Ejemplo n.º 1
0
 def processMsg(self, msgId):
     """ generated source for method processMsg """
     if msgId == -1:
         return False
     if msgId == self.TICK_PRICE:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         price = self.readDouble()
         size = 0
         if version >= 2:
             size = self.readInt()
         canAutoExecute = 0
         if version >= 3:
             canAutoExecute = self.readInt()
         self.eWrapper().tickPrice(tickerId, tickType, price,
                                   canAutoExecute)
         if version >= 2:
             #  not a tick
             sizeTickType = -1
             if tickType == 1:
                 #  BID
                 sizeTickType = 0
                 #  BID_SIZE
             elif tickType == 2:
                 #  ASK
                 sizeTickType = 3
                 #  ASK_SIZE
             elif tickType == 4:
                 #  LAST
                 sizeTickType = 5
                 #  LAST_SIZE
             if sizeTickType != -1:
                 self.eWrapper().tickSize(tickerId, sizeTickType, size)
     elif msgId == self.TICK_SIZE:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         size = self.readInt()
         self.eWrapper().tickSize(tickerId, tickType, size)
     elif msgId == self.POSITION:
         version = self.readInt()
         account = self.readStr()
         contract = Contract()
         contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         contract.m_multiplier = self.readStr()
         contract.m_exchange = self.readStr()
         contract.m_currency = self.readStr()
         contract.m_localSymbol = self.readStr()
         if version >= 2:
             contract.m_tradingClass = self.readStr()
         pos = self.readInt()
         avgCost = 0
         if version >= 3:
             avgCost = self.readDouble()
         self.eWrapper().position(account, contract, pos, avgCost)
     elif msgId == self.POSITION_END:
         version = self.readInt()
         self.eWrapper().positionEnd()
     elif msgId == self.ACCOUNT_SUMMARY:
         version = self.readInt()
         reqId = self.readInt()
         account = self.readStr()
         tag = self.readStr()
         value = self.readStr()
         currency = self.readStr()
         self.eWrapper().accountSummary(reqId, account, tag, value,
                                        currency)
     elif msgId == self.ACCOUNT_SUMMARY_END:
         version = self.readInt()
         reqId = self.readInt()
         self.eWrapper().accountSummaryEnd(reqId)
     elif msgId == self.TICK_OPTION_COMPUTATION:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         impliedVol = self.readDouble()
         if impliedVol < 0:  #  -1 is the "not yet computed" indicator
             impliedVol = Double.MAX_VALUE
         delta = self.readDouble()
         if abs(delta) > 1:  #  -2 is the "not yet computed" indicator
             delta = Double.MAX_VALUE
         optPrice = Double.MAX_VALUE
         pvDividend = Double.MAX_VALUE
         gamma = Double.MAX_VALUE
         vega = Double.MAX_VALUE
         theta = Double.MAX_VALUE
         undPrice = Double.MAX_VALUE
         if version >= 6 or (tickType == TickType.MODEL_OPTION):
             #  introduced in version == 5
             optPrice = self.readDouble()
             if optPrice < 0:  #  -1 is the "not yet computed" indicator
                 optPrice = Double.MAX_VALUE
             pvDividend = self.readDouble()
             if pvDividend < 0:  #  -1 is the "not yet computed" indicator
                 pvDividend = Double.MAX_VALUE
         if version >= 6:
             gamma = self.readDouble()
             if abs(gamma) > 1:  #  -2 is the "not yet computed" indicator
                 gamma = Double.MAX_VALUE
             vega = self.readDouble()
             if abs(vega) > 1:  #  -2 is the "not yet computed" indicator
                 vega = Double.MAX_VALUE
             theta = self.readDouble()
             if abs(theta) > 1:  #  -2 is the "not yet computed" indicator
                 theta = Double.MAX_VALUE
             undPrice = self.readDouble()
             if undPrice < 0:  #  -1 is the "not yet computed" indicator
                 undPrice = Double.MAX_VALUE
         self.eWrapper().tickOptionComputation(tickerId, tickType,
                                               impliedVol, delta, optPrice,
                                               pvDividend, gamma, vega,
                                               theta, undPrice)
     elif msgId == self.TICK_GENERIC:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         value = self.readDouble()
         self.eWrapper().tickGeneric(tickerId, tickType, value)
     elif msgId == self.TICK_STRING:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         value = self.readStr()
         self.eWrapper().tickString(tickerId, tickType, value)
     elif msgId == self.TICK_EFP:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         basisPoints = self.readDouble()
         formattedBasisPoints = self.readStr()
         impliedFuturesPrice = self.readDouble()
         holdDays = self.readInt()
         futureExpiry = self.readStr()
         dividendImpact = self.readDouble()
         dividendsToExpiry = self.readDouble()
         self.eWrapper().tickEFP(tickerId, tickType, basisPoints,
                                 formattedBasisPoints, impliedFuturesPrice,
                                 holdDays, futureExpiry, dividendImpact,
                                 dividendsToExpiry)
     elif msgId == self.ORDER_STATUS:
         version = self.readInt()
         id = self.readInt()
         status = self.readStr()
         filled = self.readInt()
         remaining = self.readInt()
         avgFillPrice = self.readDouble()
         permId = 0
         if version >= 2:
             permId = self.readInt()
         parentId = 0
         if version >= 3:
             parentId = self.readInt()
         lastFillPrice = 0
         if version >= 4:
             lastFillPrice = self.readDouble()
         clientId = 0
         if version >= 5:
             clientId = self.readInt()
         whyHeld = None
         if version >= 6:
             whyHeld = self.readStr()
         self.eWrapper().orderStatus(id, status, filled, remaining,
                                     avgFillPrice, permId, parentId,
                                     lastFillPrice, clientId, whyHeld)
     elif msgId == self.ACCT_VALUE:
         version = self.readInt()
         key = self.readStr()
         val = self.readStr()
         cur = self.readStr()
         accountName = None
         if version >= 2:
             accountName = self.readStr()
         self.eWrapper().updateAccountValue(key, val, cur, accountName)
     elif msgId == self.PORTFOLIO_VALUE:
         version = self.readInt()
         contract = Contract()
         if version >= 6:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         if version >= 7:
             contract.m_multiplier = self.readStr()
             contract.m_primaryExch = self.readStr()
         contract.m_currency = self.readStr()
         if version >= 2:
             contract.m_localSymbol = self.readStr()
         if version >= 8:
             contract.m_tradingClass = self.readStr()
         position = self.readInt()
         marketPrice = self.readDouble()
         marketValue = self.readDouble()
         averageCost = 0.0
         unrealizedPNL = 0.0
         realizedPNL = 0.0
         if version >= 3:
             averageCost = self.readDouble()
             unrealizedPNL = self.readDouble()
             realizedPNL = self.readDouble()
         accountName = None
         if version >= 4:
             accountName = self.readStr()
         if version == 6 and self.m_parent.serverVersion() == 39:
             contract.m_primaryExch = self.readStr()
         self.eWrapper().updatePortfolio(contract, position, marketPrice,
                                         marketValue, averageCost,
                                         unrealizedPNL, realizedPNL,
                                         accountName)
     elif msgId == self.ACCT_UPDATE_TIME:
         version = self.readInt()
         timeStamp = self.readStr()
         self.eWrapper().updateAccountTime(timeStamp)
     elif msgId == self.ERR_MSG:
         version = self.readInt()
         if version < 2:
             msg = self.readStr()
             self.m_parent.error(msg)
         else:
             id = self.readInt()
             errorCode = self.readInt()
             errorMsg = self.readStr()
             self.m_parent.error(id, errorCode, errorMsg)
     elif msgId == self.OPEN_ORDER:
         #  read version
         version = self.readInt()
         #  read order id
         order = Order()
         order.m_orderId = self.readInt()
         #  read contract fields
         contract = Contract()
         if version >= 17:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         if version >= 32:
             contract.m_multiplier = self.readStr()
         contract.m_exchange = self.readStr()
         contract.m_currency = self.readStr()
         if version >= 2:
             contract.m_localSymbol = self.readStr()
         if version >= 32:
             contract.m_tradingClass = self.readStr()
         #  read order fields
         order.m_action = self.readStr()
         order.m_totalQuantity = self.readInt()
         order.m_orderType = self.readStr()
         if version < 29:
             order.m_lmtPrice = self.readDouble()
         else:
             order.m_lmtPrice = self.readDoubleMax()
