public static IBSocket SendIf(this IBSocket socket, ServerVersions minVersion, Action<IBSocket> handler)
{
if (handler == null)
throw new ArgumentNullException("handler");
if (socket.ServerVersion >= minVersion)
handler(socket);
return socket;
}
public static IBSocket SendIf(this IBSocket socket, ServerVersions minVersion, Action <IBSocket> handler)
{
if (handler == null)
{
throw new ArgumentNullException(nameof(handler));
}
if (socket.ServerVersion >= minVersion)
{
handler(socket);
}
return(socket);
}
public static Server ToServer(NetworkServer server)
{
return(new Server()
{
adsp = server.adsp,
bv = server.bv,
HostName = server.ServerName,
InstanceName = server.InstanceName,
IsClustered = server.IsClustered,
NamedPipe = server.np,
NamedPipeEnabled = server.np.HasValue(),
rpc = server.rpc,
spx = server.spx,
TCPPort = ushort.TryParse(server.tcp, out ushort port) ? port : null,
Type = Server.ServerType.Network,
Version = ServerVersions.GetKnownVersion(server.Version),
VersionString = server.Version,
via = server.via
});
private void ProcessRequest(RequestMessages message, ServerVersions minServerVersion, ServerVersions version, Action<IBSocket> handler)
{
if (handler == null)
throw new ArgumentNullException("handler");
var socket = Session;
if (minServerVersion > socket.ServerVersion)
{
throw new ArgumentException(LocalizedStrings.Str2512Params
.Put((int)minServerVersion, (int)socket.ServerVersion));
}
socket
.Send((int)message)
.Send((int)version);
handler(socket);
}
private void ProcessRequest(RequestMessages message, ServerVersions minServerVersion, ServerVersions version, Action <IBSocket> handler)
{
if (handler == null)
{
throw new ArgumentNullException("handler");
}
var socket = Session;
if (minServerVersion > socket.ServerVersion)
{
throw new ArgumentException(LocalizedStrings.Str2512Params
.Put((int)minServerVersion, (int)socket.ServerVersion));
}
socket
.Send((int)message)
.Send((int)version);
handler(socket);
}
private bool ProcessTransactionResponse(IBSocket socket, ResponseMessages message, ServerVersions version)
{
switch (message)
{
case ResponseMessages.OrderStatus:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/orderstatus.htm
ReadOrderStatus(socket, version);
return true;
}
case ResponseMessages.Portfolio:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updateaccountvalue.htm
ReadPortfolio(socket, version);
return true;
}
case ResponseMessages.PortfolioPosition:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updateportfolio.htm
ReadPortfolioPosition(socket, version);
return true;
}
case ResponseMessages.PortfolioUpdateTime:
{
ReadPortfolioUpdateTime(socket);
return true;
}
case ResponseMessages.OpenOrder:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/openorder.htm
ReadOpenOrder(socket, version);
return true;
}
case ResponseMessages.NextOrderId:
{
ReadNextOrderId(socket);
return true;
}
case ResponseMessages.MyTrade:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/execdetails.htm
ReadMyTrade(socket, version);
return true;
}
case ResponseMessages.ManagedAccounts:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/managedaccounts.htm
ReadManagedAccounts(socket);
return true;
}
case ResponseMessages.OpenOrderEnd:
{
//openOrderEnd(socket);
return true;
}
case ResponseMessages.AccountDownloadEnd:
{
ReadPortfolioName(socket);
return true;
}
case ResponseMessages.MyTradeEnd:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/execdetailsend.htm
ReadMyTradeEnd(socket);
return true;
}
case ResponseMessages.CommissionReport:
{
ReadCommissionReport(socket);
return true;
}
case ResponseMessages.Position:
{
ReadPosition(socket, version);
return true;
}
case ResponseMessages.PositionEnd:
{
ReadPositionEnd(socket);
return true;
}
case ResponseMessages.AccountSummary:
{
ReadAccountSummary(socket);
return true;
}
case ResponseMessages.AccountSummaryEnd:
{
ReadAccountSummaryEnd(socket);
return true;
}
default:
return false;
}
}
private void ReadPosition(IBSocket socket, ServerVersions version)
{
var account = socket.ReadStr();
var contractId = socket.ReadInt();
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = socket.ReadMultiplier();
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var secCode = socket.ReadLocalCode(secName);
var secClass = (version >= ServerVersions.V2) ? socket.ReadStr() : null;
var pos = socket.ReadDecimal();
var avgCost = 0m;
if (version >= ServerVersions.V3)
avgCost = socket.ReadDecimal();
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
SendOutMessage(this
