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decoder.go
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decoder.go
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/*
The EDecoder knows how to transform a message's payload into higher level IB message (eg: order info, mkt data, etc).
It will call the corresponding method from the EWrapper so that customer's code (eg: class derived from EWrapper) can make further use of the data.
*/
package ibapi
import (
"strings"
)
// EDecoder transforms a message's payload into higher level IB message.
type EDecoder struct {
wrapper EWrapper
serverVersion Version
}
func (d *EDecoder) interpret(msgBytes []byte) {
msgBuf := NewMsgBuffer(msgBytes)
log.Warn()
if msgBuf.Len() == 0 {
log.Debug().Msg("no fields")
return
}
// read the msg type
msgID := msgBuf.decodeInt64()
switch msgID {
case TICK_PRICE:
d.processTickPriceMsg(msgBuf)
case TICK_SIZE:
d.processTickSizeMsg(msgBuf)
case TICK_OPTION_COMPUTATION:
d.processTickOptionComputationMsg(msgBuf)
case TICK_GENERIC:
d.processTickGenericMsg(msgBuf)
case TICK_STRING:
d.processTickStringMsg(msgBuf)
case TICK_EFP:
d.processTickEfpMsg(msgBuf)
case ORDER_STATUS:
d.processOrderStatusMsg(msgBuf)
case ERR_MSG:
d.processErrMsg(msgBuf)
case OPEN_ORDER:
d.processOpenOrderMsg(msgBuf)
case ACCT_VALUE:
d.processAcctValueMsg(msgBuf)
case PORTFOLIO_VALUE:
d.processPortfolioValueMsg(msgBuf)
case ACCT_UPDATE_TIME:
d.processAcctUpdateTimeMsg(msgBuf)
case NEXT_VALID_ID:
d.processNextValidIdMsg(msgBuf)
case CONTRACT_DATA:
d.processContractDataMsg(msgBuf)
case BOND_CONTRACT_DATA:
d.processBondContractDataMsg(msgBuf)
case EXECUTION_DATA:
d.processExecutionDetailsMsg(msgBuf)
case MARKET_DEPTH:
d.processMarketDepthMsg(msgBuf)
case MARKET_DEPTH_L2:
d.processMarketDepthL2Msg(msgBuf)
case NEWS_BULLETINS:
d.processNewsBulletinsMsg(msgBuf)
case MANAGED_ACCTS:
d.processManagedAcctsMsg(msgBuf)
case RECEIVE_FA:
d.processReceiveFaMsg(msgBuf)
case HISTORICAL_DATA:
d.processHistoricalDataMsg(msgBuf)
case SCANNER_DATA:
d.processScannerDataMsg(msgBuf)
case SCANNER_PARAMETERS:
d.processScannerParametersMsg(msgBuf)
case CURRENT_TIME:
d.processCurrentTimeMsg(msgBuf)
case REAL_TIME_BARS:
d.processRealTimeBarsMsg(msgBuf)
case FUNDAMENTAL_DATA:
d.processFundamentalDataMsg(msgBuf)
case CONTRACT_DATA_END:
d.processContractDataEndMsg(msgBuf)
case OPEN_ORDER_END:
d.processOpenOrderEndMsg(msgBuf)
case ACCT_DOWNLOAD_END:
d.processAcctDownloadEndMsg(msgBuf)
case EXECUTION_DATA_END:
d.processExecutionDetailsEndMsg(msgBuf)
case DELTA_NEUTRAL_VALIDATION:
d.processDeltaNeutralValidationMsg(msgBuf)
case TICK_SNAPSHOT_END:
d.processTickSnapshotEndMsg(msgBuf)
case MARKET_DATA_TYPE:
d.processMarketDataTypeMsg(msgBuf)
case COMMISSION_REPORT:
d.processCommissionReportMsg(msgBuf)
case POSITION_DATA:
d.processPositionDataMsg(msgBuf)
case POSITION_END:
d.processPositionEndMsg(msgBuf)
case ACCOUNT_SUMMARY:
d.processAccountSummaryMsg(msgBuf)
case ACCOUNT_SUMMARY_END:
d.processAccountSummaryEndMsg(msgBuf)
case VERIFY_MESSAGE_API:
d.processVerifyMessageApiMsg(msgBuf)
case VERIFY_COMPLETED:
d.processVerifyCompletedMsg(msgBuf)
case DISPLAY_GROUP_LIST:
d.processDisplayGroupListMsg(msgBuf)
case DISPLAY_GROUP_UPDATED:
d.processDisplayGroupUpdatedMsg(msgBuf)
case VERIFY_AND_AUTH_MESSAGE_API:
d.processVerifyAndAuthMessageApiMsg(msgBuf)
case VERIFY_AND_AUTH_COMPLETED:
d.processVerifyAndAuthCompletedMsg(msgBuf)
case POSITION_MULTI:
d.processPositionMultiMsg(msgBuf)
case POSITION_MULTI_END:
d.processPositionMultiEndMsg(msgBuf)
case ACCOUNT_UPDATE_MULTI:
