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decoder.go
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package ibapi
import (
"strings"
"time"
"go.uber.org/zap"
)
const (
TIME_FORMAT string = "2006-01-02 15:04:05 +0700 CST"
)
// ibDecoder help to decode the msg bytes received from TWS or Gateway
type ibDecoder struct {
wrapper IbWrapper
version Version
msgID2process map[IN]func(*MsgBuffer)
// errChan chan error
}
func (d *ibDecoder) setVersion(version Version) {
d.version = version
}
func (d *ibDecoder) setWrapper(w IbWrapper) {
d.wrapper = w
}
func (d *ibDecoder) interpret(msgBytes []byte) {
msgBuf := NewMsgBuffer(msgBytes)
if msgBuf.Len() == 0 {
log.Debug("no fields")
return
}
// try not to handle the error produced by decoder and wrapper, user should be responsible for this
// // if decode error ocours,handle the error
// defer func() {
// if err := recover(); err != nil {
// log.Error("failed to decode", zap.Error(err.(error)))
// d.errChan <- err.(error)
// }
// }()
// log.Debug("interpret", zap.Binary("MsgBytes", msgBuf.Bytes()))
// read the msg type
MsgID := msgBuf.readInt()
if processer, ok := d.msgID2process[MsgID]; ok {
processer(msgBuf)
} else {
log.Warn("msg ID not found!!!", zap.Int64("msgID", MsgID), zap.Binary("MsgBytes", msgBuf.Bytes()))
}
}
// func (d *ibDecoder) interpretWithSignature(fs [][]byte, processer interface{}) {
// if processer == nil {
// fmt.Println("No processer")
// }
// processerType := reflect.TypeOf(processer)
// params := make([]interface{}, processerType.NumIn())
// for i, f := range fs[1:] {
// switch processerType.In(i).Kind() {
// case reflect.Int:
// param := strconv.Atoi(string(f))
// case reflect.Float64:
// param, _ := strconv.ParseFloat(string(f), 64)
// default:
// param := string(f)
// }
// params = append(params, param)
// }
// processer(params...)
// }
func (d *ibDecoder) setmsgID2process() {
d.msgID2process = map[IN]func(*MsgBuffer){
mTICK_PRICE: d.processTickPriceMsg,
mTICK_SIZE: d.wrapTickSize,
mORDER_STATUS: d.processOrderStatusMsg,
mERR_MSG: d.wrapError,
mOPEN_ORDER: d.processOpenOrder,
mACCT_VALUE: d.wrapUpdateAccountValue,
mPORTFOLIO_VALUE: d.processPortfolioValueMsg,
mACCT_UPDATE_TIME: d.wrapUpdateAccountTime,
mNEXT_VALID_ID: d.wrapNextValidID,
mCONTRACT_DATA: d.processContractDataMsg,
mEXECUTION_DATA: d.processExecutionDataMsg,
mMARKET_DEPTH: d.wrapUpdateMktDepth,
mMARKET_DEPTH_L2: d.wrapUpdateMktDepthL2,
mNEWS_BULLETINS: d.wrapUpdateNewsBulletin,
mMANAGED_ACCTS: d.wrapManagedAccounts,
mRECEIVE_FA: d.wrapReceiveFA,
mHISTORICAL_DATA: d.processHistoricalDataMsg,
mHISTORICAL_DATA_UPDATE: d.processHistoricalDataUpdateMsg,
mBOND_CONTRACT_DATA: d.processBondContractDataMsg,
mSCANNER_PARAMETERS: d.wrapScannerParameters,
mSCANNER_DATA: d.processScannerDataMsg,
mTICK_OPTION_COMPUTATION: d.processTickOptionComputationMsg,
mTICK_GENERIC: d.wrapTickGeneric,
mTICK_STRING: d.wrapTickString,
mTICK_EFP: d.wrapTickEFP,
mCURRENT_TIME: d.wrapCurrentTime,
mREAL_TIME_BARS: d.processRealTimeBarMsg,
mFUNDAMENTAL_DATA: d.wrapFundamentalData,
mCONTRACT_DATA_END: d.wrapContractDetailsEnd,
mACCT_DOWNLOAD_END: d.wrapAccountDownloadEnd,
mOPEN_ORDER_END: d.wrapOpenOrderEnd,
