385 lines
15 KiB
C++
385 lines
15 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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namespace ibapi {
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namespace client_constants {
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/////////////////////////////////////////////////////////////////////////////////
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// SOCKET CLIENT VERSION CHANGE LOG : Incremented when the format of incomming
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// server responses change
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/////////////////////////////////////////////////////////////////////////////////
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// constants
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// 6 = Added parentId to orderStatus
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// 7 = The new execDetails event returned for an order filled status and reqExecDetails
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// Also added market depth support.
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// 8 = Added 'lastFillPrice' to orderStatus and 'permId' to execDetails
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// 9 = Added 'avgCost', 'unrealizedPNL', and 'unrealizedPNL' to updatePortfolio event
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// 10 = Added 'serverId' to the 'open order' & 'order status' events.
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// We send back all the API open orders upon connection.
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// Added new methods reqAllOpenOrders, reqAutoOpenOrders()
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// Added FA support - reqExecution has filter.
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// - reqAccountUpdates takes acct code.
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// 11 = Added permId to openOrder event.
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// 12 = Added IgnoreRth, hidden, and discretionaryAmt
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// 13 = Added GoodAfterTime
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// 14 = always send size on bid/ask/last tick
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// 15 = send allocation string with open order
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// 16 = can receive account name in account and portfolio updates, and fa params in openOrder
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// 17 = can receive liquidation field in exec reports, and notAutoAvailable field in mkt data
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// 18 = can receive good till date field in open order messages, and send backfill requests
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// 19 = can receive new extended order attributes in OPEN_ORDER
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// 20 = expects TWS time string on connection after server version >= 20, and parentId in open order
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// 21 = can receive bond contract details.
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// 22 = can receive price magnifier in contract details
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// 23 = support for scanner
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// 24 = can receive volatility order parameters in open order messages
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// 25 = can receive HMDS query start and end times
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// 26 = can receive option vols in option market data messages
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// 27 = can receive delta neutral order type and delta neutral aux price
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// 28 = can receive option model computation ticks
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// 29 = can receive trail stop limit price in open order and can place them: API 8.91
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// 30 = can receive extended bond contract def, new ticks, and trade count in bars
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// 31 = can receive EFP extensions to scanner and market data, and combo legs on open orders
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// ; can receive RT bars
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// 32 = can receive TickType.LAST_TIMESTAMP
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// 33 = can receive ScaleNumComponents and ScaleComponentSize is open order messages
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// 34 = can receive whatIf orders / order state
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// 35 = can receive contId field for Contract objects
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// 36 = can receive outsideRth field for Order objects
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// 37 = can receive clearingAccount and clearingIntent for Order objects
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// 38 = can receive multipier and primaryExchange in portfolio updates
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// ; can receive cumQty and avgPrice in execution
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// ; can receive fundamental data
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// ; can receive underComp for Contract objects
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// ; can receive reqId and end marker in contractDetails/bondContractDetails
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// ; can receive ScaleInitComponentSize and ScaleSubsComponentSize for Order objects
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// 39 = can receive underConId in contractDetails
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// 40 = can receive algoStrategy/algoParams in openOrder
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// 41 = can receive end marker for openOrder
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// ; can receive end marker for account download
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// ; can receive end marker for executions download
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// 42 = can receive deltaNeutralValidation
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// 43 = can receive longName(companyName)
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// ; can receive listingExchange
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// ; can receive RTVolume tick
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// 44 = can receive end market for ticker snapshot
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// 45 = can receive notHeld field in openOrder
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// 46 = can receive contractMonth, industry, category, subcategory fields in contractDetails
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// ; can receive timeZoneId, tradingHours, liquidHours fields in contractDetails
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// 47 = can receive gamma, vega, theta, undPrice fields in TICK_OPTION_COMPUTATION
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// 48 = can receive exemptCode in openOrder
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// 49 = can receive hedgeType and hedgeParam in openOrder
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// 50 = can receive optOutSmartRouting field in openOrder
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// 51 = can receive smartComboRoutingParams in openOrder
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// 52 = can receive deltaNeutralConId, deltaNeutralSettlingFirm, deltaNeutralClearingAccount and deltaNeutralClearingIntent in openOrder
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// 53 = can receive orderRef in execution
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// 54 = can receive scale order fields (PriceAdjustValue, PriceAdjustInterval, ProfitOffset, AutoReset,
