quant1729
0396841d82
- Added IQFeed options support to toolbox: option chain universe, option symbol list, subscriptions, live prices - Added LiveTradingDataFeed to support options live screaming - Added IB live options trading support: trading orders, holdings, live option exercising - Modified ISymbolMapper interface to support derivatives (options, futures) - Fixed minor bugs with (introduced ealier) symbol changes for options Tested with IQFeed version 5.2.4.2. IB TWS offline version 957.
837 lines
37 KiB
C#
837 lines
37 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Globalization;
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using System.IO;
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using System.Timers;
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namespace QuantConnect.ToolBox.IQFeed
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{
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public class Level1ServerDisconnectedArgs : Level1TextLineEventArgs
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{
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public Level1ServerDisconnectedArgs(string line)
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: base(line)
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{
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}
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}
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public class Level1ServerReconnectFailedArgs : Level1TextLineEventArgs
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{
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public Level1ServerReconnectFailedArgs(string line)
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: base(line)
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{
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}
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}
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public class Level1TextLineEventArgs : EventArgs
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{
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public readonly string TextLine;
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public Level1TextLineEventArgs(string line)
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{
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TextLine = line;
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}
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}
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public class Level1SummaryUpdateEventArgs : EventArgs
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{
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public enum UpdateType { Trade, ExtendedTrade, Bid, Ask, Other }
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public Level1SummaryUpdateEventArgs(string line)
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{
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try
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{
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var fields = line.Split(',');
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_summary = fields[0] == "P";
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_symbol = fields[1];
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_notFound = line.Contains("Not Found");
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if (_notFound) return;
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if (!double.TryParse(fields[3], out _last)) _last = 0;
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if (!double.TryParse(fields[4], out _change)) _change = 0;
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if (!double.TryParse(fields[5], out _change)) _percentChange = 0;
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if (!int.TryParse(fields[6], out _totalVolume)) _totalVolume = 0;
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if (!int.TryParse(fields[7], out _incrementalVolume)) _incrementalVolume = 0;
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if (!double.TryParse(fields[8], out _high)) _high = 0;
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if (!double.TryParse(fields[9], out _low)) _low = 0;
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if (!double.TryParse(fields[10], out _bid)) _bid = 0;
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if (!double.TryParse(fields[11], out _ask)) _ask = 0;
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if (!int.TryParse(fields[12], out _bidSize)) _bidSize = 0;
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if (!int.TryParse(fields[13], out _askSize)) _askSize = 0;
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if (!int.TryParse(fields[14], out _tick)) _tick = 0;
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if (!int.TryParse(fields[15], out _bidTick)) _bidTick = 0;
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if (!double.TryParse(fields[16], out _range)) _range = 0;
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if (!string.IsNullOrEmpty(fields[17]))
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{
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switch (fields[17].Substring(fields[17].Length - 1, 1))
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{
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case "t":
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_updateType = UpdateType.Trade;
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break;
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case "T":
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_updateType = UpdateType.ExtendedTrade;
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break;
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case "b":
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_updateType = UpdateType.Bid;
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break;
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case "a":
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_updateType = UpdateType.Ask;
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break;
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default:
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_updateType = UpdateType.Other;
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break;
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}
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}
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else
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{
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return;
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}