d.processAccountUpdateMultiMsg(msgBuf)
case ACCOUNT_UPDATE_MULTI_END:
d.processAccountUpdateMultiEndMsg(msgBuf)
case SECURITY_DEFINITION_OPTION_PARAMETER:
d.processSecurityDefinitionOptionalParameterMsg(msgBuf)
case SECURITY_DEFINITION_OPTION_PARAMETER_END:
d.processSecurityDefinitionOptionalParameterEndMsg(msgBuf)
case SOFT_DOLLAR_TIERS:
d.processSoftDollarTiersMsg(msgBuf)
case FAMILY_CODES:
d.processFamilyCodesMsg(msgBuf)
case SMART_COMPONENTS:
d.processSmartComponentsMsg(msgBuf)
case TICK_REQ_PARAMS:
d.processTickReqParamsMsg(msgBuf)
case SYMBOL_SAMPLES:
d.processSymbolSamplesMsg(msgBuf)
case MKT_DEPTH_EXCHANGES:
d.processMktDepthExchangesMsg(msgBuf)
case TICK_NEWS:
d.processTickNewsMsg(msgBuf)
case NEWS_PROVIDERS:
d.processNewsProvidersMsg(msgBuf)
case NEWS_ARTICLE:
d.processNewsArticleMsg(msgBuf)
case HISTORICAL_NEWS:
d.processHistoricalNewsMsg(msgBuf)
case HISTORICAL_NEWS_END:
d.processHistoricalNewsEndMsg(msgBuf)
case HEAD_TIMESTAMP:
d.processHeadTimestampMsg(msgBuf)
case HISTOGRAM_DATA:
d.processHistogramDataMsg(msgBuf)
case HISTORICAL_DATA_UPDATE:
d.processHistoricalDataUpdateMsg(msgBuf)
case REROUTE_MKT_DATA_REQ:
d.processRerouteMktDataReqMsg(msgBuf)
case REROUTE_MKT_DEPTH_REQ:
d.processRerouteMktDepthReqMsg(msgBuf)
case MARKET_RULE:
d.processMarketRuleMsg(msgBuf)
case PNL:
d.processPnLMsg(msgBuf)
case PNL_SINGLE:
d.processPnLSingleMsg(msgBuf)
case HISTORICAL_TICKS:
d.processHistoricalTicks(msgBuf)
case HISTORICAL_TICKS_BID_ASK:
d.processHistoricalTicksBidAsk(msgBuf)
case HISTORICAL_TICKS_LAST:
d.processHistoricalTicksLast(msgBuf)
case TICK_BY_TICK:
d.processTickByTickDataMsg(msgBuf)
case ORDER_BOUND:
d.processOrderBoundMsg(msgBuf)
case COMPLETED_ORDER:
d.processCompletedOrderMsg(msgBuf)
case COMPLETED_ORDERS_END:
d.processCompletedOrdersEndMsg(msgBuf)
case REPLACE_FA_END:
d.processReplaceFAEndMsg(msgBuf)
case WSH_META_DATA:
d.processWshMetaData(msgBuf)
case WSH_EVENT_DATA:
d.processWshEventData(msgBuf)
case HISTORICAL_SCHEDULE:
d.processHistoricalSchedule(msgBuf)
case USER_INFO:
d.processUserInfo(msgBuf)
default:
d.wrapper.Error(NO_VALID_ID, currentTimeMillis(), BAD_MESSAGE.Code, BAD_MESSAGE.Msg, "")
}
}
func (d *EDecoder) processTickPriceMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
reqID := msgBuf.decodeInt64()
tickType := msgBuf.decodeInt64()
price := msgBuf.decodeFloat64()
size := msgBuf.decodeDecimal() // ver 2 field
attrMask := msgBuf.decodeInt64() // ver 3 field
attrib := NewTickAttrib()
attrib.CanAutoExecute = attrMask == 1
if d.serverVersion >= MIN_SERVER_VER_PAST_LIMIT {
attrib.CanAutoExecute = attrMask&0x1 != 0
attrib.PastLimit = attrMask&0x2 != 0
if d.serverVersion >= MIN_SERVER_VER_PRE_OPEN_BID_ASK {
attrib.PreOpen = attrMask&0x4 != 0
}
}
d.wrapper.TickPrice(reqID, tickType, price, attrib)
var sizeTickType int64
switch tickType {
case BID:
sizeTickType = BID_SIZE
case ASK:
sizeTickType = ASK_SIZE
case LAST:
sizeTickType = LAST_SIZE
case DELAYED_BID:
sizeTickType = DELAYED_BID_SIZE
case DELAYED_ASK:
sizeTickType = DELAYED_ASK_SIZE
case DELAYED_LAST:
sizeTickType = DELAYED_LAST_SIZE
default:
sizeTickType = NOT_SET
}
if sizeTickType != NOT_SET {
d.wrapper.TickSize(reqID, sizeTickType, size)
}
}
func (d *EDecoder) processTickSizeMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
reqID := msgBuf.decodeInt64()
sizeTickType := msgBuf.decodeInt64()
size := msgBuf.decodeDecimal()
if sizeTickType != NOT_SET {
d.wrapper.TickSize(reqID, sizeTickType, size)
}
}
func (d *EDecoder) processTickOptionComputationMsg(msgBuf *MsgBuffer) {
optPrice := UNSET_FLOAT
pvDividend := UNSET_FLOAT