mEXECUTION_DATA_END: d.wrapExecDetailsEnd,
mDELTA_NEUTRAL_VALIDATION: d.processDeltaNeutralValidationMsg,
mTICK_SNAPSHOT_END: d.wrapTickSnapshotEnd,
mMARKET_DATA_TYPE: d.wrapMarketDataType,
mCOMMISSION_REPORT: d.processCommissionReportMsg,
mPOSITION_DATA: d.processPositionDataMsg,
mPOSITION_END: d.wrapPositionEnd,
mACCOUNT_SUMMARY: d.wrapAccountSummary,
mACCOUNT_SUMMARY_END: d.wrapAccountSummaryEnd,
mVERIFY_MESSAGE_API: d.wrapVerifyMessageAPI,
mVERIFY_COMPLETED: d.wrapVerifyCompleted,
mDISPLAY_GROUP_LIST: d.wrapDisplayGroupList,
mDISPLAY_GROUP_UPDATED: d.wrapDisplayGroupUpdated,
mVERIFY_AND_AUTH_MESSAGE_API: d.wrapVerifyAndAuthMessageAPI,
mVERIFY_AND_AUTH_COMPLETED: d.wrapVerifyAndAuthCompleted,
mPOSITION_MULTI: d.processPositionMultiMsg,
mPOSITION_MULTI_END: d.wrapPositionMultiEnd,
mACCOUNT_UPDATE_MULTI: d.wrapAccountUpdateMulti,
mACCOUNT_UPDATE_MULTI_END: d.wrapAccountUpdateMultiEnd,
mSECURITY_DEFINITION_OPTION_PARAMETER: d.processSecurityDefinitionOptionParameterMsg,
mSECURITY_DEFINITION_OPTION_PARAMETER_END: d.wrapSecurityDefinitionOptionParameterEndMsg,
mSOFT_DOLLAR_TIERS: d.processSoftDollarTiersMsg,
mFAMILY_CODES: d.processFamilyCodesMsg,
mSYMBOL_SAMPLES: d.processSymbolSamplesMsg,
mSMART_COMPONENTS: d.processSmartComponents,
mTICK_REQ_PARAMS: d.processTickReqParams,
mMKT_DEPTH_EXCHANGES: d.processMktDepthExchanges,
mHEAD_TIMESTAMP: d.processHeadTimestamp,
mTICK_NEWS: d.processTickNews,
mNEWS_PROVIDERS: d.processNewsProviders,
mNEWS_ARTICLE: d.processNewsArticle,
mHISTORICAL_NEWS: d.processHistoricalNews,
mHISTORICAL_NEWS_END: d.processHistoricalNewsEnd,
mHISTOGRAM_DATA: d.processHistogramData,
mREROUTE_MKT_DATA_REQ: d.processRerouteMktDataReq,
mREROUTE_MKT_DEPTH_REQ: d.processRerouteMktDepthReq,
mMARKET_RULE: d.processMarketRuleMsg,
mPNL: d.processPnLMsg,
mPNL_SINGLE: d.processPnLSingleMsg,
mHISTORICAL_TICKS: d.processHistoricalTicks,
mHISTORICAL_TICKS_BID_ASK: d.processHistoricalTicksBidAsk,
mHISTORICAL_TICKS_LAST: d.processHistoricalTicksLast,
mTICK_BY_TICK: d.processTickByTickMsg,
mORDER_BOUND: d.processOrderBoundMsg,
mCOMPLETED_ORDER: d.processCompletedOrderMsg,
mCOMPLETED_ORDERS_END: d.processCompletedOrdersEndMsg,
mREPLACE_FA_END: d.processReplaceFAEndMsg}
}
func (d *ibDecoder) wrapTickSize(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
tickType := msgBuf.readInt()
size := msgBuf.readInt()
d.wrapper.TickSize(reqID, tickType, size)
}
func (d *ibDecoder) wrapNextValidID(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
d.wrapper.NextValidID(reqID)
}
func (d *ibDecoder) wrapManagedAccounts(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
accNames := msgBuf.readString()
accsList := strings.Split(accNames, ",")
d.wrapper.ManagedAccounts(accsList)
}
func (d *ibDecoder) wrapUpdateAccountValue(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
tag := msgBuf.readString()
val := msgBuf.readString()
currency := msgBuf.readString()
accName := msgBuf.readString()
d.wrapper.UpdateAccountValue(tag, val, currency, accName)
}
func (d *ibDecoder) wrapUpdateAccountTime(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
ts := msgBuf.readString()
today := time.Now()
// time.