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if (!int.TryParse(fields[18], out _openInterest)) _openInterest = 0;
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if (!double.TryParse(fields[19], out _open)) _open = 0;
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if (!double.TryParse(fields[20], out _close)) _close = 0;
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if (!double.TryParse(fields[21], out _spread)) _spread = 0;
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if (!double.TryParse(fields[23], out _settle)) _settle = 0;
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if (!int.TryParse(fields[24], out _delay)) _delay = 0;
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_shortRestricted = false;
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if (fields[26] == "R") _shortRestricted = true;
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if (!double.TryParse(fields[27], out _netAssetValue)) _netAssetValue = 0;
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if (!double.TryParse(fields[28], out _averageMaturity)) _averageMaturity = 0;
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if (!double.TryParse(fields[29], out _7DayYield)) _7DayYield = 0;
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if (!DateTime.TryParseExact(fields[30], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _lastTradeDate)) _lastTradeDate = DateTime.MinValue;
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if (!double.TryParse(fields[32], out _extendedTradingLast)) _extendedTradingLast = 0;
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if (!int.TryParse(fields[34], out _regionalVolume)) _regionalVolume = 0;
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if (!double.TryParse(fields[35], out _netAssetValue2)) _netAssetValue2 = 0;
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if (!double.TryParse(fields[36], out _extendedTradingChange)) _extendedTradingChange = 0;
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if (!double.TryParse(fields[37], out _extendedTradingDifference)) _extendedTradingDifference = 0;
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if (!double.TryParse(fields[38], out _priceEarningsRatio)) _priceEarningsRatio = 0;
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if (!double.TryParse(fields[39], out _percentOffAverageVolume)) _percentOffAverageVolume = 0;
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if (!double.TryParse(fields[40], out _bidChange)) _bidChange = 0;
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if (!double.TryParse(fields[41], out _askChange)) _askChange = 0;
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if (!double.TryParse(fields[42], out _changeFromOpen)) _changeFromOpen = 0;
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_marketOpen = false;
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if (fields[43] == "1") _marketOpen = true;
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if (!double.TryParse(fields[44], out _volatility)) _volatility = 0;
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if (!double.TryParse(fields[45], out _marketCapitalization)) _marketCapitalization = 0;
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_fractionDisplayCode = fields[46];
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_decimalPrecision = fields[47];
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_daysToExpiration = fields[48];
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if (!int.TryParse(fields[49], out _previousDayVolume)) _previousDayVolume = 0;
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if (!double.TryParse(fields[51], out _openRange1)) _openRange1 = 0;
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if (!double.TryParse(fields[52], out _closeRange1)) _closeRange1 = 0;
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if (!double.TryParse(fields[53], out _openRange2)) _openRange2 = 0;
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if (!double.TryParse(fields[54], out _closeRange2)) _closeRange2 = 0;
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if (!int.TryParse(fields[55], out _numberOfTradesToday)) _numberOfTradesToday = 0;
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_bidTime = new Time(fields[56]);
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_askTime = new Time(fields[57]);
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if (!double.TryParse(fields[58], out _vwap)) _vwap = 0;
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if (!int.TryParse(fields[59], out _tickId)) _tickId = 0;
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_financialStatusIndicator = fields[60];
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if (!DateTime.TryParseExact(fields[61], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _settlementDate)) _settlementDate = DateTime.MinValue;
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if (!int.TryParse(fields[62], out _tradeMarketCenter)) _tradeMarketCenter = 0;
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if (!int.TryParse(fields[63], out _bidMarketCenter)) _bidMarketCenter = 0;
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if (!int.TryParse(fields[64], out _askMarketCenter)) _askMarketCenter = 0;
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_tradeTime = new Time(fields[65]);
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_availableRegions = fields[66];
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}
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catch (Exception err)
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{
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Logging.Log.Debug("IQLevel1Client.Init(): " + err.Message);
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}
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}
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public bool NotFound { get { return _notFound; } }
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public bool Summary { get { return _summary; } }
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public string Symbol { get { return _symbol; } }
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public double Last { get { return _last; } }
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public double Change { get { return _change; } }
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public double PercentChange { get { return _percentChange; } }
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public int TotalVolume { get { return _totalVolume; } }
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public int IncrementalVolume { get { return _incrementalVolume; } }