.CreatePositionChangeMessage(account, secId)
.Add(PositionChangeTypes.CurrentValue, pos)
.Add(PositionChangeTypes.AveragePrice, avgCost));
}
private void ReadMyTrade(IBSocket socket, ServerVersions version)
{
/* requestId */
if (version >= ServerVersions.V7)
socket.ReadInt();
// http://www.interactivebrokers.com/en/software/api/apiguide/java/execution.htm
var transactionId = socket.ReadInt();
//Handle the 2^31-1 == 0 bug
if (transactionId == int.MaxValue)
transactionId = 0;
//Read Contract Fields
var contractId = version >= ServerVersions.V5 ? socket.ReadInt() : -1;
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V9 ? socket.ReadMultiplier() : null;
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var secCode = socket.ReadLocalCode(secName);
var secClass = (version >= ServerVersions.V10) ? socket.ReadStr() : null;
var tradeId = socket.ReadStr();
var time = socket.ReadDateTime("yyyyMMdd HH:mm:ss");
var portfolio = socket.ReadStr();
/* exchange */
socket.ReadStr();
var side = socket.ReadTradeSide();
var volume = socket.ReadDecimal();
var price = socket.ReadDecimal();
var permId = version >= ServerVersions.V2 ? socket.ReadInt() : (int?)null;
var clientId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
var liquidation = version >= ServerVersions.V4 ? socket.ReadInt() : (int?)null;
var cumulativeQuantity = version >= ServerVersions.V6 ? socket.ReadInt() : (int?)null;
var averagePrice = version >= ServerVersions.V6 ? socket.ReadDecimal() : (decimal?)null;
var orderRef = version >= ServerVersions.V8 ? socket.ReadStr() : null;
var evRule = version >= ServerVersions.V9 ? socket.ReadStr() : null;
var evMultiplier = version >= ServerVersions.V9 ? socket.ReadDecimal() : (decimal?)null;
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
// заявка была создана руками
if (transactionId == 0)
return;
_secIdByTradeIds[tradeId] = secId;
var execMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = transactionId,
TradeStringId = tradeId,
OriginSide = side,
TradePrice = price,
TradeVolume = volume,
PortfolioName = portfolio,
ServerTime = time,
SecurityId = secId,
HasTradeInfo = true,
};
if (permId != null)
execMsg.SetPermId(permId.Value);
if (clientId != null)
execMsg.SetClientId(clientId.Value);
if (liquidation != null)
execMsg.SetLiquidation(liquidation.Value);
if (cumulativeQuantity != null)
execMsg.SetCumulativeQuantity(cumulativeQuantity.Value);
if (averagePrice != null)
execMsg.SetAveragePrice(averagePrice.Value);
if (orderRef != null)
execMsg.SetOrderRef(orderRef);
if (evRule != null)
execMsg.SetEvRule(evRule);
if (evMultiplier != null)
execMsg.SetEvMultiplier(evMultiplier.Value);
SendOutMessage(execMsg);
}
private static void initializeVersions()
{
versions = new ServerVersions();
versions.AddVersion(new ServerVersion0_3_0());
versions.AddVersion(new ServerVersion0_4_0_CTP1());
versions.AddVersion(new ServerVersion0_4_0_CTP2());
versions.AddVersion(new ServerVersion0_4_0_CTP3());
}
private void ReadPortfolioPosition(IBSocket socket, ServerVersions version)
{
var contractId = version >= ServerVersions.V6 ? socket.ReadInt() : -1;
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V7 ? socket.ReadMultiplier() : null;
var boardCode = version >= ServerVersions.V7 ? socket.ReadBoardCode() : null;
var currency = socket.ReadCurrency();
var secCode = (version >= ServerVersions.V2) ? socket.ReadStr() : secName;
var secClass = (version >= ServerVersions.V8) ? socket.ReadStr() : null;
var position = socket.ReadDecimal();
var marketPrice = socket.ReadDecimal();
var marketValue = socket.ReadDecimal();
var averagePrice = 0m;
var unrealizedPnL = 0m;
var realizedPnL = 0m;
if (version >= ServerVersions.V3)
{
averagePrice = socket.ReadDecimal();
unrealizedPnL = socket.ReadDecimal();
realizedPnL = socket.ReadDecimal();
}
var portfolio = version >= ServerVersions.V4 ? socket.ReadStr() : null;
if (version == ServerVersions.V6 && socket.ServerVersion == ServerVersions.V39)
boardCode = socket.ReadBoardCode();
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass
});
if (portfolio.IsEmpty())
return;
SendOutMessage(
this
.CreatePositionChangeMessage(portfolio, secId)
.Add(PositionChangeTypes.CurrentValue, position)
.Add(PositionChangeTypes.CurrentPrice, marketPrice)
.Add(PositionChangeTypes.AveragePrice, averagePrice)
.Add(PositionChangeTypes.UnrealizedPnL, unrealizedPnL)
.Add(PositionChangeTypes.RealizedPnL, realizedPnL));
// TODO
//pos.SetMarketValue(marketValue);
}
