public TWSOpenOrderEventArgs(TWSClient client, int orderId, IBOrder order, IBContract contract)
: base(client)
{
OrderId = orderId;
Order = order;
Contract = contract;
}
internal OrderRecord(IBOrder order, IBContract contract)
{
Order = order;
Contract = contract;
CumQty = 0;
LeavesQty = order.TotalQuantity;
AvgPx = 0;
}
internal OrderRecord(IBOrder order, IBContract contract)
{
Order = order;
Contract = contract;
CumQty = 0;
LeavesQty = order.TotalQuantity;
AvgPx = 0;
}
protected void OnOpenOrder(int orderId, IBOrder order, IBContract contract, IBOrderState orderState)
{
if (OpenOrder != null)
OpenOrder(this, new TWSOpenOrderEventArgs(this) {
OrderId = orderId,
Order = order,
Contract = contract
});
if (OrderChanged != null) {
OrderRecord or;
if (_orderRecords.TryGetValue(orderId, out or))
{
OrderChanged(this, new TWSOrderChangedEventArgs(this, or) {
ChangeType = IBOrderChangeType.OpenOrder,
ReportedContract = contract,
OpenOrder = order,
OpenOrderState = orderState
});
}
}
}
private void CheckServerCompatability(IBContract contract, IBOrder order)
{
//Scale Orders Minimum Version is 35
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS)
if (order.ScaleInitLevelSize != Int32.MaxValue || order.ScalePriceIncrement != Double.MaxValue)
throw new TWSOutdatedException();
//Minimum Sell Short Combo Leg Order is 35
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SSHORT_COMBO_LEGS)
if (contract.ComboLegs.Count != 0)
if (contract.ComboLegs.Any(t => t.ShortSaleSlot != 0 || (!string.IsNullOrEmpty(t.DesignatedLocation))))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_WHAT_IF_ORDERS)
if (order.WhatIf)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_UNDER_COMP)
if (contract.UnderlyingComponent != null)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS2)
if (order.ScaleSubsLevelSize != Int32.MaxValue)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_ALGO_ORDERS)
if (!string.IsNullOrEmpty(order.AlgoStrategy))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_NOT_HELD)
if (order.NotHeld)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SEC_ID_TYPE)
if (contract.SecurityIdType != IBSecurityIdType.None || !string.IsNullOrEmpty(contract.SecurityId))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_PLACE_ORDER_CONID)
if (contract.ContractId > 0)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SSHORTX)
if (order.ExemptCode != -1)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SSHORTX)
if (contract.ComboLegs.Count > 0)
if (contract.ComboLegs.Any(comboLeg => comboLeg.ExemptCode != -1))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_HEDGE_ORDERS)
if (!String.IsNullOrEmpty(order.HedgeType))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_OPT_OUT_SMART_ROUTING)
if (order.OptOutSmartRouting)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_DELTA_NEUTRAL_CONID)
if (order.DeltaNeutralContractId > 0 ||
!String.IsNullOrEmpty(order.DeltaNeutralSettlingFirm) ||
!String.IsNullOrEmpty(order.DeltaNeutralClearingAccount) ||
!String.IsNullOrEmpty(order.DeltaNeutralClearingIntent))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_DELTA_NEUTRAL_OPEN_CLOSE)
if (!String.IsNullOrEmpty(order.DeltaNeutralOpenClose) ||
order.DeltaNeutralShortSale || order.DeltaNeutralShortSaleSlot > 0 || !String.IsNullOrEmpty(order.DeltaNeutralDesignatedLocation))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS3)
if (order.ScalePriceIncrement > 0 && order.ScalePriceIncrement != Double.MaxValue)
if (order.ScalePriceAdjustValue != Double.MaxValue ||
order.ScalePriceAdjustInterval != Int32.MaxValue ||
order.ScaleProfitOffset != Double.MaxValue ||
