/// <summary>
/// Parses a contract for future with malformed data.
/// Malformed data usually manifests itself by having "0" assigned to some values
/// we expect, like the contract's expiry date. The contract is returned by IB
/// like this, usually due to a high amount of data subscriptions that are active
/// in an account, surpassing IB's imposed limit. Read more about this here: https://interactivebrokers.github.io/tws-api/rtd_fqa_errors.html#rtd_common_errors_maxmktdata
///
/// We are provided a string in the Symbol in malformed contracts that can be
/// parsed to construct the clean contract, which is done by this method.
/// </summary>
/// <param name="malformedContract">Malformed contract (for futures), i.e. a contract with invalid values ("0") in some of its fields</param>
/// <param name="symbolPropertiesDatabase">The symbol properties database to use</param>
/// <returns>Clean Contract for the future</returns>
/// <remarks>
/// The malformed contract returns data similar to the following when calling <see cref="InteractiveBrokersBrokerage.GetContractDetails"/>: ES MAR2021
/// </remarks>
public Contract ParseMalformedContractFutureSymbol(Contract malformedContract, SymbolPropertiesDatabase symbolPropertiesDatabase)
{
Log.Trace($"InteractiveBrokersSymbolMapper.ParseMalformedContractFutureSymbol(): Parsing malformed contract: {InteractiveBrokersBrokerage.GetContractDescription(malformedContract)} with trading class: \"{malformedContract.TradingClass}\"");
// capture any character except spaces, match spaces, capture any char except digits, capture digits
var matches = Regex.Matches(malformedContract.Symbol, @"^(\S*)\s*(\D*)(\d*)");
var match = matches[0].Groups;
var contractSymbol = match[1].Value;
var contractMonthExpiration = DateTime.ParseExact(match[2].Value, "MMM", CultureInfo.CurrentCulture).Month;
var contractYearExpiration = match[3].Value;
var leanSymbol = GetLeanRootSymbol(contractSymbol);
string market;
if (!symbolPropertiesDatabase.TryGetMarket(leanSymbol, SecurityType.Future, out market))
{
market = InteractiveBrokersBrokerageModel.DefaultMarketMap[SecurityType.Future];
}
var canonicalSymbol = Symbol.Create(leanSymbol, SecurityType.Future, market);
var contractMonthYear = new DateTime(int.Parse(contractYearExpiration, CultureInfo.InvariantCulture), contractMonthExpiration, 1);
// we get the expiration date using the FuturesExpiryFunctions
var contractExpirationDate = FuturesExpiryFunctions.FuturesExpiryFunction(canonicalSymbol)(contractMonthYear);
return(new Contract
{
Symbol = contractSymbol,
Multiplier = malformedContract.Multiplier,
LastTradeDateOrContractMonth = $"{contractExpirationDate:yyyyMMdd}",
Exchange = malformedContract.Exchange,
SecType = malformedContract.SecType,
IncludeExpired = false,
Currency = malformedContract.Currency
});
}
/// <summary>
/// Parses a contract for options with malformed data.
/// Malformed data usually manifests itself by having "0" assigned to some values
/// we expect, like the contract's expiry date. The contract is returned by IB
/// like this, usually due to a high amount of data subscriptions that are active
/// in an account, surpassing IB's imposed limit. Read more about this here: https://interactivebrokers.github.io/tws-api/rtd_fqa_errors.html#rtd_common_errors_maxmktdata
///
/// We are provided a string in the Symbol in malformed contracts that can be
/// parsed to construct the clean contract, which is done by this method.
