public void ClientSellsMarketOrder()
{
bool orderFilled = false;
var manualResetEvent = new ManualResetEvent(false);
var ib = new InteractiveBrokersBrokerage();
ib.Connect();
ib.OrderEvent += (sender, args) =>
{
orderFilled = true;
manualResetEvent.Set();
};
// sell a single share
var order = new Order("AAPL", SecurityType.Equity, -1, OrderType.Market, DateTime.UtcNow);
ib.PlaceOrder(order);
manualResetEvent.WaitOne(2500);
var orderFromIB = AssertOrderOpened(orderFilled, ib, order);
Assert.AreEqual(OrderType.Market, orderFromIB.Type);
}
public void InitializeBrokerage()
{
// grabs account info from configuration
var securityProvider = new SecurityProvider();
securityProvider[Symbols.USDJPY] = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.USDJPY,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
false,
false,
false
),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance
);
_interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(_orders), securityProvider);
_interactiveBrokersBrokerage.Connect();
}
public void FutureSubscriptions()
{
using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider(), new AggregationManager(), TestGlobals.MapFileProvider))
{
ib.Connect();
var gotEsData = false;
var gotHsiData = false;
var cancelationToken = new CancellationTokenSource();
var es = Symbols.CreateFuturesCanonicalSymbol("ES");
var firstEs = ib.LookupSymbols(es, includeExpired: false).First();
ProcessFeed(
ib.Subscribe(GetSubscriptionDataConfig <TradeBar>(firstEs, Resolution.Second), (s, e) => { gotEsData = true; }),
cancelationToken,
(tick) => Log(tick));
// non USD quote currency, HDK
var hsi = Symbols.CreateFuturesCanonicalSymbol("HSI");
var firstHsi = ib.LookupSymbols(hsi, includeExpired: false).First();
ProcessFeed(
ib.Subscribe(GetSubscriptionDataConfig <TradeBar>(firstHsi, Resolution.Second), (s, e) => { gotHsiData = true; }),
cancelationToken,
(tick) => Log(tick));
Thread.Sleep(2000);
cancelationToken.Cancel();
cancelationToken.Dispose();
Assert.IsTrue(gotEsData);
Assert.IsTrue(gotHsiData);
}
}
public void GetsTickData()
{
using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider(), new AggregationManager(), new LocalDiskMapFileProvider()))
{
ib.Connect();
var gotUsdData = false;
var gotEurData = false;
var cancelationToken = new CancellationTokenSource();
ProcessFeed(
ib.Subscribe(GetSubscriptionDataConfig <TradeBar>(Symbols.AAPL, Resolution.Second), (s, e) => { gotUsdData = true; }),
cancelationToken,
(tick) => Log(tick));
ProcessFeed(
ib.Subscribe(GetSubscriptionDataConfig <TradeBar>(Symbols.SPY, Resolution.Second), (s, e) => { gotEurData = true; }),
cancelationToken,
(tick) => Log(tick));
Thread.Sleep(2000);
cancelationToken.Cancel();
cancelationToken.Dispose();
Assert.IsTrue(gotUsdData);
Assert.IsTrue(gotEurData);
}
}
/// <summary>
/// Creates a new IBrokerage instance and set ups the environment for the brokerage
/// </summary>
/// <param name="job">The job packet to create the brokerage for</param>
/// <param name="algorithm">The algorithm instance</param>
/// <returns>A new brokerage instance</returns>
public override IBrokerage CreateBrokerage(LiveNodePacket job, IAlgorithm algorithm)
{
var errors = new List <string>();
// read values from the brokerage datas
var useTws = Config.GetBool("ib-use-tws");
var port = Config.GetInt("ib-port", 4001);
var host = Config.Get("ib-host", "127.0.0.1");
var twsDirectory = Config.Get("ib-tws-dir", "C:\\Jts");
var ibControllerDirectory = Config.Get("ib-controller-dir", "C:\\IBController");
var account = Read <string>(job.BrokerageData, "ib-account", errors);
