IB API - twkk/cta_strategy GitHub Wiki

//步驟1

class IbWrapper : public EWrapper
{
private:
	VnIbApi \*api;

public:
	IbWrapper(VnIbApi \*api)
	{
		this->api = api;
	};

	~IbWrapper()
	{

	};

	void tickPrice(TickerId tickerId, TickType field, double price, int canAutoExecute);

......

//步驟2、3、4

class VnIbApi
{
private:
	//EClientSocket \*client;
	IbWrapper \*wrapper;
	EReaderOSSignal signal;
	EReader \*reader;

	thread \*worker;

public:
	EClientSocket \*client;

	VnIbApi()
	{
		this->signal = EReaderOSSignal();
		this->wrapper = new IbWrapper(this);
		this->client = new EClientSocket(this->wrapper, &this->signal);
	};

......

//步驟5、6、7
bool VnIbApi::eConnect(string host, int port, int clientId, bool extraAuth)
{
	bool r = this->client->eConnect(host.c_str(), port, clientId, extraAuth);

	if (r)
	{
		//啟動EReader從socket讀取信息
		this->reader = new EReader(this->client, &this->signal);
		this->reader->start();

		//啟動數據推送線程
		function0<void> f = boost::bind(&VnIbApi::run, this);
		thread t(f);
		this->worker = &t;
	};

	return r;
};

//步驟8、9

void VnIbApi::run()
{
	while (this->client->isConnected())
	{
		this->reader->checkClient();
		signal.waitForSignal();
		this->reader->processMsgs();
	}
};

class TestCppClient : public EWrapper //回調函數
{
...
void TestCppClient::execDetails( int reqId, const Contract& contract, const Execution& execution) {
    printf( "ExecDetails. ReqId: %d - %s, %s, %s - %s, %ld, %g\n", reqId, contract.symbol.c_str(), contract.secType.c_str(), contract.currency.c_str(), execution.execId.c_str(), execution.orderId, execution.shares);
}
...
void TestCppClient::commissionReport( const CommissionReport& commissionReport) {
    printf( "CommissionReport. %s - %g %s RPNL %g\n", commissionReport.execId.c_str(), commissionReport.commission, commissionReport.currency.c_str(), commissionReport.realizedPNL);
}

class TestCppClient : public EWrapper
{
...
void TestCppClient::execDetailsEnd( int reqId) {
    printf( "ExecDetailsEnd. %d\n", reqId);
}

m_pClient->reqMktData(1001, ContractSamples::StockComboContract(), "", false, false, TagValueListSPtr());
m_pClient->reqMktData(1002, ContractSamples::OptionWithLoacalSymbol(), "", false, false, TagValueListSPtr());

 m_pClient->reqMktDepth(2001, ContractSamples::EurGbpFx(), 5, TagValueListSPtr());

class TestCppClient : public EWrapper
{
...
void TestCppClient::updateMktDepth(TickerId id, int position, int operation, int side, double price, int size) {
    printf( "UpdateMarketDepth. %ld - Position: %d, Operation: %d, Side: %d, Price: %g, Size: %d\n", id, position, operation, side, price, size);
}
...
void TestCppClient::updateMktDepthL2(TickerId id, int position, std::string marketMaker, int operation, int side, double price, int size) {
    printf( "UpdateMarketDepthL2. %ld - Position: %d, Operation: %d, Side: %d, Price: %g, Size: %d\n", id, position, operation, side, price, size);
}

std::time_t rawtime;
std::tm* timeinfo;
char queryTime [80];
std::time(&rawtime);
timeinfo = std::localtime(&rawtime);
std::strftime(queryTime, 80, "%Y%m%d %H:%M:%S", timeinfo);
m_pClient->reqHistoricalData(4001, ContractSamples::EurGbpFx(), queryTime, "1 M", "1 day", "MIDPOINT", 1, 1, TagValueListSPtr());
m_pClient->reqHistoricalData(4002, ContractSamples::EuropeanStock(), queryTime, "10 D", "1 min", "TRADES", 1, 1, TagValueListSPtr());

class TestCppClient : public EWrapper
{
...
void TestCppClient::historicalData(TickerId reqId, const std::string& date, double open, double high, double low, double close, int volume, int barCount, double WAP, int hasGaps) {
    printf( "HistoricalData. ReqId: %ld - Date: %s, Open: %g, High: %g, Low: %g, Close: %g, Volume: %d, Count: %d, WAP: %g, HasGaps: %d\n", reqId, date.c_str(), open, high, low, close, volume, barCount, WAP, hasGaps);
}
...
void TestCppClient::historicalDataEnd(int reqId, std::string startDateStr, std::string endDateStr) {
    std::cout << "HistoricalDataEnd. ReqId: " << reqId << " - Start Date: " << startDateStr << ", End Date: " << endDateStr << std::endl;   
}

class VnIbApi
{
private:
	IbWrapper \*wrapper;
	EReaderOSSignal signal;
	EReader \*reader;

	thread \*worker;

public:
	EClientSocket \*client;

	VnIbApi()
	{
		this->signal = EReaderOSSignal(2000);
		this->wrapper = new IbWrapper(this);
		this->client = new EClientSocket(this->wrapper, &this->signal);
	};

	~VnIbApi()
	{
		delete this->client;
		delete this->wrapper;
	};

	//-------------------------------------------------------------------------------------
	//負責調用checkMessages的線程工作函數
	//-------------------------------------------------------------------------------------
	void run();

	//-------------------------------------------------------------------------------------
	//回調函數
	//-------------------------------------------------------------------------------------
	virtual void tickPrice(TickerId tickerId, TickType field, double price, int canAutoExecute){};
	...
	//-------------------------------------------------------------------------------------
	//主動函數
	//-------------------------------------------------------------------------------------
	void reqMktData(TickerId id, const Contract& contract,
	const std::string& genericTicks, bool snapshot, const TagValueListSPtr& mktDataOptions);
	...

