vnpy/vn.ib/ibapi/client/EClient.h

/* Copyright (C) 2013 Interactive Brokers LLC. All rights reserved. This code is subject to the terms
 * and conditions of the IB API Non-Commercial License or the IB API Commercial License, as applicable. */

#pragma once
#ifndef eclient_h__INCLUDED
#define eclient_h__INCLUDED


#include <memory>
#include <string>
#include <vector>
#include <iosfwd>
#include "CommonDefs.h"
#include "TagValue.h"

struct Contract;
struct Order;
struct ExecutionFilter;
struct ScannerSubscription;
struct ETransport;

class EWrapper;
typedef std::vector<char> BytesVec;


class TWSAPIDLLEXP EClient
{
public:

	explicit EClient(EWrapper *ptr, ETransport *pTransport);
	~EClient();

	virtual void eDisconnect() = 0;

	int clientId() const { return m_clientId; }

	const std::string& optionalCapabilities() const;
	void setOptionalCapabilities(const std::string& optCapts);

	void setConnectOptions(const std::string& connectOptions);
	void disableUseV100Plus();
	bool usingV100Plus();

protected:

	void eConnectBase();
	void eDisconnectBase();

public:

	enum ConnState {
		CS_DISCONNECTED,
		CS_CONNECTING,
		CS_CONNECTED,
		CS_REDIRECT
	};

	// connection state
	ConnState connState() const;
	bool isConnected() const;

	const std::string& host() const { return m_host; }
	unsigned port() const { return m_port; }

public:

	// access to protected variables
	EWrapper * getWrapper() const;
protected:
	void setClientId( int clientId);
	void setExtraAuth( bool extraAuth);
	void setHost( const std::string& host);
	void setPort( unsigned port);

public:

	bool isInBufferEmpty() const;

	// override virtual funcs from EClient
	int serverVersion();
	std::string TwsConnectionTime();
	void reqMktData(TickerId id, const Contract& contract,
		const std::string& genericTicks, bool snapshot, const TagValueListSPtr& mktDataOptions);
	void cancelMktData(TickerId id);
	void placeOrder(OrderId id, const Contract& contract, const Order& order);
	void cancelOrder(OrderId id) ;
	void reqOpenOrders();
	void reqAccountUpdates(bool subscribe, const std::string& acctCode);
	void reqExecutions(int reqId, const ExecutionFilter& filter);
	void reqIds(int numIds);
	void reqContractDetails(int reqId, const Contract& contract);
	void reqMktDepth(TickerId tickerId, const Contract& contract, int numRows, const TagValueListSPtr& mktDepthOptions);
	void cancelMktDepth(TickerId tickerId);
	void reqNewsBulletins(bool allMsgs);
	void cancelNewsBulletins();
	void setServerLogLevel(int level);
	void reqAutoOpenOrders(bool bAutoBind);
	void reqAllOpenOrders();
	void reqManagedAccts();
	void requestFA(faDataType pFaDataType);
	void replaceFA(faDataType pFaDataType, const std::string& cxml);
	void reqHistoricalData( TickerId id, const Contract& contract,
		const std::string& endDateTime, const std::string& durationStr,
		const std::string&  barSizeSetting, const std::string& whatToShow,
		int useRTH, int formatDate, const TagValueListSPtr& chartOptions);
	void exerciseOptions(TickerId tickerId, const Contract& contract,
		int exerciseAction, int exerciseQuantity,
		const std::string& account, int override);
	void cancelHistoricalData(TickerId tickerId );
	void reqRealTimeBars(TickerId id, const Contract& contract, int barSize,
		const std::string& whatToShow, bool useRTH, const TagValueListSPtr& realTimeBarsOptions);
	void cancelRealTimeBars(TickerId tickerId );
	void cancelScannerSubscription(int tickerId);
	void reqScannerParameters();
	void reqScannerSubscription(int tickerId, const ScannerSubscription& subscription, const TagValueListSPtr& scannerSubscriptionOptions);
	void reqCurrentTime();
	void reqFundamentalData(TickerId reqId, const Contract&, const std::string& reportType);
	void cancelFundamentalData(TickerId reqId);
	void calculateImpliedVolatility(TickerId reqId, const Contract& contract, double optionPrice, double underPrice);
	void calculateOptionPrice(TickerId reqId, const Contract& contract, double volatility, double underPrice);
	void cancelCalculateImpliedVolatility(TickerId reqId);
	void cancelCalculateOptionPrice(TickerId reqId);
	void reqGlobalCancel();
	void reqMarketDataType(int marketDataType);
	void reqPositions();
	void cancelPositions();
	void reqAccountSummary( int reqId, const std::string& groupName, const std::string& tags);
	void cancelAccountSummary( int reqId);
	void verifyRequest( const std::string& apiName, const std::string& apiVersion);
	void verifyMessage( const std::string& apiData);
	void verifyAndAuthRequest( const std::string& apiName, const std::string& apiVersion, const std::string& opaqueIsvKey);
	void verifyAndAuthMessage( const std::string& apiData, const std::string& xyzResponse);
	void queryDisplayGroups( int reqId);
	void subscribeToGroupEvents( int reqId, int groupId);
	void updateDisplayGroup( int reqId, const std::string& contractInfo);
	void unsubscribeFromGroupEvents( int reqId);
	void reqPositionsMulti( int reqId, const std::string& account, const std::string& modelCode);
	void cancelPositionsMulti( int reqId);
	void reqAccountUpdatessMulti( int reqId, const std::string& account, const std::string& modelCode, bool ledgerAndNLV);
	void cancelAccountUpdatesMulti( int reqId);
	void reqSecDefOptParams(int reqId, const std::string& underlyingSymbol, const std::string& futFopExchange, const std::string& underlyingSecType, int underlyingConId);

