:
return(socket.Send("YIELD_LAST"));
default:
throw new ArgumentOutOfRangeException(nameof(field));
}
}
public static IBSocket SendCurrency(this IBSocket socket, CurrencyTypes?currency)
{
return(socket.Send((currency ?? CurrencyTypes.USD).ToString()));
}
/// <summary>
/// Send message.
/// </summary>
/// <param name="message">Message.</param>
protected override void OnSendInMessage(Message message)
{
switch (message.Type)
{
case MessageTypes.Reset:
{
_depths.Clear();
_secIdByTradeIds.Clear();
if (_socket != null)
{
try
{
_socket.Dispose();
}
catch (Exception ex)
{
SendOutError(ex);
}
_socket = null;
}
SendOutMessage(new ResetMessage());
break;
}
case MessageTypes.Connect:
{
if (_socket != null)
throw new InvalidOperationException(LocalizedStrings.Str1619);
_socket = new IBSocket { Parent = this };
_socket.ProcessResponse += OnProcessResponse;
_socket.Connect(Address);
_socket.Send((int)_clientVersion);
_socket.ServerVersion = (ServerVersions)_socket.ReadInt();
if (_socket.ServerVersion >= ServerVersions.V20)
{
var str = _socket.ReadStr();
ConnectedTime = str.Substring(0, str.LastIndexOf(' ')).ToDateTime("yyyyMMdd HH:mm:ss");
}
if (_socket.ServerVersion < _minimumServerVersion)
{
throw new InvalidOperationException(LocalizedStrings.Str2513Params
.Put((int)_socket.ServerVersion, (int)_minimumServerVersion));
}
if (_socket.ServerVersion >= ServerVersions.V3)
{
if (_socket.ServerVersion >= ServerVersions.V70)
{
if (!ExtraAuth)
{
_socket.Send((int)RequestMessages.StartApi);
_socket.Send((int)ServerVersions.V2);
_socket.Send(ClientId);
if (_socket.ServerVersion >= ServerVersions.V72)
{
_socket.Send(OptionalCapabilities);
}
}
}
else
_socket.Send(ClientId);
}
_socket.StartListening(error => SendOutMessage(new ConnectMessage { Error = error }));
SendOutMessage(new ConnectMessage());
// отправляется автоматически
//RequestIds(1);
SetServerLogLevel();
SetMarketDataType();
RequestCurrentTime();
break;
}
case MessageTypes.Disconnect:
{
if (_socket == null)
throw new InvalidOperationException(LocalizedStrings.Str1856);
UnSubscribePosition();
UnSubscribeAccountSummary(_pfRequests.GetAndRemove("ALL"));
_socket.Dispose();
_socket = null;
SendOutMessage(new DisconnectMessage());
break;
}
case MessageTypes.OrderRegister:
{
RegisterOrder((OrderRegisterMessage)message);
break;
}
case MessageTypes.OrderCancel:
{
var cancelMsg = (OrderCancelMessage)message;
ProcessRequest(RequestMessages.CancelOrder, 0, ServerVersions.V1, socket => socket.Send((int)cancelMsg.OrderTransactionId));
break;
}
case MessageTypes.OrderGroupCancel:
{
RequestGlobalCancel();
break;
}
case MessageTypes.SecurityLookup:
{
RequestSecurityInfo((SecurityLookupMessage)message);
break;
}
case MessageTypes.MarketData:
{
ProcessMarketDataMessage((MarketDataMessage)message);
break;
}
case MessageTypes.PortfolioLookup:
{
var pfMsg = (PortfolioLookupMessage)message;
// отправляется автоматически
//RequestPortfolios();
SubscribePosition();
_pfRequests.Add("ALL", pfMsg.TransactionId);
SubscribeAccountSummary(pfMsg.TransactionId, "ALL", Enumerator.GetValues<AccountSummaryTag>());
break;
}
case MessageTypes.Portfolio:
{
var pfMsg = (PortfolioMessage)message;
SubscribePortfolio(pfMsg.PortfolioName, pfMsg.IsSubscribe);
break;
}
case MessageTypes.OrderStatus:
{
var orderMsg = (OrderStatusMessage)message;
RequestOpenOrders();
RequestAllOpenOrders();
//RequestAutoOpenOrders(ClientId == 0);
ReqeustMyTrades(orderMsg.TransactionId, new MyTradeFilter());
break;
}
}
}
public static IBSocket SendSecurityCode(this IBSocket socket, string code)
{
return(socket.ServerVersion < ServerVersions.V2 ? socket : socket.Send(code));
}