private bool ProcessMarketDataResponse(IBSocket socket, ResponseMessages message, ServerVersions version)
{
switch (message)
{
case ResponseMessages.TickPrice:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickprice.htm
ReadTickPrice(socket, version);
return true;
}
case ResponseMessages.TickVolume:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/ticksize.htm
ReadTickVolume(socket);
return true;
}
case ResponseMessages.TickOptionComputation:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickoptioncomputation.htm
ReadTickOptionComputation(socket, version);
return true;
}
case ResponseMessages.TickGeneric:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickgeneric.htm
ReadTickGeneric(socket);
return true;
}
case ResponseMessages.TickString:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickstring.htm
ReadTickString(socket);
return true;
}
case ResponseMessages.TickEfp:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/tickefp.htm
ReadTickEfp(socket);
return true;
}
case ResponseMessages.ScannerData:
{
ReadScannerData(socket, version);
return true;
}
case ResponseMessages.SecurityInfo:
{
ReadSecurityInfo(socket, version);
return true;
}
case ResponseMessages.BondInfo:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/bondcontractdetails.htm
ReadBondInfo(socket, version);
return true;
}
case ResponseMessages.MarketDepth:
case ResponseMessages.MarketDepthL2:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updatemktdepth.htm
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updatemktdepthl2.htm
ReadMarketDepth(socket, message);
return true;
}
case ResponseMessages.NewsBulletins:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/updatenewsbulletin.htm
ReadNewsBulletins(socket);
return true;
}
case ResponseMessages.FinancialAdvice:
{
ReadFinancialAdvice(socket);
return true;
}
case ResponseMessages.HistoricalData:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/historicaldata.htm
ReadHistoricalData(socket, version);
return true;
}
case ResponseMessages.ScannerParameters:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/scannerparameters.htm
ReadScannerParameters(socket);
return true;
}
case ResponseMessages.RealTimeBars:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/realtimebar.htm
ReadRealTimeBars(socket);
return true;
}
case ResponseMessages.FundamentalData:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/fundamentaldata.htm
ReadFundamentalData(socket);
return true;
}
case ResponseMessages.SecurityInfoEnd:
{
ReadSecurityInfoEnd(socket);
return true;
}
case ResponseMessages.DeltaNuetralValidation:
{
ReadDeltaNuetralValidation(socket);
return true;
}
case ResponseMessages.TickSnapshotEnd:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/ticksnapshotend.htm
ReadTickSnapshotEnd(socket);
return true;
}
case ResponseMessages.MarketDataType:
{
// http://www.interactivebrokers.com/en/software/api/apiguide/java/marketdatatype.htm
ReadMarketDataType(socket);
return true;
}
default:
return false;
}
}
private void ReadHistoricalData(IBSocket socket, ServerVersions version)
{
var requestId = socket.ReadInt();
if (version >= ServerVersions.V2)
{
//Read Start Date String
/*String startDateStr = */
socket.ReadStr();
/*String endDateStr = */
socket.ReadStr();
//completedIndicator += ("-" + startDateStr + "-" + endDateStr);
}
var secId = GetSecurityId(requestId);
var itemCount = socket.ReadInt();
for (var i = 0; i < itemCount; i++)
{
//Comes in as seconds
//2 - dates are returned as a long integer specifying the number of seconds since 1/1/1970 GMT.
var time = socket.ReadLongDateTime();
var open = socket.ReadDecimal();
var high = socket.ReadDecimal();
var low = socket.ReadDecimal();
var close = socket.ReadDecimal();
var volume = socket.ReadInt();
var wap = socket.ReadDecimal();
/* hasGaps */
socket.ReadStr().To<bool>();
var barCount = -1;
if (version >= ServerVersions.V3)
barCount = socket.ReadInt();
SendOutMessage(new TimeFrameCandleMessage
{
OpenPrice = open,
HighPrice = high,
LowPrice = low,
ClosePrice = close,
TotalVolume = volume,
OpenTime = time,
TotalTicks = barCount,
SecurityId = secId,
OriginalTransactionId = requestId,
State = CandleStates.Finished,
IsFinished = i == (itemCount - 1)
});
}
}
private void ReadBondInfo(IBSocket socket, ServerVersions version)
{
var requestId = version >= ServerVersions.V3 ? socket.ReadInt() : -1;
var secCode = socket.ReadStr();
var type = socket.ReadSecurityType();
var cusip = socket.ReadStr();
var coupon = socket.ReadDecimal();
var maturity = socket.ReadStr();
