Merge pull request #8 from oliviermilla/jibmerge

Updated to latest code of Jib.jl

Project.toml

@@ -1,7 +1,7 @@
 name = "InteractiveBrokers"
-uuid = "f310f2d2-a263-11e8-3998-47bd686f18f7"
+uuid = "c9eee01f-432d-414e-83d3-5217cf8b3b71"
 authors = ["Luca Billi <[email protected]>", "Olivier Milla <[email protected]>"]
-version = "0.27"
+version = "0.28"
 
 [deps]
 Sockets = "6462fe0b-24de-5631-8697-dd941f90decc"

README.md

@@ -3,14 +3,14 @@
 [![Build Status](https://github.com/oliviermilla/InteractiveBrokers.jl/actions/workflows/CI.yml/badge.svg?branch=main)](https://github.com/oliviermilla/InteractiveBrokers.jl/actions/workflows/CI.yml?query=branch%3Amain)
 [![codecov](https://codecov.io/gh/oliviermilla/InteractiveBrokers.jl/graph/badge.svg?token=AFV1NV9CR9)](https://codecov.io/gh/oliviermilla/InteractiveBrokers.jl)
 
-**A Julia implementation of Interactive Brokers API**
+*A Julia implementation of Interactive Brokers API*
 
 `InteractiveBrokers` is a native [Julia](https://julialang.org/) client that implements
 [Interactive Brokers](https://www.interactivebrokers.com/) API to communicate
 with TWS or IBGateway.
 
 It aims to be feature complete, however it does not support legacy versions.
-Currently, only API versions `v176+` are supported.
+Currently, only API versions `v187+` are supported.
 
 The package design follows the official C++/Java
 [IB API](https://interactivebrokers.github.io/tws-api/),
@@ -37,7 +37,7 @@ To install from GitHub:
 ] add https://github.com/oliviermilla/InteractiveBrokers.jl
 ```
 
-### Usage
+## Usage
 The user interacts mainly with these two objects:
 - `Connection`: a handle holding a connection to the server
 - `Wrapper`: a container for the callbacks that are invoked
@@ -55,8 +55,8 @@ using InteractiveBrokers
 
 wrap = InteractiveBrokers.Wrapper(
          # Customized methods go here
-         error= (err) ->
-                  println("Error: $(something($(err.id), "NA")) $(err.errorCode) $(err.errorString) $(err.advancedOrderRejectJson)"),
+         error= (id, errorTime, errorCode, errorString, advancedOrderRejectJson) ->
+                  println("Error: $(something(id, "NA")) $errorTime $errorCode $errorString $advancedOrderRejectJson"),
 
          nextValidId= (orderId) -> println("Next OrderId: $orderId"),
 
@@ -93,7 +93,7 @@ InteractiveBrokers.placeOrder(ib, orderId, contract, order)
 InteractiveBrokers.disconnect(ib)
 ```
 
-##### Foreground vs. Background Processing
+#### Foreground vs. Background Processing
 It is possible to process the server responses either within the main process
 or in a separate background `Task`:
 - **foreground processing** is triggered by invoking `InteractiveBrokers.check_all(ib, wrap, Tab=Dict)`.
@@ -109,7 +109,7 @@ To avoid undesired effects, the two approaches should not be mixed together on t
 `Tab` parameter of above examples is the sink format used when applicable. The library supports an extension for 
 DataFrames (just pass `DataFrame` as a last parameter), otherwise `Dict` is the default format.
 
-### Implementation Details
+## Implementation Details
 The package does not export any name, therefore any functions
 or types described here need to be prefixed by `InteractiveBrokers.*`.
 