gamma := UNSET_FLOAT
vega := UNSET_FLOAT
theta := UNSET_FLOAT
undPrice := UNSET_FLOAT
version := d.serverVersion
if d.serverVersion < MIN_SERVER_VER_PRICE_BASED_VOLATILITY {
version = Version(msgBuf.decodeInt64())
}
reqID := msgBuf.decodeInt64()
tickType := msgBuf.decodeInt64()
var tickAttrib int64
if d.serverVersion >= MIN_SERVER_VER_PRICE_BASED_VOLATILITY {
tickAttrib = msgBuf.decodeInt64()
}
impliedVol := msgBuf.decodeFloat64()
if impliedVol < 0 { // -1 is the "not computed" indicator
impliedVol = UNSET_FLOAT
}
delta := msgBuf.decodeFloat64()
if delta == -2 { // -2 is the "not computed" indicator
delta = UNSET_FLOAT
}
if version >= 6 || tickType == MODEL_OPTION || tickType == DELAYED_MODEL_OPTION {
optPrice = msgBuf.decodeFloat64()
if optPrice == -1 { // -1 is the "not computed" indicator
optPrice = UNSET_FLOAT
}
pvDividend = msgBuf.decodeFloat64()
if pvDividend == -1 { // -1 is the "not computed" indicator
pvDividend = UNSET_FLOAT
}
}
if version >= 6 {
gamma = msgBuf.decodeFloat64()
if gamma == -2 { // -2 is the "not yet computed" indicator
gamma = UNSET_FLOAT
}
vega = msgBuf.decodeFloat64()
if vega == -2 { // -2 is the "not yet computed" indicator
vega = UNSET_FLOAT
}
theta = msgBuf.decodeFloat64()
if theta == -2 { // -2 is the "not yet computed" indicator
theta = UNSET_FLOAT
}
undPrice = msgBuf.decodeFloat64()
if undPrice == -1 { // -1 is the "not computed" indicator
undPrice = UNSET_FLOAT
}
}
d.wrapper.TickOptionComputation(reqID, tickType, tickAttrib, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice)
}
func (d *EDecoder) processTickGenericMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
reqID := msgBuf.decodeInt64()
tickType := msgBuf.decodeInt64()
value := msgBuf.decodeFloat64()
d.wrapper.TickGeneric(reqID, tickType, value)
}
func (d *EDecoder) processTickStringMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
reqID := msgBuf.decodeInt64()
tickType := msgBuf.decodeInt64()
value := msgBuf.decodeString()
d.wrapper.TickString(reqID, tickType, value)
}
func (d *EDecoder) processTickEfpMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
reqID := msgBuf.decodeInt64()
tickType := msgBuf.decodeInt64()
basisPoints := msgBuf.decodeFloat64()
formattedBasisPoints := msgBuf.decodeString()
totalDividends := msgBuf.decodeFloat64()
holdDays := msgBuf.decodeInt64()
futureLastTradeDate := msgBuf.decodeString()
dividendImpact := msgBuf.decodeFloat64()
dividendsToLastTradeDate := msgBuf.decodeFloat64()
d.wrapper.TickEFP(reqID, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureLastTradeDate, dividendImpact, dividendsToLastTradeDate)
}
func (d *EDecoder) processOrderStatusMsg(msgBuf *MsgBuffer) {
if d.serverVersion < MIN_SERVER_VER_MARKET_CAP_PRICE {
msgBuf.decode()
}
orderID := msgBuf.decodeInt64()
status := msgBuf.decodeString()
filled := msgBuf.decodeDecimal()
remaining := msgBuf.decodeDecimal()
avgFilledPrice := msgBuf.decodeFloat64()
permID := msgBuf.decodeInt64() // ver 2 field
parentID := msgBuf.decodeInt64() // ver 3 field
lastFillPrice := msgBuf.decodeFloat64() // ver 4 field
clientID := msgBuf.decodeInt64() // ver 5 field
whyHeld := msgBuf.decodeString() // ver 6 field
mktCapPrice := 0.0
if d.serverVersion >= MIN_SERVER_VER_MARKET_CAP_PRICE {
mktCapPrice = msgBuf.decodeFloat64()
}
d.wrapper.OrderStatus(orderID, status, filled, remaining, avgFilledPrice, permID, parentID, lastFillPrice, clientID, whyHeld, mktCapPrice)
}
func (d *EDecoder) processErrMsg(msgBuf *MsgBuffer) {
if d.serverVersion < MIN_SERVER_VER_ERROR_TIME {
msgBuf.decode()
}
reqID := msgBuf.decodeInt64()