order.ScaleAutoReset ||
order.ScaleInitPosition != Int32.MaxValue ||
order.ScaleInitFillQty != Int32.MaxValue ||
order.ScaleRandomPercent)
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_ORDER_COMBO_LEGS_PRICE && contract.SecurityType == IBSecurityType.Bag)
if (order.OrderComboLegs.Any(c => c.Price != Double.MaxValue))
throw new TWSOutdatedException();
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_TRAILING_PERCENT)
if (order.TrailingPercent != Double.MaxValue)
throw new TWSOutdatedException();
}
/// <summary>
/// Places an order for the requested contract through TWS
/// </summary>
/// <param name="contract">The contract.</param>
/// <param name="order">The order.</param>
/// <returns>the order id of the newly generated order</returns>
/// <exception cref="Daemaged.IBNet.Client.NotConnectedException"></exception>
public virtual int PlaceOrder(IBContract contract, IBOrder order)
{
lock (_socketLock) {
if (!IsConnected)
throw new NotConnectedException();
CheckServerCompatability(contract, order);
var orderId = NextValidId;
var reqVersion = ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_NOT_HELD ? 27 : 39;
try {
_enc.Encode(ServerMessage.PlaceOrder);
_enc.Encode(reqVersion);
_enc.Encode(orderId);
// send contract fields
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_PLACE_ORDER_CONID)
_enc.Encode(contract.ContractId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecurityType);
_enc.Encode(contract.Expiry.HasValue ? contract.Expiry.Value.ToString(IB_EXPIRY_DATE_FORMAT) : String.Empty);
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
if (ServerInfo.Version >= 15)
_enc.Encode(contract.Multiplier);
_enc.Encode(contract.Exchange);
if (ServerInfo.Version >= 14)
_enc.Encode(contract.PrimaryExchange);
_enc.Encode(contract.Currency);
if (ServerInfo.Version >= 2)
_enc.Encode(contract.LocalSymbol);
if (ServerInfo.Version > TWSServerInfo.MIN_SERVER_VER_SEC_ID_TYPE) {
_enc.Encode(contract.SecurityIdType);
_enc.Encode(contract.SecurityId);
}
_enc.Encode(order.Action);
_enc.Encode(order.TotalQuantity);
_enc.Encode(order.OrderType);
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_ORDER_COMBO_LEGS_PRICE)
_enc.Encode(order.LimitPrice == Double.MaxValue ? 0 : order.LimitPrice);
else
_enc.EncodeMax(order.LimitPrice);
if (ServerInfo.Version < TWSServerInfo.MIN_SERVER_VER_TRAILING_PERCENT)
_enc.Encode(order.AuxPrice == Double.MaxValue ? 0 : order.AuxPrice);
else
_enc.EncodeMax(order.AuxPrice);
_enc.Encode(order.Tif);
_enc.Encode(order.OcaGroup);
_enc.Encode(order.Account);
_enc.Encode(order.OpenClose);
_enc.Encode(order.Origin);
_enc.Encode(order.OrderRef);
_enc.Encode(order.Transmit);
if (ServerInfo.Version >= 4)
_enc.Encode(order.ParentId);
if (ServerInfo.Version >= 5) {
_enc.Encode(order.BlockOrder);
_enc.Encode(order.SweepToFill);
_enc.Encode(order.DisplaySize);
_enc.Encode(order.TriggerMethod);
if (ServerInfo.Version < 38)
_enc.Encode(false); // Deprecated order.IgnoreRth
else
_enc.Encode(order.OutsideRth);
}
if (ServerInfo.Version >= 7)
_enc.Encode(order.Hidden);
if ((ServerInfo.Version >= 8) && (contract.SecurityType == IBSecurityType.Bag)) {
_enc.Encode(contract.ComboLegs.Count);
foreach (var leg in contract.ComboLegs) {
_enc.Encode(leg.ContractId);
_enc.Encode(leg.Ratio);
_enc.Encode(leg.Action);
_enc.Encode(leg.Exchange);
_enc.Encode(leg.OpenClose);
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SSHORT_COMBO_LEGS) {
_enc.Encode(leg.ShortSaleSlot);
_enc.Encode(leg.DesignatedLocation);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SSHORTX_OLD)
_enc.Encode(leg.ExemptCode);
}
}
// Send order combo legs for BAG requests