t, err := time.ParseInLocation("04:05", ts, time.Local)
if err != nil {
log.Panic("failed to parse account time", zap.Error(err))
}
t = t.AddDate(today.Year(), int(today.Month())-1, today.Day()-1)
d.wrapper.UpdateAccountTime(t)
}
func (d *ibDecoder) wrapError(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
errorCode := msgBuf.readInt()
errorString := msgBuf.readString()
d.wrapper.Error(reqID, errorCode, errorString)
}
func (d *ibDecoder) wrapCurrentTime(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
ts := msgBuf.readInt()
t := time.Unix(ts, 0)
d.wrapper.CurrentTime(t)
}
func (d *ibDecoder) wrapUpdateMktDepth(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
position := msgBuf.readInt()
operation := msgBuf.readInt()
side := msgBuf.readInt()
price := msgBuf.readFloat()
size := msgBuf.readInt()
d.wrapper.UpdateMktDepth(reqID, position, operation, side, price, size)
}
func (d *ibDecoder) wrapUpdateMktDepthL2(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
position := msgBuf.readInt()
marketMaker := msgBuf.readString()
operation := msgBuf.readInt()
side := msgBuf.readInt()
price := msgBuf.readFloat()
size := msgBuf.readInt()
isSmartDepth := msgBuf.readBool()
d.wrapper.UpdateMktDepthL2(reqID, position, marketMaker, operation, side, price, size, isSmartDepth)
}
func (d *ibDecoder) wrapUpdateNewsBulletin(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
msgID := msgBuf.readInt()
msgType := msgBuf.readInt()
newsMessage := msgBuf.readString()
originExch := msgBuf.readString()
d.wrapper.UpdateNewsBulletin(msgID, msgType, newsMessage, originExch)
}
func (d *ibDecoder) wrapReceiveFA(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
faData := msgBuf.readInt()
cxml := msgBuf.readString()
d.wrapper.ReceiveFA(faData, cxml)
}
func (d *ibDecoder) wrapScannerParameters(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
xml := msgBuf.readString()
d.wrapper.ScannerParameters(xml)
}
func (d *ibDecoder) wrapTickGeneric(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
tickType := msgBuf.readInt()
value := msgBuf.readFloat()
d.wrapper.TickGeneric(reqID, tickType, value)
}
func (d *ibDecoder) wrapTickString(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
tickType := msgBuf.readInt()
value := msgBuf.readString()
d.wrapper.TickString(reqID, tickType, value)
}
func (d *ibDecoder) wrapTickEFP(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
tickType := msgBuf.readInt()
basisPoints := msgBuf.readFloat()
formattedBasisPoints := msgBuf.readString()
totalDividends := msgBuf.readFloat()
holdDays := msgBuf.readInt()
futureLastTradeDate := msgBuf.readString()
dividendImpact := msgBuf.readFloat()
dividendsToLastTradeDate := msgBuf.readFloat()
d.wrapper.TickEFP(reqID, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureLastTradeDate, dividendImpact, dividendsToLastTradeDate)
}
func (d *ibDecoder) wrapMarketDataType(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
marketDataType := msgBuf.readInt()
d.wrapper.MarketDataType(reqID, marketDataType)
}
func (d *ibDecoder) wrapAccountSummary(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
account := msgBuf.readString()
tag := msgBuf.readString()
value := msgBuf.readString()
currency := msgBuf.readString()
d.wrapper.AccountSummary(reqID, account, tag, value, currency)
}
func (d *ibDecoder) wrapVerifyMessageAPI(msgBuf *MsgBuffer) {
// Deprecated Function: keep it temporarily, not know how it works