@@ -126,7 +126,7 @@ As Julia is not an object-oriented language, the functionality of the IB
   The only caveat is to remember to pass a `Connection` as first argument: _e.g._
   `reqContractDetails(ib::Connection, reqId:Int, contract::Contract)`
 
-##### [`Wrapper`](src/wrapper.jl)
+#### [`Wrapper`](src/wrapper.jl)
 Like the official IB `EWrapper` class, this `struct` holds the callbacks
 that are dispatched when responses are processed.
 The user provides the callback definitions as keyword arguments
@@ -157,30 +157,27 @@ refer to the official IB `EWrapper` class documentation.
 As reference, the exact signatures used in this package
 are found [here](data/wrapper_signatures.jl).
 
-### Notes
+## Notes
 Callbacks are generally invoked with arguments and types matching the signatures
 as described in the official documentation.
 However, there are few exceptions:
 - `tickPrice()` has an extra `size::Float64` argument,
   which is meaningful only when `TickType ∈ {BID, ASK, LAST}`.
   In these cases, the official IB API fires an extra `tickSize()` event instead.
 - `historicalData()` is invoked only once per request,
-  presenting all the historical data as a single `DataFrame`,
+  presenting all the historical data as a single `Vector{Bar}`,
   whereas the official IB API invokes it row-by-row.
 - `scannerData()` is also invoked once per request and its arguments
   are in fact vectors rather than single values.
 
 These modifications make it possible to establish the rule:
 _one callback per server response_.
 
-Consequently, `historicalDataEnd()` and `scannerDataEnd()` are redundant and
-are **not** used in this package.
+Consequently, ~~`historicalDataEnd()`~~
+(starting from `v196` it's sent in a separate message)
+and `scannerDataEnd()` are redundant and are **not** used in this package.
 
-`DataFrame` are passed to several other callbacks, such as:
-`mktDepthExchanges()`, `smartComponents()`, `newsProviders()`, `histogramData()`,
-`marketRule()` and the `historicalTicks*()` family.
-
-##### Missing Values
+#### Missing Values
 Occasionally, for numerical types, there is the need to represent
 the lack of a value.
 
@@ -194,7 +191,7 @@ for 64-bit floating point.
 This package makes an effort to use Julia built-in `Nothing`
 in all circumstances.
 
-##### Data Structures
+#### Data Structures
 Other classes that mainly hold data are also replicated.
 They are implemented as Julia `struct` or `mutable struct` with names,
 types and default values matching the IB API counterparts: _e.g._

data/wrapper_signatures.jl

@@ -49,7 +49,7 @@ managedAccounts(accountsList::String)
 
 receiveFA(faDataType::FaDataType, xml::String)
 
-historicalData(reqId::Int, bar::Dict)
+historicalData(reqId::Int, bars::VBar)
 
 scannerParameters(xml::String)
 
@@ -103,19 +103,19 @@ securityDefinitionOptionalParameterEnd(reqId::Int)
 
 softDollarTiers(reqId::Int, tiers::Vector{SoftDollarTier})
 
-familyCodes(familyCodes::Vector{FamilyCode})
+familyCodes(familyCodes::VFamilyCode)
 
 symbolSamples(reqId::Int, contractDescriptions::Vector{ContractDescription})
 
-mktDepthExchanges(depthMktDataDescriptions::Dict)
+mktDepthExchanges(depthMktDataDescriptions::VDepthMktDataDescription)
 
 tickNews(tickerId::Int, timeStamp::Int, providerCode::String, articleId::String, headline::String, extraData::String)
 
-smartComponents(reqId::Int, theMap::Dict)
+smartComponents(reqId::Int, theMap::VSmartComponent)
 
 tickReqParams(tickerId::Int, minTick::Union{Float64,Nothing}, bboExchange::String, snapshotPermissions::Int)
 
-newsProviders(newsProviders::Dict)
+newsProviders(newsProviders::VNewsProvider)
 
 newsArticle(requestId::Int, articleType::Int, articleText::String)
 
@@ -125,33 +125,33 @@ historicalNewsEnd(requestId::Int, hasMore::Bool)
 
 headTimestamp(reqId::Int, headTimestamp::String)
 