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_ORDER_COMBO_LEGS_PRICE && contract.SecurityType == IBSecurityType.Bag) {
if (order.OrderComboLegs == null)
_enc.Encode(0);
else {
_enc.Encode(order.OrderComboLegs.Count);
foreach (var l in order.OrderComboLegs)
_enc.EncodeMax(l.Price);
}
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SMART_COMBO_ROUTING_PARAMS && contract.SecurityType == IBSecurityType.Bag) {
if (order.SmartComboRoutingParams == null || order.SmartComboRoutingParams.Count == 0)
_enc.Encode(0);
else {
_enc.Encode(order.SmartComboRoutingParams.Count);
foreach (var tv in order.SmartComboRoutingParams) {
_enc.Encode(tv.Tag);
_enc.Encode(tv.Value);
}
}
}
if (ServerInfo.Version >= 9)
_enc.Encode(String.Empty); // Deprecated order.SharesAllocation
if (ServerInfo.Version >= 10)
_enc.Encode(order.DiscretionaryAmt);
if (ServerInfo.Version >= 11)
_enc.Encode(order.GoodAfterTime);
if (ServerInfo.Version >= 12)
_enc.Encode(order.GoodTillDate);
if (ServerInfo.Version >= 13) {
_enc.Encode(order.FaGroup);
_enc.Encode(order.FaMethod);
_enc.Encode(order.FaPercentage);
_enc.Encode(order.FaProfile);
}
if (ServerInfo.Version >= 18) {
_enc.Encode(order.ShortSaleSlot);
_enc.Encode(order.DesignatedLocation);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SSHORTX_OLD)
_enc.Encode(order.ExemptCode);
if (ServerInfo.Version >= 19) {
_enc.Encode(order.OcaType);
if (ServerInfo.Version < 38)
_enc.Encode(false); // Deprecated order.m_rthOnly
_enc.Encode(order.Rule80A);
_enc.Encode(order.SettlingFirm);
_enc.Encode(order.AllOrNone);
_enc.EncodeMax(order.MinQty);
_enc.EncodeMax(order.PercentOffset);
_enc.Encode(order.ETradeOnly);
_enc.Encode(order.FirmQuoteOnly);
_enc.EncodeMax(order.NbboPriceCap);
_enc.EncodeMax(order.AuctionStrategy);
_enc.EncodeMax(order.StartingPrice);
_enc.EncodeMax(order.StockRefPrice);
_enc.EncodeMax(order.Delta);
var stockRangeLower = ((ServerInfo.Version == 26) && (order.OrderType == IBOrderType.Volatility))
? Double.MaxValue
: order.StockRangeLower;
var stockRangeUpper = ((ServerInfo.Version == 26) && (order.OrderType == IBOrderType.Volatility))
? Double.MaxValue
: order.StockRangeUpper;
_enc.EncodeMax(stockRangeLower);
_enc.EncodeMax(stockRangeUpper);
if (ServerInfo.Version >= 22) {
_enc.Encode(order.OverridePercentageConstraints);
}
if (ServerInfo.Version >= 26) {
_enc.EncodeMax(order.Volatility);
_enc.Encode(order.VolatilityType);
if (ServerInfo.Version < 28) {
_enc.Encode(order.DeltaNeutralOrderType == IBOrderType.Market);
}
else {
_enc.Encode(order.DeltaNeutralOrderType);
_enc.EncodeMax(order.DeltaNeutralAuxPrice);
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_DELTA_NEUTRAL_CONID && order.DeltaNeutralOrderType != IBOrderType.Empty) {
_enc.Encode(order.DeltaNeutralContractId);
_enc.Encode(order.DeltaNeutralSettlingFirm);
_enc.Encode(order.DeltaNeutralClearingAccount);
_enc.Encode(order.DeltaNeutralClearingIntent);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_DELTA_NEUTRAL_OPEN_CLOSE && order.DeltaNeutralOrderType != IBOrderType.Empty) {
_enc.Encode(order.DeltaNeutralOpenClose);
_enc.Encode(order.DeltaNeutralShortSale);
_enc.Encode(order.DeltaNeutralShortSaleSlot);
_enc.Encode(order.DeltaNeutralDesignatedLocation);
}
}
_enc.Encode(order.ContinuousUpdate);
if (ServerInfo.Version == 26) {
if (order.OrderType == IBOrderType.Volatility) {
_enc.EncodeMax(order.StockRangeLower);
_enc.EncodeMax(order.StockRangeUpper);
}
else {
_enc.EncodeMax(Double.MaxValue);
_enc.EncodeMax(Double.MaxValue);
}
}
_enc.EncodeMax(order.ReferencePriceType);
}
}
if (ServerInfo.Version >= 30) { // TRAIL_STOP_LIMIT stop price
_enc.EncodeMax( order.TrailStopPrice);
