private static void HedgeSample(EClientSocket client, int nextOrderId)
{
//F Hedge order
//! [hedgesubmit]
//Parent order on a contract which currency differs from your base currency
Order parent = OrderSamples.LimitOrder("BUY", 100, 10);
parent.OrderId = nextOrderId++;
//Hedge on the currency conversion
Order hedge = OrderSamples.MarketFHedge(parent.OrderId, "BUY");
//Place the parent first...
client.placeOrder(parent.OrderId, ContractSamples.EuropeanStock(), parent);
//Then the hedge order
client.placeOrder(nextOrderId++, ContractSamples.EurGbpFx(), hedge);
//! [hedgesubmit]
}
private EWrapperImpl()
{
//this.MAX_QUOTE_LIST = maxQuote;
this.clientSocket = new EClientSocket(this);
this.equityDict = new Dictionary <int, Equities>();
this.PairPosDict = new Dictionary <int, PairPos>();
try
{
File.Copy("mylogger.txt", "backup_logger.txt", true);
}
catch (Exception)
{
Console.WriteLine("Skip backing up and created a new logger file");
}
MyLogger.Instance.Open("mylogger.txt", false); // create/open logger file
this.readSymbols(SYMBOL_FILE_DIR);
}
public EWrapperImpl()
{
signal = new EReaderMonitorSignal();
clientSocket = new EClientSocket(this, signal);
clientSocket.eConnect("127.0.0.1", 7496, 0);
//Create a reader to consume messages from the TWS. The EReader will consume the incoming messages and put them in a queue
reader = new EReader(clientSocket, signal);
reader.Start();
//Once the messages are in the queue, an additional thread can be created to fetch them
new Thread(() => { while (clientSocket.IsConnected())
{
signal.waitForSignal(); reader.processMsgs();
}
})
{
IsBackground = true
}.Start();
}
private static void marketDepthOperations(EClientSocket client)
{
/*** Requesting the Deep Book ***/
//! [reqmarketdepth]
client.reqMarketDepth(2001, ContractSamples.EurGbpFx(), 5, null);
//! [reqmarketdepth]
Thread.Sleep(2000);
/*** Canceling the Deep Book request ***/
//! [cancelmktdepth]
client.cancelMktDepth(2001);
//! [cancelmktdepth]
/*** Requesting Market Depth Exchanges ***/
Thread.Sleep(2000);
//! [reqMktDepthExchanges]
client.reqMktDepthExchanges();
//! [reqMktDepthExchanges]
}
//* @param durationString the amount of time for which the data needs to be retrieved:
//* - " S (seconds)
//* - " D (days)
//* - " W (weeks)
//* - " M (months)
//* - " Y (years)
//* @param barSizeSetting the size of the bar:
//* - 1 sec
//* - 5 secs
//* - 15 secs
//* - 30 secs
//* - 1 min
//* - 2 mins
//* - 3 mins
//* - 5 mins
//* - 15 mins
//* - 30 mins
//* - 1 hour
//* - 1 day
private static void historicalDataRequests(EClientSocket client)
{
/*** Requesting historical data ***/
//! [reqhistoricaldata]
String queryTime = DateTime.Now.ToString("yyyyMMdd HH:mm:ss");
client.reqHistoricalData(1000, ContractSamples.USStock(), queryTime, "7 D", "1 hour", "MIDPOINT", 1, 1, false, null);
//client.reqHistoricalData(4002, ContractSamples.USOptionContract(), "20180604", "1 day", "1 min", "MIDPOINT", 1, 1, false, null);
//client.reqHistoricalData(4001, ContractSamples.EurGbpFx(), queryTime, "1 M", "1 day", "MIDPOINT", 1, 1, false, null);
//client.reqHistoricalData(4002, ContractSamples.EuropeanStock(), queryTime, "10 D", "1 min", "TRADES", 1, 1, false, null);
//! [reqhistoricaldata]
//Thread.Sleep(2000);
/*** Canceling historical data requests ***/
//client.cancelHistoricalData(4001);
//client.cancelHistoricalData(4002);
}
