/**
* @brief Starts a subscription to market scan results based on the provided parameters.
* @param reqId the request's identifier
* @param subscription summary of the scanner subscription including its filters.
* @sa reqScannerParameters, ScannerSubscription, EWrapper::scannerData
*/
public void reqScannerSubscription(int reqId, ScannerSubscription subscription)
{
if (!CheckConnection())
return;
const int VERSION = 3;
List<byte> paramsList = new List<byte>();
paramsList.AddParameter(OutgoingMessages.RequestScannerSubscription);
paramsList.AddParameter(VERSION);
paramsList.AddParameter(reqId);
paramsList.AddParameterMax(subscription.NumberOfRows);
paramsList.AddParameter(subscription.Instrument);
paramsList.AddParameter(subscription.LocationCode);
paramsList.AddParameter(subscription.ScanCode);
paramsList.AddParameterMax(subscription.AbovePrice);
paramsList.AddParameterMax(subscription.BelowPrice);
paramsList.AddParameterMax(subscription.AboveVolume);
paramsList.AddParameterMax(subscription.MarketCapAbove);
paramsList.AddParameterMax(subscription.MarketCapBelow);
paramsList.AddParameter(subscription.MoodyRatingAbove);
paramsList.AddParameter(subscription.MoodyRatingBelow);
paramsList.AddParameter(subscription.SpRatingAbove);
paramsList.AddParameter(subscription.SpRatingBelow);
paramsList.AddParameter(subscription.MaturityDateAbove);
paramsList.AddParameter(subscription.MaturityDateBelow);
paramsList.AddParameterMax(subscription.CouponRateAbove);
paramsList.AddParameterMax(subscription.CouponRateBelow);
paramsList.AddParameter(subscription.ExcludeConvertible);
if (serverVersion >= 25)
{
paramsList.AddParameterMax(subscription.AverageOptionVolumeAbove);
paramsList.AddParameter(subscription.ScannerSettingPairs);
}
if (serverVersion >= 27)
{
paramsList.AddParameter(subscription.StockTypeFilter);
}
Send(paramsList, EClientErrors.FAIL_SEND_REQSCANNER);
}
/**
* @brief Places an order
* @param id the order's unique identifier. Use a sequential id starting with the id received at the nextValidId method.
* @param contract the order's contract
* @param order the order
* @sa nextValidId, reqAllOpenOrders, reqAutoOpenOrders, reqOpenOrders, cancelOrder, reqGlobalCancel, EWrapper::openOrder, EWrapper::orderStatus, Order, Contract
*/
public void placeOrder(int id, Contract contract, Order order)
{
if (!CheckConnection())
return;
if (!VerifyOrder(order, id, StringsAreEqual(Constants.BagSecType, contract.SecType)))
return;
if (!VerifyOrderContract(contract, id))
return;
int MsgVersion = (serverVersion < MinServerVer.NOT_HELD ) ? 27 : 41;
List<byte> paramsList = new List<byte>();
paramsList.AddParameter(OutgoingMessages.PlaceOrder);
paramsList.AddParameter(MsgVersion);
paramsList.AddParameter(id);
if (serverVersion >= MinServerVer.PLACE_ORDER_CONID)
{
paramsList.AddParameter(contract.ConId);
}
paramsList.AddParameter(contract.Symbol);
paramsList.AddParameter(contract.SecType);
paramsList.AddParameter(contract.Expiry);
paramsList.AddParameter(contract.Strike);
paramsList.AddParameter(contract.Right);
if (serverVersion >= 15)
{
paramsList.AddParameter(contract.Multiplier);
}
paramsList.AddParameter(contract.Exchange);
if (serverVersion >= 14)
{
paramsList.AddParameter(contract.PrimaryExch);
}
paramsList.AddParameter(contract.Currency);
if (serverVersion >= 2)
{
paramsList.AddParameter(contract.LocalSymbol);
}
if (serverVersion >= MinServerVer.TRADING_CLASS)
{
paramsList.AddParameter(contract.TradingClass);
}
if (serverVersion >= MinServerVer.SEC_ID_TYPE)
{
paramsList.AddParameter(contract.SecIdType);
paramsList.AddParameter(contract.SecId);
}
// paramsList.AddParameter main order fields
paramsList.AddParameter(order.Action);
paramsList.AddParameter(order.TotalQuantity);
paramsList.AddParameter(order.OrderType);
if (serverVersion < MinServerVer.ORDER_COMBO_LEGS_PRICE)
