src/core/io/decoder.ts
import { Contract } from "../../api/contract/contract";
import { ContractDescription } from "../../api/contract/contractDescription";
import { ContractDetails } from "../../api/contract/contractDetails";
import { DeltaNeutralContract } from "../../api/contract/deltaNeutralContract";
import {
FundAssetType,
FundDistributionPolicyIndicator,
} from "../../api/contract/fund";
import DepthMktDataDescription from "../../api/data/container/depth-mkt-data-description";
import FamilyCode from "../../api/data/container/family-code";
import NewsProvider from "../../api/data/container/news-provider";
import SoftDollarTier from "../../api/data/container/soft-dollar-tier";
import TagValue from "../../api/data/container/tag-value";
import { EventName } from "../../api/data/enum/event-name";
import MIN_SERVER_VER from "../../api/data/enum/min-server-version";
import OptionType from "../../api/data/enum/option-type";
import SecType from "../../api/data/enum/sec-type";
import { HistoricalSession } from "../../api/historical/HistoricalSession";
import { HistogramEntry } from "../../api/historical/histogramEntry";
import { HistoricalTick } from "../../api/historical/historicalTick";
import { HistoricalTickBidAsk } from "../../api/historical/historicalTickBidAsk";
import { HistoricalTickLast } from "../../api/historical/historicalTickLast";
import { TickType } from "../../api/market/tickType";
import ExecutionCondition from "../../api/order/condition/execution-condition";
import MarginCondition from "../../api/order/condition/margin-condition";
import PercentChangeCondition from "../../api/order/condition/percent-change-condition";
import PriceCondition from "../../api/order/condition/price-condition";
import TimeCondition from "../../api/order/condition/time-condition";
import VolumeCondition from "../../api/order/condition/volume-condition";
import { ConjunctionConnection } from "../../api/order/enum/conjunction-connection";
import OrderAction from "../../api/order/enum/order-action";
import { OrderConditionType } from "../../api/order/enum/order-condition-type";
import { OrderStatus } from "../../api/order/enum/order-status";
import { OrderType, isPegBenchOrder } from "../../api/order/enum/orderType";
import { TimeInForce } from "../../api/order/enum/tif";
import { TriggerMethod } from "../../api/order/enum/trigger-method";
import { Execution } from "../../api/order/execution";
import { Order } from "../../api/order/order";
import { OrderState } from "../../api/order/orderState";
import { CommissionReport } from "../../api/report/commissionReport";
import { ErrorCode } from "../../common/errorCode";
import { IN_MSG_ID } from "./enum/in-msg-id";
/**
* @internal
*
* Verify if the value is a valid OptionType.
* Returns the value is valid, undefined otherwise.
*/
function validateOptionType(v: OptionType): OptionType | undefined {
return Object.values(OptionType).indexOf(v) !== -1 ? v : undefined;
}
/**
* @internal
*
* An underrun error on the input de-serialization.
*/
export class UnderrunError extends Error {
constructor(public message: string = "An underrun error has occurred") {
super();
}
readonly stack = new Error().stack;
readonly name = "UnderrunError";
}
/**
* @internal
*
* An item on the emit queue.
*/
interface EmitQueueItem {
/** Event name. */
name: EventName;
/** Event arguments. */
args: unknown[];
}
/**
* @internal
*
* Callback interface of the [[Decoder]].
*/
export interface DecoderCallbacks {
/** Get the IB API server version. */
readonly serverVersion: number;
/**
* Emit an event to public API interface.
*
* @param eventName Event name.
* @param args Event arguments.
*/
emitEvent(eventName: EventName, ...args: unknown[]): void;
/**
* Emit an error event to public API interface.
*
* @param errMsg The error test message.
* @param code The code identifying the error.
* @param reqId The request identifier which generated the error.
* @param advancedOrderReject An object providing more information in case of an order rejection
*/
emitError(
errMsg: string,
code: number,
reqId: number,
advancedOrderReject?: unknown,
): void;
/**
* Emit an information message event to public API interface.
*
* @param message The message text.
* @param code The message code.
*/
emitInfo(message: string, code: number): void;
}
/**
* @internal
*
* Class for decoding token data to messages and emitting events it to the
* [[Controller]] event queue.
*/
export class Decoder {
/**
* Create an [[Incoming]] object.
*
* @param callback A [[DecoderCallbacks]] implementation.
*/
constructor(private callback: DecoderCallbacks) {}
/**
* Input data queue.
*
* If the value is a string, this is a tokens as received from TWS / IB Gateway.
* If the value is undefined, this signals the boundary (start or end) of a message (used with V100 protocol only).
*/
private dataQueue: (string | undefined)[] = [];
/** Data emit queue (data to be emitted to controller). */
private emitQueue: EmitQueueItem[] = [];
/**
* Add a new message to queue.
*
* Used on V100 protocol.
*/
enqueueMessage(tokens: string[]): void {
this.dataQueue.push(undefined); // signal start boundary
this.dataQueue = this.dataQueue.concat(tokens);
this.dataQueue.push(undefined); // signal end boundary
}
/**
* Add new tokens to queue.
*
* Used on pre-V100 protocol.
*/
enqueueTokens(tokens: string[]): void {
this.dataQueue = this.dataQueue.concat(tokens);
}
/**
* Process a message on data queue.