var issueDate = socket.ReadStr();
var ratings = socket.ReadStr();
var bondType = socket.ReadStr();
var couponType = socket.ReadStr();
var convertible = socket.ReadBool();
var callable = socket.ReadBool();
var putable = socket.ReadBool();
var description = socket.ReadStr();
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var marketName = socket.ReadStr();
var secClass = socket.ReadStr();
var contractId = socket.ReadInt();
var priceStep = socket.ReadDecimal();
var orderTypes = socket.ReadStr();
var validExchanges = socket.ReadStr();
var nextOptionDate = version >= ServerVersions.V2 ? socket.ReadStr() : null;
var nextOptionType = version >= ServerVersions.V2 ? socket.ReadStr() : null;
var nextOptionPartial = version >= ServerVersions.V2 ? socket.ReadBool() : (bool?)null;
var notes = version >= ServerVersions.V2 ? socket.ReadStr() : null;
var name = version >= ServerVersions.V4 ? socket.ReadStr() : null;
var evRule = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var evMultiplier = version >= ServerVersions.V6 ? socket.ReadDecimal() : (decimal?)null;
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
if (version >= ServerVersions.V5)
socket.ReadSecurityId(secId);
var secMsg = new SecurityMessage
{
SecurityId = secId,
//Name = secName,
SecurityType = type,
Currency = currency,
Class = secClass,
PriceStep = priceStep,
};
secMsg.SetMarketName(marketName);
secMsg.SetOrderTypes(orderTypes);
secMsg.SetValidExchanges(validExchanges);
// TODO
//s.SetBondCusip(cusip);
//s.SetCoupon(coupon);
//s.SetMaturity(maturity);
//s.SetIssueDate(issueDate);
//s.SetRatings(ratings);
//s.SetBondType(bondType);
//s.SetCouponType(couponType);
//s.SetConvertible(convertible);
//s.SetCallable(callable);
//s.SetPutable(putable);
//s.SetDescription(description);
//if (nextOptionDate != null)
// s.SetNextOptionDate(nextOptionDate);
//if (nextOptionType != null)
// s.SetNextOptionType(nextOptionType);
//if (nextOptionPartial != null)
// s.SetNextOptionPartial(nextOptionPartial.Value);
//if (notes != null)
// s.SetNotes(notes);
if (evRule != null)
secMsg.SetEvRule(evRule);
if (evMultiplier != null)
secMsg.SetEvMultiplier(evMultiplier.Value);
SendOutMessage(secMsg);
}
private void ReadSecurityInfo(IBSocket socket, ServerVersions version)
{
var requestId = version >= ServerVersions.V3 ? socket.ReadInt() : -1;
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var secCode = version >= ServerVersions.V2 ? socket.ReadLocalCode(secName) : null;
var marketName = socket.ReadStr();
var secClass = socket.ReadStr();
var contractId = socket.ReadInt();
var priceStep = socket.ReadDecimal();
var multiplier = socket.ReadMultiplier();
var orderTypes = socket.ReadStr();
var validExchanges = socket.ReadStr();
var priceMagnifier = version >= ServerVersions.V2 ? socket.ReadInt() : (int?)null;
var underlyingSecurityNativeId = version >= ServerVersions.V4 ? socket.ReadInt() : (int?)null;
var name = version >= ServerVersions.V4 ? socket.ReadStr() : null;
var routingExchange = version >= ServerVersions.V4 ? socket.ReadBoardCode() : null;
var contractMonth = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var industry = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var category = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var subCategory = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var timeZoneId = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var tradingHours = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var liquidHours = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var evRule = version >= ServerVersions.V8 ? socket.ReadStr() : null;
var evMultiplier = version >= ServerVersions.V8 ? socket.ReadDecimal() : (decimal?)null;
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
if (version >= ServerVersions.V7)
socket.ReadSecurityId(secId);
var secMsg = new SecurityMessage
{
SecurityId = secId,
Name = secName,
SecurityType = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Currency = currency,
Multiplier = multiplier ?? 0,
Class = secClass,
OriginalTransactionId = requestId,
PriceStep = priceStep,
};
secMsg.SetMarketName(marketName);
secMsg.SetOrderTypes(orderTypes);
secMsg.SetValidExchanges(validExchanges);
if (priceMagnifier != null)
secMsg.SetPriceMagnifier(priceMagnifier.Value);
if (!routingExchange.IsEmpty())
secMsg.SetRoutingBoard(routingExchange);
if (contractMonth != null)
secMsg.SetContractMonth(contractMonth);
if (industry != null)
secMsg.SetIndustry(industry);
if (category != null)
secMsg.SetCategory(category);
