ereader.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

/*
 * EReader.java
 *
 */

package com.ib.client;

import java.io.*;

public class EReader extends Thread {

    // incoming msg id's
    static final int TICK_PRICE = 1;
    static final int TICK_SIZE = 2;
    static final int ORDER_STATUS = 3;
    static final int ERR_MSG = 4;
    static final int OPEN_ORDER = 5;
    static final int ACCT_VALUE = 6;
    static final int PORTFOLIO_VALUE = 7;
    static final int ACCT_UPDATE_TIME = 8;
    static final int NEXT_VALID_ID = 9;
    static final int CONTRACT_DATA = 10;
    static final int EXECUTION_DATA = 11;
    static final int MARKET_DEPTH = 12;
    static final int MARKET_DEPTH_L2 = 13;
    static final int NEWS_BULLETINS = 14;
    static final int MANAGED_ACCTS = 15;
    static final int RECEIVE_FA = 16;
    static final int HISTORICAL_DATA = 17;
    static final int BOND_CONTRACT_DATA = 18;
    static final int SCANNER_PARAMETERS = 19;
    static final int SCANNER_DATA = 20;
    static final int TICK_OPTION_COMPUTATION = 21;
    static final int TICK_GENERIC = 45;
    static final int TICK_STRING = 46;

    private EClientSocket m_parent;
    private DataInputStream m_dis;

    protected EClientSocket parent() {
        return m_parent;
    }

    private EWrapper eWrapper() {
        return (EWrapper) parent().wrapper();
    }

    public EReader(EClientSocket parent, DataInputStream dis) {
        this("EReader", parent, dis);
    }

    protected EReader(String name, EClientSocket parent, DataInputStream dis) {
        setName(name);
        m_parent = parent;
        m_dis = dis;
    }

    public void run() {
        try {
            // loop until thread is terminated
            while (!isInterrupted() && processMsg(readInt())) {
                ;
            }
        } catch (Exception ex) {
            parent().wrapper().error(ex);
            parent().wrapper().connectionClosed();
        }
        m_parent.close();
    }

    /** Overridden in subclass. */
    protected boolean processMsg(int msgId) throws IOException {
        if (msgId == -1) {
            return false;
        }

        switch (msgId) {
            case TICK_PRICE: {
                int version = readInt();
                int tickerId = readInt();
                int tickType = readInt();
                double price = readDouble();
                int size = 0;
                if (version >= 2) {
                    size = readInt();
                }
                int canAutoExecute = 0;
                if (version >= 3) {
                    canAutoExecute = readInt();
                }
                eWrapper().tickPrice(tickerId, tickType, price, canAutoExecute);

                if (version >= 2) {
                    int sizeTickType = -1; // not a tick
                    switch (tickType) {
                        case 1: // BID
                            sizeTickType = 0; // BID_SIZE
                            break;
                        case 2: // ASK
                            sizeTickType = 3; // ASK_SIZE
                            break;
                        case 4: // LAST
                            sizeTickType = 5; // LAST_SIZE
                            break;
                    }
                    if (sizeTickType != -1) {
                        eWrapper().tickSize(tickerId, sizeTickType, size);
                    }
                }
                break;
            }
            case TICK_SIZE: {
                int version = readInt();
                int tickerId = readInt();
                int tickType = readInt();
                int size = readInt();

                eWrapper().tickSize(tickerId, tickType, size);
                break;
            }

            case TICK_OPTION_COMPUTATION: {
                int version = readInt();
                int tickerId = readInt();
                int tickType = readInt();
                double impliedVol = readDouble();
                if (impliedVol < 0) { // -1 is the "not yet computed" indicator
                    impliedVol = Double.MAX_VALUE;
                }
                double delta = readDouble();
                if (Math.abs(delta) > 1) { // -2 is the "not yet computed" indicator
                    delta = Double.MAX_VALUE;
                }
                double modelPrice, pvDividend;
                if (tickType == TickType.MODEL_OPTION) { // introduced in version == 5
                    modelPrice = readDouble();
                    pvDividend = readDouble();
                } else {
                    modelPrice = pvDividend = Double.MAX_VALUE;
                }
                eWrapper().tickOptionComputation(tickerId, tickType, impliedVol, delta, modelPrice, pvDividend);
                break;
            }

            case TICK_GENERIC: {
                int version = readInt();
                int tickerId = readInt();
                int tickType = readInt();
                double value = readDouble();