var userID = Read <string>(job.BrokerageData, "ib-user-name", errors);
var password = Read <string>(job.BrokerageData, "ib-password", errors);
var agentDescription = Read <AgentDescription>(job.BrokerageData, "ib-agent-description", errors);
if (errors.Count != 0)
{
// if we had errors then we can't create the instance
throw new Exception(string.Join(Environment.NewLine, errors));
}
// launch the IB gateway
InteractiveBrokersGatewayRunner.Start(ibControllerDirectory, twsDirectory, userID, password, useTws);
var ib = new InteractiveBrokersBrokerage(algorithm.Transactions, algorithm.Portfolio, account, host, port, agentDescription);
Composer.Instance.AddPart <IDataQueueHandler>(ib);
return(ib);
}
public void GetsTickData()
{
InteractiveBrokersGatewayRunner.StartFromConfiguration();
var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider());
ib.Connect();
ib.Subscribe(null, new List <Symbol> {
Symbols.USDJPY, Symbols.EURGBP
});
Thread.Sleep(1000);
var gotUsdData = false;
var gotEurData = false;
for (int i = 0; i < 20; i++)
{
foreach (var tick in ib.GetNextTicks())
{
Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
gotUsdData |= tick.Symbol == Symbols.USDJPY;
gotEurData |= tick.Symbol == Symbols.EURGBP;
}
}
Assert.IsTrue(gotUsdData);
Assert.IsTrue(gotEurData);
InteractiveBrokersGatewayRunner.Stop();
}
public void InitializeBrokerage()
{
Log.LogHandler = new NUnitLogHandler();
// grabs account info from configuration
var securityProvider = new SecurityProvider();
securityProvider[Symbols.USDJPY] = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.USDJPY,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
false,
false,
false
),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
_interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(
new QCAlgorithm(),
new OrderProvider(_orders),
securityProvider,
new AggregationManager(),
TestGlobals.MapFileProvider);
_interactiveBrokersBrokerage.Connect();
}
private InteractiveBrokersBrokerage GetBrokerage()
{
// grabs account info from configuration
var securityProvider = new SecurityProvider();
securityProvider[Symbols.USDJPY] = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.USDJPY,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
false,
false,
false
),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var brokerage = new InteractiveBrokersBrokerage(
new QCAlgorithm(),
new OrderProvider(_orders),
securityProvider,
new AggregationManager());
brokerage.Connect();
return(brokerage);
}
public void ClientPlacesMarketOrder()
{
bool orderFilled = false;
var manualResetEvent = new ManualResetEvent(false);
var ib = new InteractiveBrokersBrokerage();
ib.Connect();
ib.Client.RequestOpenOrders();
ib.OrderEvent += (sender, args) =>
{
orderFilled = true;
manualResetEvent.Set();
};
const int buyQuantity = 1;
//ib.PlaceOrder(new Order("AAPL", SecurityType.Equity, buyQuantity, OrderType.Market, DateTime.Now));
var order = new Order("AAPL", SecurityType.Equity, buyQuantity, OrderType.Market, DateTime.Now);
ib.PlaceOrder(order);
manualResetEvent.WaitOne(2500);
var orderFromIB = AssertOrderOpened(orderFilled, ib, order);
Assert.AreEqual(OrderType.Market, orderFromIB.Type);
}
public void ClientCancelsLimitOrder()
{
OrderStatus status = OrderStatus.New;
var manualResetEvent = new ManualResetEvent(false);
var ib = new InteractiveBrokersBrokerage();
ib.Connect();
ib.OrderEvent += (sender, args) =>
{
status = args.Status;
manualResetEvent.Set();
};
// try to sell a single share at a ridiculous price, we'll cancel this later
