void SetOptionComputationTopicsValues(int tickerId, int field, TwsRtdServerData.OptionComputationData value)
{
TwsRtdServerMktDataRequest mktDataRequest = m_connection.GetMktDataRequest(tickerId);
string tickTypeStr = TwsRtdServerData.GetTickTypeStrByTickId(field);
if (mktDataRequest != null && tickTypeStr != null)
{
switch (tickTypeStr)
{
// assigning implied vol, delta, opt price, pv dividend, gamma, vega, theta and und price
case TwsRtdServerData.BID_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.BID_TICK_ATTRIB, mktDataRequest, value.getTickAttrib());
GetTopicAndAddUpdate(TwsRtdServerData.BID_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.BID_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.BID_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.BID_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.BID_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.BID_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.BID_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.BID_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.ASK_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.ASK_TICK_ATTRIB, mktDataRequest, value.getTickAttrib());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.ASK_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.LAST_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.LAST_TICK_ATTRIB, mktDataRequest, value.getTickAttrib());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.LAST_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
case TwsRtdServerData.MODEL_OPTION_COMPUTATION:
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_TICK_ATTRIB, mktDataRequest, value.getTickAttrib());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_IMPLIED_VOL, mktDataRequest, value.getImpliedVolatility());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_DELTA, mktDataRequest, value.getDelta());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_OPT_PRICE, mktDataRequest, value.getOptPrice());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_PV_DIVIDEND, mktDataRequest, value.getPvDividend());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_GAMMA, mktDataRequest, value.getGamma());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_VEGA, mktDataRequest, value.getVega());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_THETA, mktDataRequest, value.getTheta());
GetTopicAndAddUpdate(TwsRtdServerData.MODEL_UND_PRICE, mktDataRequest, value.getUndPrice());
break;
}
}
}
void SetTopicValue(int tickerId, int field, object value)
{
TwsRtdServerMktDataRequest mktDataRequest = m_connection.GetMktDataRequest(tickerId);
string tickTypeStr = TwsRtdServerData.GetTickTypeStrByTickId(field);
if (mktDataRequest != null && tickTypeStr != null)
{
GetTopicAndAddUpdate(tickTypeStr, mktDataRequest, value);
}
}
public List <int> SetAllLiveTopicsValues(string value)
{
// set all live topic values to value (e.g. in case of error) and return list of updated topic ids
List <int> m_updatedTopicIds = new List <int>();
foreach (TwsRtdServerTopic topic in m_topics.Values)
{
if (Array.IndexOf(TwsRtdServerData.DelayedTopics(), topic.TopicStr()) < 0)
{
topic.TopicValue(value);
m_updatedTopicIds.Add(topic.TopicId());
}
}
return(m_updatedTopicIds);
}
// this method is called when new topic is requested
public object ConnectData(int topicId, ref Array strings, ref bool newValues)
{
string connectionStr, mktDataRequestStr, topicStr;
newValues = true;
try
{
// parse input strings (connection, marketDataRequest and topic)
