public IBSource(IMessageBus ether, string hostname, int port, int clientId, string accountName, bool useVarBars, int barLength)
{
Ether = ether;
Hostname = hostname;
Port = port;
ClientId = clientId;
AccountName = accountName;
UseVarBars = useVarBars;
BarLength = barLength;
if (BarLength < Ether.EpochSecs)
{
throw new Exception(string.Format("Error, TWSSource bar length ({0}) is less than the Ether's epoch interval ({1})!", BarLength, ether.EpochSecs));
}
// Set synch context for IBClient
SynchronizationContext.SetSynchronizationContext(new SynchronizationContext());
IsConnected = false;
Signal = new IB.EReaderMonitorSignal();
Client = new IBClient(Signal);
// Contract details, currently just market hours.
Client.ContractDetails += ContractDetailsHandler;
Client.ContractDetailsEnd += (reqId => Debug.WriteLine(reqId));
// Tick data.
Client.TickPrice += TickPriceHandler;
Client.TickSize += TickSizeHandler;
Client.TickGeneric += TickGenericHandler;
Client.TickString += TickStringHandler;
Client.TickOptionCommunication += TickOptionHandler;
Client.TickEFP += EFPDataHandler;
// Historical data.
Client.HistoricalData += HistoricalDataHandler;
Client.HistoricalDataUpdate += HistoricalDataUpdateHandler;
Client.HistoricalDataEnd += HistoricalDataEndHandler;
// Account and portfolio updates.
Client.UpdateAccountTime += AccountTimeHandler;
Client.UpdateAccountValue += AccountValueHandler;
Client.UpdatePortfolio += PortfolioInfoHandler;
// Errors.
Client.Error += ErrorHandler;
Client.ConnectionClosed += ConnectionClosedHandler;
// Server time.
Client.CurrentTime += CurrentTimeHandler;
// Instance variables.
Contracts = new Dictionary <int, Tuple <Contract, Market> >();
Bars = new Dictionary <int, IBarList>();
AccountInfo = new AccountInfo(AccountName);
// Daily things-to-do.
Ether.AsObservable <Heartbeat>().Where(x => x.IsHourly()).Subscribe(x =>
{
// At 5AM each day, we request contract details so we can see when the contracts are traded.
foreach (var c in Contracts.Keys)
{
RequestContractDetails(c * 9999, Contracts[c].Item1);
}
},
e =>
{
Debug.WriteLine(e.ToString());
});
}
/// <summary>
/// Connects the client to the IB gateway
/// </summary>
public override void Connect()
{
if (IsConnected) return;
// we're going to receive fresh values for both of these collections, so clear them
_accountHoldings.Clear();
_accountProperties.Clear();
var attempt = 1;
const int maxAttempts = 65;
while (true)
{
try
{
Log.Trace("InteractiveBrokersBrokerage.Connect(): Attempting to connect ({0}/{1}) ...", attempt, maxAttempts);
// we're going to try and connect several times, if successful break
_client.ClientSocket.eConnect(_host, _port, _clientId);
// create the message processing thread
var signal = new EReaderMonitorSignal();
var reader = new EReader(_client.ClientSocket, signal);
reader.Start();
var messageProcessingThread = new Thread(() =>
{
Log.Trace("IB message processing thread started.");
while (_client.ClientSocket.IsConnected())
{
try
{
signal.waitForSignal();
reader.processMsgs();
}
catch (Exception error)
{
// error in message processing thread, log error and disconnect
Log.Error("Error in message processing thread: " + error);
}
}
Log.Trace("IB message processing thread ended.");
}) { IsBackground = true };
messageProcessingThread.Start();
// pause for a moment to receive next valid ID message from gateway
if (!_waitForNextValidId.WaitOne(15000))
{
Log.Trace("InteractiveBrokersBrokerage.Connect(): Operation took longer than 15 seconds.");
// no response, disconnect and retry
_client.ClientSocket.eDisconnect();
messageProcessingThread.Join();
// max out at 65 attempts to connect ~1 minute
if (attempt++ < maxAttempts)
{
Thread.Sleep(1000);
continue;
}
throw new TimeoutException("InteractiveBrokersBrokerage.Connect(): Operation took longer than 15 seconds.");
}
Log.Trace("IB next valid id received.");
if (!_client.Connected) throw new Exception("InteractiveBrokersBrokerage.Connect(): Connection returned but was not in connected state.");
break;
}
catch (Exception err)
{
// max out at 65 attempts to connect ~1 minute
if (attempt++ < maxAttempts)
{
Thread.Sleep(1000);
continue;
}
// we couldn't connect after several attempts, log the error and throw an exception
Log.Error(err);
// add a blurb about TWS for connection refused errors
if (err.Message.Contains("Connection refused"))
{
throw new Exception(err.Message + ". Be sure to logout of Trader Workstation. " +
"IB only allows one active log in at a time. " +
"This can also be caused by requiring two-factor authentication. " +
"Be sure to disable this in IB Account Management > Security > SLS Opt out.", err);
}
throw;
}
}
// define our event handler, this acts as stop to make sure when we leave Connect we have downloaded the full account
EventHandler<IB.AccountDownloadEndEventArgs> clientOnAccountDownloadEnd = (sender, args) =>
{
Log.Trace("InteractiveBrokersBrokerage.AccountDownloadEnd(): Finished account download for " + args.Account);
_accountHoldingsResetEvent.Set();
};
_client.AccountDownloadEnd += clientOnAccountDownloadEnd;
// we'll wait to get our first account update, we need to be absolutely sure we
// have downloaded the entire account before leaving this function
var firstAccountUpdateReceived = new ManualResetEvent(false);
EventHandler<IB.UpdateAccountValueEventArgs> clientOnUpdateAccountValue = (sender, args) =>
{
firstAccountUpdateReceived.Set();
};
_client.UpdateAccountValue += clientOnUpdateAccountValue;
// first we won't subscribe, wait for this to finish, below we'll subscribe for continuous updates
_client.ClientSocket.reqAccountUpdates(true, _account);
// wait to see the first account value update
firstAccountUpdateReceived.WaitOne(2500);
// take pause to ensure the account is downloaded before continuing, this was added because running in
// linux there appears to be different behavior where the account download end fires immediately.
Thread.Sleep(2500);
if (!_accountHoldingsResetEvent.WaitOne(15000))
{
throw new TimeoutException("InteractiveBrokersBrokerage.GetAccountHoldings(): Operation took longer than 15 seconds.");
}
// remove our end handler
_client.AccountDownloadEnd -= clientOnAccountDownloadEnd;
_client.UpdateAccountValue -= clientOnUpdateAccountValue;
}