         if version < 30:
             order.m_auxPrice = self.readDouble()
         else:
             order.m_auxPrice = self.readDoubleMax()
         order.m_tif = self.readStr()
         order.m_ocaGroup = self.readStr()
         order.m_account = self.readStr()
         order.m_openClose = self.readStr()
         order.m_origin = self.readInt()
         order.m_orderRef = self.readStr()
         if version >= 3:
             order.m_clientId = self.readInt()
         if version >= 4:
             order.m_permId = self.readInt()
             if version < 18:
                 #  will never happen
                 #  order.m_ignoreRth =
                 self.readBoolFromInt()
             else:
                 order.m_outsideRth = self.readBoolFromInt()
             order.m_hidden = self.readInt() == 1
             order.m_discretionaryAmt = self.readDouble()
         if version >= 5:
             order.m_goodAfterTime = self.readStr()
         if version >= 6:
             #  skip deprecated sharesAllocation field
             self.readStr()
         if version >= 7:
             order.m_faGroup = self.readStr()
             order.m_faMethod = self.readStr()
             order.m_faPercentage = self.readStr()
             order.m_faProfile = self.readStr()
         if version >= 8:
             order.m_goodTillDate = self.readStr()
         if version >= 9:
             order.m_rule80A = self.readStr()
             order.m_percentOffset = self.readDoubleMax()
             order.m_settlingFirm = self.readStr()
             order.m_shortSaleSlot = self.readInt()
             order.m_designatedLocation = self.readStr()
             if self.m_parent.serverVersion() == 51:
                 self.readInt()  #  exemptCode
             elif version >= 23:
                 order.m_exemptCode = self.readInt()
             order.m_auctionStrategy = self.readInt()
             order.m_startingPrice = self.readDoubleMax()
             order.m_stockRefPrice = self.readDoubleMax()
             order.m_delta = self.readDoubleMax()
             order.m_stockRangeLower = self.readDoubleMax()
             order.m_stockRangeUpper = self.readDoubleMax()
             order.m_displaySize = self.readInt()
             if version < 18:
                 #  will never happen
                 #  order.m_rthOnly =
                 self.readBoolFromInt()
             order.m_blockOrder = self.readBoolFromInt()
             order.m_sweepToFill = self.readBoolFromInt()
             order.m_allOrNone = self.readBoolFromInt()
             order.m_minQty = self.readIntMax()
             order.m_ocaType = self.readInt()
             order.m_eTradeOnly = self.readBoolFromInt()
             order.m_firmQuoteOnly = self.readBoolFromInt()
             order.m_nbboPriceCap = self.readDoubleMax()
         if version >= 10:
             order.m_parentId = self.readInt()
             order.m_triggerMethod = self.readInt()
         if version >= 11:
             order.m_volatility = self.readDoubleMax()
             order.m_volatilityType = self.readInt()
             if version == 11:
                 receivedInt = self.readInt()
                 order.m_deltaNeutralOrderType = ("NONE" if
                                                  (receivedInt
                                                   == 0) else "MKT")
             else:
                 #  version 12 and up
                 order.m_deltaNeutralOrderType = self.readStr()
                 order.m_deltaNeutralAuxPrice = self.readDoubleMax()
                 if version >= 27 and not Util.StringIsEmpty(
                         order.m_deltaNeutralOrderType):
                     order.m_deltaNeutralConId = self.readInt()
                     order.m_deltaNeutralSettlingFirm = self.readStr()
                     order.m_deltaNeutralClearingAccount = self.readStr()
                     order.m_deltaNeutralClearingIntent = self.readStr()
                 if version >= 31 and not Util.StringIsEmpty(
                         order.m_deltaNeutralOrderType):
                     order.m_deltaNeutralOpenClose = self.readStr()
                     order.m_deltaNeutralShortSale = self.readBoolFromInt()
                     order.m_deltaNeutralShortSaleSlot = self.readInt()
                     order.m_deltaNeutralDesignatedLocation = self.readStr()
             order.m_continuousUpdate = self.readInt()
             if self.m_parent.serverVersion() == 26:
                 order.m_stockRangeLower = self.readDouble()
                 order.m_stockRangeUpper = self.readDouble()
             order.m_referencePriceType = self.readInt()
         if version >= 13:
             order.m_trailStopPrice = self.readDoubleMax()
         if version >= 30:
             order.m_trailingPercent = self.readDoubleMax()
         if version >= 14:
             order.m_basisPoints = self.readDoubleMax()
             order.m_basisPointsType = self.readIntMax()
             contract.m_comboLegsDescrip = self.readStr()
         if version >= 29:
             comboLegsCount = self.readInt()
             if comboLegsCount > 0:
                 contract.m_comboLegs = []
                 i = 0
                 while i < comboLegsCount:
                     comboLeg = ComboLeg()
                     comboLeg.m_conId = self.readInt()
                     comboLeg.m_ratio = self.readInt()
                     comboLeg.m_action = self.readStr()
                     comboLeg.m_exchange = self.readStr()
                     comboLeg.m_openClose = self.readInt()
                     comboLeg.m_shortSaleSlot = self.readInt()
                     comboLeg.m_designatedLocation = self.readStr()
                     comboLeg.m_exemptCode = self.readInt()
                     contract.m_comboLegs.append(comboLeg)
                     i += 1
             orderComboLegsCount = self.readInt()
             if orderComboLegsCount > 0:
                 order.m_orderComboLegs = []
                 i = 0
                 while i < orderComboLegsCount:
                     price = self.readDoubleMax()
                     orderComboLeg = OrderComboLeg(price)
                     order.m_orderComboLegs.append(orderComboLeg)
                     i += 1
         if version >= 26:
             smartComboRoutingParamsCount = self.readInt()
             if smartComboRoutingParamsCount > 0:
                 order.m_smartComboRoutingParams = []
                 i = 0
                 while i < smartComboRoutingParamsCount:
                     tagValue = TagValue()
                     tagValue.m_tag = self.readStr()
                     tagValue.m_value = self.readStr()
                     order.m_smartComboRoutingParams.append(tagValue)
                     i += 1
         if version >= 15:
             if version >= 20:
                 order.m_scaleInitLevelSize = self.readIntMax()
                 order.m_scaleSubsLevelSize = self.readIntMax()
             else:
                 #  int notSuppScaleNumComponents =
                 self.readIntMax()
                 order.m_scaleInitLevelSize = self.readIntMax()
             order.m_scalePriceIncrement = self.readDoubleMax()
         if version >= 28 and order.m_scalePriceIncrement > 0.0 and order.m_scalePriceIncrement != Double.MAX_VALUE:
             order.m_scalePriceAdjustValue = self.readDoubleMax()
             order.m_scalePriceAdjustInterval = self.readIntMax()
             order.m_scaleProfitOffset = self.readDoubleMax()
             order.m_scaleAutoReset = self.readBoolFromInt()
             order.m_scaleInitPosition = self.readIntMax()
             order.m_scaleInitFillQty = self.readIntMax()
             order.m_scaleRandomPercent = self.readBoolFromInt()
         if version >= 24:
             order.m_hedgeType = self.readStr()
             if not Util.StringIsEmpty(order.m_hedgeType):
                 order.m_hedgeParam = self.readStr()
         if version >= 25:
             order.m_optOutSmartRouting = self.readBoolFromInt()
         if version >= 19:
             order.m_clearingAccount = self.readStr()
             order.m_clearingIntent = self.readStr()
         if version >= 22:
             order.m_notHeld = self.readBoolFromInt()
         if version >= 20:
             if self.readBoolFromInt():
                 underComp = UnderComp()
                 underComp.m_conId = self.readInt()
                 underComp.m_delta = self.readDouble()
                 underComp.m_price = self.readDouble()
                 contract.m_underComp = underComp
         if version >= 21:
             order.m_algoStrategy = self.readStr()
             if not Util.StringIsEmpty(order.m_algoStrategy):
                 algoParamsCount = self.readInt()
                 if algoParamsCount > 0:
                     order.m_algoParams = []
                     i = 0
                     while i < algoParamsCount:
                         tagValue = TagValue()
                         tagValue.m_tag = self.readStr()
                         tagValue.m_value = self.readStr()
                         order.m_algoParams.append(tagValue)
                         i += 1
         orderState = OrderState()
         if version >= 16:
             order.m_whatIf = self.readBoolFromInt()
             orderState.m_status = self.readStr()
             orderState.m_initMargin = self.readStr()
             orderState.m_maintMargin = self.readStr()
             orderState.m_equityWithLoan = self.readStr()
             orderState.m_commission = self.readDoubleMax()
             orderState.m_minCommission = self.readDoubleMax()