*/
processMsg(msgId: IN_MSG_ID): void {
switch (msgId) {
case IN_MSG_ID.TICK_PRICE:
return this.decodeMsg_TICK_PRICE();
case IN_MSG_ID.TICK_SIZE:
return this.decodeMsg_TICK_SIZE();
case IN_MSG_ID.ORDER_STATUS:
return this.decodeMsg_ORDER_STATUS();
case IN_MSG_ID.ERR_MSG:
return this.decodeMsg_ERR_MSG();
case IN_MSG_ID.OPEN_ORDER:
return this.decodeMsg_OPEN_ORDER();
case IN_MSG_ID.ACCT_VALUE:
return this.decodeMsg_ACCT_VALUE();
case IN_MSG_ID.PORTFOLIO_VALUE:
return this.decodeMsg_PORTFOLIO_VALUE();
case IN_MSG_ID.ACCT_UPDATE_TIME:
return this.decodeMsg_ACCT_UPDATE_TIME();
case IN_MSG_ID.NEXT_VALID_ID:
return this.decodeMsg_NEXT_VALID_ID();
case IN_MSG_ID.CONTRACT_DATA:
return this.decodeMsg_CONTRACT_DATA();
case IN_MSG_ID.EXECUTION_DATA:
return this.decodeMsg_EXECUTION_DATA();
case IN_MSG_ID.MARKET_DEPTH:
return this.decodeMsg_MARKET_DEPTH();
case IN_MSG_ID.MARKET_DEPTH_L2:
return this.decodeMsg_MARKET_DEPTH_L2();
case IN_MSG_ID.NEWS_BULLETINS:
return this.decodeMsg_NEWS_BULLETINS();
case IN_MSG_ID.MANAGED_ACCTS:
return this.decodeMsg_MANAGED_ACCTS();
case IN_MSG_ID.RECEIVE_FA:
return this.decodeMsg_RECEIVE_FA();
case IN_MSG_ID.HISTORICAL_DATA:
return this.decodeMsg_HISTORICAL_DATA();
case IN_MSG_ID.BOND_CONTRACT_DATA:
return this.decodeMsg_BOND_CONTRACT_DATA();
case IN_MSG_ID.SCANNER_PARAMETERS:
return this.decodeMsg_SCANNER_PARAMETERS();
case IN_MSG_ID.SCANNER_DATA:
return this.decodeMsg_SCANNER_DATA();
case IN_MSG_ID.TICK_OPTION_COMPUTATION:
return this.decodeMsg_TICK_OPTION_COMPUTATION();
case IN_MSG_ID.TICK_GENERIC:
return this.decodeMsg_TICK_GENERIC();
case IN_MSG_ID.TICK_STRING:
return this.decodeMsg_TICK_STRING();
case IN_MSG_ID.TICK_EFP:
return this.decodeMsg_TICK_EFP();
case IN_MSG_ID.CURRENT_TIME:
return this.decodeMsg_CURRENT_TIME();
case IN_MSG_ID.REAL_TIME_BARS:
return this.decodeMsg_REAL_TIME_BARS();
case IN_MSG_ID.FUNDAMENTAL_DATA:
return this.decodeMsg_FUNDAMENTAL_DATA();
case IN_MSG_ID.CONTRACT_DATA_END:
return this.decodeMsg_CONTRACT_DATA_END();
case IN_MSG_ID.OPEN_ORDER_END:
return this.decodeMsg_OPEN_ORDER_END();
case IN_MSG_ID.ACCT_DOWNLOAD_END:
return this.decodeMsg_ACCT_DOWNLOAD_END();
case IN_MSG_ID.EXECUTION_DATA_END:
return this.decodeMsg_EXECUTION_DATA_END();
case IN_MSG_ID.DELTA_NEUTRAL_VALIDATION:
return this.decodeMsg_DELTA_NEUTRAL_VALIDATION();
case IN_MSG_ID.TICK_SNAPSHOT_END:
return this.decodeMsg_TICK_SNAPSHOT_END();
case IN_MSG_ID.MARKET_DATA_TYPE:
return this.decodeMsg_MARKET_DATA_TYPE();
case IN_MSG_ID.COMMISSION_REPORT:
return this.decodeMsg_COMMISSION_REPORT();
case IN_MSG_ID.POSITION:
return this.decodeMsg_POSITION();
case IN_MSG_ID.POSITION_END:
return this.decodeMsg_POSITION_END();
case IN_MSG_ID.ACCOUNT_SUMMARY:
return this.decodeMsg_ACCOUNT_SUMMARY();
case IN_MSG_ID.ACCOUNT_SUMMARY_END:
return this.decodeMsg_ACCOUNT_SUMMARY_END();
/* For IB's internal purpose - not implement:
case IN_MSG_ID.VERIFY_MESSAGE_API:
case IN_MSG_ID.VERIFY_COMPLETED:
*/
case IN_MSG_ID.DISPLAY_GROUP_LIST:
return this.decodeMsg_DISPLAY_GROUP_LIST();
case IN_MSG_ID.DISPLAY_GROUP_UPDATED:
return this.decodeMsg_DISPLAY_GROUP_UPDATED();