private static double getSpreadPremium(EClientSocket client, EWrapperImpl Allture, TradeBooks Book, int m, double LegS, double LegB, string sectype, string exchange)
{
double LegB_price, LegS_price;
client.reqMktData(3011, ContractSamples.Contract_Options(Book.symbol[m], sectype, Book.expiration[m], Book.CallPut[m], LegB, Book.multipler[m].ToString(), exchange), string.Empty, false, false, null);
Thread.Sleep(1000);
client.cancelMktData(3011);
LegB_price = Allture.ask_price;
Console.WriteLine("legB ask: " + LegB_price + "\n");
client.reqMktData(3012, ContractSamples.Contract_Options(Book.symbol[m], sectype, Book.expiration[m], Book.CallPut[m], LegS, Book.multipler[m].ToString(), exchange), string.Empty, false, false, null);
Thread.Sleep(1000);
client.cancelMktData(3012);
LegS_price = Allture.ask_price;
Console.WriteLine("legS ask: " + LegS_price + "\n");
return(LegS_price - LegB_price);
}
private static void marketScanners(EClientSocket client)
{
/*** Requesting all available parameters which can be used to build a scanner request ***/
//! [reqscannerparameters]
client.reqScannerParameters();
//! [reqscannerparameters]
Thread.Sleep(2000);
/*** Triggering a scanner subscription ***/
//! [reqscannersubscription]
client.reqScannerSubscription(7001, ScannerSubscriptionSamples.HighOptVolumePCRatioUSIndexes(), "", null);
TagValue t1 = new TagValue("usdMarketCapAbove", "10000");
TagValue t2 = new TagValue("optVolumeAbove", "1000");
TagValue t3 = new TagValue("avgVolumeAbove", "100000000");
List <TagValue> TagValues = new List <TagValue> {
t1, t2, t3
};
client.reqScannerSubscription(7002, ScannerSubscriptionSamples.HotUSStkByVolume(), null, TagValues); // requires TWS v973+
//! [reqscannersubscription]
//! [reqcomplexscanner]
TagValue t = new TagValue("underConID", "265598");
List <TagValue> AAPLConIDTag = new List <TagValue> {
t
};
client.reqScannerSubscription(7003, ScannerSubscriptionSamples.ComplexOrdersAndTrades(), null, AAPLConIDTag); // requires TWS v975+
//! [reqcomplexscanner]
Thread.Sleep(2000);
/*** Canceling the scanner subscription ***/
//! [cancelscannersubscription]
client.cancelScannerSubscription(7001);
client.cancelScannerSubscription(7002);
client.cancelScannerSubscription(7003);
//! [cancelscannersubscription]
}
private static void tickByTickOperations(EClientSocket client)
{
/*** Requesting tick-by-tick data (only refresh) ***/
//! [reqtickbytick]
client.reqTickByTickData(19001, ContractSamples.USStockAtSmart(), "Last");
client.reqTickByTickData(19002, ContractSamples.USStockAtSmart(), "AllLast");
client.reqTickByTickData(19003, ContractSamples.USStockAtSmart(), "BidAsk");
client.reqTickByTickData(19004, ContractSamples.EurGbpFx(), "MidPoint");
//! [reqtickbytick]
Thread.Sleep(10000);
//! [canceltickbytick]
client.cancelTickByTickData(19001);
client.cancelTickByTickData(19002);
client.cancelTickByTickData(19003);
client.cancelTickByTickData(19004);
//! [canceltickbytick]
}
private static void marketScanners(EClientSocket client)
{
/*** Requesting all available parameters which can be used to build a scanner request ***/
//! [reqscannerparameters]
client.reqScannerParameters();
//! [reqscannerparameters]
Thread.Sleep(2000);
/*** Triggering a scanner subscription ***/
//! [reqscannersubscription]
client.reqScannerSubscription(7001, ScannerSubscriptionSamples.HighOptVolumePCRatioUSIndexes(), null);
//! [reqscannersubscription]
Thread.Sleep(2000);
/*** Canceling the scanner subscription ***/
//! [cancelscannersubscription]