_ = msgBuf.readString()
apiData := msgBuf.readString()
d.wrapper.VerifyMessageAPI(apiData)
}
func (d *ibDecoder) wrapVerifyCompleted(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
isSuccessful := msgBuf.readBool()
err := msgBuf.readString()
d.wrapper.VerifyCompleted(isSuccessful, err)
}
func (d *ibDecoder) wrapDisplayGroupList(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
groups := msgBuf.readString()
d.wrapper.DisplayGroupList(reqID, groups)
}
func (d *ibDecoder) wrapDisplayGroupUpdated(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
contractInfo := msgBuf.readString()
d.wrapper.DisplayGroupUpdated(reqID, contractInfo)
}
func (d *ibDecoder) wrapVerifyAndAuthMessageAPI(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
apiData := msgBuf.readString()
xyzChallange := msgBuf.readString()
d.wrapper.VerifyAndAuthMessageAPI(apiData, xyzChallange)
}
func (d *ibDecoder) wrapVerifyAndAuthCompleted(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
isSuccessful := msgBuf.readBool()
err := msgBuf.readString()
d.wrapper.VerifyAndAuthCompleted(isSuccessful, err)
}
func (d *ibDecoder) wrapAccountUpdateMulti(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
acc := msgBuf.readString()
modelCode := msgBuf.readString()
tag := msgBuf.readString()
val := msgBuf.readString()
currency := msgBuf.readString()
d.wrapper.AccountUpdateMulti(reqID, acc, modelCode, tag, val, currency)
}
func (d *ibDecoder) wrapFundamentalData(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
data := msgBuf.readString()
d.wrapper.FundamentalData(reqID, data)
}
//--------------wrap end func ---------------------------------
func (d *ibDecoder) wrapAccountDownloadEnd(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
accName := msgBuf.readString()
d.wrapper.AccountDownloadEnd(accName)
}
func (d *ibDecoder) wrapOpenOrderEnd(msgBuf *MsgBuffer) {
d.wrapper.OpenOrderEnd()
}
func (d *ibDecoder) wrapExecDetailsEnd(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
d.wrapper.ExecDetailsEnd(reqID)
}
func (d *ibDecoder) wrapTickSnapshotEnd(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
d.wrapper.TickSnapshotEnd(reqID)
}
func (d *ibDecoder) wrapPositionEnd(msgBuf *MsgBuffer) {
d.wrapper.PositionEnd()
}
func (d *ibDecoder) wrapAccountSummaryEnd(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
d.wrapper.AccountSummaryEnd(reqID)
}
func (d *ibDecoder) wrapPositionMultiEnd(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
d.wrapper.PositionMultiEnd(reqID)
}
func (d *ibDecoder) wrapAccountUpdateMultiEnd(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
d.wrapper.AccountUpdateMultiEnd(reqID)
}
func (d *ibDecoder) wrapSecurityDefinitionOptionParameterEndMsg(msgBuf *MsgBuffer) {
reqID := msgBuf.readInt()
d.wrapper.SecurityDefinitionOptionParameterEnd(reqID)
}
func (d *ibDecoder) wrapContractDetailsEnd(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
d.wrapper.ContractDetailsEnd(reqID)
}
// ------------------------------------------------------------------
func (d *ibDecoder) processTickPriceMsg(msgBuf *MsgBuffer) {
_ = msgBuf.readString()
reqID := msgBuf.readInt()
tickType := msgBuf.readInt()
price := msgBuf.readFloat()
size := msgBuf.readInt()
attrMask := msgBuf.readInt()
attrib := TickAttrib{}
attrib.CanAutoExecute = attrMask == 1
if d.version >= mMIN_SERVER_VER_PAST_LIMIT {
attrib.CanAutoExecute = attrMask&0x1 != 0