             orderState.m_maxCommission = self.readDoubleMax()
             orderState.m_commissionCurrency = self.readStr()
             orderState.m_warningText = self.readStr()
         self.eWrapper().openOrder(order.m_orderId, contract, order,
                                   orderState)
     elif msgId == self.NEXT_VALID_ID:
         version = self.readInt()
         orderId = self.readInt()
         self.eWrapper().nextValidId(orderId)
     elif msgId == self.SCANNER_DATA:
         contract = ContractDetails()
         version = self.readInt()
         tickerId = self.readInt()
         numberOfElements = self.readInt()
         ctr = 0
         while ctr < numberOfElements:
             rank = self.readInt()
             if version >= 3:
                 contract.m_summary.m_conId = self.readInt()
             contract.m_summary.m_symbol = self.readStr()
             contract.m_summary.m_secType = self.readStr()
             contract.m_summary.m_expiry = self.readStr()
             contract.m_summary.m_strike = self.readDouble()
             contract.m_summary.m_right = self.readStr()
             contract.m_summary.m_exchange = self.readStr()
             contract.m_summary.m_currency = self.readStr()
             contract.m_summary.m_localSymbol = self.readStr()
             contract.m_marketName = self.readStr()
             contract.m_summary.m_tradingClass = self.readStr()
             distance = self.readStr()
             benchmark = self.readStr()
             projection = self.readStr()
             legsStr = None
             if version >= 2:
                 legsStr = self.readStr()
             self.eWrapper().scannerData(tickerId, rank, contract, distance,
                                         benchmark, projection, legsStr)
             ctr += 1
         self.eWrapper().scannerDataEnd(tickerId)
     elif msgId == self.CONTRACT_DATA:
         version = self.readInt()
         reqId = -1
         if version >= 3:
             reqId = self.readInt()
         contract = ContractDetails()
         contract.m_summary.m_symbol = self.readStr()
         contract.m_summary.m_secType = self.readStr()
         contract.m_summary.m_expiry = self.readStr()
         contract.m_summary.m_strike = self.readDouble()
         contract.m_summary.m_right = self.readStr()
         contract.m_summary.m_exchange = self.readStr()
         contract.m_summary.m_currency = self.readStr()
         contract.m_summary.m_localSymbol = self.readStr()
         contract.m_marketName = self.readStr()
         contract.m_summary.m_tradingClass = self.readStr()
         contract.m_summary.m_conId = self.readInt()
         contract.m_minTick = self.readDouble()
         contract.m_summary.m_multiplier = self.readStr()
         contract.m_orderTypes = self.readStr()
         contract.m_validExchanges = self.readStr()
         if version >= 2:
             contract.m_priceMagnifier = self.readInt()
         if version >= 4:
             contract.m_underConId = self.readInt()
         if version >= 5:
             contract.m_longName = self.readStr()
             contract.m_summary.m_primaryExch = self.readStr()
         if version >= 6:
             contract.m_contractMonth = self.readStr()
             contract.m_industry = self.readStr()
             contract.m_category = self.readStr()
             contract.m_subcategory = self.readStr()
             contract.m_timeZoneId = self.readStr()
             contract.m_tradingHours = self.readStr()
             contract.m_liquidHours = self.readStr()
         if version >= 8:
             contract.m_evRule = self.readStr()
             contract.m_evMultiplier = self.readDouble()
         if version >= 7:
             secIdListCount = self.readInt()
             if secIdListCount > 0:
                 contract.m_secIdList = []
                 i = 0
                 while i < secIdListCount:
                     tagValue = TagValue()
                     tagValue.m_tag = self.readStr()
                     tagValue.m_value = self.readStr()
                     contract.m_secIdList.append(tagValue)
                     i += 1
         self.eWrapper().contractDetails(reqId, contract)
     elif msgId == self.BOND_CONTRACT_DATA:
         version = self.readInt()
         reqId = -1
         if version >= 3:
             reqId = self.readInt()
         contract = ContractDetails()
         contract.m_summary.m_symbol = self.readStr()
         contract.m_summary.m_secType = self.readStr()
         contract.m_cusip = self.readStr()
         contract.m_coupon = self.readDouble()
         contract.m_maturity = self.readStr()
         contract.m_issueDate = self.readStr()
         contract.m_ratings = self.readStr()
         contract.m_bondType = self.readStr()
         contract.m_couponType = self.readStr()
         contract.m_convertible = self.readBoolFromInt()
         contract.m_callable = self.readBoolFromInt()
         contract.m_putable = self.readBoolFromInt()
         contract.m_descAppend = self.readStr()
         contract.m_summary.m_exchange = self.readStr()
         contract.m_summary.m_currency = self.readStr()
         contract.m_marketName = self.readStr()
         contract.m_summary.m_tradingClass = self.readStr()
         contract.m_summary.m_conId = self.readInt()
         contract.m_minTick = self.readDouble()
         contract.m_orderTypes = self.readStr()
         contract.m_validExchanges = self.readStr()
         if version >= 2:
             contract.m_nextOptionDate = self.readStr()
             contract.m_nextOptionType = self.readStr()
             contract.m_nextOptionPartial = self.readBoolFromInt()
             contract.m_notes = self.readStr()
         if version >= 4:
             contract.m_longName = self.readStr()
         if version >= 6:
             contract.m_evRule = self.readStr()
             contract.m_evMultiplier = self.readDouble()
         if version >= 5:
             secIdListCount = self.readInt()
             if secIdListCount > 0:
                 contract.m_secIdList = []
                 i = 0
                 while i < secIdListCount:
                     tagValue = TagValue()
                     tagValue.m_tag = self.readStr()
                     tagValue.m_value = self.readStr()
                     contract.m_secIdList.append(tagValue)
                     i += 1
         self.eWrapper().bondContractDetails(reqId, contract)
     elif msgId == self.EXECUTION_DATA:
         version = self.readInt()
         reqId = -1
         if version >= 7:
             reqId = self.readInt()
         orderId = self.readInt()
         contract = Contract()
         #  read contract fields
         if version >= 5:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         if version >= 9:
             contract.m_multiplier = self.readStr()
         contract.m_exchange = self.readStr()
         contract.m_currency = self.readStr()
         contract.m_localSymbol = self.readStr()
         if version >= 10:
             contract.m_tradingClass = self.readStr()
         exec_ = Execution()
         exec_.m_orderId = orderId
         exec_.m_execId = self.readStr()
         exec_.m_time = self.readStr()
         exec_.m_acctNumber = self.readStr()
         exec_.m_exchange = self.readStr()
         exec_.m_side = self.readStr()
         exec_.m_shares = self.readInt()
         exec_.m_price = self.readDouble()
         if version >= 2:
             exec_.m_permId = self.readInt()
         if version >= 3:
             exec_.m_clientId = self.readInt()
         if version >= 4:
             exec_.m_liquidation = self.readInt()
         if version >= 6:
             exec_.m_cumQty = self.readInt()
             exec_.m_avgPrice = self.readDouble()
         if version >= 8:
             exec_.m_orderRef = self.readStr()
         if version >= 9:
             exec_.m_evRule = self.readStr()
             exec_.m_evMultiplier = self.readDouble()
         self.eWrapper().execDetails(reqId, contract, exec_)
     elif msgId == self.MARKET_DEPTH:
         version = self.readInt()
         id = self.readInt()
         position = self.readInt()
         operation = self.readInt()
         side = self.readInt()
         price = self.readDouble()
         size = self.readInt()
         self.eWrapper().updateMktDepth(id, position, operation, side,
                                        price, size)
     elif msgId == self.MARKET_DEPTH_L2:
         version = self.readInt()
         id = self.readInt()
         position = self.readInt()
         marketMaker = self.readStr()
         operation = self.readInt()
         side = self.readInt()
         price = self.readDouble()
         size = self.readInt()
         self.eWrapper().updateMktDepthL2(id, position, marketMaker,
                                          operation, side, price, size)
     elif msgId == self.NEWS_BULLETINS:
         version = self.readInt()
         newsMsgId = self.readInt()
         newsMsgType = self.readInt()
         newsMessage = self.readStr()
         originatingExch = self.readStr()
         self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType,
                                            newsMessage, originatingExch)
     elif msgId == self.MANAGED_ACCTS:
         version = self.readInt()
         accountsList = self.readStr()
         self.eWrapper().managedAccounts(accountsList)
     elif msgId == self.RECEIVE_FA:
         version = self.readInt()
         faDataType = self.readInt()
         xml = self.readStr()
         self.eWrapper().receiveFA(faDataType, xml)
     elif msgId == self.HISTORICAL_DATA:
         version = self.readInt()
         reqId = self.readInt()
         startDateStr = ""
         endDateStr = ""
         completedIndicator = "finished"
         if version >= 2:
             startDateStr = self.readStr()
             endDateStr = self.readStr()
             completedIndicator += "-" + startDateStr + "-" + endDateStr
         itemCount = self.readInt()
         ctr = 0
         while ctr < itemCount:
             date = self.readStr()
             open = self.readDouble()
             high = self.readDouble()
             low = self.readDouble()
             close = self.readDouble()
             volume = self.readInt()
             WAP = self.readDouble()
             hasGaps = self.readStr()
             barCount = -1
             if version >= 3:
                 barCount = self.readInt()
             self.eWrapper().historicalData(
                 reqId, date, open, high, low, close, volume, barCount, WAP,
                 Boolean.valueOf(hasGaps).booleanValue())
             ctr += 1
         #  send end of dataset marker
         self.eWrapper().historicalData(reqId, completedIndicator, -1, -1,
                                        -1, -1, -1, -1, -1, False)
     elif msgId == self.SCANNER_PARAMETERS:
         version = self.readInt()
         xml = self.readStr()
         self.eWrapper().scannerParameters(xml)
     elif msgId == self.CURRENT_TIME:
         # int version =
         self.readInt()
         time = self.readLong()
         self.eWrapper().currentTime(time)
     elif msgId == self.REAL_TIME_BARS:
         # int version =
         self.readInt()
         reqId = self.readInt()
         time = self.readLong()
         open = self.readDouble()
         high = self.readDouble()
         low = self.readDouble()
         close = self.readDouble()
         volume = self.readLong()
         wap = self.readDouble()
         count = self.readInt()
         self.eWrapper().realtimeBar(reqId, time, open, high, low, close,
                                     volume, wap, count)
     elif msgId == self.FUNDAMENTAL_DATA:
         # int version =
         self.readInt()
         reqId = self.readInt()
         data = self.readStr()
         self.eWrapper().fundamentalData(reqId, data)
     elif msgId == self.CONTRACT_DATA_END:
         # int version =
         self.readInt()
         reqId = self.readInt()
         self.eWrapper().contractDetailsEnd(reqId)
     elif msgId == self.OPEN_ORDER_END:
         # int version =
         self.readInt()
         self.eWrapper().openOrderEnd()
     elif msgId == self.ACCT_DOWNLOAD_END:
         # int version =
         self.readInt()
         accountName = self.readStr()
         self.eWrapper().accountDownloadEnd(accountName)
     elif msgId == self.EXECUTION_DATA_END:
         # int version =
         self.readInt()
         reqId = self.readInt()
         self.eWrapper().execDetailsEnd(reqId)
     elif msgId == self.DELTA_NEUTRAL_VALIDATION:
         # int version =
         self.readInt()
         reqId = self.readInt()
         underComp = UnderComp()
         underComp.m_conId = self.readInt()
         underComp.m_delta = self.readDouble()
         underComp.m_price = self.readDouble()
         self.eWrapper().deltaNeutralValidation(reqId, underComp)
     elif msgId == self.TICK_SNAPSHOT_END:
         # int version =
         self.readInt()
         reqId = self.readInt()
         self.eWrapper().tickSnapshotEnd(reqId)
     elif msgId == self.MARKET_DATA_TYPE:
         # int version =
         self.readInt()
         reqId = self.readInt()
         marketDataType = self.readInt()
         self.eWrapper().marketDataType(reqId, marketDataType)
     elif msgId == self.COMMISSION_REPORT:
         # int version =
         self.readInt()
         commissionReport = CommissionReport()
         commissionReport.m_execId = self.readStr()
         commissionReport.m_commission = self.readDouble()
         commissionReport.m_currency = self.readStr()
         commissionReport.m_realizedPNL = self.readDouble()
         commissionReport.m_yield = self.readDouble()
         commissionReport.m_yieldRedemptionDate = self.readInt()
         self.eWrapper().commissionReport(commissionReport)
     else:
         self.m_parent.error(EClientErrors.NO_VALID_ID,
                             EClientErrors.UNKNOWN_ID.code(),
                             EClientErrors.UNKNOWN_ID.msg())
         return False
     return True
Ejemplo n.º 2
0
 def processMsg(self, msgId):
     if (msgId == -1):
         return False
     if msgId == self.TICK_PRICE:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         price = self.readDouble()
         size = 0
         if version >= 2:
             size = self.readInt()
         canAutoExecute = 0
         if version >= 3:
             canAutoExecute = self.readInt()
         self.eWrapper().tickPrice(tickerId, tickType, price, canAutoExecute)
         if version >= 2:
             sizeTickType = -1
             if tickType == 1:
                 sizeTickType = 0
             elif tickType == 2:
                 sizeTickType = 3
             elif tickType == 4:
                 sizeTickType = 5
             if (sizeTickType != -1):
                 self.eWrapper().tickSize(tickerId, sizeTickType, size)
     elif msgId == self.TICK_SIZE:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         size = self.readInt()
         self.eWrapper().tickSize(tickerId, tickType, size)
     elif msgId == self.TICK_OPTION_COMPUTATION:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         impliedVol = self.readDouble()
         if impliedVol < 0:
             impliedVol = Double.MAX_VALUE
         delta = self.readDouble()
         if abs(delta) > 1:
             delta = Double.MAX_VALUE
         optPrice = Double.MAX_VALUE
         pvDividend = Double.MAX_VALUE
         gamma = Double.MAX_VALUE
         vega = Double.MAX_VALUE
         theta = Double.MAX_VALUE
         undPrice = Double.MAX_VALUE
         if version >= 6 or (tickType == TickType.MODEL_OPTION):
             optPrice = self.readDouble()
             if optPrice < 0:
                 optPrice = Double.MAX_VALUE
             pvDividend = self.readDouble()
             if pvDividend < 0:
                 pvDividend = Double.MAX_VALUE
         if version >= 6:
             gamma = self.readDouble()
             if abs(gamma) > 1:
                 gamma = Double.MAX_VALUE
             vega = self.readDouble()
             if abs(vega) > 1:
                 vega = Double.MAX_VALUE
             theta = self.readDouble()
             if abs(theta) > 1:
                 theta = Double.MAX_VALUE
             undPrice = self.readDouble()
             if undPrice < 0:
                 undPrice = Double.MAX_VALUE
         self.eWrapper().tickOptionComputation(tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice)
     elif msgId == self.TICK_GENERIC:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         value = self.readDouble()
         self.eWrapper().tickGeneric(tickerId, tickType, value)
     elif msgId == self.TICK_STRING:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         value = self.readStr()
         self.eWrapper().tickString(tickerId, tickType, value)
     elif msgId == self.TICK_EFP:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         basisPoints = self.readDouble()
         formattedBasisPoints = self.readStr()
         impliedFuturesPrice = self.readDouble()
         holdDays = self.readInt()
         futureExpiry = self.readStr()
         dividendImpact = self.readDouble()
         dividendsToExpiry = self.readDouble()
         self.eWrapper().tickEFP(tickerId, tickType, basisPoints, formattedBasisPoints, impliedFuturesPrice, holdDays, futureExpiry, dividendImpact, dividendsToExpiry)
     elif msgId == self.ORDER_STATUS:
         version = self.readInt()
         id = self.readInt()
         status = self.readStr()
         filled = self.readInt()
         remaining = self.readInt()
         avgFillPrice = self.readDouble()
         permId = 0
         if version >= 2:
             permId = self.readInt()
         parentId = 0
         if version >= 3:
             parentId = self.readInt()
         lastFillPrice = 0
         if version >= 4:
             lastFillPrice = self.readDouble()
         clientId = 0
         if version >= 5:
             clientId = self.readInt()
         whyHeld = None
         if version >= 6:
             whyHeld = self.readStr()
         self.eWrapper().orderStatus(id, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld)
     elif msgId == self.ACCT_VALUE:
         version = self.readInt()
         key = self.readStr()
         val = self.readStr()
         cur = self.readStr()
         accountName = None
         if version >= 2:
             accountName = self.readStr()
         self.eWrapper().updateAccountValue(key, val, cur, accountName)
     elif msgId == self.PORTFOLIO_VALUE:
         version = self.readInt()
         contract = Contract()
         if version >= 6:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         if version >= 7:
             contract.m_multiplier = self.readStr()
             contract.m_primaryExch = self.readStr()
         contract.m_currency = self.readStr()
         if version >= 2:
             contract.m_localSymbol = self.readStr()
         position = self.readInt()
         marketPrice = self.readDouble()
         marketValue = self.readDouble()
         averageCost = 0.0
         unrealizedPNL = 0.0
         realizedPNL = 0.0
         if version >= 3:
             averageCost = self.readDouble()