if (subCategory != null)
secMsg.SetSubCategory(subCategory);
if (timeZoneId != null)
secMsg.SetTimeZoneId(timeZoneId);
if (tradingHours != null)
secMsg.SetTradingHours(tradingHours);
if (liquidHours != null)
secMsg.SetLiquidHours(liquidHours);
if (evRule != null)
secMsg.SetEvRule(evRule);
if (evMultiplier != null)
secMsg.SetEvMultiplier(evMultiplier.Value);
// TODO
//if (underlyingSecurityNativeId != null)
// ProcessSecurityAction(null, SecurityIdGenerator.GenerateId(underlyingSecurityNativeId.Value.To<string>(), exchangeBoard), underSec => security.UnderlyingSecurityId = underSec.Id);
SendOutMessage(secMsg);
}
private void ReadScannerData(IBSocket socket, ServerVersions version)
{
var requestId = socket.ReadInt();
var count = socket.ReadInt();
var tmp = Enumerable
.Range(0, count)
.Select(s =>
{
var rank = socket.ReadInt();
var contractId = version >= ServerVersions.V3 ? socket.ReadInt() : -1;
var secName = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
var secCode = socket.ReadLocalCode(secName);
var marketName = socket.ReadStr();
var secClass = socket.ReadStr();
var distance = socket.ReadStr();
var benchmark = socket.ReadStr();
var projection = socket.ReadStr();
var legs = version >= ServerVersions.V2 ? socket.ReadStr() : null;
return new
{
Rank = rank,
ContractId = contractId,
SecName = secName,
SecCode = secCode,
Type = type,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
BoardCode = boardCode,
Currency = currency,
MarketName = marketName,
SecClass = secClass,
Distance = distance,
Benchmark = benchmark,
Projection = projection,
Legs = legs,
};
})
.ToArray();
var results = tmp.Select(t =>
{
var secId = new SecurityId
{
SecurityCode = t.SecCode,
BoardCode = GetBoardCode(t.BoardCode),
InteractiveBrokers = t.ContractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = t.SecName,
SecurityType = t.Type,
ExpiryDate = t.ExpiryDate,
Strike = t.Strike,
OptionType = t.OptionType,
Currency = t.Currency,
Class = t.SecClass
});
var result = new ScannerResult
{
Rank = t.Rank,
SecurityId = secId,
Distance = t.Distance,
Benchmark = t.Benchmark,
Projection = t.Projection,
Legs = t.Legs
};
return result;
}).ToArray();
SendOutMessage(new ScannerResultMessage
{
Results = results,
OriginalTransactionId = requestId,
});
}
private void ReadOrderStatus(IBSocket socket, ServerVersions version)
{
var id = socket.ReadInt();
var status = socket.ReadOrderStatus();
/* filled */
socket.ReadInt();
var balance = socket.ReadDecimal();
var avgPrice = socket.ReadDecimal();
var permId = version >= ServerVersions.V2 ? socket.ReadInt() : (int?)null;
var parentId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
var lastTradePrice = version >= ServerVersions.V4 ? socket.ReadDecimal() : (decimal?)null;
var clientId = version >= ServerVersions.V5 ? socket.ReadInt() : (int?)null;
var whyHeld = version >= ServerVersions.V6 ? socket.ReadStr() : null;
var execMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
OriginalTransactionId = id,
Balance = balance,
OrderStatus = status,
OrderState = status.ToOrderState(),
HasOrderInfo = true,
};
execMsg.SetAveragePrice(avgPrice);
if (permId != null)
execMsg.SetPermId(permId.Value);
if (parentId != null)
execMsg.Condition = new IBOrderCondition { ParentId = parentId.Value };
if (lastTradePrice != null)
execMsg.SetLastTradePrice(lastTradePrice.Value);
if (clientId != null)
execMsg.SetClientId(clientId.Value);
if (whyHeld != null)
execMsg.SetWhyHeld(whyHeld);
SendOutMessage(execMsg);
}
private void ReadPortfolio(IBSocket socket, ServerVersions version)
{
var name = socket.ReadStr();
var value = socket.ReadStr();
var currency = socket.ReadStr();
var port = version >= ServerVersions.V2 ? socket.ReadStr() : null;
if (port == null || currency == "BASE")
return;
var pfMsg = this.CreatePortfolioChangeMessage(port);
switch (name)
{
case "CashBalance":
pfMsg.Add(PositionChangeTypes.CurrentValue, value.To<decimal>());
break;
case "Currency":
pfMsg.Add(PositionChangeTypes.Currency, currency.To<CurrencyTypes>());
break;
case "RealizedPnL":
pfMsg.Add(PositionChangeTypes.RealizedPnL, value.To<decimal>());
break;
case "UnrealizedPnL":
pfMsg.Add(PositionChangeTypes.UnrealizedPnL, value.To<decimal>());
break;
case "NetLiquidation":
pfMsg.Add(PositionChangeTypes.CurrentPrice, value.To<decimal>());
break;
case "Leverage-S":
pfMsg.Add(PositionChangeTypes.Leverage, value.To<decimal>());
break;
default:
var info = pfMsg.ExtensionInfo = new Dictionary<object, object>();
if (currency.IsEmpty())
info[name] = value;
else
{