errorCode := msgBuf.decodeInt64()
errorString := msgBuf.decodeString()
advancedOrderRejectJson := ""
if d.serverVersion >= MIN_SERVER_VER_ADVANCED_ORDER_REJECT {
advancedOrderRejectJson = msgBuf.decodeString()
}
var errorTime int64
if d.serverVersion >= MIN_SERVER_VER_ERROR_TIME {
errorTime = msgBuf.decodeInt64()
}
d.wrapper.Error(reqID, errorTime, errorCode, errorString, advancedOrderRejectJson)
}
func (d *EDecoder) processOpenOrderMsg(msgBuf *MsgBuffer) {
order := NewOrder()
contract := NewContract()
orderState := NewOrderState()
version := d.serverVersion
if d.serverVersion < MIN_SERVER_VER_ORDER_CONTAINER {
version = Version(msgBuf.decodeInt64())
}
orderDecoder := &OrderDecoder{order, contract, orderState, version, d.serverVersion}
// read orderID
orderDecoder.decodeOrderId(msgBuf)
// read contract fields
orderDecoder.decodeContractFields(msgBuf)
// read order fields
orderDecoder.decodeAction(msgBuf)
orderDecoder.decodeTotalQuantity(msgBuf)
orderDecoder.decodeOrderType(msgBuf)
orderDecoder.decodeLmtPrice(msgBuf)
orderDecoder.decodeAuxPrice(msgBuf)
orderDecoder.decodeTIF(msgBuf)
orderDecoder.decodeOcaGroup(msgBuf)
orderDecoder.decodeAccount(msgBuf)
orderDecoder.decodeOpenClose(msgBuf)
orderDecoder.decodeOrigin(msgBuf)
orderDecoder.decodeOrderRef(msgBuf)
orderDecoder.decodeClientId(msgBuf)
orderDecoder.decodePermId(msgBuf)
orderDecoder.decodeOutsideRth(msgBuf)
orderDecoder.decodeHidden(msgBuf)
orderDecoder.decodeDiscretionaryAmount(msgBuf)
orderDecoder.decodeGoodAfterTime(msgBuf)
orderDecoder.skipSharesAllocation(msgBuf)
orderDecoder.decodeFAParams(msgBuf)
orderDecoder.decodeModelCode(msgBuf)
orderDecoder.decodeGoodTillDate(msgBuf)
orderDecoder.decodeRule80A(msgBuf)
orderDecoder.decodePercentOffset(msgBuf)
orderDecoder.decodeSettlingFirm(msgBuf)
orderDecoder.decodeShortSaleParams(msgBuf)
orderDecoder.decodeAuctionStrategy(msgBuf)
orderDecoder.decodeBoxOrderParams(msgBuf)
orderDecoder.decodePegToStkOrVolOrderParams(msgBuf)
orderDecoder.decodeDisplaySize(msgBuf)
orderDecoder.decodeBlockOrder(msgBuf)
orderDecoder.decodeSweepToFill(msgBuf)
orderDecoder.decodeAllOrNone(msgBuf)
orderDecoder.decodeMinQty(msgBuf)
orderDecoder.decodeOcaType(msgBuf)
orderDecoder.skipETradeOnly(msgBuf)
orderDecoder.skipFirmQuoteOnly(msgBuf)
orderDecoder.skipNbboPriceCap(msgBuf)
orderDecoder.decodeParentId(msgBuf)
orderDecoder.decodeTriggerMethod(msgBuf)
orderDecoder.decodeVolOrderParams(msgBuf, true)
orderDecoder.decodeTrailParams(msgBuf)
orderDecoder.decodeBasisPoints(msgBuf)
orderDecoder.decodeComboLegs(msgBuf)
orderDecoder.decodeSmartComboRoutingParams(msgBuf)
orderDecoder.decodeScaleOrderParams(msgBuf)
orderDecoder.decodeHedgeParams(msgBuf)
orderDecoder.decodeOptOutSmartRouting(msgBuf)
orderDecoder.decodeClearingParams(msgBuf)
orderDecoder.decodeNotHeld(msgBuf)
orderDecoder.decodeDeltaNeutral(msgBuf)
orderDecoder.decodeAlgoParams(msgBuf)
orderDecoder.decodeSolicited(msgBuf)
orderDecoder.decodeWhatIfInfoAndCommission(msgBuf)
orderDecoder.decodeVolRandomizeFlags(msgBuf)
orderDecoder.decodePegBenchParams(msgBuf)
orderDecoder.decodeConditions(msgBuf)
orderDecoder.decodeAdjustedOrderParams(msgBuf)
orderDecoder.decodeSoftDollarTier(msgBuf)
orderDecoder.decodeCashQty(msgBuf)
orderDecoder.decodeDontUseAutoPriceForHedge(msgBuf)
orderDecoder.decodeIsOmsContainer(msgBuf)
orderDecoder.decodeDiscretionaryUpToLimitPrice(msgBuf)
orderDecoder.decodeUsePriceMgmtAlgo(msgBuf)
orderDecoder.decodeDuration(msgBuf)
orderDecoder.decodePostToAts(msgBuf)
orderDecoder.decodeAutoCancelParent(msgBuf, MIN_SERVER_VER_AUTO_CANCEL_PARENT)
