public static void ReadSecurityId(this IBSocket socket, SecurityId securityId) { var count = socket.ReadInt(); for (var i = 0; i < count; i++) { var idType = socket.ReadStr(); switch (idType) { case "CUSIP": securityId.Cusip = socket.ReadStr(); break; case "ISIN": securityId.Isin = socket.ReadStr(); break; case "SEDOL": securityId.Sedol = socket.ReadStr(); break; case "RIC": securityId.Ric = socket.ReadStr(); break; default: throw new InvalidOperationException(LocalizedStrings.Str2509Params.Put(idType)); } } }
public static void ReadHedge(this IBSocket socket, IBOrderCondition ibCon) { var str = socket.ReadStr(); if (str.IsEmpty()) { ibCon.Hedge.Type = null; return; } switch (str) { case "D": ibCon.Hedge.Type = IBOrderCondition.HedgeTypes.Delta; break; case "B": ibCon.Hedge.Type = IBOrderCondition.HedgeTypes.Beta; break; case "F": ibCon.Hedge.Type = IBOrderCondition.HedgeTypes.FX; break; case "P": ibCon.Hedge.Type = IBOrderCondition.HedgeTypes.Pair; break; default: throw new InvalidOperationException(LocalizedStrings.Str2508Params.Put(str)); } ibCon.Hedge.Param = socket.ReadStr(); }
public static IBOrderCondition.FinancialAdvisorAllocations?ReadFinancialAdvisor(this IBSocket socket) { var str = socket.ReadStr(); if (str.IsEmpty()) { return(null); } switch (str) { case "PctChange": return(IBOrderCondition.FinancialAdvisorAllocations.PercentChange); case "AvailableEquity": return(IBOrderCondition.FinancialAdvisorAllocations.AvailableEquity); case "EqualQuantity": return(IBOrderCondition.FinancialAdvisorAllocations.EqualQuantity); case "NetLiq": return(IBOrderCondition.FinancialAdvisorAllocations.NetLiquidity); default: throw new InvalidOperationException(LocalizedStrings.Str2505Params.Put(str)); } }
public static OrderStatus ReadOrderStatus(this IBSocket socket) { var str = socket.ReadStr(); switch (str) { case "PendingSubmit": return(OrderStatus.SentToServer); case "PendingCancel": return(OrderStatus.SentToCanceled); case "PreSubmitted": return(OrderStatus.ReceiveByServer); case "Submitted": return(OrderStatus.Accepted); case "Cancelled": return(OrderStatus.Cancelled); case "Filled": return(OrderStatus.Matched); case "Inactive": return(OrderStatus.GateError); default: throw new InvalidOperationException(LocalizedStrings.Str2503Params.Put(str)); } }
public static SecurityTypes ReadSecurityType(this IBSocket socket) { var str = socket.ReadStr(); switch (str) { case "STK": case "SLB": // short stock return(SecurityTypes.Stock); case "FUT": case "ICU": case "ICS": return(SecurityTypes.Future); case "FOP": // option on fut case "OPT": case "IOPT": // interactive option return(SecurityTypes.Option); case "IND": case "BAG": case "BSK": return(SecurityTypes.Index); case "CASH": return(SecurityTypes.Currency); case "BOND": case "BILL": case "FIXED": return(SecurityTypes.Bond); case "FUND": return(SecurityTypes.Fund); case "WAR": return(SecurityTypes.Warrant); case "CFD": return(SecurityTypes.Cfd); case "FWD": return(SecurityTypes.Forward); case "NEWS": return(SecurityTypes.News); case "CMDTY": return(SecurityTypes.Commodity); default: throw new InvalidOperationException(LocalizedStrings.Str2502Params.Put(str)); } }
public static Sides?ReadTradeSide(this IBSocket socket) { switch (socket.ReadStr()) { case "BOT": return(Sides.Buy); case "SLD": return(Sides.Sell); default: return(null); } }
public static Sides ReadOrderSide(this IBSocket socket) { var str = socket.ReadStr(); switch (str) { case "BUY": return(Sides.Buy); case "SELL": return(Sides.Sell); default: throw new InvalidOperationException(LocalizedStrings.Str2506Params.Put(str)); } }
