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If your program is a subroutine library, you +may consider it more useful to permit linking proprietary applications with +the library. If this is what you want to do, use the GNU Lesser General +Public License instead of this License. But first, please read +. diff --git a/Setup.hs b/Setup.hs new file mode 100644 --- /dev/null +++ b/Setup.hs @@ -0,0 +1,2 @@ +import Distribution.Simple +main = defaultMain diff --git a/ib-api.cabal b/ib-api.cabal new file mode 100644 --- /dev/null +++ b/ib-api.cabal @@ -0,0 +1,70 @@ +-- Initial ib-api.cabal generated by cabal init. For further +-- documentation, see http://haskell.org/cabal/users-guide/ + +-- The name of the package. +name: ib-api + +-- The package version. See the Haskell package versioning policy (PVP) +-- for standards guiding when and how versions should be incremented. +-- http://www.haskell.org/haskellwiki/Package_versioning_policy +-- PVP summary: +-+------- breaking API changes +-- | | +----- non-breaking API additions +-- | | | +--- code changes with no API change +version: 0.1.0.0 + +-- A short (one-line) description of the package. +synopsis: An API for the Interactive Brokers Trading Workstation written in pure Haskell + +-- A longer description of the package. +-- description: + +-- URL for the project homepage or repository. +homepage: https://github.com/rbermani/ib-api + +-- The license under which the package is released. +license: GPL-3 + +-- The file containing the license text. +license-file: LICENSE + +-- The package author(s). +author: Robert Bermani + +-- An email address to which users can send suggestions, bug reports, and +-- patches. +maintainer: bobbermani@gmail.com + +-- A copyright notice. +-- copyright: + +category: Network + +build-type: Simple + +-- Extra files to be distributed with the package, such as examples or a +-- README. +-- extra-source-files: + +-- Constraint on the version of Cabal needed to build this package. +cabal-version: >=1.10 + + +library + -- Modules exported by the library. + exposed-modules: Examples.Example, IB.Client, IB.Client.Parser, IB.Client.Exception, IB.Client.Types, IB.Client.Request, IB.Client.Nums + + -- Modules included in this library but not exported. + -- other-modules: + + -- LANGUAGE extensions used by modules in this package. + other-extensions: NamedFieldPuns, DeriveDataTypeable, BangPatterns + + -- Other library packages from which modules are imported. + build-depends: base >=4.6 && < 6, network >=2.6 && <2.7, bytestring >=0.10 && <0.11, attoparsec >=0.12 && <0.13 + + -- Directories containing source files. + hs-source-dirs: src + + -- Base language which the package is written in. + default-language: Haskell2010 + diff --git a/src/Examples/Example.hs b/src/Examples/Example.hs new file mode 100644 --- /dev/null +++ b/src/Examples/Example.hs @@ -0,0 +1,34 @@ +-- | +-- Module : IB.Client +-- License : GPL3 +-- Author : Robert Bermani +-- Stability : experimental +-- | + +-- Main Loop example + +module Examples.Example where + +import IB.Client +{-- +handleMsg :: MIB -> IBMessage -> IO () +handleMsg msv ibMsg = + +nothreadEx = do let cconf = defaultConf { cc_handler = Just handleMsg } + result <- connect cconf False False + case result of + Left err -> + Right msv -> do s <- readMVar msv + unless (not s_connected s) + do checkMsg False + +threadEx = do let cconf = defaultConf { cc_handler = Just handleMsg } + result <- connect cconf True False + case result of + Left err -> + Right msv -> do s <- readMVar msv + + unless (not s_connected s) checkMsg False + +main = +--} diff --git a/src/IB/Client.hs b/src/IB/Client.hs new file mode 100644 --- /dev/null +++ b/src/IB/Client.hs @@ -0,0 +1,172 @@ +-- | +-- Module : IB.Client +-- License : GPL3 +-- Author : Robert Bermani +-- Stability : experimental +-- | + +-- IB Client + +module IB.Client where + +import Control.Concurrent (forkIO) +import Control.Concurrent.MVar +import Control.Exception +import Control.Monad +import Data.Attoparsec.ByteString.Char8 hiding (try) +import Data.Bits +import qualified Network.Socket as S hiding (send, recv, sendTo, recvFrom) +import Network.Socket.ByteString +import Network.BSD +import Data.List +import System.Timeout +import System.IO +import qualified Data.ByteString.Char8 as B +import Data.Maybe + +import IB.Client.Types +import IB.Client.Nums +import IB.Client.Request +import IB.Client.Exception +import IB.Client.Parser + +data ClientConfig = ClientConfig + { cc_addr :: String + , cc_port :: Int + , cc_clientId :: Int + , cc_extraAuth :: Bool + , cc_handler :: Maybe HandlerFunc + } + +disconnect :: MIB -> IO () +disconnect smv = + do srv <- readMVar smv + let h = fromJust (s_sock srv) + hClose h + putMVar smv srv { s_clientId = -1 + , s_extraAuth = False + , s_version = 0 + , s_connected = False + } + +greetServer :: IBServer -> IO IBServer +greetServer server = + do write server $ show' client_version + wFlush server + + let h = fromJust (s_sock server ) + extraAuth = s_extraAuth server + + msg <- B.hGet h 128 + let prea = parse pServerVersion msg + + case eitherResult prea of + Left errMsg -> throwIO $ IBExc no_valid_id ParseError errMsg + Right val -> do let serv_ver = pre_serverVersion val + twsTime = pre_twsTime val + case () of + _ | serv_ver < server_version -> throwIO $ IBExc no_valid_id UpdateTWS "" + | serv_ver >= 3 -> if (serv_ver < min_server_ver_linking) + then do write server $ show' $ s_clientId server + else return () + | not extraAuth -> request server StartApi + | otherwise -> return () + wFlush server + return server { s_twsTime = twsTime + , s_version = serv_ver + , s_connected = True + } + + + +checkMsg :: MIB -> Bool -> IO () +checkMsg mvs loop = + do s <- readMVar mvs + let h = fromJust $ s_sock s + handleMsg = s_handler s + ver = s_version s + eof <- timeout (s_timeoutInterval s) $ hIsEOF h + + if (eof /= Just False) + then do + modifyMVar_ mvs (\serv -> return $ serv {s_sock = Nothing}) + hClose h + else do + msg <- B.hGet h 4096 + server <- takeMVar mvs + debugWrite server $ ">> " ++ (B.unpack msg) + putMVar mvs server + pResult <- parseWith (B.hGet h 1024) (pRecvMsg ver) msg + + case eitherResult pResult of + Left errMsg -> throwIO $ IBExc no_valid_id ParseError errMsg + Right res -> handleMsg mvs $ rc_msgBody res + + if (loop) + then checkMsg mvs loop + else return () + +-- |Connects to a server +connect :: ClientConfig -- ^ Configuration + -> Bool -- ^ Run in a new thread + -> Bool -- ^ Print debug messages + -> IO (Either IOError MIB) -- ^ IB instance + +connect cconf threaded debug = try $ do + (when debug $ + putStrLn $ "Connecting to " ++ cc_addr cconf) + +-- if (isConnected $ cc_socket cconf) +-- then throwIO IBExc no_valid_id AlreadyConnected "" +-- else return () + --(when ((cc_handler cconf) == Nothing) (throwIO $ IBExc no_valid_id MissingHandler "")) + + let hostStr = cc_addr cconf + portStr = show $ cc_port cconf + hostname | null hostStr = Nothing + | otherwise = Just hostStr + addrinfos <- ( S.getAddrInfo Nothing hostname (Just portStr)) + + let serveraddr = head addrinfos + s <- S.socket (S.addrFamily serveraddr) S.Stream defaultProtocol + + S.connect s (S.addrAddress serveraddr) + h <- S.socketToHandle s ReadWriteMode + hSetBuffering h (BlockBuffering Nothing) + + let preServer = toServer cconf h debug + + -- initialize connection with server + server <- greetServer preServer + + res <- newMVar server + + if threaded + then do msgThreadId <- forkIO (checkMsg res True) + modifyMVar_ res (\srv -> return $ srv { s_msgThread = Just msgThreadId + } ) + return res + else return res + + +toServer :: ClientConfig -> Handle -> Bool -> IBServer +toServer cc h debug = IBServer { s_addr = cc_addr cc + , s_port = cc_port cc + , s_clientId = cc_clientId cc + , s_extraAuth = cc_extraAuth cc + , s_handler = fromJust $ cc_handler cc + , s_debug = debug + , s_sock = Just h + } + +defaultConf :: ClientConfig +defaultConf = ClientConfig { cc_addr = "" + , cc_port = 5555 + , cc_clientId = 1 + , cc_extraAuth = False + , cc_handler = Just defHandler + } + +defHandler :: MIB -> IBMessage -> IO () +defHandler _ _ = putStrLn "No Message Handler is defined" + diff --git a/src/IB/Client/Exception.hs b/src/IB/Client/Exception.hs new file mode 100644 --- /dev/null +++ b/src/IB/Client/Exception.hs @@ -0,0 +1,84 @@ +{-# LANGUAGE DeriveDataTypeable #-} + +module IB.Client.Exception + ( + -- * Types + IBExceptionType(..) + , IBException(..) + , CodeMsgPair + + -- * Functions + , excToPair + + -- * Accessors + , code + , msg + ) where + +import Control.Exception +import Data.Typeable + +type CodeMsgPair = (Int, String) + +data IBExceptionType + = AlreadyConnected + | ConnectFail + | UpdateTWS + | NotConnected + | UnknownID + | ZeroByteRead + | NullStringRead + | NoBytesRead + | SocketException + | FailCreateSock + | FailConnectTWS + | FailSendFARequest + | FailSendFAReplace + | FailSendReqScanner + | FailSendCanScanner + | FailSendReqScannerParameters + | FailSendReqHistData + | FailSendCanHistData + | FailSendReqRtBars + | FailSendCanRTBars + | FailSendReqCurrTime + | MissingHandler + | ParseError + | SystemError + deriving (Show) + +data IBException = IBExc Int IBExceptionType String + deriving (Show, Typeable) + +instance Exception IBException + + +code :: CodeMsgPair -> Int +code = fst + +msg :: CodeMsgPair -> String +msg = snd + +excToPair :: IBExceptionType -> CodeMsgPair +excToPair AlreadyConnected = (501, "Already connected.") +excToPair ConnectFail = (502, "Couldn't connect to TWS. Confirm that \"Enable ActiveX and Socket Clients\" is enabled on the TWS \"Configure->API\" menu.") +excToPair UpdateTWS = (503, "The TWS is out of date and must be upgraded.") +excToPair NotConnected = (504, "Not connected") +excToPair UnknownID = (505, "Fatal Error: Unknown message id.") +excToPair ZeroByteRead = (506, "Unexplained zero bytes read.") +excToPair NullStringRead = (507, "Null string read when expecting integer") +excToPair NoBytesRead = (508, "Error: no bytes read or no null terminator found") +excToPair SocketException = (509, "Exception caught while reading socket - ") +excToPair