-histogramData(reqId::Int, data::Dict)
+histogramData(reqId::Int, data::VHistogramEntry)
 
 historicalDataUpdate(reqId::Int, bar::Bar)
 
 rerouteMktDataReq(reqId::Int, conid::Int, exchange::String)
 
 rerouteMktDepthReq(reqId::Int, conid::Int, exchange::String)
 
-marketRule(marketRuleId::Int, priceIncrements::Dict)
+marketRule(marketRuleId::Int, priceIncrements::VPriceIncrement)
 
 pnl(reqId::Int, dailyPnL::Float64, unrealizedPnL::Float64, realizedPnL::Float64)
 
 pnlSingle(reqId::Int, pos::Int, dailyPnL::Float64, unrealizedPnL::Union{Float64,Nothing}, realizedPnL::Union{Float64,Nothing}, value::Float64)
 
-historicalTicks(reqId::Int, ticks::Dict, done::Bool)
+historicalTicks(reqId::Int, ticks::VHistoricalTick, done::Bool)
 
-historicalTicksBidAsk(reqId::Int, ticks::Dict, done::Bool)
+historicalTicksBidAsk(reqId::Int, ticks::VHistoricalTickBidAsk, done::Bool)
 
-historicalTicksLast(reqId::Int, ticks::Dict, done::Bool)
+historicalTicksLast(reqId::Int, ticks::VHistoricalTickLast, done::Bool)
 
 tickByTickAllLast(reqId::Int, tickType::Int, time::Int, price::Float64, size::Float64, attribs::TickAttribLast, exchange::String, specialConditions::String)
 
 tickByTickBidAsk(reqId::Int, time::Int, bidPrice::Float64, askPrice::Float64, bidSize::Float64, askSize::Float64, attribs::TickAttribBidAsk)
 
 tickByTickMidPoint(reqId::Int, time::Int, midPoint::Float64)
 
-orderBound(orderId::Int, apiClientId::Int, apiOrderId::Int)
+orderBound(permId::Int, clientId::Int, orderId::Int)
 
 completedOrder(contract::Contract, order::Order, orderState::OrderState)
 
@@ -163,6 +163,10 @@ wshMetaData(reqId::Int, dataJson::String)
 
 wshEventData(reqId::Int, dataJson::String)
 
-historicalSchedule(reqId::Int, startDateTime::String, endDateTime::String, timeZone::String, sessions::Dict)
+historicalSchedule(reqId::Int, startDateTime::String, endDateTime::String, timeZone::String, sessions::VHistoricalSession)
 
 userInfo(reqId::Int, whiteBrandingId::String)
+
+historicalDataEnd(reqId::Int, startDateStr::String, endDateStr::String)
+
+currentTimeInMillis(timeInMillis::Int)

ext/DataFramesExt.jl

@@ -4,18 +4,21 @@ import InteractiveBrokers
 
 using DataFrames
 
-function InteractiveBrokers.Reader.fill_table(cols, n::Int, it, Tab::Type{<:DataFrame})
+# Deprecated at Job 0.26 when DataFrame were dropped as the default sink format.
+# Kept for information.
 
-    df = Tab([k => Vector{T}(undef, n) for (k, T) ∈ pairs(cols)];
-                   copycols=false)
+# function InteractiveBrokers.Reader.fill_table(cols, n::Int, it, Tab::Type{<:DataFrame})
+
+#     df = Tab([k => Vector{T}(undef, n) for (k, T) ∈ pairs(cols)];
+#                    copycols=false)
 
-    nr, nc = size(df)
+#     nr, nc = size(df)
 
-    for r ∈ 1:nr, c ∈ 1:nc
-      df[r, c] = InteractiveBrokers.Reader.pop(it)
-    end
+#     for r ∈ 1:nr, c ∈ 1:nc
+#       df[r, c] = InteractiveBrokers.Reader.pop(it)
+#     end
 
