private T SendRequest <T>(IntervalPeriod periodInterval, DataType dataType = DataType.Bid) where T : HistoricalData
{
T data = null;
var request = new TimeHistoricalRequest(InstrumentsManager.Current, dataType, periodInterval.Period, periodInterval.Value);
data = HistoricalDataManager.Get(request, new Interval(GetFromPeriod(periodInterval), DateTime.UtcNow)) as T;
var result = new AsyncResult(data);
HistoricalDataManager.OnLoaded = (historianData) =>
{
result = new AsyncResult(historianData, true);
result.Status = "Done";
};
do
{
result.Status = "Loading";
} while (!result.IsReady);
asyncResults.Add(result);
data = result.Data as T;
return(data);
}
public IBSampleApp()
{
InitializeComponent();
ibClient = new IBClient(this);
marketDataManager = new MarketDataManager(ibClient, marketDataGrid_MDT);
deepBookManager = new DeepBookManager(ibClient, deepBookGrid);
historicalDataManager = new HistoricalDataManager(ibClient, historicalChart, barsGrid);
realTimeBarManager = new RealTimeBarsManager(ibClient, rtBarsChart, rtBarsGrid);
scannerManager = new ScannerManager(ibClient, scannerGrid);
orderManager = new OrderManager(ibClient, liveOrdersGrid, tradeLogGrid);
accountManager = new AccountManager(ibClient, accountSelector, accSummaryGrid, accountValuesGrid, accountPortfolioGrid, positionsGrid);
contractManager = new ContractManager(ibClient, fundamentalsOutput, contractDetailsGrid);
advisorManager = new AdvisorManager(ibClient, advisorAliasesGrid, advisorGroupsGrid, advisorProfilesGrid);
optionsManager = new OptionsManager(ibClient, optionChainCallGrid, optionChainPutGrid, optionPositionsGrid);
mdContractRight.Items.AddRange(ContractRight.GetAll());
mdContractRight.SelectedIndex = 0;
conDetRight.Items.AddRange(ContractRight.GetAll());
conDetRight.SelectedIndex = 0;
fundamentalsReportType.Items.AddRange(FundamentalsReport.GetAll());
fundamentalsReportType.SelectedIndex = 0;
this.groupMethod.DataSource = AllocationGroupMethod.GetAsData();
this.groupMethod.ValueMember = "Value";
this.groupMethod.DisplayMember = "Name";
this.profileType.DataSource = AllocationProfileType.GetAsData();
this.profileType.ValueMember = "Value";
this.profileType.DisplayMember = "Name";
}
public override void Update(TickStatus args)
{
if (!loadData)
{
HistoricalDataManager.Get(HistoryDataSeries.HistoricalRequest, new Interval(barData.GetTimeUtc(), DateTime.UtcNow));
loadData = true;
}
}
public void AuthenticateAsync()
{
_identity = _session.CreateIdentity();
_authenticator = _authenticatorFactory(this);
_responseProcessors.Add(_authenticator);
_serviceManager.Request(ServiceUris.AuthenticationService)
.Then(service =>
{
_authorisationService = service;
_securityEntitlementsManager = new SecurityEntitlementsManager(_session, _authorisationService, _identity);
_responseProcessors.Add(_securityEntitlementsManager);
_userEntitlementsManager = new UserEntitlementsManager(_session, _authorisationService, _identity);
_responseProcessors.Add(_userEntitlementsManager);
return(_authenticator.Request(_session, service, _identity));
})
.Then(isAuthenticated =>
{
RaiseEvent(AuthenticationStatus, new EventArgs <bool>(isAuthenticated));
return(isAuthenticated ? Promise.Resolved() : Promise.Rejected(new ApplicationException("Authentication failed")));
})
.ThenAll(() => new[]
{
_serviceManager.Request(ServiceUris.ReferenceDataService)
.Then(service =>
{
_referenceDataService = service;
_referenceDataManager = new ReferenceDataManager(_session, _referenceDataService, _identity);
