2016-08-23 15:45:06 +00:00
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/* Copyright (C) 2013 Interactive Brokers LLC. All rights reserved. This code is subject to the terms
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* and conditions of the IB API Non-Commercial License or the IB API Commercial License, as applicable. */
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#pragma once
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#ifndef ewrapper_def
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#define ewrapper_def
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#include "CommonDefs.h"
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2016-11-11 16:42:37 +00:00
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#include "SoftDollarTier.h"
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2016-08-23 15:45:06 +00:00
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#include <string>
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#include <set>
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enum TickType { BID_SIZE, BID, ASK, ASK_SIZE, LAST, LAST_SIZE,
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HIGH, LOW, VOLUME, CLOSE,
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BID_OPTION_COMPUTATION,
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ASK_OPTION_COMPUTATION,
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LAST_OPTION_COMPUTATION,
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MODEL_OPTION,
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OPEN,
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LOW_13_WEEK,
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HIGH_13_WEEK,
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LOW_26_WEEK,
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HIGH_26_WEEK,
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LOW_52_WEEK,
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HIGH_52_WEEK,
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AVG_VOLUME,
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OPEN_INTEREST,
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OPTION_HISTORICAL_VOL,
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OPTION_IMPLIED_VOL,
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OPTION_BID_EXCH,
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OPTION_ASK_EXCH,
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OPTION_CALL_OPEN_INTEREST,
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OPTION_PUT_OPEN_INTEREST,
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OPTION_CALL_VOLUME,
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OPTION_PUT_VOLUME,
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INDEX_FUTURE_PREMIUM,
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BID_EXCH,
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ASK_EXCH,
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AUCTION_VOLUME,
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AUCTION_PRICE,
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AUCTION_IMBALANCE,
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MARK_PRICE,
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BID_EFP_COMPUTATION,
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ASK_EFP_COMPUTATION,
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LAST_EFP_COMPUTATION,
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OPEN_EFP_COMPUTATION,
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HIGH_EFP_COMPUTATION,
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LOW_EFP_COMPUTATION,
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CLOSE_EFP_COMPUTATION,
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LAST_TIMESTAMP,
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SHORTABLE,
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FUNDAMENTAL_RATIOS,
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RT_VOLUME,
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HALTED,
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BID_YIELD,
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ASK_YIELD,
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LAST_YIELD,
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CUST_OPTION_COMPUTATION,
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TRADE_COUNT,
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TRADE_RATE,
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VOLUME_RATE,
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LAST_RTH_TRADE,
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RT_HISTORICAL_VOL,
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IB_DIVIDENDS,
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BOND_FACTOR_MULTIPLIER,
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REGULATORY_IMBALANCE,
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NEWS_TICK,
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SHORT_TERM_VOLUME_3_MIN,
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SHORT_TERM_VOLUME_5_MIN,
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SHORT_TERM_VOLUME_10_MIN,
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DELAYED_BID,
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DELAYED_ASK,
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DELAYED_LAST,
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DELAYED_BID_SIZE,
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DELAYED_ASK_SIZE,
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DELAYED_LAST_SIZE,
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DELAYED_HIGH,
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DELAYED_LOW,
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DELAYED_VOLUME,
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DELAYED_CLOSE,
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DELAYED_OPEN,
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2016-11-11 16:42:37 +00:00
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RT_TRD_VOLUME,
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CREDITMAN_MARK_PRICE,
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CREDITMAN_SLOW_MARK_PRICE,
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2016-08-23 15:45:06 +00:00
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NOT_SET };
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inline bool isPrice( TickType tickType) {
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return tickType == BID || tickType == ASK || tickType == LAST;
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}
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struct Contract;
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struct ContractDetails;
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struct Order;
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struct OrderState;
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struct Execution;
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struct UnderComp;
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struct CommissionReport;
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class EWrapper
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{
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public:
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virtual ~EWrapper() {};
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virtual void tickPrice( TickerId tickerId, TickType field, double price, int canAutoExecute) = 0;
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virtual void tickSize( TickerId tickerId, TickType field, int size) = 0;
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virtual void tickOptionComputation( TickerId tickerId, TickType tickType, double impliedVol, double delta,
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double optPrice, double pvDividend, double gamma, double vega, double theta, double undPrice) = 0;
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virtual void tickGeneric(TickerId tickerId, TickType tickType, double value) = 0;
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virtual void tickString(TickerId tickerId, TickType tickType, const std::string& value) = 0;
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virtual void tickEFP(TickerId tickerId, TickType tickType, double basisPoints, const std::string& formattedBasisPoints,