             unrealizedPNL = self.readDouble()
             realizedPNL = self.readDouble()
         accountName = None
         if version >= 4:
             accountName = self.readStr()
         if (version == 6) and (self.m_parent.serverVersion() == 39):
             contract.m_primaryExch = self.readStr()
         self.eWrapper().updatePortfolio(contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName)
     elif msgId == self.ACCT_UPDATE_TIME:
         version = self.readInt()
         timeStamp = self.readStr()
         self.eWrapper().updateAccountTime(timeStamp)
     elif msgId == self.ERR_MSG:
         version = self.readInt()
         if version < 2:
             msg = self.readStr()
             self.m_parent.error(msg)
         else:
             id = self.readInt()
             errorCode = self.readInt()
             errorMsg = self.readStr()
             self.m_parent.error(id, errorCode, errorMsg)
     elif msgId == self.OPEN_ORDER:
         version = self.readInt()
         order = Order()
         order.m_orderId = self.readInt()
         contract = Contract()
         if version >= 17:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         contract.m_exchange = self.readStr()
         contract.m_currency = self.readStr()
         if version >= 2:
             contract.m_localSymbol = self.readStr()
         order.m_action = self.readStr()
         order.m_totalQuantity = self.readInt()
         order.m_orderType = self.readStr()
         order.m_lmtPrice = self.readDouble()
         order.m_auxPrice = self.readDouble()
         order.m_tif = self.readStr()
         order.m_ocaGroup = self.readStr()
         order.m_account = self.readStr()
         order.m_openClose = self.readStr()
         order.m_origin = self.readInt()
         order.m_orderRef = self.readStr()
         if version >= 3:
             order.m_clientId = self.readInt()
         if version >= 4:
             order.m_permId = self.readInt()
             if version < 18:
                 self.readBoolFromInt()
             else:
                 order.m_outsideRth = self.readBoolFromInt()
             order.m_hidden = (self.readInt() == 1)
             order.m_discretionaryAmt = self.readDouble()
         if version >= 5:
             order.m_goodAfterTime = self.readStr()
         if version >= 6:
             self.readStr()
         if version >= 7:
             order.m_faGroup = self.readStr()
             order.m_faMethod = self.readStr()
             order.m_faPercentage = self.readStr()
             order.m_faProfile = self.readStr()
         if version >= 8:
             order.m_goodTillDate = self.readStr()
         if version >= 9:
             order.m_rule80A = self.readStr()
             order.m_percentOffset = self.readDouble()
             order.m_settlingFirm = self.readStr()
             order.m_shortSaleSlot = self.readInt()
             order.m_designatedLocation = self.readStr()
             if (self.m_parent.serverVersion() == 51):
                 self.readInt()
             else:
                 if version >= 23:
                     order.m_exemptCode = self.readInt()
             order.m_auctionStrategy = self.readInt()
             order.m_startingPrice = self.readDouble()
             order.m_stockRefPrice = self.readDouble()
             order.m_delta = self.readDouble()
             order.m_stockRangeLower = self.readDouble()
             order.m_stockRangeUpper = self.readDouble()
             order.m_displaySize = self.readInt()
             if version < 18:
                 self.readBoolFromInt()
             order.m_blockOrder = self.readBoolFromInt()
             order.m_sweepToFill = self.readBoolFromInt()
             order.m_allOrNone = self.readBoolFromInt()
             order.m_minQty = self.readInt()
             order.m_ocaType = self.readInt()
             order.m_eTradeOnly = self.readBoolFromInt()
             order.m_firmQuoteOnly = self.readBoolFromInt()
             order.m_nbboPriceCap = self.readDouble()
         if version >= 10:
             order.m_parentId = self.readInt()
             order.m_triggerMethod = self.readInt()
         if version >= 11:
             order.m_volatility = self.readDouble()
             order.m_volatilityType = self.readInt()
             if (version == 11):
                 receivedInt = self.readInt()
                 order.m_deltaNeutralOrderType = "NONE" if (receivedInt == 0) else "MKT"
             else:
                 order.m_deltaNeutralOrderType = self.readStr()
                 order.m_deltaNeutralAuxPrice = self.readDouble()
             order.m_continuousUpdate = self.readInt()
             if (self.m_parent.serverVersion() == 26):
                 order.m_stockRangeLower = self.readDouble()
                 order.m_stockRangeUpper = self.readDouble()
             order.m_referencePriceType = self.readInt()
         if version >= 13:
             order.m_trailStopPrice = self.readDouble()
         if version >= 14:
             order.m_basisPoints = self.readDouble()
             order.m_basisPointsType = self.readInt()
             contract.m_comboLegsDescrip = self.readStr()
         if version >= 15:
             if version >= 20:
                 order.m_scaleInitLevelSize = self.readIntMax()
                 order.m_scaleSubsLevelSize = self.readIntMax()
             else:
                 self.readIntMax()
                 order.m_scaleInitLevelSize = self.readIntMax()
             order.m_scalePriceIncrement = self.readDoubleMax()
         if version >= 19:
             order.m_clearingAccount = self.readStr()
             order.m_clearingIntent = self.readStr()
         if version >= 22:
             order.m_notHeld = self.readBoolFromInt()
         if version >= 20:
             if self.readBoolFromInt():
                 underComp = UnderComp()
                 underComp.m_conId = self.readInt()
                 underComp.m_delta = self.readDouble()
                 underComp.m_price = self.readDouble()
                 contract.m_underComp = underComp
         if version >= 21:
             order.m_algoStrategy = self.readStr()
             if not Util.StringIsEmpty(order.m_algoStrategy):
                 algoParamsCount = self.readInt()
                 if algoParamsCount > 0:
                     order.m_algoParams = list()
                     ## for-while
                     i = 0
                     while i < algoParamsCount:
                         tagValue = TagValue()
                         tagValue.m_tag = self.readStr()
                         tagValue.m_value = self.readStr()
                         order.m_algoParams.append(tagValue)
                         i += 1
         orderState = OrderState()
         if version >= 16:
             order.m_whatIf = self.readBoolFromInt()
             orderState.m_status = self.readStr()
             orderState.m_initMargin = self.readStr()
             orderState.m_maintMargin = self.readStr()
             orderState.m_equityWithLoan = self.readStr()
             orderState.m_commission = self.readDoubleMax()
             orderState.m_minCommission = self.readDoubleMax()
             orderState.m_maxCommission = self.readDoubleMax()
             orderState.m_commissionCurrency = self.readStr()
             orderState.m_warningText = self.readStr()
         self.eWrapper().openOrder(order.m_orderId, contract, order, orderState)
     elif msgId == self.NEXT_VALID_ID:
         version = self.readInt()
         orderId = self.readInt()
         self.eWrapper().nextValidId(orderId)
     elif msgId == self.SCANNER_DATA:
         contract = ContractDetails()
         version = self.readInt()
         tickerId = self.readInt()
         numberOfElements = self.readInt()
         ## for-while
         ctr = 0
         while ctr < numberOfElements:
             rank = self.readInt()
             if version >= 3:
                 contract.m_summary.m_conId = self.readInt()
             contract.m_summary.m_symbol = self.readStr()
             contract.m_summary.m_secType = self.readStr()
             contract.m_summary.m_expiry = self.readStr()
             contract.m_summary.m_strike = self.readDouble()
             contract.m_summary.m_right = self.readStr()
             contract.m_summary.m_exchange = self.readStr()
             contract.m_summary.m_currency = self.readStr()
             contract.m_summary.m_localSymbol = self.readStr()
             contract.m_marketName = self.readStr()
             contract.m_tradingClass = self.readStr()
             distance = self.readStr()
             benchmark = self.readStr()
             projection = self.readStr()
             legsStr = None
             if version >= 2:
                 legsStr = self.readStr()
             self.eWrapper().scannerData(tickerId, rank, contract, distance, benchmark, projection, legsStr)
             ctr += 1
         self.eWrapper().scannerDataEnd(tickerId)
     elif msgId == self.CONTRACT_DATA:
         version = self.readInt()
         reqId = -1
         if version >= 3:
             reqId = self.readInt()
         contract = ContractDetails()
         contract.m_summary.m_symbol = self.readStr()
         contract.m_summary.m_secType = self.readStr()
         contract.m_summary.m_expiry = self.readStr()
         contract.m_summary.m_strike = self.readDouble()
         contract.m_summary.m_right = self.readStr()
         contract.m_summary.m_exchange = self.readStr()
         contract.m_summary.m_currency = self.readStr()
         contract.m_summary.m_localSymbol = self.readStr()
         contract.m_marketName = self.readStr()