/* For IB's internal purpose - not implement:
case IN_MSG_ID.VERIFY_AND_AUTH_MESSAGE_API:
case IN_MSG_ID.VERIFY_AND_AUTH_COMPLETED
*/
case IN_MSG_ID.POSITION_MULTI:
return this.decodeMsg_POSITION_MULTI();
case IN_MSG_ID.POSITION_MULTI_END:
return this.decodeMsg_POSITION_MULTI_END();
case IN_MSG_ID.ACCOUNT_UPDATE_MULTI:
return this.decodeMsg_ACCOUNT_UPDATE_MULTI();
case IN_MSG_ID.ACCOUNT_UPDATE_MULTI_END:
return this.decodeMsg_ACCOUNT_UPDATE_MULTI_END();
case IN_MSG_ID.SECURITY_DEFINITION_OPTION_PARAMETER:
return this.decodeMsg_SECURITY_DEFINITION_OPTION_PARAMETER();
case IN_MSG_ID.SECURITY_DEFINITION_OPTION_PARAMETER_END:
return this.decodeMsg_SECURITY_DEFINITION_OPTION_PARAMETER_END();
case IN_MSG_ID.SOFT_DOLLAR_TIERS:
return this.decodeMsg_SOFT_DOLLAR_TIERS();
case IN_MSG_ID.FAMILY_CODES:
return this.decodeMsg_FAMILY_CODES();
case IN_MSG_ID.SYMBOL_SAMPLES:
return this.decodeMsg_SYMBOL_SAMPLES();
case IN_MSG_ID.MKT_DEPTH_EXCHANGES:
return this.decodeMsg_MKT_DEPTH_EXCHANGES();
case IN_MSG_ID.TICK_REQ_PARAMS:
return this.decodeMsg_TICK_REQ_PARAMS();
case IN_MSG_ID.SMART_COMPONENTS:
return this.decodeMsg_SMART_COMPONENTS();
case IN_MSG_ID.NEWS_ARTICLE:
return this.decodeMsg_NEWS_ARTICLE();
case IN_MSG_ID.TICK_NEWS:
return this.decodeMsg_TICK_NEWS();
case IN_MSG_ID.NEWS_PROVIDERS:
return this.decodeMsg_NEWS_PROVIDERS();
case IN_MSG_ID.HISTORICAL_NEWS:
return this.decodeMsg_HISTORICAL_NEWS();
case IN_MSG_ID.HISTORICAL_NEWS_END:
return this.decodeMsg_HISTORICAL_NEWS_END();
case IN_MSG_ID.HEAD_TIMESTAMP:
return this.decodeMsg_HEAD_TIMESTAMP();
case IN_MSG_ID.HISTOGRAM_DATA:
return this.decodeMsg_HISTOGRAM_DATA();
case IN_MSG_ID.HISTORICAL_DATA_UPDATE:
return this.decodeMsg_HISTORICAL_DATA_UPDATE();
case IN_MSG_ID.REROUTE_MKT_DATA:
return this.decodeMsg_REROUTE_MKT_DATA();
case IN_MSG_ID.REROUTE_MKT_DEPTH:
return this.decodeMsg_REROUTE_MKT_DEPTH();
case IN_MSG_ID.MARKET_RULE:
return this.decodeMsg_MARKET_RULE();
case IN_MSG_ID.PNL:
return this.decodeMsg_PNL();
case IN_MSG_ID.PNL_SINGLE:
return this.decodeMsg_PNL_SINGLE();
case IN_MSG_ID.HISTORICAL_TICKS:
return this.decodeMsg_HISTORICAL_TICKS();
case IN_MSG_ID.HISTORICAL_TICKS_BID_ASK:
return this.decodeMsg_HISTORICAL_TICKS_BID_ASK();
case IN_MSG_ID.HISTORICAL_TICKS_LAST:
return this.decodeMsg_HISTORICAL_TICKS_LAST();
case IN_MSG_ID.TICK_BY_TICK:
return this.decodeMsg_TICK_BY_TICK();
case IN_MSG_ID.ORDER_BOUND:
return this.decodeMsg_ORDER_BOUND();
case IN_MSG_ID.COMPLETED_ORDER:
return this.decodeMsg_COMPLETED_ORDER();
case IN_MSG_ID.COMPLETED_ORDERS_END:
return this.decodeMsg_COMPLETED_ORDERS_END();
case IN_MSG_ID.REPLACE_FA_END:
return this.decodeMsg_REPLACE_FA_END();
case IN_MSG_ID.WSH_META_DATA:
return this.decodeMsg_WSH_META_DATA();
case IN_MSG_ID.WSH_EVENT_DATA:
return this.decodeMsg_WSH_EVENT_DATA();
case IN_MSG_ID.HISTORICAL_SCHEDULE:
return this.decodeMsg_HISTORICAL_SCHEDULE();
case IN_MSG_ID.USER_INFO:
return this.decodeMsg_USER_INFO();
default:
this.callback.emitError(
`No parser implementation found for token: ${IN_MSG_ID[msgId]} (${msgId}).`,
ErrorCode.UNKNOWN_ID,
-1,
);
}
}
/**
* Process the data queue and emit events.
