340 lines
9.1 KiB
C++
340 lines
9.1 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 order_def
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#define order_def
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#include "TagValue.h"
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#include "OrderCondition.h"
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#include "SoftDollarTier.h"
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#include <float.h>
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#include <limits.h>
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#define UNSET_DOUBLE DBL_MAX
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#define UNSET_INTEGER INT_MAX
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enum Origin { CUSTOMER,
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FIRM,
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UNKNOWN };
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enum AuctionStrategy { AUCTION_UNSET = 0,
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AUCTION_MATCH = 1,
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AUCTION_IMPROVEMENT = 2,
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AUCTION_TRANSPARENT = 3 };
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struct OrderComboLeg
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{
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OrderComboLeg()
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{
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price = UNSET_DOUBLE;
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}
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double price;
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bool operator==( const OrderComboLeg& other) const
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{
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return (price == other.price);
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}
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};
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typedef ibapi::shared_ptr<OrderComboLeg> OrderComboLegSPtr;
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struct Order
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{
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Order() :
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softDollarTier("", "", "")
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{
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// order identifier
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orderId = 0;
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clientId = 0;
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permId = 0;
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// main order fields
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totalQuantity = 0;
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lmtPrice = UNSET_DOUBLE;
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auxPrice = UNSET_DOUBLE;
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// extended order fields
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activeStartTime = "";
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activeStopTime = "";
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ocaType = 0;
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transmit = true;
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parentId = 0;
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blockOrder = false;
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sweepToFill = false;
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displaySize = 0;
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triggerMethod = 0;
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outsideRth = false;
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hidden = false;
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allOrNone = false;
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minQty = UNSET_INTEGER;
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percentOffset = UNSET_DOUBLE;
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overridePercentageConstraints = false;
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trailStopPrice = UNSET_DOUBLE;
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trailingPercent = UNSET_DOUBLE;
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// institutional (ie non-cleared) only
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openClose = "O";
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origin = CUSTOMER;
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shortSaleSlot = 0;
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exemptCode = -1;
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// SMART routing only
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discretionaryAmt = 0;
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eTradeOnly = true;
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firmQuoteOnly = true;
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nbboPriceCap = UNSET_DOUBLE;
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optOutSmartRouting = false;
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// BOX exchange orders only
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auctionStrategy = AUCTION_UNSET;
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startingPrice = UNSET_DOUBLE;
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stockRefPrice = UNSET_DOUBLE;
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delta = UNSET_DOUBLE;
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// pegged to stock and VOL orders only
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stockRangeLower = UNSET_DOUBLE;
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stockRangeUpper = UNSET_DOUBLE;
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randomizePrice = false;
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randomizeSize = false;
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// VOLATILITY ORDERS ONLY
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volatility = UNSET_DOUBLE;
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volatilityType = UNSET_INTEGER; // 1=daily, 2=annual
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deltaNeutralOrderType = "";
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deltaNeutralAuxPrice = UNSET_DOUBLE;
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deltaNeutralConId = 0;
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deltaNeutralSettlingFirm = "";
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deltaNeutralClearingAccount = "";
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deltaNeutralClearingIntent = "";
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deltaNeutralOpenClose = "";
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deltaNeutralShortSale = false;
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deltaNeutralShortSaleSlot = 0;
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deltaNeutralDesignatedLocation = "";
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continuousUpdate = false;
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referencePriceType = UNSET_INTEGER; // 1=Average, 2 = BidOrAsk
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// COMBO ORDERS ONLY
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basisPoints = UNSET_DOUBLE; // EFP orders only
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basisPointsType = UNSET_INTEGER; // EFP orders only
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// SCALE ORDERS ONLY
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scaleInitLevelSize = UNSET_INTEGER;
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scaleSubsLevelSize = UNSET_INTEGER;
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scalePriceIncrement = UNSET_DOUBLE;
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scalePriceAdjustValue = UNSET_DOUBLE;
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scalePriceAdjustInterval = UNSET_INTEGER;
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scaleProfitOffset = UNSET_DOUBLE;
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scaleAutoReset = false;
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scaleInitPosition = UNSET_INTEGER;
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scaleInitFillQty = UNSET_INTEGER;
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scaleRandomPercent = false;
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scaleTable = "";
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// What-if
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whatIf = false;
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// Not Held
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notHeld = false;
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solicited = false;
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triggerPrice = UNSET_DOUBLE;
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adjustedStopPrice = UNSET_DOUBLE;
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adjustedStopLimitPrice = UNSET_DOUBLE;
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adjustedTrailingAmount = UNSET_DOUBLE;
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lmtPriceOffset = UNSET_DOUBLE;
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extOperator = "";
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}
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// order identifier
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long orderId;
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long clientId;
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long permId;
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// main order fields
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std::string action;
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double totalQuantity;
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std::string orderType;
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double lmtPrice;
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double auxPrice;
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// extended order fields
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std::string tif; // "Time in Force" - DAY, GTC, etc.
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std::string activeStartTime; // for GTC orders
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std::string activeStopTime; // for GTC orders
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std::string ocaGroup; // one cancels all group name
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int ocaType; // 1 = CANCEL_WITH_BLOCK, 2 = REDUCE_WITH_BLOCK, 3 = REDUCE_NON_BLOCK
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std::string orderRef; // order reference
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bool transmit; // if false, order will be created but not transmited
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long parentId; // Parent order Id, to associate Auto STP or TRAIL orders with the original order.