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// InitPosition, InitFillQty and RandomPercent) in openOrder
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// 55 = can receive orderComboLegs (price) in openOrder
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// 56 = can receive trailingPercent in openOrder
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// 57 = can receive commissionReport message
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// 58 = can receive CUSIP/ISIN/etc. in contractDescription/bondContractDescription
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// 59 = can receive evRule, evMultiplier in contractDescription/bondContractDescription/executionDetails
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// can receive multiplier in executionDetails
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// 60 = can receive deltaNeutralOpenClose, deltaNeutralShortSale, deltaNeutralShortSaleSlot
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// and deltaNeutralDesignatedLocation in openOrder
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// can receive position, positionEnd, accountSummary and accountSummaryEnd
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// 61 = can receive multiplier in openOrder
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// can receive tradingClass in openOrder, updatePortfolio, execDetails and position
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// 62 = can receive avgCost in position message
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// 63 = can receive verifyMessageAPI, verifyCompleted, displayGroupList and displayGroupUpdated messages
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// 64 = can receive solicited attrib in openOrder message
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// 65 = can receive verifyAndAuthMessageAPI and verifyAndAuthCompleted messages
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// 66 = can receive randomize size and randomize price order fields
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const int CLIENT_VERSION = 66;
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// outgoing msg id's
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const int REQ_MKT_DATA = 1;
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const int CANCEL_MKT_DATA = 2;
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const int PLACE_ORDER = 3;
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const int CANCEL_ORDER = 4;
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const int REQ_OPEN_ORDERS = 5;
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const int REQ_ACCT_DATA = 6;
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const int REQ_EXECUTIONS = 7;
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const int REQ_IDS = 8;
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const int REQ_CONTRACT_DATA = 9;
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const int REQ_MKT_DEPTH = 10;
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const int CANCEL_MKT_DEPTH = 11;
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const int REQ_NEWS_BULLETINS = 12;
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const int CANCEL_NEWS_BULLETINS = 13;
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const int SET_SERVER_LOGLEVEL = 14;
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const int REQ_AUTO_OPEN_ORDERS = 15;
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const int REQ_ALL_OPEN_ORDERS = 16;
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const int REQ_MANAGED_ACCTS = 17;
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const int REQ_FA = 18;
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const int REPLACE_FA = 19;
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const int REQ_HISTORICAL_DATA = 20;
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const int EXERCISE_OPTIONS = 21;
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const int REQ_SCANNER_SUBSCRIPTION = 22;
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const int CANCEL_SCANNER_SUBSCRIPTION = 23;
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const int REQ_SCANNER_PARAMETERS = 24;
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const int CANCEL_HISTORICAL_DATA = 25;
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const int REQ_CURRENT_TIME = 49;
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const int REQ_REAL_TIME_BARS = 50;
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const int CANCEL_REAL_TIME_BARS = 51;
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const int REQ_FUNDAMENTAL_DATA = 52;
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const int CANCEL_FUNDAMENTAL_DATA = 53;
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const int REQ_CALC_IMPLIED_VOLAT = 54;
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const int REQ_CALC_OPTION_PRICE = 55;
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const int CANCEL_CALC_IMPLIED_VOLAT = 56;
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const int CANCEL_CALC_OPTION_PRICE = 57;
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const int REQ_GLOBAL_CANCEL = 58;
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const int REQ_MARKET_DATA_TYPE = 59;
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const int REQ_POSITIONS = 61;
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const int REQ_ACCOUNT_SUMMARY = 62;
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const int CANCEL_ACCOUNT_SUMMARY = 63;
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const int CANCEL_POSITIONS = 64;
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const int VERIFY_REQUEST = 65;
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const int VERIFY_MESSAGE = 66;
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const int QUERY_DISPLAY_GROUPS = 67;
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const int SUBSCRIBE_TO_GROUP_EVENTS = 68;
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const int UPDATE_DISPLAY_GROUP = 69;
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const int UNSUBSCRIBE_FROM_GROUP_EVENTS = 70;
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const int START_API = 71;
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const int VERIFY_AND_AUTH_REQUEST = 72;
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const int VERIFY_AND_AUTH_MESSAGE = 73;
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const int REQ_POSITIONS_MULTI = 74;
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const int CANCEL_POSITIONS_MULTI = 75;
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const int REQ_ACCOUNT_UPDATES_MULTI = 76;
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const int CANCEL_ACCOUNT_UPDATES_MULTI = 77;
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const int REQ_SEC_DEF_OPT_PARAMS = 78;
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const int REQ_SOFT_DOLLAR_TIERS = 79;
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// TWS New Bulletins constants
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const int NEWS_MSG = 1; // standard IB news bulleting message
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const int EXCHANGE_AVAIL_MSG = 2; // control message specifing that an exchange is available for trading
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const int EXCHANGE_UNAVAIL_MSG = 3; // control message specifing that an exchange is unavailable for trading
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} // namespace client_constants
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} // namespace ibapi
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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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void reqSoftDollarTiers(int reqId);
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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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