orderDecoder.decodePegBestPegMidOrderAttributes(msgBuf)
orderDecoder.decodeCustomerAccount(msgBuf)
orderDecoder.decodeProfessionalCustomer(msgBuf)
orderDecoder.decodeBondAccruedInterest(msgBuf)
orderDecoder.decodeIncludeOvernight(msgBuf)
orderDecoder.decodeCMETaggingFields(msgBuf)
d.wrapper.OpenOrder(order.OrderID, contract, order, orderState)
}
func (d *EDecoder) processAcctValueMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
tag := msgBuf.decodeString()
val := msgBuf.decodeString()
currency := msgBuf.decodeString()
accountName := msgBuf.decodeString()
d.wrapper.UpdateAccountValue(tag, val, currency, accountName)
}
func (d *EDecoder) processPortfolioValueMsg(msgBuf *MsgBuffer) {
version := msgBuf.decodeInt64()
// read contract fields
contract := NewContract()
contract.ConID = msgBuf.decodeInt64() // ver 6 field
contract.Symbol = msgBuf.decodeString()
contract.SecType = msgBuf.decodeString()
contract.LastTradeDateOrContractMonth = msgBuf.decodeString()
contract.Strike = msgBuf.decodeFloat64()
contract.Right = msgBuf.decodeString()
if version >= 7 {
contract.Multiplier = msgBuf.decodeString()
contract.PrimaryExchange = msgBuf.decodeString()
}
contract.Currency = msgBuf.decodeString()
contract.LocalSymbol = msgBuf.decodeString() // ver 2 field
if version >= 8 {
contract.TradingClass = msgBuf.decodeString()
}
position := msgBuf.decodeDecimal()
marketPrice := msgBuf.decodeFloat64()
marketValue := msgBuf.decodeFloat64()
averageCost := msgBuf.decodeFloat64() // ver 3 field
unrealizedPNL := msgBuf.decodeFloat64() // ver 3 field
realizedPNL := msgBuf.decodeFloat64() // ver 3 field
accountName := msgBuf.decodeString() // ver 4 field
if version == 6 && d.serverVersion == 39 {
contract.PrimaryExchange = msgBuf.decodeString()
}
d.wrapper.UpdatePortfolio(contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName)
}
func (d *EDecoder) processAcctUpdateTimeMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
timeStamp := msgBuf.decodeString()
d.wrapper.UpdateAccountTime(timeStamp)
}
func (d *EDecoder) processNextValidIdMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
reqID := msgBuf.decodeInt64()
d.wrapper.NextValidID(reqID)
}
func (d *EDecoder) processContractDataMsg(msgBuf *MsgBuffer) {
var version int64 = 8
if d.serverVersion < MIN_SERVER_VER_SIZE_RULES {
version = msgBuf.decodeInt64()
}
var reqID int64 = -1
if version >= 3 {
reqID = msgBuf.decodeInt64()
}
cd := NewContractDetails()
cd.Contract = *NewContract()
cd.Contract.Symbol = msgBuf.decodeString()
cd.Contract.SecType = msgBuf.decodeString()
d.readLastTradeDate(msgBuf, cd, false)
if d.serverVersion >= MIN_SERVER_VER_LAST_TRADE_DATE {
cd.Contract.LastTradeDate = msgBuf.decodeString()
}
cd.Contract.Strike = msgBuf.decodeFloat64()
cd.Contract.Right = msgBuf.decodeString()
cd.Contract.Exchange = msgBuf.decodeString()
cd.Contract.Currency = msgBuf.decodeString()
cd.Contract.LocalSymbol = msgBuf.decodeString()
cd.MarketName = msgBuf.decodeString()
cd.Contract.TradingClass = msgBuf.decodeString()
cd.Contract.ConID = msgBuf.decodeInt64()
cd.MinTick = msgBuf.decodeFloat64()
if d.serverVersion >= MIN_SERVER_VER_MD_SIZE_MULTIPLIER && d.serverVersion < MIN_SERVER_VER_SIZE_RULES {
_ = msgBuf.decodeInt64() // MdSizeMultiplier - not used anymore
}
cd.Contract.Multiplier = msgBuf.decodeString()
cd.OrderTypes = msgBuf.decodeString()
cd.ValidExchanges = msgBuf.decodeString()
cd.PriceMagnifier = msgBuf.decodeInt64()
if version >= 4 {
cd.UnderConID = msgBuf.decodeInt64()
}
if version >= 5 {
if d.serverVersion >= MIN_SERVER_VER_ENCODE_MSG_ASCII7 {
