public void contractDetailsEnd(int reqId) {
consoleMsg("contractDetailsEnd: " + reqId);
try {
synchronized (m_mutex) {
if (m_status == Status.SecDefFMF) {
if (reqId != 0) {
// ignore details end for leg requests
return;
}
if (m_frontMonthFuture == null) {
error("Could not find front month future for hedging");
return;
}
consoleMsg("using " + m_frontMonthFuture.conid() + " for hedging");
m_contract.underComp().conid(m_frontMonthFuture.conid());
/*
* And finally submit RFQ
*/
submitRfq();
}
}
} catch (Exception e) {
// will update status and notify main thread
error(e.toString());
}
}
void onBtnUnderComp() {
UnderCompDlg underCompDlg = new UnderCompDlg(m_underComp, this);
// show delta neutral dialog
underCompDlg.setVisible(true);
if (underCompDlg.ok()) {
m_contract.m_underComp = m_underComp;
} else if (underCompDlg.reset()) {
m_contract.m_underComp = null;
}
}
private void submitRfq() {
consoleMsg("REQ: rfq " + m_rfqId);
m_status = m_contract.underComp() != null ? Status.Rfq : Status.Ticks;
client().placeOrder(m_rfqId, m_contract, new RfqOrder(m_clientId, m_rfqId, 1));
}
private void goButtonActionPerformed(
java.awt.event.ActionEvent evt) { // GEN-FIRST:event_goButtonActionPerformed
Contract contract = new Contract();
contract.m_symbol = symbolInTextBox.getText().toUpperCase();
contract.m_secType = "FUT";
contract.m_exchange = exchangeTextBox.getText().toUpperCase();
contract.m_includeExpired = true;
contractInfos.setParams(this, contract);
Thread ciThread = new Thread(contractInfos);
ciThread.run();
// Trader trader = Dispatcher.getTrader();
// trader.setContractDetailsConnection(this);
// Strategy strategy = new DownloaderStrategy(); // a dummy strategy, needed for the framework
// trader.getAssistant().addStrategy(strategy); //Updates id for TWS
// int requestId = strategy.getId();
// trader.getAssistant().requestContractDetails(requestId, contract);
} // GEN-LAST:event_goButtonActionPerformed
public void deltaNeutralValidation(int reqId, DeltaNeutralContract underComp) {
consoleMsg("deltaNeutralValidation:" + reqId);
synchronized (m_mutex) {
if (m_status == Status.Rfq) {
if (reqId != m_rfqId) {
// unexpected dn validation
return;
}
// update underComp
m_contract.underComp(underComp);
m_status = Status.Ticks;
}
}
}
public void testOrder() throws Exception {
int clientId = 2;
connect(clientId);
if (client() != null && client().isConnected()) {
try {
synchronized (m_mutex) {
if (client().serverVersion() < 42) {
error("Sample will not work with TWS older that 877");
}
while (m_status != Status.Done && m_status != Status.Error) {
if (m_status == Status.None) {
obtainContract();
if (m_status != Status.Error && m_status != Status.SecDef) {
submitRfq();
}
}
m_mutex.wait();
}
}
} finally {
disconnect();
}
if (m_status == Status.Done) {
String msg =
"Done, bid=" + m_bidSize + "@" + m_bidPrice + " ask=" + m_askSize + "@" + m_askPrice;
DeltaNeutralContract underComp = m_contract.underComp();
if (underComp != null) {
msg +=
" DN: conId="
+ underComp.conid()
+ " price="
+ underComp.price()
+ " delta="
+ underComp.delta();
}
consoleMsg(msg);
}
}
}
public void contractDetails(int reqId, ContractDetails contractDetails) {
consoleMsg("contractDetails: " + reqId);
try {
synchronized (m_mutex) {
if (m_status == Status.SecDef) {
/*
* Note: we are requesting SecDefs only if we need Combo's
*/
int legId = reqId - 1;
ComboLeg comboLeg =
new ComboLeg(
contractDetails.contract().conid(), /* ratio */
1,
(reqId == 1 ? "BUY" : "SELL"),
m_contract.exchange(),
0);
m_contract.comboLegs().set(legId, comboLeg);
/*
* Do we have all legs?
*/
for (int i = 0; i < m_contract.comboLegs().size(); ++i) {
if (i == legId) continue;
if (m_contract.comboLegs().get(i) == null) return;
}
if (m_contract.underComp() != null) {
/*
* Store underConId if needed
*/
if (m_underConId == 0) {
m_underConId = contractDetails.underConid();
}
/*
* Do we need to request front month future for hedging?
