dshe / interreact

Reactive C# API to Interactive Brokers Trader Workstation.

InterReact  

Reactive C# API to Interactive Brokers Trader Workstation (TWS)

• .NET 6.0 library
• supports IB TWS API Stable 10.19 (Mar 25 2024 )
• dependencies: RxSockets, Stringification, NodaTime
• demo applications: Console, WPF

interface IInterReactClient : IAsyncDisposable
{
    IPEndPoint RemoteIpEndPoint { get; }
    Request Request { get; }
    IObservable<object> Response { get; }
    Service Service { get; }
}

Example

using System;
using System.Threading.Tasks;
using System.Reactive.Linq;
using InterReact;

// Create the InterReact client by connecting to TWS/Gateway on the local host.
IInterReactClient client = await InterReactClient.ConnectAsync();


// Create a contract object.
Contract contract = new()
{
   SecurityType = SecurityType.Stock,
   Symbol       = "AMZN",
   Currency     = "USD",
   Exchange     = "SMART"
};

// Create and then subscribe to the observable which can observe ticks for the contract.
IDisposable subscription = client
    .Service
    .CreateTickObservable(contract)
    .OfTickClass(selector => selector.PriceTick)
    .Where(tick => tick.TickType == TickType.LastPrice)
    .Subscribe(onNext: priceTick => Console.WriteLine($"Last Price = {priceTick.Price}"));

Console.WriteLine(Environment.NewLine + "press a key to exit...");
Console.ReadKey();
Console.Clear();

// Dispose the subscription to stop receiving ticks.
subscription.Dispose();

// Disconnect from TWS/Gateway.
await client.DisposeAsync();

Notes

Interactive Brokers Trader Workstation (TWS) or Gateway must be running with API access enabled. In TWS, navigate to Edit / Global Configuration / API / Settings. Ensure the option "Enable ActiveX and Socket Clients" is selected.

interreact's Issues

Placing order error

when creating new order and trying to place it
Order neworder = new Order();
neworder.OrderType = OrderType.Limit;
neworder.TradeAction = TradeAction.Buy;
neworder.LimitPrice = 1;
neworder.TimeInForce = TimeInForce.Day;
neworder.TotalQuantity = 1;

        neworder.AlgoStrategy  = "Adaptive";
        neworder.AlgoParams.Add(new Tag("adaptivePriority", "Patient"));  <-- here 

get error

Alert: {RequestId:1823, OrderId:1823, Code:320, Message:"Error reading request.Message id 1823. Unable to parse data. java.lang.NumberFormatException: For input string: "Patient"", AlertType:HasId}

Migrate the use of Semaphore to Mutex or TaskCompletionSource

Semaphore is not compatible with Linux so a migration to the use of Mutex or TaskCompletionSource would be a good thing.

HistoricalBarSize, OneSecond is incorrectly assigned.

In HistoricalBarSize class, OneSecond is set as "1 sec". However as stated in IBKR error message:
"Historical data bar size setting is invalid. Legal ones are: 1 secs, 5 secs, 10 secs, 15 secs, 30 secs, 1 min, 2 mins, 3 mins, 5 mins, 10 mins, 15 mins, 20 mins, 30 mins, 1 hour, 2 hours, 3 hours, 4 hours, 8 hours, 1 day, 1W, 1M--"
It is supposed to be set to "1 secs"

Errors during the use

Met several errors while using the latest master branch

1 Compiler errors as below

commented the compiler errors and continue.

2 unit test failures

IBKR Pro Account + IBGW 10.19 Version + Windows 10 Pro 22H2

Wonder, is it only me met these errors or errors happens widely? the repo appears to be good I test during Nov 2023.
I don't know what happened or anything wrong I did?
Any suggestion?

Thanks

OrderStatusReports don't appear to be handled

I updated to the latest and tried using the OpenOrdersObservable and it doesn't appear to be handling/receiving the OrderStatusReports. A new order will cause a "Submitted" OrderStatusReport to be received. When it's cancelled a "Cancelled" report should be received.

Please consider making a NuGet distribution.

It would be nice to have a NuGet distribution.
Charles
[email protected]

Market data is rounded data instead of high precision data

Market data from RequestHistoricalData has a lower resolution than the one in TWS.

Inspecting a specific bar in TWS displays higher res data than the bar data received using the API. Is the data rounded somewhere along the way?

How to Implement the below function points?

How to implement the below function points?
1 List GetOpeningOrders(string symbol, startDt, endDt = DateTime.Now)
2 Order CancelOrder(int orderId), GetCanceledOrders()
3 List GetCompletedOrders(startDt, endDt = DateTime.Now)
4 List GetSymbols(int number = 500) // get all the valid symbols, e.g. ranking by market cap

thinking, if I can have a sample code, I can implement the rest of the order function , and Pull Request

Thanks

Modifying orders results in "Duplicate order id"

When submitting an updated order using PlaceOrder the order is not updated and the IB Gateway returns "Duplicate order id"

Referring to this section from IB's docs about modifying orders:
Modifying Orders

Alert when placing order

Hi,

When I'm trying to place a simple order with OrderType of Market Order and Limit Order, they both returned with alert message: "Order processing failed. Algorithm definition not found. Code=439. Id=1180."
var order = new Order { TradeAction = TradeAction.Buy, TotalQuantity = 100, OrderType = OrderType.Market };
Highly appreciate for any clues.

Return no record after request contract detail

        var contract = new Contract
        {
            SecurityType = InterReact.StringEnums.SecurityType.Stock,
            Symbol = "MSFT",
            Currency = "USD",
            Exchange = "SMART"
        };

        //client.Request.RequestCurrentTime();

        //var test = await client.Services.HistoricalDataObservable(contract);

        var contractDetailsList = await client.Services.ContractDetailsObservable(contract);

        var contractDetails = contractDetailsList.Single();

Var contractDetails returns zero.

When I debug the solution, IB gateway log shows the contract detail is returned, yet the program doesn't seem to hit the contractDetail.

Any idea?

Thanks.

A question about the as-is design

In the below code, it uses Take(timeSpan) to wait the response, which may cause concurrent issue.
Why not use the event , e.g. PlaceOrderCompleteEvent, to let the caller know: "Hi, subscribe this event, when I am ready, I let you know"
e.g. this article: https://zhuanlan.zhihu.com/p/30341365

public async Task<IList<OpenOrder>> RequestOpenOrdersAsync()
{
    Task<IList<OpenOrder>> task =
        Response
        .OfType<OpenOrder>()
        **.Take(TimeSpan.FromMilliseconds(500))**
        .ToList()
        .ToTask();
    Request.RequestOpenOrders();
    var orders = await task;
    return orders;
}

Feel free to correct me if my understanding is incorrect.

Seems there is no way to modify the orders

Is it possible to modify an order?

The data format from IB doesn't correspond with HistoricalDataBar no more

Hi!

It looks like IB has updated the format for HistoricalDataBar. What can see there no longer is a gap that was handled like:

r.ReadString(); /* string hasGaps */

This makes the line after crash:

Count = r.ReadInt();

Is it possible to find the IB specs for the different messages?