         contract.m_tradingClass = self.readStr()
         contract.m_summary.m_conId = self.readInt()
         contract.m_minTick = self.readDouble()
         contract.m_summary.m_multiplier = self.readStr()
         contract.m_orderTypes = self.readStr()
         contract.m_validExchanges = self.readStr()
         if version >= 2:
             contract.m_priceMagnifier = self.readInt()
         if version >= 4:
             contract.m_underConId = self.readInt()
         if version >= 5:
             contract.m_longName = self.readStr()
             contract.m_summary.m_primaryExch = self.readStr()
         if version >= 6:
             contract.m_contractMonth = self.readStr()
             contract.m_industry = self.readStr()
             contract.m_category = self.readStr()
             contract.m_subcategory = self.readStr()
             contract.m_timeZoneId = self.readStr()
             contract.m_tradingHours = self.readStr()
             contract.m_liquidHours = self.readStr()
         self.eWrapper().contractDetails(reqId, contract)
     elif msgId == self.BOND_CONTRACT_DATA:
         version = self.readInt()
         reqId = -1
         if version >= 3:
             reqId = self.readInt()
         contract = ContractDetails()
         contract.m_summary.m_symbol = self.readStr()
         contract.m_summary.m_secType = self.readStr()
         contract.m_cusip = self.readStr()
         contract.m_coupon = self.readDouble()
         contract.m_maturity = self.readStr()
         contract.m_issueDate = self.readStr()
         contract.m_ratings = self.readStr()
         contract.m_bondType = self.readStr()
         contract.m_couponType = self.readStr()
         contract.m_convertible = self.readBoolFromInt()
         contract.m_callable = self.readBoolFromInt()
         contract.m_putable = self.readBoolFromInt()
         contract.m_descAppend = self.readStr()
         contract.m_summary.m_exchange = self.readStr()
         contract.m_summary.m_currency = self.readStr()
         contract.m_marketName = self.readStr()
         contract.m_tradingClass = self.readStr()
         contract.m_summary.m_conId = self.readInt()
         contract.m_minTick = self.readDouble()
         contract.m_orderTypes = self.readStr()
         contract.m_validExchanges = self.readStr()
         if version >= 2:
             contract.m_nextOptionDate = self.readStr()
             contract.m_nextOptionType = self.readStr()
             contract.m_nextOptionPartial = self.readBoolFromInt()
             contract.m_notes = self.readStr()
         if version >= 4:
             contract.m_longName = self.readStr()
         self.eWrapper().bondContractDetails(reqId, contract)
     elif msgId == self.EXECUTION_DATA:
         version = self.readInt()
         reqId = -1
         if version >= 7:
             reqId = self.readInt()
         orderId = self.readInt()
         contract = Contract()
         if version >= 5:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         contract.m_exchange = self.readStr()
         contract.m_currency = self.readStr()
         contract.m_localSymbol = self.readStr()
         exec_ = Execution()
         exec_.m_orderId = orderId
         exec_.m_execId = self.readStr()
         exec_.m_time = self.readStr()
         exec_.m_acctNumber = self.readStr()
         exec_.m_exchange = self.readStr()
         exec_.m_side = self.readStr()
         exec_.m_shares = self.readInt()
         exec_.m_price = self.readDouble()
         if version >= 2:
             exec_.m_permId = self.readInt()
         if version >= 3:
             exec_.m_clientId = self.readInt()
         if version >= 4:
             exec_.m_liquidation = self.readInt()
         if version >= 6:
             exec_.m_cumQty = self.readInt()
             exec_.m_avgPrice = self.readDouble()
         self.eWrapper().execDetails(reqId, contract, exec_)
     elif msgId == self.MARKET_DEPTH:
         version = self.readInt()
         id = self.readInt()
         position = self.readInt()
         operation = self.readInt()
         side = self.readInt()
         price = self.readDouble()
         size = self.readInt()
         self.eWrapper().updateMktDepth(id, position, operation, side, price, size)
     elif msgId == self.MARKET_DEPTH_L2:
         version = self.readInt()
         id = self.readInt()
         position = self.readInt()
         marketMaker = self.readStr()
         operation = self.readInt()
         side = self.readInt()
         price = self.readDouble()
         size = self.readInt()
         self.eWrapper().updateMktDepthL2(id, position, marketMaker, operation, side, price, size)
     elif msgId == self.NEWS_BULLETINS:
         version = self.readInt()
         newsMsgId = self.readInt()
         newsMsgType = self.readInt()
         newsMessage = self.readStr()
         originatingExch = self.readStr()
         self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType, newsMessage, originatingExch)
     elif msgId == self.MANAGED_ACCTS:
         version = self.readInt()
         accountsList = self.readStr()
         self.eWrapper().managedAccounts(accountsList)
     elif msgId == self.RECEIVE_FA:
         version = self.readInt()
         faDataType = self.readInt()
         xml = self.readStr()
         self.eWrapper().receiveFA(faDataType, xml)
     elif msgId == self.HISTORICAL_DATA:
         version = self.readInt()
         reqId = self.readInt()
         startDateStr = ""
         endDateStr = ""
         completedIndicator = "finished"
         if version >= 2:
             startDateStr = self.readStr()
             endDateStr = self.readStr()
             completedIndicator += "-" + startDateStr + "-" + endDateStr
         itemCount = self.readInt()
         ## for-while
         ctr = 0
         while ctr < itemCount:
             date = self.readStr()
             open = self.readDouble()
             high = self.readDouble()
             low = self.readDouble()
             close = self.readDouble()
             volume = self.readInt()
             WAP = self.readDouble()
             hasGaps = self.readStr()
             barCount = -1
             if version >= 3:
                 barCount = self.readInt()
             self.eWrapper().historicalData(reqId, date, open, high, low, close, volume, barCount, WAP, Boolean.valueOf(hasGaps).booleanValue())
             ctr += 1
         self.eWrapper().historicalData(reqId, completedIndicator, -1, -1, -1, -1, -1, -1, -1, False)
     elif msgId == self.SCANNER_PARAMETERS:
         version = self.readInt()
         xml = self.readStr()
         self.eWrapper().scannerParameters(xml)
     elif msgId == self.CURRENT_TIME:
         self.readInt()
         time = self.readLong()
         self.eWrapper().currentTime(time)
     elif msgId == self.REAL_TIME_BARS:
         self.readInt()
         reqId = self.readInt()
         time = self.readLong()
         open = self.readDouble()
         high = self.readDouble()
         low = self.readDouble()
         close = self.readDouble()
         volume = self.readLong()
         wap = self.readDouble()
         count = self.readInt()
         self.eWrapper().realtimeBar(reqId, time, open, high, low, close, volume, wap, count)
     elif msgId == self.FUNDAMENTAL_DATA:
         self.readInt()
         reqId = self.readInt()
         data = self.readStr()
         self.eWrapper().fundamentalData(reqId, data)
     elif msgId == self.CONTRACT_DATA_END:
         self.readInt()
         reqId = self.readInt()
         self.eWrapper().contractDetailsEnd(reqId)
     elif msgId == self.OPEN_ORDER_END:
         self.readInt()
         self.eWrapper().openOrderEnd()
     elif msgId == self.ACCT_DOWNLOAD_END:
         self.readInt()
         accountName = self.readStr()
         self.eWrapper().accountDownloadEnd(accountName)
     elif msgId == self.EXECUTION_DATA_END:
         self.readInt()
         reqId = self.readInt()
         self.eWrapper().execDetailsEnd(reqId)
     elif msgId == self.DELTA_NEUTRAL_VALIDATION:
         self.readInt()
         reqId = self.readInt()
         underComp = UnderComp()
         underComp.m_conId = self.readInt()
         underComp.m_delta = self.readDouble()
         underComp.m_price = self.readDouble()
         self.eWrapper().deltaNeutralValidation(reqId, underComp)
     elif msgId == self.TICK_SNAPSHOT_END:
         self.readInt()
         reqId = self.readInt()
         self.eWrapper().tickSnapshotEnd(reqId)
     else:
         self.m_parent.error(EClientErrors.NO_VALID_ID, EClientErrors.UNKNOWN_ID.code(), EClientErrors.UNKNOWN_ID.msg())
         return False
     return True
Ejemplo n.º 3
0
 def processMsg(self, msgId):
     if (msgId == -1):
         return False
     if msgId == self.TICK_PRICE:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         price = self.readDouble()
         size = 0
         if version >= 2:
             size = self.readInt()
         canAutoExecute = 0
         if version >= 3:
             canAutoExecute = self.readInt()
         self.eWrapper().tickPrice(tickerId, tickType, price, canAutoExecute)
         if version >= 2:
             sizeTickType = -1
             if tickType == 1:
                 sizeTickType = 0
             elif tickType == 2:
                 sizeTickType = 3
             elif tickType == 4:
                 sizeTickType = 5
             if (sizeTickType != -1):
                 self.eWrapper().tickSize(tickerId, sizeTickType, size)
     elif msgId == self.TICK_SIZE:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         size = self.readInt()