*/
process(): void {
while (true) {
// verify there is data to process
if (!this.dataQueue.length) {
break;
}
// clear event queue
this.emitQueue = [];
// check if there is a message boundary marker
let verifyMessageBoundary = false;
if (this.dataQueue[0] === undefined) {
verifyMessageBoundary = true;
this.dataQueue.shift();
}
let msgId: IN_MSG_ID = IN_MSG_ID.UNDEFINED;
try {
// process message (invoke decoder function)
msgId = this.readInt();
this.processMsg(msgId);
// check if all of the message data was processed and drain any remaining tokens
if (verifyMessageBoundary) {
if (this.dataQueue[0] !== undefined) {
this.callback.emitError(
`Decoding error on ${
IN_MSG_ID[msgId]
}: unprocessed data left on queue (${JSON.stringify(
this.dataQueue,
)}). Please report to https://github.com/stoqey/ib`,
ErrorCode.UNKNOWN_ID,
-1,
);
}
this.drainQueue();
}
} catch (e) {
if (e.name !== "UnderrunError") {
throw e;
}
if (verifyMessageBoundary) {
this.callback.emitError(
`Underrun error on ${IN_MSG_ID[msgId]}: ${e.message} Please report to https://github.com/stoqey/ib`,
ErrorCode.UNKNOWN_ID,
-1,
);
}
this.drainQueue();
}
// Emit events
const toEmit = this.emitQueue;
this.emitQueue = [];
toEmit.forEach((item) =>
this.callback.emitEvent(item.name, ...item.args),
);
}
}
/**
* Get the API server version.
*/
private get serverVersion(): number {
return this.callback.serverVersion;
}
private decodeUnicodeEscapedString(str: string) {
let v = str;
try {
while (true) {
const escapeIndex: number = v.indexOf("\\u");
if (escapeIndex == -1 || v.length - escapeIndex < 6) {
break;
}
const escapeString: string = v.substring(escapeIndex, escapeIndex + 6);
const hexVal: number = parseInt(escapeString.replace("\\u", ""), 16);
v = v.replace(escapeString, String.fromCharCode(hexVal));
}
} catch (e) {}
return v;
}
/**
* Read a string token from queue.
*/
readStr(): string {
if (this.dataQueue.length === 0) {
throw new UnderrunError();
}
const val = this.dataQueue.shift();
if (val === undefined) {
throw new UnderrunError("End of message reached.");
}
return val;
}
/**
* Read a token from queue and return it as boolean value.
*/
readBool(): boolean {
return parseInt(this.readStr(), 10) != 0;
}
/**
* Read a token from queue and return it as floating point value.
*
* Returns 0 if the token is empty.
* Returns undefined is the token is Number.MAX_VALUE.
*/
readDouble(): number | undefined {
const token = this.readStr();
if (!token || token === "") {
return 0;
}
const val = parseFloat(token);
return val === Number.MAX_VALUE ? undefined : val;
}
/**
* Read a token from queue and return it as floating point value.
*
* Returns undefined if the token is empty or is Number.MAX_VALUE.
*/
readDecimal(): number | undefined {
const token = this.readStr();
if (!token || token === "") {
return undefined;
}
const val = parseFloat(token.replaceAll(",", ""));
return val === Number.MAX_VALUE || val === Infinity ? undefined : val;
}
/**
* Read a token from queue and return it as floating point value.
*
* Returns undefined if the token is empty or Number.MAX_VALUE.
*/
readDoubleOrUndefined(): number | undefined {
const token = this.readStr();
if (!token) {
return undefined;
}
const val = parseFloat(token);
return val === Number.MAX_VALUE ? undefined : val;
}
/**
* Read a token from queue and return it as integer value.
*
* Returns 0 if the token is empty.
*/
readInt(): number {
const token = this.readStr();
if (!token || token === "") {
return 0;
}
const val = parseInt(token, 10);
return val;
}
/**
* Read a token from queue and return it as integer value.
*
* Returns Number.MAX_VALUE if the token is empty.
* @deprecated readIntOrUndefined is probably what you are looking for
*/
readIntMax = this.readIntOrUndefined;
/**
* Read a token from queue and return it as integer value.
*
* Returns undefined if the token is empty or `2147483647`.
*/
readIntOrUndefined(): number | undefined {
const token = this.readStr();
if (!token || token === "") {
return undefined;
}
const val = parseInt(token, 10);
return val === 2147483647 ? undefined : val;
}
/**
* Drain all tokens on queue until the start marker of a new message or until queue is empty.
*/
private drainQueue(): void {
// drain data up to message end marker or until queue is empty
while (this.dataQueue.length && this.dataQueue[0] !== undefined) {
this.dataQueue.shift();
}
if (this.dataQueue.length) {
// drain the end marker
this.dataQueue.shift();
}
}
/**
* Add tokens to the emit queue.
*/
private emit(eventName: EventName, ...args: unknown[]): void {
this.emitQueue.push({ name: eventName, args: args });
}
/**
* Decode a TICK_PRICE message from data queue and emit a tickPrice and tickSize event.
