eclientsocket.java

网上期货交易的外挂原码,可实现自动交易功能,自动添加模块

    public synchronized void reqHistoricalData(int tickerId, Contract contract, String endDateTime, String durationStr,
                                               String barSizeSetting, String whatToShow, int useRTH, int formatDate) {
        // not connected?
        if (!m_connected) {
            error(tickerId, EClientErrors.NOT_CONNECTED, "");
            return;
        }

        final int VERSION = 4;

        try {
            if (m_serverVersion < 16) {
                error(EClientErrors.NO_VALID_ID, EClientErrors.UPDATE_TWS,
                      "  It does not support historical data backfill.");
                return;
            }

            send(REQ_HISTORICAL_DATA);
            send(VERSION);
            send(tickerId);
            send(contract.m_symbol);
            send(contract.m_secType);
            send(contract.m_expiry);
            send(contract.m_strike);
            send(contract.m_right);
            send(contract.m_multiplier);
            send(contract.m_exchange);
            send(contract.m_primaryExch);
            send(contract.m_currency);
            send(contract.m_localSymbol);
            if (m_serverVersion >= 31) {
                send(contract.m_includeExpired ? 1 : 0);
            }
            if (m_serverVersion >= 20) {
                send(endDateTime);
                send(barSizeSetting);
            }
            send(durationStr);
            send(useRTH);
            send(whatToShow);
            if (m_serverVersion > 16) {
                send(formatDate);
            }
            if (BAG_SEC_TYPE.equalsIgnoreCase(contract.m_secType)) {
                if (contract.m_comboLegs == null) {
                    send(0);
                } else {
                    send(contract.m_comboLegs.size());

                    ComboLeg comboLeg;
                    for (int i = 0; i < contract.m_comboLegs.size(); i++) {
                        comboLeg = (ComboLeg) contract.m_comboLegs.get(i);
                        send(comboLeg.m_conId);
                        send(comboLeg.m_ratio);
                        send(comboLeg.m_action);
                        send(comboLeg.m_exchange);
                    }
                }
            }
        } catch (Exception e) {
            error(tickerId, EClientErrors.FAIL_SEND_REQHISTDATA, "" + e);
            close();
        }
    }

    public synchronized void reqContractDetails(Contract contract) {
        // not connected?
        if (!m_connected) {
            error(EClientErrors.NO_VALID_ID, EClientErrors.NOT_CONNECTED, "");
            return;
        }

        // This feature is only available for versions of TWS >=4
        if (m_serverVersion < 4) {
            error(EClientErrors.NO_VALID_ID, EClientErrors.UPDATE_TWS.code(), EClientErrors.UPDATE_TWS.msg());
            return;
        }

        final int VERSION = 3;

        try {
            // send req mkt data msg
            send(REQ_CONTRACT_DATA);
            send(VERSION);

            send(contract.m_symbol);
            send(contract.m_secType);
            send(contract.m_expiry);
            send(contract.m_strike);
            send(contract.m_right);
            if (m_serverVersion >= 15) {
                send(contract.m_multiplier);
            }
            send(contract.m_exchange);
            send(contract.m_currency);
            send(contract.m_localSymbol);
            if (m_serverVersion >= 31) {
                send(contract.m_includeExpired);
            }
        } catch (Exception e) {
            error(EClientErrors.NO_VALID_ID, EClientErrors.FAIL_SEND_REQCONTRACT, "" + e);
            close();
        }
    }

    public synchronized void reqMktDepth(int tickerId, Contract contract, int numRows) {
        // not connected?
        if (!m_connected) {
            error(EClientErrors.NO_VALID_ID, EClientErrors.NOT_CONNECTED, "");
            return;
        }