var order = new Order("AAPL", SecurityType.Equity, -1, OrderType.Limit, DateTime.UtcNow, 100000);
ib.PlaceOrder(order);
manualResetEvent.WaitOne(2500);
ib.CancelOrder(order);
manualResetEvent.Reset();
manualResetEvent.WaitOne(2500);
Assert.AreEqual(OrderStatus.Canceled, status);
}
public void GetsTickData()
{
InteractiveBrokersGatewayRunner.StartFromConfiguration();
var ib = new InteractiveBrokersBrokerage(new OrderProvider());
ib.Connect();
ib.Subscribe(null, new Dictionary <SecurityType, List <string> >
{
{ SecurityType.Forex, new List <string> {
"USDJPY", "EURGBP"
} }
});
Thread.Sleep(1000);
for (int i = 0; i < 10; i++)
{
foreach (var tick in ib.GetNextTicks())
{
Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
}
}
InteractiveBrokersGatewayRunner.Stop();
}
public void InitializeBrokerage()
{
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-controller-dir"),
Config.Get("ib-tws-dir"),
Config.Get("ib-user-name"),
Config.Get("ib-password"),
Config.Get("ib-trading-mode"),
Config.GetBool("ib-use-tws")
);
// grabs account info from configuration
var securityProvider = new SecurityProvider();
securityProvider[Symbols.USDJPY] = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.USDJPY,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
false,
false,
false
),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance
);
_interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(_orders), securityProvider);
_interactiveBrokersBrokerage.Connect();
}
/// <summary>
/// Initializes a new instance of the <see cref="IBDataDownloader"/> class
/// </summary>
public IBDataDownloader()
{
var mapFileProvider = Composer.Instance.GetExportedValueByTypeName <IMapFileProvider>(
Config.Get("map-file-provider", "LocalDiskMapFileProvider"));
_brokerage = new InteractiveBrokersBrokerage(null, null, null, null, mapFileProvider);
_brokerage.Connect();
}
public void InitializeBrokerage()
{
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-account"));
// grabs account info from configuration
_interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new OrderMapping(_orders));
_interactiveBrokersBrokerage.Connect();
}
public void ClientPlacesStopLimitOrder()
{
bool orderFilled = false;
var manualResetEvent = new ManualResetEvent(false);
var ib = new InteractiveBrokersBrokerage();
ib.Connect();
decimal aapl = 100m;
decimal delta = 85.0m; // if we can't get a price then make the delta huge
ib.OrderEvent += (sender, args) =>
{
orderFilled = true;
aapl = args.FillPrice;
delta = 0.02m;
manualResetEvent.Set();
};
// get the current market price, couldn't get RequestMarketData to fire tick events
int id = 0;
ib.PlaceOrder(new Order("AAPL", SecurityType.Equity, 1, OrderType.Market, DateTime.UtcNow)
{
Id = ++id
});
manualResetEvent.WaitOne(2000);
manualResetEvent.Reset();
Assert.IsTrue(orderFilled);
orderFilled = false;
// make a box around the current price +- a little
const int quantity = 1;
var order = new Order("AAPL", SecurityType.Equity, +quantity, OrderType.StopMarket, DateTime.Now, aapl - delta)
{
Id = ++id
};
ib.PlaceOrder(order);
ib.PlaceOrder(new Order("AAPL", SecurityType.Equity, -quantity, OrderType.StopMarket, DateTime.Now, aapl + delta)
{
Id = ++id
});
manualResetEvent.WaitOne(1000);
var orderFromIB = AssertOrderOpened(orderFilled, ib, order);
Assert.AreEqual(OrderType.StopMarket, orderFromIB.Type);
}
public void CreateExpectedFutureContractsWithDifferentCurrencies()
{
using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider(), new AggregationManager(), TestGlobals.MapFileProvider))
{
ib.Connect();
Assert.IsTrue(ib.IsConnected);