_responseProcessors.Add(_referenceDataManager);
_historicalDataManager = new HistoricalDataManager(_session, _referenceDataService, _identity);
_responseProcessors.Add(_historicalDataManager);
_intradayBarManager = new IntradayBarManager(_session, _referenceDataService, _identity);
_responseProcessors.Add(_intradayBarManager);
_intradayTickManager = new IntradayTickManager(_session, _referenceDataService, _identity);
_responseProcessors.Add(_intradayTickManager);
return(Promise.Resolved());
}),
_serviceManager.Request(ServiceUris.MarketDataService)
.Then(service =>
{
_marketDataService = service;
_subscriptionManager = new SubscriptionManager(_session, _identity);
return(Promise.Resolved());
})
}).Done(
() => RaiseEvent(InitialisationStatus, new EventArgs <bool>(true)),
_ => RaiseEvent(InitialisationStatus, new EventArgs <bool>(false)));
}
public HistoricCommand(ILogger <HistoricCommand> log,
IClientWrapper client,
HistoricalDataManager historicalDataManager,
HistoricConfig config,
ICsvSerializer serializer)
{
this.log = log ?? throw new ArgumentNullException(nameof(log));
this.client = client ?? throw new ArgumentNullException(nameof(client));
this.historicalDataManager =
historicalDataManager ?? throw new ArgumentNullException(nameof(historicalDataManager));
this.config = config ?? throw new ArgumentNullException(nameof(config));
this.serializer = serializer ?? throw new ArgumentNullException(nameof(serializer));
}
public override void Update(TickStatus args)
{
if (HistoryDataSeries.Count == 1)
{
var timeRequest = HistoryDataSeries.HistoricalRequest as TimeHistoricalRequest;
if (timeRequest == null)
{
return;
}
var interval = new Interval(HistoryDataSeries.GetTimeUtc(HistoryDataSeries.Count - 1), DateTime.UtcNow);
hd1 = HistoryDataSeries;
hd2 = HistoricalDataManager.Get(timeRequest.GetRequest(instrument2), interval);
}
}
public override void Update(TickStatus args)
{
if (!historyRequested)
{
inst = InstrumentsManager.Current;
var dayRequest = new TimeHistoricalRequest(inst, DataType.Trade, Period.Day, 1);
var weekRequest = new TimeHistoricalRequest(inst, DataType.Trade, Period.Week, 1);
var monthRequest = new TimeHistoricalRequest(inst, DataType.Trade, Period.Month, 1);
dailyBars = HistoricalDataManager.Get(dayRequest, new Interval(DateTime.UtcNow.AddDays(-252).ToLocalTime(), DateTime.UtcNow.ToLocalTime())) as BarData;
weeklyBars = HistoricalDataManager.Get(weekRequest, new Interval(DateTime.UtcNow.AddDays(-250).ToLocalTime(), DateTime.UtcNow.ToLocalTime())) as BarData;
monthlyBars = HistoricalDataManager.Get(monthRequest, new Interval(DateTime.UtcNow.AddMonths(-160).ToLocalTime(), DateTime.UtcNow.ToLocalTime())) as BarData;
historyRequested = true;
}
if (args == TickStatus.IsBar)
{
Process();
}
}
public void Start()
{
if (!_session.Start())
{
throw new Exception("Failed to start session");
}
_identity = _session.CreateIdentity();
_authorisationService = OpenService(ServiceUris.AuthenticationService);
_securityEntitlementsManager = new SecurityEntitlementsManager(_session, _authorisationService, _identity);
_responseProcessors.Add(_securityEntitlementsManager);
_userEntitlementsManager = new UserEntitlementsManager(_session, _authorisationService, _identity);
_responseProcessors.Add(_userEntitlementsManager);
_authenticator = _authenticatorFactory(this);
_responseProcessors.Add(_authenticator);
_authenticator.Authenticate(_session, _authorisationService, _identity);
_marketDataService = OpenService(ServiceUris.MarketDataService);