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public double High { get { return _high; } }
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public double Low { get { return _low; } }
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public double Bid { get { return _bid; } }
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public double Ask { get { return _ask; } }
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public int BidSize { get { return _bidSize; } }
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public int AskSize { get { return _askSize; } }
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public int Tick { get { return _tick; } }
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public int BidTick { get { return _bidTick; } }
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public double Range { get { return _range; } }
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public UpdateType TypeOfUpdate { get { return _updateType; } }
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public int OpenInterest { get { return _openInterest; } }
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public double Open { get { return _open; } }
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public double Close { get { return _close; } }
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public double Spread { get { return _spread; } }
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public double Settle { get { return _settle; } }
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public int Delay { get { return _delay; } }
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public bool ShortRestricted { get { return _shortRestricted; } }
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public double NetAssetValue { get { return _netAssetValue; } }
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public double AverageMaturity { get { return _averageMaturity; } }
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public double SevenDayYield { get { return _7DayYield; } }
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public DateTime LastTradeDate { get { return _lastTradeDate; } }
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public double ExtendedTradingLast { get { return _extendedTradingLast; } }
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public int RegionalVolume { get { return _regionalVolume; } }
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public double NetAssetValue2 { get { return _netAssetValue2; } }
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public double ExtendedTradingChange { get { return _extendedTradingChange; } }
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public double ExtendedTradingDifference { get { return _extendedTradingDifference; } }
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public double PriceEarningsRatio { get { return _priceEarningsRatio; } }
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public double PercentOffAverageVolume { get { return _percentOffAverageVolume; } }
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public double BidChange { get { return _bidChange; } }
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public double AskChange { get { return _askChange; } }
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public double ChangeFromOpen { get { return _changeFromOpen; } }
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public bool MarketOpen { get { return _marketOpen; } }
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public double Volatility { get { return _volatility; } }
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public double MarketCapitalization { get { return _marketCapitalization; } }
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public string FractionDisplayCode { get { return _fractionDisplayCode; } }
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public string DecimalPrecision { get { return _decimalPrecision; } }
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public string DaysToExpiration { get { return _daysToExpiration; } }
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public int PreviousDayVolume { get { return _previousDayVolume; } }
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public double OpenRange1 { get { return _openRange1; } }
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public double CloseRange1 { get { return _closeRange1; } }
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public double OpenRange2 { get { return _openRange2; } }
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public double CloseRange2 { get { return _closeRange2; } }
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public int NumberofTradesToday { get { return _numberOfTradesToday; } }
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public Time BidTime { get { return _bidTime; } }
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public Time AskTime { get { return _askTime; } }
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public double Vwap { get { return _vwap; } }
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public int TickId { get { return _tickId; } }
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public string FinancialStatusIndicator { get { return _financialStatusIndicator; } }
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public DateTime SettlementDate { get { return _settlementDate; } }
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public int TradeMarketCenter { get { return _tradeMarketCenter; } }
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public int BidMarketCenter { get { return _bidMarketCenter; } }
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public int AskMarketCenter { get { return _askMarketCenter; } }
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public Time TradeTime { get { return _tradeTime; } }
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public string AvailableRegions { get { return _availableRegions; } }
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#region private
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private bool _notFound;
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private bool _summary;
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private string _symbol;
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private double _last;
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private double _change;
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private double _percentChange;
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private int _totalVolume;
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private int _incrementalVolume;