         self.eWrapper().tickSize(tickerId, tickType, size)
     elif msgId == self.TICK_OPTION_COMPUTATION:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         impliedVol = self.readDouble()
         if impliedVol < 0:
             impliedVol = Double.MAX_VALUE
         delta = self.readDouble()
         if abs(delta) > 1:
             delta = Double.MAX_VALUE
         modelPrice = float()
         pvDividend = float()
         if (tickType == TickType.MODEL_OPTION):
             modelPrice = self.readDouble()
             pvDividend = self.readDouble()
         else:
             modelPrice = pvDividend = Double.MAX_VALUE
         self.eWrapper().tickOptionComputation(tickerId, tickType, impliedVol, delta, modelPrice, pvDividend)
     elif msgId == self.TICK_GENERIC:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         value = self.readDouble()
         self.eWrapper().tickGeneric(tickerId, tickType, value)
     elif msgId == self.TICK_STRING:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         value = self.readStr()
         self.eWrapper().tickString(tickerId, tickType, value)
     elif msgId == self.TICK_EFP:
         version = self.readInt()
         tickerId = self.readInt()
         tickType = self.readInt()
         basisPoints = self.readDouble()
         formattedBasisPoints = self.readStr()
         impliedFuturesPrice = self.readDouble()
         holdDays = self.readInt()
         futureExpiry = self.readStr()
         dividendImpact = self.readDouble()
         dividendsToExpiry = self.readDouble()
         self.eWrapper().tickEFP(tickerId, tickType, basisPoints, formattedBasisPoints, impliedFuturesPrice, holdDays, futureExpiry, dividendImpact, dividendsToExpiry)
     elif msgId == self.ORDER_STATUS:
         version = self.readInt()
         id = self.readInt()
         status = self.readStr()
         filled = self.readInt()
         remaining = self.readInt()
         avgFillPrice = self.readDouble()
         permId = 0
         if version >= 2:
             permId = self.readInt()
         parentId = 0
         if version >= 3:
             parentId = self.readInt()
         lastFillPrice = 0
         if version >= 4:
             lastFillPrice = self.readDouble()
         clientId = 0
         if version >= 5:
             clientId = self.readInt()
         whyHeld = None
         if version >= 6:
             whyHeld = self.readStr()
         self.eWrapper().orderStatus(id, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld)
     elif msgId == self.ACCT_VALUE:
         version = self.readInt()
         key = self.readStr()
         val = self.readStr()
         cur = self.readStr()
         accountName = None
         if version >= 2:
             accountName = self.readStr()
         self.eWrapper().updateAccountValue(key, val, cur, accountName)
     elif msgId == self.PORTFOLIO_VALUE:
         version = self.readInt()
         contract = Contract()
         if version >= 6:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         if version >= 7:
             contract.m_multiplier = self.readStr()
             contract.m_primaryExch = self.readStr()
         contract.m_currency = self.readStr()
         if version >= 2:
             contract.m_localSymbol = self.readStr()
         position = self.readInt()
         marketPrice = self.readDouble()
         marketValue = self.readDouble()
         averageCost = 0.0
         unrealizedPNL = 0.0
         realizedPNL = 0.0
         if version >= 3:
             averageCost = self.readDouble()
             unrealizedPNL = self.readDouble()
             realizedPNL = self.readDouble()
         accountName = None
         if version >= 4:
             accountName = self.readStr()
         if (version == 6) and (self.m_parent.serverVersion() == 39):
             contract.m_primaryExch = self.readStr()
         self.eWrapper().updatePortfolio(contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName)
     elif msgId == self.ACCT_UPDATE_TIME:
         version = self.readInt()
         timeStamp = self.readStr()
         self.eWrapper().updateAccountTime(timeStamp)
     elif msgId == self.ERR_MSG:
         version = self.readInt()
         if version < 2:
             msg = self.readStr()
             self.m_parent.error(msg)
         else:
             id = self.readInt()
             errorCode = self.readInt()
             errorMsg = self.readStr()
             self.m_parent.error(id, errorCode, errorMsg)
     elif msgId == self.OPEN_ORDER:
         version = self.readInt()
         order = Order()
         order.m_orderId = self.readInt()
         contract = Contract()
         if version >= 17:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         contract.m_exchange = self.readStr()
         contract.m_currency = self.readStr()
         if version >= 2:
             contract.m_localSymbol = self.readStr()
         order.m_action = self.readStr()
         order.m_totalQuantity = self.readInt()
         order.m_orderType = self.readStr()
         order.m_lmtPrice = self.readDouble()
         order.m_auxPrice = self.readDouble()
         order.m_tif = self.readStr()
         order.m_ocaGroup = self.readStr()
         order.m_account = self.readStr()
         order.m_openClose = self.readStr()
         order.m_origin = self.readInt()
         order.m_orderRef = self.readStr()
         if version >= 3:
             order.m_clientId = self.readInt()
         if version >= 4:
             order.m_permId = self.readInt()
             if version < 18:
                 self.readBoolFromInt()
             else:
                 order.m_outsideRth = self.readBoolFromInt()
             order.m_hidden = (self.readInt() == 1)
             order.m_discretionaryAmt = self.readDouble()
         if version >= 5:
             order.m_goodAfterTime = self.readStr()
         if version >= 6:
             self.readStr()
         if version >= 7:
             order.m_faGroup = self.readStr()
             order.m_faMethod = self.readStr()
             order.m_faPercentage = self.readStr()
             order.m_faProfile = self.readStr()
         if version >= 8:
             order.m_goodTillDate = self.readStr()
         if version >= 9:
             order.m_rule80A = self.readStr()
             order.m_percentOffset = self.readDouble()
             order.m_settlingFirm = self.readStr()
             order.m_shortSaleSlot = self.readInt()
             order.m_designatedLocation = self.readStr()
             order.m_auctionStrategy = self.readInt()
             order.m_startingPrice = self.readDouble()
             order.m_stockRefPrice = self.readDouble()
             order.m_delta = self.readDouble()
             order.m_stockRangeLower = self.readDouble()
             order.m_stockRangeUpper = self.readDouble()
             order.m_displaySize = self.readInt()
             if version < 18:
                 self.readBoolFromInt()
             order.m_blockOrder = self.readBoolFromInt()
             order.m_sweepToFill = self.readBoolFromInt()
             order.m_allOrNone = self.readBoolFromInt()
             order.m_minQty = self.readInt()
             order.m_ocaType = self.readInt()
             order.m_eTradeOnly = self.readBoolFromInt()
             order.m_firmQuoteOnly = self.readBoolFromInt()
             order.m_nbboPriceCap = self.readDouble()
         if version >= 10:
             order.m_parentId = self.readInt()
             order.m_triggerMethod = self.readInt()
         if version >= 11:
             order.m_volatility = self.readDouble()
             order.m_volatilityType = self.readInt()
             if (version == 11):
                 receivedInt = self.readInt()
                 order.m_deltaNeutralOrderType = "NONE" if (receivedInt == 0) else "MKT"
             else:
                 order.m_deltaNeutralOrderType = self.readStr()
                 order.m_deltaNeutralAuxPrice = self.readDouble()
             order.m_continuousUpdate = self.readInt()
             if (self.m_parent.serverVersion() == 26):
                 order.m_stockRangeLower = self.readDouble()
                 order.m_stockRangeUpper = self.readDouble()
             order.m_referencePriceType = self.readInt()
         if version >= 13:
             order.m_trailStopPrice = self.readDouble()
         if version >= 14:
             order.m_basisPoints = self.readDouble()
             order.m_basisPointsType = self.readInt()
             contract.m_comboLegsDescrip = self.readStr()
         if version >= 15:
             if version >= 20:
                 order.m_scaleInitLevelSize = self.readIntMax()
                 order.m_scaleSubsLevelSize = self.readIntMax()
             else:
                 self.readIntMax()
                 order.m_scaleInitLevelSize = self.readIntMax()
             order.m_scalePriceIncrement = self.readDoubleMax()
         if version >= 19:
             order.m_clearingAccount = self.readStr()
             order.m_clearingIntent = self.readStr()
         if version >= 20:
             if self.readBoolFromInt():
                 underComp = UnderComp()
                 underComp.m_conId = self.readInt()
                 underComp.m_delta = self.readDouble()
                 underComp.m_price = self.readDouble()
                 contract.m_underComp = underComp
         orderState = OrderState()
         if version >= 16:
             order.m_whatIf = self.readBoolFromInt()
             orderState.m_status = self.readStr()
             orderState.m_initMargin = self.readStr()
             orderState.m_maintMargin = self.readStr()