_subscriptionManager = new SubscriptionManager(_session, _identity);
_referenceDataService = OpenService(ServiceUris.ReferenceDataService);
_historicalDataManager = new HistoricalDataManager(_session, _referenceDataService, _identity);
_responseProcessors.Add(_historicalDataManager);
_intradayBarManager = new IntradayBarManager(_session, _referenceDataService, _identity);
_responseProcessors.Add(_intradayBarManager);
_intradayTickManager = new IntradayTickManager(_session, _referenceDataService, _identity);
_responseProcessors.Add(_intradayTickManager);
RaiseEvent(InitialisationStatus, new EventArgs <bool>(true));
}
public IBSampleAppDialog()
{
InitializeComponent();
ibClient = new IBClient(signal);
marketDataManager = new MarketDataManager(ibClient, marketDataGrid_MDT);
deepBookManager = new DeepBookManager(ibClient, deepBookGrid);
historicalDataManager = new HistoricalDataManager(ibClient, historicalChart, barsGrid);
realTimeBarManager = new RealTimeBarsManager(ibClient, rtBarsChart, rtBarsGrid);
scannerManager = new ScannerManager(ibClient, scannerGrid, scannerParamsOutput);
orderManager = new OrderManager(ibClient, liveOrdersGrid, tradeLogGrid);
accountManager = new AccountManager(ibClient, accountSelector, accSummaryGrid, accountValuesGrid, accountPortfolioGrid, positionsGrid);
contractManager = new ContractManager(ibClient, fundamentalsOutput, contractDetailsGrid); //ibClient, form tab, form tab. https://interactivebrokers.github.io/tws-api/contract_details.html#gsc.tab=0
advisorManager = new AdvisorManager(ibClient, advisorAliasesGrid, advisorGroupsGrid, advisorProfilesGrid);
optionsManager = new OptionsManager(ibClient, optionChainCallGrid, optionChainPutGrid, optionPositionsGrid, listViewOptionParams);
acctPosMultiManager = new AcctPosMultiManager(ibClient, positionsMultiGrid, accountUpdatesMultiGrid);
mdContractRight.Items.AddRange(ContractRight.GetAll());
mdContractRight.SelectedIndex = 0;
conDetRight.Items.AddRange(ContractRight.GetAll());
conDetRight.SelectedIndex = 0;
fundamentalsReportType.Items.AddRange(FundamentalsReport.GetAll());
fundamentalsReportType.SelectedIndex = 0;
this.groupMethod.DataSource = AllocationGroupMethod.GetAsData();
this.groupMethod.ValueMember = "Value";
this.groupMethod.DisplayMember = "Name";
this.profileType.DataSource = AllocationProfileType.GetAsData();
this.profileType.ValueMember = "Value";
this.profileType.DisplayMember = "Name";
hdRequest_EndTime.Text = DateTime.Now.ToString("yyyyMMdd HH:mm:ss");
DateTime execFilterDefault = DateTime.Now.AddHours(-1);
execFilterTime.Text = execFilterDefault.ToString("yyyyMMdd HH:mm:ss");
// Events liniking
// All events belong to EWrapper interface and called Public member functions
ibClient.Error += ibClient_Error;
ibClient.ConnectionClosed += ibClient_ConnectionClosed;
ibClient.CurrentTime += time => addTextToBox("Current Time: " + time + "\n");
ibClient.TickPrice += ibClient_TickPrice;
ibClient.TickSize += ibClient_TickSize;
ibClient.TickString += (tickerId, tickType, value) => addTextToBox("Tick string. Ticker Id:" + tickerId + ", Type: " + TickType.getField(tickType) + ", Value: " + value + "\n");
ibClient.TickGeneric += (tickerId, field, value) => addTextToBox("Tick Generic. Ticker Id:" + tickerId + ", Field: " + TickType.getField(field) + ", Value: " + value + "\n");