cd.LongName = msgBuf.decodeStringUnescaped()
} else {
cd.LongName = msgBuf.decodeString()
}
cd.Contract.PrimaryExchange = msgBuf.decodeString()
}
if version >= 6 {
cd.ContractMonth = msgBuf.decodeString()
cd.Industry = msgBuf.decodeString()
cd.Category = msgBuf.decodeString()
cd.Subcategory = msgBuf.decodeString()
cd.TimeZoneID = msgBuf.decodeString()
cd.TradingHours = msgBuf.decodeString()
cd.LiquidHours = msgBuf.decodeString()
}
if version >= 8 {
cd.EVRule = msgBuf.decodeString()
cd.EVMultiplier = msgBuf.decodeInt64()
}
if version >= 7 {
secIDListCount := msgBuf.decodeInt64()
cd.SecIDList = make([]TagValue, 0, secIDListCount)
var i int64
for i = 0; i < secIDListCount; i++ {
tagValue := NewTagValue()
tagValue.Tag = msgBuf.decodeString()
tagValue.Value = msgBuf.decodeString()
cd.SecIDList = append(cd.SecIDList, tagValue)
}
}
if d.serverVersion >= MIN_SERVER_VER_AGG_GROUP {
cd.AggGroup = msgBuf.decodeInt64()
}
if d.serverVersion >= MIN_SERVER_VER_UNDERLYING_INFO {
cd.UnderSymbol = msgBuf.decodeString()
cd.UnderSecType = msgBuf.decodeString()
}
if d.serverVersion >= MIN_SERVER_VER_MARKET_RULES {
cd.MarketRuleIDs = msgBuf.decodeString()
}
if d.serverVersion >= MIN_SERVER_VER_REAL_EXPIRATION_DATE {
cd.RealExpirationDate = msgBuf.decodeString()
}
if d.serverVersion >= MIN_SERVER_VER_STOCK_TYPE {
cd.StockType = msgBuf.decodeString()
}
if d.serverVersion >= MIN_SERVER_VER_FRACTIONAL_SIZE_SUPPORT && d.serverVersion < MIN_SERVER_VER_SIZE_RULES {
_ = msgBuf.decodeDecimal() // sizeMinTick - not used anymore
}
if d.serverVersion >= MIN_SERVER_VER_SIZE_RULES {
cd.MinSize = msgBuf.decodeDecimal()
cd.SizeIncrement = msgBuf.decodeDecimal()
cd.SuggestedSizeIncrement = msgBuf.decodeDecimal()
}
if d.serverVersion >= MIN_SERVER_VER_FUND_DATA_FIELDS && cd.Contract.SecType == "FUND" {
cd.FundName = msgBuf.decodeString()
cd.FundFamily = msgBuf.decodeString()
cd.FundType = msgBuf.decodeString()
cd.FundFrontLoad = msgBuf.decodeString()
cd.FundBackLoad = msgBuf.decodeString()
cd.FundBackLoadTimeInterval = msgBuf.decodeString()
cd.FundManagementFee = msgBuf.decodeString()
cd.FundClosed = msgBuf.decodeBool()
cd.FundClosedForNewInvestors = msgBuf.decodeBool()
cd.FundClosedForNewMoney = msgBuf.decodeBool()
cd.FundNotifyAmount = msgBuf.decodeString()
cd.FundMinimumInitialPurchase = msgBuf.decodeString()
cd.FundSubsequentMinimumPurchase = msgBuf.decodeString()
cd.FundBlueSkyStates = msgBuf.decodeString()
cd.FundBlueSkyTerritories = msgBuf.decodeString()
cd.FundDistributionPolicyIndicator = getFundDistributionPolicyIndicator(msgBuf.decodeString())
cd.FundAssetType = getFundAssetType(msgBuf.decodeString())
}
if d.serverVersion >= MIN_SERVER_VER_INELIGIBILITY_REASONS {
ineligibilityReasonListCount := msgBuf.decodeInt64()
if ineligibilityReasonListCount > 0 {
cd.IneligibilityReasonList = make([]IneligibilityReason, ineligibilityReasonListCount)
var i int64
for i = 0; i < ineligibilityReasonListCount; i++ {
ineligibilityReason := IneligibilityReason{}
ineligibilityReason.ID = msgBuf.decodeString()
ineligibilityReason.Description = msgBuf.decodeString()
cd.IneligibilityReasonList = append(cd.IneligibilityReasonList, ineligibilityReason)
}
}
}
d.wrapper.ContractDetails(reqID, cd)
}
func (d *EDecoder) processBondContractDataMsg(msgBuf *MsgBuffer) {
var version Version = 6
if d.serverVersion < MIN_SERVER_VER_SIZE_RULES {
version = Version(msgBuf.decodeInt64())
}
var reqID int64 = -1
if version >= 3 {
reqID = msgBuf.decodeInt64()
}
contract := NewContractDetails()
contract.Contract.Symbol = msgBuf.decodeString()