attrib.PastLimit = attrMask&0x2 != 0
if d.version >= mMIN_SERVER_VER_PRE_OPEN_BID_ASK {
attrib.PreOpen = attrMask&0x4 != 0
}
}
d.wrapper.TickPrice(reqID, tickType, price, attrib)
var sizeTickType int64
switch tickType {
case BID:
sizeTickType = BID_SIZE
case ASK:
sizeTickType = ASK_SIZE
case LAST:
sizeTickType = LAST_SIZE
case DELAYED_BID:
sizeTickType = DELAYED_BID_SIZE
case DELAYED_ASK:
sizeTickType = DELAYED_ASK_SIZE
case DELAYED_LAST:
sizeTickType = DELAYED_LAST_SIZE
default:
sizeTickType = NOT_SET
}
if sizeTickType != NOT_SET {
d.wrapper.TickSize(reqID, sizeTickType, size)
}
}
func (d *ibDecoder) processOrderStatusMsg(msgBuf *MsgBuffer) {
if d.version < mMIN_SERVER_VER_MARKET_CAP_PRICE {
_ = msgBuf.readString()
}
orderID := msgBuf.readInt()
status := msgBuf.readString()
filled := msgBuf.readFloat()
remaining := msgBuf.readFloat()
avgFilledPrice := msgBuf.readFloat()
permID := msgBuf.readInt()
parentID := msgBuf.readInt()
lastFillPrice := msgBuf.readFloat()
clientID := msgBuf.readInt()
whyHeld := msgBuf.readString()
mktCapPrice := 0.0
if d.version >= mMIN_SERVER_VER_MARKET_CAP_PRICE {
mktCapPrice = msgBuf.readFloat()
}
d.wrapper.OrderStatus(orderID, status, filled, remaining, avgFilledPrice, permID, parentID, lastFillPrice, clientID, whyHeld, mktCapPrice)
}
func (d *ibDecoder) processOpenOrder(msgBuf *MsgBuffer) {
var version int64
if d.version < mMIN_SERVER_VER_ORDER_CONTAINER {
version = msgBuf.readInt()
} else {
version = int64(d.version)
}
o := &Order{}
o.OrderID = msgBuf.readInt()
c := &Contract{}
// read contract fields
c.ContractID = msgBuf.readInt()
c.Symbol = msgBuf.readString()
c.SecurityType = msgBuf.readString()
c.Expiry = msgBuf.readString()
c.Strike = msgBuf.readFloat()
c.Right = msgBuf.readString()
if version >= 32 {
c.Multiplier = msgBuf.readString()
}
c.Exchange = msgBuf.readString()
c.Currency = msgBuf.readString()
c.LocalSymbol = msgBuf.readString()
if version >= 32 {
c.TradingClass = msgBuf.readString()
}
// read order fields
o.Action = msgBuf.readString()
if d.version >= mMIN_SERVER_VER_FRACTIONAL_POSITIONS {
o.TotalQuantity = msgBuf.readFloat()
} else {
o.TotalQuantity = float64(msgBuf.readInt())
}
o.OrderType = msgBuf.readString()
if version < 29 {
o.LimitPrice = msgBuf.readFloat()
} else {
o.LimitPrice = msgBuf.readFloatCheckUnset()
}
if version < 30 {
o.AuxPrice = msgBuf.readFloat()
} else {
o.AuxPrice = msgBuf.readFloatCheckUnset()
}
o.TIF = msgBuf.readString()
o.OCAGroup = msgBuf.readString()
o.Account = msgBuf.readString()
o.OpenClose = msgBuf.readString()
o.Origin = msgBuf.readInt()
o.OrderRef = msgBuf.readString()
o.ClientID = msgBuf.readInt()
o.PermID = msgBuf.readInt()
o.OutsideRTH = msgBuf.readBool()
o.Hidden = msgBuf.readBool()
o.DiscretionaryAmount = msgBuf.readFloat()
o.GoodAfterTime = msgBuf.readString()
_ = msgBuf.readString() // skip sharesAllocation
// FAParams
o.FAGroup = msgBuf.readString()
o.FAMethod = msgBuf.readString()
o.FAPercentage = msgBuf.readString()
o.FAProfile = msgBuf.readString()
// ---------
if d.version >= mMIN_SERVER_VER_MODELS_SUPPORT {
o.ModelCode = msgBuf.readString()
}
o.GoodTillDate = msgBuf.readString()
o.Rule80A = msgBuf.readString()
o.PercentOffset = msgBuf.readFloatCheckUnset() //show_unset
o.SettlingFirm = msgBuf.readString()
// ShortSaleParams
o.ShortSaleSlot = msgBuf.readInt()
o.DesignatedLocation = msgBuf.readString()
if d.version == mMIN_SERVER_VER_SSHORTX_OLD {
_ = msgBuf.readString()