                eWrapper().tickGeneric(tickerId, tickType, value);
                break;
            }

            case TICK_STRING: {
                int version = readInt();
                int tickerId = readInt();
                int tickType = readInt();
                String value = readStr();

                eWrapper().tickString(tickerId, tickType, value);
                break;
            }

            case ORDER_STATUS: {
                int version = readInt();
                int id = readInt();
                String status = readStr();
                int filled = readInt();
                int remaining = readInt();
                double avgFillPrice = readDouble();

                int permId = 0;
                if (version >= 2) {
                    permId = readInt();
                }

                int parentId = 0;
                if (version >= 3) {
                    parentId = readInt();
                }

                double lastFillPrice = 0;
                if (version >= 4) {
                    lastFillPrice = readDouble();
                }

                int clientId = 0;
                if (version >= 5) {
                    clientId = readInt();
                }

                eWrapper().orderStatus(id, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice,
                                       clientId);
                break;
            }

            case ACCT_VALUE: {
                int version = readInt();
                String key = readStr();
                String val = readStr();
                String cur = readStr();
                String accountName = null;
                if (version >= 2) {
                    accountName = readStr();
                }
                eWrapper().updateAccountValue(key, val, cur, accountName);
                break;
            }

            case PORTFOLIO_VALUE: {
                int version = readInt();
                Contract contract = new Contract();
                contract.m_symbol = readStr();
                contract.m_secType = readStr();
                contract.m_expiry = readStr();
                contract.m_strike = readDouble();
                contract.m_right = readStr();
                contract.m_currency = readStr();
                if (version >= 2) {
                    contract.m_localSymbol = readStr();
                }

                int position = readInt();
                double marketPrice = readDouble();
                double marketValue = readDouble();
                double averageCost = 0.0;
                double unrealizedPNL = 0.0;
                double realizedPNL = 0.0;
                if (version >= 3) {
                    averageCost = readDouble();
                    unrealizedPNL = readDouble();
                    realizedPNL = readDouble();
                }

                String accountName = null;
                if (version >= 4) {
                    accountName = readStr();
                }

                eWrapper().updatePortfolio(contract, position, marketPrice, marketValue, averageCost, unrealizedPNL,
                                           realizedPNL, accountName);

                break;
            }

            case ACCT_UPDATE_TIME: {
                int version = readInt();
                String timeStamp = readStr();
                eWrapper().updateAccountTime(timeStamp);
                break;
            }

            case ERR_MSG: {
                int version = readInt();
                if (version < 2) {
                    String msg = readStr();
                    m_parent.error(msg);
                } else {
                    int id = readInt();
                    int errorCode = readInt();
                    String errorMsg = readStr();
                    m_parent.error(id, errorCode, errorMsg);
                }
                break;
            }

            case OPEN_ORDER: {
                // read version
                int version = readInt();

                // read order id
                Order order = new Order();
                order.m_orderId = readInt();

                // read contract fields
                Contract contract = new Contract();
                contract.m_symbol = readStr();
                contract.m_secType = readStr();
                contract.m_expiry = readStr();
                contract.m_strike = readDouble();
                contract.m_right = readStr();
                contract.m_exchange = readStr();
                contract.m_currency = readStr();
                if (version >= 2) {
                    contract.m_localSymbol = readStr();
                }

                // read order fields
                order.m_action = readStr();
                order.m_totalQuantity = readInt();
                order.m_orderType = readStr();
                order.m_lmtPrice = readDouble();
                order.m_auxPrice = readDouble();
                order.m_tif = readStr();
                order.m_ocaGroup = readStr();
                order.m_account = readStr();
                order.m_openClose = readStr();
                order.m_origin = readInt();
                order.m_orderRef = readStr();

                if (version >= 3) {
                    order.m_clientId = readInt();
                }

                if (version >= 4) {
                    order.m_permId = readInt();
                    order.m_ignoreRth = readInt() == 1;
                    order.m_hidden = readInt() == 1;
                    order.m_discretionaryAmt = readDouble();
                }

                if (version >= 5) {
                    order.m_goodAfterTime = readStr();
                }

                if (version >= 6) {
                    order.m_sharesAllocation = readStr();
                }

                if (version >= 7) {
                    order.m_faGroup = readStr();
                    order.m_faMethod = readStr();
                    order.m_faPercentage = readStr();