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bool blockOrder;
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bool sweepToFill;
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int displaySize;
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int triggerMethod; // 0=Default, 1=Double_Bid_Ask, 2=Last, 3=Double_Last, 4=Bid_Ask, 7=Last_or_Bid_Ask, 8=Mid-point
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bool outsideRth;
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bool hidden;
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std::string goodAfterTime; // Format: 20060505 08:00:00 {time zone}
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std::string goodTillDate; // Format: 20060505 08:00:00 {time zone}
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std::string rule80A; // Individual = 'I', Agency = 'A', AgentOtherMember = 'W', IndividualPTIA = 'J', AgencyPTIA = 'U', AgentOtherMemberPTIA = 'M', IndividualPT = 'K', AgencyPT = 'Y', AgentOtherMemberPT = 'N'
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bool allOrNone;
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int minQty;
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double percentOffset; // REL orders only
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bool overridePercentageConstraints;
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double trailStopPrice; // TRAILLIMIT orders only
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double trailingPercent;
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// financial advisors only
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std::string faGroup;
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std::string faProfile;
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std::string faMethod;
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std::string faPercentage;
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// institutional (ie non-cleared) only
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std::string openClose; // O=Open, C=Close
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Origin origin; // 0=Customer, 1=Firm
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int shortSaleSlot; // 1 if you hold the shares, 2 if they will be delivered from elsewhere. Only for Action="SSHORT
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std::string designatedLocation; // set when slot=2 only.
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int exemptCode;
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// SMART routing only
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double discretionaryAmt;
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bool eTradeOnly;
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bool firmQuoteOnly;
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double nbboPriceCap;
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bool optOutSmartRouting;
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// BOX exchange orders only
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int auctionStrategy; // AUCTION_MATCH, AUCTION_IMPROVEMENT, AUCTION_TRANSPARENT
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double startingPrice;
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double stockRefPrice;
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double delta;
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// pegged to stock and VOL orders only
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double stockRangeLower;
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double stockRangeUpper;
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bool randomizeSize;
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bool randomizePrice;
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// VOLATILITY ORDERS ONLY
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double volatility;
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int volatilityType; // 1=daily, 2=annual
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std::string deltaNeutralOrderType;
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double deltaNeutralAuxPrice;
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long deltaNeutralConId;
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std::string deltaNeutralSettlingFirm;
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std::string deltaNeutralClearingAccount;
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std::string deltaNeutralClearingIntent;
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std::string deltaNeutralOpenClose;
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bool deltaNeutralShortSale;
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int deltaNeutralShortSaleSlot;
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std::string deltaNeutralDesignatedLocation;
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bool continuousUpdate;
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int referencePriceType; // 1=Average, 2 = BidOrAsk
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// COMBO ORDERS ONLY
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double basisPoints; // EFP orders only
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int basisPointsType; // EFP orders only
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// SCALE ORDERS ONLY
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int scaleInitLevelSize;
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int scaleSubsLevelSize;
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double scalePriceIncrement;
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double scalePriceAdjustValue;
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int scalePriceAdjustInterval;
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double scaleProfitOffset;
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bool scaleAutoReset;
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int scaleInitPosition;
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int scaleInitFillQty;
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bool scaleRandomPercent;
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std::string scaleTable;
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// HEDGE ORDERS
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std::string hedgeType; // 'D' - delta, 'B' - beta, 'F' - FX, 'P' - pair
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std::string hedgeParam; // 'beta=X' value for beta hedge, 'ratio=Y' for pair hedge
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// Clearing info
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std::string account; // IB account
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std::string settlingFirm;
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std::string clearingAccount; // True beneficiary of the order
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std::string clearingIntent; // "" (Default), "IB", "Away", "PTA" (PostTrade)
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// ALGO ORDERS ONLY
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std::string algoStrategy;
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TagValueListSPtr algoParams;
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TagValueListSPtr smartComboRoutingParams;
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std::string algoId;
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// What-if
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bool whatIf;
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// Not Held
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bool notHeld;
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bool solicited;
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// models
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std::string modelCode;
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// order combo legs
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typedef std::vector<OrderComboLegSPtr> OrderComboLegList;
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typedef ibapi::shared_ptr<OrderComboLegList> OrderComboLegListSPtr;
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OrderComboLegListSPtr orderComboLegs;
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TagValueListSPtr orderMiscOptions;
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//VER PEG2BENCH fields:
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int referenceContractId;
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double peggedChangeAmount;
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bool isPeggedChangeAmountDecrease;
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double referenceChangeAmount;
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std::string referenceExchangeId;
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std::string adjustedOrderType;
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double triggerPrice;
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double adjustedStopPrice;
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double adjustedStopLimitPrice;
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double adjustedTrailingAmount;
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int adjustableTrailingUnit;
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double lmtPriceOffset;
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std::vector<ibapi::shared_ptr<OrderCondition>> conditions;
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bool conditionsCancelOrder;
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bool conditionsIgnoreRth;
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// ext operator
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std::string extOperator;
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SoftDollarTier softDollarTier;
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public:
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// Helpers
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static void CloneOrderComboLegs(OrderComboLegListSPtr& dst, const OrderComboLegListSPtr& src);
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};
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inline void
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Order::CloneOrderComboLegs(OrderComboLegListSPtr& dst, const OrderComboLegListSPtr& src)
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{
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if (!src.get())
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return;
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dst->reserve(src->size());
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OrderComboLegList::const_iterator iter = src->begin();
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const OrderComboLegList::const_iterator iterEnd = src->end();
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for (; iter != iterEnd; ++iter) {
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const OrderComboLeg* leg = iter->get();
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if (!leg)
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continue;
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dst->push_back(OrderComboLegSPtr(new OrderComboLeg(*leg)));
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}
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}
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#endif
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