} else if version >= 23 {
o.ExemptCode = msgBuf.readInt()
}
// ----------
o.AuctionStrategy = msgBuf.readInt()
// BoxOrderParams
o.StartingPrice = msgBuf.readFloatCheckUnset() //show_unset
o.StockRefPrice = msgBuf.readFloatCheckUnset() //show_unset
o.Delta = msgBuf.readFloatCheckUnset() //show_unset
// ----------
// PegToStkOrVolOrderParams
o.StockRangeLower = msgBuf.readFloatCheckUnset() //show_unset
o.StockRangeUpper = msgBuf.readFloatCheckUnset() //show_unset
// ----------
o.DisplaySize = msgBuf.readInt()
o.BlockOrder = msgBuf.readBool()
o.SweepToFill = msgBuf.readBool()
o.AllOrNone = msgBuf.readBool()
o.MinQty = msgBuf.readIntCheckUnset() //show_unset
o.OCAType = msgBuf.readInt()
o.ETradeOnly = msgBuf.readBool()
o.FirmQuoteOnly = msgBuf.readBool()
o.NBBOPriceCap = msgBuf.readFloatCheckUnset() //show_unset
o.ParentID = msgBuf.readInt()
o.TriggerMethod = msgBuf.readInt()
// VolOrderParams
o.Volatility = msgBuf.readFloatCheckUnset() //show_unset
o.VolatilityType = msgBuf.readInt()
o.DeltaNeutralOrderType = msgBuf.readString()
o.DeltaNeutralAuxPrice = msgBuf.readFloatCheckUnset() //show_unset
if version >= 27 && o.DeltaNeutralOrderType != "" {
o.DeltaNeutralContractID = msgBuf.readInt()
o.DeltaNeutralSettlingFirm = msgBuf.readString()
o.DeltaNeutralClearingAccount = msgBuf.readString()
o.DeltaNeutralClearingIntent = msgBuf.readString()
}
if version >= 31 && o.DeltaNeutralOrderType != "" {
o.DeltaNeutralOpenClose = msgBuf.readString()
o.DeltaNeutralShortSale = msgBuf.readBool()
o.DeltaNeutralShortSaleSlot = msgBuf.readInt()
o.DeltaNeutralDesignatedLocation = msgBuf.readString()
}
o.ContinuousUpdate = msgBuf.readBool()
o.ReferencePriceType = msgBuf.readInt()
// ---------
// TrailParams
o.TrailStopPrice = msgBuf.readFloatCheckUnset()
if version >= 30 {
o.TrailingPercent = msgBuf.readFloatCheckUnset() //show_unset
}
// ----------
// BasisPoints
o.BasisPoints = msgBuf.readFloatCheckUnset()
o.BasisPointsType = msgBuf.readIntCheckUnset()
// ----------
// ComboLegs
c.ComboLegsDescription = msgBuf.readString()
if version >= 29 {
{
n := msgBuf.readInt()
c.ComboLegs = make([]ComboLeg, 0, n)
for ; n > 0; n-- {
comboleg := ComboLeg{}
comboleg.ContractID = msgBuf.readInt()
comboleg.Ratio = msgBuf.readInt()
comboleg.Action = msgBuf.readString()
comboleg.Exchange = msgBuf.readString()
comboleg.OpenClose = msgBuf.readInt()
comboleg.ShortSaleSlot = msgBuf.readInt()
comboleg.DesignatedLocation = msgBuf.readString()
comboleg.ExemptCode = msgBuf.readInt()
c.ComboLegs = append(c.ComboLegs, comboleg)
}
}
{
n := msgBuf.readInt()
o.OrderComboLegs = make([]OrderComboLeg, 0, n)
for ; n > 0; n-- {
orderComboLeg := OrderComboLeg{}
orderComboLeg.Price = msgBuf.readFloatCheckUnset()
o.OrderComboLegs = append(o.OrderComboLegs, orderComboLeg)
}
}
}
if version >= 26 {
n := msgBuf.readInt()
o.SmartComboRoutingParams = make([]TagValue, 0, n)
for ; n > 0; n-- {
tagValue := TagValue{}
tagValue.Tag = msgBuf.readString()
tagValue.Value = msgBuf.readString()
o.SmartComboRoutingParams = append(o.SmartComboRoutingParams, tagValue)
}
}
// ----------
// ScaleOrderParams
if version >= 20 {
o.ScaleInitLevelSize = msgBuf.readIntCheckUnset() //show_unset
o.ScaleSubsLevelSize = msgBuf.readIntCheckUnset() //show_unset
} else {
o.NotSuppScaleNumComponents = msgBuf.readIntCheckUnset()
o.ScaleInitLevelSize = msgBuf.readIntCheckUnset()
}
o.ScalePriceIncrement = msgBuf.readFloatCheckUnset()