info[name] = new Currency
{
Type = currency.To<CurrencyTypes>(),
Value = value.To<decimal>(),
};
}
break;
}
SendOutMessage(pfMsg);
}
private void ReadTickPrice(IBSocket socket, ServerVersions version)
{
var requestId = socket.ReadInt();
var priceField = (FieldTypes)socket.ReadInt();
var price = socket.ReadDecimal();
var volume = version >= ServerVersions.V2 ? socket.ReadInt() : (decimal?)null;
var canAutoExecute = version >= ServerVersions.V3 ? socket.ReadBool() : (bool?)null;
ProcessTick(requestId, priceField, price, volume);
}
private void ReadOpenOrder(IBSocket socket, ServerVersions version)
{
var transactionId = socket.ReadInt();
var contractId = version >= ServerVersions.V17 ? socket.ReadInt() : -1;
var secCode = socket.ReadStr();
var type = socket.ReadSecurityType();
var expiryDate = socket.ReadExpiry();
var strike = socket.ReadDecimal();
var optionType = socket.ReadOptionType();
var multiplier = version >= ServerVersions.V32 ? socket.ReadMultiplier() : null;
var boardCode = socket.ReadBoardCode();
var currency = socket.ReadCurrency();
secCode = version >= ServerVersions.V2 ? socket.ReadLocalCode(secCode) : null;
var secClass = (version >= ServerVersions.V32) ? socket.ReadStr() : null;
var ibCon = new IBOrderCondition();
// read order fields
var direction = socket.ReadOrderSide();
var volume = socket.ReadDecimal();
OrderTypes orderType;
IBOrderCondition.ExtendedOrderTypes? extendedType;
socket.ReadOrderType(out orderType, out extendedType);
ibCon.ExtendedType = extendedType;
var price = socket.ReadDecimal();
ibCon.StopPrice = socket.ReadDecimal();
var expiration = socket.ReadStr();
ibCon.Oca.Group = socket.ReadStr();
var portfolio = socket.ReadStr();
ibCon.IsOpenOrClose = socket.ReadStr() == "O";
ibCon.Origin = (IBOrderCondition.OrderOrigins)socket.ReadInt();
var comment = socket.ReadStr();
var clientId = version >= ServerVersions.V3 ? socket.ReadInt() : (int?)null;
int? permId = null;
if (version >= ServerVersions.V4)
{
permId = socket.ReadInt();
if (version < ServerVersions.V18)
{
// will never happen
/* order.m_ignoreRth = */
socket.ReadBool();
}
else
ibCon.OutsideRth = socket.ReadBool();
ibCon.Hidden = socket.ReadBool();
ibCon.SmartRouting.DiscretionaryAmount = socket.ReadDecimal();
}
if (version >= ServerVersions.V5)
ibCon.GoodAfterTime = socket.ReadNullDateTime(IBSocketHelper.TimeFormat);
if (version >= ServerVersions.V6)
{
// skip deprecated sharesAllocation field
socket.ReadStr();
}
if (version >= ServerVersions.V7)
{
ibCon.FinancialAdvisor.Group = socket.ReadStr();
ibCon.FinancialAdvisor.Allocation = socket.ReadFinancialAdvisor();
ibCon.FinancialAdvisor.Percentage = socket.ReadStr();
ibCon.FinancialAdvisor.Profile = socket.ReadStr();
}
var orderExpiryDate = version >= ServerVersions.V8 ? socket.ReadNullDateTime(IBSocketHelper.TimeFormat) : null;
var visibleVolume = volume;
if (version >= ServerVersions.V9)
{
ibCon.Agent = socket.ReadAgent();
ibCon.PercentOffset = socket.ReadDecimal();
ibCon.Clearing.SettlingFirm = socket.ReadStr();
ibCon.ShortSale.Slot = (IBOrderCondition.ShortSaleSlots)socket.ReadInt();
ibCon.ShortSale.Location = socket.ReadStr();
if (socket.ServerVersion == ServerVersions.V51)
socket.ReadInt(); //exempt code
else if (version >= ServerVersions.V23)
ibCon.ShortSale.ExemptCode = socket.ReadInt();
ibCon.AuctionStrategy = (IBOrderCondition.AuctionStrategies)socket.ReadInt();
ibCon.StartingPrice = socket.ReadDecimal();
ibCon.StockRefPrice = socket.ReadDecimal();
ibCon.Delta = socket.ReadDecimal();
ibCon.StockRangeLower = socket.ReadDecimal();
ibCon.StockRangeUpper = socket.ReadDecimal();
visibleVolume = socket.ReadInt();
if (version < ServerVersions.V18)
{
// will never happen
/* order.m_rthOnly = */
socket.ReadBool();
}
ibCon.BlockOrder = socket.ReadBool();
ibCon.SweepToFill = socket.ReadBool();
ibCon.AllOrNone = socket.ReadBool();
ibCon.MinVolume = socket.ReadInt();
ibCon.Oca.Type = (IBOrderCondition.OcaTypes)socket.ReadInt();
ibCon.SmartRouting.ETradeOnly = socket.ReadBool();
ibCon.SmartRouting.FirmQuoteOnly = socket.ReadBool();
ibCon.SmartRouting.NbboPriceCap = socket.ReadDecimal();
}
if (version >= ServerVersions.V10)
{
ibCon.ParentId = socket.ReadInt();
ibCon.TriggerMethod = (IBOrderCondition.TriggerMethods)socket.ReadInt();
}
if (version >= ServerVersions.V11)
{
ibCon.Volatility.Volatility = socket.ReadDecimal();
ibCon.Volatility.VolatilityTimeFrame = socket.ReadVolatilityType();
if (version == ServerVersions.V11)
{
if (!socket.ReadBool())