}
if( ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_TRAILING_PERCENT){
_enc.EncodeMax( order.TrailingPercent);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS) {
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS2) {
_enc.EncodeMax(order.ScaleInitLevelSize);
_enc.EncodeMax(order.ScaleSubsLevelSize);
}
else {
_enc.Encode("");
_enc.EncodeMax(order.ScaleInitLevelSize);
}
_enc.EncodeMax(order.ScalePriceIncrement);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_SCALE_ORDERS3 && order.ScalePriceIncrement > 0.0 && order.ScalePriceIncrement != Double.MaxValue) {
_enc.EncodeMax(order.ScalePriceAdjustValue);
_enc.EncodeMax(order.ScalePriceAdjustInterval);
_enc.EncodeMax(order.ScaleProfitOffset);
_enc.Encode(order.ScaleAutoReset);
_enc.EncodeMax(order.ScaleInitPosition);
_enc.EncodeMax(order.ScaleInitFillQty);
_enc.Encode(order.ScaleRandomPercent);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_HEDGE_ORDERS) {
_enc.Encode(order.HedgeType);
if (!String.IsNullOrEmpty(order.HedgeType)) {
_enc.Encode(order.HedgeParam);
}
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_OPT_OUT_SMART_ROUTING) {
_enc.Encode(order.OptOutSmartRouting);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_PTA_ORDERS) {
_enc.Encode(order.ClearingAccount);
_enc.Encode(order.ClearingIntent);
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_NOT_HELD)
_enc.Encode(order.NotHeld);
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_UNDER_COMP) {
if (contract.UnderlyingComponent != null) {
var uc = contract.UnderlyingComponent;
_enc.Encode( true);
_enc.Encode(uc.ContractId);
_enc.Encode(uc.Delta);
_enc.Encode(uc.Price);
}
else {
_enc.Encode(false);
}
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_ALGO_ORDERS) {
_enc.Encode( order.AlgoStrategy ?? String.Empty);
if (!String.IsNullOrEmpty(order.AlgoStrategy)) {
if (order.AlgoParams == null || order.AlgoParams.Count == 0)
_enc.Encode(0);
else {
_enc.Encode(order.AlgoParams.Count);
foreach (var tv in order.AlgoParams) {
_enc.Encode(tv.Tag);
_enc.Encode(tv.Value);
}
}
}
}
if (ServerInfo.Version >= TWSServerInfo.MIN_SERVER_VER_WHAT_IF_ORDERS)
_enc.Encode(order.WhatIf);
}
catch (Exception) {
Disconnect();
throw;
}
order.OrderId = orderId;
_orderRecords.Add(orderId, new OrderRecord {
OrderId = orderId,
Order = order,
Contract = contract,
});
return orderId;
}
}
private void ProcessOpenOrder()
{
// read version
var version = _enc.DecodeInt();
var order = new IBOrder { OrderId = _enc.DecodeInt() };
// read contract fields
var contract = new IBContract {
ContractId = version >= 17 ? _enc.DecodeInt() : 0,
Symbol = _enc.DecodeString(),
SecurityType = _enc.DecodeEnum<IBSecurityType>(),
Expiry = DecodeIBExpiry(_enc),
Strike = _enc.DecodeDouble(),
Right = _enc.DecodeString(),
Exchange = _enc.DecodeString(),
Currency = _enc.DecodeString(),
LocalSymbol = (version >= 2) ? _enc.DecodeString() : null
};
// read other order fields
order.Action = _enc.DecodeEnum<IBAction>();
order.TotalQuantity = _enc.DecodeInt();
order.OrderType = _enc.DecodeEnum<IBOrderType>();
order.LimitPrice = version < 29 ? _enc.DecodeDouble() : _enc.DecodeDoubleMax();
order.AuxPrice = version < 30 ? _enc.DecodeDouble() : _enc.DecodeDoubleMax();
order.Tif = _enc.DecodeEnum<IBTimeInForce>();
order.OcaGroup = _enc.DecodeString();
order.Account = _enc.DecodeString();
order.OpenClose = _enc.DecodeString();
order.Origin = _enc.DecodeEnum<IBOrderOrigin>();
order.OrderRef = _enc.DecodeString();
if (version >= 3)
order.ClientId = _enc.DecodeInt();
if (version >= 4) {
order.PermId = _enc.DecodeInt();
if (version < 18)
order.IgnoreRth = _enc.DecodeInt() == 1;