        // This feature is only available for versions of TWS >=6
        if (m_serverVersion < 6) {
            error(EClientErrors.NO_VALID_ID, EClientErrors.UPDATE_TWS.code(), EClientErrors.UPDATE_TWS.msg());
            return;
        }

        final int VERSION = 3;

        try {
            // send req mkt data msg
            send(REQ_MKT_DEPTH);
            send(VERSION);
            send(tickerId);

            send(contract.m_symbol);
            send(contract.m_secType);
            send(contract.m_expiry);
            send(contract.m_strike);
            send(contract.m_right);
            if (m_serverVersion >= 15) {
                send(contract.m_multiplier);
            }
            send(contract.m_exchange);
            send(contract.m_currency);
            send(contract.m_localSymbol);
            if (m_serverVersion >= 19) {
                send(numRows);
            }
        } catch (Exception e) {
            error(tickerId, EClientErrors.FAIL_SEND_REQMKTDEPTH, "" + e);
            close();
        }
    }

    public synchronized void cancelMktData(int tickerId) {
        // not connected?
        if (!m_connected) {
            error(EClientErrors.NO_VALID_ID, EClientErrors.NOT_CONNECTED, "");
            return;
        }

        final int VERSION = 1;

        // send cancel mkt data msg
        try {
            send(CANCEL_MKT_DATA);
            send(VERSION);
            send(tickerId);
        } catch (Exception e) {
            error(tickerId, EClientErrors.FAIL_SEND_CANMKT, "" + e);
            close();
        }
    }

    public synchronized void cancelMktDepth(int tickerId) {
        // not connected?
        if (!m_connected) {
            error(EClientErrors.NO_VALID_ID, EClientErrors.NOT_CONNECTED, "");
            return;
        }

        // This feature is only available for versions of TWS >=6
        if (m_serverVersion < 6) {
            error(EClientErrors.NO_VALID_ID, EClientErrors.UPDATE_TWS.code(), EClientErrors.UPDATE_TWS.msg());
            return;
        }

        final int VERSION = 1;

        // send cancel mkt data msg
        try {
            send(CANCEL_MKT_DEPTH);
            send(VERSION);
            send(tickerId);
        } catch (Exception e) {
            error(tickerId, EClientErrors.FAIL_SEND_CANMKTDEPTH, "" + e);
            close();
        }
    }

    public synchronized void exerciseOptions(int tickerId, Contract contract, int exerciseAction, int exerciseQuantity,
                                             String account, int override) {
        // not connected?
        if (!m_connected) {
            error(tickerId, EClientErrors.NOT_CONNECTED, "");
            return;
        }

        final int VERSION = 1;

        try {
            if (m_serverVersion < 21) {
                error(EClientErrors.NO_VALID_ID, EClientErrors.UPDATE_TWS,
                      "  It does not support options exercise from the API.");
                return;
            }

            send(EXERCISE_OPTIONS);
            send(VERSION);
            send(tickerId);
            send(contract.m_symbol);
            send(contract.m_secType);
            send(contract.m_expiry);
            send(contract.m_strike);
            send(contract.m_right);
            send(contract.m_multiplier);
            send(contract.m_exchange);
            send(contract.m_currency);
            send(contract.m_localSymbol);
            send(exerciseAction);
            send(exerciseQuantity);
            send(account);
            send(override);
        } catch (Exception e) {
            error(tickerId, EClientErrors.FAIL_SEND_REQMKT, "" + e);
            close();
        }
    }

    public synchronized void placeOrder(int id, Contract contract, Order order) {
        // not connected?
        if (!m_connected) {
            error(EClientErrors.NO_VALID_ID, EClientErrors.NOT_CONNECTED, "");
            return;
        }

        final int VERSION = 21;

        // send place order msg
        try {
            send(PLACE_ORDER);
            send(VERSION);
            send(id);

            // send contract fields
            send(contract.m_symbol);
            send(contract.m_secType);
            send(contract.m_expiry);
            send(contract.m_strike);
            send(contract.m_right);
            if (m_serverVersion >= 15) {
                send(contract.m_multiplier);
            }
            send(contract.m_exchange);
            if (m_serverVersion >= 14) {
                send(contract.m_primaryExch);
            }
            send(contract.m_currency);
            if (m_serverVersion >= 2) {
                send(contract.m_localSymbol);
            }

            // send main order fields
            send(order.m_action);
            send(order.m_totalQuantity);
            send(order.m_orderType);
            send(order.m_lmtPrice);
            send(order.m_auxPrice);