*/
if (m_needFrontMonthFuture) {
m_status = Status.SecDefFMF;
Contract futContract =
new FutContract(
contractDetails.contract().symbol(),
/* all expirations */ "",
contractDetails.contract().currency());
submitSecDef(0, futContract);
return;
}
consoleMsg("using " + m_underConId + " for hedging");
m_contract.underComp().conid(m_underConId);
}
/*
* And finally submit RFQ
*/
submitRfq();
} else if (m_status == Status.SecDefFMF) {
/*
* Ignore unknown reqId's
*/
if (reqId != 0) {
return;
}
/*
* Ignore secDefs with different underConId
*/
if (contractDetails.underConid() != m_underConId) {
return;
}
Contract contract = contractDetails.contract();
/*
* Check if we have a better match
*/
int contractLastTradeDate = Integer.parseInt(contract.lastTradeDateOrContractMonth());
int contractMult = Integer.parseInt(contract.multiplier());
if (m_frontMonthFuture != null) {
if (m_frontMonthFutureLastTradeDate <= contractLastTradeDate) {
return;
}
if (m_frontMonthFutureLastTradeDate == contractLastTradeDate
&& m_frontMonthFutureMult <= contractMult) {
return;
}
}
m_frontMonthFuture = contract;
m_frontMonthFutureLastTradeDate = contractLastTradeDate;
m_frontMonthFutureMult = contractMult;
}
}
} catch (Exception e) {
// will update status and notify main thread
error(e.toString());
}
}
private void obtainContract() {
switch (m_mode) {
case 0:
m_contract = new StkContract("IBM");
m_contract.currency("EUR");
break;
case 1:
m_contract = new FutContract("IBM", "200809");
break;
case 2:
m_contract = new OptContract("IBM", "200809", 120, "CALL");
break;
case 3:
m_contract = new OptContract("Z", "LIFFE", "200809", 54.75, "CALL");
m_contract.currency("GBP");
break;
case 4:
m_contract = new ComboContract("Z", "GBP", "LIFFE");
m_contract.comboLegs(new ArrayList<ComboLeg>(2));
{
Contract l1 = new OptContract("Z", "LIFFE", "200809", 54.75, "CALL");
l1.currency("GBP");
submitSecDef(1, l1);
}
{
Contract l2 = new OptContract("Z", "LIFFE", "200810", 55.00, "CALL");
l2.currency("GBP");
submitSecDef(2, l2);
}
m_status = Status.SecDef;
break;
case 5:
m_contract = new ComboContract("IBM");
m_contract.comboLegs(new ArrayList<ComboLeg>(1));
m_contract.underComp(new DeltaNeutralContract());
// m_contract.m_underComp.m_delta = 0.8;
// m_contract.m_underComp.m_price = 120;
{
Contract l1 = new OptContract("IBM", "200809", 120, "CALL");
submitSecDef(1, l1);
}
m_status = Status.SecDef;
break;
case 6:
m_contract = new ComboContract("RUT");
m_contract.comboLegs(new ArrayList<ComboLeg>(1));
m_contract.underComp(new DeltaNeutralContract());
m_needFrontMonthFuture = true;
{
Contract l1 = new OptContract("RUT", "200809", 740, "CALL");
submitSecDef(1, l1);
}
m_status = Status.SecDef;
break;
case 7:
m_contract = new ComboContract("Z", "GBP", "LIFFE");
m_contract.comboLegs(new ArrayList<ComboLeg>(1));
m_contract.underComp(new DeltaNeutralContract());
m_needFrontMonthFuture = true;
{
Contract l1 = new OptContract("Z", "LIFFE", "200808", 55.00, "CALL");
l1.currency("GBP");
submitSecDef(1, l1);
}
m_status = Status.SecDef;
break;
}
}
void onOk() {
m_rc = false;
try {
// set id
m_id = Integer.parseInt(m_Id.getText());
// set contract fields
m_contract.m_conId = ParseInt(m_conId.getText(), 0);
m_contract.m_symbol = m_symbol.getText();
m_contract.m_secType = m_secType.getText();
m_contract.m_expiry = m_expiry.getText();
m_contract.m_strike = ParseDouble(m_strike.getText(), 0.0);
m_contract.m_right = m_right.getText();
m_contract.m_multiplier = m_multiplier.getText();
m_contract.m_exchange = m_exchange.getText();
m_contract.m_primaryExch = m_primaryExch.getText();