client.cancelScannerSubscription(7001);
//! [cancelscannersubscription]
}
private static void tickDataOperations(EClientSocket client)
{
/*** Requesting real time market data ***/
//Thread.Sleep(1000);
//! [reqmktdata]
client.reqMktData(1001, ContractSamples.StockComboContract(), string.Empty, false, null);
//! [reqmktdata]
//! [reqmktdata_snapshot]
client.reqMktData(1003, ContractSamples.FutureComboContract(), string.Empty, true, null);
//! [reqmktdata_snapshot]
//! [reqmktdata_genticks]
//Requesting RTVolume (Time & Sales), shortable and Fundamental Ratios generic ticks
client.reqMktData(1004, ContractSamples.USStock(), "233,236,258", false, null);
//! [reqmktdata_genticks]
//! [reqmktdata_contractnews]
client.reqMktData(1005, ContractSamples.USStock(), "mdoff,292:BZ", false, null);
client.reqMktData(1006, ContractSamples.USStock(), "mdoff,292:BT", false, null);
client.reqMktData(1007, ContractSamples.USStock(), "mdoff,292:FLY", false, null);
client.reqMktData(1008, ContractSamples.USStock(), "mdoff,292:MT", false, null);
//! [reqmktdata_contractnews]
//! [reqmktdata_broadtapenews]
client.reqMktData(1009, ContractSamples.BTbroadtapeNewsFeed(), "mdoff,292", false, null);
client.reqMktData(1010, ContractSamples.BZbroadtapeNewsFeed(), "mdoff,292", false, null);
client.reqMktData(1011, ContractSamples.FLYbroadtapeNewsFeed(), "mdoff,292", false, null);
client.reqMktData(1012, ContractSamples.MTbroadtapeNewsFeed(), "mdoff,292", false, null);
//! [reqmktdata_broadtapenews]
//! [reqoptiondatagenticks]
//Requesting data for an option contract will return the greek values
client.reqMktData(1002, ContractSamples.OptionWithLocalSymbol(), string.Empty, false, null);
//! [reqoptiondatagenticks]
Thread.Sleep(10000);
/*** Canceling the market data subscription ***/
//! [cancelmktdata]
client.cancelMktData(1001);
client.cancelMktData(1002);
client.cancelMktData(1003);
//! [cancelmktdata]
}
public IBCore()
{
_Core = new EWrapperImpl();
_Portfolios = new List <IBPortfolioModel>();
_Account = new List <IBAccountModel>();
_MktData = new List <MktData>();
_DailyContractPL = new Dictionary <int, Contract>();
_Core.OnManagedAccounts += _core_OnManagedAccounts;
_Core.OnUpdatePortfolio += _core_OnUpdatePortfolio;
_Core.OnUpdateAccount += _Core_OnUpdateAccount;
_Core.OnManagedTickPrice += _Core_OnManagedTickPrice;
_Core.OntickOptionComputation += _Core_OntickOptionComputation;
_Core.OnpnlSingle += _Core_OnpnlSingle;
_Core.Onpnl += _Core_Onpnl;
_Core.OnError1 += _Core_OnError1;
_Client = _Core.ClientSocket;
}
private static void historicalDataRequests(EClientSocket client)
{
//Console.WriteLine(account.Email);
/*** Requesting historical data ***/
//! [reqhistoricaldata]
if (tradeConfig.Historical)
{
String queryTime = DateTime.Now.ToString("yyyyMMdd HH:mm:ss");
foreach (StockConfig sc in tradeConfig.Stocks)
{
client.reqHistoricalData(sc.Id, ContractSamples.GetContract(sc.Symbol), queryTime, "9 M", "1 min", "MIDPOINT", 1, 1, false, null);
}
//client.reqHistoricalData(1002, ContractSamples.USStock2(), queryTime, "9 M", "1 min", "MIDPOINT", 1, 1, false, null);
//! [reqhistoricaldata]
//Thread.Sleep(2000);
/*** Canceling historical data requests ***/
//client.cancelHistoricalData(1001);
}
}
private static void rerouteCFDOperations(EClientSocket client)
{
//! [reqmktdatacfd]
client.reqMktData(16001, ContractSamples.USStockCFD(), string.Empty, false, false, null);
Thread.Sleep(1000);