FailCreateSock = (520, "Failed to create socket") +excToPair FailConnectTWS = (521, "Couldn't connect to TWS.") +excToPair FailSendFARequest = (522, "FA Information Request Sending Error - ") +excToPair FailSendFAReplace = (523, "FA Information Replace Sending Error - ") +excToPair FailSendReqScanner = (524, "Request Scanner Subscription Sending Error - ") +excToPair FailSendCanScanner = (525, "Cancel Scanner Subscription Sending Error - ") +excToPair FailSendReqScannerParameters = (526, "Request Scanner Parameter Sending Error - ") +excToPair FailSendReqHistData = (527, "Request Historical Data Sending Error - ") +excToPair FailSendCanHistData= (528, "Cancel Historical Data Sending Error - ") +excToPair FailSendReqRtBars = (529, "Request Real-time Bar Data Sending Error - ") +excToPair FailSendCanRTBars =(530, "Cancel Real-time Bar Data Sending Error - ") +excToPair FailSendReqCurrTime = (531, "Request Current Time Sending Error - ") + diff --git a/src/IB/Client/Nums.hs b/src/IB/Client/Nums.hs new file mode 100644 --- /dev/null +++ b/src/IB/Client/Nums.hs @@ -0,0 +1,42 @@ + +module IB.Client.Nums where + +no_valid_id = -1 :: Int +no_valid_error_code = 0 :: Int + +client_version = 63 :: Int +server_version = 38 :: Int + +min_server_ver_pta_orders = 39 :: Int +min_server_ver_fundamental_data = 40 :: Int +min_server_ver_under_comp = 40 :: Int +min_server_ver_contract_data_chain = 40 :: Int +min_server_ver_scale_orders2 = 40 :: Int +min_server_ver_algo_orders = 41 :: Int +min_server_ver_execution_data_chain = 42 :: Int +min_server_ver_not_held = 44 :: Int +min_server_ver_sec_id_type = 45 :: Int +min_server_ver_place_order_conid = 46 :: Int +min_server_ver_req_mkt_data_conid = 47 :: Int +min_server_ver_req_calc_implied_volat = 49 :: Int +min_server_ver_req_calc_option_price = 50 :: Int +min_server_ver_cancel_calc_implied_volat = 50 :: Int +min_server_ver_cancel_calc_option_price = 50 :: Int +min_server_ver_sshortx_old = 51 :: Int +min_server_ver_sshortx = 52 :: Int +min_server_ver_req_global_cancel = 53 :: Int +min_server_ver_hedge_orders = 54 :: Int +min_server_ver_req_market_data_type = 55 :: Int +min_server_ver_opt_out_smart_routing = 56 :: Int +min_server_ver_smart_combo_routing_params = 57 :: Int +min_server_ver_delta_neutral_conid = 58 :: Int +min_server_ver_scale_orders3 = 60 :: Int +min_server_ver_order_combo_legs_price = 61 :: Int +min_server_ver_trailing_percent = 62 :: Int +min_server_ver_delta_neutral_open_close = 66 :: Int +min_server_ver_positions = 67 :: Int +min_server_ver_account_summary = 67 :: Int +min_server_ver_trading_class = 68 :: Int +min_server_ver_scale_table = 69 :: Int +min_server_ver_linking = 70 :: Int + diff --git a/src/IB/Client/Parser.hs b/src/IB/Client/Parser.hs new file mode 100644 --- /dev/null +++ b/src/IB/Client/Parser.hs @@ -0,0 +1,1273 @@ +{-# LANGUAGE NamedFieldPuns #-} + + +module IB.Client.Parser + ( + -- * Types + IBMessage(..) + , RecvMsg(..) + + -- * Functions + , pRecvMsg + , pServerVersion + ) where + +--import Data.ByteString hiding (elem, map, empty) +import qualified Data.ByteString.Char8 as C +import Control.Monad +import Control.Applicative +import Data.Attoparsec.ByteString.Char8 + +import IB.Client.Types +import IB.Client.Nums + +pServerVersion :: Parser Preamble +pServerVersion = + do pre_serverVersion <- pStrInt + let pre_twsTime = 0 + + if (pre_serverVersion >= 20) + then do pre_twsTime <- pStrInt + return () + else return () + + --if (serv_ver >= 20) + -- then do twsTime <- pStrInt + -- else let twsTime = 0 + + return Preamble {pre_serverVersion, pre_twsTime } + +pRecvMsg :: Int -> Parser RecvMsg +pRecvMsg sver = + do rc_msgId <- pStrInt + rc_version <- pStrInt + rc_msgBody <- pIBMsg rc_msgId sver rc_version + return RecvMsg {rc_msgId, rc_version, rc_msgBody} + +tickOptionDefault :: IBMessage +tickOptionDefault = TickOptionComputation { tickerId = 0 + , tickType = 0 + , impliedVol = dblMaximum + , delta = dblMaximum + , optPrice = dblMaximum + , pvDividend = dblMaximum + , gamma = dblMaximum + , vega = dblMaximum + , theta = dblMaximum + , undPrice = dblMaximum + } + + +pStr :: Parser String +pStr = do bs <- takeWhile1 (\w -> w /= '\0') + return (C.unpack bs) + +pStrMaybe :: Parser (Maybe String) +pStrMaybe = do bs <- takeWhile1 (\w -> w /= '\0') + let str = C.unpack bs + + return $ case null str of + True -> Nothing + False -> Just str + +pStrIntMax :: Parser Int +pStrIntMax = do res <- pStrMaybe + + return $ case res of + Just x -> read x + Nothing -> fromIntegral int32max + +pStrDoubleMax :: Parser Double +pStrDoubleMax = do res <- pStrMaybe + return $ case res of + Just x -> read x + Nothing -> dblMaximum + +pStrInt :: Parser Int +pStrInt = read <$> pStr + +pStrDouble :: Parser Double +pStrDouble = read <$> pStr + +pStrBool :: Parser Bool +pStrBool = do int <- pStrInt + case () of + _ | int /= 0 -> return True + | otherwise -> return False + +pTagValue :: Parser TagValue +pTagValue = TagValue <$> + pStr + <*> pStr + "Tag Value" + + +pTickPrice :: Int -> Int -> Parser IBMessage +pTickPrice _ _ = TickPrice <$> + pStrInt + <*> pStrInt + <*> pStrDouble + <*> pStrInt + <*> pStrInt + "Tick Price" + +pTickSize :: Int -> Int -> Parser IBMessage +pTickSize _ _ = TickSize <$> + pStrInt + <*> pStrInt + <*> pStrDouble + <*> pStrInt + "Tick Size" + +pTickEFP :: Int -> Int -> Parser IBMessage +pTickEFP _ _ = TickEFP <$> + pStrInt + <*> pStrInt + <*> pStrDouble + <*> pStr + <*> pStrDouble + <*> pStrInt + <*> pStr + <*> pStrDouble + <*> pStrDouble + "Tick EFP" + +pAcctValue :: Int -> Int -> Parser IBMessage +pAcctValue _ _ = AcctValue <$> + pStr + <*> pStr + <*> pStr + <*> pStr + "Acct Value" + +pPortfolioValue :: Int -> Int -> Parser IBMessage +pPortfolioValue _ ver = + do ct_conId <- pStrInt + ct_symbol <- pStr + ct_secType <- pStr + ct_expiry <- pStr + ct_strike <- pStrDouble + ct_right <- pStr + let ct_multiplier = "" + ct_tradingClass = "" + + if (ver >= 7) + then do ct_multiplier <- pStr + return () + else return () + + ct_exchange <- pStr + ct_currency <- pStr + ct_localSymbol <- pStr + + if (ver >= 8) + then do ct_tradingClass <- pStr + return () + else return () + + let contract = Contract { ct_conId + , ct_symbol + , ct_secType + , ct_expiry + , ct_strike + , ct_right + , ct_multiplier + , ct_exchange + , ct_currency + , ct_localSymbol + , ct_tradingClass + } + position <- pStrInt + marketPrice <- pStrDouble + marketValue <- pStrDouble + averageCost <- pStrDouble + unrealizedPNL <- pStrDouble + realizedPNL <- pStrDouble + accountName <- pStr + + return PortfolioValue { contract + , position + , marketPrice + , averageCost + , unrealizedPNL + , realizedPNL + , accountName + } + +pAcctUpdateTime :: Int -> Int -> Parser IBMessage +pAcctUpdateTime _ _ = AcctUpdateTime <$> pStr "Acct Update Time" + +pNextValidId :: Int -> Int -> Parser IBMessage +pNextValidId _ _ = NextValidId <$> pStrInt "Next Valid Id" + +pManagedAccts :: Int -> Int -> Parser IBMessage +pManagedAccts _ _ = ManagedAccts <$> + pStr + "Managed Accts" + +pReceiveFA :: Int -> Int -> Parser IBMessage +pReceiveFA _ _ = ReceiveFA <$> + pStrInt + <*> pStr + "Receive FA" + +pHistoricalData :: Int -> Int -> Parser IBMessage +pHistoricalData _ _ = HistoricalData <$> + pStrInt + <*> pStr + <*> pStr + <*> pBarDataCons + "Historical Data" + +pTickString :: Int -> Int -> Parser IBMessage +pTickString _ _ = TickString <$> + pStrInt + <*> pStrInt + <*> pStr + "Tick String" + +pScannerData :: Int -> Int -> Parser IBMessage +pScannerData _ _ = ScannerData <$> + pStrInt + <*> pScanDataList + "Scanner Data" + +pScannerParameters :: Int -> Int -> Parser IBMessage +pScannerParameters _ _ = ScannerParameters <$> + pStr + "Scanner Parameters" + +pCurrentTime :: Int -> Int -> Parser IBMessage +pCurrentTime _ _ = CurrentTime <$> + pStrInt + "Current Time" + +pRealTimeBars :: Int -> Int -> Parser IBMessage +pRealTimeBars _ _ = RealTimeBars <$> + pStrInt + <*> pStrInt + <*> pStrDouble + <*> pStrDouble + <*> pStrDouble + <*> pStrDouble + <*> pStrInt + <*> pStrDouble + <*> pStrInt + "Real Time Bars" + +pFundamentalData :: Int -> Int -> Parser IBMessage +pFundamentalData _ _ = FundamentalData <$> + pStrInt + <*> pStr + "Fundamental Data" + +pPositionData :: Int -> Int -> Parser IBMessage +pPositionData _ ver = do account <- pStr + contract <- pContract' + position <- pStrInt + let avgCost = dblMaximum + + if (ver >= 3) + then do avgCost <- pStrDouble + return () + else return () + + return PositionData { account + , contract + , position + , avgCost + } + where pContract' = + do ct_conId <- pStrInt + ct_symbol <- pStr + ct_secType <- pStr + ct_expiry <- pStr + ct_strike <- pStrDouble + ct_right <- pStr + ct_multiplier <- pStr + ct_exchange <- pStr + ct_currency <- pStr + ct_localSymbol <- pStr + let ct_tradingClass = "" + + if (ver >= 2) + then do ct_tradingClass <- pStr + return () + else return () + + return Contract { ct_conId + , ct_symbol + , ct_secType + , ct_expiry + , ct_strike + , ct_right + , ct_multiplier + , ct_exchange + , ct_currency + , ct_localSymbol + , ct_tradingClass + } +pPositionEnd :: Int -> Int -> Parser IBMessage +pPositionEnd _ _ = return PositionEnd + +pAccountSummary :: Int -> Int -> Parser IBMessage +pAccountSummary _ _ = AccountSummary <$> + pStrInt + <*> pStr + <*> pStr + <*> pStr + <*> pStr + "Account Summary" + +pAccountSummaryEnd :: Int -> Int -> Parser IBMessage +pAccountSummaryEnd _ _ = AccountSummaryEnd <$> pStrInt "Account Summary End" + +pVerifyMessageAPI :: Int -> Int -> Parser IBMessage +pVerifyMessageAPI _ _ = VerifyMessageAPI <$> + pStr + "Verify Message API" + +pVerifyCompleted :: Int -> Int -> Parser IBMessage +pVerifyCompleted _ _ = VerifyCompleted <$> + pStr + <*> pStr + "Verify Completed" + +pDisplayGroupList :: Int -> Int -> Parser IBMessage +pDisplayGroupList _ _ = DisplayGroupList <$> + pStrInt + <*> pStr + "Display Group List" + + +pDisplayGroupUpdated :: Int -> Int -> Parser IBMessage +pDisplayGroupUpdated _ _ = DisplayGroupUpdated <$> + pStrInt + <*> pStr + "Display Group Updated" + +pCommissionReport :: Int -> Int -> Parser IBMessage +pCommissionReport _ _ = CommissionReport <$> + pStr + <*> pStrDouble + <*> pStr + <*> pStrDouble + <*> pStrDouble + <*> pStrInt + "Commission Report" + +pContractDataEnd :: Int -> Int -> Parser IBMessage +pContractDataEnd _ _ = ContractDataEnd <$> pStrInt "Contract Data End" + +pOpenOrderEnd :: Int -> Int -> Parser IBMessage +pOpenOrderEnd _ _ = return OpenOrderEnd + +pAcctDownloadEnd :: Int -> Int -> Parser IBMessage +pAcctDownloadEnd _ _ = AcctDownloadEnd <$> pStr "Acct Download End" + +pExecutionDataEnd :: Int -> Int -> Parser IBMessage +pExecutionDataEnd _ _ = ExecutionDataEnd <$> pStrInt "Execution Data End" + +pDeltaNeutralValidation :: Int -> Int -> Parser IBMessage +pDeltaNeutralValidation _ _ = DeltaNeutralValidation <$> pStrInt + <*> pUnderComp' "Delta Neutral Validation" + +pTickSnapshotEnd :: Int -> Int -> Parser IBMessage +pTickSnapshotEnd _ _ = TickSnapshotEnd <$> pStrInt "Tick Snapshot End" + +pMarketDataType :: Int -> Int -> Parser IBMessage +pMarketDataType _ _ = MarketDataType <$> pStrInt <*> pStrInt "Market Data" + +pOrderState :: Parser OrderState +pOrderState = OrderState <$> + pStr + <*> pStr + <*> pStr + <*> pStr + <*> pStrDoubleMax + <*> pStrDoubleMax + <*> pStrDoubleMax + <*> pStr + <*> pStr + "Order State" + +--if (ver >= 6) +-- then do cumQty <- pStrInt +-- avgPrice <- pStrDouble +-- else let cumQty = int32max +-- avgPrice = dblMaximum + +--if (ver >= 8) +-- then do orderRef <- pStr +-- else return () + +--if (ver >= 9) +-- then do evRule <- pStr +-- evMultiplier <- pStrDouble +-- else let evRule = "" +-- evMultiplier = dblMaximum + +pExecution :: Int -> Int -> Parser Execution +pExecution _ ver = + do ex_execId <- pStr + ex_time <- pStr + ex_acctNumber <- pStr + ex_exchange <- pStr + ex_side <- pStr + ex_shares <- pStrInt + ex_price <- pStrDouble + ex_permId <- pStrInt + ex_clientId <- pStrInt + ex_liquidation <- pStrInt + + let ex_cumQty = int32max + ex_avgPrice = dblMaximum + ex_orderRef = "" + ex_evRule = "" + ex_evMultiplier = dblMaximum + + case () of + _ | ver >= 9 -> do ex_cumQty <- pStrInt + ex_avgPrice <- pStrDouble + ex_orderRef <- pStr + ex_evRule <- pStr + ex_evMultiplier <- pStrDouble + return () + | ver >= 8 -> do ex_cumQty <- pStrInt + ex_avgPrice <- pStrDouble + ex_orderRef <- pStr + return () + | ver >= 6 -> do ex_cumQty <- pStrInt + ex_avgPrice <- pStrDouble + return () + + return Execution + { ex_execId + , ex_time + , ex_acctNumber + , ex_exchange + , ex_side + , ex_shares + , ex_price + , ex_permId + , ex_clientId + , ex_liquidation + , ex_cumQty + , ex_avgPrice + , ex_orderRef + , ex_evRule + , ex_evMultiplier + } + +pExecutionData :: Int -> Int -> Parser IBMessage +pExecutionData _ ver = do reqId <- pStrInt + orderId <- pStrInt + contract <- pContract' + exec <- pExecution 0 ver + return ExecutionData { reqId + , orderId + , contract + , exec + } + where pContract' :: Parser Contract + pContract' = + do ct_conId <- pStrInt + ct_symbol <- pStr + ct_secType <- pStr + ct_expiry <- pStr + ct_strike <- pStrDouble + ct_right <- pStr + + let ct_multiplier = "" + ct_tradingClass = "" + + if (ver >= 9) + then do ct_multiplier <- pStr + return () + else return () + + ct_exchange <- pStr + ct_currency <- pStr + ct_localSymbol <- pStr + + if (ver >= 10) + then do ct_tradingClass <- pStr + return () + else return () + + return Contract { ct_conId + , ct_symbol + , ct_secType + , ct_expiry + , ct_strike + , ct_right + , ct_multiplier + , ct_exchange + , ct_currency + , ct_localSymbol + , ct_tradingClass + } + +pMarketDepth :: Int -> Int -> Parser IBMessage +pMarketDepth _ _ = MarketDepth <$> + pStrInt + <*> pStrInt + <*> pStrInt + <*> pStrInt + <*> pStrDouble + <*> pStrInt + "Market Depth" + +pMarketDepthL2 :: Int -> Int -> Parser IBMessage +pMarketDepthL2 _ _ = MarketDepthL2 <$> + pStrInt + <*> pStrInt + <*> pStr + <*> pStrInt + <*> pStrInt + <*> pStrDouble + <*> pStrInt + "Market Depth L2" + +pBondContractData :: Int -> Int -> Parser IBMessage +pBondContractData _ ver = + do let reqId = -1 + if (ver >= 3) then do reqId <- pStrInt + return () + else return () + ct_symbol <- pStr + ct_secType <- pStr + ctd_cusip <- pStr + ctd_coupon <- pStrDouble + ctd_maturity <- pStr + ctd_issueDate <- pStr + ctd_ratings <- pStr + ctd_bondType <- pStr + ctd_couponType <- pStr + ctd_convertible <- pStrBool + ctd_callable <- pStrBool + ctd_putable <- pStrBool + ctd_descAppend <- pStr + ct_exchange <- pStr + ct_currency <- pStr + ctd_marketName <- pStr + ct_tradingClass <- pStr + ct_conId <- pStrInt + ctd_minTick <- pStrDouble + ctd_orderTypes <- pStr + ctd_validExchanges <- pStr + ctd_nextOptionDate <- pStr + ctd_nextOptionType <- pStr + ctd_nextOptionPartial <- pStrBool + ctd_notes <- pStr + + let ctd_summary = Contract { ct_symbol + , ct_secType + , ct_exchange + , ct_currency + , ct_tradingClass + , ct_conId + } + ctd_secIdList = [] + ctd_evRule = "" + ctd_longName = "" + ctd_evMultiplier = dblMaximum + + case () of + _ | ver >= 6 -> do ctd_longName <- pStr + ctd_evRule <- pStr + ctd_evMultiplier <- pStrDouble + ctd_secIdList <- pTagValueCons + return () + | ver >= 5 -> do ctd_longName <- pStr + ctd_secIdList <- pTagValueCons + return () + | ver >= 4 -> do ctd_longName <- pStr + return () + + let ctd = ContractDetails { ctd_summary + , ctd_marketName + , ctd_minTick + , ctd_orderTypes + , ctd_validExchanges + , ctd_longName + , ctd_evRule + , ctd_evMultiplier + , ctd_secIdList + , ctd_notes + , ctd_nextOptionPartial + , ctd_nextOptionType + , ctd_nextOptionDate + , ctd_descAppend + , ctd_putable + , ctd_callable + , ctd_convertible + , ctd_couponType + , ctd_bondType + , ctd_ratings + , ctd_issueDate + , ctd_maturity + , ctd_coupon + , ctd_cusip + } + return $ BondContractData ctd + +pNewsBulletins :: Int -> Int -> Parser IBMessage +pNewsBulletins _ _ = NewsBulletins <$> + pStrInt + <*> pStrInt + <*> pStr + <*> pStr + "News Bulletins" + +pContractData :: Int -> Int -> Parser IBMessage +pContractData _ ver = do + let reqId = -1 + if (ver >= 3) then do reqId <- pStrInt + return () + else return () + ct_symbol <- pStr + ct_secType <- pStr + ct_expiry <- pStr + ct_strike <- pStrDouble + ct_right <- pStr + ct_exchange <- pStr + ct_currency <- pStr + ct_localSymbol <- pStr + ctd_marketName <- pStr + ctd_minTick <- pStrDouble + ct_multiplier <- pStr + ctd_orderTypes <- pStr + ctd_validExchanges <- pStr + ctd_priceMagnifier <- pStrInt + + let ctd_underConId = int32max + ctd_longName = "" + ct_primaryExchange = "" + ctd_evRule = "" + ctd_evMultiplier = dblMaximum + ctd_secIdList = [] + ctd_contractMonth = "" + ctd_industry = "" + ctd_category = "" + ctd_subcategory = "" + ctd_timeZoneId = "" + ctd_tradingHours = "" + ctd_liquidHours = "" + + if (ver >= 4) then do ctd_underConId <- pStrInt + return () + else return () + if (ver >= 5) then do ctd_longName <- pStr + ct_primaryExchange <- pStr + return () + else return () + + if (ver >= 6) then do ctd_contractMonth <- pStr + ctd_industry <- pStr + ctd_category <- pStr + ctd_subcategory <- pStr + ctd_timeZoneId <- pStr + ctd_tradingHours <- pStr + ctd_liquidHours <- pStr + return () + else return () + + if (ver >= 8) then do ctd_evRule <- pStr + ctd_evMultiplier <- pStrDouble + return () + else return () + + if (ver >= 7) then do ctd_secIdList <- pTagValueCons + return () + else return () + + let ctd_summary = Contract { ct_symbol + , ct_secType + , ct_expiry + , ct_primaryExchange + , ct_strike + , ct_right + , ct_multiplier + , ct_exchange + , ct_currency + , ct_localSymbol + } + + ctd = ContractDetails { ctd_summary + , ctd_marketName + , ctd_minTick + , ctd_orderTypes + , ctd_validExchanges + , ctd_priceMagnifier + , ctd_underConId + , ctd_longName + , ctd_contractMonth + , ctd_industry + , ctd_category + , ctd_subcategory + , ctd_timeZoneId + , ctd_tradingHours + , ctd_liquidHours + , ctd_evRule + , ctd_evMultiplier + , ctd_secIdList + } + return $ ContractData ctd +pContract :: Int -> Int -> Parser Contract +pContract _ ver = + do let ct_multiplier = "" + ct_trading_class = "" + ct_conId <- pStrInt + ct_symbol <- pStr + ct_secType <- pStr + ct_expiry <- pStr + ct_strike <- pStrDouble + ct_right <- pStr + + if (ver >= 32) + then do ct_multiplier <- pStr + return () + else return () + + ct_exchange <- pStr + ct_currency <- pStr + ct_localSymbol <- pStr + + if (ver >= 32) + then do ct_tradingClass <- pStr + return () + else return () + + return Contract { ct_conId + , ct_symbol + , ct_secType + , ct_expiry + , ct_strike + , ct_right + , ct_multiplier + , ct_exchange + , ct_currency + , ct_localSymbol + } + +pOrder :: Int -> Int -> Parser Order +pOrder serv_ver ver = + do ord_action <- pStr + ord_totalQuantity <- pStrInt + ord_orderType <- pStr + let ord_exemptCode = int32max + ord_deltaNeutralConId = int32max + ord_deltaNeutralSettlingFirm = "" + ord_deltaNeutralClearingAccount = "" + ord_deltaNeutralClearingIntent = "" + ord_deltaNeutralOpenClose = "" + ord_deltaNeutralShortSale = False + ord_deltaNeutralShortSaleSlot = int32max + ord_deltaNeutralDesignatedLocation = "" + ord_trailingPercent = dblMaximum + + if (ver < 29) + then do ord_lmtPrice <- pStrDouble + return () + else do ord_lmtPrice <- pStrDoubleMax + return () + + if (ver < 30) + then do ord_auxPrice <- pStrDouble + return () + else do ord_auxPrice <- pStrDoubleMax + return () + + ord_tif <- pStr + ord_ocaGroup <- pStr + ord_account <- pStr + ord_openClose <- pStr + ord_origin' <- pStrInt + ord_orderRef <- pStr + ord_clientId <- pStrInt + ord_permId <- pStrInt + ord_outsideRth <- pStrBool + ord_hidden <- pStrBool + ord_discretionaryAmt <- pStrDouble + ord_goodAfterTime <- pStr + ord_pStr <- pStr -- deprecated sharesAllocation Field, unused + ord_faGroup <- pStr + ord_faMethod <- pStr + ord_faPercentage <- pStr + ord_faProfile <- pStr + ord_goodTillDate <- pStr + ord_rule80A <- pStr + ord_percentOffset <- pStrDoubleMax + ord_settlingFirm <- pStr + ord_shortSaleSlot <- pStrInt + ord_designatedLocation <- pStr + + if (serv_ver == min_server_ver_sshortx_old) + then do pStrInt + return () + else if (ver >= 23) + then do ord_exemptCode <- pStrInt + return () + else return () + + ord_auctionStrategy <- pStrInt + ord_startingPrice <- pStrDoubleMax + ord_stockRefPrice <- pStrDoubleMax + ord_delta <- pStrDoubleMax + ord_stockRangeLower <- pStrDoubleMax + ord_stockRangeUpper <- pStrDoubleMax + ord_displaySize <- pStrInt + ord_blockOrder <- pStrBool + ord_sweepToFill <- pStrBool + ord_allOrNone <- pStrBool + ord_minQty <- pStrIntMax + ord_ocaType <- pStrInt + ord_eTradeOnly <- pStrBool + ord_firmQuoteOnly <- pStrBool + ord_nbboPriceCap <- pStrDoubleMax + ord_parentId <- pStrInt + ord_triggerMethod <- pStrInt + ord_volatility <- pStrDoubleMax + ord_volatilityType <- pStrInt + ord_deltaNeutralOrderType <- pStr + ord_deltaNeutralAuxPrice <- pStrDoubleMax + + if (ver >= 27 && not (null ord_deltaNeutralOrderType)) + then do ord_deltaNeutralConId <- pStrInt + ord_deltaNeutralSettlingFirm <- pStr + ord_deltaNeutralClearingAccount <- pStr + ord_deltaNeutralClearingIntent <- pStr + return () + else if (ver >= 31 && not (null ord_deltaNeutralOrderType)) + then do ord_deltaNeutralOpenClose <- pStr + ord_deltaNetralShortSale <- pStrBool + ord_deltaNeutralShortSaleSlot <- pStrInt + ord_deltaNeutralDesignatedLocation <- pStr + return () + else return () + + ord_continuousUpdate <- pStrBool + ord_referencePriceType <- pStrInt + ord_trailStopPrice <- pStrDoubleMax + + if (ver >= 30) + then do ord_trailingPercent <- pStrDoubleMax + return () + else return () + + ord_basisPoints <- pStrDoubleMax + ord_basisPointsType <- pStrIntMax + let ord_origin = toEnum ord_origin' + + return Order { ord_action + , ord_totalQuantity + , ord_orderType + , ord_tif + , ord_ocaGroup + , ord_account + , ord_openClose + , ord_origin + , ord_orderRef + , ord_clientId + , ord_permId + , ord_outsideRth + , ord_hidden + , ord_discretionaryAmt + , ord_goodAfterTime + , ord_faGroup + , ord_faMethod + , ord_faPercentage + , ord_faProfile + , ord_goodTillDate + , ord_rule80A + , ord_percentOffset + , ord_settlingFirm + , ord_shortSaleSlot + , ord_designatedLocation + , ord_exemptCode + , ord_auctionStrategy + , ord_startingPrice + , ord_stockRefPrice + , ord_delta + , ord_stockRangeLower + , ord_stockRangeUpper + , ord_displaySize + , ord_blockOrder + , ord_sweepToFill + , ord_allOrNone + , ord_minQty + , ord_ocaType + , ord_eTradeOnly + , ord_firmQuoteOnly + , ord_nbboPriceCap + , ord_parentId + , ord_triggerMethod + , ord_volatility + , ord_volatilityType + , ord_deltaNeutralOrderType + , ord_deltaNeutralAuxPrice + , ord_deltaNeutralConId + , ord_deltaNeutralSettlingFirm + , ord_deltaNeutralClearingAccount + , ord_deltaNeutralClearingIntent + , ord_deltaNeutralOpenClose + , ord_deltaNeutralShortSale + , ord_deltaNeutralShortSaleSlot + , ord_deltaNeutralDesignatedLocation + , ord_continuousUpdate + , ord_referencePriceType + , ord_trailStopPrice + , ord_trailingPercent + , ord_basisPoints + , ord_basisPointsType + } + + +pOrderStatus :: Int -> Int -> Parser IBMessage +pOrderStatus _ _ = OrderStatus <$> + pStrInt + <*> pStr + <*> pStrInt + <*> pStrInt + <*> pStrDouble + <*> pStrInt + <*> pStrInt + <*> pStrDouble + <*> pStrInt + <*> pStr + "Order Status" + +pErr :: Int -> Int -> Parser IBMessage +pErr _ _ = Err <$> pStrInt <*> pStr "Err Msg" + +pComboLeg :: Parser ComboLeg +pComboLeg = ComboLeg <$> + pStrInt + <*> pStrInt + <*> pStr + <*> pStr + <*> pStrInt + <*> pStrInt + <*> pStr + <*> pStrInt + "Combo Leg" + +pTagValueCons :: Parser [TagValue] +pTagValueCons = + do listCount <- pStrInt + if (listCount > 0) + then do tvl <- replicateM listCount pTagValue + return tvl + else do return [] + +pComboLegCons :: Int -> Int -> Parser [ComboLeg] +pComboLegCons _ ver = + if (ver >= 29) then do + comboLegsCount <- pStrInt + if (comboLegsCount > 0) + then do tvl <- replicateM comboLegsCount pComboLeg + return tvl + else return [] + else return [] + +pOrderComboLeg :: Parser OrderComboLeg +pOrderComboLeg = + do ordComboLeg <- pStrDoubleMax + return ordComboLeg + + +pBarData :: Parser BarData +pBarData = BarData <$> + pStr + <*> pStrDouble + <*> pStrDouble + <*> pStrDouble + <*> pStrDouble + <*> pStrInt + <*> pStrDouble + <*> pStr + <*> pStrInt + "Bar Data" + +pScanData :: Parser ScanData +pScanData = ScanData <$> + pStrInt + <*> plocContractDetails + <*> pStr + <*> pStr + <*> pStr + <*> pStr + "Scan Data" + where + plocContractDetails = do ct_conId <- pStrInt + ct_symbol <- pStr + ct_secType <- pStr + ct_expiry <- pStr + ct_strike <- pStrDouble + ct_right <- pStr + ct_exchange <- pStr + ct_currency <- pStr + ct_localSymbol <- pStr + ctd_marketName <- pStr + ct_tradingClass <- pStr + + let ctd_summary = Contract { ct_conId + , ct_symbol + , ct_secType + , ct_expiry + , ct_strike + , ct_right + , ct_exchange + , ct_currency + , ct_localSymbol + , ct_tradingClass + } + return ContractDetails { ctd_summary + , ctd_marketName} + +pScanDataList :: Parser [ScanData] +pScanDataList = do numberOfElements <- pStrInt + scl <- replicateM numberOfElements pScanData + return scl + +pOrderComboLegCons :: Int -> Int -> Parser [OrderComboLeg] +pOrderComboLegCons _ ver + | ver >= 29 = do orderComboLegsCount <- pStrInt + case () of + _ | orderComboLegsCount > 0 -> do ocl <- replicateM orderComboLegsCount pOrderComboLeg + return ocl + | otherwise -> return [] + | otherwise = return [] + +pBarDataCons :: Parser [BarData] +pBarDataCons = do itemCount <- pStrInt + bdl <- replicateM itemCount pBarData + return bdl + +pUnderComp' :: Parser UnderComp +pUnderComp' = UnderComp <$> pStrInt <*> pStrDouble <*> pStrDouble "UnderComp" + +pUnderComp :: Int -> Int -> Parser UnderComp +pUnderComp _ ver = + do if (ver >= 20) + then do underCompPresent <- pStrBool + let uc_conId = int32max + uc_delta = dblMaximum + uc_price = dblMaximum + + if (underCompPresent) + then do uc_conId <- pStrInt + uc_delta <- pStrDouble + uc_price <- pStrDouble + return () + else return () + + return UnderComp {uc_conId, uc_delta, uc_price} + else return UnderComp {} + +-- TODO: Convert to pattern guard case structure +pAlgoStrategy :: Int -> Int -> Parser (String,[TagValue]) +pAlgoStrategy _ ver = + do if (ver >= 21) + then do algoStrategy <- pStr + if (not (null algoStrategy)) + then do algoParamsCount <- pStrInt + if (algoParamsCount > 0) + then do agl <- replicateM algoParamsCount pTagValue + return (algoStrategy, agl) + else return (empty,[]) + return (empty,[]) + else return (empty,[] ) + else return (empty,[] ) + + +pOpenOrder :: Int -> Int -> Parser IBMessage +pOpenOrder serv_ver ver = + do let ord_smartComboRoutingParams = [] + ord_scaleSubsLevelSize = int32max + ord_hedgeType = "" + ord_hedgeParam = "" + ord_optOutSmartRouting = False + ord_notHeld = False + ord_scalePriceAdjustValue = dblMaximum + ord_scalePriceAdjustInterval = int32max + ord_scaleProfitOffset = dblMaximum + ord_scaleAutoReset = False + ord_scaleInitPosition = int32max + ord_scaleInitFillQty = int32max + ord_scaleRandomPercent = False + ord_scaleInitLevelSize = int32max + + orderId <- pStrInt + contract' <- pContract serv_ver ver + order' <- pOrder serv_ver ver + ct_comboLegsDescrip <- pStr + comboLeg <- pComboLegCons serv_ver ver + orderComboLegs <- pOrderComboLegCons serv_ver ver + + if (ver >= 26) then do ord_smartComboRoutingParams <- pTagValueCons + return () + else return () + + if (ver >= 20) + then do ord_scaleInitLevelSize <- pStrIntMax + ord_scaleSubsLevelSize <- pStrIntMax + return () + else do pStr + ord_scaleInitLevelSize <- pStrIntMax + return () + + ord_scalePriceIncrement <- pStrDoubleMax + + if (ver >= 28 && ord_scalePriceIncrement > 0.0 && ord_scalePriceIncrement /= dblMaximum) + then do ord_scalePriceAdjustValue <- pStrDoubleMax + ord_scalePriceAdjustInterval <- pStrIntMax + ord_scaleProfitOffset <- pStrDoubleMax + ord_scaleAutoReset <- pStrBool + ord_scaleInitPosition <- pStrIntMax + ord_scaleInitFillQty <- pStrIntMax + ord_scaleRandomPercent <- pStrBool + return () + else return () + + if (ver >= 24) + then do ord_hedgeType <- pStr + if (not (null ord_hedgeType)) + then do ord_hedgeParam <- pStr + return () + else return () + return () + else return () + + if (ver >= 25) then do ord_optOutSmartRouting <- pStrBool + return () + else return () + + ord_clearingAccount <- pStr + ord_clearingIntent <- pStr + + if (ver >= 22) then do notHeld <- pStrBool + return () + else return () + + ct_underComp <- pUnderComp serv_ver ver + (ord_algoStrategy, ord_algoParams) <- pAlgoStrategy serv_ver ver + ord_whatIf <- pStrBool + orderState <- pOrderState + + let order = order' { ord_whatIf + , ord_notHeld + , ord_smartComboRoutingParams + , ord_algoStrategy + , ord_algoParams + , ord_clearingAccount + , ord_clearingIntent + , ord_optOutSmartRouting + , ord_hedgeType + , ord_hedgeParam + , ord_scaleInitLevelSize + , ord_scaleSubsLevelSize + , ord_scalePriceIncrement + , ord_scalePriceAdjustValue + , ord_scalePriceAdjustInterval + , ord_scaleProfitOffset + , ord_scaleAutoReset + , ord_scaleInitPosition + , ord_scaleInitFillQty + , ord_scaleRandomPercent + } + + let contract = contract' { ct_underComp + , ct_comboLegsDescrip + } + + return OpenOrder { order + , contract + , comboLeg + , orderComboLegs + , orderState + } + +pTickOptionComputation :: Int -> Int -> Parser IBMessage +pTickOptionComputation _ ver = do + let gamma = dblMaximum + vega = dblMaximum + theta = dblMaximum + undPrice = dblMaximum + optPrice = dblMaximum + pvDividend = dblMaximum + tickerId <- pStrInt + tickType <- pStrInt + impliedVol <- dblCheckNegative <$> pStrDouble + delta <- pStrDouble + + if (ver >= 6 || tickType == fromEnum MODEL_OPTION) + then do optPrice <- dblCheckNegative <$> pStrDouble + pvDividend <- dblCheckNegative <$> pStrDouble + return () + else return () + + if (ver >= 6) + then do gamma <- dblDefaultCheck <$> pStrDouble + vega <- dblDefaultCheck <$> pStrDouble + theta <- dblDefaultCheck <$> pStrDouble + undPrice <- dblDefaultCheck <$> pStrDouble + return () + else return () + + return $ TickOptionComputation tickerId tickType impliedVol delta optPrice pvDividend gamma vega theta undPrice + +pTickGeneric :: Int -> Int -> Parser IBMessage +pTickGeneric _ _ = TickGeneric <$> + pStrInt + <*> pStrInt + <*> pStrDouble + "Tick Generic" + +pIBMsg :: Int -> Int -> Int -> Parser IBMessage +pIBMsg id sver ver = case idToMsg id of + TickPrice {} -> pTickPrice sver ver + TickSize {} -> pTickSize sver ver + TickOptionComputation {} -> pTickOptionComputation sver ver + TickGeneric {} -> pTickGeneric sver ver + TickString {} -> pTickString sver ver + TickEFP {} -> pTickEFP sver ver + OrderStatus {} -> pOrderStatus sver ver + Err {} -> pErr sver ver + OpenOrder {} -> pOpenOrder sver ver + AcctValue {} -> pAcctValue sver ver + PortfolioValue {} -> pPortfolioValue sver ver + AcctUpdateTime {} -> pAcctUpdateTime sver ver + NextValidId {} -> pNextValidId sver ver + ContractData {} -> pContractData sver ver + BondContractData {} -> pBondContractData sver ver + ExecutionData {} -> pExecutionData sver ver + MarketDepth {} -> pMarketDepth sver ver + MarketDepthL2 {} -> pMarketDepthL2 sver ver + NewsBulletins {} -> pNewsBulletins sver ver + ManagedAccts {} -> pManagedAccts sver ver + ReceiveFA {} -> pReceiveFA sver ver + HistoricalData {} -> pHistoricalData sver ver + ScannerData {} -> pScannerData sver ver + ScannerParameters {} -> pScannerParameters sver ver + CurrentTime {} -> pCurrentTime sver ver + RealTimeBars {} -> pRealTimeBars sver ver + FundamentalData {} -> pFundamentalData sver ver + ContractDataEnd {} -> pContractDataEnd sver ver + OpenOrderEnd {} -> pOpenOrderEnd sver ver + AcctDownloadEnd {} -> pAcctDownloadEnd sver ver + ExecutionDataEnd {} -> pExecutionDataEnd sver ver + DeltaNeutralValidation {} -> pDeltaNeutralValidation sver ver + TickSnapshotEnd {} -> pTickSnapshotEnd sver ver + MarketDataType {} -> pMarketDataType sver ver + CommissionReport {} -> pCommissionReport sver ver + PositionData {} -> pPositionData sver ver + PositionEnd {} -> pPositionEnd sver ver + AccountSummary {} -> pAccountSummary sver ver + AccountSummaryEnd {} -> pAccountSummaryEnd sver ver + VerifyMessageAPI {} -> pVerifyMessageAPI sver ver + VerifyCompleted {} -> pVerifyCompleted sver ver + DisplayGroupList {} -> pDisplayGroupList sver ver + DisplayGroupUpdated {} -> pDisplayGroupUpdated sver ver + _ -> return IBUnknown diff --git a/src/IB/Client/Request.hs b/src/IB/Client/Request.hs new file mode 100644 --- /dev/null +++ b/src/IB/Client/Request.hs @@ -0,0 +1,601 @@ +{-# LANGUAGE NamedFieldPuns #-} + +module IB.Client.Request + ( + -- * Types + Request(..) + + -- * Functions + , request + , wFlush + , write + , show' + , debugWrite + ) where + +import Control.Concurrent.MVar +import Control.Exception +import Control.Monad (when) +import Text.Printf +import qualified System.IO as S +import qualified Data.ByteString.Char8 as B +import Data.Maybe + +import IB.Client.Exception +import IB.Client.Nums +import IB.Client.Types + +data ReqHeader = + ReqHeader + { rqh_msgId :: Int + , rqh_proVer :: Int + , rqh_errId :: Int + , rqh_errMsg :: String + , rqh_minVer :: Int + , rqh_exAuth :: Bool + } + +defReqHeader = ReqHeader 1 1 no_valid_id "" undefined undefined + +(<++>) :: B.ByteString -> B.ByteString -> B.ByteString +a <++> b = a `B.append` nullch `B.append` b `B.append` nullch + +debugWrite :: IBServer -> String -> IO () +debugWrite s msg = + (when (s_debug s) $ putStrLn msg) + +write :: IBServer -> B.ByteString -> IO () +write s msg = do + debugWrite s $ "<< " ++ B.unpack msg + B.hPutStr h (msg <++> B.pack "\0") + where h = fromJust $ s_sock s + +wFlush :: IBServer -> IO () +wFlush s = S.hFlush h + where h = fromJust $ s_sock s + +show' :: Show a => a -> B.ByteString +show' = B.pack . show + +nullch :: B.ByteString +nullch = B.pack "\0" + +encodeDbl :: Double -> B.ByteString +encodeDbl val = B.pack (printf "%.2f" val) + +encodeIntMax :: Int -> B.ByteString +encodeIntMax val + | val == int32max = B.pack "" + | otherwise = show' val + +encodeDblMax :: Double -> B.ByteString +encodeDblMax val + | val == dblMaximum = B.pack "" + | otherwise = encodeDbl val + +encodeExecutionFilter :: ExecutionFilter -> B.ByteString +encodeExecutionFilter exf = (show' $ exf_clientId exf ) + <++> (B.pack $ exf_acctCode exf) + <++> (B.pack $ exf_time exf) + <++> (B.pack $ exf_symbol exf) + <++> (B.pack $ exf_secType exf) + <++> (B.pack $ exf_exchange exf) + <++> (B.pack $ exf_side exf ) + + +encodeSubscription :: ScannerSubscription -> B.ByteString +encodeSubscription subs = (encodeIntMax $ ssb_numberOfRows subs) + <++> (B.pack $ ssb_instrument subs) + <++> (B.pack $ ssb_locationCode subs) + <++> (B.pack $ ssb_scanCode subs) + <++> (encodeDblMax $ ssb_abovePrice subs) + <++> (encodeDblMax $ ssb_belowPrice subs) + <++> (encodeIntMax $ ssb_aboveVolume subs) + <++> (encodeDblMax $ ssb_marketCapAbove subs) + <++> (encodeDblMax $ ssb_marketCapBelow subs) + <++> (B.pack $ ssb_moodyRatingAbove subs) + <++> (B.pack $ ssb_moodyRatingBelow subs) + <++> (B.pack $ ssb_spRatingAbove subs) + <++> (B.pack $ ssb_spRatingBelow subs) + <++> (B.pack $ ssb_maturityDateAbove subs) + <++> (B.pack $ ssb_maturityDateBelow subs) + <++> (encodeDblMax $ ssb_couponRateAbove subs) + <++> (encodeDblMax $ ssb_couponRateBelow subs) + <++> (encodeIntMax $ ssb_excludeConvertible subs) + <++> (encodeIntMax $ ssb_averageOptionVolumeAbove subs) + <++> (B.pack $ ssb_scannerSettingPairs subs) + <++> (B.pack $ ssb_stockTypeFilter subs) + + +encodeTagValue :: TagValue -> B.ByteString +encodeTagValue tv = B.pack $ tv_tag tv ++ "=" ++ tv_value tv ++ ";" + +encodeTagValueList :: [TagValue] -> B.ByteString +encodeTagValueList tvl = B.concat $ map encodeTagValue tvl + +encodeUnderComp :: UnderComp -> B.ByteString +encodeUnderComp uc = show' 1 <++> (show' $ uc_conId uc ) + <++> (show' $ uc_price uc) + +encodeComboLeg :: ComboLeg -> B.ByteString +encodeComboLeg cl = (show' $ cl_conId cl) + <++> (show' $ cl_ratio cl ) + <++> (B.pack $ cl_action cl ) + <++> (B.pack $ cl_exchange cl) + +encodeComboLegList :: [ComboLeg] -> B.ByteString +encodeComboLegList cll = (show' $ length cll) <++> (B.concat $ map encodeComboLeg cll ) + +encodeContract :: IBServer -> Contract -> Bool -> IO B.ByteString +encodeContract s con pexch = + do let serv_ver = s_version s + bs | serv_ver >= min_server_ver_trading_class = show' $ ct_conId con + | otherwise = B.empty + out = bs <++> (B.pack $ ct_symbol con) + <++> (B.pack $ ct_secType con) + <++> (B.pack $ ct_expiry con) + <++> (show' $ ct_strike con) + <++> (B.pack $ ct_right con) + <++> (B.pack $ ct_multiplier con) + <++> (B.pack $ ct_exchange con) + out' | pexch = out <++> ( B.pack $ ct_primaryExchange con ) + | otherwise = out + out'' = out' <++> (B.pack $ ct_currency con) + <++> (B.pack $ ct_localSymbol con) + + if (serv_ver >= min_server_ver_trading_class) + then return $ out'' <++> (B.pack $ ct_tradingClass con) + else return out'' + +getHeaderCon :: IBServer -> ReqHeader -> Contract -> IO B.ByteString +getHeaderCon s rqh con = + do let hndle = s_sock s + connected = s_connected s + serv_ver = s_version s + mExtraAuth = s_extraAuth s + + case () of + _ | not connected -> throwIO $ IBExc (rqh_errId rqh) NotConnected "" + | rqh_minVer rqh /= undefined -> + if ((serv_ver < (rqh_minVer rqh)) && ((not $ null ( ct_tradingClass con)) || (ct_conId con) > 0)) + then throwIO $ IBExc (rqh_errId rqh) UpdateTWS (rqh_errMsg rqh) + else return () + + return $ (show' $ rqh_msgId rqh) <++> (show' $ rqh_proVer rqh) + +getHeader :: IBServer -> ReqHeader -> IO B.ByteString +getHeader s rqh = + do let hndle = s_sock s + connected = s_connected s + serv_ver = s_version s + mExtraAuth = s_extraAuth s + + case () of + _ | not connected -> throwIO $ IBExc (rqh_errId rqh) NotConnected "" + | rqh_minVer rqh /= undefined -> if (serv_ver < rqh_minVer rqh) then throwIO $ IBExc (rqh_errId rqh) UpdateTWS (rqh_errMsg rqh) + else return () + | rqh_exAuth rqh /= undefined -> if (not mExtraAuth) then throwIO $ IBExc (no_valid_id) UpdateTWS " Intent to authenticate needs to be expressed during initial connect request." + else return () + + return $ (show' $ rqh_msgId rqh) <++> (show' $ rqh_proVer rqh) + +request :: IBServer -> Request -> IO () + +request s inp @ (MktDataReq { }) = + do let hndle = s_sock s + connected = s_connected s + serv_ver = s_version s + mExtraAuth = s_extraAuth s + ct = mdr_contract inp + tickerId = rqp_tickerId inp + version = 11 + + case () of + _ | not connected -> throwIO $ IBExc tickerId NotConnected "" + | (serv_ver < min_server_ver_under_comp) && (ct_underComp ct /= undefined) -> throwIO $ IBExc tickerId UpdateTWS " It does not support fundamental data requests." + | (serv_ver < min_server_ver_req_mkt_data_conid) && (ct_conId ct > 0) -> throwIO $ IBExc tickerId UpdateTWS " It does not support conId parameter." + | (serv_ver < min_server_ver_trading_class) && (not $ null (ct_tradingClass ct)) -> throwIO $ IBExc tickerId UpdateTWS " It does not support tradingClass parameter in reqMktData." + | otherwise -> return () + + let bs = (show' (reqToId MktDataReq {})) + <++> (show' version) + <++> (show' tickerId) + conbs | serv_ver >= min_server_ver_req_mkt_data_conid = show' $ ct_conId ct + | otherwise = B.empty + + bs' = bs <++> conbs + <++> (B.pack $ ct_symbol ct ) + <++> (B.pack $ ct_secType ct) + <++> (B.pack $ ct_expiry ct) + <++> (show' $ ct_strike ct) + <++> (B.pack $ ct_right ct) + <++> (B.pack $ ct_multiplier ct ) + <++> (B.pack $ ct_exchange ct) + <++> (B.pack $ ct_primaryExchange ct) + <++> (B.pack $ ct_currency ct) + <++> (B.pack $ ct_localSymbol ct) + + tclass | serv_ver >= min_server_ver_trading_class = (show' $ ct_tradingClass ct ) + | otherwise = B.empty + + clist | compare (ct_secType ct) "BAG" == EQ = encodeComboLegList (ct_comboLegsList ct) + | otherwise = B.empty + ucomp | serv_ver >= min_server_ver_under_comp && ct_underComp ct /= undefined = encodeUnderComp (ct_underComp ct) + | otherwise = show' 0 + bs'' = bs' + <++> tclass + <++> clist + <++> ucomp + <++> (B.pack $ mdr_genericTicks inp ) + <++> (show' $ fromBool ( mdr_snapshot inp)) + + if (serv_ver >= min_server_ver_linking) + then write s $ bs'' <++> ( encodeTagValueList $ mdr_mktDataOptions inp) + else write s bs'' + + wFlush s + +request s rq @ (CancelMktData { rqp_tickerId = tid }) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_proVer = 2 + , rqh_errId = tid + } + write s $ hdr <++> show' tid + wFlush s + +request s rq @ (PlaceOrder { rqp_orderId = oid }) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_proVer = 2 + , rqh_errId = oid + } + write s $ hdr <++> show' oid + wFlush s +-- TODO PlaceOrder Complete + +request s rq @ (CancelOrder oid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_errId = oid + } + write s $ hdr <++> show' oid + wFlush s + +request s rq @ (OpenOrdersReq) = do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s hdr + wFlush s + +request s rq @ (AccountUpdatesReq {aur_subscribe = subscribe, aur_acctCode = acctCode}) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_proVer = 2 + } + write s $ (show' ( fromBool subscribe)) <++> B.pack acctCode + wFlush s + +request s rq @ (ExecutionsReq req_id exc_filt) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_proVer = 3 + } + let serv_ver = s_version s + reqbs | serv_ver >= min_server_ver_execution_data_chain = show' req_id + | otherwise = B.empty + + write s $ hdr <++> reqbs <++> encodeExecutionFilter exc_filt + wFlush s + +request s rq @ (IdsReq numIds) = do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq, rqh_errId = numIds } + write s $ hdr <++> show' numIds + wFlush s +--TODO +--request s rq @ (ContractDetailsReq req_id contract) = + +request s rq @ (MktDepthReq { rqp_tickerId = tid + , mkr_contract = con + , mkr_numRows = numRows + , mkr_mktDepthOptions = mkDepthOpts + }) = + do let serv_ver = s_version s + + hdr <- getHeaderCon s defReqHeader { rqh_msgId = reqToId rq + , rqh_proVer = 5 + , rqh_minVer = min_server_ver_trading_class + , rqh_errId = tid + , rqh_errMsg = " It does not support conId and tradingClass parameters in reqMktDepth." + } con + con' <- encodeContract s con False + + write s $ hdr <++> (show' tid) <++> con' <++> (show' numRows) + + if (serv_ver >= min_server_ver_linking) + then write s $ encodeTagValueList mkDepthOpts + else return () + + wFlush s + +request s rq @ (CancelMktDepth tid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq, + rqh_errId = tid} + write s $ hdr <++> show' tid + wFlush s + +request s rq @ (NewsBulletinsReq allMsgs) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq} + write s $ hdr <++> show' ( fromBool allMsgs) + wFlush s + +request s rq @ (CancelNewsBulletins) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s hdr + +request s rq @ (SetServerLogLevel llvl) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s $ hdr <++> show' llvl + wFlush s + +request s rq @ (AutoOpenOrdersReq autoBind) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s $ hdr <++> show' (fromBool autoBind) + wFlush s + +request s rq @ (AllOpenOrdersReq) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s hdr + wFlush s + +request s rq @ (ManagedAcctsReq) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s hdr + wFlush s + +request s rq @ (FAReq fad) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq} + write s $ hdr <++> show' ( fromEnum' fad) + +request s rq @ (FAReplaceReq fad cxml) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq} + write s $ hdr <++> show' (fromEnum' fad) <++> B.pack cxml + wFlush s + +request s rq @ (HistoricalDataReq {rqp_tickerId = tid + , hdr_contract = con + , hdr_endDataTime = edt + , hdr_durationStr = durStr + , hdr_whatToShow = whatToShow + , hdr_formatDate = formatDate + , hdr_chartOptions = chartOptions + , hdr_useRTH = useRTH + , hdr_barSizeSetting = barSizeSetting + }) = + do let serv_ver = s_version s + hdr <- getHeaderCon s defReqHeader { rqh_msgId = reqToId rq + , rqh_proVer = 6 + , rqh_errId = tid + , rqh_minVer = min_server_ver_trading_class + , rqh_errMsg = " It does not support conId and tradingClass parameters in reqHistoricalData." + } con + con' <- encodeContract s con True + + write s $ (hdr <++> show' tid) + <++> con' + <++> (show' $ fromBool $ ct_includeExpired con ) + <++> (B.pack edt) + <++> (B.pack barSizeSetting) + <++> (B.pack durStr) + <++> (show' useRTH) + <++> (B.pack whatToShow) + <++> (show' formatDate) + + if (compare (ct_secType con) "BAG" == EQ) + then write s $ encodeComboLegList (ct_comboLegsList con) + else return () + + if (serv_ver >= min_server_ver_linking) + then write s $ encodeTagValueList chartOptions + else return () + + wFlush s + +request s rq @ (ExerciseOptionsReq { rqp_tickerId = tid + , eor_contract = con + , eor_exerciseAction = exerciseAction + , eor_exerciseQuantity = exerciseQty + , eor_account = account + , eor_override = override + }) = + do let serv_ver = s_version s + hdr <- getHeaderCon s defReqHeader { rqh_msgId = reqToId rq + , rqh_proVer = 2 + , rqh_errId = tid + , rqh_minVer = min_server_ver_trading_class + , rqh_errMsg = " It does not support conId and tradingClass parameters in reqHistoricalData." + } con + con' <- encodeContract s con False + + write s $ hdr <++> show' tid + <++> con' + <++> (show' exerciseAction) + <++> (show' exerciseQty) + <++> (B.pack account) + <++> (show' override ) + wFlush s + +request s rq @ (ScannerSubscriptionReq { rqp_tickerId = tid + , ssr_subscription = subs + , ssr_subscriptionOptions = subsOpts + }) = + do let serv_ver = s_version s + hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_proVer = 4 + , rqh_errId = tid + } + write s $ show' tid <++> encodeSubscription subs + + if (serv_ver >= min_server_ver_linking) + then write s $ encodeTagValueList subsOpts + else return () + + wFlush s + +request s rq @ (CancelScannerSubscription tid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_errId = tid + } + write s $ hdr <++> show' tid + wFlush s + +-- TODO: verify correctness +request s rq @ (ScannerParametersReq) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s $ hdr + wFlush s + +request s rq @ (CancelHistoricalData tid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_errId = tid + } + write s $ hdr <++> show' tid + wFlush s + + + +request s rq @ (CurrentTimeReq) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s hdr + wFlush s + +-- TODO needs dev +-- +request s rq @ (RealTimeBarsReq {}) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s hdr + wFlush s + +request s rq @ (CancelRealTimeBars tid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_errId = tid } + write s $ hdr <++> show' tid + wFlush s + + +request s rq @ (CancelFundamentalData tid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_errId = tid + , rqh_minVer = min_server_ver_fundamental_data + , rqh_errMsg = " It does not support fundamental data requests." + } + write s $ hdr <++> show' tid + wFlush s + +--TODO +--request s rq @ (CalcOptionPriceReq {}) = + +request s rq @ (CancelCalcImpliedVolatility tid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_errId = tid + , rqh_minVer = min_server_ver_cancel_calc_implied_volat + , rqh_errMsg = " It does not support calculate implied volatility cancellation." + } + write s $ hdr <++> show' tid + wFlush s + +request s rq @ (CancelCalcOptionPrice tid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_errId = tid + , rqh_minVer = min_server_ver_cancel_calc_option_price + , rqh_errMsg = " It does not support calculate option price cancellation." + } + write s $ hdr <++> show' tid + wFlush s + +request s rq @ (GlobalCancelReq) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_errMsg = " It does not support globalCancel requests." + , rqh_minVer = min_server_ver_req_global_cancel + } + write s $ hdr + wFlush s + +request s rq @ (MarketDataTypeReq tid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq} + write s $ hdr <++> show' tid + wFlush s + + +request s rq @ (PositionsReq) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq} + write s $ hdr + wFlush s +--TODO +--request s rq @ (AccountSummaryReq {}) = + +request s rq @ (CancelAccountSummary req_id) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_minVer = min_server_ver_account_summary + , rqh_errMsg = " It does not support account summary cancellation." + } + write s $ hdr + wFlush s + +request s rq @ (CancelPositions) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_errMsg = " It does not support positions cancellation." + , rqh_minVer = min_server_ver_positions + } + write s $ hdr + wFlush s + + +request s rq @ (VerifyReq apiName apiVersion) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_minVer = min_server_ver_linking + , rqh_errMsg = " It does not support verification message sending." + , rqh_exAuth = True + } + write s $ hdr <++> B.pack apiName <++> B.pack apiVersion + wFlush s + +request s rq @ (VerifyMessage apiData) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_minVer = min_server_ver_linking + , rqh_errMsg = " It does not support verification message sending." + } + write s $ hdr <++> B.pack apiData + wFlush s + +request s rq @ (QueryDisplayGroups rid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_minVer = min_server_ver_linking + , rqh_errMsg = " It does not support queryDisplayGroups request." + } + write s $ hdr <++> show' rid + wFlush s + +request s rq @ (SubscribeToGroupEvents reqId gid) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_minVer = min_server_ver_linking + , rqh_errMsg = " It does not support subscribeToGroupEvents request." + } + write s $ hdr <++> show' reqId + <++> show' gid + wFlush s + +request s rq @ (UpdateDisplayGroup reqId contractInfo) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_minVer = min_server_ver_linking + , rqh_errMsg = " It does not support updateDisplayGroup request." + } + write s $ show' reqId + <++> B.pack contractInfo + wFlush s + +request s rq @ (UnsubscribeFromGroupEvents reqId) = + do hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq + , rqh_minVer = min_server_ver_linking + , rqh_errMsg = " It does not support unsubscribeFromGroupEvents request." + } + write s $ hdr <++> show' reqId + wFlush s + +request s rq @ (StartApi) = + do let clientId = s_clientId s + hdr <- getHeader s defReqHeader { rqh_msgId = reqToId rq } + write s $ hdr <++> show' clientId + wFlush s diff --git a/src/IB/Client/Types.hs b/src/IB/Client/Types.hs new file mode 100644 --- /dev/null +++ b/src/IB/Client/Types.hs @@ -0,0 +1,824 @@ +{-# LANGUAGE NamedFieldPuns #-} +{-# LANGUAGE BangPatterns #-} +{-# LANGUAGE DeriveDataTypeable #-} + +module IB.Client.Types where + +import Control.Concurrent +import Control.Concurrent.MVar +import