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private double _high;
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private double _low;
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private double _bid;
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private double _ask;
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private int _bidSize;
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private int _askSize;
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private int _tick;
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private int _bidTick;
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private double _range;
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private UpdateType _updateType;
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private int _openInterest;
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private double _open;
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private double _close;
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private double _spread;
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private double _settle;
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private int _delay;
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private bool _shortRestricted;
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private double _netAssetValue;
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private double _averageMaturity;
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private double _7DayYield;
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private DateTime _lastTradeDate;
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private double _extendedTradingLast;
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private int _regionalVolume;
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private double _netAssetValue2;
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private double _extendedTradingChange;
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private double _extendedTradingDifference;
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private double _priceEarningsRatio;
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private double _percentOffAverageVolume;
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private double _bidChange;
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private double _askChange;
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private double _changeFromOpen;
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private bool _marketOpen;
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private double _volatility;
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private double _marketCapitalization;
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private string _fractionDisplayCode;
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private string _decimalPrecision;
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private string _daysToExpiration;
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private int _previousDayVolume;
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private double _openRange1;
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private double _closeRange1;
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private double _openRange2;
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private double _closeRange2;
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private int _numberOfTradesToday;
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private Time _bidTime;
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private Time _askTime;
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private double _vwap;
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private int _tickId;
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private string _financialStatusIndicator;
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private DateTime _settlementDate;
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private int _tradeMarketCenter;
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private int _bidMarketCenter;
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private int _askMarketCenter;
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private Time _tradeTime;
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private string _availableRegions;
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private CultureInfo _enUS = new CultureInfo("en-US");
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#endregion
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}
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public class Level1FundamentalEventArgs : EventArgs
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{
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private static readonly StreamWriter _logger = new StreamWriter("fundamental.log");
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private static readonly Timer _timer = new Timer(1.0);
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static Level1FundamentalEventArgs()
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{
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_timer.Enabled = true;
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_timer.AutoReset = true;
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_timer.Elapsed += (sender, args) => _logger.Flush();
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}
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public Level1FundamentalEventArgs(string line)
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{
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var fields = line.Split(',');
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var now = DateTime.Now;
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_logger.WriteLine(now + ":" + now.Second + "," + line);
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_symbol = fields[1];
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if (!double.TryParse(fields[3], out _pe)) _pe = 0;
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if (!int.TryParse(fields[4], out _averageVolume)) _averageVolume = 0;
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if (!double.TryParse(fields[5], out _high52Week)) _high52Week = 0;
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if (!double.TryParse(fields[6], out _low52Week)) _low52Week = 0;
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if (!double.TryParse(fields[7], out _calendarYearHigh)) _calendarYearHigh = 0;
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if (!double.TryParse(fields[8], out _calendarYearLow)) _calendarYearLow = 0;