else
order.OutsideRth = _enc.DecodeInt() == 1;
order.Hidden = _enc.DecodeBool();
order.DiscretionaryAmt = _enc.DecodeDouble();
}
if (version >= 5)
order.GoodAfterTime = _enc.DecodeString();
if (version >= 6)
order.SharesAllocation = _enc.DecodeString();
if (version >= 7) {
order.FaGroup = _enc.DecodeString();
order.FaMethod = _enc.DecodeEnum<IBFinancialAdvisorAllocationMethod>();
order.FaPercentage = _enc.DecodeString();
order.FaProfile = _enc.DecodeString();
}
if (version >= 8)
order.GoodTillDate = _enc.DecodeString();
if (version >= 9) {
order.Rule80A = _enc.DecodeEnum<IBAgentDescription>();
order.PercentOffset = _enc.DecodeDouble();
order.SettlingFirm = _enc.DecodeString();
order.ShortSaleSlot = _enc.DecodeInt();
order.DesignatedLocation = _enc.DecodeString();
if (ServerInfo.Version == 51)
_enc.DecodeInt(); // exemptCode
else if (version >= 23)
order.ExemptCode = _enc.DecodeInt();
order.AuctionStrategy = _enc.DecodeInt();
order.StartingPrice = _enc.DecodeDouble();
order.StockRefPrice = _enc.DecodeDouble();
order.Delta = _enc.DecodeDouble();
order.StockRangeLower = _enc.DecodeDouble();
order.StockRangeUpper = _enc.DecodeDouble();
order.DisplaySize = _enc.DecodeInt();
if (version < 18)
order.RthOnly = _enc.DecodeBool();
order.BlockOrder = _enc.DecodeBool();
order.SweepToFill = _enc.DecodeBool();
order.AllOrNone = _enc.DecodeBool();
order.MinQty = _enc.DecodeInt();
order.OcaType = _enc.DecodeEnum<IBOcaType>();
order.ETradeOnly = _enc.DecodeBool();
order.FirmQuoteOnly = _enc.DecodeBool();
order.NbboPriceCap = _enc.DecodeDouble();
}
if (version >= 10) {
order.ParentId = _enc.DecodeInt();
order.TriggerMethod = _enc.DecodeInt();
}
if (version >= 11) {
order.Volatility = _enc.DecodeDouble();
order.VolatilityType = _enc.DecodeEnum<IBVolatilityType>();
if (version == 11) {
var receivedInt = _enc.DecodeInt();
order.DeltaNeutralOrderType = ((receivedInt == 0) ? IBOrderType.None : IBOrderType.Market);
}
else {
// version 12 and up
order.DeltaNeutralOrderType = _enc.DecodeEnum<IBOrderType>();
order.DeltaNeutralAuxPrice = _enc.DecodeDoubleMax();
if (version >= 27 && order.DeltaNeutralOrderType != IBOrderType.Empty) {
order.DeltaNeutralContractId = _enc.DecodeInt();
order.DeltaNeutralSettlingFirm = _enc.DecodeString();
order.DeltaNeutralClearingAccount = _enc.DecodeString();
order.DeltaNeutralClearingIntent = _enc.DecodeString();
}
if (version >= 31 && order.DeltaNeutralOrderType != IBOrderType.Empty) {
order.DeltaNeutralOpenClose = _enc.DecodeString();
order.DeltaNeutralShortSale = _enc.DecodeBool();
order.DeltaNeutralShortSaleSlot = _enc.DecodeInt();
order.DeltaNeutralDesignatedLocation = _enc.DecodeString();
}
}
order.ContinuousUpdate = _enc.DecodeInt();
if (ServerInfo.Version == 26) {
order.StockRangeLower = _enc.DecodeDouble();
order.StockRangeUpper = _enc.DecodeDouble();
}
order.ReferencePriceType = _enc.DecodeInt();
}
if (version >= 13)
order.TrailStopPrice = _enc.DecodeDoubleMax();
if (version >= 30)
order.TrailingPercent = _enc.DecodeDoubleMax();
if (version >= 14) {
order.BasisPoints = _enc.DecodeDouble();
order.BasisPointsType = _enc.DecodeInt();
contract.ComboLegsDescription = _enc.DecodeString();
}
if (version >= 29) {
var comboLegsCount = _enc.DecodeInt();
if (comboLegsCount > 0) {
contract.ComboLegs = new List<IBComboLeg>(comboLegsCount);
for (var i = 0; i < comboLegsCount; ++i)
contract.ComboLegs.Add(new IBComboLeg {
ContractId = _enc.DecodeInt(),
Ratio = _enc.DecodeInt(),
Action = _enc.DecodeEnum<IBAction>(),
Exchange = _enc.DecodeString(),
OpenClose = _enc.DecodeEnum<IBComboOpenClose>(),
ShortSaleSlot = _enc.DecodeEnum<IBShortSaleSlot>(),