connectionStr = TwsRtdServerConnection.ParseConnectionStrings(strings);
mktDataRequestStr = TwsRtdServerMktDataRequest.ParseMktDataRequestStrings(strings);
topicStr = TwsRtdServerTopic.ParseTopicStrings(strings);
// check that connectioStr, mktDataRequestStr and topicStr is not null
if (connectionStr == null)
{
return("TwsRtdServer: Cannot parse connection strings");
}
if (mktDataRequestStr == null)
{
return("TwsRtdServer: Cannot parse mktDataRequest strings");
}
if (topicStr == null)
{
return("TwsRtdServer: Cannot parse topic strings");
}
TwsRtdServerConnection connection = null;
// find connection from RTD server to TWS (to reuse existing connection and not to create new one)
if (!m_connections.TryGetValue(connectionStr, out connection))
{
// if connection is not found, then create new one and add it to collection
connection = new TwsRtdServerConnection(this, connectionStr);
// save connection
m_connections.Add(connectionStr, connection);
}
if (connection != null && connection.GetErrorCode() != -1)
{
// error connecting to TWS
return("TwsRtdServer error: " + connection.GetErrorText());
}
TwsRtdServerMktDataRequest mktDataRequest = connection.GetOrAddMktDataRequest(mktDataRequestStr);
string errorStr = null;
if (mktDataRequest != null)
{
// save topicId -> connection/mktDataRequest/topicStr map
m_topicIdMap.Add(topicId, new TwsRtdServerTopicIdMap(connectionStr, mktDataRequest.TwsReqId(), topicStr));
if (mktDataRequest.GetErrorCode() != -1 &&
mktDataRequest.GetErrorCode() != TwsRtdServerErrors.REQUESTED_MARKET_DATA_NOT_SUBSCRIBED)
{
// error creating market data request
return(errorStr = "TwsRtdServer error: " + mktDataRequest.GetErrorText());
}
}
else
{
// error creating market data request
return(errorStr = "TwsRtdServer error: market data request creation error");
}
TwsRtdServerTopic topic = mktDataRequest.GetOrAddTopic(topicStr, topicId);
if (topic == null)
{
// error creating topic
return(errorStr = "TwsRtdServer error: topic creation error");
}
// check if topic is delayed type
if (topic != null && Array.IndexOf(TwsRtdServerData.DelayedTopics(), topic.TopicStr()) < 0 &&
mktDataRequest.GetErrorCode() == TwsRtdServerErrors.REQUESTED_MARKET_DATA_NOT_SUBSCRIBED)
{
errorStr = "TwsRtdServer error: " + mktDataRequest.GetErrorText();
}
return((topic != null && errorStr == null) ? topic.TopicValue() : errorStr);
}
catch
{
return("RTDServer: Error connecting data");
}
}
public static string ParseTopicStrings(Array strings)
{
string topicStr = null;
if (strings != null)
{
foreach (string s in strings)
{
if (topicStr == null && s.ToLower().IndexOf(TwsRtdServerData.QT) >= 0)
{
// parse string like "qt=Bid"
// "qt" string should have priority than topic specified at other places
topicStr = s.Substring(TwsRtdServerData.QT.Length, s.Length - TwsRtdServerData.QT.Length).ToUpper();
if (Array.IndexOf(TwsRtdServerData.AllowedTopics(), topicStr) >= 0)
{
return(topicStr);
}
else
{
// if invalid "qt" is specified
return(null);
}
}
if (topicStr == null && !s.ToLower().Contains(TwsRtdServerData.LOCALSYMBOL_STR) && s.ToLower().Contains(TwsRtdServerData.CHAR_SPACE.ToString()))
{
// pasre string like "IBM Bid" or "BRK B Bid"
topicStr = s.Substring(s.LastIndexOf(TwsRtdServerData.CHAR_SPACE) + 1, s.Length - 1 - s.LastIndexOf(TwsRtdServerData.CHAR_SPACE)).ToUpper();
if (Array.IndexOf(TwsRtdServerData.AllowedTopics(), topicStr) >= 0)
{
return(topicStr);
}
else
{
topicStr = null;
continue;
}
}
if (topicStr == null)
{
// pasre string like "Bid"
topicStr = s.ToUpper();
if (Array.IndexOf(TwsRtdServerData.AllowedTopics(), topicStr) >= 0)
