private void ReadCommissionReport(IBSocket socket)
		{
			var tradeId = socket.ReadStr();
			var value = socket.ReadDecimal();
			var currency = socket.ReadCurrency();
			var pnl = socket.ReadNullDecimal();
			var yield = socket.ReadNullDecimal();
			var redemptionDate = socket.ReadNullDateTime("yyyyMMdd");

			var secId = _secIdByTradeIds.TryGetValue2(tradeId);

			if (secId == null)
				return;

			// TODO
			//SendOutMessage(new ExecutionMessage
			//{
			//	ExecutionType = ExecutionTypes.Trade,
			//	TradeStringId = tradeId,
			//	Commission = value,
			//	SecurityId = secId.Value,
			//});
		}
		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);
		}
Пример #3
0
 public static DateTimeOffset?ReadExpiry(this IBSocket socket)
 {
     return(socket.ReadNullDateTime(_expiryFormat));
 }