public static string ReadLocalCode(this IBSocket socket, string secCode) { if (secCode.IsEmpty()) { throw new ArgumentNullException(nameof(secCode)); } var localCode = socket.ReadStr(); if (localCode.IsEmpty()) { return(secCode); } return(localCode); }
public static IBOrderCondition.VolatilityTimeFrames?ReadVolatilityType(this IBSocket socket) { var str = socket.ReadStr(); if (str.IsEmpty()) { return(null); } var value = str.To <int>(); if (value == 0) { return(null); } return((IBOrderCondition.VolatilityTimeFrames)value); }
public static IBOrderCondition.ClearingIntents ReadIntent(this IBSocket socket) { var str = socket.ReadStr(); switch (str.ToUpperInvariant()) { case "IB": return(IBOrderCondition.ClearingIntents.Broker); case "AWAY": return(IBOrderCondition.ClearingIntents.Away); case "PTA": return(IBOrderCondition.ClearingIntents.PostTradeAllocation); default: throw new InvalidOperationException(LocalizedStrings.Str2510Params.Put(str)); } }
public static IBOrderCondition.AgentDescriptions?ReadAgent(this IBSocket socket) { var str = socket.ReadStr(); if (str.IsEmpty()) { return(null); } switch (str) { case "I": return(IBOrderCondition.AgentDescriptions.Individual); case "A": return(IBOrderCondition.AgentDescriptions.Agency); case "W": return(IBOrderCondition.AgentDescriptions.AgentOtherMember); case "J": return(IBOrderCondition.AgentDescriptions.IndividualPTIA); case "U": return(IBOrderCondition.AgentDescriptions.AgencyPTIA); case "M": return(IBOrderCondition.AgentDescriptions.AgentOtherMemberPTIA); case "K": return(IBOrderCondition.AgentDescriptions.IndividualPT); case "Y": return(IBOrderCondition.AgentDescriptions.AgencyPT); case "N": return(IBOrderCondition.AgentDescriptions.AgentOtherMemberPT); default: throw new InvalidOperationException(LocalizedStrings.Str2507Params.Put(str)); } }
private void ReadFundamentalData(IBSocket socket) { var requestId = socket.ReadInt(); var data = socket.ReadStr(); SendOutMessage(new FundamentalReportMessage { Data = data, OriginalTransactionId = requestId, }); }
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 ReadScannerParameters(IBSocket socket) { var xml = socket.ReadStr(); SendOutMessage(new ScannerParametersMessage { Parameters = xml }); }
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 ReadNewsBulletins(IBSocket socket) { var newsId = socket.ReadInt(); var newsType = (ExchangeNewsTypes)socket.ReadInt(); var newsMessage = socket.ReadStr(); var originatingExch = socket.ReadBoardCode(); SendOutMessage(new NewsMessage { Id = newsId.To<string>(), BoardCode = originatingExch, Headline = newsMessage, ExtensionInfo = new Dictionary<object, object> { { "Type", newsType } }, ServerTime = this.CurrentTime.Convert(TimeHelper.Est) }); }
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); }
public static decimal?ReadMultiplier(this IBSocket socket) { var str = socket.ReadStr(); return(str.IsEmpty() ? (decimal?)null : str.To <decimal>()); }
private void ReadPortfolioUpdateTime(IBSocket socket) { /*var timeStamp = */socket.ReadStr(); //updateAccountTime(timeStamp); }
public static CurrencyTypes ReadCurrency(this IBSocket socket) { return(socket.ReadStr().To <CurrencyTypes>()); }
private void ReadPortfolioName(IBSocket socket) { /*var str = */socket.ReadStr(); //return str.IsEmpty() ? null : str; }
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 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)); }
public static string ReadBoardCode(this IBSocket socket) { return(socket.ReadStr()); }