var tickersByMarket = new Dictionary <string, string[]>
{
{
Market.HKFE,
new[]
{
"HSI"
}
},
{
Market.CME,
new[]
{
"ACD",
"AJY",
"ANE"
}
},
{
Market.CBOT,
new[]
{
"ZC"
}
}
};
foreach (var kvp in tickersByMarket)
{
var market = kvp.Key;
var tickers = kvp.Value;
foreach (var ticker in tickers)
{
var currentSymbol = Symbol.Create(ticker, SecurityType.Future, market);
var symbolsFound = ib.LookupSymbols(currentSymbol, false);
Assert.IsNotEmpty(symbolsFound);
foreach (var symbol in symbolsFound)
{
Log.Trace($"Symbol found in IB: {symbol}");
}
}
}
}
}
public void InitializeBrokerage()
{
_factory = new InteractiveBrokersBrokerageFactory();
// grabs account info from configuration
var job = new LiveNodePacket()
{
BrokerageData = _factory.BrokerageData
};
_interactiveBrokersBrokerage = (InteractiveBrokersBrokerage)_factory.CreateBrokerage(job, InteractiveBrokersBrokerageFactoryTests.AlgorithmDependency);
_interactiveBrokersBrokerage.Connect();
}
public void InitializeBrokerage()
{
InteractiveBrokersGatewayRunner.Start(Config.Get("ib-controller-dir"),
Config.Get("ib-tws-dir"),
Config.Get("ib-user-name"),
Config.Get("ib-password"),
Config.GetBool("ib-use-tws")
);
// grabs account info from configuration
_interactiveBrokersBrokerage = new InteractiveBrokersBrokerage(new OrderProvider(_orders));
_interactiveBrokersBrokerage.Connect();
}
private static Order AssertOrderOpened(bool orderFilled, InteractiveBrokersBrokerage ib, Order order)
{
// if the order didn't fill check for it as an open order
if (!orderFilled)
{
// find the right order and return it
foreach (var openOrder in ib.GetOpenOrders())
{
if (openOrder.BrokerId.Any(id => order.BrokerId.Any(x => x == id)))
{
return(openOrder);
}
}
Assert.Fail("The order was not filled and was unable to be located via GetOpenOrders()");
}
Assert.Pass("The order was successfully filled!");
return(null);
}
public void GetsTickDataAfterDisconnectionConnectionCycle()
{
using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider()))
{
ib.Connect();
ib.Subscribe(null, new List <Symbol> {
Symbols.USDJPY, Symbols.EURGBP
});
ib.Disconnect();
Thread.Sleep(2000);
for (var i = 0; i < 20; i++)
{
foreach (var tick in ib.GetNextTicks()) // we need to make sure we consumer the already sent data, if any
{
Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
}
}
ib.Connect();
Thread.Sleep(2000);
var gotUsdData = false;
var gotEurData = false;
for (var i = 0; i < 20; i++)
{
foreach (var tick in ib.GetNextTicks())
{
Console.WriteLine("{0}: {1} - {2} @ {3}", tick.Time, tick.Symbol, tick.Price, ((Tick)tick).Quantity);
gotUsdData |= tick.Symbol == Symbols.USDJPY;
gotEurData |= tick.Symbol == Symbols.EURGBP;
}
}
Assert.IsTrue(gotUsdData);
Assert.IsTrue(gotEurData);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="IBDataDownloader"/> class
/// </summary>
public IBDataDownloader()
{
_brokerage = new InteractiveBrokersBrokerage(null, null, null, null);
_brokerage.Connect();
}
public void Teardown()
{
try
{ // give the tear down a header so we can easily find it in the logs
Log.Trace("-----");
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Starting teardown...");
Log.Trace("-----");
var canceledResetEvent = new ManualResetEvent(false);
var filledResetEvent = new ManualResetEvent(false);
_interactiveBrokersBrokerage.OrderStatusChanged += (sender, orderEvent) =>
{
if (orderEvent.Status == OrderStatus.Filled)
{
filledResetEvent.Set();
}
if (orderEvent.Status == OrderStatus.Canceled)
{
canceledResetEvent.Set();
}
};
// cancel all open orders
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Canceling open orders...");