m_contract.m_currency = m_currency.getText();
m_contract.m_localSymbol = m_localSymbol.getText();
m_contract.m_tradingClass = m_tradingClass.getText();
try {
int includeExpired = Integer.parseInt(m_includeExpired.getText());
m_contract.m_includeExpired = (includeExpired == 1);
} catch (NumberFormatException ex) {
m_contract.m_includeExpired = false;
}
m_contract.m_secIdType = m_secIdType.getText();
m_contract.m_secId = m_secId.getText();
// set order fields
m_order.m_action = m_action.getText();
m_order.m_totalQuantity = Integer.parseInt(m_totalQuantity.getText());
m_order.m_orderType = m_orderType.getText();
m_order.m_lmtPrice = parseStringToMaxDouble(m_lmtPrice.getText());
m_order.m_auxPrice = parseStringToMaxDouble(m_auxPrice.getText());
m_order.m_goodAfterTime = m_goodAfterTime.getText();
m_order.m_goodTillDate = m_goodTillDate.getText();
m_order.m_faGroup = m_faGroup;
m_order.m_faProfile = m_faProfile;
m_order.m_faMethod = m_faMethod;
m_order.m_faPercentage = m_faPercentage;
// set historical data fields
m_backfillEndTime = m_BackfillEndTime.getText();
m_backfillDuration = m_BackfillDuration.getText();
m_barSizeSetting = m_BarSizeSetting.getText();
m_useRTH = Integer.parseInt(m_UseRTH.getText());
m_whatToShow = m_WhatToShow.getText();
m_formatDate = Integer.parseInt(m_FormatDate.getText());
m_exerciseAction = Integer.parseInt(m_exerciseActionTextField.getText());
m_exerciseQuantity = Integer.parseInt(m_exerciseQuantityTextField.getText());
m_override = Integer.parseInt(m_overrideTextField.getText());
;
// set market depth rows
m_marketDepthRows = Integer.parseInt(m_marketDepthRowTextField.getText());
m_genericTicks = m_genericTicksTextField.getText();
m_snapshotMktData = m_snapshotMktDataTextField.isSelected();
m_marketDataType = m_marketDataTypeCombo.getSelectedIndex() + 1;
} catch (Exception e) {
Main.inform(this, "Error - " + e);
return;
}
m_rc = true;
setVisible(false);
}
// This places orders and listens to orders status
public void run() {
try {
// Make connection, wait for nextOrderId
connectToTWS();
while (nextOrderId == -1) snooze(1000);
puts("\nFind Contract Definitions for GOOG option");
Contract con1 = new Contract();
con1.m_symbol = "GOOG";
con1.m_secType = "OPT";
con1.m_expiry = "201301";
con1.m_strike = 500.0;
con1.m_right = "C";
con1.m_multiplier = "100";
con1.m_exchange = "SMART";
con1.m_currency = "USD";
client.reqContractDetails(110, con1);
puts("Request sent");
snooze(4000);
puts("\nFind Contract Definitions for APPLE stock");
Contract aapl = new Contract();
aapl.m_symbol = "AAPL";
aapl.m_secType = "STK";
client.reqContractDetails(111, aapl);
puts("Request sent");
snooze(4000);
puts("\nSee? No reply...");
snooze(4000);
} catch (Exception e) {
e.printStackTrace();
} finally {
disconnectFromTWS();
}
}
public Contract getContract() {
Contract c = new Contract();
c.m_conId = m_conid;
c.m_symbol = m_symbol;
c.m_secType = m_secType.toString();
c.m_expiry = m_expiry;
c.m_strike = m_strike;
c.m_right = m_right.getApiString();
c.m_multiplier = m_multiplier;
c.m_exchange = m_exchange;
c.m_currency = m_currency;
c.m_localSymbol = m_localSymbol;
c.m_tradingClass = m_tradingClass;
c.m_primaryExch = m_primaryExch;
c.m_secIdType = m_secIdType.getApiString();
c.m_secId = m_secId;
if (m_underComp != null) {
c.m_underComp = new UnderComp();
c.m_underComp.m_conId = m_underComp.conid();
c.m_underComp.m_delta = m_underComp.delta();
c.m_underComp.m_price = m_underComp.price();
}
c.m_comboLegs = new Vector<ComboLeg>();
for (NewComboLeg leg : m_comboLegs) {
c.m_comboLegs.add(leg.getComboLeg());
}
return c;
}