public TWSTickEventArgs(TWSSubscription subscription, int field, double price, TickAttrib attribs = null)
: this(subscription)
{
Field = field;
DoubleValue = price;
Attribs = attribs;
}
public void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
try
{
TWSSubscription subscription = TWSSubscriptionManager.GetById(tickerId);
if (subscription != null)
{
TWSTickEventArgs args = new TWSTickEventArgs(subscription, field, price, attribs);
if (m_twsTickEventHandler != null)
{
if (args.DoubleValue >= 0)
{
m_twsTickEventHandler(this, args);
}
else
{
Info(String.Format("Ignoring tick price: {0}", args.ToString()));
}
}
}
else
{
Info(String.Format("Error - tick received for unknown ticker id {0}", tickerId));
}
}
catch (Exception ex) { Error("Exception in tickPrice callback", ex); }
}
public TWSTickEventArgs(TWSSubscription subscription, int field, string value)
: this(subscription)
{
Field = field;
StringValue = value;
SaveDividendData();
}
public static TWSSubscription GetByTicker(string ticker)
{
TWSSubscription subscription = null;
lock (s_lockObject)
{
s_tickerMap.TryGetValue(ticker, out subscription);
}
return(subscription);
}
public static TWSSubscription GetById(int requestId)
{
TWSSubscription subscription = null;
lock (s_lockObject)
{
s_subscriptionMap.TryGetValue(requestId, out subscription);
}
return(subscription);
}
public TWSHistoricalDataEventArgs(TWSSubscription subscription, Bar bar)
{
Ticker = subscription.Ticker;
Close = bar.Close;
Count = bar.Count;
High = bar.High;
Low = bar.Low;
Open = bar.Open;
Time = bar.Time;
Volume = bar.Volume;
WAP = bar.WAP;
}
public void UpdateSubscriptionInfo(TWSSubscription subscription)
{
if (subscription != null)
{
Ticker = subscription.Ticker;
ClientObject = subscription.ClientObject;
}
else
{
Ticker = "Unknown";
}
}
public static TWSSubscription RemoveSubscription(string ticker)
{
TWSSubscription subscription = null;
lock (s_lockObject)
{
subscription = GetByTicker(ticker);
if (subscription != null)
{
s_tickerMap.Remove(ticker);
s_subscriptionMap.Remove(subscription.RequestId);
}
}
return(subscription);
}
public static TWSSubscription RemoveSubscription(int requestId)
{
TWSSubscription subscription = null;
lock (s_lockObject)
{
subscription = GetById(requestId);
if (subscription != null)
{
s_subscriptionMap.Remove(subscription.RequestId);
if (subscription.SubscriptionType == TWSSubscription.TWSSubscriptionType.TickData)
{
s_tickerMap.Remove(subscription.Ticker);
}
}
}
return(subscription);
}
public void tickString(int tickerId, int field, string value)
{
try
{
TWSSubscription subscription = TWSSubscriptionManager.GetById(tickerId);
if (subscription != null)
{
TWSTickEventArgs args = new TWSTickEventArgs(subscription, field, value);
if (m_twsTickEventHandler != null)
{
m_twsTickEventHandler(this, args);
}
}
else
{
Info(String.Format("Error - tick received for unknown ticker id {0}", tickerId));
}
}
catch (Exception ex) { Error("Exception in tickString callback", ex); }
}
public static TWSSubscription GetOrCreateSubscription(string ticker, QuoteType quoteType, TWSSubscription.TWSSubscriptionType subscriptionType, object clientObject = null, DateTime?date = null)
{
TWSSubscription oldSubscription = null;
TWSSubscription newSubscription = null;
lock (s_lockObject)
{
oldSubscription = GetByTicker(ticker);
// for tick data, we reuse subscriptions; for other data, we always create a new subscription
if ((subscriptionType == TWSSubscription.TWSSubscriptionType.TickData) && (oldSubscription != null))
{
newSubscription = oldSubscription;
}
else
{
newSubscription = new TWSSubscription(ticker, quoteType, subscriptionType, clientObject, date);
// if we already have a contract, we can use it
if (oldSubscription != null)
{
newSubscription.Contract = oldSubscription.Contract;
}
// subscription map is for all subscriptions
s_subscriptionMap.Add(newSubscription.RequestId, newSubscription);
// ticker map is for tick data only
if (subscriptionType == TWSSubscription.TWSSubscriptionType.TickData)
{
s_tickerMap.Add(ticker, newSubscription);
}
}
}
return(newSubscription);
}
public TWSTickEventArgs(TWSSubscription subscription, int field, double impliedVolatility, double delta, double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice)
: this(subscription)
{
Field = field;
HasGreeks = true;
if (impliedVolatility != Double.MaxValue)
{
ImpliedVol = impliedVolatility * 100.0;
}
if (delta != Double.MaxValue)
{
Delta = delta;
}
if (optPrice != Double.MaxValue)
{
OptionPrice = optPrice;
}
if (pvDividend != Double.MaxValue)
{
PresentValueDividend = pvDividend;
}
if ((gamma != Double.MaxValue) && (undPrice != Double.MaxValue))
{
Gamma = gamma * undPrice / 100.0;
}
if (vega != Double.MaxValue)
{
Vega = vega;
}
if (theta != Double.MaxValue)
{
Theta = theta;
}
if (undPrice != Double.MaxValue)
{
UnderlyingPrice = undPrice;
}
}
public TWSTickEventArgs(TWSSubscription subscription)
{
Ticker = subscription.Ticker;
RequestId = subscription.RequestId;
SubscriptionType = subscription.SubscriptionType;
ClientObject = subscription.ClientObject;
switch (subscription.Status)
{
case TWSSubscription.TWSSubscriptionStatus.Rejected:
SubscriptionStatus = SubscriptionStatus.Rejected;
break;
case TWSSubscription.TWSSubscriptionStatus.New:
case TWSSubscription.TWSSubscriptionStatus.Unsubscribed:
case TWSSubscription.TWSSubscriptionStatus.AwaitingUnsubscribe:
SubscriptionStatus = SubscriptionStatus.Unsubscribed;
break;
default:
SubscriptionStatus = SubscriptionStatus.Subscribed;
break;
}
}
public void tickOptionComputation(int tickerId, int field, double impliedVolatility, double delta, double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice)
{
try
{
// ignore Bid and Ask computations
if ((field == TickType.MODEL_OPTION) || (field == TickType.DELAYED_MODEL_OPTION))
{
TWSSubscription subscription = TWSSubscriptionManager.GetById(tickerId);
if (subscription != null)
{
TWSTickEventArgs args = new TWSTickEventArgs(subscription, field, impliedVolatility, delta, optPrice, pvDividend, gamma, vega, theta, undPrice);
if (m_twsTickEventHandler != null)
{
m_twsTickEventHandler(this, args);
}
}
else
{
Info(String.Format("Error - tick received for unknown ticker id {0}", tickerId));
}
}
}
catch (Exception ex) { Error("Exception in tickOptionComputation callback", ex); }
}
public TWSTickEventArgs(TWSSubscription subscription, int field, int size)
: this(subscription)
{
Field = field;
IntValue = size;
}