public static OptionTypes?ReadOptionType(this IBSocket socket) { var str = socket.ReadStr(); return((str.IsEmpty() || str.Equals("?")) ? (OptionTypes?)null : (str == "C" ? OptionTypes.Call : OptionTypes.Put)); }
private void ReadFinancialAdvice(IBSocket socket) { var type = socket.ReadInt(); var xml = socket.ReadStr(); SendOutMessage(new FinancialAdviseMessage { AdviseType = type, Data = xml }); }
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 ReadManagedAccounts(IBSocket socket) { var names = socket.ReadStr().Split(','); //managedAccounts(accountsList); names.ForEach(pf => SendOutMessage(new PortfolioMessage { PortfolioName = pf })); }
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 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, //}); }
public static void ReadOrderType(this IBSocket socket, out OrderTypes type, out IBOrderCondition.ExtendedOrderTypes?extendedType) { var str = socket.ReadStr(); switch (str.ToUpperInvariant()) { case "LMT": type = OrderTypes.Limit; extendedType = IBOrderCondition.ExtendedOrderTypes.Empty; break; case "MKT": type = OrderTypes.Market; extendedType = IBOrderCondition.ExtendedOrderTypes.Empty; break; case "MOC": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.MarketOnClose; break; case "LMTCLS": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.LimitOnClose; break; case "PEGMKT": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.PeggedToMarket; break; case "STP": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.Stop; break; case "STP LMT": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.StopLimit; break; case "TRAIL": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.TrailingStop; break; case "REL": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.Relative; break; case "VWAP": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.VolumeWeightedAveragePrice; break; case "TRAILLIMIT": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.TrailingStopLimit; break; case "VOL": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.Volatility; break; case "NONE": type = OrderTypes.Conditional; extendedType = null; break; case "": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.Empty; break; case "Default": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.Default; break; case "SCALE": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.Scale; break; case "MIT": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.MarketIfTouched; break; case "LIT": type = OrderTypes.Conditional; extendedType = IBOrderCondition.ExtendedOrderTypes.LimitIfTouched; break; default: throw new InvalidOperationException(LocalizedStrings.Str2504Params.Put(str)); } }
private void ReadAccountSummary(IBSocket socket) { /* requestId */ socket.ReadInt(); var account = socket.ReadStr(); var tag = socket.ReadStr().To<AccountSummaryTag>(); var value = socket.ReadStr(); var currency = socket.ReadCurrency(); var msg = this.CreatePortfolioChangeMessage(account); msg.Add(PositionChangeTypes.Currency, currency); switch (tag) { case AccountSummaryTag.TotalCashValue: msg.Add(PositionChangeTypes.CurrentValue, value.To<decimal>()); break; case AccountSummaryTag.SettledCash: msg.Add(PositionChangeTypes.BlockedValue, value.To<decimal>()); break; case AccountSummaryTag.AccruedCash: msg.Add(PositionChangeTypes.VariationMargin, value.To<decimal>()); break; case AccountSummaryTag.InitMarginReq: msg.Add(PositionChangeTypes.BeginValue, value.To<decimal>()); break; case AccountSummaryTag.Leverage: msg.Add(PositionChangeTypes.Leverage, value.To<decimal>()); break; } SendOutMessage(msg); }