*/
private decodeMsg_TICK_PRICE(): void {
// read from input queue
const version = this.readInt();
const tickerId = this.readInt();
const tickType = this.readInt();
const price = this.readDouble();
let size = undefined;
if (version >= 2) {
size = this.readDecimal();
}
let canAutoExecute = undefined;
if (version >= 3) {
canAutoExecute = this.readBool();
}
// emit events
this.emit(EventName.tickPrice, tickerId, tickType, price, canAutoExecute);
let sizeTickType = undefined;
if (version >= 2) {
switch (tickType) {
case TickType.BID:
sizeTickType = TickType.BID_SIZE;
break;
case TickType.ASK:
sizeTickType = TickType.ASK_SIZE;
break;
case TickType.LAST:
sizeTickType = TickType.LAST_SIZE;
break;
case TickType.DELAYED_BID:
sizeTickType = TickType.DELAYED_BID_SIZE;
break;
case TickType.DELAYED_ASK:
sizeTickType = TickType.DELAYED_ASK_SIZE;
break;
case TickType.DELAYED_LAST:
sizeTickType = TickType.DELAYED_LAST_SIZE;
break;
}
}
if (sizeTickType) {
this.emit(EventName.tickSize, tickerId, sizeTickType, size);
}
}
/**
* Decode a TICK_SIZE message from data queue and emit an tickSize event.
*/
private decodeMsg_TICK_SIZE(): void {
this.readInt(); // version
const tickerId = this.readInt();
const tickType = this.readInt();
const size = this.readDecimal();
this.emit(EventName.tickSize, tickerId, tickType, size);
}
/**
* Decode a ORDER_STATUS message from data queue and emit an orderStatus event.
*/
private decodeMsg_ORDER_STATUS(): void {
const version =
this.serverVersion >= MIN_SERVER_VER.MARKET_CAP_PRICE
? Number.MAX_SAFE_INTEGER
: this.readInt();
const id = this.readInt();
const status = this.readStr();
const filled = this.readDecimal();
const remaining = this.readDecimal();
const avgFillPrice = this.readDouble();
let permId: number | undefined = undefined;
if (version >= 2) {
permId = this.readInt();
}
let parentId: number | undefined = undefined;
if (version >= 3) {
parentId = this.readInt();
}
let lastFillPrice: number | undefined = undefined;
if (version >= 4) {
lastFillPrice = this.readDouble();
}
let clientId: number | undefined = undefined;
if (version >= 5) {
clientId = this.readInt();
}
let whyHeld: string | undefined = undefined;
if (version >= 6) {
whyHeld = this.readStr();
}
let mktCapPrice: number | undefined = undefined;
if (this.serverVersion >= MIN_SERVER_VER.MARKET_CAP_PRICE) {
mktCapPrice = this.readDouble();
}
this.emit(
EventName.orderStatus,
id,
status,
filled,
remaining,
avgFillPrice,
permId,
parentId,
lastFillPrice,
clientId,
whyHeld,
mktCapPrice,
);
}
/**
* Decode a ERR_MSG message from data queue and emit and error event.
*/
private decodeMsg_ERR_MSG(): void {
const version = this.readInt();
if (version < 2) {
const errorMsg = this.readStr();
this.callback.emitError(errorMsg, -1, -1);
} else {
const id = this.readInt();
const code = this.readInt();
let msg = this.readStr();
if (this.serverVersion >= MIN_SERVER_VER.ENCODE_MSG_ASCII7) {
msg = this.decodeUnicodeEscapedString(msg);
}
let advancedOrderReject: unknown;
if (this.serverVersion >= MIN_SERVER_VER.ADVANCED_ORDER_REJECT) {
const advancedOrderRejectJson: string = this.readStr();
if (advancedOrderRejectJson?.length > 0) {
advancedOrderReject = JSON.parse(
this.decodeUnicodeEscapedString(advancedOrderRejectJson),
);
}
}
if (id === -1) {
this.callback.emitInfo(msg, code);
} else {
this.callback.emitError(msg, code, id, advancedOrderReject);
}
}
}
/**
* Decode a OPEN_ORDER message from data queue and emit a openOrder event.