ibCon.Volatility.ExtendedOrderType = IBOrderCondition.ExtendedOrderTypes.Empty;
else
ibCon.Volatility.OrderType = OrderTypes.Market;
}
else
{
OrderTypes volOrdertype;
IBOrderCondition.ExtendedOrderTypes? volExtendedType;
socket.ReadOrderType(out volOrdertype, out volExtendedType);
ibCon.Volatility.OrderType = volOrdertype;
ibCon.Volatility.ExtendedOrderType = volExtendedType;
ibCon.Volatility.StopPrice = socket.ReadDecimal();
if (volExtendedType != IBOrderCondition.ExtendedOrderTypes.Empty)
{
if (version >= ServerVersions.V27)
{
ibCon.Volatility.ConId = socket.ReadInt();
ibCon.Volatility.SettlingFirm = socket.ReadStr();
var portfolioName = socket.ReadStr();
if (!portfolioName.IsEmpty())
ibCon.Volatility.ClearingPortfolio = portfolioName;
ibCon.Volatility.ClearingIntent = socket.ReadStr();
}
if (version >= ServerVersions.V31)
{
var isOpenOrCloseStr = socket.ReadStr();
ibCon.Volatility.ShortSale.IsOpenOrClose = isOpenOrCloseStr == "?" ? (bool?)null : isOpenOrCloseStr.To<int>() == 1;
ibCon.Volatility.IsShortSale = socket.ReadBool();
ibCon.Volatility.ShortSale.Slot = (IBOrderCondition.ShortSaleSlots)socket.ReadInt();
ibCon.Volatility.ShortSale.Location = socket.ReadStr();
}
}
}
ibCon.Volatility.ContinuousUpdate = socket.ReadBool();
if (socket.ServerVersion == ServerVersions.V26)
{
ibCon.StockRangeLower = socket.ReadDecimal();
ibCon.StockRangeUpper = socket.ReadDecimal();
}
ibCon.Volatility.IsAverageBestPrice = socket.ReadBool();
}
if (version >= ServerVersions.V13)
ibCon.TrailStopPrice = socket.ReadDecimal();
if (version >= ServerVersions.V30)
ibCon.TrailStopVolumePercentage = socket.ReadNullDecimal();
if (version >= ServerVersions.V14)
{
ibCon.Combo.BasisPoints = socket.ReadDecimal();
ibCon.Combo.BasisPointsType = socket.ReadInt();
ibCon.Combo.LegsDescription = socket.ReadStr();
}
if (version >= ServerVersions.V29)
{
var comboLegsCount = socket.ReadInt();
if (comboLegsCount > 0)
{
//contract.m_comboLegs = new Vector(comboLegsCount);
for (var i = 0; i < comboLegsCount; ++i)
{
//int conId =
socket.ReadInt();
//int ratio =
socket.ReadInt();
//String action =
socket.ReadStr();
//String exchange =
socket.ReadStr();
//int openClose =
socket.ReadInt();
//int shortSaleSlot =
socket.ReadInt();
//String designatedLocation =
socket.ReadStr();
//int exemptCode =
socket.ReadInt();
//ComboLeg comboLeg = new ComboLeg(conId, ratio, action, exchange, openClose,
// shortSaleSlot, designatedLocation, exemptCode);
//contract.m_comboLegs.add(comboLeg);
}
}
var orderComboLegsCount = socket.ReadInt();
if (orderComboLegsCount > 0)
{
//order.m_orderComboLegs = new Vector(orderComboLegsCount);
for (var i = 0; i < orderComboLegsCount; ++i)
{
//var comboPrice =
socket.ReadNullDecimal();
//OrderComboLeg orderComboLeg = new OrderComboLeg(comboPrice);
//order.m_orderComboLegs.add(orderComboLeg);
}
}
}
if (version >= ServerVersions.V26)
{
var smartComboRoutingParamsCount = socket.ReadInt();
if (smartComboRoutingParamsCount > 0)
{
var @params = new List<Tuple<string, string>>();
for (var i = 0; i < smartComboRoutingParamsCount; ++i)
@params.Add(Tuple.Create(socket.ReadStr(), socket.ReadStr()));
ibCon.SmartRouting.ComboParams = @params;
}
}
if (version >= ServerVersions.V15)
{
if (version >= ServerVersions.V20)
{
ibCon.Scale.InitLevelSize = socket.ReadNullInt();
ibCon.Scale.SubsLevelSize = socket.ReadNullInt();
}
else
{
/* int notSuppScaleNumComponents = */
socket.ReadNullInt();
ibCon.Scale.InitLevelSize = socket.ReadNullInt();
}
ibCon.Scale.PriceIncrement = socket.ReadNullDecimal();
}
if (version >= ServerVersions.V28 && ibCon.Scale.PriceIncrement > 0)
{
ibCon.Scale.PriceAdjustValue = socket.ReadNullDecimal();
ibCon.Scale.PriceAdjustInterval = socket.ReadInt();
ibCon.Scale.ProfitOffset = socket.ReadNullDecimal();
ibCon.Scale.AutoReset = socket.ReadBool();
ibCon.Scale.InitPosition = socket.ReadNullInt();
ibCon.Scale.InitFillQty = socket.ReadNullInt();
ibCon.Scale.RandomPercent = socket.ReadBool();
}
if (version >= ServerVersions.V24)
socket.ReadHedge(ibCon);
if (version >= ServerVersions.V25)
ibCon.SmartRouting.OptOutSmartRouting = socket.ReadBool();
if (version >= ServerVersions.V19)
{
var portfolioName = socket.ReadStr();
if (!portfolioName.IsEmpty())
ibCon.Clearing.ClearingPortfolio = portfolioName;
ibCon.Clearing.Intent = socket.ReadIntent();
}
if (version >= ServerVersions.V22)
ibCon.SmartRouting.NotHeld = socket.ReadBool();
if (version >= ServerVersions.V20)
{
if (socket.ReadBool())
{
//UnderlyingComponent underComp = new UnderlyingComponent();
//underComp.ContractId =