-    df
-  end
+#     df
+#   end
 
 end

src/Errors.jl

@@ -4,6 +4,7 @@ export IbkrErrorMessage
 
 struct IbkrErrorMessage <: Exception
     id::Union{Int,Nothing}
+    errorTime::Int
     errorCode::Union{Int,Nothing}
     errorString::String
     advancedOrderRejectJson::String

src/InteractiveBrokers.jl

@@ -14,7 +14,7 @@ include("types_private.jl")
 include("wrapper.jl")
 include("reader.jl")          ; using .Reader: check_all, start_reader
 include("utils.jl")
-include("TickTypes.jl")
+include("TickTypes.jl")    ; using .TickTypes: tickname
 
 """
     Connection()
@@ -53,16 +53,15 @@ function connect(;host::IPAddr=getalladdrinfo("localhost")[1], port::Int=4002, c
   # Handshake
   Client.write_one(s, buf)
 
-  res = collect(String, Reader.read_msg(s))
+  msg = Reader.read_msg(s)
 
-  @assert length(res) == 2
+  v, t = Reader.decode_init(msg)
 
-  @info "connected" V=res[1] T=res[2]
+  @info "connected" v t
 
-  v = parse(Int, res[1])
   m ≤ v ≤ M || error("unsupported version")
 
-  ib = Connection(s, clientId, connectOptions, Client.Version(v), res[2])
+  ib = Connection(s, clientId, connectOptions, Client.Version(v), t)
 
   Requests.startApi(ib, clientId, optionalCapabilities)
 

src/decode.jl

@@ -1,17 +1,31 @@
-using Base.Iterators: take
-
 include("process.jl")
+include("fielditerator.jl")
+include("TickTypes.jl")
+
+
+function decode_init(msg)
+
+  it = FieldIterator(msg)
+
+  v::Int,
+  t::String = it
+
+  isempty(it) || @error "decode_init(): init message not fully parsed" M=msg
+
+  v, t
+end
+
 
-# Make a shortcut
-const pop = popfirst!
+function decode(msg, w, ver)
 
-function decode(it, w, ver, Tab=Dict)
+  it = FieldIterator(msg)
 
   # The first field is the message ID
-  id::Int = pop(it)
+  id::Int = it
 
-  # The second field (version) is ignored for id < 75 and != 3, 5, 10, 11, 17, 18, 21
-  if id  < 75 && id ∉ (3, 5, 10, 11, 17, 18, 21)
+  # The second field (version) is ignored for id < 75 and != 3, 4, 5, 10, 11, 17, 18, 21
+  if id < 75 && id ∉ (3, 4, 5, 10, 11, 17, 18, 21) ||
+     id == 4 && ver < Client.ERROR_TIME
     pop(it)
   end
 
@@ -20,15 +34,15 @@ function decode(it, w, ver, Tab=Dict)
   if isnothing(f)
     @error "decode(): unknown message" id
   else
-    #try ---- COMMENTED FROM JIB
-    f(it, w, ver, Tab)
+    #try --- Commented from JIB
+      f(it, w, ver)
     # catch e
-    #   @error "decode(): exception caught" M=it.msg
+    #   @error "decode(): exception caught" M=msg
     #   # Print stacktrace to stderr
     #   Base.display_error(Base.current_exceptions())
     # end
 
-    isempty(it) || @error "decode(): message not fully parsed" M=it.msg ignored=collect(String, it)
+    isempty(it) || @error "decode(): message not fully parsed" M=msg ignored=collect(String, rest(it))
   end
 end
 

src/encoder.jl

@@ -46,8 +46,4 @@ end
 (e::Encoder)(x::Base.Generator) = foreach(e, x)
 
 # Multiple arguments
-function (e::Encoder)(x, y...)
-  e(x)
-  foreach(e, y)
-end
-
+(e::Encoder)(x...) = foreach(e, x)