private:

	virtual int receive(char* buf, size_t sz) = 0;

protected:

	virtual void prepareBufferImpl(std::ostream&) const = 0;
	virtual void prepareBuffer(std::ostream&) const = 0;
	virtual bool closeAndSend(std::string msg, unsigned offset = 0) = 0;
	virtual int bufferedSend(const std::string& msg);

protected:
	int bufferedRead();

	// try to process connection request ack
private:
	// try to process single msg
	int processMsgImpl(const char*& ptr, const char* endPtr);
	int processMsg(const char*& ptr, const char* endPtr);

	typedef int (EClient::*messageHandler)(const char*& ptr, const char* endPtr);
	int processOnePrefixedMsg(const char*& ptr, const char* endPtr, messageHandler);

public:
	void startApi();


	// encoders
	template<class T> static void EncodeField(std::ostream&, T);

	// "max" encoders
	static void EncodeFieldMax(std::ostream& os, int);
	static void EncodeFieldMax(std::ostream& os, double);

	// socket state
private:
	virtual bool isSocketOK() const = 0;

protected:

	bool isConnecting() const;
	int sendConnectRequest();
    bool extraAuth();

protected:

	EWrapper *m_pEWrapper;
    std::auto_ptr<ETransport> m_transport;

private:
	BytesVec m_inBuffer;

	std::string m_host;
	int m_port;

	int m_clientId;

	ConnState m_connState;
	bool m_extraAuth;

protected:
	int m_serverVersion;
	std::string m_TwsTime;

private:
	std::string m_optionalCapabilities;

	std::string m_connectOptions;

protected:
	bool m_useV100Plus;

};

template<> void EClient::EncodeField<bool>(std::ostream& os, bool);
template<> void EClient::EncodeField<double>(std::ostream& os, double);

#define ENCODE_FIELD(x) EClient::EncodeField(msg, x);
#define ENCODE_FIELD_MAX(x) EClient::EncodeFieldMax(msg, x);


#endif