socket.ReadInt();
//underComp.Delta =
socket.ReadDecimal();
//underComp.Price =
socket.ReadDecimal();
//contract.UnderlyingComponent = underComp;
}
}
if (version >= ServerVersions.V21)
{
ibCon.Algo.Strategy = socket.ReadStr();
if (!ibCon.Algo.Strategy.IsEmpty())
{
var algoParamsCount = socket.ReadInt();
if (algoParamsCount > 0)
{
var algoParams = new List<Tuple<string, string>>();
for (var i = 0; i < algoParamsCount; i++)
algoParams.Add(Tuple.Create(socket.ReadStr(), socket.ReadStr()));
ibCon.Algo.Params = algoParams;
}
}
}
//OrderState orderState = new OrderState();
OrderStatus? status = null;
if (version >= ServerVersions.V16)
{
socket.ReadStr();
//order.WhatIf = !(string.IsNullOrEmpty(rstr) || rstr == "0");
status = socket.ReadOrderStatus();
//orderState.InitMargin =
socket.ReadStr();
//orderState.MaintMargin =
socket.ReadStr();
//orderState.EquityWithLoan =
socket.ReadStr();
//orderState.IbCommission =
socket.ReadNullDecimal();
//orderState.MinCommission =
socket.ReadNullDecimal();
//orderState.MaxCommission =
socket.ReadNullDecimal();
//orderState.CommissionCurrency =
socket.ReadStr();
//orderState.WarningText =
socket.ReadStr();
}
var secId = new SecurityId
{
SecurityCode = secCode,
BoardCode = GetBoardCode(boardCode),
InteractiveBrokers = contractId,
};
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
ExpiryDate = expiryDate,
Strike = strike,
OptionType = optionType,
Class = secClass,
SecurityType = type,
Currency = currency,
Multiplier = multiplier ?? 0,
});
var orderMsg = new ExecutionMessage
{
ExecutionType = ExecutionTypes.Transaction,
SecurityId = secId,
OriginalTransactionId = transactionId,
OrderType = orderType,
Side = direction,
OrderVolume = volume,
OrderPrice = price,
Condition = ibCon,
ExpiryDate = orderExpiryDate,
VisibleVolume = visibleVolume,
PortfolioName = portfolio,
Comment = comment,
OrderStatus = status,
OrderState = status?.ToOrderState(),
HasOrderInfo = true,
};
if (orderMsg.OrderState == OrderStates.Active || orderMsg.OrderState == OrderStates.Done)
orderMsg.OrderId = transactionId;
switch (expiration)
{
case "DAY":
orderMsg.TimeInForce = TimeInForce.PutInQueue;
break;
case "GTC":
//orderMsg.ExpiryDate = DateTimeOffset.MaxValue;
break;
case "IOC":
orderMsg.TimeInForce = TimeInForce.CancelBalance;
break;
case "FOK":
orderMsg.TimeInForce = TimeInForce.MatchOrCancel;
break;
case "GTD":
break;
case "OPG":
ibCon.IsMarketOnOpen = true;
break;
default:
throw new InvalidOperationException(LocalizedStrings.Str2515Params.Put(expiration));
}
if (clientId != null)
orderMsg.SetClientId(clientId.Value);
if (permId != null)
orderMsg.SetPermId(permId.Value);
SendOutMessage(orderMsg);
}
private void ReadTickOptionComputation(IBSocket socket, ServerVersions version)
{
var requestId = socket.ReadInt();
var fieldType = (FieldTypes)socket.ReadInt();
decimal? impliedVol = socket.ReadDecimal();
if (impliedVol < 0)
{
// -1 is the "not yet computed" indicator
impliedVol = null;
}
decimal? delta = socket.ReadDecimal();
if (Math.Abs(delta.Value) > 1)
{
// -2 is the "not yet computed" indicator
delta = null;
}
decimal? optPrice = null;
decimal? pvDividend = null;
decimal? gamma = null;
decimal? vega = null;
decimal? theta = null;
decimal? undPrice;
if (version >= ServerVersions.V6 || fieldType == FieldTypes.ModelOption)
{
// introduced in version == 5
optPrice = socket.ReadDecimal();
if (optPrice < 0)
{
// -1 is the "not yet computed" indicator
optPrice = null;
}
pvDividend = socket.ReadDecimal();
if (pvDividend < 0)
{
// -1 is the "not yet computed" indicator
pvDividend = null;
}
}
if (version >= ServerVersions.V6)
{
gamma = socket.ReadDecimal();
if (Math.Abs(gamma.Value) > 1)
{
// -2 is the "not yet computed" indicator
gamma = null;
}
vega = socket.ReadDecimal();
if (Math.Abs(vega.Value) > 1)
{
// -2 is the "not yet computed" indicator
vega = null;
}
theta = socket.ReadDecimal();
if (Math.Abs(theta.Value) > 1)
{
// -2 is the "not yet computed" indicator
theta = null;
}
undPrice = socket.ReadDecimal();
if (undPrice < 0)
{
// -1 is the "not yet computed" indicator
undPrice = null;
}
}
var l1Msg = GetLevel1Message(requestId)
.TryAdd(Level1Fields.Delta, delta)
.TryAdd(Level1Fields.Gamma, gamma)
.TryAdd(Level1Fields.Vega, vega)
.TryAdd(Level1Fields.Theta, theta)
.TryAdd(Level1Fields.ImpliedVolatility, impliedVol)
.TryAdd(Level1Fields.TheorPrice, optPrice)
.TryAdd(Level1Fields.Yield, pvDividend);
SendOutMessage(l1Msg);
//tickOptionComputation(tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta,
// undPrice);
}