{
paramsList.AddParameter(order.LmtPrice == Double.MaxValue ? 0 : order.LmtPrice);
}
else
{
paramsList.AddParameterMax(order.LmtPrice);
}
if (serverVersion < MinServerVer.TRAILING_PERCENT)
{
paramsList.AddParameter(order.AuxPrice == Double.MaxValue ? 0 : order.AuxPrice);
}
else
{
paramsList.AddParameterMax(order.AuxPrice);
}
// paramsList.AddParameter extended order fields
paramsList.AddParameter(order.Tif);
paramsList.AddParameter(order.OcaGroup);
paramsList.AddParameter(order.Account);
paramsList.AddParameter(order.OpenClose);
paramsList.AddParameter(order.Origin);
paramsList.AddParameter(order.OrderRef);
paramsList.AddParameter(order.Transmit);
if (serverVersion >= 4)
{
paramsList.AddParameter(order.ParentId);
}
if (serverVersion >= 5)
{
paramsList.AddParameter(order.BlockOrder);
paramsList.AddParameter(order.SweepToFill);
paramsList.AddParameter(order.DisplaySize);
paramsList.AddParameter(order.TriggerMethod);
if (serverVersion < 38)
{
// will never happen
paramsList.AddParameter(/* order.ignoreRth */ false);
}
else
{
paramsList.AddParameter(order.OutsideRth);
}
}
if (serverVersion >= 7)
{
paramsList.AddParameter(order.Hidden);
}
// paramsList.AddParameter combo legs for BAG requests
bool isBag = StringsAreEqual(Constants.BagSecType, contract.SecType);
if (serverVersion >= 8 && isBag)
{
if (contract.ComboLegs == null)
{
paramsList.AddParameter(0);
}
else
{
paramsList.AddParameter(contract.ComboLegs.Count);
ComboLeg comboLeg;
for (int i = 0; i < contract.ComboLegs.Count; i++)
{
comboLeg = (ComboLeg)contract.ComboLegs[i];
paramsList.AddParameter(comboLeg.ConId);
paramsList.AddParameter(comboLeg.Ratio);
paramsList.AddParameter(comboLeg.Action);
paramsList.AddParameter(comboLeg.Exchange);
paramsList.AddParameter(comboLeg.OpenClose);
if (serverVersion >= MinServerVer.SSHORT_COMBO_LEGS)
{
paramsList.AddParameter(comboLeg.ShortSaleSlot);
paramsList.AddParameter(comboLeg.DesignatedLocation);
}
if (serverVersion >= MinServerVer.SSHORTX_OLD)
{
paramsList.AddParameter(comboLeg.ExemptCode);
}
}
}
}
// add order combo legs for BAG requests
if (serverVersion >= MinServerVer.ORDER_COMBO_LEGS_PRICE && isBag)
{
if (order.OrderComboLegs == null)
{
paramsList.AddParameter(0);
}
else
{
paramsList.AddParameter(order.OrderComboLegs.Count);
for (int i = 0; i < order.OrderComboLegs.Count; i++)
{
OrderComboLeg orderComboLeg = order.OrderComboLegs[i];
paramsList.AddParameterMax(orderComboLeg.price);
}
}
}
if (serverVersion >= MinServerVer.SMART_COMBO_ROUTING_PARAMS && isBag)
{
List<TagValue> smartComboRoutingParams = order.SmartComboRoutingParams;
int smartComboRoutingParamsCount = smartComboRoutingParams == null ? 0 : smartComboRoutingParams.Count;
paramsList.AddParameter(smartComboRoutingParamsCount);
if (smartComboRoutingParamsCount > 0)
{
for (int i = 0; i < smartComboRoutingParamsCount; ++i)
{
TagValue tagValue = smartComboRoutingParams[i];
paramsList.AddParameter(tagValue.Tag);
paramsList.AddParameter(tagValue.Value);
}
}
}
if (serverVersion >= 9)
{
// paramsList.AddParameter deprecated sharesAllocation field
paramsList.AddParameter("");
}
if (serverVersion >= 10)
{
paramsList.AddParameter(order.DiscretionaryAmt);
}
if (serverVersion >= 11)
{
paramsList.AddParameter(order.GoodAfterTime);
}
if (serverVersion >= 12)
{
paramsList.AddParameter(order.GoodTillDate);
}
if (serverVersion >= 13)
{
paramsList.AddParameter(order.FaGroup);
paramsList.AddParameter(order.FaMethod);
paramsList.AddParameter(order.FaPercentage);
paramsList.AddParameter(order.FaProfile);
}
if (serverVersion >= 18)
{ // institutional short sale slot fields.
paramsList.AddParameter(order.ShortSaleSlot); // 0 only for retail, 1 or 2 only for institution.
paramsList.AddParameter(order.DesignatedLocation); // only populate when order.shortSaleSlot = 2.