Data.Int +import System.IO +import Data.Data + +data Request = + MktDataReq + { rqp_tickerId :: TickerId + , mdr_contract :: Contract + , mdr_genericTicks :: String + , mdr_snapshot :: Bool + , mdr_mktDataOptions :: [TagValue] + } + | CancelMktData { rqp_tickerId :: TickerId } + | PlaceOrder + { rqp_orderId :: OrderId + , por_contract :: Contract + , por_order :: Order + } + | CancelOrder { rqp_orderId :: OrderId } + | OpenOrdersReq + | AccountUpdatesReq { aur_subscribe :: Bool, aur_acctCode :: String } + | ExecutionsReq + { rqp_reqId :: ReqId + , exe_filter :: ExecutionFilter + } + | IdsReq Int + | ContractDetailsReq + { rqp_reqId :: ReqId + , cdr_contract :: Contract + } + | MktDepthReq + { rqp_tickerId :: TickerId + , mkr_contract :: Contract + , mkr_numRows :: Int + , mkr_mktDepthOptions :: [TagValue] + } + | CancelMktDepth TickerId + | NewsBulletinsReq Bool + | CancelNewsBulletins + | SetServerLogLevel Int + | AutoOpenOrdersReq Bool + | AllOpenOrdersReq + | ManagedAcctsReq + | FAReq FaDataType + | FAReplaceReq + { far_pFaDataType :: FaDataType + , far_cxml :: String + } + | HistoricalDataReq + { rqp_tickerId :: TickerId + , hdr_contract :: Contract + , hdr_endDataTime :: String + , hdr_durationStr :: String + , hdr_barSizeSetting :: String + , hdr_whatToShow :: String + , hdr_useRTH :: Int + , hdr_formatDate :: Int + , hdr_chartOptions :: [TagValue] + } + | ExerciseOptionsReq + { rqp_tickerId :: TickerId + , eor_contract :: Contract + , eor_exerciseAction :: Int + , eor_exerciseQuantity :: Int + , eor_account :: String + , eor_override :: Int + } + | ScannerSubscriptionReq + { rqp_tickerId :: TickerId + , ssr_subscription :: ScannerSubscription + , ssr_subscriptionOptions :: [TagValue] + } + | CancelScannerSubscription TickerId + | ScannerParametersReq + | CancelHistoricalData TickerId + | CurrentTimeReq + | RealTimeBarsReq + { rqp_tickerId :: TickerId + , rtb_contract :: Contract + , rtb_barSize :: Int + , rtb_whatToShow :: String + , rtb_useRTH :: Bool + , rtb_realTimeBarsOptions :: [TagValue] + } + | CancelRealTimeBars TickerId + | FundamentalDataReq + { rqp_reqId :: TickerId + , fdr_contract :: Contract + , fdr_reportType :: String + } + | CancelFundamentalData TickerId + | ImpliedVolatilityReq + { rqp_tickerId :: TickerId + , ivr_contract :: Contract + , ivr_optionPrice :: Double + , ivr_underPrice :: Double + } + | CalcOptionPriceReq + { rqp_tickerId :: TickerId + , opr_contract :: Contract + , opr_volatility :: Double + , opr_underPrice :: Double + } + | CancelCalcImpliedVolatility TickerId + | CancelCalcOptionPrice TickerId + | GlobalCancelReq + | MarketDataTypeReq TickerId + | PositionsReq + | AccountSummaryReq + { rqp_reqId :: ReqId + , asr_groupName :: String + , asr_tags :: String + } + | CancelAccountSummary ReqId + | CancelPositions + | VerifyReq + { vr_apiName :: String + , vr_apiVer :: String + } + | VerifyMessage String + | QueryDisplayGroups ReqId + | SubscribeToGroupEvents ReqId GroupId + | UpdateDisplayGroup + { rqp_reqId :: Int + , udg_contractInfo :: String + } + | UnsubscribeFromGroupEvents ReqId + | StartApi + deriving (Typeable, Data) + +data IBMessage + = TickPrice + { tickerId :: Int + , tickType :: Int + , price :: Double + , size :: Int + , canAutoExecute :: Int + } + | TickSize + { tickerId :: Int + , tickType :: Int + , price :: Double + , size :: Int + } + | OrderStatus + { orderId :: Int + , status :: String + , filled :: Int + , remaining :: Int + , avgFillPrice :: Double + , permId :: Int + , parentId :: Int + , lastFillPrice :: Double + , clientId :: Int + , whyHeld :: String + } + | Err + { errorCode :: Int + , errorMsg :: String + } + | OpenOrder + { order :: Order + , contract :: Contract + , comboLeg :: [ComboLeg] + , orderComboLegs :: [OrderComboLeg] + , orderState :: OrderState + } + | AcctValue + { key :: String + , val :: String + , cur :: String + , accountName :: String + } + | PortfolioValue + { contract :: Contract + , position :: Int + , marketPrice :: Double + , marketValue :: Double + , averageCost :: Double + , unrealizedPNL :: Double + , realizedPNL :: Double + , accountName :: String + } + | AcctUpdateTime String + | NextValidId Int + | ContractData ContractDetails + | ExecutionData + { reqId :: Int + , orderId :: Int + , contract :: Contract + , exec :: Execution + } + | MarketDepth + { id :: Int + , position :: Int + , operation :: Int + , side :: Int + , price :: Double + , size :: Int + } + | MarketDepthL2 + { id :: Int + , position :: Int + , marketMaker :: String + , operation :: Int + , side :: Int + , price :: Double + , size :: Int + } + | NewsBulletins + { msgId :: Int + , msgType :: Int + , newsMessage :: String + , originatingExch :: String + } + | ManagedAccts String + | ReceiveFA + { faDataTypeInt :: Int + , cxml :: String + } + | HistoricalData + { reqId :: Int + , startDateStr :: String + , endDateStr :: String + , barDataList :: [BarData] + } + | BondContractData ContractDetails + | ScannerParameters String + | ScannerData + { tickerId :: Int + , scannerDataList :: [ScanData] + } + | TickOptionComputation + { tickerId :: Int + , tickType :: Int + , impliedVol :: Double + , delta :: Double + , optPrice :: Double + , pvDividend :: Double + , gamma :: Double + , vega :: Double + , theta :: Double + , undPrice :: Double + } + | TickGeneric + { tickerId :: Int + , tickType :: Int + , tg_value :: Double + } + | TickString + { tickerId :: Int + , tickType :: Int + , ts_value :: String + } + | TickEFP + { tickerId :: Int + , tickType :: Int + , basisPoints :: Double + , formattedBasisPoints :: String + , impliedFuturesPrice :: Double + , holdDays :: Int + , futureExpiry :: String + , dividendImpact :: Double + , dividendsToExpiry :: Double + } + | CurrentTime Int + | RealTimeBars + { reqId :: Int + , time :: Int + , open :: Double + , high :: Double + , low :: Double + , close :: Double + , volume :: Int + , average :: Double + , count :: Int + } + | FundamentalData + { reqId :: Int + , fdata :: String + } + | ContractDataEnd ReqId + | OpenOrderEnd + | AcctDownloadEnd String + | ExecutionDataEnd ReqId + | DeltaNeutralValidation + { reqId :: Int + , underComp :: UnderComp + } + | TickSnapshotEnd ReqId + | MarketDataType + { reqId :: Int + , marketDataType :: Int + } + | CommissionReport + { execId :: String + , commission :: Double + , currency :: String + , realizedPNL :: Double + , yield :: Double + , yieldRedemptionDate :: Int + } + | PositionData + { account :: String + , contract :: Contract + , position :: Int + , avgCost :: Double + } + | PositionEnd + | AccountSummary + { reqId :: Int + , account :: String + , tag :: String + , value :: String + , currency :: String + } + | AccountSummaryEnd ReqId + | VerifyMessageAPI String + | VerifyCompleted + { isSuccessful :: String + , errorText :: String + } + | DisplayGroupList + { reqId :: Int + , groups :: String + } + | DisplayGroupUpdated + { reqId :: Int + , contractInfo :: String + } + | IBUnknown + deriving (Typeable, Data) + +data RecvMsg = + RecvMsg + { rc_msgId :: Int + , rc_version :: Int + , rc_msgBody :: IBMessage + } + +type ReqId = Int +type OrderComboLeg = Double +type TickerId = Int +type OrderId = Int +type GroupId = Int +type MIB = MVar IBServer + +type HandlerFunc = (MIB -> IBMessage -> IO ()) + +data IBServer = + IBServer + { s_addr :: String + , s_port :: Int + , s_clientId :: Int + , s_extraAuth :: Bool + , s_version :: Int + , s_connected :: Bool + , s_twsTime :: Int + , s_debug :: Bool + , s_sock :: Maybe Handle + , s_msgThread :: Maybe ThreadId + , s_timeoutInterval :: Int + , s_handler :: HandlerFunc + } + +data TickType = BID_SIZE | + BID | + ASK | + ASK_SIZE | + LAST | + LAST_SIZE| + HIGH | + LOW | + VOLUME | + CLOSE | + BID_OPTION_COMPUTATION | + ASK_OPTION_COMPUTATION | + LAST_OPTION_COMPUTATION| + MODEL_OPTION | + OPEN | + LOW_13_WEEK | + HIGH_13_WEEK | + LOW_26_WEEK | + HIGH_26_WEEK | + LOW_52_WEEK | + HIGH_52_WEEK | + AVG_VOLUME | + OPEN_INTEREST | + OPTION_HISTORICAL_VOL | + OPTION_IMPLIED_VOL | + OPTION_BID_EXCH | + OPTION_ASK_EXCH | + OPTION_CALL_OPEN_INTEREST | + OPTION_PUT_OPEN_INTEREST | + OPTION_CALL_VOLUME | + OPTION_PUT_VOLUME | + INDEX_FUTURE_PREMIUM | + BID_EXCH | + ASK_EXCH | + AUCTION_VOLUME | + AUCTION_PRICE | + AUCTION_IMBALANCE | + MARK_PRICE | + BID_EFP_COMPUTATION | + ASK_EFP_COMPUTATION | + LAST_EFP_COMPUTATION | + OPEN_EFP_COMPUTATION | + HIGH_EFP_COMPUTATION | + LOW_EFP_COMPUTATION | + CLOSE_EFP_COMPUTATION | + LAST_TIMESTAMP | + SHORTABLE | + FUNDAMENTAL_RATIOS | + RT_VOLUME | + HALTED | + BID_YIELD | + ASK_YIELD | + LAST_YIELD | + CUST_OPTION_COMPUTATION | + TRADE_COUNT | + TRADE_RATE | + VOLUME_RATE | + LAST_RTH_TRADE | + NOT_SET + deriving (Show, Read, Eq, Enum) + +data FaDataType = + GROUPS | + PROFILES | + ALIASES + deriving (Data, Typeable, Show, Read, Eq, Enum) + +data Origin = + CUSTOMER | + FIRM | + UNKNOWN + deriving (Data, Typeable, Show, Eq, Read, Enum) + +data NewsBulletin = + NEWS_MSG | EXCHANGE_AVAIL_MSG | EXCHANGE_UNAVAIL_MSG + deriving (Show, Read, Enum) + + +dblMaximum = encodeFloat 1 $ snd $ floatRange (0.0::Double) + +int32max :: Int +int32max = fromIntegral (maxBound :: Int32) :: Int +int32min :: Int +int32min = fromIntegral (minBound :: Int32) :: Int + +dblCheckNegative :: Double -> Double +dblCheckNegative inp + | inp < 0 = dblMaximum + | otherwise = inp + +dblDefaultCheck :: Double -> Double +dblDefaultCheck inp = dblBoundsCheck 1.0 (-1.0) inp + +dblBoundsCheck :: Double -> Double -> Double -> Double +dblBoundsCheck upperBounds lowerBounds inp + | inp > upperBounds || inp < lowerBounds = dblMaximum + | otherwise = inp + +fromEnum' :: Enum a => a -> Int +fromEnum' a = (fromEnum a) +1 + +fromBool :: Num a => Bool -> a +fromBool False = 0 +fromBool True = 1 + +isPrice :: TickType -> Bool +isPrice x = (x == BID) || (x == ASK) || (x == LAST) + +conToId :: Data a => a -> Int +conToId = constrIndex . toConstr + +msgToId :: IBMessage -> Int +msgToId = conToId + +reqToId :: Request -> Int +reqToId = conToId + +idToMsg :: Int -> IBMessage +idToMsg = fromConstr . indexConstr (dataTypeOf IBUnknown) + +data Preamble = + Preamble + { pre_serverVersion :: Int + , pre_twsTime :: Int + } + +data Execution = + Execution + { ex_execId :: String + , ex_time :: String + , ex_acctNumber :: String + , ex_exchange :: String + , ex_side :: String + , ex_shares :: Int + , ex_price :: Double + , ex_permId :: Int + , ex_clientId :: Int + , ex_liquidation :: Int + , ex_orderId :: Int + , ex_cumQty :: Int + , ex_avgPrice :: Double + , ex_orderRef :: String + , ex_evRule :: String + , ex_evMultiplier :: Double + } deriving (Data, Typeable) + +data ExecutionFilter = + ExecutionFilter + { exf_clientId :: Int + , exf_acctCode :: String + , exf_time :: String + , exf_symbol :: String + , exf_secType :: String + , exf_exchange :: String + , exf_side :: String + } deriving (Data, Typeable) + +data BarData = + BarData + { bar_date :: String + , bar_open :: Double + , bar_high :: Double + , bar_low :: Double + , bar_close :: Double + , bar_volume :: Int + , bar_average :: Double + , bar_hasGaps :: String + , bar_barCount :: Int + } deriving (Typeable, Data) + +data ScanData = + ScanData + { sd_rank :: Int + , sd_contract :: ContractDetails + , sd_distance :: String + , sd_benchmark :: String + , sd_projection :: String + , sd_legsStr :: String + } deriving (Typeable, Data) + +data OrderState = + OrderState + { os_status :: String + , os_initMargin :: String + , os_maintMargin :: String + , os_equityWithLoan :: String + , os_commission :: Double + , os_minCommission :: Double + , os_maxCommission :: Double + , os_commissionCurrency :: String + , os_warningText :: String + } deriving (Typeable, Data) + +data TagValue = + TagValue + { tv_tag :: String + , tv_value :: String + } deriving (Typeable, Data) + + +data ScannerSubscription = + ScannerSubscription + { ssb_numberOfRows :: Int + , ssb_instrument :: String + , ssb_locationCode :: String + , ssb_scanCode :: String + , ssb_abovePrice :: Double + , ssb_belowPrice :: Double + , ssb_aboveVolume :: Int + , ssb_marketCapAbove :: Double + , ssb_marketCapBelow :: Double + , ssb_moodyRatingAbove :: String + , ssb_moodyRatingBelow :: String + , ssb_spRatingAbove :: String + , ssb_spRatingBelow :: String + , ssb_maturityDateAbove :: String + , ssb_maturityDateBelow :: String + , ssb_couponRateAbove :: Double + , ssb_couponRateBelow :: Double + , ssb_excludeConvertible :: Int + , ssb_averageOptionVolumeAbove :: Int + , ssb_scannerSettingPairs :: String + , ssb_stockTypeFilter :: String + } deriving (Data, Typeable) + +defScannerSubscription = ScannerSubscription { ssb_numberOfRows = -1 + , ssb_instrument = "" + , ssb_locationCode = "" + , ssb_scanCode = "" + , ssb_abovePrice = dblMaximum + , ssb_belowPrice = dblMaximum + , ssb_aboveVolume = int32max + , ssb_marketCapAbove = dblMaximum + , ssb_marketCapBelow = dblMaximum + , ssb_moodyRatingAbove = "" + , ssb_moodyRatingBelow = "" + , ssb_spRatingAbove = "" + , ssb_spRatingBelow = "" + , ssb_maturityDateAbove = "" + , ssb_maturityDateBelow = "" + , ssb_couponRateAbove = dblMaximum + , ssb_couponRateBelow = dblMaximum + , ssb_excludeConvertible = 0 + , ssb_averageOptionVolumeAbove = 0 + , ssb_scannerSettingPairs = "" + , ssb_stockTypeFilter = "" + } +data ComboLeg = + ComboLeg + { cl_conId :: Int + , cl_ratio :: Int + , cl_action :: String --BUY/SELL/SSHORT + , cl_exchange :: String + , cl_openClose :: Int -- LegOpenClose enum values + , cl_shortSaleSlot :: Int -- 1 = clearing broker, 2 = third party + , cl_designatedLocation :: String + , cl_exemptCode :: Int + } deriving (Typeable, Data) + +data UnderComp = + UnderComp + { uc_conId :: Int + , uc_delta :: Double + , uc_price :: Double + } deriving (Typeable, Data, Eq) + +data Contract = + Contract + { ct_conId :: Int + , ct_symbol :: String + , ct_secType :: String + , ct_expiry :: String + , ct_strike :: Double + , ct_right :: String + , ct_multiplier :: String + , ct_exchange :: String + , ct_primaryExchange :: String -- pick an actual (ie non-aggregate) exchange that the contract trades on. DO NOT SET TO SMART. + , ct_currency :: String + , ct_localSymbol :: String + , ct_tradingClass :: String + , ct_includeExpired :: Bool + , ct_secIdType :: String -- CUSIPSEDOLISINRIC + , ct_secId :: String + + -- COMBOS + , ct_comboLegsDescrip :: String -- received in open order 14 and up for all combos + , ct_comboLegsList :: [ComboLeg] + -- combo legs + --typedef std::vector ComboLegList + --typedef shared_ptr ComboLegListSPtr + + --ComboLegListSPtr comboLegs + + -- delta neutral + , ct_underComp :: UnderComp + } deriving (Typeable, Data) + +data ContractDetails = + ContractDetails + { ctd_summary :: Contract + , ctd_marketName :: String + , ctd_minTick :: Double + , ctd_orderTypes :: String + , ctd_validExchanges :: String + , ctd_priceMagnifier :: Int + , ctd_underConId :: Int + , ctd_longName :: String + , ctd_contractMonth :: String + , ctd_industry :: String + , ctd_category :: String + , ctd_subcategory :: String + , ctd_timeZoneId :: String + , ctd_tradingHours :: String + , ctd_liquidHours :: String + , ctd_evRule :: String + , ctd_evMultiplier :: Double + , ctd_secIdList :: [TagValue] + --BOND values + , ctd_cusip :: String + , ctd_ratings :: String + , ctd_descAppend :: String + , ctd_bondType :: String + , ctd_couponType :: String + , ctd_callable :: Bool + , ctd_putable :: Bool + , ctd_coupon :: Double + , ctd_convertible :: Bool + , ctd_maturity :: String + , ctd_issueDate :: String + , ctd_nextOptionDate :: String + , ctd_nextOptionType :: String + , ctd_nextOptionPartial :: Bool + , ctd_notes :: String + } deriving (Data, Typeable) + +data Order = + Order + { ord_orderId :: Int + , ord_clientId :: Int + , ord_permId :: Int + + , ord_action :: String + , ord_totalQuantity :: Int + , ord_orderType :: String + , ord_lmtPrice :: Double + , ord_auxPrice :: Double + + , ord_tif :: String -- "Time in Force" - DAY, GTC, etc. + , ord_activeStartTime :: String -- for GTC orders + , ord_activeStopTime :: String -- for GTC orders + , ord_ocaGroup :: String -- one cancels all group name + , ord_ocaType :: Int -- 1 = CANCEL_WITH_BLOCK, 2 = REDUCE_WITH_BLOCK, 3 = REDUCE_NON_BLOCK + , ord_orderRef :: String -- order reference + , ord_transmit :: Bool -- if false, order will be created but not transmited + , ord_parentId :: Int -- Parent order Id, to associate Auto STP or TRAIL orders with the original order. + , ord_blockOrder :: Bool + , ord_sweepToFill :: Bool + , ord_displaySize :: Int + , ord_triggerMethod :: Int -- 0=Default, 1=Double_Bid_Ask, 2=Last, 3=Double_Last, 4=Bid_Ask, 7=Last_or_Bid_Ask, 8=Mid-po:: Int + , ord_outsideRth :: Bool + , ord_hidden :: Bool + , ord_goodAfterTime :: String -- Format: 20060505 08:00:00 {time zone} + , ord_goodTillDate :: String -- Format: 20060505 08:00:00 {time zone} + , ord_rule80A :: String -- Individual = 'I', Agency = 'A', AgentOtherMember = 'W', IndividualPTIA = 'J', AgencyPTIA = 'U', AgentOtherMemberPTIA = 'M', IndividualPT = 'K', AgencyPT = 'Y', AgentOtherMemberPT = 'N' + , ord_allOrNone :: Bool + , ord_minQty :: Int + , ord_percentOffset :: Double -- REL orders only + , ord_overridePercentageConstraints :: Bool + , ord_trailStopPrice :: Double -- TRAILLIMIT orders only + , ord_trailingPercent :: Double + -- financial advisors only + , ord_faGroup :: String + , ord_faProfile :: String + , ord_faMethod :: String + , ord_faPercentage :: String + -- institutional (ie non-cleared) only + , ord_openClose :: String -- O=Open, C=Close + , ord_origin :: Origin -- 0=Customer, 1=Firm + , ord_shortSaleSlot :: Int -- 1 if you hold the shares, 2 if they will be delivered from elsewhere. Only for Action="SSHORT + , ord_designatedLocation :: String -- set when slot=2 only. + , ord_exemptCode :: Int + -- SMART routing only + , ord_discretionaryAmt :: Double + , ord_eTradeOnly :: Bool + , ord_firmQuoteOnly :: Bool + , ord_nbboPriceCap :: Double + , ord_optOutSmartRouting :: Bool + -- BOX exchange orders only + , ord_auctionStrategy :: Int -- AUCTION_MATCH, AUCTION_IMPROVEMENT, AUCTION_TRANSPARENT + , ord_startingPrice :: Double + , ord_stockRefPrice :: Double + , ord_delta :: Double + -- pegged to stock and VOL orders only + , ord_stockRangeLower :: Double + , ord_stockRangeUpper :: Double + -- VOLATILITY ORDERS ONLY + , ord_volatility :: Double + , ord_volatilityType :: Int -- 1=daily, 2=annual + , ord_deltaNeutralOrderType :: String + , ord_deltaNeutralAuxPrice :: Double + , ord_deltaNeutralConId :: Int + , ord_deltaNeutralSettlingFirm :: String + , ord_deltaNeutralClearingAccount :: String + , ord_deltaNeutralClearingIntent :: String + , ord_deltaNeutralOpenClose :: String + , ord_deltaNeutralShortSale :: Bool + , ord_deltaNeutralShortSaleSlot :: Int + , ord_deltaNeutralDesignatedLocation :: String + , ord_continuousUpdate :: Bool + , ord_referencePriceType :: Int -- 1=Average, 2 = BidOrAsk + -- COMBO ORDERS ONLY + , ord_basisPoints :: Double -- EFP orders only + , ord_basisPointsType :: Int -- EFP orders only + -- SCALE ORDERS ONLY + , ord_scaleInitLevelSize :: Int + , ord_scaleSubsLevelSize :: Int + , ord_scalePriceIncrement :: Double + , ord_scalePriceAdjustValue :: Double + , ord_scalePriceAdjustInterval :: Int + , ord_scaleProfitOffset :: Double + , ord_scaleAutoReset :: Bool + , ord_scaleInitPosition :: Int + , ord_scaleInitFillQty :: Int + , ord_scaleRandomPercent :: Bool + , ord_scaleTable :: String + -- HEDGE ORDERS + , ord_hedgeType :: String -- 'D' - delta, 'B' - beta, 'F' - FX, 'P' - pair + , ord_hedgeParam :: String -- 'beta=X' value for beta hedge, 'ratio=Y' for pair hedge + -- Clearing info + , ord_account :: String -- IB account + , ord_settlingFirm :: String + , ord_clearingAccount :: String -- True beneficiary of the order + , ord_clearingIntent :: String -- "" (Default), "IB", "Away", "PTA" (PostTrade) + , ord_-- ALGO ORDERS ONLY + , ord_algoStrategy :: String + , ord_algoParams :: [TagValue] + , ord_smartComboRoutingParams :: [TagValue] + -- What-if + , ord_whatIf :: Bool + -- Not Held + , ord_notHeld :: Bool + + -- order combo legs + --typedef std::vector OrderComboLegList + --typedef shared_ptr OrderComboLegListSPtr + -- + --orderComboLegs OrderComboLegListSPtr + --orderMiscOptions TagValueListSPtr + } deriving (Data, Typeable) + +