public override void historicalData(
int reqId,
string date,
double open,
double high,
double low,
double close,
int volume,
int count,
double WAP,
bool hasGaps)
{
var dateValue = DateTime.ParseExact(date, new[] { "yyyyMMdd", "yyyyMMdd HH\\:mm\\:ss" }, CultureInfo.InvariantCulture, DateTimeStyles.None);
HistoricalDepthTickers.AddPoint(
reqId,
new HistoryDataPoint(dateValue, (decimal)high, (decimal)low, (decimal)open, (decimal)close, volume, count));
}
public override void error(int id, int errorCode, string errorMsg)
{
// See https://www.interactivebrokers.com/en/software/api/apiguide/tables/api_message_codes.htm
switch (errorCode)
{
case 504: // Not connected
case 1100: // Connectivity between IB and TWS has been lost
case 1300: // TWS socket port has been reset and this connection is being dropped. Please reconnect on the new port - <port_num>
Log.Error().Print(errorMsg);
errorEvent.Set();
connectedEvent.Reset();
disconnectedEvent.Set();
connector.RaiseConnectionStatusChanged(ConnectionStatus.Disconnected);
break;
case 1102:
Log.Info().Print(errorMsg);
connectedEvent.Set();
disconnectedEvent.Reset();
connector.RaiseConnectionStatusChanged(ConnectionStatus.Connected);
break;
case 162: // Historical market data Service error message.
// Historical data request pacing violation
// HMDS query returned no data
if (errorMsg.IndexOf("query returned no data", StringComparison.OrdinalIgnoreCase) >= 0)
{
// TODO ебаный стыд
HistoricalDepthTickers.NoMoreData(id);
}
else if (errorMsg.IndexOf("Historical data request pacing violation", StringComparison.OrdinalIgnoreCase) >= 0)
{
// TODO ебаный стыд
HistoricalDepthTickers.PaceViolation(id);
}
else if (errorMsg.IndexOf("Time length exceed max", StringComparison.OrdinalIgnoreCase) >= 0)
{
// TODO ебаный стыд
HistoricalDepthTickers.TimeLengthExceedMax(id);
}
else
{
HistoricalDepthTickers.Fail(id, errorMsg);
}
break;
case 200: // No security definition has been found for the request.
{
PendingTestResult testResult;
if (pendingTestResultTickerContainer.TryGetPendingTestResult(id, out testResult))
{
testResult.Reject();
pendingTestResultTickerContainer.RemoveTickerId(id);
}
}
HistoricalDepthTickers.Fail(id, errorMsg);
connector.ContractContainer.RejectContract(id);
Log.Error().Print(errorMsg);
break;
case 202: // Order Canceled
break;
case 501: // Already connected
case 2104: // A market data farm is connected.
case 2106: // A historical data farm is connected.
Log.Info().Print(errorMsg);
break;
case 10092:
// Deep market data is not supported for this combination of security type/exchange
Instrument instrument;
if (marketDepthTickers.TryGetInstrument(id, out instrument))
{
Log.Error().Print($"Unable to retreive order book on {instrument.Code}. {errorMsg.Preformatted()}");
break;
}
goto default;
case 110: // The price does not conform to the minimum price variation for this contract.
case 201: // Order rejected - reason:THIS ACCOUNT MAY NOT HOLD SHORT STOCK POSITIONS.
case 203: // The security <security> is not available or allowed for this account
HistoricalDepthTickers.Fail(id, errorMsg);
using (orderInfoContainerLock.Lock())
{
OrderInfo orderInfo;
if (!orderInfoContainer.TryGetByTickerId(id, out orderInfo))
{
// Неизвестная заявка, ничего не поделаешь
goto default;
}
orderInfo.State = OrderState.Error;
// Вычисляем OSCM
var oscm = new OrderStateChangeMessage
{
TransactionId = orderInfo.NewOrderTransactionId,
ActiveQuantity = (uint)orderInfo.ActiveQuantity,
ChangeTime = DateTime.Now,
FilledQuantity = (uint)(orderInfo.Quantity - orderInfo.ActiveQuantity),
OrderExchangeId = orderInfo.PermId.ToString(CultureInfo.InvariantCulture),
Quantity = (uint?)(orderInfo.Quantity),
State = OrderState.Error
};
// Выплевываем OSCM
connector.IBOrderRouter.Transmit(oscm);
Log.Error().Print($"Unable to place order {orderInfo.PermId}. {errorMsg.Preformatted()}");
}
break;
default:
// Warning codes range
if (errorCode >= 2100 && errorCode <= 2110)
{
Log.Warn().Print(errorMsg);
}
else
{
PendingTestResult testResult;
Instrument subscriptionInstrument;
if (pendingTestResultTickerContainer.TryGetPendingTestResult(id, out testResult))
{
testResult.Reject();
pendingTestResultTickerContainer.RemoveTickerId(id);
}
else if (marketDataTickers.TryGetInstrumentAndPendingTestResult(id, out subscriptionInstrument, out testResult))
{
testResult?.Reject();
marketDataTickers.RemoveTickerId(id);
}
Log.Error().Print($"IB error #{errorCode}: {errorMsg.Preformatted()}");
errorEvent.Set();
HistoricalDepthTickers.Fail(id, errorMsg);
}
break;
}
// TODO если пришла ошибка по тикеру - тикер нужно убить?
}
public override void historicalDataEnd(int reqId, string start, string end)
{
HistoricalDepthTickers.Complete(reqId);
}