ibClient.TickEFP += (tickerId, tickType, basisPoints, formattedBasisPoints, impliedFuture, holdDays, futureLastTradeDate, dividendImpact, dividendsToLastTradeDate) => addTextToBox("TickEFP. " + tickerId + ", Type: " + tickType + ", BasisPoints: " + basisPoints + ", FormattedBasisPoints: " + formattedBasisPoints + ", ImpliedFuture: " + impliedFuture + ", HoldDays: " + holdDays + ", FutureLastTradeDate: " + futureLastTradeDate + ", DividendImpact: " + dividendImpact + ", DividendsToLastTradeDate: " + dividendsToLastTradeDate + "\n");
ibClient.TickSnapshotEnd += tickerId => addTextToBox("TickSnapshotEnd: " + tickerId + "\n");
ibClient.NextValidId += ibClient_NextValidId; // Receives next valid order id. Will be invoked automatically upon successfull API client connection. Used for sending connection status
ibClient.DeltaNeutralValidation += (reqId, underComp) =>
addTextToBox("DeltaNeutralValidation. " + reqId + ", ConId: " + underComp.ConId + ", Delta: " + underComp.Delta + ", Price: " + underComp.Price + "\n");
ibClient.ManagedAccounts += accountsList => HandleMessage(new ManagedAccountsMessage(accountsList));
ibClient.TickOptionCommunication += (tickerId, field, impliedVolatility, delta, optPrice, pvDividend, gamma, vega, theta, undPrice) =>
HandleMessage(new TickOptionMessage(tickerId, field, impliedVolatility, delta, optPrice, pvDividend, gamma, vega, theta, undPrice));
ibClient.AccountSummary += (reqId, account, tag, value, currency) => HandleMessage(new AccountSummaryMessage(reqId, account, tag, value, currency));
ibClient.AccountSummaryEnd += reqId => HandleMessage(new AccountSummaryEndMessage(reqId));
ibClient.UpdateAccountValue += (key, value, currency, accountName) => HandleMessage(new AccountValueMessage(key, value, currency, accountName));
ibClient.UpdatePortfolio += (contract, position, marketPrice, marketValue, averageCost, unrealisedPNL, realisedPNL, accountName) =>
HandleMessage(new UpdatePortfolioMessage(contract, position, marketPrice, marketValue, averageCost, unrealisedPNL, realisedPNL, accountName));
ibClient.UpdateAccountTime += timestamp => HandleMessage(new UpdateAccountTimeMessage(timestamp));
ibClient.AccountDownloadEnd += account => HandleMessage(new AccountDownloadEndMessage(account));
ibClient.OrderStatus += (orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld) =>
HandleMessage(new OrderStatusMessage(orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld));
ibClient.OpenOrder += (orderId, contract, order, orderState) => HandleMessage(new OpenOrderMessage(orderId, contract, order, orderState));
ibClient.OpenOrderEnd += () => HandleMessage(new OpenOrderEndMessage());
ibClient.ContractDetails += (reqId, contractDetails) => HandleMessage(new ContractDetailsMessage(reqId, contractDetails));
ibClient.ContractDetailsEnd += (reqId) => HandleMessage(new ContractDetailsEndMessage());
ibClient.ExecDetails += (reqId, contract, execution) => HandleMessage(new ExecutionMessage(reqId, contract, execution));
ibClient.ExecDetailsEnd += reqId => addTextToBox("ExecDetailsEnd. " + reqId + "\n");
ibClient.CommissionReport += commissionReport => HandleMessage(new CommissionMessage(commissionReport));
ibClient.FundamentalData += (reqId, data) => HandleMessage(new FundamentalsMessage(data));
ibClient.HistoricalData += (reqId, date, open, high, low, close, volume, count, WAP, hasGaps) =>
HandleMessage(new HistoricalDataMessage(reqId, date, open, high, low, close, volume, count, WAP, hasGaps));
ibClient.HistoricalDataEnd += (reqId, startDate, endDate) => HandleMessage(new HistoricalDataEndMessage(reqId, startDate, endDate));
