188 lines
3.8 KiB
C++
188 lines
3.8 KiB
C++
/* 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 contract_def
|
|
#define contract_def
|
|
|
|
#include "TagValue.h"
|
|
|
|
/*
|
|
SAME_POS = open/close leg value is same as combo
|
|
OPEN_POS = open
|
|
CLOSE_POS = close
|
|
UNKNOWN_POS = unknown
|
|
*/
|
|
enum LegOpenClose { SAME_POS, OPEN_POS, CLOSE_POS, UNKNOWN_POS };
|
|
|
|
struct ComboLeg
|
|
{
|
|
ComboLeg()
|
|
: conId(0)
|
|
, ratio(0)
|
|
, openClose(0)
|
|
, shortSaleSlot(0)
|
|
, exemptCode(-1)
|
|
{
|
|
}
|
|
|
|
long conId;
|
|
long ratio;
|
|
std::string action; //BUY/SELL/SSHORT
|
|
|
|
std::string exchange;
|
|
long openClose; // LegOpenClose enum values
|
|
|
|
// for stock legs when doing short sale
|
|
long shortSaleSlot; // 1 = clearing broker, 2 = third party
|
|
std::string designatedLocation;
|
|
int exemptCode;
|
|
|
|
bool operator==( const ComboLeg& other) const
|
|
{
|
|
return (conId == other.conId &&
|
|
ratio == other.ratio &&
|
|
openClose == other.openClose &&
|
|
shortSaleSlot == other.shortSaleSlot &&
|
|
exemptCode == other.exemptCode &&
|
|
action == other.action &&
|
|
exchange == other.exchange &&
|
|
designatedLocation == other.designatedLocation);
|
|
}
|
|
};
|
|
|
|
struct UnderComp
|
|
{
|
|
UnderComp()
|
|
: conId(0)
|
|
, delta(0)
|
|
, price(0)
|
|
{}
|
|
|
|
long conId;
|
|
double delta;
|
|
double price;
|
|
};
|
|
|
|
typedef ibapi::shared_ptr<ComboLeg> ComboLegSPtr;
|
|
|
|
struct Contract
|
|
{
|
|
Contract()
|
|
: conId(0)
|
|
, strike(0)
|
|
, includeExpired(false)
|
|
, comboLegs(NULL)
|
|
, underComp(NULL)
|
|
{
|
|
}
|
|
|
|
long conId;
|
|
std::string symbol;
|
|
std::string secType;
|
|
std::string lastTradeDateOrContractMonth;
|
|
double strike;
|
|
std::string right;
|
|
std::string multiplier;
|
|
std::string exchange;
|
|
std::string primaryExchange; // pick an actual (ie non-aggregate) exchange that the contract trades on. DO NOT SET TO SMART.
|
|
std::string currency;
|
|
std::string localSymbol;
|
|
std::string tradingClass;
|
|
bool includeExpired;
|
|
std::string secIdType; // CUSIP;SEDOL;ISIN;RIC
|
|
std::string secId;
|
|
|
|
// COMBOS
|
|
std::string comboLegsDescrip; // received in open order 14 and up for all combos
|
|
|
|
// combo legs
|
|
typedef std::vector<ComboLegSPtr> ComboLegList;
|
|
typedef ibapi::shared_ptr<ComboLegList> ComboLegListSPtr;
|
|
|
|
ComboLegListSPtr comboLegs;
|
|
|
|
// delta neutral
|
|
UnderComp* underComp;
|
|
|
|
public:
|
|
|
|
// Helpers
|
|
static void CloneComboLegs(ComboLegListSPtr& dst, const ComboLegListSPtr& src);
|
|
};
|
|
|
|
struct ContractDetails
|
|
{
|
|
ContractDetails()
|
|
: minTick(0)
|
|
, priceMagnifier(0)
|
|
, underConId(0)
|
|
, evMultiplier(0)
|
|
, callable(false)
|
|
, putable(false)
|
|
, coupon(0)
|
|
, convertible(false)
|
|
, nextOptionPartial(false)
|
|
{
|
|
}
|
|
|
|
Contract summary;
|
|
std::string marketName;
|
|
double minTick;
|
|
std::string orderTypes;
|
|
std::string validExchanges;
|
|
long priceMagnifier;
|
|
int underConId;
|
|
std::string longName;
|
|
std::string contractMonth;
|
|
std::string industry;
|
|
std::string category;
|
|
std::string subcategory;
|
|
std::string timeZoneId;
|
|
std::string tradingHours;
|
|
std::string liquidHours;
|
|
std::string evRule;
|
|
double evMultiplier;
|
|
|
|
TagValueListSPtr secIdList;
|
|
|
|
// BOND values
|
|
std::string cusip;
|
|
std::string ratings;
|
|
std::string descAppend;
|
|
std::string bondType;
|
|
std::string couponType;
|
|
bool callable;
|
|
bool putable;
|
|
double coupon;
|
|
bool convertible;
|
|
std::string maturity;
|
|
std::string issueDate;
|
|
std::string nextOptionDate;
|
|
std::string nextOptionType;
|
|
bool nextOptionPartial;
|
|
std::string notes;
|
|
};
|
|
|
|
inline void
|
|
Contract::CloneComboLegs(ComboLegListSPtr& dst, const ComboLegListSPtr& src)
|
|
{
|
|
if (!src.get())
|
|
return;
|
|
|
|
dst->reserve(src->size());
|
|
|
|
ComboLegList::const_iterator iter = src->begin();
|
|
const ComboLegList::const_iterator iterEnd = src->end();
|
|
|
|
for (; iter != iterEnd; ++iter) {
|
|
const ComboLeg* leg = iter->get();
|
|
if (!leg)
|
|
continue;
|
|
dst->push_back(ComboLegSPtr(new ComboLeg(*leg)));
|
|
}
|
|
}
|
|
|
|
|
|
#endif
|