*/
private decodeMsg_OPEN_ORDER(): void {
// read version
const version =
this.serverVersion < MIN_SERVER_VER.ORDER_CONTAINER
? this.readInt()
: this.serverVersion;
const contract: Contract = {};
const order: Order = {};
const orderState: OrderState = {};
const orderDecoder = new OrderDecoder(
this,
contract,
order,
orderState,
version,
this.serverVersion,
);
// read order id
orderDecoder.readOrderId();
// read contract fields
orderDecoder.readContractFields();
// read order fields
orderDecoder.readAction();
orderDecoder.readTotalQuantity();
orderDecoder.readOrderType();
orderDecoder.readLmtPrice();
orderDecoder.readAuxPrice();
orderDecoder.readTIF();
orderDecoder.readOcaGroup();
orderDecoder.readAccount();
orderDecoder.readOpenClose();
orderDecoder.readOrigin();
orderDecoder.readOrderRef();
orderDecoder.readClientId();
orderDecoder.readPermId();
orderDecoder.readOutsideRth();
orderDecoder.readHidden();
orderDecoder.readDiscretionaryAmount();
orderDecoder.readGoodAfterTime();
orderDecoder.skipSharesAllocation();
orderDecoder.readFAParams();
orderDecoder.readModelCode();
orderDecoder.readGoodTillDate();
orderDecoder.readRule80A();
orderDecoder.readPercentOffset();
orderDecoder.readSettlingFirm();
orderDecoder.readShortSaleParams();
orderDecoder.readAuctionStrategy();
orderDecoder.readBoxOrderParams();
orderDecoder.readPegToStkOrVolOrderParams();
orderDecoder.readDisplaySize();
orderDecoder.readOldStyleOutsideRth();
orderDecoder.readBlockOrder();
orderDecoder.readSweepToFill();
orderDecoder.readAllOrNone();
orderDecoder.readMinQty();
orderDecoder.readOcaType();
orderDecoder.readETradeOnly();
orderDecoder.readFirmQuoteOnly();
orderDecoder.readNbboPriceCap();
orderDecoder.readParentId();
orderDecoder.readTriggerMethod();
orderDecoder.readVolOrderParams(true);
orderDecoder.readTrailParams();
orderDecoder.readBasisPoints();
orderDecoder.readComboLegs();
orderDecoder.readSmartComboRoutingParams();
orderDecoder.readScaleOrderParams();
orderDecoder.readHedgeParams();
orderDecoder.readOptOutSmartRouting();
orderDecoder.readClearingParams();
orderDecoder.readNotHeld();
orderDecoder.readDeltaNeutral();
orderDecoder.readAlgoParams();
orderDecoder.readSolicited();
orderDecoder.readWhatIfInfoAndCommission();
orderDecoder.readVolRandomizeFlags();
orderDecoder.readPegToBenchParams();
orderDecoder.readConditions();
orderDecoder.readAdjustedOrderParams();
orderDecoder.readSoftDollarTier();
orderDecoder.readCashQty();
orderDecoder.readDontUseAutoPriceForHedge();
orderDecoder.readIsOmsContainer();
orderDecoder.readDiscretionaryUpToLimitPrice();
orderDecoder.readUsePriceMgmtAlgo();
orderDecoder.readDuration();
orderDecoder.readPostToAts();
orderDecoder.readAutoCancelParent(MIN_SERVER_VER.AUTO_CANCEL_PARENT);
orderDecoder.readPegBestPegMidOrderAttributes();
orderDecoder.readCustomerAccount();
orderDecoder.readProfessionalCustomer();
this.emit(EventName.openOrder, order.orderId, contract, order, orderState);
}
/**
* Decode a OPEN_ORDER message from data queue and emit a updateAccountValue event.
*/
private decodeMsg_ACCT_VALUE(): void {
this.readInt(); // version
const key = this.readStr();
const value = this.readStr();
const currency = this.readStr();
const accountName = this.readStr();
this.emit(EventName.updateAccountValue, key, value, currency, accountName);
}
/**
* Decode a PORTFOLIO_VALUE message from data queue and emit a updatePortfolio (PortfolioValue) event.
*/
private decodeMsg_PORTFOLIO_VALUE(): void {
const version = this.readInt();
const contract: Contract = {};
if (version >= 6) {
contract.conId = this.readInt();
}
contract.symbol = this.readStr();
contract.secType = this.readStr() as SecType;
contract.lastTradeDateOrContractMonth = this.readStr();
contract.strike = this.readDouble();
contract.right = validateOptionType(this.readStr() as OptionType);
if (version >= 7) {
contract.multiplier = this.readInt();
contract.primaryExch = this.readStr();
}
contract.currency = this.readStr();
if (version >= 2) {
contract.localSymbol = this.readStr();
}
if (version >= 8) {
contract.tradingClass = this.readStr();
}
const position: number = this.readDecimal();
const marketPrice = this.readDouble();
const marketValue = this.readDouble();
let averageCost: number | undefined = undefined;
let unrealizedPNL: number | undefined = undefined;
let realizedPNL: number | undefined = undefined;
if (version >= 3) {
averageCost = this.readDouble();
unrealizedPNL = this.readDouble();
realizedPNL = this.readDouble();
}
let accountName: string | undefined = undefined;
if (version >= 4) {
accountName = this.readStr();
}
if (version === 6 && this.serverVersion === 39) {
contract.primaryExch = this.readStr();
}
this.emit(
EventName.updatePortfolio,
contract,
position,
marketPrice,
marketValue,
averageCost,
unrealizedPNL,
realizedPNL,
accountName,
);
}
/**
* Decode a ACCT_UPDATE_TIME message from data queue and emit a updateAccountTime event.
*/
private decodeMsg_ACCT_UPDATE_TIME(): void {
this.readInt(); // version
const timeStamp = this.readStr();
this.emit(EventName.updateAccountTime, timeStamp);
}
/**
* Decode a NEXT_VALID_ID message from data queue and emit a nextValidId event.
*/
private decodeMsg_NEXT_VALID_ID(): void {
this.readInt(); // version
const orderId = this.readInt();
this.emit(EventName.nextValidId, orderId);
}
/**
* Decode a CONTRACT_DATA message from data queue and emit a contractDetails event.
