/// <summary>
/// Creates a new InteractiveBrokersBrokerage from the specified values
/// </summary>
/// <param name="orderMapping">An instance of IOrderIDMapping used to fetch Order objects by brokerage ID</param>
/// <param name="account">The Interactive Brokers account name</param>
/// <param name="host">host name or IP address of the machine where TWS is running. Leave blank to connect to the local host.</param>
/// <param name="port">must match the port specified in TWS on the Configure>API>Socket Port field.</param>
/// <param name="agentDescription">Used for Rule 80A describes the type of trader.</param>
public InteractiveBrokersBrokerage(IOrderIDMapping orderMapping, string account, string host, int port, IB.AgentDescription agentDescription = IB.AgentDescription.Individual)
: base("Interactive Brokers Brokerage")
{
_orderMapping = orderMapping;
_account = account;
_host = host;
_port = port;
_clientID = IncrementClientID();
_agentDescription = agentDescription;
_client = new IB.IBClient();
// set up event handlers
_client.UpdatePortfolio += HandlePortfolioUpdates;
_client.OrderStatus += HandleOrderStatusUpdates;
_client.UpdateAccountValue += HandleUpdateAccountValue;
_client.Error += HandleError;
// we need to wait until we receive the next valid id from the server
_client.NextValidId += (sender, e) =>
{
// only grab this id when we initialize, and we'll manually increment it here to avoid threading issues
if (_nextValidID == 0)
{
_nextValidID = e.OrderId;
_waitForNextValidID.Set();
}
Log.Trace("InteractiveBrokersBrokerage.HandleNextValidID(): " + e.OrderId);
};
}
/// <summary>
/// Gets the execution details matching the filter
/// </summary>
/// <returns>A list of executions matching the filter</returns>
public List <IB.ExecDetailsEventArgs> GetExecutions(string symbol, IB.SecurityType?type, string exchange, DateTime?timeSince, IB.ActionSide?side)
{
var filter = new IB.ExecutionFilter
{
AcctCode = _account,
ClientId = _clientID,
Exchange = exchange,
SecurityType = type ?? IB.SecurityType.Undefined,
Symbol = symbol,
Time = timeSince ?? DateTime.MinValue,
Side = side ?? IB.ActionSide.Undefined
};
var details = new List <IB.ExecDetailsEventArgs>();
using (var client = new IB.IBClient())
{
client.Connect(_host, _port, IncrementClientID());
var manualResetEvent = new ManualResetEvent(false);
int requestID = GetNextRequestID();
// define our event handlers
EventHandler <IB.ExecutionDataEndEventArgs> clientOnExecutionDataEnd = (sender, args) =>
{
if (args.RequestId == requestID)
{
manualResetEvent.Set();
}
};
EventHandler <IB.ExecDetailsEventArgs> clientOnExecDetails = (sender, args) =>
{
if (args.RequestId == requestID)
{
details.Add(args);
}
};
client.ExecDetails += clientOnExecDetails;
client.ExecutionDataEnd += clientOnExecutionDataEnd;
// no need to be fancy with request id since that's all this client does is 1 request
client.RequestExecutions(requestID, filter);
if (!manualResetEvent.WaitOne(5000))
{
throw new TimeoutException("InteractiveBrokersBrokerage.GetExecutions(): Operation took longer than 1 second.");
}
// remove our event handlers
client.ExecDetails -= clientOnExecDetails;
client.ExecutionDataEnd -= clientOnExecutionDataEnd;
}
return(details);
}
/// <summary>
/// Creates a new InteractiveBrokersBrokerage from the specified values
/// </summary>
/// <param name="account">The Interactive Brokers account name</param>
/// <param name="host">host name or IP address of the machine where TWS is running. Leave blank to connect to the local host.</param>
/// <param name="port">must match the port specified in TWS on the Configure>API>Socket Port field.</param>
/// <param name="agentDescription">Used for Rule 80A describes the type of trader.</param>
public InteractiveBrokersBrokerage(string account, string host, int port, IB.AgentDescription agentDescription = IB.AgentDescription.Individual)
: base("Interactive Brokers Brokerage")
{
_account = account;
_host = host;
_port = port;
_clientID = Interlocked.Increment(ref _nextClientID);
_agentDescription = agentDescription;
_client = new IB.IBClient();
}
/// <summary>
/// Gets the execution details matching the filter
/// </summary>
/// <returns>A list of executions matching the filter</returns>