             orderState.m_equityWithLoan = self.readStr()
             orderState.m_commission = self.readDoubleMax()
             orderState.m_minCommission = self.readDoubleMax()
             orderState.m_maxCommission = self.readDoubleMax()
             orderState.m_commissionCurrency = self.readStr()
             orderState.m_warningText = self.readStr()
         self.eWrapper().openOrder(order.m_orderId, contract, order, orderState)
     elif msgId == self.NEXT_VALID_ID:
         version = self.readInt()
         orderId = self.readInt()
         self.eWrapper().nextValidId(orderId)
     elif msgId == self.SCANNER_DATA:
         contract = ContractDetails()
         version = self.readInt()
         tickerId = self.readInt()
         numberOfElements = self.readInt()
         ## for-while
         ctr = 0
         while ctr < numberOfElements:
             rank = self.readInt()
             if version >= 3:
                 contract.m_summary.m_conId = self.readInt()
             contract.m_summary.m_symbol = self.readStr()
             contract.m_summary.m_secType = self.readStr()
             contract.m_summary.m_expiry = self.readStr()
             contract.m_summary.m_strike = self.readDouble()
             contract.m_summary.m_right = self.readStr()
             contract.m_summary.m_exchange = self.readStr()
             contract.m_summary.m_currency = self.readStr()
             contract.m_summary.m_localSymbol = self.readStr()
             contract.m_marketName = self.readStr()
             contract.m_tradingClass = self.readStr()
             distance = self.readStr()
             benchmark = self.readStr()
             projection = self.readStr()
             legsStr = None
             if version >= 2:
                 legsStr = self.readStr()
             self.eWrapper().scannerData(tickerId, rank, contract, distance, benchmark, projection, legsStr)
             ctr += 1
         self.eWrapper().scannerDataEnd(tickerId)
     elif msgId == self.CONTRACT_DATA:
         version = self.readInt()
         reqId = -1
         if version >= 3:
             reqId = self.readInt()
         contract = ContractDetails()
         contract.m_summary.m_symbol = self.readStr()
         contract.m_summary.m_secType = self.readStr()
         contract.m_summary.m_expiry = self.readStr()
         contract.m_summary.m_strike = self.readDouble()
         contract.m_summary.m_right = self.readStr()
         contract.m_summary.m_exchange = self.readStr()
         contract.m_summary.m_currency = self.readStr()
         contract.m_summary.m_localSymbol = self.readStr()
         contract.m_marketName = self.readStr()
         contract.m_tradingClass = self.readStr()
         contract.m_summary.m_conId = self.readInt()
         contract.m_minTick = self.readDouble()
         contract.m_summary.m_multiplier = self.readStr()
         contract.m_orderTypes = self.readStr()
         contract.m_validExchanges = self.readStr()
         if version >= 2:
             contract.m_priceMagnifier = self.readInt()
         self.eWrapper().contractDetails(reqId, contract)
     elif msgId == self.BOND_CONTRACT_DATA:
         version = self.readInt()
         reqId = -1
         if version >= 3:
             reqId = self.readInt()
         contract = ContractDetails()
         contract.m_summary.m_symbol = self.readStr()
         contract.m_summary.m_secType = self.readStr()
         contract.m_cusip = self.readStr()
         contract.m_coupon = self.readDouble()
         contract.m_maturity = self.readStr()
         contract.m_issueDate = self.readStr()
         contract.m_ratings = self.readStr()
         contract.m_bondType = self.readStr()
         contract.m_couponType = self.readStr()
         contract.m_convertible = self.readBoolFromInt()
         contract.m_callable = self.readBoolFromInt()
         contract.m_putable = self.readBoolFromInt()
         contract.m_descAppend = self.readStr()
         contract.m_summary.m_exchange = self.readStr()
         contract.m_summary.m_currency = self.readStr()
         contract.m_marketName = self.readStr()
         contract.m_tradingClass = self.readStr()
         contract.m_summary.m_conId = self.readInt()
         contract.m_minTick = self.readDouble()
         contract.m_orderTypes = self.readStr()
         contract.m_validExchanges = self.readStr()
         if version >= 2:
             contract.m_nextOptionDate = self.readStr()
             contract.m_nextOptionType = self.readStr()
             contract.m_nextOptionPartial = self.readBoolFromInt()
             contract.m_notes = self.readStr()
         self.eWrapper().bondContractDetails(reqId, contract)
     elif msgId == self.EXECUTION_DATA:
         version = self.readInt()
         orderId = self.readInt()
         contract = Contract()
         if version >= 5:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         contract.m_exchange = self.readStr()
         contract.m_currency = self.readStr()
         contract.m_localSymbol = self.readStr()
         exec_ = Execution()
         exec_.m_orderId = orderId
         exec_.m_execId = self.readStr()
         exec_.m_time = self.readStr()
         exec_.m_acctNumber = self.readStr()
         exec_.m_exchange = self.readStr()
         exec_.m_side = self.readStr()
         exec_.m_shares = self.readInt()
         exec_.m_price = self.readDouble()
         if version >= 2:
             exec_.m_permId = self.readInt()
         if version >= 3:
             exec_.m_clientId = self.readInt()
         if version >= 4:
             exec_.m_liquidation = self.readInt()
         if version >= 6:
             exec_.m_cumQty = self.readInt()
             exec_.m_avgPrice = self.readDouble()
         self.eWrapper().execDetails(orderId, contract, exec_)
     elif msgId == self.MARKET_DEPTH:
         version = self.readInt()
         id = self.readInt()
         position = self.readInt()
         operation = self.readInt()
         side = self.readInt()
         price = self.readDouble()
         size = self.readInt()
         self.eWrapper().updateMktDepth(id, position, operation, side, price, size)
     elif msgId == self.MARKET_DEPTH_L2:
         version = self.readInt()
         id = self.readInt()
         position = self.readInt()
         marketMaker = self.readStr()
         operation = self.readInt()
         side = self.readInt()
         price = self.readDouble()
         size = self.readInt()
         self.eWrapper().updateMktDepthL2(id, position, marketMaker, operation, side, price, size)
     elif msgId == self.NEWS_BULLETINS:
         version = self.readInt()
         newsMsgId = self.readInt()
         newsMsgType = self.readInt()
         newsMessage = self.readStr()
         originatingExch = self.readStr()
         self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType, newsMessage, originatingExch)
     elif msgId == self.MANAGED_ACCTS:
         version = self.readInt()
         accountsList = self.readStr()
         self.eWrapper().managedAccounts(accountsList)
     elif msgId == self.RECEIVE_FA:
         version = self.readInt()
         faDataType = self.readInt()
         xml = self.readStr()
         self.eWrapper().receiveFA(faDataType, xml)
     elif msgId == self.HISTORICAL_DATA:
         version = self.readInt()
         reqId = self.readInt()
         startDateStr = ""
         endDateStr = ""
         completedIndicator = "finished"
         if version >= 2:
             startDateStr = self.readStr()
             endDateStr = self.readStr()
             completedIndicator += "-" + startDateStr + "-" + endDateStr
         itemCount = self.readInt()
         ## for-while
         ctr = 0
         while ctr < itemCount:
             date = self.readStr()
             open = self.readDouble()
             high = self.readDouble()
             low = self.readDouble()
             close = self.readDouble()
             volume = self.readInt()
             WAP = self.readDouble()
             hasGaps = self.readStr()
             barCount = -1
             if version >= 3:
                 barCount = self.readInt()
             self.eWrapper().historicalData(reqId, date, open, high, low, close, volume, barCount, WAP, Boolean.valueOf(hasGaps).booleanValue())
             ctr += 1
         self.eWrapper().historicalData(reqId, completedIndicator, -1, -1, -1, -1, -1, -1, -1, False)
     elif msgId == self.SCANNER_PARAMETERS:
         version = self.readInt()
         xml = self.readStr()
         self.eWrapper().scannerParameters(xml)
     elif msgId == self.CURRENT_TIME:
         self.readInt()
         time = self.readLong()
         self.eWrapper().currentTime(time)
     elif msgId == self.REAL_TIME_BARS:
         self.readInt()
         reqId = self.readInt()
         time = self.readLong()
         open = self.readDouble()
         high = self.readDouble()
         low = self.readDouble()
         close = self.readDouble()
         volume = self.readLong()
         wap = self.readDouble()
         count = self.readInt()
         self.eWrapper().realtimeBar(reqId, time, open, high, low, close, volume, wap, count)
     elif msgId == self.FUNDAMENTAL_DATA:
         self.readInt()
         reqId = self.readInt()
         data = self.readStr()
         self.eWrapper().fundamentalData(reqId, data)
     elif msgId == self.CONTRACT_DATA_END:
         self.readInt()
         reqId = self.readInt()
         self.eWrapper().contractDetailsEnd(reqId)
     else:
         self.m_parent.error(EClientErrors.NO_VALID_ID, EClientErrors.UNKNOWN_ID.code(), EClientErrors.UNKNOWN_ID.msg())
         return False
     return True