client.reqMktData(16002, ContractSamples.EuropeanStockCFD(), string.Empty, false, false, null);
Thread.Sleep(1000);
client.reqMktData(16003, ContractSamples.CashCFD(), string.Empty, false, false, null);
Thread.Sleep(1000);
//! [reqmktdatacfd]
//! [reqmktdepthcfd]
client.reqMarketDepth(16004, ContractSamples.USStockCFD(), 10, false, null);
Thread.Sleep(1000);
client.reqMarketDepth(16005, ContractSamples.EuropeanStockCFD(), 10, false, null);
Thread.Sleep(1000);
client.reqMarketDepth(16006, ContractSamples.CashCFD(), 10, false, null);
Thread.Sleep(1000);
//! [reqmktdepthcfd]
}
//String etfDir, String stkDir
public EWrapperImpl(string symbolFileDir, string quoteFolderDir, int maxQuote)
{
//this.MAX_QUOTE_LIST = maxQuote;
this.SYMBOL_FILE_DIR = symbolFileDir;
this.QUOTE_FOLDER_DIR = quoteFolderDir;
this.clientSocket = new EClientSocket(this);
this.tickerSymbolDict = new Dictionary <int, string>();
this.etfSymbolLst = new List <string>();
// quote dict has been moved
//this.quoteDict = new Dictionary<int, List<QuoteTick>>();
this.PairPosDict = new Dictionary <int, PairPos>();
MyLogger.Instance.Open("mylogger.txt", true); // create/open logger file
this.CSVReader(SYMBOL_FILE_DIR);
this.CreatePairObjs();
}
private static void realTimeBars(EClientSocket client)
{
/*** Requesting real time bars ***/
if (tradeConfig.Realtime)
{
#region Realtime with today's RSI
String queryTime = DateTime.Now.ToString("yyyyMMdd HH:mm:ss");
foreach (StockConfig sc in tradeConfig.Stocks)
{
client.reqHistoricalData(sc.Id, ContractSamples.GetContract(sc.Symbol), queryTime, "1 D", "1 min", "MIDPOINT", 1, 1, false, null);
}
//client.reqHistoricalData(1001, ContractSamples.USStock(), queryTime, "1 D", "1 min", "MIDPOINT", 1, 1, false, null);
Thread.Sleep(10000);
//client.cancelHistoricalData(1001);
foreach (StockConfig sc in tradeConfig.Stocks)
{
client.reqRealTimeBars(sc.Id, ContractSamples.GetContract(sc.Symbol), 5, "MIDPOINT", true, null);
}
//client.reqRealTimeBars(1001, ContractSamples.USStock(), 5, "MIDPOINT", true, null);
#endregion
}
if (tradeConfig.AfterRTH)
{
#region After RTH trading
foreach (StockConfig sc in tradeConfig.Stocks)
{
client.reqRealTimeBars(sc.Id, ContractSamples.GetContract(sc.Symbol), 5, "MIDPOINT", false, null);
}
//client.reqRealTimeBars(1001, ContractSamples.USStock(), 5, "MIDPOINT", false, null);
#endregion
}
//client.reqRealTimeBars(1002, ContractSamples.USOptionContract2(), 5, "MIDPOINT", true, null);
//! [reqrealtimebars]
//Thread.Sleep(2000);
/*** Canceling real time bars ***/
//! [cancelrealtimebars]
//client.cancelRealTimeBars(3001);
//! [cancelrealtimebars]
}
private static void linkingOperations(EClientSocket client)
{
client.verifyRequest("a name", "9.71");
client.verifyMessage("apiData");
//! [querydisplaygroups]
client.queryDisplayGroups(9001);
//! [querydisplaygroups]
//! [subscribetogroupevents]
client.subscribeToGroupEvents(9002, 1);
//! [subscribetogroupevents]
//! [updatedisplaygroup]
client.updateDisplayGroup(9002, "8314@SMART");
//! [updatedisplaygroup]
//! [subscribefromgroupevents]
client.unsubscribeFromGroupEvents(9002);
//! [subscribefromgroupevents]
}
public static int Main(string[] args)
{
string jsonText = File.ReadAllText("TradeConfig.json");
tradeConfig = JsonConvert.DeserializeObject <TradeConfig>(jsonText);
testImpl = new EWrapperImpl();
EClientSocket clientSocket = testImpl.ClientSocket;
EReaderSignal readerSignal = testImpl.Signal;