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double totalDividends, int holdDays, const std::string& futureLastTradeDate, double dividendImpact, double dividendsToLastTradeDate) = 0;
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virtual void orderStatus( OrderId orderId, const std::string& status, double filled,
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double remaining, double avgFillPrice, int permId, int parentId,
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double lastFillPrice, int clientId, const std::string& whyHeld) = 0;
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virtual void openOrder( OrderId orderId, const Contract&, const Order&, const OrderState&) = 0;
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virtual void openOrderEnd() = 0;
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virtual void winError( const std::string& str, int lastError) = 0;
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virtual void connectionClosed() = 0;
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virtual void updateAccountValue(const std::string& key, const std::string& val,
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const std::string& currency, const std::string& accountName) = 0;
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virtual void updatePortfolio( const Contract& contract, double position,
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double marketPrice, double marketValue, double averageCost,
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double unrealizedPNL, double realizedPNL, const std::string& accountName) = 0;
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virtual void updateAccountTime(const std::string& timeStamp) = 0;
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virtual void accountDownloadEnd(const std::string& accountName) = 0;
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virtual void nextValidId( OrderId orderId) = 0;
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virtual void contractDetails( int reqId, const ContractDetails& contractDetails) = 0;
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virtual void bondContractDetails( int reqId, const ContractDetails& contractDetails) = 0;
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virtual void contractDetailsEnd( int reqId) = 0;
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virtual void execDetails( int reqId, const Contract& contract, const Execution& execution) =0;
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virtual void execDetailsEnd( int reqId) =0;
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virtual void error(const int id, const int errorCode, const std::string errorString) = 0;
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virtual void updateMktDepth(TickerId id, int position, int operation, int side,
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double price, int size) = 0;
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virtual void updateMktDepthL2(TickerId id, int position, std::string marketMaker, int operation,
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int side, double price, int size) = 0;
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virtual void updateNewsBulletin(int msgId, int msgType, const std::string& newsMessage, const std::string& originExch) = 0;
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virtual void managedAccounts( const std::string& accountsList) = 0;
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virtual void receiveFA(faDataType pFaDataType, const std::string& cxml) = 0;
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virtual void historicalData(TickerId reqId, const std::string& date, double open, double high,
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double low, double close, int volume, int barCount, double WAP, int hasGaps) = 0;
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virtual void scannerParameters(const std::string& xml) = 0;
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virtual void scannerData(int reqId, int rank, const ContractDetails& contractDetails,
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const std::string& distance, const std::string& benchmark, const std::string& projection,
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const std::string& legsStr) = 0;
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virtual void scannerDataEnd(int reqId) = 0;
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virtual void realtimeBar(TickerId reqId, long time, double open, double high, double low, double close,
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long volume, double wap, int count) = 0;
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virtual void currentTime(long time) = 0;
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virtual void fundamentalData(TickerId reqId, const std::string& data) = 0;
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virtual void deltaNeutralValidation(int reqId, const UnderComp& underComp) = 0;
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virtual void tickSnapshotEnd( int reqId) = 0;
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virtual void marketDataType( TickerId reqId, int marketDataType) = 0;
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virtual void commissionReport( const CommissionReport& commissionReport) = 0;
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virtual void position( const std::string& account, const Contract& contract, double position, double avgCost) = 0;
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virtual void positionEnd() = 0;
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virtual void accountSummary( int reqId, const std::string& account, const std::string& tag, const std::string& value, const std::string& curency) = 0;
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virtual void accountSummaryEnd( int reqId) = 0;
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virtual void verifyMessageAPI( const std::string& apiData) = 0;
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virtual void verifyCompleted( bool isSuccessful, const std::string& errorText) = 0;
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virtual void displayGroupList( int reqId, const std::string& groups) = 0;
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virtual void displayGroupUpdated( int reqId, const std::string& contractInfo) = 0;
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virtual void verifyAndAuthMessageAPI( const std::string& apiData, const std::string& xyzChallange) = 0;
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virtual void verifyAndAuthCompleted( bool isSuccessful, const std::string& errorText) = 0;
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virtual void connectAck() = 0;
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virtual void positionMulti( int reqId, const std::string& account,const std::string& modelCode, const Contract& contract, double pos, double avgCost) = 0;
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virtual void positionMultiEnd( int reqId) = 0;
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virtual void accountUpdateMulti( int reqId, const std::string& account, const std::string& modelCode, const std::string& key, const std::string& value, const std::string& currency) = 0;
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virtual void accountUpdateMultiEnd( int reqId) = 0;
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virtual void securityDefinitionOptionalParameter(int reqId, const std::string& exchange, int underlyingConId, const std::string& tradingClass, const std::string& multiplier, std::set<std::string> expirations, std::set<double> strikes) = 0;
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virtual void securityDefinitionOptionalParameterEnd(int reqId) = 0;
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2016-11-11 16:42:37 +00:00
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virtual void softDollarTiers(int reqId, const std::vector<SoftDollarTier> &tiers) = 0;
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2016-08-23 15:45:06 +00:00
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};
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#endif
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