}
if (serverVersion >= MinServerVer.SSHORTX_OLD)
{
paramsList.AddParameter(order.ExemptCode);
}
if (serverVersion >= 19)
{
paramsList.AddParameter(order.OcaType);
if (serverVersion < 38)
{
// will never happen
paramsList.AddParameter( /* order.rthOnly */ false);
}
paramsList.AddParameter(order.Rule80A);
paramsList.AddParameter(order.SettlingFirm);
paramsList.AddParameter(order.AllOrNone);
paramsList.AddParameterMax(order.MinQty);
paramsList.AddParameterMax(order.PercentOffset);
paramsList.AddParameter(order.ETradeOnly);
paramsList.AddParameter(order.FirmQuoteOnly);
paramsList.AddParameterMax(order.NbboPriceCap);
paramsList.AddParameterMax(order.AuctionStrategy);
paramsList.AddParameterMax(order.StartingPrice);
paramsList.AddParameterMax(order.StockRefPrice);
paramsList.AddParameterMax(order.Delta);
// Volatility orders had specific watermark price attribs in server version 26
double lower = (serverVersion == 26 && order.OrderType.Equals("VOL"))
? Double.MaxValue
: order.StockRangeLower;
double upper = (serverVersion == 26 && order.OrderType.Equals("VOL"))
? Double.MaxValue
: order.StockRangeUpper;
paramsList.AddParameterMax(lower);
paramsList.AddParameterMax(upper);
}
if (serverVersion >= 22)
{
paramsList.AddParameter(order.OverridePercentageConstraints);
}
if (serverVersion >= 26)
{ // Volatility orders
paramsList.AddParameterMax(order.Volatility);
paramsList.AddParameterMax(order.VolatilityType);
if (serverVersion < 28)
{
bool isDeltaNeutralTypeMKT = (String.Compare("MKT", order.DeltaNeutralOrderType, true) == 0);
paramsList.AddParameter(isDeltaNeutralTypeMKT);
}
else
{
paramsList.AddParameter(order.DeltaNeutralOrderType);
paramsList.AddParameterMax(order.DeltaNeutralAuxPrice);
if (serverVersion >= MinServerVer.DELTA_NEUTRAL_CONID && !IsEmpty(order.DeltaNeutralOrderType))
{
paramsList.AddParameter(order.DeltaNeutralConId);
paramsList.AddParameter(order.DeltaNeutralSettlingFirm);
paramsList.AddParameter(order.DeltaNeutralClearingAccount);
paramsList.AddParameter(order.DeltaNeutralClearingIntent);
}
if (serverVersion >= MinServerVer.DELTA_NEUTRAL_OPEN_CLOSE && !IsEmpty(order.DeltaNeutralOrderType))
{
paramsList.AddParameter(order.DeltaNeutralOpenClose);
paramsList.AddParameter(order.DeltaNeutralShortSale);
paramsList.AddParameter(order.DeltaNeutralShortSaleSlot);
paramsList.AddParameter(order.DeltaNeutralDesignatedLocation);
}
}
paramsList.AddParameter(order.ContinuousUpdate);
if (serverVersion == 26)
{
// Volatility orders had specific watermark price attribs in server version 26
double lower = order.OrderType.Equals("VOL") ? order.StockRangeLower : Double.MaxValue;
double upper = order.OrderType.Equals("VOL") ? order.StockRangeUpper : Double.MaxValue;
paramsList.AddParameterMax(lower);
paramsList.AddParameterMax(upper);
}
paramsList.AddParameterMax(order.ReferencePriceType);
}
if (serverVersion >= 30)
{ // TRAIL_STOP_LIMIT stop price
paramsList.AddParameterMax(order.TrailStopPrice);
}
if (serverVersion >= MinServerVer.TRAILING_PERCENT)
{
paramsList.AddParameterMax(order.TrailingPercent);
}
if (serverVersion >= MinServerVer.SCALE_ORDERS)
{
if (serverVersion >= MinServerVer.SCALE_ORDERS2)
{
paramsList.AddParameterMax(order.ScaleInitLevelSize);
paramsList.AddParameterMax(order.ScaleSubsLevelSize);
}
else
{
paramsList.AddParameter("");
paramsList.AddParameterMax(order.ScaleInitLevelSize);
}
paramsList.AddParameterMax(order.ScalePriceIncrement);
}
if (serverVersion >= MinServerVer.SCALE_ORDERS3 && order.ScalePriceIncrement > 0.0 && order.ScalePriceIncrement != Double.MaxValue)
{
paramsList.AddParameterMax(order.ScalePriceAdjustValue);
paramsList.AddParameterMax(order.ScalePriceAdjustInterval);
paramsList.AddParameterMax(order.ScaleProfitOffset);
paramsList.AddParameter(order.ScaleAutoReset);
paramsList.AddParameterMax(order.ScaleInitPosition);
paramsList.AddParameterMax(order.ScaleInitFillQty);
paramsList.AddParameter(order.ScaleRandomPercent);
}