//! [connect]
clientSocket.eConnect("127.0.0.1", 7497, 0);
//! [connect]
//! [ereader]
//Create a reader to consume messages from the TWS. The EReader will consume the incoming messages and put them in a queue
var reader = new EReader(clientSocket, readerSignal);
reader.Start();
//Once the messages are in the queue, an additional thread can be created to fetch them
new Thread(() => { while (clientSocket.IsConnected())
{
readerSignal.waitForSignal(); reader.processMsgs();
}
})
{
IsBackground = true
}.Start();
//! [ereader]
/*************************************************************************************************************************************************/
/* One (although primitive) way of knowing if we can proceed is by monitoring the order's nextValidId reception which comes down automatically after connecting. */
/*************************************************************************************************************************************************/
while (testImpl.NextOrderId <= 0)
{
}
testIBMethods(clientSocket, testImpl.NextOrderId);
Console.WriteLine("Disconnecting...");
clientSocket.eDisconnect();
return(0);
}
private static void tickByTickOperations(EClientSocket client)
{
/*** Requesting tick-by-tick data (only refresh) ***/
//! [reqtickbytick]
client.reqTickByTickData(19001, ContractSamples.USStockAtSmart(), "Last", 0, false);
client.reqTickByTickData(19002, ContractSamples.USStockAtSmart(), "AllLast", 0, false);
client.reqTickByTickData(19003, ContractSamples.USStockAtSmart(), "BidAsk", 0, true);
client.reqTickByTickData(19004, ContractSamples.EurGbpFx(), "MidPoint", 0, false);
//! [reqtickbytick]
Thread.Sleep(10000);
//! [canceltickbytick]
client.cancelTickByTickData(19001);
client.cancelTickByTickData(19002);
client.cancelTickByTickData(19003);
client.cancelTickByTickData(19004);
//! [canceltickbytick]
Thread.Sleep(5000);
/*** Requesting tick-by-tick data (historical + refresh) ***/
//! [reqtickbytick]
client.reqTickByTickData(19005, ContractSamples.EuropeanStock(), "Last", 10, false);
client.reqTickByTickData(19006, ContractSamples.EuropeanStock(), "AllLast", 10, false);
client.reqTickByTickData(19007, ContractSamples.EuropeanStock(), "BidAsk", 10, false);
client.reqTickByTickData(19008, ContractSamples.EurGbpFx(), "MidPoint", 10, true);
//! [reqtickbytick]
Thread.Sleep(10000);
//! [canceltickbytick]
client.cancelTickByTickData(19005);
client.cancelTickByTickData(19006);
client.cancelTickByTickData(19007);
client.cancelTickByTickData(19008);
//! [canceltickbytick]
}
private static void optionsOperations(EClientSocket client)
{
//! [reqsecdefoptparams]
client.reqSecDefOptParams(0, "IBM", "", "STK", 8314);
//! [reqsecdefoptparams]
/*** Calculating implied volatility ***/
//! [calculateimpliedvolatility]
client.calculateImpliedVolatility(5001, ContractSamples.OptionAtBOX(), 5, 85, null);
//! [calculateimpliedvolatility]
/*** Canceling implied volatility ***/
client.cancelCalculateImpliedVolatility(5001);
/*** Calculating option's price ***/
//! [calculateoptionprice]
client.calculateOptionPrice(5002, ContractSamples.OptionAtBOX(), 0.22, 85, null);
//! [calculateoptionprice]
/*** Canceling option's price calculation ***/
client.cancelCalculateOptionPrice(5002);
/*** Exercising options ***/
//! [exercise_options]
client.exerciseOptions(5003, ContractSamples.OptionWithTradingClass(), 1, 1, null, 1);
//! [exercise_options]
}