{
return(topicStr);
}
else
{
topicStr = null;
continue;
}
}
}
}
if (topicStr == null)
{
// topic not found, use default
topicStr = TwsRtdServerData.LAST;
}
return(topicStr);
}
public static string ParseMktDataRequestStrings(Array strings)
{
string mktDataRequestStr = null;
// contract
string symbolStr = null;
string exchStr = null;
string primExchStr = null;
string secTypeStr = null;
string expirationStr = null;
string rightStr = null;
string strikeStr = null;
string currencyStr = null;
string multiplierStr = null;
string localSymbolStr = null;
string conIdStr = null;
string tradingClassStr = null;
string comboStr = null;
string deltaNeutralContractStr = null;
string optionsStr = null;
string genTicksStr = null;
if (strings != null)
{
// simple syntax: first string should represent ticker
if (strings.Length > 0)
{
string tickerStr = (string)strings.GetValue(0);
if (tickerStr.IndexOf(TwsRtdServerData.CHAR_EQUAL) < 0)
{
if (tickerStr.IndexOf(TwsRtdServerData.CHAR_SPACE) >= 0)
{
// parse ticker string like IBM@SMART Bid, BRK B@SMART Bid, where the topic is specified within the ticker string itself
string lastStr = tickerStr.Substring(tickerStr.LastIndexOf(TwsRtdServerData.CHAR_SPACE) + 1, tickerStr.Length - 1 - tickerStr.LastIndexOf(TwsRtdServerData.CHAR_SPACE)).ToUpper();
if (Array.IndexOf(TwsRtdServerData.AllowedTopics(), lastStr) >= 0)
{
tickerStr = tickerStr.ToUpper().Substring(0, tickerStr.LastIndexOf(TwsRtdServerData.CHAR_SPACE));
}
}
if (tickerStr.IndexOf(TwsRtdServerData.CHAR_DOT) >= 0 && tickerStr.ToLower().IndexOf(TwsRtdServerData.HOST_STR) < 0 &&
tickerStr.ToLower().IndexOf(TwsRtdServerData.DELTANEUTRALCONTRACT_STR) < 0 && tickerStr.ToUpper().IndexOf(TwsRtdServerData.CHAR_SLASH + TwsRtdServerData.CASH_STR) >= 0)
{
// parse string like "EUR.USD/CASH"
string[] contractStrings = tickerStr.ToUpper().Split(TwsRtdServerData.CHAR_SLASH);
if (contractStrings.Length >= 2)
{
secTypeStr = contractStrings[1].ToUpper();
}
// "EUR.USD"
string symbolAndCashStr = contractStrings[0].ToUpper();
symbolStr = symbolAndCashStr.Substring(0, symbolAndCashStr.IndexOf(TwsRtdServerData.CHAR_DOT));
currencyStr = symbolAndCashStr.Substring(symbolAndCashStr.IndexOf(TwsRtdServerData.CHAR_DOT) + 1, symbolAndCashStr.Length - symbolAndCashStr.IndexOf(TwsRtdServerData.CHAR_DOT) - 1);
exchStr = TwsRtdServerData.DEFAULT_CASH_EXCHANGE;
//break;
}
else if (tickerStr.IndexOf(TwsRtdServerData.CHAR_SLASH) >= 0)
{
// parse string like "IBM@SMART/NYSE/OPT/201701/C/90/USD"
string[] contractStrings = tickerStr.ToUpper().Split(TwsRtdServerData.CHAR_SLASH);
if (contractStrings.Length >= 7)
{
currencyStr = contractStrings[6].ToUpper();
}
if (contractStrings.Length >= 6)
{
strikeStr = contractStrings[5].ToUpper();
}
if (contractStrings.Length >= 5)
{
rightStr = contractStrings[4].ToUpper();
}
if (contractStrings.Length >= 4)
{
expirationStr = contractStrings[3].ToUpper();
}
if (contractStrings.Length >= 3)
{
secTypeStr = contractStrings[2].ToUpper();
}
if (contractStrings.Length >= 2)
{
primExchStr = contractStrings[1].ToUpper();
}
string symbolAndExchStr = contractStrings[0].ToUpper();
if (symbolAndExchStr.IndexOf(TwsRtdServerData.CHAR_AT) >= 0)
{
// symbol can contain dot (".") and case sensitive
symbolStr = symbolAndExchStr.Substring(0, symbolAndExchStr.IndexOf(TwsRtdServerData.CHAR_AT));
exchStr = symbolAndExchStr.Substring(symbolAndExchStr.IndexOf(TwsRtdServerData.CHAR_AT) + 1, symbolAndExchStr.Length - symbolAndExchStr.IndexOf(TwsRtdServerData.CHAR_AT) - 1);
}
else
{
symbolStr = symbolAndExchStr;
