#ifndef TWSAPI_H_ #define TWSAPI_H_ #ifdef __cplusplus extern "C" { #endif /* public C API */ #define TWSCLIENT_VERSION 46 typedef struct under_comp { double u_price; double u_delta; int u_conid; } under_comp_t; typedef struct contract_details_summary { double s_strike; char *s_symbol; char *s_sectype; char *s_expiry; char *s_right; char *s_exchange; char *s_primary_exch; char *s_currency; char *s_local_symbol; char *s_multiplier; int s_conid; } contract_details_summary_t; typedef struct tr_contract_details { double d_mintick; double d_coupon; contract_details_summary_t d_summary; char * d_market_name; char * d_trading_class; char * d_order_types; char * d_valid_exchanges; char * d_cusip; char * d_maturity; char * d_issue_date; char * d_ratings; char * d_bond_type; char * d_coupon_type; char * d_desc_append; char * d_next_option_date; char * d_next_option_type; char * d_notes; char * d_long_name; char * d_contract_month; char * d_industry; char * d_category; char * d_subcategory; char * d_timezone_id; char * d_trading_hours; char * d_liquid_hours; int d_price_magnifier; int d_under_conid; unsigned d_convertible: 1; unsigned d_callable: 1; unsigned d_putable: 1; unsigned d_next_option_partial:1; } tr_contract_details_t; typedef struct tr_comboleg { char *co_action; /* BUY, SELL */ char *co_exchange; char *co_designated_location; /* set to "" if unused, as usual */ int co_conid; int co_ratio; int co_open_close; int co_short_sale_slot; /* 1 = clearing broker, 2 = third party */ } tr_comboleg_t; typedef struct tr_contract { under_comp_t *c_undercomp; double c_strike; char * c_symbol; char * c_sectype; char * c_exchange; char * c_primary_exch; char * c_expiry; char * c_currency; char * c_right; char * c_local_symbol; char * c_multiplier; char * c_combolegs_descrip; char * c_secid_type; char * c_secid; tr_comboleg_t *c_comboleg; long c_num_combolegs; int c_conid; unsigned c_include_expired:1; } tr_contract_t; struct tag_value { char *t_tag; char *t_val; }; typedef struct tr_order { double o_discretionary_amt; double o_lmt_price; double o_aux_price; double o_percent_offset; double o_nbbo_price_cap; double o_starting_price; double o_stock_ref_price; double o_delta; double o_stock_range_lower; double o_stock_range_upper; double o_volatility; double o_delta_neutral_aux_price; double o_trail_stop_price; double o_basis_points; double o_scale_price_increment; char * o_algo_strategy; char * o_good_after_time; char * o_good_till_date; char * o_fagroup; char * o_famethod; char * o_fapercentage; char * o_faprofile; char * o_action; char * o_order_type; char * o_tif; char * o_oca_group; char * o_account; char * o_open_close; char * o_orderref; char * o_designated_location; char * o_rule80a; char * o_settling_firm; char * o_delta_neutral_order_type; char * o_clearing_account; char * o_clearing_intent; struct tag_value *o_tvector; /* array of length o_tval_count, API user responsible for alloc/free */ int o_tval_count; /* how many tag values are in o_tvector, 0 if unused */ int o_orderid; int o_total_quantity; int o_origin; #define CUSTOMER 0 #define FIRM 1 int o_clientid; int o_permid; int o_parentid; int o_display_size; int o_trigger_method; int o_min_qty; int o_volatility_type; int o_reference_price_type; int o_basis_points_type; int o_scale_subs_level_size; int o_scale_init_level_size; unsigned o_oca_type:3; #define CANCEL_WITH_BLOCK 1 #define REDUCE_WITH_BLOCK 2 #define REDUCE_NON_BLOCK 3 unsigned o_auction_strategy:3; #define AUCTION_MATCH 1 #define AUCTION_IMPROVEMENT 2 #define AUCTION_TRANSPARENT 3 unsigned o_short_sale_slot:2; /*1 or 2 */ unsigned o_override_percentage_constraints:1; unsigned o_firm_quote_only:1; unsigned o_etrade_only:1; unsigned o_all_or_none:1; unsigned