public TradeService(int clientId)
{
ClientId = clientId;
readerSignal = new EReaderMonitorSignal();
clientSocket = new EClientSocket(this, readerSignal);
// TradeBot events
PropertyChanged += OnPropertyChanged;
// EWrapperImpl events
Error += OnError;
ConnectAck += OnConnectAck;
ConnectionClosed += OnConnectionClosed;
ManagedAccounts += OnManagedAccounts;
NextValidId += OnNextValidId;
TickPrice += OnTickPrice;
TickSize += OnTickSize;
TickGeneric += OnTickGeneric;
UpdatePortfolio += OnUpdatePortfolio;
AccountDownloadEnd += OnAccountDownloadEnd;
CommissionReport += OnCommissionReport;
}
private static void financialAdvisorOperations(EClientSocket client)
{
/*** Requesting FA information ***/
//! [requestfaaliases]
client.requestFA(Constants.FaAliases);
//! [requestfaaliases]
//! [requestfagroups]
client.requestFA(Constants.FaGroups);
//! [requestfagroups]
//! [requestfaprofiles]
client.requestFA(Constants.FaProfiles);
//! [requestfaprofiles]
/*** Replacing FA information - Fill in with the appropriate XML string. ***/
//! [replacefaonegroup]
client.replaceFA(Constants.FaGroups, FaAllocationSamples.FaOneGroup);
//! [replacefaonegroup]
//! [replacefatwogroups]
client.replaceFA(Constants.FaGroups, FaAllocationSamples.FaTwoGroups);
//! [replacefatwogroups]
//! [replacefaoneprofile]
client.replaceFA(Constants.FaProfiles, FaAllocationSamples.FaOneProfile);
//! [replacefaoneprofile]
//! [replacefatwoprofiles]
client.replaceFA(Constants.FaProfiles, FaAllocationSamples.FaTwoProfiles);
//! [replacefatwoprofiles]
//! [reqSoftDollarTiers]
client.reqSoftDollarTiers(4001);
//! [reqSoftDollarTiers]
}
private static void ConnectToIb()
{
RequestsClient client = new RequestsClient(
MyAppSettings.PushSocketPort, MyAppSettings.RequestSocketPort);
client.Connect();
wrapper = new IbClient(client, MyAppSettings);
EClientSocket clientSocket = wrapper.ClientSocket;
EReaderSignal readerSignal = wrapper.Signal;
clientSocket.eConnect(MyAppSettings.InteractiveBrokersIP, MyAppSettings.InteractiveBrokersPort, 0);
//Create a reader to consume messages from the TWS. The EReader will consume the incoming messages and put them in a queue
var reader = new EReader(clientSocket, readerSignal);
reader.Start();
//Once the messages are in the queue, an additional thread need to fetch them
new Thread(() =>
{
while (clientSocket.IsConnected())
{
readerSignal.waitForSignal();
reader.processMsgs();
}
})
{
IsBackground = true
}.Start();
while (wrapper.NextOrderId <= 0)
{
}
}
public InteractiveBrokersApi()
{
Logger = LogManager.GetLogger("IbApi");
EReaderSignal = new EReaderMonitorSignal();
Client = new EClientSocket(this, EReaderSignal);
}
public IBClient(EReaderSignal signal)
{
clientSocket = new EClientSocket(this, signal);
}
public MainForm()
{
mApi = new EClientSocket((EWrapper) new ApiEventSource(this, SynchronizationContext.Current), mSignal);
InitializeComponent();
}
public EWrapperImpl()
{
Signal = new EReaderMonitorSignal();
clientSocket = new EClientSocket(this, Signal);
}
public IBClient(IBTradeApp parent)
{
parentUI = parent;
clientSocket = new EClientSocket(this);
}
public EWrapperImpl()
{
clientSocket = new EClientSocket(this);
}
public LoggingEClientSocketFacade(EClientSocket socket)
{
this.socket = socket;
}
public ClientCommandAsync(EClientSocket clientSocket, IClientMessage clientMessage, TimeSpan timeout)
{
_timeout = timeout;
_clientSocket = clientSocket;
_clientMessage = clientMessage;
}