/// </summary>
/// <param name="malformedContract">Malformed contract (for options), i.e. a contract with invalid values ("0") in some of its fields</param>
/// <param name="exchange">Exchange that the contract's asset lives on/where orders will be routed through</param>
/// <returns>Clean Contract for the option</returns>
/// <remarks>
/// The malformed contract returns data similar to the following when calling <see cref="InteractiveBrokersBrokerage.GetContractDetails"/>:
/// OPT SPY JUN2021 350 P [SPY 210618P00350000 100] USD 0 0 0
///
/// ... which the contents inside [] follow the pattern:
///
/// [SYMBOL YY_MM_DD_OPTIONRIGHT_STRIKE(divide by 1000) MULTIPLIER]
/// </remarks>
public static Contract ParseMalformedContractOptionSymbol(Contract malformedContract, string exchange = "Smart")
{
Log.Trace($"InteractiveBrokersSymbolMapper.ParseMalformedContractOptionSymbol(): Parsing malformed contract: {InteractiveBrokersBrokerage.GetContractDescription(malformedContract)} with trading class: \"{malformedContract.TradingClass}\"");
// we search for the '[ ]' pattern, inside of it we: (capture any character except spaces, match spaces) -> 3 times
var matches = Regex.Matches(malformedContract.Symbol, @"^.*[\[](\S*)\s*(\S*)\s*(\S*)[\]]");
var match = matches[0].Groups;
var contractSymbol = match[1].Value;
var contractSpecification = match[2].Value;
var multiplier = match[3].Value;
var expiryDate = "20" + contractSpecification.Substring(0, 6);
var contractRight = contractSpecification[6] == 'C' ? IB.RightType.Call : IB.RightType.Put;
var contractStrike = long.Parse(contractSpecification.Substring(7), CultureInfo.InvariantCulture) / 1000.0;
return(new Contract
{
Symbol = contractSymbol,
Multiplier = multiplier,
LastTradeDateOrContractMonth = expiryDate,
Right = contractRight,
Strike = contractStrike,
Exchange = exchange,
SecType = malformedContract.SecType,
IncludeExpired = false,
Currency = malformedContract.Currency
});
}
/// <summary>
/// Parses a contract for options with malformed data.
/// Malformed data usually manifests itself by having "0" assigned to some values
/// we expect, like the contract's expiry date. The contract is returned by IB
/// like this, usually due to a high amount of data subscriptions that are active
/// in an account, surpassing IB's imposed limit. Read more about this here: https://interactivebrokers.github.io/tws-api/rtd_fqa_errors.html#rtd_common_errors_maxmktdata
///
/// We are provided a string in the Symbol in malformed contracts that can be
/// parsed to construct the clean contract, which is done by this method.
/// </summary>
/// <param name="malformedContract">Malformed contract (for options), i.e. a contract with invalid values ("0") in some of its fields</param>
/// <param name="exchange">Exchange that the contract's asset lives on/where orders will be routed through</param>
/// <returns>Clean Contract for the option</returns>
/// <remarks>
/// The malformed contract returns data similar to the following when calling <see cref="InteractiveBrokersBrokerage.GetContractDetails"/>:
/// OPT SPY JUN2021 350 P [SPY 210618P00350000 100] USD 0 0 0
///
/// ... which the contents inside [] follow the pattern:
///
/// [SYMBOL YY_MM_DD_OPTIONRIGHT_STRIKE(divide by 1000) MULTIPLIER]
/// </remarks>
public static Contract ParseMalformedContractOptionSymbol(Contract malformedContract, string exchange = "Smart")
{
Log.Trace($"InteractiveBrokersSymbolMapper.ParseMalformedContractOptionSymbol(): Parsing malformed contract: {InteractiveBrokersBrokerage.GetContractDescription(malformedContract)} with trading class: \"{malformedContract.TradingClass}\"");
var contractInfoSplit = malformedContract.Symbol.Substring(malformedContract.Symbol.IndexOf('['))
.Replace("[", "")
.Replace("]", "")
.Split(' ');
var contractSymbol = contractInfoSplit[0];
var contractSpecification = contractInfoSplit[1];
var multiplier = contractInfoSplit[2];
var expiryDate = "20" + contractSpecification.Substring(0, 6);
var contractRight = contractSpecification[6] == 'C' ? IB.RightType.Call : IB.RightType.Put;
var contractStrike = long.Parse(contractSpecification.Substring(7), CultureInfo.InvariantCulture) / 1000.0;
return(new Contract
{
Symbol = contractSymbol,
Multiplier = multiplier,
LastTradeDateOrContractMonth = expiryDate,
Right = contractRight,
Strike = contractStrike,
Exchange = exchange,
SecType = malformedContract.SecType,
IncludeExpired = false,
Currency = malformedContract.Currency
});
}