*/
private decodeMsg_CONTRACT_DATA(): void {
let version = 8;
if (this.serverVersion < MIN_SERVER_VER.SIZE_RULES) {
version = this.readInt();
}
let reqId = -1;
if (version >= 3) {
reqId = this.readInt();
}
const contract: ContractDetails = {
contract: {},
};
contract.contract.symbol = this.readStr();
contract.contract.secType = this.readStr() as SecType;
this.readLastTradeDate(contract, false);
if (this.serverVersion >= MIN_SERVER_VER.LAST_TRADE_DATE) {
contract.contract.lastTradeDate = this.readStr();
}
contract.contract.strike = this.readDouble();
contract.contract.right = validateOptionType(this.readStr() as OptionType);
contract.contract.exchange = this.readStr();
contract.contract.currency = this.readStr();
contract.contract.localSymbol = this.readStr();
contract.marketName = this.readStr();
contract.contract.tradingClass = this.readStr();
contract.contract.conId = this.readInt();
contract.minTick = this.readDouble();
if (
this.serverVersion >= MIN_SERVER_VER.MD_SIZE_MULTIPLIER &&
this.serverVersion < MIN_SERVER_VER.SIZE_RULES
) {
this.readInt(); // mdSizeMultiplier - not used anymore
}
contract.contract.multiplier = this.readInt();
contract.orderTypes = this.readStr();
contract.validExchanges = this.readStr();
if (version >= 2) {
contract.priceMagnifier = this.readInt();
}
if (version >= 4) {
contract.underConId = this.readInt();
}
if (version >= 5) {
contract.longName = this.readStr();
contract.contract.primaryExch = this.readStr();
if (this.serverVersion >= MIN_SERVER_VER.ENCODE_MSG_ASCII7) {
contract.longName = this.decodeUnicodeEscapedString(contract.longName);
}
}
if (version >= 6) {
contract.contractMonth = this.readStr();
contract.industry = this.readStr();
contract.category = this.readStr();
contract.subcategory = this.readStr();
contract.timeZoneId = this.readStr();
contract.tradingHours = this.readStr();
contract.liquidHours = this.readStr();
}
if (version >= 8) {
contract.evRule = this.readStr();
contract.evMultiplier = this.readDouble();
}
if (version >= 7) {
const secIdListCount = this.readInt();
if (secIdListCount > 0) {
contract.secIdList = [];
for (let i = 0; i < secIdListCount; ++i) {
const tagValue: TagValue = {
tag: this.readStr(),
value: this.readStr(),
};
contract.secIdList.push(tagValue);
}
}
}
if (this.serverVersion >= MIN_SERVER_VER.AGG_GROUP) {
contract.aggGroup = this.readInt();
}
if (this.serverVersion >= MIN_SERVER_VER.UNDERLYING_INFO) {
contract.underSymbol = this.readStr();
contract.underSecType = this.readStr() as SecType;
}
if (this.serverVersion >= MIN_SERVER_VER.MARKET_RULES) {
contract.marketRuleIds = this.readStr();
}
if (this.serverVersion >= MIN_SERVER_VER.REAL_EXPIRATION_DATE) {
contract.realExpirationDate = this.readStr();
}
if (this.serverVersion >= MIN_SERVER_VER.STOCK_TYPE) {
contract.stockType = this.readStr();
}
if (
this.serverVersion >= MIN_SERVER_VER.FRACTIONAL_SIZE_SUPPORT &&
this.serverVersion < MIN_SERVER_VER.SIZE_RULES
) {
this.readDecimal(); // sizeMinTick - not used anymore
}
if (this.serverVersion >= MIN_SERVER_VER.SIZE_RULES) {
contract.minSize = this.readDecimal();
contract.sizeIncrement = this.readDecimal();
contract.suggestedSizeIncrement = this.readDecimal();
}
if (
this.serverVersion >= MIN_SERVER_VER.FUND_DATA_FIELDS &&
contract.contract.secType == SecType.FUND
) {
contract.fundName = this.readStr();
contract.fundFamily = this.readStr();
contract.fundType = this.readStr();
contract.fundFrontLoad = this.readStr();
contract.fundBackLoad = this.readStr();
contract.fundBackLoadTimeInterval = this.readStr();
contract.fundManagementFee = this.readStr();
contract.fundClosed = this.readBool();
contract.fundClosedForNewInvestors = this.readBool();
contract.fundClosedForNewMoney = this.readBool();
contract.fundNotifyAmount = this.readStr();
contract.fundMinimumInitialPurchase = this.readStr();
contract.fundSubsequentMinimumPurchase = this.readStr();
contract.fundBlueSkyStates = this.readStr();
contract.fundBlueSkyTerritories = this.readStr();
contract.fundDistributionPolicyIndicator =
this.readStr() as FundDistributionPolicyIndicator;
contract.fundAssetType = this.readStr() as FundAssetType;
}
this.emit(EventName.contractDetails, reqId, contract);
}
/**
* Decode a EXECUTION_DATA message from data queue and emit a execDetails event.
