225 lines
6.9 KiB
C++
225 lines
6.9 KiB
C++
/* 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 eclient_h__INCLUDED
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#define eclient_h__INCLUDED
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#include <memory>
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#include <string>
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#include <vector>
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#include <iosfwd>
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#include "CommonDefs.h"
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#include "TagValue.h"
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struct Contract;
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struct Order;
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struct ExecutionFilter;
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struct ScannerSubscription;
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struct ETransport;
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class EWrapper;
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typedef std::vector<char> BytesVec;
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class TWSAPIDLLEXP EClient
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{
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public:
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explicit EClient(EWrapper *ptr, ETransport *pTransport);
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~EClient();
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virtual void eDisconnect() = 0;
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int clientId() const { return m_clientId; }
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const std::string& optionalCapabilities() const;
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void setOptionalCapabilities(const std::string& optCapts);
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void setConnectOptions(const std::string& connectOptions);
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void disableUseV100Plus();
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bool usingV100Plus();
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protected:
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void eConnectBase();
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void eDisconnectBase();
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public:
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enum ConnState {
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CS_DISCONNECTED,
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CS_CONNECTING,
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CS_CONNECTED,
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CS_REDIRECT
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};
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// connection state
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ConnState connState() const;
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bool isConnected() const;
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const std::string& host() const { return m_host; }
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unsigned port() const { return m_port; }
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public:
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// access to protected variables
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EWrapper * getWrapper() const;
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protected:
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void setClientId( int clientId);
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void setExtraAuth( bool extraAuth);
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void setHost( const std::string& host);
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void setPort( unsigned port);
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public:
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bool isInBufferEmpty() const;
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// override virtual funcs from EClient
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int serverVersion();
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std::string TwsConnectionTime();
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void reqMktData(TickerId id, const Contract& contract,
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const std::string& genericTicks, bool snapshot, const TagValueListSPtr& mktDataOptions);
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void cancelMktData(TickerId id);
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void placeOrder(OrderId id, const Contract& contract, const Order& order);
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void cancelOrder(OrderId id) ;
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void reqOpenOrders();
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void reqAccountUpdates(bool subscribe, const std::string& acctCode);
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void reqExecutions(int reqId, const ExecutionFilter& filter);
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void reqIds(int numIds);
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void reqContractDetails(int reqId, const Contract& contract);
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void reqMktDepth(TickerId tickerId, const Contract& contract, int numRows, const TagValueListSPtr& mktDepthOptions);
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void cancelMktDepth(TickerId tickerId);
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void reqNewsBulletins(bool allMsgs);
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void cancelNewsBulletins();
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void setServerLogLevel(int level);
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void reqAutoOpenOrders(bool bAutoBind);
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void reqAllOpenOrders();
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void reqManagedAccts();
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void requestFA(faDataType pFaDataType);
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void replaceFA(faDataType pFaDataType, const std::string& cxml);
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void reqHistoricalData( TickerId id, const Contract& contract,
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const std::string& endDateTime, const std::string& durationStr,
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const std::string& barSizeSetting, const std::string& whatToShow,
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int useRTH, int formatDate, const TagValueListSPtr& chartOptions);
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void exerciseOptions(TickerId tickerId, const Contract& contract,
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int exerciseAction, int exerciseQuantity,
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const std::string& account, int override);
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void cancelHistoricalData(TickerId tickerId );
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void reqRealTimeBars(TickerId id, const Contract& contract, int barSize,
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const std::string& whatToShow, bool useRTH, const TagValueListSPtr& realTimeBarsOptions);
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void cancelRealTimeBars(TickerId tickerId );
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void cancelScannerSubscription(int tickerId);
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void reqScannerParameters();
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void reqScannerSubscription(int tickerId, const ScannerSubscription& subscription, const TagValueListSPtr& scannerSubscriptionOptions);
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void reqCurrentTime();
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void reqFundamentalData(TickerId reqId, const Contract&, const std::string& reportType);
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void cancelFundamentalData(TickerId reqId);
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void calculateImpliedVolatility(TickerId reqId, const Contract& contract, double optionPrice, double underPrice);
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void calculateOptionPrice(TickerId reqId, const Contract& contract, double volatility, double underPrice);
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void cancelCalculateImpliedVolatility(TickerId reqId);
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void cancelCalculateOptionPrice(TickerId reqId);
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void reqGlobalCancel();
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void reqMarketDataType(int marketDataType);
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void reqPositions();
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void cancelPositions();
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void reqAccountSummary( int reqId, const std::string& groupName, const std::string& tags);
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void cancelAccountSummary( int reqId);
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void verifyRequest( const std::string& apiName, const std::string& apiVersion);
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void verifyMessage( const std::string& apiData);
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void verifyAndAuthRequest( const std::string& apiName, const std::string& apiVersion, const std::string& opaqueIsvKey);
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void verifyAndAuthMessage( const std::string& apiData, const std::string& xyzResponse);
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void queryDisplayGroups( int reqId);
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void subscribeToGroupEvents( int reqId, int groupId);
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void updateDisplayGroup( int reqId, const std::string& contractInfo);
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void unsubscribeFromGroupEvents( int reqId);
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void reqPositionsMulti( int reqId, const std::string& account, const std::string& modelCode);
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void cancelPositionsMulti( int reqId);
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void reqAccountUpdatessMulti( int reqId, const std::string& account, const std::string& modelCode, bool ledgerAndNLV);
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void cancelAccountUpdatesMulti( int reqId);
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void reqSecDefOptParams(int reqId, const std::string& underlyingSymbol, const std::string& futFopExchange, const std::string& underlyingSecType, int underlyingConId);
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private:
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virtual int receive(char* buf, size_t sz) = 0;
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protected:
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virtual void prepareBufferImpl(std::ostream&) const = 0;
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virtual void prepareBuffer(std::ostream&) const = 0;
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virtual bool closeAndSend(std::string msg, unsigned offset = 0) = 0;
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virtual int bufferedSend(const std::string& msg);
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protected:
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int bufferedRead();
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// try to process connection request ack
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private:
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// try to process single msg
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int processMsgImpl(const char*& ptr, const char* endPtr);
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int processMsg(const char*& ptr, const char* endPtr);
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typedef int (EClient::*messageHandler)(const char*& ptr, const char* endPtr);
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int processOnePrefixedMsg(const char*& ptr, const char* endPtr, messageHandler);
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public:
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void startApi();
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// encoders
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template<class T> static void EncodeField(std::ostream&, T);
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// "max" encoders
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static void EncodeFieldMax(std::ostream& os, int);
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static void EncodeFieldMax(std::ostream& os, double);
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// socket state
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private:
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virtual bool isSocketOK() const = 0;
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protected:
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bool isConnecting() const;
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int sendConnectRequest();
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bool extraAuth();
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protected:
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EWrapper *m_pEWrapper;
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std::auto_ptr<ETransport> m_transport;
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private:
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BytesVec m_inBuffer;
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std::string m_host;
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int m_port;
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int m_clientId;
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ConnState m_connState;
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bool m_extraAuth;
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protected:
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int m_serverVersion;
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std::string m_TwsTime;
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private:
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std::string m_optionalCapabilities;
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std::string m_connectOptions;
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protected:
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bool m_useV100Plus;
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};
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template<> void EClient::EncodeField<bool>(std::ostream& os, bool);
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template<> void EClient::EncodeField<double>(std::ostream& os, double);
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#define ENCODE_FIELD(x) EClient::EncodeField(msg, x);
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#define ENCODE_FIELD_MAX(x) EClient::EncodeFieldMax(msg, x);
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#endif
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