var orders = _interactiveBrokersBrokerage.GetOpenOrders();
foreach (var order in orders)
{
_interactiveBrokersBrokerage.CancelOrder(order);
canceledResetEvent.WaitOne(3000);
canceledResetEvent.Reset();
}
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Liquidating open positions...");
// liquidate all positions
var holdings = _interactiveBrokersBrokerage.GetAccountHoldings();
foreach (var holding in holdings.Where(x => x.Quantity != 0))
{
//var liquidate = new MarketOrder(holding.Symbol, (int) -holding.Quantity, DateTime.UtcNow, type: holding.Type);
//_interactiveBrokersBrokerage.PlaceOrder(liquidate);
//filledResetEvent.WaitOne(3000);
//filledResetEvent.Reset();
}
var openOrdersText = _interactiveBrokersBrokerage.GetOpenOrders().Select(x => x.Symbol.ToString() + " " + x.Quantity);
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Open orders: " + string.Join(", ", openOrdersText));
//Assert.AreEqual(0, actualOpenOrderCount, "Failed to verify that there are zero open orders.");
var holdingsText = _interactiveBrokersBrokerage.GetAccountHoldings().Where(x => x.Quantity != 0).Select(x => x.Symbol.ToString() + " " + x.Quantity);
Log.Trace("InteractiveBrokersBrokerageTests.Teardown(): Account holdings: " + string.Join(", ", holdingsText));
//Assert.AreEqual(0, holdingsCount, "Failed to verify that there are zero account holdings.");
_interactiveBrokersBrokerage.Dispose();
_interactiveBrokersBrokerage = null;
_orders.Clear();
}
finally
{
InteractiveBrokersGatewayRunner.Stop();
}
}
public void ClientConnects()
{
var ib = new InteractiveBrokersBrokerage();
ib.Connect();
}
/// <summary>
/// Downloads the financial advisor configuration
/// </summary>
/// <param name="client">The IB client</param>
/// <returns>true if successfully completed</returns>
public bool Load(InteractiveBrokersClient client)
{
var faResetEvent = new AutoResetEvent(false);
var xmlGroups = string.Empty;
var xmlProfiles = string.Empty;
var xmlAliases = string.Empty;
EventHandler <ReceiveFaEventArgs> handler = (sender, e) =>
{
switch (e.FaDataType)
{
case Constants.FaAliases:
xmlAliases = e.FaXmlData;
break;
case Constants.FaGroups:
xmlGroups = e.FaXmlData;
break;
case Constants.FaProfiles:
xmlProfiles = e.FaXmlData;
break;
}
faResetEvent.Set();
};
client.ReceiveFa += handler;
// request FA Aliases
Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): requesting FA Aliases");
client.ClientSocket.requestFA(Constants.FaAliases);
if (!faResetEvent.WaitOne(2000))
{
Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): Download FA Aliases failed. Operation took longer than 2 seconds.");
return(false);
}
// request FA Groups
Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): requesting FA Groups");
client.ClientSocket.requestFA(Constants.FaGroups);
if (!faResetEvent.WaitOne(2000))
{
Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): Download FA Groups failed. Operation took longer than 2 seconds.");
return(false);
}
// request FA Profiles
Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): requesting FA Profiles");
client.ClientSocket.requestFA(Constants.FaProfiles);
if (!faResetEvent.WaitOne(2000))
{
Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): Download FA Profiles failed. Operation took longer than 2 seconds.");
return(false);
}
client.ReceiveFa -= handler;
// load FA configuration
var serializer = new XmlSerializer(typeof(List <AccountAlias>), new XmlRootAttribute("ListOfAccountAliases"));
using (var stringReader = new StringReader(xmlAliases))
{
_accountAliases = (List <AccountAlias>)serializer.Deserialize(stringReader);
Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): FA Aliases found: " + _accountAliases.Count);
}
serializer = new XmlSerializer(typeof(List <Group>), new XmlRootAttribute("ListOfGroups"));
using (var stringReader = new StringReader(xmlGroups))
{
_accountGroups = (List <Group>)serializer.Deserialize(stringReader);
Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): FA Groups found: " + _accountGroups.Count);
}
serializer = new XmlSerializer(typeof(List <AllocationProfile>), new XmlRootAttribute("ListOfAllocationProfiles"));
using (var stringReader = new StringReader(xmlProfiles))
{
_allocationProfiles = (List <AllocationProfile>)serializer.Deserialize(stringReader);
Log.Trace("InteractiveBrokersBrokerage.DownloadFinancialAdvisorConfiguration(): FA Profiles found: " + _allocationProfiles.Count);
}
// save the master account code
var entry = _accountAliases.FirstOrDefault(x => InteractiveBrokersBrokerage.IsMasterAccount(x.Account));
if (entry == null)
{
throw new Exception("The Financial Advisor master account was not found.");
}
MasterAccount = entry.Account;
return(true);
}
public void CreatesExpectedFuturesContracts()
{
var symbolMapper = new InteractiveBrokersSymbolMapper();
using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider(), new AggregationManager()))
{
ib.Connect();
Assert.IsTrue(ib.IsConnected);
var ibMarkets = new Dictionary <string, string>
{
{ Market.CME, "GLOBEX" },
{ Market.NYMEX, "NYMEX" },
{ Market.COMEX, "NYMEX" },
{ Market.CBOT, "ECBOT" },
{ Market.ICE, "NYBOT" },
{ Market.CBOE, "CFE" }
};
var tickersByMarket = new Dictionary <string, string[]>
{
{
Market.CBOE,
new[]
{
"VX"
}
},
{
Market.CBOT,
new[]
{
"AW",
//"BCF",
//"BWF",
"EH",
"F1U",
"KE",
"TN",
"UB",
"YM",
"ZB",
"ZC",
"ZF",
"ZL",
"ZM",
"ZN",
"ZO",
"ZS",
"ZT",
"ZW",
}
},
{
Market.CME,
new[]
{
"6A",
"6B",
"6C",
"6E",
"6J",
"6L",
"6M",
"6N",
"6R",
"6S",
"6Z",
//"ACD",
//"AJY",
//"ANE",
"BIO",
"BTC",
"CB",
//"CJY",
//"CNH",
"CSC",
//"DC",
"DY",
"E7",
//"EAD",
//"ECD",
//"EI",
"EMD",
"ES",
//"ESK",
"GD",
"GDK",
"GE",
"GF",
//"GNF",
"HE",
//"IBV",
"J7",
//"LBS",
"LE",
"NKD",
"NQ",
"RTY",
}
},
{
Market.COMEX,
new[]
{
//"AUP",
//"EDP",
"GC",
"HG",
"SI",
}
},
{
Market.ICE,
new[]
{
"B",
"CC",
"CT",
"DX",
"G",
"KC",
"OJ",
"SB",
}
},
{
Market.NYMEX,
new[]
{
//"1S",
//"22",
//"A0D",
//"A0F",
//"A1L",
//"A1M",
//"A1R",
//"A32",
//"A3G",
//"A7E",
//"A7I",
//"A7Q",
//"A8J",
//"A8K",
//"A8O",
//"A91",
//"A9N",
//"AA6",
//"AA8",
//"ABS",
"ABT",
//"AC0",
//"AD0",
//"ADB",
//"AE5",
//"AGA",
//"AJL",
//"AJS",
//"AKL",
//"AKZ",
//"APS",
//"AR0",
"ARE",
//"AVZ",
//"AYV",
//"AYX",
//"AZ1",
//"B0",
//"B7H",
"BK",
//"BOO",
//"BR7",
"BZ",
"CL",
//"CRB",
//"CSW",
"CSX",
//"CU",
//"D1N",
//"DCB",
//"E6",
//"EN",
//"EPN",
//"EVC",
"EWG",
//"EWN",
"EXR",
//"FO",
"FRC",
//"FSS",
//"GCU",
//"HCL",
"HH",
"HO",
"HP",
"HRC",
//"HTT",
"NG",
"PA",
"PL",
"RB",
//"YO",
}
}
};
foreach (var kvp in tickersByMarket)
{
var market = kvp.Key;
var tickers = kvp.Value;
foreach (var ticker in tickers)
{
var contract = new Contract
{
Symbol = symbolMapper.GetBrokerageRootSymbol(ticker),
Currency = Currencies.USD,
Exchange = null,
SecType = "FUT"
};
Log.Trace($"Market: {market} - Future Ticker: {ticker}");
var results = ib.FindContracts(contract, contract.Symbol);
foreach (var contractDetails in results.Where(x => ibMarkets.Values.Contains(x.Contract.Exchange)))
{
var message = $" - ContractDetails: {contractDetails.Contract} {contractDetails.ContractMonth}";
Log.Trace(message);
Assert.AreEqual(ibMarkets[market], contractDetails.Contract.Exchange, message);
}
}
}
}
}