public List<IB.ExecDetailsEventArgs> GetExecutions(string symbol, IB.SecurityType? type, string exchange, DateTime? timeSince, IB.ActionSide? side)
{
var filter = new IB.ExecutionFilter
{
AcctCode = _account,
ClientId = _clientID,
Exchange = exchange,
SecurityType = type ?? IB.SecurityType.Undefined,
Symbol = symbol,
Time = timeSince ?? DateTime.MinValue,
Side = side ?? IB.ActionSide.Undefined
};
var details = new List<IB.ExecDetailsEventArgs>();
using (var client = new IB.IBClient())
{
client.Connect(_host, _port, IncrementClientID());
var manualResetEvent = new ManualResetEvent(false);
int requestID = GetNextRequestID();
// define our event handlers
EventHandler<IB.ExecutionDataEndEventArgs> clientOnExecutionDataEnd = (sender, args) =>
{
if (args.RequestId == requestID) manualResetEvent.Set();
};
EventHandler<IB.ExecDetailsEventArgs> clientOnExecDetails = (sender, args) =>
{
if (args.RequestId == requestID) details.Add(args);
};
client.ExecDetails += clientOnExecDetails;
client.ExecutionDataEnd += clientOnExecutionDataEnd;
// no need to be fancy with request id since that's all this client does is 1 request
client.RequestExecutions(requestID, filter);
if (!manualResetEvent.WaitOne(5000))
{
throw new TimeoutException("InteractiveBrokersBrokerage.GetExecutions(): Operation took longer than 1 second.");
}
// remove our event handlers
client.ExecDetails -= clientOnExecDetails;
client.ExecutionDataEnd -= clientOnExecutionDataEnd;
}
return details;
}
/// <summary>
/// Creates a new InteractiveBrokersBrokerage from the specified values
/// </summary>
/// <param name="orderProvider">An instance of IOrderProvider used to fetch Order objects by brokerage ID</param>
/// <param name="securityProvider">The security provider used to give access to algorithm securities</param>
/// <param name="account">The Interactive Brokers account name</param>
/// <param name="host">host name or IP address of the machine where TWS is running. Leave blank to connect to the local host.</param>
/// <param name="port">must match the port specified in TWS on the Configure>API>Socket Port field.</param>
/// <param name="agentDescription">Used for Rule 80A describes the type of trader.</param>
public InteractiveBrokersBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider, string account, string host, int port, IB.AgentDescription agentDescription = IB.AgentDescription.Individual)
: base("Interactive Brokers Brokerage")
{
_orderProvider = orderProvider;
_securityProvider = securityProvider;
_account = account;
_host = host;
_port = port;
_clientID = IncrementClientID();
_agentDescription = agentDescription;
_client = new IB.IBClient();
// set up event handlers
_client.UpdatePortfolio += HandlePortfolioUpdates;
_client.OrderStatus += HandleOrderStatusUpdates;
_client.UpdateAccountValue += HandleUpdateAccountValue;
_client.Error += HandleError;
_client.TickPrice += HandleTickPrice;
_client.TickSize += HandleTickSize;
_client.CurrentTime += HandleBrokerTime;
// we need to wait until we receive the next valid id from the server
_client.NextValidId += (sender, e) =>
{
// only grab this id when we initialize, and we'll manually increment it here to avoid threading issues
if (_nextValidID == 0)
{
_nextValidID = e.OrderId;
_waitForNextValidID.Set();
}
Log.Trace("InteractiveBrokersBrokerage.HandleNextValidID(): " + e.OrderId);
};
}
/// <summary>
/// Creates a new InteractiveBrokersBrokerage from the specified values
/// </summary>
/// <param name="account">The Interactive Brokers account name</param>
/// <param name="host">host name or IP address of the machine where TWS is running. Leave blank to connect to the local host.</param>
/// <param name="port">must match the port specified in TWS on the Configure>API>Socket Port field.</param>
/// <param name="agentDescription">Used for Rule 80A describes the type of trader.</param>
public InteractiveBrokersBrokerage(string account, string host, int port, IB.AgentDescription agentDescription = IB.AgentDescription.Individual)
: base("Interactive Brokers Brokerage")
{
_account = account;
_host = host;
_port = port;
_clientID = Interlocked.Increment(ref _nextClientID);
_agentDescription = agentDescription;
_client = new IB.IBClient();
}