exchStr = TwsRtdServerData.DEFAULT_EXCHANGE;
}
//break;
}
else if (tickerStr.IndexOf(TwsRtdServerData.CHAR_AT) >= 0)
{
// parse string like "IBM@ARCA"
symbolStr = tickerStr.ToUpper().Substring(0, tickerStr.IndexOf(TwsRtdServerData.CHAR_AT));
exchStr = tickerStr.ToUpper().Substring(tickerStr.IndexOf(TwsRtdServerData.CHAR_AT) + 1, tickerStr.Length - tickerStr.IndexOf(TwsRtdServerData.CHAR_AT) - 1);
//break;
}
else
{
// parse string like "IBM"
symbolStr = tickerStr.ToUpper();
}
}
}
// complex syntax
foreach (string s in strings)
{
if (symbolStr == null && s.ToLower().IndexOf(TwsRtdServerData.SYMBOL_STR) >= 0)
{
// parse string like "sym=IBM"
symbolStr = s.Substring(TwsRtdServerData.SYMBOL_STR.Length, s.Length - TwsRtdServerData.SYMBOL_STR.Length);
}
if (secTypeStr == null && s.ToLower().IndexOf(TwsRtdServerData.SECTYPE_STR) >= 0)
{
// parse string like "sec=OPT"
secTypeStr = s.Substring(TwsRtdServerData.SECTYPE_STR.Length, s.Length - TwsRtdServerData.SECTYPE_STR.Length).ToUpper();
}
if (expirationStr == null && s.ToLower().IndexOf(TwsRtdServerData.EXPIRATION_STR) >= 0)
{
// parse string like "exp=20170101"
expirationStr = s.Substring(TwsRtdServerData.EXPIRATION_STR.Length, s.Length - TwsRtdServerData.EXPIRATION_STR.Length).ToUpper();
}
if (strikeStr == null && s.ToLower().IndexOf(TwsRtdServerData.STRIKE_STR) >= 0)
{
// parse string like "strike=90"
strikeStr = s.Substring(TwsRtdServerData.STRIKE_STR.Length, s.Length - TwsRtdServerData.STRIKE_STR.Length).ToUpper();
}
if (rightStr == null && s.ToLower().IndexOf(TwsRtdServerData.RIGHT_STR) >= 0)
{
// parse string like "right=C"
rightStr = s.Substring(TwsRtdServerData.RIGHT_STR.Length, s.Length - TwsRtdServerData.RIGHT_STR.Length).ToUpper();
}
if (multiplierStr == null && s.ToLower().IndexOf(TwsRtdServerData.MULTIPLIER_STR) >= 0)
{
// parse string like "mult=100"
multiplierStr = s.Substring(TwsRtdServerData.MULTIPLIER_STR.Length, s.Length - TwsRtdServerData.MULTIPLIER_STR.Length).ToUpper();
}
if (exchStr == null && s.ToLower().IndexOf(TwsRtdServerData.EXCHANGE_STR) >= 0)
{
// parse string like "exch=SMART"
exchStr = s.Substring(TwsRtdServerData.EXCHANGE_STR.Length, s.Length - TwsRtdServerData.EXCHANGE_STR.Length).ToUpper();
}
if (primExchStr == null && s.ToLower().IndexOf(TwsRtdServerData.PRIMARYEXCH_STR) >= 0)
{
// parse string like "prim=NYSE"
primExchStr = s.Substring(TwsRtdServerData.PRIMARYEXCH_STR.Length, s.Length - TwsRtdServerData.PRIMARYEXCH_STR.Length).ToUpper();
}
if (currencyStr == null && s.ToLower().IndexOf(TwsRtdServerData.CURRENCY_STR) >= 0)
{
// parse string like "cur=USD"
currencyStr = s.Substring(TwsRtdServerData.CURRENCY_STR.Length, s.Length - TwsRtdServerData.CURRENCY_STR.Length).ToUpper();
}
if (conIdStr == null && s.ToLower().IndexOf(TwsRtdServerData.CONID_STR) >= 0)
{
// parse string like "conid=8314"
conIdStr = s.Substring(TwsRtdServerData.CONID_STR.Length, s.Length - TwsRtdServerData.CONID_STR.Length).ToUpper();
}
if (localSymbolStr == null && s.ToLower().IndexOf(TwsRtdServerData.LOCALSYMBOL_STR) >= 0)
{
// parse string like "loc=IBM1DM7"
localSymbolStr = s.Substring(TwsRtdServerData.LOCALSYMBOL_STR.Length, s.Length - TwsRtdServerData.LOCALSYMBOL_STR.Length);
}
if (tradingClassStr == null && s.ToLower().IndexOf(TwsRtdServerData.TRADINGCLASS_STR) >= 0)
{
// parse string like "tc=IBM1D"
tradingClassStr = s.Substring(TwsRtdServerData.TRADINGCLASS_STR.Length, s.Length - TwsRtdServerData.TRADINGCLASS_STR.Length).ToUpper();
}
if (comboStr == null && s.ToLower().IndexOf(TwsRtdServerData.COMBO_STR) >= 0)
{
// parse string like "cmb=..."