contract.Contract.SecType = msgBuf.decodeString()
contract.Cusip = msgBuf.decodeString()
contract.Coupon = msgBuf.decodeFloat64()
d.readLastTradeDate(msgBuf, contract, true)
contract.IssueDate = msgBuf.decodeString()
contract.Ratings = msgBuf.decodeString()
contract.BondType = msgBuf.decodeString()
contract.CouponType = msgBuf.decodeString()
contract.Convertible = msgBuf.decodeBool()
contract.Callable = msgBuf.decodeBool()
contract.Putable = msgBuf.decodeBool()
contract.DescAppend = msgBuf.decodeString()
contract.Contract.Exchange = msgBuf.decodeString()
contract.Contract.Currency = msgBuf.decodeString()
contract.MarketName = msgBuf.decodeString()
contract.Contract.TradingClass = msgBuf.decodeString()
contract.Contract.ConID = msgBuf.decodeInt64()
contract.MinTick = msgBuf.decodeFloat64()
if d.serverVersion >= MIN_SERVER_VER_MD_SIZE_MULTIPLIER && d.serverVersion < MIN_SERVER_VER_SIZE_RULES {
_ = msgBuf.decodeInt64() // mdSizeMultiplier - not used anymore
}
contract.OrderTypes = msgBuf.decodeString()
contract.ValidExchanges = msgBuf.decodeString()
contract.NextOptionDate = msgBuf.decodeString()
contract.NextOptionType = msgBuf.decodeString()
contract.NextOptionPartial = msgBuf.decodeBool()
contract.Notes = msgBuf.decodeString()
if version >= 4 {
contract.LongName = msgBuf.decodeString()
}
if d.serverVersion >= MIN_SERVER_VER_BOND_TRADING_HOURS {
contract.TimeZoneID = msgBuf.decodeString()
contract.TradingHours = msgBuf.decodeString()
contract.LiquidHours = msgBuf.decodeString()
}
if version >= 6 {
contract.EVRule = msgBuf.decodeString()
contract.EVMultiplier = msgBuf.decodeInt64()
}
if version >= 5 {
secIDListCount := msgBuf.decodeInt64()
contract.SecIDList = make([]TagValue, 0, secIDListCount)
var i int64
for i = 0; i < secIDListCount; i++ {
tagValue := NewTagValue()
tagValue.Tag = msgBuf.decodeString()
tagValue.Value = msgBuf.decodeString()
contract.SecIDList = append(contract.SecIDList, tagValue)
}
}
if d.serverVersion >= MIN_SERVER_VER_AGG_GROUP {
contract.AggGroup = msgBuf.decodeInt64()
}
if d.serverVersion >= MIN_SERVER_VER_MARKET_RULES {
contract.MarketRuleIDs = msgBuf.decodeString()
}
if d.serverVersion >= MIN_SERVER_VER_SIZE_RULES {
contract.MinSize = msgBuf.decodeDecimal()
contract.SizeIncrement = msgBuf.decodeDecimal()
contract.SuggestedSizeIncrement = msgBuf.decodeDecimal()
}
d.wrapper.BondContractDetails(reqID, contract)
}
func (d *EDecoder) processExecutionDetailsMsg(msgBuf *MsgBuffer) {
version := d.serverVersion
if d.serverVersion < MIN_SERVER_VER_LAST_LIQUIDITY {
version = Version(msgBuf.decodeInt64())
}
var reqID int64 = -1
if version >= 7 {
reqID = msgBuf.decodeInt64()
}
orderID := msgBuf.decodeInt64()
// decode contact fields
contract := NewContract()
contract.ConID = msgBuf.decodeInt64()
contract.Symbol = msgBuf.decodeString()
contract.SecType = msgBuf.decodeString()
contract.LastTradeDateOrContractMonth = msgBuf.decodeString()
contract.Strike = msgBuf.decodeFloat64()
contract.Right = msgBuf.decodeString()
if version >= 9 {
contract.Multiplier = msgBuf.decodeString()
}
contract.Exchange = msgBuf.decodeString()
contract.Currency = msgBuf.decodeString()
contract.LocalSymbol = msgBuf.decodeString()
if version >= 10 {
contract.TradingClass = msgBuf.decodeString()
}
// read execution fields
execution := NewExecution()
execution.OrderID = orderID
execution.ExecID = msgBuf.decodeString()
execution.Time = msgBuf.decodeString()
execution.AcctNumber = msgBuf.decodeString()
execution.Exchange = msgBuf.decodeString()
execution.Side = msgBuf.decodeString()
execution.Shares = msgBuf.decodeDecimal()