o_outside_rth: 1; /* ignore_rth disappeared */ unsigned o_hidden: 1; unsigned o_transmit: 1; unsigned o_block_order: 1; unsigned o_sweep_to_fill: 1; unsigned o_continuous_update: 1; unsigned o_whatif: 1; unsigned o_not_held: 1; } tr_order_t; typedef struct tr_order_status { double ost_commission; double ost_min_commission; double ost_max_commission; char *ost_status; char *ost_init_margin; char *ost_maint_margin; char *ost_equity_with_loan; char *ost_commission_currency; char *ost_warning_text; } tr_order_status_t; typedef struct tr_execution { double e_price; double e_avg_price; char *e_execid; char *e_time; char *e_acct_number; char *e_exchange; char *e_side; int e_shares; int e_permid; int e_clientid; int e_liquidation; int e_orderid; int e_cum_qty; } tr_execution_t; typedef struct tr_exec_filter { char *f_acctcode; char *f_time; char *f_symbol; char *f_sectype; char *f_exchange; char *f_side; int f_clientid; } tr_exec_filter_t; typedef struct tr_scanner_subscription { double scan_above_price; double scan_below_price; double scan_coupon_rate_above; double scan_coupon_rate_below; double scan_market_cap_above; double scan_market_cap_below; char *scan_exclude_convertible; char *scan_instrument; char *scan_location_code; char *scan_maturity_date_above; char *scan_maturity_date_below; char *scan_moody_rating_above; char *scan_moody_rating_below; char *scan_code; char *scan_sp_rating_above; char *scan_sp_rating_below; char *scan_scanner_setting_pairs; char *scan_stock_type_filter; int scan_above_volume; int scan_number_of_rows; int scan_average_option_volume_above; } tr_scanner_subscription_t; /* what the heck are these? */ #define OPT_UNKNOWN "?" #define OPT_BROKER_DEALER "b" #define OPT_CUSTOMER "c" #define OPT_FIRM "f" #define OPT_ISEMM "m" #define OPT_FARMM "n" #define OPT_SPECIALIST "y" #define GROUPS 1 #define PROFILES 2 #define ALIASES 3 typedef void (*tws_func_t)(void *arg); /* must return 0 on success, -1 on failure */ typedef int (*start_thread_t)(tws_func_t func, void *arg); /* it's up to user whether to use threads or not */ #define TWS_NO_THREAD ((start_thread_t) 0) typedef void (*external_func_t)(int); /* "func" calls this one once at startup and again at termination, * param 0 indicates startup, param 1 indicates termination */ /* user is responsible for implementing this function, see example.c */ typedef int (*resolve_name_t)(const void *name /*IN*/, void *addr /*OUT*/, long *addr_len /*IN,OUT*/); /* returns -1 on failure, 0 otherwise, addr_len 4 means ipv4, 16 means ipv6 */ /* creates new tws client instance, starts reader thread and * and records opaque user defined pointer to be supplied in all callbacks */ void *tws_create(start_thread_t start_thread, void *opaque, external_func_t myfunc); void tws_destroy(void *tws_instance); int tws_connected(void *tws_instance); /* true=1 or false=0 */ int tws_event_process(void *tws_instance); /* dispatches event to a callback.c func */ int tws_connect(void *tws, const char host[], unsigned short port, int clientid, resolve_name_t resolv_func); void tws_disconnect(void *tws); int tws_req_scanner_parameters(void *tws); int tws_req_scanner_subscription(void *tws, int ticker_id, tr_scanner_subscription_t *subscription); int tws_cancel_scanner_subscription(void *tws, int ticker_id); int tws_req_mkt_data(void *tws, int ticker_id, tr_contract_t *contract, const char generic_tick_list[], long snapshot); int tws_req_historical_data(void *tws, int ticker_id, tr_contract_t *contract, const char end_date_time[], const char duration_str[], const char bar_size_setting[], const char what_to_show[], int use_rth, int format_date); int tws_cancel_historical_data(void *tws, int ticker_id); int tws_cancel_mkt_data(void *tws, int ticker_id); int tws_exercise_options(void *tws, int ticker_id, tr_contract_t *contract, int exercise_action, int exercise_quantity, const char account[], int override); int tws_place_order(void *tws, long order_id, tr_contract_t *contract, tr_order_t *order); int tws_cancel_order(void *tws, long order_id); int tws_req_open_orders(void *tws); int tws_req_account_updates(void *tws, int subscribe, const char acct_code[]); int tws_req_executions(void *tws, int reqid, tr_exec_filter_t *filter); int tws_req_ids(void *tws, int num_ids); int tws_req_contract_details(void *tws, int reqid, tr_contract_t *contract); int tws_req_mkt_depth(void *tws, int ticker_id, tr_contract_t *contract, int num_rows); int tws_cancel_mkt_depth(void *tws, int ticker_id); int tws_req_news_bulletins(void *tws, int all_msgs); int tws_cancel_news_bulletins(void *tws); int tws_set_server_log_level(void *tws, int level); int tws_req_auto_open_orders(void *tws, int auto_bind); int tws_req_all_open_orders(void *tws); int tws_req_managed_accts(void *tws); int tws_request_fa(void *tws, long fa_data_type); int tws_replace_fa(void *tws, long fa_data_type, const char cxml[]); int tws_req_current_time(void *tws); int tws_request_realtime_bars(void *tws, int ticker_id, tr_contract_t *c, int bar_size, const char what_to_show[], int use_rth); int tws_cancel_realtime_bars(void *tws, int ticker_id); /**** 2 auxilliary routines */ int tws_server_version(void *tws); const char *tws_connection_time(void *tws); /************************************ callbacks *************************************/ /* API users must implement some or all of these C functions */ //static void receive_portfolio_value(tws_instance_t *ti); void event_get_port_value(void *ti); void event_tick_price(void *opaque, int ticker_id, long field, double price, int can_auto_execute); void event_tick_size(void *opaque, int ticker_id, long field, int size); void event_tick_option_computation(void *opaque, int ticker_id, int type, double implied_vol, double delta, double model_price, double pr_dividend); void event_tick_generic(void *opaque, int ticker_id, int type, double value); void event_tick_string(void *opaque, int ticker_id, int type, const char value[]); void event_tick_efp(void *opaque, int ticker_id, int tick_type, double basis_points, const char formatted_basis_points[], double implied_futures_price, int hold_days, const char future_expiry[], double dividend_impact, double dividends_to_expiry); void event_order_status(void *opaque, long order_id, const char status[], int filled, int remaining, double avg_fill_price, int perm_id, int parent_id, double last_fill_price, int client_id, const char why_held[]); void event_open_order(void *opaque, long order_id, const tr_contract_t *contract, const tr_order_t *order, const tr_order_status_t *ost); void event_connection_closed(void *opaque); void event_update_account_value(void *opaque, const char key[], const char val[], const char currency[], const char account_name[]); void event_update_portfolio(void *opaque, const tr_contract_t *contract, int position, double mkt_price, double mkt_value, double average_cost, double unrealized_pnl, double realized_pnl, const char account_name[]); void event_update_account_time(void *opaque, const char time_stamp[]); void event_next_valid_id(void *opaque, long order_id); void event_contract_details(void *opaque, int req_id, const tr_contract_details_t *contract_details); void event_bond_contract_details(void *opaque, int req_id, const tr_contract_details_t *contract_details); void event_exec_details(void *opaque, long order_id, const tr_contract_t *contract, const tr_execution_t *execution); void event_error(void *opaque, int id, int error_code, const