DesignatedLocation = _enc.DecodeString(),
ExemptCode = _enc.DecodeInt(),
});
}
var orderComboLegsCount = _enc.DecodeInt();
if (orderComboLegsCount > 0) {
order.OrderComboLegs = new List<IBOrderComboLeg>(orderComboLegsCount);
for (var i = 0; i < orderComboLegsCount; ++i)
order.OrderComboLegs.Add(new IBOrderComboLeg { Price = _enc.DecodeDoubleMax() });
}
}
if (version >= 26) {
var smartComboRoutingParamsCount = _enc.DecodeInt();
if (smartComboRoutingParamsCount > 0) {
order.SmartComboRoutingParams = new List<IBTagValue>(smartComboRoutingParamsCount);
for (var i = 0; i < smartComboRoutingParamsCount; ++i)
order.SmartComboRoutingParams.Add(new IBTagValue {
Tag = _enc.DecodeString(),
Value = _enc.DecodeString()
});
}
}
if (version >= 15)
{
if (version >= 20) {
order.ScaleInitLevelSize = _enc.DecodeIntMax();
order.ScaleSubsLevelSize = _enc.DecodeIntMax();
}
else {
/* int notSuppScaleNumComponents = */
_enc.DecodeIntMax();
order.ScaleInitLevelSize = _enc.DecodeIntMax();
}
order.ScalePriceIncrement = _enc.DecodeDoubleMax();
}
if (version >= 28 && order.ScalePriceIncrement > 0.0 && order.ScalePriceIncrement != Double.MaxValue) {
order.ScalePriceAdjustValue = _enc.DecodeDoubleMax();
order.ScalePriceAdjustInterval = _enc.DecodeIntMax();
order.ScaleProfitOffset = _enc.DecodeDoubleMax();
order.ScaleAutoReset = _enc.DecodeBool();
order.ScaleInitPosition = _enc.DecodeIntMax();
order.ScaleInitFillQty = _enc.DecodeIntMax();
order.ScaleRandomPercent = _enc.DecodeBool();
}
if (version >= 24)
{
order.HedgeType = _enc.DecodeString();
if (!String.IsNullOrEmpty(order.HedgeType))
order.HedgeParam = _enc.DecodeString();
}
if (version >= 25)
order.OptOutSmartRouting = _enc.DecodeBool();
if (version >= 19) {
order.ClearingAccount = _enc.DecodeString();
order.ClearingIntent = _enc.DecodeString();
}
if (version >= 22)
order.NotHeld = _enc.DecodeBool();
if (version >= 20)
{
if (_enc.DecodeBool()) {
contract.UnderlyingComponent = new IBUnderlyinhComponent {
ContractId = _enc.DecodeInt(),
Delta = _enc.DecodeDouble(),
Price = _enc.DecodeDouble()
};
}
}
if (version >= 21)
{
order.AlgoStrategy = _enc.DecodeString();
if (!String.IsNullOrEmpty(order.AlgoStrategy))
{
var algoParamsCount = _enc.DecodeInt();
if (algoParamsCount > 0) {
order.AlgoParams = new List<IBTagValue>(algoParamsCount);
for (var i = 0; i < algoParamsCount; ++i)
order.AlgoParams.Add(new IBTagValue {
Tag = _enc.DecodeString(),
Value = _enc.DecodeString(),
});
}
}
}
var orderState = new IBOrderState();
if (version >= 16) {
order.WhatIf = _enc.DecodeBool();
orderState.Status = _enc.DecodeEnum<IBOrderStatus>();
orderState.InitMargin = _enc.DecodeString();
orderState.MaintMargin = _enc.DecodeString();
orderState.EquityWithLoan = _enc.DecodeString();
orderState.Commission = _enc.DecodeDoubleMax();
orderState.MinCommission = _enc.DecodeDoubleMax();
orderState.MaxCommission = _enc.DecodeDoubleMax();
orderState.CommissionCurrency = _enc.DecodeString();
orderState.WarningText = _enc.DecodeString();
}
OnOpenOrder(order.OrderId, order, contract, orderState);
}
public FOrder()
{
this._orderBusiness = new BOrder();
}
public TWSOpenOrderEventArgs(TWSClient client, int orderId, IBOrder order, IBContract contract)
: base(client)
{
OrderId = orderId;
Order = order;
Contract = contract;
}
private void ProcessOpenOrder()
{
IBOrder order = new IBOrder();
// read version
int version = _enc.DecodeInt();
// read order id
order.OrderId = _enc.DecodeInt();
// read contract fields
IBContract contract = new IBContract();
contract.Symbol = _enc.DecodeString();
contract.SecType = _enc.DecodeSecType();
contract.Expiry = DateTime.ParseExact(_enc.DecodeString(), IB_EXPIRY_DATE_FORMAT, CultureInfo.InvariantCulture);