            // send extended order fields
            send(order.m_tif);
            send(order.m_ocaGroup);
            send(order.m_account);
            send(order.m_openClose);
            send(order.m_origin);
            send(order.m_orderRef);
            send(order.m_transmit);
            if (m_serverVersion >= 4) {
                send(order.m_parentId);
            }

            if (m_serverVersion >= 5) {
                send(order.m_blockOrder);
                send(order.m_sweepToFill);
                send(order.m_displaySize);
                send(order.m_triggerMethod);
                send(order.m_ignoreRth);
            }

            if (m_serverVersion >= 7) {
                send(order.m_hidden);
            }

            // Send combo legs for BAG requests
            if (m_serverVersion >= 8 && BAG_SEC_TYPE.equalsIgnoreCase(contract.m_secType)) {
                if (contract.m_comboLegs == null) {
                    send(0);
                } else {
                    send(contract.m_comboLegs.size());

                    ComboLeg comboLeg;
                    for (int i = 0; i < contract.m_comboLegs.size(); i++) {
                        comboLeg = (ComboLeg) contract.m_comboLegs.get(i);
                        send(comboLeg.m_conId);
                        send(comboLeg.m_ratio);
                        send(comboLeg.m_action);
                        send(comboLeg.m_exchange);
                        send(comboLeg.m_openClose);
                    }
                }
            }

            if (m_serverVersion >= 9) {
                send(order.m_sharesAllocation); // deprecated
            }

            if (m_serverVersion >= 10) {
                send(order.m_discretionaryAmt);
            }

            if (m_serverVersion >= 11) {
                send(order.m_goodAfterTime);
            }

            if (m_serverVersion >= 12) {
                send(order.m_goodTillDate);
            }

            if (m_serverVersion >= 13) {
                send(order.m_faGroup);
                send(order.m_faMethod);
                send(order.m_faPercentage);
                send(order.m_faProfile);
            }
            if (m_serverVersion >= 18) { // institutional short sale slot fields.
                send(order.m_shortSaleSlot); // 0 only for retail, 1 or 2 only for institution.
                send(order.m_designatedLocation); // only populate when order.m_shortSaleSlot = 2.
            }
            if (m_serverVersion >= 19) {
                send(order.m_ocaType);
                send(order.m_rthOnly);
                send(order.m_rule80A);
                send(order.m_settlingFirm);
                send(order.m_allOrNone);
                sendMax(order.m_minQty);
                sendMax(order.m_percentOffset);
                send(order.m_eTradeOnly);
                send(order.m_firmQuoteOnly);
                sendMax(order.m_nbboPriceCap);
                sendMax(order.m_auctionStrategy);
                sendMax(order.m_startingPrice);
                sendMax(order.m_stockRefPrice);
                sendMax(order.m_delta);
                // Volatility orders had specific watermark price attribs in server version 26
                double lower = (m_serverVersion == 26 && order.m_orderType.equals("VOL")) ? Double.MAX_VALUE :
                               order.m_stockRangeLower;
                double upper = (m_serverVersion == 26 && order.m_orderType.equals("VOL")) ? Double.MAX_VALUE :
                               order.m_stockRangeUpper;
                sendMax(lower);
                sendMax(upper);
            }

            if (m_serverVersion >= 22) {
                send(order.m_overridePercentageConstraints);
            }

            if (m_serverVersion >= 26) { // Volatility orders
                sendMax(order.m_volatility);
                sendMax(order.m_volatilityType);
                if (m_serverVersion < 28) {
                    send(order.m_deltaNeutralOrderType.equalsIgnoreCase("MKT"));
                } else {
                    send(order.m_deltaNeutralOrderType);
                    sendMax(order.m_deltaNeutralAuxPrice);
                }
                send(order.m_continuousUpdate);
                if (m_serverVersion == 26) {
                    // Volatility orders had specific watermark price attribs in server version 26
                    double lower = order.m_orderType.equals("VOL") ? order.m_stockRangeLower : Double.MAX_VALUE;