/// <summary> /// Send message. /// </summary> /// <param name="message">Message.</param> protected override void OnSendInMessage(Message message) { switch (message.Type) { case MessageTypes.Reset: { _depths.Clear(); _secIdByTradeIds.Clear(); if (_socket != null) { try { _socket.Dispose(); } catch (Exception ex) { SendOutError(ex); } _socket = null; } SendOutMessage(new ResetMessage()); break; } case MessageTypes.Connect: { if (_socket != null) throw new InvalidOperationException(LocalizedStrings.Str1619); _socket = new IBSocket { Parent = this }; _socket.ProcessResponse += OnProcessResponse; _socket.Connect(Address); _socket.Send((int)_clientVersion); _socket.ServerVersion = (ServerVersions)_socket.ReadInt(); if (_socket.ServerVersion >= ServerVersions.V20) { var str = _socket.ReadStr(); ConnectedTime = str.Substring(0, str.LastIndexOf(' ')).ToDateTime("yyyyMMdd HH:mm:ss"); } if (_socket.ServerVersion < _minimumServerVersion) { throw new InvalidOperationException(LocalizedStrings.Str2513Params .Put((int)_socket.ServerVersion, (int)_minimumServerVersion)); } if (_socket.ServerVersion >= ServerVersions.V3) { if (_socket.ServerVersion >= ServerVersions.V70) { if (!ExtraAuth) { _socket.Send((int)RequestMessages.StartApi); _socket.Send((int)ServerVersions.V2); _socket.Send(ClientId); if (_socket.ServerVersion >= ServerVersions.V72) { _socket.Send(OptionalCapabilities); } } } else _socket.Send(ClientId); } _socket.StartListening(error => SendOutMessage(new ConnectMessage { Error = error })); SendOutMessage(new ConnectMessage()); // отправляется автоматически //RequestIds(1); SetServerLogLevel(); SetMarketDataType(); RequestCurrentTime(); break; } case MessageTypes.Disconnect: { if (_socket == null) throw new InvalidOperationException(LocalizedStrings.Str1856); UnSubscribePosition(); UnSubscribeAccountSummary(_pfRequests.GetAndRemove("ALL")); _socket.Dispose(); _socket = null; SendOutMessage(new DisconnectMessage()); break; } case MessageTypes.OrderRegister: { RegisterOrder((OrderRegisterMessage)message); break; } case MessageTypes.OrderCancel: { var cancelMsg = (OrderCancelMessage)message; ProcessRequest(RequestMessages.CancelOrder, 0, ServerVersions.V1, socket => socket.Send((int)cancelMsg.OrderTransactionId)); break; } case MessageTypes.OrderGroupCancel: { RequestGlobalCancel(); break; } case MessageTypes.SecurityLookup: { RequestSecurityInfo((SecurityLookupMessage)message); break; } case MessageTypes.MarketData: { ProcessMarketDataMessage((MarketDataMessage)message); break; } case MessageTypes.PortfolioLookup: { var pfMsg = (PortfolioLookupMessage)message; // отправляется автоматически //RequestPortfolios(); SubscribePosition(); _pfRequests.Add("ALL", pfMsg.TransactionId); SubscribeAccountSummary(pfMsg.TransactionId, "ALL", Enumerator.GetValues<AccountSummaryTag>()); break; } case MessageTypes.Portfolio: { var pfMsg = (PortfolioMessage)message; SubscribePortfolio(pfMsg.PortfolioName, pfMsg.IsSubscribe); break; } case MessageTypes.OrderStatus: { var orderMsg = (OrderStatusMessage)message; RequestOpenOrders(); RequestAllOpenOrders(); //RequestAutoOpenOrders(ClientId == 0); ReqeustMyTrades(orderMsg.TransactionId, new MyTradeFilter()); break; } } }