contract.Strike = _enc.DecodeDouble();
contract.Right = _enc.DecodeString();
contract.Exchange = _enc.DecodeString();
contract.Currency = _enc.DecodeString();
contract.LocalSymbol = (version >= 2) ? _enc.DecodeString() : null;
// read other order fields
order.Action = _enc.DecodeAction();
order.TotalQuantity = _enc.DecodeInt();
order.OrderType = _enc.DecodeOrderType();
order.LmtPrice = _enc.DecodeDouble();
order.AuxPrice = _enc.DecodeDouble();
order.Tif = _enc.DecodeTif();
order.OcaGroup = _enc.DecodeString();
order.Account = _enc.DecodeString();
order.OpenClose = _enc.DecodeString();
order.Origin = _enc.DecodeInt();
order.OrderRef = _enc.DecodeString();
if (version >= 3)
order.ClientId = _enc.DecodeInt();
if (version >= 4) {
order.PermId = _enc.DecodeInt();
order.IgnoreRth = _enc.DecodeInt() == 1;
order.Hidden = _enc.DecodeInt() == 1;
order.DiscretionaryAmt = _enc.DecodeDouble();
}
if (version >= 5)
order.GoodAfterTime = _enc.DecodeString();
if (version >= 6)
order.SharesAllocation = _enc.DecodeString();
if (version >= 7) {
order.FaGroup = _enc.DecodeString();
order.FaMethod = _enc.DecodeString();
order.FaPercentage = _enc.DecodeString();
order.FaProfile = _enc.DecodeString();
}
if (version >= 8)
order.GoodTillDate = _enc.DecodeString();
if (version >= 9) {
order.Rule80A = _enc.DecodeString();
order.PercentOffset = _enc.DecodeDouble();
order.SettlingFirm = _enc.DecodeString();
order.ShortSaleSlot = _enc.DecodeInt();
order.DesignatedLocation = _enc.DecodeString();
order.AuctionStrategy = _enc.DecodeInt();
order.StartingPrice = _enc.DecodeDouble();
order.StockRefPrice = _enc.DecodeDouble();
order.Delta = _enc.DecodeDouble();
order.StockRangeLower = _enc.DecodeDouble();
order.StockRangeUpper = _enc.DecodeDouble();
order.DisplaySize = _enc.DecodeInt();
order.RthOnly = _enc.DecodeBool();
order.BlockOrder = _enc.DecodeBool();
order.SweepToFill = _enc.DecodeBool();
order.AllOrNone = _enc.DecodeBool();
order.MinQty = _enc.DecodeInt();
order.OcaType = _enc.DecodeInt();
order.ETradeOnly = _enc.DecodeBool();
order.FirmQuoteOnly = _enc.DecodeBool();
order.NbboPriceCap = _enc.DecodeDouble();
}
if (version >= 10) {
order.ParentId = _enc.DecodeInt();
order.TriggerMethod = _enc.DecodeInt();
}
if (version >= 11) {
order.Volatility = _enc.DecodeDouble();
order.VolatilityType = _enc.DecodeInt();
if (version == 11) {
int receivedInt = _enc.DecodeInt();
order.DeltaNeutralOrderType = ((receivedInt == 0) ? IBOrderType.NONE : IBOrderType.MKT);
}
else {
// version 12 and up
order.DeltaNeutralOrderType = _enc.DecodeOrderType();
order.DeltaNeutralAuxPrice = _enc.DecodeDouble();
}
order.ContinuousUpdate = _enc.DecodeInt();
if (ServerInfo.Version == 26) {
order.StockRangeLower = _enc.DecodeDouble();
order.StockRangeUpper = _enc.DecodeDouble();
}
order.ReferencePriceType = _enc.DecodeInt();
}
if (version >= 13)
order.TrailStopPrice = _enc.DecodeDouble();
if (version >= 14)
{
order.BasisPoints = _enc.DecodeDouble();
order.BasisPointsType = _enc.DecodeInt();
contract.ComboLegsDescrip = _enc.DecodeString();
}
OnOpenOrder(order.OrderId, order, contract);
}
protected void OnOpenOrder(int orderId, IBOrder order, IBContract contract)
{
if (OpenOrder != null)
OpenOrder(this, new TWSOpenOrderEventArgs(this, orderId, order, contract));
}
public virtual int RequestPlaceOrder(IBContract contract, IBOrder order)
{
lock (this) {
if (!IsConnected) {
OnError(TWSErrors.NOT_CONNECTED);
return -1;
}
int reqVersion = 20;
int orderId = NextValidId;
try {
_enc.Encode(Messages.Server.PLACE_ORDER);
_enc.Encode(reqVersion);
_enc.Encode(orderId);
_enc.Encode(contract.Symbol);