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if (!double.TryParse(fields[9], out _dividendYield)) _dividendYield = 0;
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if (!double.TryParse(fields[10], out _dividendAmount)) _dividendAmount = 0;
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if (!double.TryParse(fields[11], out _dividendRate)) _dividendRate = 0;
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if (!DateTime.TryParseExact(fields[12], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _payDate)) _payDate = DateTime.MinValue;
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if (!DateTime.TryParseExact(fields[13], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _exDividendDate)) _exDividendDate = DateTime.MinValue;
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if (!int.TryParse(fields[17], out _shortInterest)) _shortInterest = 0;
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if (!double.TryParse(fields[19], out _currentYearEarningsPerShare)) _currentYearEarningsPerShare = 0;
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if (!double.TryParse(fields[20], out _nextYearEarningsPerShare)) _nextYearEarningsPerShare = 0;
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if (!double.TryParse(fields[21], out _fiveYearGrowthPercentage)) _fiveYearGrowthPercentage = 0;
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if (!int.TryParse(fields[22], out _fiscalYearEnd)) _fiscalYearEnd = 0;
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_companyName = fields[24];
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_rootOptionSymbol = fields[25];
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if (!double.TryParse(fields[26], out _percentHeldByInstitutions)) _percentHeldByInstitutions = 0;
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if (!double.TryParse(fields[27], out _beta)) _beta = 0;
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_leaps = fields[28];
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if (!double.TryParse(fields[29], out _currentAssets)) _currentAssets = 0;
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if (!double.TryParse(fields[30], out _currentLiabilities)) _currentLiabilities = 0;
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if (!DateTime.TryParseExact(fields[31], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _balanceSheetDate)) _balanceSheetDate = DateTime.MinValue;
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if (!double.TryParse(fields[32], out _longTermDebt)) _longTermDebt = 0;
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if (!double.TryParse(fields[33], out _commonSharesOutstanding)) _commonSharesOutstanding = 0;
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var splits = fields[35].Split(' ');
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if (!double.TryParse(splits[0], out _splitFactor1)) _splitFactor1 = 0;
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if (!DateTime.TryParseExact(splits[1], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _splitDate1)) _splitDate1 = DateTime.MinValue;
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splits = fields[36].Split(' ');
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if (!double.TryParse(splits[0], out _splitFactor2)) _splitFactor2 = 0;
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if (!DateTime.TryParseExact(splits[1], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _splitDate2)) _splitDate2 = DateTime.MinValue;
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_formatCode = fields[39];
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if (!int.TryParse(fields[40], out _precision)) _precision = 0;
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_sic = fields[41];
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if (!double.TryParse(fields[42], out _historicalVolatility)) _historicalVolatility = 0;
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_securityType = fields[43];
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_listedMarket = fields[44];
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if (!DateTime.TryParseExact(fields[45], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _date52WeekHigh)) _date52WeekHigh = DateTime.MinValue;
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if (!DateTime.TryParseExact(fields[46], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _date52WeekLow)) _date52WeekLow = DateTime.MinValue;
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if (!DateTime.TryParseExact(fields[47], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _dateCalendarYearHigh)) _dateCalendarYearHigh = DateTime.MinValue;
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if (!DateTime.TryParseExact(fields[48], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _dateCalendarYearLow)) _dateCalendarYearLow = DateTime.MinValue;
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if (!double.TryParse(fields[49], out _yearEndClose)) _yearEndClose = 0;
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if (!DateTime.TryParseExact(fields[50], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _maturityDate)) _maturityDate = DateTime.MinValue;
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if (!double.TryParse(fields[51], out _couponRate)) _couponRate = 0;
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if (!DateTime.TryParseExact(fields[52], "MM/dd/yyyy", _enUS, DateTimeStyles.None, out _expirationDate)) _expirationDate = DateTime.MinValue;
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if (!double.TryParse(fields[53], out _strikePrice)) _strikePrice = 0;
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_naics = fields[54];
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_exchangeRoot = fields[55];
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}
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public string Symbol { get { return _symbol; } }
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public double Pe { get { return _pe; } }
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public int AverageVolume { get { return _averageVolume; } }
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public double High52Week { get { return _high52Week; } }
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public double Low52Week { get { return _low52Week; } }
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public double CalendarYearHigh { get { return _calendarYearHigh; } }
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public double CalendarYearLow { get { return _calendarYearLow; } }