comboStr = s.Substring(TwsRtdServerData.COMBO_STR.Length, s.Length - TwsRtdServerData.COMBO_STR.Length).ToUpper();
}
if (deltaNeutralContractStr == null && s.ToLower().IndexOf(TwsRtdServerData.DELTANEUTRALCONTRACT_STR) >= 0)
{
// parse string like "und=..."
deltaNeutralContractStr = s.Substring(TwsRtdServerData.DELTANEUTRALCONTRACT_STR.Length, s.Length - TwsRtdServerData.DELTANEUTRALCONTRACT_STR.Length).ToUpper();
}
if (optionsStr == null && s.ToLower().IndexOf(TwsRtdServerData.OPTIONS_STR) >= 0)
{
// parse string like "opt=..."
optionsStr = s.Substring(TwsRtdServerData.OPTIONS_STR.Length, s.Length - TwsRtdServerData.OPTIONS_STR.Length).ToUpper();
}
if (genTicksStr == null && s.ToLower().IndexOf(TwsRtdServerData.GENTICKS_STR) >= 0)
{
// parse string like "genticks=..."
genTicksStr = s.Substring(TwsRtdServerData.GENTICKS_STR.Length, s.Length - TwsRtdServerData.GENTICKS_STR.Length).ToUpper();
}
}
}
// defaults
if (localSymbolStr == null || localSymbolStr.Length <= 0)
{
if ((secTypeStr == null || secTypeStr.Length <= 0) && conIdStr == null)
{
secTypeStr = TwsRtdServerData.DEFAULT_SECTYPE;
}
if (exchStr == null || exchStr.Length <= 0)
{
exchStr = TwsRtdServerData.DEFAULT_EXCHANGE;
}
if ((currencyStr == null || currencyStr.Length <= 0) && conIdStr == null)
{
currencyStr = TwsRtdServerData.DEFAULT_CURRENCY;
}
}
mktDataRequestStr = conIdStr + TwsRtdServerData.CHAR_UNDERSCORE +
symbolStr + TwsRtdServerData.CHAR_UNDERSCORE +
secTypeStr + TwsRtdServerData.CHAR_UNDERSCORE +
expirationStr + TwsRtdServerData.CHAR_UNDERSCORE +
strikeStr + TwsRtdServerData.CHAR_UNDERSCORE +
rightStr + TwsRtdServerData.CHAR_UNDERSCORE +
multiplierStr + TwsRtdServerData.CHAR_UNDERSCORE +
exchStr + TwsRtdServerData.CHAR_UNDERSCORE +
primExchStr + TwsRtdServerData.CHAR_UNDERSCORE +
currencyStr + TwsRtdServerData.CHAR_UNDERSCORE +
localSymbolStr + TwsRtdServerData.CHAR_UNDERSCORE +
tradingClassStr + TwsRtdServerData.CHAR_UNDERSCORE +
comboStr + TwsRtdServerData.CHAR_UNDERSCORE +
deltaNeutralContractStr + TwsRtdServerData.CHAR_UNDERSCORE +
optionsStr + TwsRtdServerData.CHAR_UNDERSCORE +
genTicksStr;
return(mktDataRequestStr);
}