if version >= 28 && o.ScalePriceIncrement != UNSETFLOAT && o.ScalePriceIncrement > 0.0 {
o.ScalePriceAdjustValue = msgBuf.readFloatCheckUnset()
o.ScalePriceAdjustInterval = msgBuf.readIntCheckUnset()
o.ScaleProfitOffset = msgBuf.readFloatCheckUnset()
o.ScaleAutoReset = msgBuf.readBool()
o.ScaleInitPosition = msgBuf.readIntCheckUnset()
o.ScaleInitFillQty = msgBuf.readIntCheckUnset()
o.ScaleRandomPercent = msgBuf.readBool()
}
// ----------
if version >= 24 {
o.HedgeType = msgBuf.readString()
if o.HedgeType != "" {
o.HedgeParam = msgBuf.readString()
}
}
if version >= 25 {
o.OptOutSmartRouting = msgBuf.readBool()
}
// ClearingParams
o.ClearingAccount = msgBuf.readString()
o.ClearingIntent = msgBuf.readString()
// ----------
if version >= 22 {
o.NotHeld = msgBuf.readBool()
}
// DeltaNeutral
if version >= 20 {
deltaNeutralContractPresent := msgBuf.readBool()
if deltaNeutralContractPresent {
c.DeltaNeutralContract = new(DeltaNeutralContract)
c.DeltaNeutralContract.ContractID = msgBuf.readInt()
c.DeltaNeutralContract.Delta = msgBuf.readFloat()
c.DeltaNeutralContract.Price = msgBuf.readFloat()
}
}
// ----------
// AlgoParams
if version >= 21 {
o.AlgoStrategy = msgBuf.readString()
if o.AlgoStrategy != "" {
n := msgBuf.readInt()
o.AlgoParams = make([]TagValue, 0, n)
for ; n > 0; n-- {
tagValue := TagValue{}
tagValue.Tag = msgBuf.readString()
tagValue.Value = msgBuf.readString()
o.AlgoParams = append(o.AlgoParams, tagValue)
}
}
}
// ----------
if version >= 33 {
o.Solictied = msgBuf.readBool()
}
orderState := &OrderState{}
// WhatIfInfoAndCommission
o.WhatIf = msgBuf.readBool()
orderState.Status = msgBuf.readString()
if d.version >= mMIN_SERVER_VER_WHAT_IF_EXT_FIELDS {
orderState.InitialMarginBefore = msgBuf.readString()
orderState.MaintenanceMarginBefore = msgBuf.readString()
orderState.EquityWithLoanBefore = msgBuf.readString()
orderState.InitialMarginChange = msgBuf.readString()
orderState.MaintenanceMarginChange = msgBuf.readString()
orderState.EquityWithLoanChange = msgBuf.readString()
}
orderState.InitialMarginAfter = msgBuf.readString()
orderState.MaintenanceMarginAfter = msgBuf.readString()
orderState.EquityWithLoanAfter = msgBuf.readString()
orderState.Commission = msgBuf.readFloatCheckUnset()
orderState.MinCommission = msgBuf.readFloatCheckUnset()
orderState.MaxCommission = msgBuf.readFloatCheckUnset()
orderState.CommissionCurrency = msgBuf.readString()
orderState.WarningText = msgBuf.readString()
// ----------
// VolRandomizeFlags
if version >= 34 {
o.RandomizeSize = msgBuf.readBool()
o.RandomizePrice = msgBuf.readBool()
}
// ----------
if d.version >= mMIN_SERVER_VER_PEGGED_TO_BENCHMARK {
// PegToBenchParams
if o.OrderType == "PEG BENCH" {
o.ReferenceContractID = msgBuf.readInt()
o.IsPeggedChangeAmountDecrease = msgBuf.readBool()
o.PeggedChangeAmount = msgBuf.readFloat()
o.ReferenceChangeAmount = msgBuf.readFloat()
o.ReferenceExchangeID = msgBuf.readString()
}
// ----------
// Conditions
n := msgBuf.readInt()
o.Conditions = make([]OrderConditioner, 0, n)
if n > 0 {
for ; n > 0; n-- {
conditionType := msgBuf.readInt()
cond, _ := InitOrderCondition(conditionType)
cond.decode(msgBuf)
o.Conditions = append(o.Conditions, cond)
}
o.ConditionsIgnoreRth = msgBuf.readBool()
o.ConditionsCancelOrder = msgBuf.readBool()
}
// ----------
// AdjustedOrderParams
o.AdjustedOrderType = msgBuf.readString()
o.TriggerPrice = msgBuf.readFloat()
o.TrailStopPrice = msgBuf.readFloat()