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public double DividendYield { get { return _dividendYield; } }
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public double DividendAmount { get { return _dividendAmount; } }
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public double DividendRate { get { return _dividendRate; } }
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public DateTime PayDate { get { return _payDate; } }
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public DateTime ExDividendDate { get { return _exDividendDate; } }
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public int ShortInterest { get { return _shortInterest; } }
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public double CurrentYearEarningsPerShare { get { return _currentYearEarningsPerShare; } }
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public double FiveYearGrowthPercentage { get { return _fiveYearGrowthPercentage; } }
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public double NextYearEarningsPerShare { get { return _nextYearEarningsPerShare; } }
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public double FiscalYearEnd { get { return _fiscalYearEnd; } }
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public string CompanyName { get { return _companyName; } }
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public string RootOptionSymbol { get { return _rootOptionSymbol; } }
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public double PercentHeldByInstitutions { get { return _percentHeldByInstitutions; } }
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public double Beta { get { return _beta; } }
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public string Leaps { get { return _leaps; } }
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public double CurrentAssets { get { return _currentAssets; } }
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public double CurrentLiabilities { get { return _currentLiabilities; } }
|
|
public DateTime BalanceSheetDate { get { return _balanceSheetDate; } }
|
|
public double LongTermDebt { get { return _longTermDebt; } }
|
|
public double CommonSharesOutstanding { get { return _commonSharesOutstanding; } }
|
|
public double SplitFactor1 { get { return _splitFactor1; } }
|
|
public DateTime SplitDate1 { get { return _splitDate1; } }
|
|
public double SplitFactor2 { get { return _splitFactor2; } }
|
|
public DateTime SplitDate2 { get { return _splitDate2; } }
|
|
public string FormatCode { get { return _formatCode; } }
|
|
public int Precision { get { return _precision; } }
|
|
public string Sic { get { return _sic; } }
|
|
public double HistoricalVolatility { get { return _historicalVolatility; } }
|
|
public string SecurityType { get { return _securityType; } }
|
|
public string ListedMarket { get { return _listedMarket; } }
|
|
public DateTime Date52WeekHigh { get { return _date52WeekHigh; } }
|
|
public DateTime Date52WeekLow { get { return _date52WeekLow; } }
|
|
public DateTime DateCalendarYearHigh { get { return _dateCalendarYearHigh; } }
|
|
public DateTime DateCalendarYearLow { get { return _dateCalendarYearLow; } }
|
|
public double YearEndClose { get { return _yearEndClose; } }
|
|
public DateTime MaturityDate { get { return _maturityDate; } }
|
|
public double CouponRate { get { return _couponRate; } }
|
|
public DateTime ExpirationDate { get { return _expirationDate; } }
|
|
public double StrikePrice { get { return _strikePrice; } }
|
|
public string Naics { get { return _naics; } }
|
|
public string ExchangeRoot { get { return _exchangeRoot; } }
|
|
|
|
#region private
|
|
private string _symbol;
|
|
private double _pe;
|
|
private int _averageVolume;
|
|
private double _high52Week;
|
|
private double _low52Week;
|
|
private double _calendarYearHigh;
|
|
private double _calendarYearLow;
|
|
private double _dividendYield;
|
|
private double _dividendAmount;
|
|
private double _dividendRate;
|
|
private DateTime _payDate;
|
|
private DateTime _exDividendDate;
|
|
private int _shortInterest;
|
|
private double _currentYearEarningsPerShare;
|
|
private double _nextYearEarningsPerShare;
|
|
private double _fiveYearGrowthPercentage;
|
|
private int _fiscalYearEnd;
|
|
private string _companyName;
|
|
private string _rootOptionSymbol;
|
|
private double _percentHeldByInstitutions;
|
|
private double _beta;
|
|
private string _leaps;
|
|
private double _currentAssets;
|
|
private double _currentLiabilities;
|
|
private DateTime _balanceSheetDate;
|
|
private double _longTermDebt;
|
|
private double _commonSharesOutstanding;
|
|
private double _splitFactor1;
|
|
private DateTime _splitDate1;
|
|
private double _splitFactor2;
|
|
private DateTime _splitDate2;
|
|
private string _formatCode;
|
|
private int _precision;
|
|
private string _sic;
|
|
private double _historicalVolatility;
|
|
private string _securityType;
|
|
private string _listedMarket;
|
|
private DateTime _date52WeekHigh;
|
|
private DateTime _date52WeekLow;
|
|
private DateTime _dateCalendarYearHigh;
|
|
private DateTime _dateCalendarYearLow;
|
|
private double _yearEndClose;
|
|
private DateTime _maturityDate;
|
|
private double _couponRate;
|
|
private DateTime _expirationDate;
|
|
private double _strikePrice;
|
|
private string _naics;
|
|
private string _exchangeRoot;
|
|
private CultureInfo _enUS = new CultureInfo("en-US");
|
|
#endregion
|
|
}
|
|
public class Level1TimerEventArgs : System.EventArgs
|
|
{
|
|
public Level1TimerEventArgs(string line)
|
|
{
|
|
var fields = line.Split(',');
|
|
if (!DateTime.TryParseExact(fields[1], "yyyyMMdd HH:mm:ss", _enUS, DateTimeStyles.None, out _dateTimeStamp)) _dateTimeStamp = DateTime.MinValue;
|
|
|
|
}
|
|
public DateTime DateTimeStamp { get { return _dateTimeStamp; } }
|
|
#region private
|
|
private DateTime _dateTimeStamp;
|
|
private CultureInfo _enUS = new CultureInfo("en-US");
|
|
#endregion
|
|
}
|
|
|
|
public class Level1NewsEventArgs : System.EventArgs
|
|
{
|
|
public Level1NewsEventArgs(string line)
|
|
{
|
|
var fields = line.Split(',');
|
|
_distributorType = fields[1];
|
|
_storyId = fields[2];
|
|
_symbol = fields[3].Split(':');
|
|
if (!DateTime.TryParseExact(fields[4], "yyyyMMdd HHmmss", _enUS, DateTimeStyles.None, out _newsDateTime)) _newsDateTime = DateTime.MinValue;
|
|
_headline = fields[5];
|
|
}
|
|
public string DistributorType { get { return _distributorType; } }
|
|
public string StoryId { get { return _storyId; } }
|
|
public string[] Symbol { get { return _symbol; } }
|
|
public DateTime NewsDateTime { get { return _newsDateTime; } }
|
|
public string Headline { get { return _headline; } }
|
|
#region private
|
|
private string _distributorType;
|
|
private string _storyId;