execution.Price = msgBuf.decodeFloat64()
execution.PermID = msgBuf.decodeInt64()
execution.ClientID = msgBuf.decodeInt64()
execution.Liquidation = msgBuf.decodeInt64()
if version >= 6 {
execution.CumQty = msgBuf.decodeDecimal()
execution.AvgPrice = msgBuf.decodeFloat64()
}
if version >= 8 {
execution.OrderRef = msgBuf.decodeString()
}
if version >= 9 {
execution.EVRule = msgBuf.decodeString()
execution.EVMultiplier = msgBuf.decodeFloat64()
}
if d.serverVersion >= MIN_SERVER_VER_MODELS_SUPPORT {
execution.ModelCode = msgBuf.decodeString()
}
if d.serverVersion >= MIN_SERVER_VER_LAST_LIQUIDITY {
execution.LastLiquidity = msgBuf.decodeInt64()
}
if d.serverVersion >= MIN_SERVER_VER_PENDING_PRICE_REVISION {
execution.PendingPriceRevision = msgBuf.decodeBool()
}
d.wrapper.ExecDetails(reqID, contract, execution)
}
func (d *EDecoder) processMarketDepthMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
tickerID := msgBuf.decodeInt64()
position := msgBuf.decodeInt64()
operation := msgBuf.decodeInt64()
side := msgBuf.decodeInt64()
price := msgBuf.decodeFloat64()
size := msgBuf.decodeDecimal()
d.wrapper.UpdateMktDepth(tickerID, position, operation, side, price, size)
}
func (d *EDecoder) processMarketDepthL2Msg(msgBuf *MsgBuffer) {
msgBuf.decode()
tickerID := msgBuf.decodeInt64()
position := msgBuf.decodeInt64()
marketMaker := msgBuf.decodeString()
operation := msgBuf.decodeInt64()
side := msgBuf.decodeInt64()
price := msgBuf.decodeFloat64()
size := msgBuf.decodeDecimal()
isSmartDepth := false
if d.serverVersion >= MIN_SERVER_VER_SMART_DEPTH {
isSmartDepth = msgBuf.decodeBool()
}
d.wrapper.UpdateMktDepthL2(tickerID, position, marketMaker, operation, side, price, size, isSmartDepth)
}
func (d *EDecoder) processNewsBulletinsMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
msgID := msgBuf.decodeInt64()
msgType := msgBuf.decodeInt64()
newsMessage := msgBuf.decodeString()
originExch := msgBuf.decodeString()
d.wrapper.UpdateNewsBulletin(msgID, msgType, newsMessage, originExch)
}
func (d *EDecoder) processManagedAcctsMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
accountsNames := msgBuf.decodeString()
accountsList := strings.Split(accountsNames, ",")
d.wrapper.ManagedAccounts(accountsList)
}
func (d *EDecoder) processReceiveFaMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
faDataType := FaDataType(msgBuf.decodeInt64())
cxml := msgBuf.decodeString()
d.wrapper.ReceiveFA(faDataType, cxml)
}
func (d *EDecoder) processHistoricalDataMsg(msgBuf *MsgBuffer) {
if d.serverVersion < MIN_SERVER_VER_SYNT_REALTIME_BARS {
msgBuf.decode()
}
reqID := msgBuf.decodeInt64()
startDateStr := msgBuf.decodeString()
endDateStr := msgBuf.decodeString()
itemCount := msgBuf.decodeInt64()
var i int64
for i = 0; i < itemCount; i++ {
bar := NewBar()
bar.Date = msgBuf.decodeString()
bar.Open = msgBuf.decodeFloat64()
bar.High = msgBuf.decodeFloat64()
bar.Low = msgBuf.decodeFloat64()
bar.Close = msgBuf.decodeFloat64()
bar.Volume = msgBuf.decodeDecimal()
bar.Wap = msgBuf.decodeDecimal()
if d.serverVersion < MIN_SERVER_VER_SYNT_REALTIME_BARS {
msgBuf.decode()
}
bar.BarCount = msgBuf.decodeInt64()
d.wrapper.HistoricalData(reqID, &bar)
}
d.wrapper.HistoricalDataEnd(reqID, startDateStr, endDateStr)
}
func (d *EDecoder) processScannerDataMsg(msgBuf *MsgBuffer) {
msgBuf.decode()
reqID := msgBuf.decodeInt64()
numberOfElements := msgBuf.decodeInt64()
var i int64
for i = 0; i < numberOfElements; i++ {
contractDetails := NewContractDetails()
rank := msgBuf.decodeInt64()
contractDetails.Contract.ConID = msgBuf.decodeInt64()