//Constructor
public IBBrokerManager(RiskFilter r)
{
riskFilter = r;
tickerIdsToProduct = new Dictionary<int, FlexTrade.Product>();
openOrders = new Dictionary<int, Krs.Ats.IBNet.Order>();
orderInputQueue = new List<Krs.Ats.IBNet.Order>();
openOrderContracts = new Dictionary<int, Krs.Ats.IBNet.Contract>();
ordersOrgFormat = new Dictionary<int, FlexTrade.Order>();
//The interface with Interactive Brokers is a singleton. We do this to control the message
//flow. Having multiple client connections may be better for performance and should be
//explored in the future.
if (ibClient == null)
{
//Create the IB Client which is the main interface for interactining the broker system
log.Info("Creating new IB Client object");
ibClient = new IBClient();
//We need to be listening for all of the events coming back from IB. This class will
//catch all of the messages and exceptions for this broker so that other classes
//don't need to be concerned with broker specific issues.
ibClient.ThrowExceptions = true;
ibClient.TickPrice += new EventHandler<TickPriceEventArgs>(priceChangeTick);
ibClient.TickSize += new EventHandler<TickSizeEventArgs>(sizeChangeTick);
ibClient.Error += new EventHandler<ErrorEventArgs>(errorReceived);
ibClient.NextValidId += new EventHandler<NextValidIdEventArgs>(nextValidId);
ibClient.ExecDetails += new EventHandler<ExecDetailsEventArgs>(fillReceived);
ibClient.OpenOrder += new EventHandler<OpenOrderEventArgs>(openOrder);
}
}
private void GetMarginUtilisation(RiskEntityItem riskEntity)
{
// Create a new MarginUtilisationQuery
muq = new MarginUtilisationQuery(null);
// Create a new filter for the query
// Please note that all the risk queries use the same filter
RiskFilter filter = new RiskFilter();
// MarginUtilisation query filter requires an entity that should have beed
// retrieved via the MarginUtilisation RiskEntityQuery.
filter.AddFilterCriteria(RiskFilter.FilterBy.RiskEntity,
riskEntity);
// Provide a query handler and start the query.
muq.QueryResponse += muq_QueryResponse;
muq.Start(filter);
}
public UnacceptableRiskException(RiskFilter s, List<String> m)
{
sender = s;
riskFilterMessages = m;
}