|
|
private string[] _symbol;
|
|
private DateTime _newsDateTime;
|
|
private string _headline;
|
|
private CultureInfo _enUS = new CultureInfo("en-US");
|
|
#endregion
|
|
}
|
|
|
|
|
|
public class Level1RegionalEventArgs : System.EventArgs
|
|
{
|
|
public Level1RegionalEventArgs(string line)
|
|
{
|
|
var fields = line.Split(',');
|
|
_symbol = fields[1];
|
|
if (!double.TryParse(fields[3], out _regionalBid)) _regionalBid = 0;
|
|
if (!int.TryParse(fields[4], out _regionalBidSize)) _regionalBidSize = 0;
|
|
_regionalBidTime = new Time(fields[5]);
|
|
if (!double.TryParse(fields[6], out _regionalAsk)) _regionalAsk = 0;
|
|
if (!int.TryParse(fields[7], out _regionalAskSize)) _regionalAskSize = 0;
|
|
_regionalAskTime = new Time(fields[8]);
|
|
_fractionDisplayCode = fields[9];
|
|
_decimalPrecision = fields[10];
|
|
_marketCenter = fields[11];
|
|
}
|
|
public string Symbol { get { return _symbol; } }
|
|
public double RegionalBid { get { return _regionalBid; } }
|
|
public int RegionalBidSize { get { return _regionalBidSize; } }
|
|
public Time RegionalBidTime { get { return _regionalBidTime; } }
|
|
public double RegionalAsk { get { return _regionalAsk; } }
|
|
public int RegionalAskSize { get { return _regionalAskSize; } }
|
|
public Time RegioalAskTime { get { return _regionalAskTime; } }
|
|
public string FractionDisplayCode { get { return _fractionDisplayCode; } }
|
|
public string DecimalPrecision { get { return _decimalPrecision; } }
|
|
public string MarketCenter { get { return _marketCenter; } }
|
|
|
|
#region private
|
|
private string _symbol;
|
|
private double _regionalBid;
|
|
private int _regionalBidSize;
|
|
private Time _regionalBidTime;
|
|
private double _regionalAsk;
|
|
private int _regionalAskSize;
|
|
private Time _regionalAskTime;
|
|
private string _fractionDisplayCode;
|
|
private string _decimalPrecision;
|
|
private string _marketCenter;
|
|
#endregion
|
|
}
|
|
|
|
public class IQLevel1WatchItem
|
|
{
|
|
public IQLevel1WatchItem(string symbol, bool active, bool regionOn = false)
|
|
{
|
|
_symbol = symbol;
|
|
_active = active;
|
|
_regionOn = regionOn;
|
|
}
|
|
public string Symbol { get { return _symbol; } }
|
|
public bool isActive { get { return _active; } }
|
|
public bool isRegionalOn { get { return _regionOn; } }
|
|
|
|
public void Activate()
|
|
{
|
|
if (_socket == null) { throw new Exception("Watch Item not connected"); }
|
|
if (_active) { return; }
|
|
_socket.Send("w" + _symbol + "\r\n");
|
|
_active = true;
|
|
}
|
|
public void DeActivate()
|
|
{
|
|
if (_socket == null) { throw new Exception("Watch Item not connected"); }
|
|
if (!_active) { return; }
|
|
_socket.Send("r" + _symbol + "\r\n");
|
|
_active = false;
|
|
_regionOn = false;
|
|
}
|
|
public void SetRegionalOn()
|
|
{
|
|
if (_socket == null) { throw new Exception("Watch Item not connected"); }
|
|
if (!_active) { throw new Exception("Cannot set Regional Quotes On, Activate first"); }
|
|
if (_regionOn) { return; }
|
|
_socket.Send("S,REGON," + _symbol + "\r\n");
|
|
_regionOn = true;
|
|
}
|
|
public void SetRegionalOff()
|
|
{
|
|
if (_socket == null) { throw new Exception("Watch Item not connected"); }
|
|
if (!_regionOn) { return; }
|
|
_socket.Send("S,REGOFF," + _symbol + "\r\n");
|
|
_regionOn = false;
|
|
}
|
|
public void RequestFundamental()
|
|
{
|
|
if (_socket == null) { throw new Exception("Watch Item not connected"); }
|
|
if (!_active) { throw new Exception("Cannot request Fundamental data, Activate first"); }
|
|
_socket.Send("f" + _symbol + "\r\n");
|
|
}
|
|
|
|
internal void Connect(SocketClient socket)
|
|
{
|
|
_socket = socket;
|
|
var tempActive = _active;
|
|
_active = false;
|
|
var tempRegionOn = _regionOn;
|
|
_regionOn = false;
|
|
if (tempActive)
|
|
{
|
|
Activate();
|
|
}
|
|
if (tempRegionOn)
|
|
{
|
|
SetRegionalOn();
|
|
}
|
|
}
|
|
internal void Disconnect()
|
|
{
|
|
DeActivate();
|
|
_socket = null;
|
|
}
|
|
|
|
#region private
|
|
private string _symbol;
|
|
private bool _active;
|
|
private bool _regionOn;
|
|
private SocketClient _socket;
|
|
#endregion
|
|
}
|
|
|
|
public class IQLevel1Client : SocketClient
|
|
{
|
|
// Delegates for event
|
|
public event EventHandler<Level1SummaryUpdateEventArgs> Level1SummaryUpdateEvent;
|
|
public event EventHandler<Level1FundamentalEventArgs> Level1FundamentalEvent;
|
|
public event EventHandler<Level1TimerEventArgs> Level1TimerEvent;
|
|
public event EventHandler<Level1RegionalEventArgs> Level1RegionalEvent;
|
|
public event EventHandler<Level1NewsEventArgs> Level1NewsEvent;
|
|
public event EventHandler<Level1ServerDisconnectedArgs> Level1ServerDisconnectedEvent;
|
|
public event EventHandler<Level1ServerReconnectFailedArgs> Level1ServerReconnectFailed;
|
|
public event EventHandler<Level1TextLineEventArgs> Level1UnknownEvent;
|
|
|
|
public IQLevel1Client(int bufferSize)
|
|
: base(IQSocket.GetEndPoint(PortType.Level1), bufferSize)
|
|
{
|
|
_key = new Dictionary<string,IQLevel1WatchItem>();
|
|
IsNewsOn = false;
|
|
}
|
|
|
|
public void Connect()
|
|
{
|
|
ConnectToSocketAndBeginReceive(IQSocket.GetSocket());
|
|
Send("S,CONNECT\r\n");
|
|
}
|
|
public void Disconnect(int flushSeconds = 2)
|
|
{
|
|
Send("S,DISCONNECT\r\n");
|
|
DisconnectFromSocket(flushSeconds);
|
|
}
|
|
public void SetClientName(string name)
|
|
{
|
|
Send("S,SET CLIENT NAME," + name + "\r\n");
|
|
}
|
|
public void ForceTimeStamp()
|
|
{
|
|
Send("T\r\n");
|
|
}
|
|
public void SetNewsOn()
|
|
{
|
|
Send("S,NEWSON\r\n");
|
|
IsNewsOn = true;
|
|
}
|
|
public void SetNewsOff()
|
|
{
|
|
Send("S,NEWSOFF\r\n");
|
|
IsNewsOn = false;
|
|
}
|
|
public bool IsNewsOn { get; private set; }
|
|
|
|
/// <summary>
|
|
/// Add this symbol to our subscription list.
|
|
/// </summary>
|
|
public void Subscribe(string symbol, bool requestFundamental = true, bool active = true, bool regionOn = false)
|
|
{
|
|
var item = new IQLevel1WatchItem(symbol, active, regionOn);
|
|
if (_key.ContainsKey(item.Symbol))
|
|
{
|
|
return;
|
|
}
|
|
_key.Add(item.Symbol, item);
|
|
item.Connect(this);
|
|
if (requestFundamental)
|
|
{
|
|
item.RequestFundamental();
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Remove this symbol from our subscriptions.
|
|
/// </summary>
|
|
public void Unsubscribe(string symbol)
|
|
{
|
|
if (!_key.ContainsKey(symbol))
|
|
{
|
|
return;
|
|
}
|
|
_key[symbol].DeActivate();
|
|
_key.Remove(symbol);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Check if the storage contains this symbol
|
|
/// </summary>
|
|
public bool Contains(string symbol)
|
|
{
|
|
return _key.Keys.Contains(symbol);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Unsubscribe from all symbols and clear the internal storage.