if (serverVersion >= MinServerVer.SCALE_TABLE)
{
paramsList.AddParameter(order.ScaleTable);
paramsList.AddParameter(order.ActiveStartTime);
paramsList.AddParameter(order.ActiveStopTime);
}
if (serverVersion >= MinServerVer.HEDGE_ORDERS)
{
paramsList.AddParameter(order.HedgeType);
if (!IsEmpty(order.HedgeType))
{
paramsList.AddParameter(order.HedgeParam);
}
}
if (serverVersion >= MinServerVer.OPT_OUT_SMART_ROUTING)
{
paramsList.AddParameter(order.OptOutSmartRouting);
}
if (serverVersion >= MinServerVer.PTA_ORDERS)
{
paramsList.AddParameter(order.ClearingAccount);
paramsList.AddParameter(order.ClearingIntent);
}
if (serverVersion >= MinServerVer.NOT_HELD)
{
paramsList.AddParameter(order.NotHeld);
}
if (serverVersion >= MinServerVer.UNDER_COMP)
{
if (contract.UnderComp != null)
{
UnderComp underComp = contract.UnderComp;
paramsList.AddParameter(true);
paramsList.AddParameter(underComp.ConId);
paramsList.AddParameter(underComp.Delta);
paramsList.AddParameter(underComp.Price);
}
else
{
paramsList.AddParameter(false);
}
}
if (serverVersion >= MinServerVer.ALGO_ORDERS)
{
paramsList.AddParameter(order.AlgoStrategy);
if (!IsEmpty(order.AlgoStrategy))
{
List<TagValue> algoParams = order.AlgoParams;
int algoParamsCount = algoParams == null ? 0 : algoParams.Count;
paramsList.AddParameter(algoParamsCount);
if (algoParamsCount > 0)
{
for (int i = 0; i < algoParamsCount; ++i)
{
TagValue tagValue = (TagValue)algoParams[i];
paramsList.AddParameter(tagValue.Tag);
paramsList.AddParameter(tagValue.Value);
}
}
}
}
if (serverVersion >= MinServerVer.WHAT_IF_ORDERS)
{
paramsList.AddParameter(order.WhatIf);
}
Send(id, paramsList, EClientErrors.FAIL_SEND_ORDER);
}
/// <summary>
/// Starts a subscription to market scan results based on the provided parameters.
/// </summary>
/// <param name="reqId">The request's identifier.</param>
/// <param name="subscription">Summary of the scanner subscription including its filters.</param>
/// <param name="scannerSubscriptionOptions"></param>
public void ReqScannerSubscription(int reqId, ScannerSubscription subscription, List<TagValue> scannerSubscriptionOptions)
{
CheckConnection();
const int VERSION = 4;
List<byte> paramsList = new List<byte>();
paramsList.AddParameter(OutgoingMessages.RequestScannerSubscription);
paramsList.AddParameter(VERSION);
paramsList.AddParameter(reqId);
paramsList.AddParameterMax(subscription.NumberOfRows);
paramsList.AddParameter(subscription.Instrument);
paramsList.AddParameter(subscription.LocationCode);
paramsList.AddParameter(subscription.ScanCode);
paramsList.AddParameterMax(subscription.AbovePrice);
paramsList.AddParameterMax(subscription.BelowPrice);
paramsList.AddParameterMax(subscription.AboveVolume);
paramsList.AddParameterMax(subscription.MarketCapAbove);
paramsList.AddParameterMax(subscription.MarketCapBelow);
paramsList.AddParameter(subscription.MoodyRatingAbove);
paramsList.AddParameter(subscription.MoodyRatingBelow);
paramsList.AddParameter(subscription.SpRatingAbove);
paramsList.AddParameter(subscription.SpRatingBelow);
paramsList.AddParameter(subscription.MaturityDateAbove);
paramsList.AddParameter(subscription.MaturityDateBelow);
paramsList.AddParameterMax(subscription.CouponRateAbove);
paramsList.AddParameterMax(subscription.CouponRateBelow);
paramsList.AddParameter(subscription.ExcludeConvertible);
if (ibClientConnection.ServerVersion >= 25)
{
paramsList.AddParameterMax(subscription.AverageOptionVolumeAbove);
paramsList.AddParameter(subscription.ScannerSettingPairs);
}
if (ibClientConnection.ServerVersion >= 27)
{
paramsList.AddParameter(subscription.StockTypeFilter);
}
if (ibClientConnection.ServerVersion >= MinServerVer.LINKING)
{
//int tagValuesCount = scannerSubscriptionOptions == null ? 0 : scannerSubscriptionOptions.Count;
//paramsList.AddParameter(tagValuesCount);
paramsList.AddParameter(TagValueListToString(scannerSubscriptionOptions));
}
ibClientConnection.IbWriter.Send(paramsList, EClientErrors.FAIL_SEND_REQSCANNER);
}