ibClient.MarketDataType += (reqId, marketDataType) => addTextToBox("MarketDataType. " + reqId + ", Type: " + marketDataType + "\n");
ibClient.UpdateMktDepth += (tickerId, position, operation, side, price, size) => HandleMessage(new DeepBookMessage(tickerId, position, operation, side, price, size, ""));
ibClient.UpdateMktDepthL2 += (tickerId, position, marketMaker, operation, side, price, size) => HandleMessage(new DeepBookMessage(tickerId, position, operation, side, price, size, marketMaker));
ibClient.UpdateNewsBulletin += (msgId, msgType, message, origExchange) =>
addTextToBox("News Bulletins. " + msgId + " - Type: " + msgType + ", Message: " + message + ", Exchange of Origin: " + origExchange + "\n");
ibClient.Position += (account, contract, pos, avgCost) => HandleMessage(new PositionMessage(account, contract, pos, avgCost));
ibClient.PositionEnd += () => addTextToBox("PositionEnd \n");
ibClient.RealtimeBar += (reqId, time, open, high, low, close, volume, WAP, count) => HandleMessage(new RealTimeBarMessage(reqId, time, open, high, low, close, volume, WAP, count));
ibClient.ScannerParameters += xml => HandleMessage(new ScannerParametersMessage(xml));
ibClient.ScannerData += (reqId, rank, contractDetails, distance, benchmark, projection, legsStr) =>
HandleMessage(new ScannerMessage(reqId, rank, contractDetails, distance, benchmark, projection, legsStr));
ibClient.ScannerDataEnd += reqId => addTextToBox("ScannerDataEnd. " + reqId + "\r\n");
ibClient.ReceiveFA += (faDataType, faXmlData) => HandleMessage(new AdvisorDataMessage(faDataType, faXmlData));
ibClient.BondContractDetails += (requestId, contractDetails) => addTextToBox("Receiving bond contract details.");
ibClient.VerifyMessageAPI += apiData => addTextToBox("verifyMessageAPI: " + apiData);
ibClient.VerifyCompleted += (isSuccessful, errorText) => addTextToBox("verifyCompleted. IsSuccessfule: " + isSuccessful + " - Error: " + errorText);
ibClient.VerifyAndAuthMessageAPI += (apiData, xyzChallenge) => addTextToBox("verifyAndAuthMessageAPI: " + apiData + " " + xyzChallenge);
ibClient.VerifyAndAuthCompleted += (isSuccessful, errorText) => addTextToBox("verifyAndAuthCompleted. IsSuccessfule: " + isSuccessful + " - Error: " + errorText);
ibClient.DisplayGroupList += (reqId, groups) => addTextToBox("DisplayGroupList. Request: " + reqId + ", Groups" + groups);
ibClient.DisplayGroupUpdated += (reqId, contractInfo) => addTextToBox("displayGroupUpdated. Request: " + reqId + ", ContractInfo: " + contractInfo);
ibClient.PositionMulti += (reqId, account, modelCode, contract, pos, avgCost) => HandleMessage(new PositionMultiMessage(reqId, account, modelCode, contract, pos, avgCost));
ibClient.PositionMultiEnd += (reqId) => HandleMessage(new PositionMultiEndMessage(reqId));
ibClient.AccountUpdateMulti += (reqId, account, modelCode, key, value, currency) => HandleMessage(new AccountUpdateMultiMessage(reqId, account, modelCode, key, value, currency));
ibClient.AccountUpdateMultiEnd += (reqId) => HandleMessage(new AccountUpdateMultiEndMessage(reqId));
ibClient.SecurityDefinitionOptionParameter += (reqId, exchange, underlyingConId, tradingClass, multiplier, expirations, strikes) => HandleMessage(new SecurityDefinitionOptionParameterMessage(reqId, exchange, underlyingConId, tradingClass, multiplier, expirations, strikes));
ibClient.SecurityDefinitionOptionParameterEnd += (reqId) => HandleMessage(new SecurityDefinitionOptionParameterEndMessage(reqId));
ibClient.SoftDollarTiers += (reqId, tiers) => HandleMessage(new SoftDollarTiersMessage(reqId, tiers));
}