VnIbApi()
{
	this->signal = EReaderOSSignal(2000);
	this->wrapper = new IbWrapper(this);
	this->client = new EClientSocket(this->wrapper, &this->signal);
};

~VnIbApi()
{
	delete this->client;
	delete this->wrapper;
};

bool VnIbApi::eConnect(string host, int port, int clientId, bool extraAuth)
{
	bool r = this->client->eConnect(host.c_str(), port, clientId, extraAuth);

	if (r)
	{
		this->reader = new EReader(this->client, &this->signal);
		this->reader->start();

		function0<void> f = boost::bind(&VnIbApi::run, this);
		thread t(f);
		this->worker = &t;
	};

	return r;
};

void VnIbApi::run()
{
	while (this->client->isConnected())
	{
		this->reader->checkClient();
		signal.waitForSignal();
		this->reader->processMsgs();
	}
};

void VnIbApi::reqMktData(TickerId id, const Contract& contract, const std::string& genericTicks, bool snapshot, const TagValueListSPtr& mktDataOptions)
{
	this->client->reqMktData(id, contract, genericTicks, snapshot, mktDataOptions);
};

void IbWrapper::tickPrice(TickerId tickerId, TickType field, double price, int canAutoExecute)
{
	PyLock lock;
	this->api->tickPrice(tickerId, field, price, canAutoExecute);
};

class IbGateway(VtGateway):
    """IB接口"""
...
    def subscribe(self, subscribeReq):
        """訂閱行情"""
        # 如果尚未連接行情，則將訂閱請求緩存下來後直接返回
        if not self.connected:
            self.subscribeReqDict[subscribeReq.symbol] = subscribeReq
            return

        contract = Contract()
        contract.localSymbol = str(subscribeReq.symbol)
        contract.exchange = exchangeMap.get(subscribeReq.exchange, '')
        contract.secType = productClassMap.get(subscribeReq.productClass, '')
        contract.currency = currencyMap.get(subscribeReq.currency, '')
        contract.expiry = subscribeReq.expiry
        contract.strike = subscribeReq.strikePrice
        contract.right = optionTypeMap.get(subscribeReq.optionType, '')

        # 獲取合約詳細信息
        self.tickerId += 1
        self.api.reqContractDetails(self.tickerId, contract)        

        # 創建合約對象並保存到字典中
        ct = VtContractData()
        ct.gatewayName = self.gatewayName
        ct.symbol = str(subscribeReq.symbol)
        ct.exchange = subscribeReq.exchange
        ct.vtSymbol = '.'.join([ct.symbol, ct.exchange])
        ct.productClass = subscribeReq.productClass
        self.contractDict[ct.vtSymbol] = ct

        # 訂閱行情
        self.tickerId += 1   
        self.api.reqMktData(self.tickerId, contract, '', False, TagValueList())

        # 創建Tick對象並保存到字典中
        tick = VtTickData()
        tick.symbol = subscribeReq.symbol
        tick.exchange = subscribeReq.exchange
        tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
        tick.gatewayName = self.gatewayName
        self.tickDict[self.tickerId] = tick   
        self.tickProductDict[self.tickerId] = subscribeReq.productClass
...

class IbWrapper(IbApi):
    """IB回調接口的實現"""
...
   def tickPrice(self, tickerId, field, price, canAutoExecute):
        """行情價格相關推送"""
        if field in tickFieldMap:
            # 對於股票、期貨等行情，有新價格推送時僅更新tick緩存
            # 只有當發生成交後，tickString更新最新成交價時才推送新的tick
            # 即bid/ask的價格變動並不會觸發新的tick推送
            tick = self.tickDict[tickerId]
            key = tickFieldMap[field]
            tick.__setattr__(key, price)

            # IB的外匯行情沒有成交價和時間，通過本地計算生成，同時立即推送
            if self.tickProductDict[tickerId] == PRODUCT_FOREX:
                tick.lastPrice = (tick.bidPrice1 + tick.askPrice1) / 2
                dt = datetime.now()
                tick.time = dt.strftime('%H:%M:%S.%f')
                tick.date = dt.strftime('%Y%m%d')

                # 行情數據更新
                newtick = copy(tick)
                self.gateway.onTick(newtick)
        else:
            print field

    def contractDetails(self, reqId, contractDetails):
        """合約查詢回報"""
        symbol = contractDetails.summary.localSymbol
        exchange = exchangeMapReverse.get(contractDetails.summary.exchange, EXCHANGE_UNKNOWN)
        vtSymbol = '.'.join([symbol, exchange])
        ct = self.contractDict.get(vtSymbol, None)

        if not ct:
            return

        ct.name = contractDetails.longName.decode('UTF-8')
        ct.priceTick = contractDetails.minTick        

        # 推送
        self.gateway.onContract(ct)
...