|
|
/// </summary>
|
|
public void Clear()
|
|
{
|
|
Send("S,UNWATCH ALL\r\n");
|
|
foreach (var wi in _key.Values)
|
|
{
|
|
wi.Disconnect();
|
|
}
|
|
_key.Clear();
|
|
}
|
|
|
|
/// <summary>
|
|
/// Number of subscribed items
|
|
/// </summary>
|
|
public int Count
|
|
{
|
|
get { return _key.Count; }
|
|
}
|
|
|
|
protected override void OnTextLineEvent(TextLineEventArgs e)
|
|
{
|
|
if (e.textLine.StartsWith("Q,") || e.textLine.StartsWith("P,"))
|
|
{
|
|
OnLevel1SummaryUpdateEvent(new Level1SummaryUpdateEventArgs(e.textLine));
|
|
return;
|
|
}
|
|
if (e.textLine.StartsWith("F,"))
|
|
{
|
|
OnLevel1FundamentalEvent(new Level1FundamentalEventArgs(e.textLine));
|
|
return;
|
|
}
|
|
if (e.textLine.StartsWith("R,"))
|
|
{
|
|
OnLevel1RegionalEvent(new Level1RegionalEventArgs(e.textLine));
|
|
return;
|
|
}
|
|
if (e.textLine.StartsWith("T,"))
|
|
{
|
|
OnLevel1TimerEvent(new Level1TimerEventArgs(e.textLine));
|
|
return;
|
|
}
|
|
if (e.textLine.StartsWith("N,"))
|
|
{
|
|
OnLevel1NewsEvent(new Level1NewsEventArgs(e.textLine));
|
|
return;
|
|
}
|
|
|
|
if (e.textLine.StartsWith("S,KEY,"))
|
|
{
|
|
// Todo: Process
|
|
return;
|
|
}
|
|
|
|
if (e.textLine.StartsWith("S,SERVER CONNECTED"))
|
|
{
|
|
// Todo: Process
|
|
return;
|
|
}
|
|
|
|
if (e.textLine.StartsWith("S,SERVER DISCONNECTED"))
|
|
{
|
|
OnLevel1ServerDisconnected(new Level1ServerDisconnectedArgs(e.textLine));
|
|
return;
|
|
}
|
|
|
|
if (e.textLine.StartsWith("S,SERVER RECONNECT FAILED"))
|
|
{
|
|
OnLevel1ServerReconnectFailed(new Level1ServerReconnectFailedArgs(e.textLine));
|
|
return;
|
|
}
|
|
|
|
if (e.textLine.StartsWith("S,IP,"))
|
|
{
|
|
// Todo: Process
|
|
return;
|
|
}
|
|
|
|
if (e.textLine.StartsWith("S,CUST,"))
|
|
{
|
|
// Todo: Process
|
|
return;
|
|
}
|
|
|
|
OnLevel1UnknownEvent(new Level1TextLineEventArgs(e.textLine));
|
|
}
|
|
|
|
protected virtual void OnLevel1UnknownEvent(Level1TextLineEventArgs e)
|
|
{
|
|
if (Level1UnknownEvent != null) Level1UnknownEvent(this, e);
|
|
}
|
|
|
|
protected virtual void OnLevel1ServerReconnectFailed(Level1ServerReconnectFailedArgs e)
|
|
{
|
|
if (Level1ServerReconnectFailed != null) Level1ServerReconnectFailed(this, e);
|
|
}
|
|
|
|
protected virtual void OnLevel1ServerDisconnected(Level1ServerDisconnectedArgs e)
|
|
{
|
|
if (Level1ServerDisconnectedEvent != null) Level1ServerDisconnectedEvent(this, e);
|
|
}
|
|
|
|
protected virtual void OnLevel1SummaryUpdateEvent(Level1SummaryUpdateEventArgs e)
|
|
{
|
|
if (Level1SummaryUpdateEvent != null) Level1SummaryUpdateEvent(this, e);
|
|
}
|
|
protected virtual void OnLevel1FundamentalEvent(Level1FundamentalEventArgs e)
|
|
{
|
|
if (Level1FundamentalEvent != null) Level1FundamentalEvent(this, e);
|
|
}
|
|
protected virtual void OnLevel1TimerEvent(Level1TimerEventArgs e)
|
|
{
|
|
if (Level1TimerEvent != null) Level1TimerEvent(this, e);
|
|
}
|
|
protected virtual void OnLevel1RegionalEvent(Level1RegionalEventArgs e)
|
|
{
|
|
if (Level1RegionalEvent != null) Level1RegionalEvent(this, e);
|
|
}
|
|
protected virtual void OnLevel1NewsEvent(Level1NewsEventArgs e)
|
|
{
|
|
if (Level1NewsEvent != null) Level1NewsEvent(this, e);
|
|
}
|
|
|
|
#region private
|
|
private Dictionary<string,IQLevel1WatchItem> _key;
|
|
|
|
#endregion
|
|
}
|
|
}
|