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 bool OnProcessResponse(IBSocket socket) { var str = socket.ReadStr(false); if (str.IsEmpty()) { socket.AddErrorLog(LocalizedStrings.Str2524); return false; } var message = (ResponseMessages)str.To<int>(); socket.AddDebugLog("Msg: {0}", message); if (message == ResponseMessages.Error) return false; var version = (ServerVersions)socket.ReadInt(); switch (message) { case ResponseMessages.CurrentTime: { // http://www.interactivebrokers.com/en/software/api/apiguide/java/currenttime.htm var time = socket.ReadLongDateTime(); OnProcessTimeShift(TimeHelper.NowWithOffset - time); break; } case ResponseMessages.ErrorMessage: { if (version < ServerVersions.V2) { OnProcessMarketDataError(socket.ReadStr()); } else { var id = socket.ReadInt(); var code = socket.ReadInt(); var msg = socket.ReadStr(); socket.AddInfoLog(() => msg); if (id == -1) break; switch ((NotifyCodes)code) { case NotifyCodes.OrderCancelled: { OnProcessOrderCancelled(id); break; } case NotifyCodes.OrderCannotTransmit: case NotifyCodes.OrderCannotTransmitId: case NotifyCodes.OrderCannotTransmitIncomplete: case NotifyCodes.OrderDuplicateId: case NotifyCodes.OrderFilled: case NotifyCodes.OrderNotMatchPrev: case NotifyCodes.OrderPriceOutOfRange: case NotifyCodes.OrderSubmitFailed: case NotifyCodes.OrderVolumeTooSmall: case NotifyCodes.Rejected: { OnProcessOrderError(id, msg); break; } case NotifyCodes.SecurityNoDefinition: OnProcessSecurityLookupNoFound(id); break; default: OnProcessMarketDataError(LocalizedStrings.Str2525Params.Put(msg, id, code)); break; } } break; } case ResponseMessages.VerifyMessageApi: { /*int version =*/ socket.ReadInt(); /*var apiData = */ socket.ReadStr(); //eWrapper().verifyMessageAPI(apiData); break; } case ResponseMessages.VerifyCompleted: { /*int version =*/ socket.ReadInt(); var isSuccessfulStr = socket.ReadStr(); var isSuccessful = "true".CompareIgnoreCase(isSuccessfulStr); /*var errorText = */ socket.ReadStr(); if (isSuccessful) { throw new NotSupportedException(); //m_parent.startAPI(); } //eWrapper().verifyCompleted(isSuccessful, errorText); break; } case ResponseMessages.DisplayGroupList: { /*int version =*/ socket.ReadInt(); /*var reqId = */ socket.ReadInt(); /*var groups = */ socket.ReadStr(); //eWrapper().displayGroupList(reqId, groups); break; } case ResponseMessages.DisplayGroupUpdated: { /*int version =*/ socket.ReadInt(); /*var reqId = */ socket.ReadInt(); /*var contractInfo = */ socket.ReadStr(); //eWrapper().displayGroupUpdated(reqId, contractInfo); break; } default: { if (!message.IsDefined()) return false; var handled = ProcessTransactionResponse(socket, message, version); if (!handled) handled = ProcessMarketDataResponse(socket, message, version); if (!handled) throw new InvalidOperationException(LocalizedStrings.Str1622Params.Put(message)); break; } } return true; }
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 void ReadTickString(IBSocket socket) { var requestId = socket.ReadInt(); var field = (FieldTypes)socket.ReadInt(); var valueRenamed = socket.ReadStr(); //GetLevel1Message(requestId); //tickString(requestId, fieldType, valueRenamed); }
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 ReadTickEfp(IBSocket socket) { var requestId = socket.ReadInt(); var fieldType = (FieldTypes)socket.ReadInt(); var basisPoints = socket.ReadDecimal(); var formattedBasisPoints = socket.ReadStr(); var impliedFuturesPrice = socket.ReadDecimal(); var holdDays = socket.ReadInt(); var futureExpiry = socket.ReadStr(); var dividendImpact = socket.ReadDecimal(); var dividendsToExpiry = socket.ReadDecimal(); //tickEfp(requestId, fieldType, basisPoints, formattedBasisPoints, impliedFuturesPrice, // holdDays, futureExpiry, dividendImpact, dividendsToExpiry); var l1Msg = GetLevel1Message(requestId) .TryAdd(Level1Fields.StepPrice, basisPoints) .TryAdd(Level1Fields.Yield, dividendsToExpiry); SendOutMessage(l1Msg); }