char error_string[]); void event_update_mkt_depth(void *opaque, int ticker_id, int position, int operation, int side, double price, int size); void event_update_mkt_depth_l2(void *opaque, int ticker_id, int position, char *market_maker, int operation, int side, double price, int size); void event_update_news_bulletin(void *opaque, int msgid, int msg_type, const char news_msg[], const char origin_exch[]); void event_managed_accounts(void *opaque, const char accounts_list[]); void event_receive_fa(void *opaque, long fa_data_type, const char cxml[]); void event_historical_data(void *opaque, int reqid, const char date[], double open, double high, double low, double close, int volume, int bar_count, double wap, int has_gaps); void event_scanner_parameters(void *opaque, const char xml[]); void event_scanner_data(void *opaque, int ticker_id, int rank, tr_contract_details_t *cd, const char distance[], const char benchmark[], const char projection[], const char legs_str[]); void event_scanner_data_end(void *opaque, int ticker_id); void event_current_time(void *opaque, long time); void event_realtime_bar(void *opaque, int reqid, long time, double open, double high, double low, double close, long volume, double wap, int count); void event_fundamental_data(void *opaque, int reqid, const char data[]); void event_contract_details_end(void *opaque, int reqid); void event_open_order_end(void *opaque); void event_delta_neutral_validation(void *opaque, int reqid, under_comp_t *und); void event_acct_download_end(void *opaque, char acct_name[]); void event_exec_details_end(void *opaque, int reqid); void event_tick_snapshot_end(void *opaque, int reqid); /*outgoing message IDs */ enum tws_outgoing_ids { REQ_MKT_DATA = 1, CANCEL_MKT_DATA = 2, PLACE_ORDER = 3, CANCEL_ORDER = 4, REQ_OPEN_ORDERS = 5, REQ_ACCOUNT_DATA = 6, REQ_EXECUTIONS = 7, REQ_IDS = 8, REQ_CONTRACT_DATA = 9, REQ_MKT_DEPTH = 10, CANCEL_MKT_DEPTH = 11, REQ_NEWS_BULLETINS = 12, CANCEL_NEWS_BULLETINS = 13, SET_SERVER_LOGLEVEL = 14, REQ_AUTO_OPEN_ORDERS = 15, REQ_ALL_OPEN_ORDERS = 16, REQ_MANAGED_ACCTS = 17, REQ_FA = 18, REPLACE_FA = 19, REQ_HISTORICAL_DATA = 20, EXERCISE_OPTIONS = 21, REQ_SCANNER_SUBSCRIPTION = 22, CANCEL_SCANNER_SUBSCRIPTION = 23, REQ_SCANNER_PARAMETERS = 24, CANCEL_HISTORICAL_DATA = 25, REQ_CURRENT_TIME = 49, REQ_REAL_TIME_BARS = 50, CANCEL_REAL_TIME_BARS = 51, REQ_FUNDAMENTAL_DATA = 52, CANCEL_FUNDAMENTAL_DATA = 53 }; #define MIN_SERVER_VER_SCALE_ORDERS 35 #define MIN_SERVER_VER_SNAPSHOT_MKT_DATA 35 #define MIN_SERVER_VER_SSHORT_COMBO_LEGS 35 #define MIN_SERVER_VER_WHAT_IF_ORDERS 36 #define MIN_SERVER_VER_CONTRACT_CONID 37 #define MIN_SERVER_VER_PTA_ORDERS 39 #define MIN_SERVER_VER_FUNDAMENTAL_DATA 40 #define MIN_SERVER_VER_UNDER_COMP 40 #define MIN_SERVER_VER_CONTRACT_DATA_CHAIN 40 #define MIN_SERVER_VER_SCALE_ORDERS2 40 #define MIN_SERVER_VER_ALGO_ORDERS 41 #define MIN_SERVER_VER_EXECUTION_DATA_CHAIN 42 #define MIN_SERVER_VER_NOT_HELD 44 #define MIN_SERVER_VER_SEC_ID_TYPE 45 enum tws_incoming_ids { TICK_PRICE = 1, TICK_SIZE = 2, ORDER_STATUS = 3, ERR_MSG = 4, OPEN_ORDER = 5, ACCT_VALUE = 6, PORTFOLIO_VALUE = 7, ACCT_UPDATE_TIME = 8, NEXT_VALID_ID = 9, CONTRACT_DATA = 10, EXECUTION_DATA = 11, MARKET_DEPTH = 12, MARKET_DEPTH_L2 = 13, NEWS_BULLETINS = 14, MANAGED_ACCTS = 15, RECEIVE_FA = 16, HISTORICAL_DATA = 17, BOND_CONTRACT_DATA = 18, SCANNER_PARAMETERS = 19, SCANNER_DATA = 20, TICK_OPTION_COMPUTATION = 21, TICK_GENERIC = 45, TICK_STRING = 46, TICK_EFP = 47, CURRENT_TIME = 49, REAL_TIME_BARS = 50, FUNDAMENTAL_DATA = 51, CONTRACT_DATA_END = 52, OPEN_ORDER_END = 53, ACCT_DOWNLOAD_END = 54, EXECUTION_DATA_END = 55, DELTA_NEUTRAL_VALIDATION = 56, TICK_SNAPSHOT_END = 57 }; /* ERROR codes */ enum