_enc.Encode(contract.SecType.ToString());
_enc.Encode(contract.Expiry.ToString(IB_EXPIRY_DATE_FORMAT));
_enc.Encode(contract.Strike);
_enc.Encode(contract.Right);
if (ServerInfo.Version >= 15)
_enc.Encode(contract.Multiplier);
_enc.Encode(contract.Exchange);
if (ServerInfo.Version >= 14)
_enc.Encode(contract.PrimaryExch);
_enc.Encode(contract.Currency);
if (ServerInfo.Version >= 2)
_enc.Encode(contract.LocalSymbol);
_enc.Encode(order.Action);
_enc.Encode(order.TotalQuantity);
_enc.Encode(order.OrderType);
_enc.Encode(order.LmtPrice);
_enc.Encode(order.AuxPrice);
_enc.Encode(order.Tif);
_enc.Encode(order.OcaGroup);
_enc.Encode(order.Account);
_enc.Encode(order.OpenClose);
_enc.Encode(order.Origin);
_enc.Encode(order.OrderRef);
_enc.Encode(order.Transmit);
if (ServerInfo.Version >= 4)
_enc.Encode(order.ParentId);
if (ServerInfo.Version >= 5) {
_enc.Encode(order.BlockOrder);
_enc.Encode(order.SweepToFill);
_enc.Encode(order.DisplaySize);
_enc.Encode(order.TriggerMethod);
_enc.Encode(order.IgnoreRth);
}
if (ServerInfo.Version >= 7)
_enc.Encode(order.Hidden);
if ((ServerInfo.Version >= 8) && (contract.SecType == IBSecType.BAG)) {
_enc.Encode(contract.ComboLegs.Count);
foreach (IBComboLeg leg in contract.ComboLegs) {
_enc.Encode(leg.ConId);
_enc.Encode(leg.Ratio);
_enc.Encode(leg.Action);
_enc.Encode(leg.Exchange);
_enc.Encode(leg.OpenClose);
}
}
if (ServerInfo.Version >= 9)
_enc.Encode(order.SharesAllocation);
if (ServerInfo.Version >= 10)
_enc.Encode(order.DiscretionaryAmt);
if (ServerInfo.Version >= 11)
_enc.Encode(order.GoodAfterTime);
if (ServerInfo.Version >= 12)
_enc.Encode(order.GoodTillDate);
if (ServerInfo.Version >= 13) {
_enc.Encode(order.FaGroup);
_enc.Encode(order.FaMethod);
_enc.Encode(order.FaPercentage);
_enc.Encode(order.FaProfile);
}
if (ServerInfo.Version >= 18) {
_enc.Encode(order.ShortSaleSlot);
_enc.Encode(order.DesignatedLocation);
}
if (ServerInfo.Version >= 19) {
_enc.Encode(order.OcaType);
_enc.Encode(order.RthOnly);
_enc.Encode(order.Rule80A);
_enc.Encode(order.SettlingFirm);
_enc.Encode(order.AllOrNone);
_enc.EncodeMax(order.MinQty);
_enc.EncodeMax(order.PercentOffset);
_enc.Encode(order.ETradeOnly);
_enc.Encode(order.FirmQuoteOnly);
_enc.EncodeMax(order.NbboPriceCap);
_enc.EncodeMax(order.AuctionStrategy);
_enc.EncodeMax(order.StartingPrice);
_enc.EncodeMax(order.StockRefPrice);
_enc.EncodeMax(order.Delta);
double stockRangeLower = ((ServerInfo.Version == 26) && (order.OrderType == IBOrderType.VOL)) ?
Double.MaxValue : order.StockRangeLower;
double stockRangeUpper = ((ServerInfo.Version == 26) && (order.OrderType == IBOrderType.VOL)) ?
Double.MaxValue : order.StockRangeUpper;
this._enc.EncodeMax(stockRangeLower);
this._enc.EncodeMax(stockRangeUpper);
if (ServerInfo.Version >= 22) {
_enc.Encode(order.OverridePercentageConstraints);
}
if (ServerInfo.Version >= 26) {
_enc.EncodeMax(order.Volatility);
_enc.EncodeMax(order.VolatilityType);
if (ServerInfo.Version < 28) {
_enc.Encode(order.DeltaNeutralOrderType == IBOrderType.MKT);
}
else {
_enc.Encode(order.DeltaNeutralOrderType);
this._enc.EncodeMax(order.DeltaNeutralAuxPrice);
}
this._enc.Encode(order.ContinuousUpdate);
if (ServerInfo.Version == 26) {
if (order.OrderType == IBOrderType.VOL) {
_enc.EncodeMax(order.StockRangeLower);
_enc.EncodeMax(order.StockRangeUpper);
}
else {
_enc.EncodeMax(Double.MaxValue);
_enc.EncodeMax(Double.MaxValue);
}
}
_enc.EncodeMax(order.ReferencePriceType);
}
}
}
catch (Exception e) {
OnError(TWSErrors.FAIL_SEND_ORDER);
OnError(e.Message);
orderId = -1;
Disconnect();
}
_orderRecords.Add(orderId, new OrderRecord(order, contract));
return orderId;
}
}