o.LimitPriceOffset = msgBuf.readFloat()
o.AdjustedStopPrice = msgBuf.readFloat()
o.AdjustedStopLimitPrice = msgBuf.readFloat()
o.AdjustedTrailingAmount = msgBuf.readFloat()
o.AdjustableTrailingUnit = msgBuf.readInt()
// ----------
}
// SoftDollarTier
if d.version >= mMIN_SERVER_VER_SOFT_DOLLAR_TIER {
name := msgBuf.readString()
value := msgBuf.readString()
displayName := msgBuf.readString()
o.SoftDollarTier = SoftDollarTier{name, value, displayName}
}
// ----------
if d.version >= mMIN_SERVER_VER_CASH_QTY {
o.CashQty = msgBuf.readFloat()
}
if d.version >= mMIN_SERVER_VER_AUTO_PRICE_FOR_HEDGE {
o.DontUseAutoPriceForHedge = msgBuf.readBool()
}
if d.version >= mMIN_SERVER_VER_ORDER_CONTAINER {
o.IsOmsContainer = msgBuf.readBool()
}
if d.version >= mMIN_SERVER_VER_D_PEG_ORDERS {
o.DiscretionaryUpToLimitPrice = msgBuf.readBool()
}
if d.version >= mMIN_SERVER_VER_PRICE_MGMT_ALGO {
o.UsePriceMgmtAlgo = msgBuf.readBool()
}
if d.version >= mMIN_SERVER_VER_DURATION {
o.Duration = msgBuf.readIntCheckUnset()
}
if d.version >= mMIN_SERVER_VER_POST_TO_ATS {
o.PostToAts = msgBuf.readIntCheckUnset()
}
d.wrapper.OpenOrder(o.OrderID, c, o, orderState)
}
func (d *ibDecoder) processPortfolioValueMsg(msgBuf *MsgBuffer) {
v := msgBuf.readInt()
c := &Contract{}
c.ContractID = msgBuf.readInt()
c.Symbol = msgBuf.readString()
c.SecurityType = msgBuf.readString()
c.Expiry = msgBuf.readString()
c.Strike = msgBuf.readFloat()
c.Right = msgBuf.readString()
if v >= 7 {
c.Multiplier = msgBuf.readString()
c.PrimaryExchange = msgBuf.readString()
}
c.Currency = msgBuf.readString()
c.LocalSymbol = msgBuf.readString()
if v >= 8 {
c.TradingClass = msgBuf.readString()
}
var position float64
if d.version >= mMIN_SERVER_VER_FRACTIONAL_POSITIONS {
position = msgBuf.readFloat()
} else {
position = float64(msgBuf.readInt())
}
marketPrice := msgBuf.readFloat()
marketValue := msgBuf.readFloat()
averageCost := msgBuf.readFloat()
unrealizedPNL := msgBuf.readFloat()
realizedPNL := msgBuf.readFloat()
accName := msgBuf.readString()
if v == 6 && d.version == 39 {
c.PrimaryExchange = msgBuf.readString()
}
d.wrapper.UpdatePortfolio(c, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accName)
}
func (d *ibDecoder) processContractDataMsg(msgBuf *MsgBuffer) {
v := msgBuf.readInt()
var reqID int64 = -1
if v >= 3 {
reqID = msgBuf.readInt()
}
cd := ContractDetails{}
cd.Contract = Contract{}
cd.Contract.Symbol = msgBuf.readString()
cd.Contract.SecurityType = msgBuf.readString()
lastTradeDateOrContractMonth := msgBuf.readString()
if lastTradeDateOrContractMonth != "" {
splitted := strings.Split(lastTradeDateOrContractMonth, " ")
l := len(splitted)
if l > 0 {
cd.Contract.Expiry = splitted[0]
}
if l > 1 {
cd.LastTradeTime = splitted[1]
}
}
cd.Contract.Strike = msgBuf.readFloat()
cd.Contract.Right = msgBuf.readString()
cd.Contract.Exchange = msgBuf.readString()
cd.Contract.Currency = msgBuf.readString()
cd.Contract.LocalSymbol = msgBuf.readString()
cd.MarketName = msgBuf.readString()
cd.Contract.TradingClass = msgBuf.readString()
cd.Contract.ContractID = msgBuf.readInt()
cd.MinTick = msgBuf.readFloat()
if d.version >= mMIN_SERVER_VER_MD_SIZE_MULTIPLIER {
cd.MdSizeMultiplier = msgBuf.readInt()
}
cd.Contract.Multiplier = msgBuf.readString()
cd.OrderTypes = msgBuf.readString()
cd.ValidExchanges = msgBuf.readString()
cd.PriceMagnifier = msgBuf.readInt()
if v >= 4 {
cd.UnderContractID = msgBuf.readInt()
}