twsclient_error_codes { NO_VALID_ID = -1, NO_ERROR, /* thanks to Gino for pointing out that 0 is special */ ALREADY_CONNECTED, CONNECT_FAIL, UPDATE_TWS, NOT_CONNECTED, UNKNOWN_ID, FAIL_SEND_REQMKT, FAIL_SEND_CANMKT, FAIL_SEND_ORDER, FAIL_SEND_ACCT, FAIL_SEND_EXEC, FAIL_SEND_CORDER, FAIL_SEND_OORDER, UNKNOWN_CONTRACT, FAIL_SEND_REQCONTRACT, FAIL_SEND_REQMKTDEPTH, FAIL_SEND_CANMKTDEPTH, FAIL_SEND_SERVER_LOG_LEVEL, FAIL_SEND_FA_REQUEST, FAIL_SEND_FA_REPLACE, FAIL_SEND_REQSCANNERPARAMETERS, FAIL_SEND_CANSCANNER, FAIL_SEND_REQSCANNER, FAIL_SEND_REQRTBARS, FAIL_SEND_CANRTBARS, FAIL_SEND_REQCURRTIME, FAIL_SEND_REQFUNDDATA, FAIL_SEND_CANFUNDDATA }; struct twsclient_errmsg { long err_code; //char *err_msg; char err_msg[150]; }; #ifdef TWSAPI_GLOBALS struct twsclient_errmsg twsclient_err_indication[] = { /* these correspond to enum twsclient_error_codes, save for code -1 * usage: if(err_code >= 0) puts(twsclient_err_indication[err_code]); */ { 0, "No error" }, { 501, "Already connected." }, { 502, "Couldn't connect to TWS. Confirm that \"Enable ActiveX and Socket Clients\" is enabled on the TWS \"Configure->API\" menu." }, { 503, "The TWS is out of date and must be upgraded."} , { 504, "Not connected" }, { 505, "Fatal Error: Unknown message id."}, { 510, "Request Market Data Sending Error - "}, { 511, "Cancel Market Data Sending Error - "}, { 512, "Order Sending Error - "}, { 513, "Account Update Request Sending Error -"}, { 514, "Request For Executions Sending Error -"}, { 515, "Cancel Order Sending Error -"}, { 516, "Request Open Order Sending Error -"}, { 517, "Unknown contract. Verify the contract details supplied."}, { 518, "Request Contract Data Sending Error - "}, { 519, "Request Market Depth Sending Error - "}, { 520, "Cancel Market Depth Sending Error - "}, { 521, "Set Server Log Level Sending Error - "}, { 522, "FA Information Request Sending Error - "}, { 523, "FA Information Replace Sending Error - "}, { 524, "Request Scanner Subscription Sending Error - "}, { 525, "Cancel Scanner Subscription Sending Error - "}, { 526, "Request Scanner Parameter Sending Error - "}, { 527, "Request Historical Data Sending Error - "}, { 528, "Request Historical Data Sending Error - "}, { 529, "Request Real-time Bar Data Sending Error - "}, { 530, "Cancel Real-time Bar Data Sending Error - "}, { 531, "Request Current Time Sending Error - "}, { 532, "Request Fundamental Data Sending Error - "}, { 533, "Cancel Fundamental Data Sending Error - "} }; const char *tws_incoming_msg_names[] = { "tick_price", "tick_size", "order_status", "err_msg", "open_order", "acct_value", "portfolio_value", "acct_update_time", "next_valid_id", "contract_data", "execution_data", "market_depth", "market_depth_l2", "news_bulletins", "managed_accts", "receive_fa", "historical_data", "bond_contract_data", "scanner_parameters", "scanner_data", "tick_option_computation", /* place holders follow */ "msg22", "msg23", "msg24", "msg25", "msg26", "msg27", "msg28", "msg29", "msg30", "msg31", "msg32", "msg33", "msg34", "msg35", "msg36", "msg37", "msg38", "msg39", "msg40", "msg41", "msg42", "msg43", "msg44", /* end of place holders */ "tick_generic", "tick_string", "tick_efp", "msg48", "current_time", "realtime_bars" }; const char *fa_msg_name[] = { "GROUPS", "PROFILES", "ALIASES" }; static const unsigned int d_nan[2] = {~0U, ~(1U<<31)}; double *dNAN = (double *)(void *) d_nan; #else extern struct twsclient_errmsg twsclient_err_indication[]; extern char *tws_incoming_msg_names[]; extern char *fa_msg_name[]; extern double *dNAN; #endif /* TWSAPI_GLOBALS */ #define fa_msg_type_name(x) (((x)>= GROUPS && (x) <= ALIASES) ? fa_msg_name[x] : 0) #define MODEL_OPTION 13 #ifdef __cplusplus } #endif #endif /* TWSAPI_H_ */