*/
private decodeMsg_EXECUTION_DATA(): void {
let version = this.serverVersion;
if (version < MIN_SERVER_VER.LAST_LIQUIDITY) {
version = this.readInt();
}
let reqId = -1;
if (version >= 7) {
reqId = this.readInt();
}
const orderId = this.readInt();
// read contract fields
const contract: Contract = {};
if (version >= 5) {
contract.conId = this.readInt();
}
contract.symbol = this.readStr();
contract.secType = this.readStr() as SecType;
contract.lastTradeDateOrContractMonth = this.readStr();
contract.strike = this.readDouble();
contract.right = validateOptionType(this.readStr() as OptionType);
if (version >= 9) {
contract.multiplier = this.readInt();
}
contract.exchange = this.readStr();
contract.currency = this.readStr();
contract.localSymbol = this.readStr();
if (version >= 10) {
contract.tradingClass = this.readStr();
}
const exec: Execution = {};
exec.orderId = orderId;
exec.execId = this.readStr();
exec.time = this.readStr();
exec.acctNumber = this.readStr();
exec.exchange = this.readStr();
exec.side = this.readStr();
exec.shares = this.readDecimal();
exec.price = this.readDouble();
if (version >= 2) {
exec.permId = this.readInt();
}
if (version >= 3) {
exec.clientId = this.readInt();
}
if (version >= 4) {
exec.liquidation = this.readInt();
}
if (version >= 6) {
exec.cumQty = this.readDecimal();
exec.avgPrice = this.readDouble();
}
if (version >= 8) {
exec.orderRef = this.readStr();
}
if (version >= 9) {
exec.evRule = this.readStr();
exec.evMultiplier = this.readDouble();
}
if (this.serverVersion >= MIN_SERVER_VER.MODELS_SUPPORT) {
exec.modelCode = this.readStr();
}
if (this.serverVersion >= MIN_SERVER_VER.LAST_LIQUIDITY) {
exec.lastLiquidity = { value: this.readInt() };
}
if (this.serverVersion >= MIN_SERVER_VER.PENDING_PRICE_REVISION) {
exec.pendingPriceRevision = this.readBool();
}
this.emit(EventName.execDetails, reqId, contract, exec);
}
/**
* Decode a MARKET_DEPTH message from data queue and emit a MarketDepth event.
*/
private decodeMsg_MARKET_DEPTH(): void {
this.readInt(); // version
const id = this.readInt();
const position = this.readInt();
const operation = this.readInt();
const side = this.readInt();
const price = this.readDouble();
const size = this.readDecimal();
this.emit(
EventName.updateMktDepth,
id,
position,
operation,
side,
price,
size,
);
}
/**
* Decode a MARKET_DEPTH_L2 message from data queue and emit a MarketDepthL2 event.
*/
private decodeMsg_MARKET_DEPTH_L2(): void {
this.readInt(); // version
const id = this.readInt();
const position = this.readInt();
const marketMaker = this.readStr();
const operation = this.readInt();
const side = this.readInt();
const price = this.readDouble();
const size = this.readDecimal();
let isSmartDepth = undefined;
if (this.serverVersion >= MIN_SERVER_VER.SMART_DEPTH) {
isSmartDepth = this.readBool();
}
this.emit(
EventName.updateMktDepthL2,
id,
position,
marketMaker,
operation,
side,
price,
size,
isSmartDepth,
);
}
/**
* Decode a NEWS_BULLETINS message from data queue and emit a updateNewsBulletin event.
*/
private decodeMsg_NEWS_BULLETINS(): void {
this.readInt(); // version
const newsMsgId = this.readInt();
const newsMsgType = this.readInt();
const newsMessage = this.readStr();
const originatingExch = this.readStr();
this.emit(
EventName.updateNewsBulletin,
newsMsgId,
newsMsgType,
newsMessage,
originatingExch,
);
}
/**
* Decode a MANAGED_ACCTS message from data queue and emit a managedAccounts event.
*/
private decodeMsg_MANAGED_ACCTS(): void {
this.readInt(); // version
const accountsList = this.readStr();
this.emit(EventName.managedAccounts, accountsList);
}
/**
* Decode a RECEIVE_FA message from data queue and emit a receiveFA event.
*/
private decodeMsg_RECEIVE_FA(): void {
this.readInt(); // version
const faDataType = this.readInt();
const xml = this.readStr();
this.emit(EventName.receiveFA, faDataType, xml);
}
/**
* Decode a HISTORICAL_DATA message from data queue and emit historicalData events.
*/
private decodeMsg_HISTORICAL_DATA(): void {
let version = Number.MAX_SAFE_INTEGER;
if (this.serverVersion < MIN_SERVER_VER.SYNT_REALTIME_BARS) {
version = this.readInt();
}
const reqId = this.readInt();
let completedIndicator = "finished";
let startDateStr = "";
let endDateStr = "";
if (version >= 2) {
startDateStr = this.readStr();
endDateStr = this.readStr();
completedIndicator += "-" + startDateStr + "-" + endDateStr;
}
let itemCount = this.readInt();
while (itemCount--) {
const date = this.readStr();
const open = this.readDouble();
const high = this.readDouble();
const low = this.readDouble();
const close = this.readDouble();
const volume = this.readDecimal();
const WAP = this.readDecimal();
// TODO: hasGap is deprecated, we should readStr and ignore result
let hasGaps: boolean | undefined = undefined;
if (this.serverVersion < MIN_SERVER_VER.SYNT_REALTIME_BARS) {
hasGaps = this.readBool();
}
let barCount: number | undefined = undefined;
if (version >= 3) {
barCount = this.readInt();
}
this.emit(
EventName.historicalData,
reqId,
date,
open,
high,
low,
close,
volume,
barCount,
WAP,
hasGaps,
);
}
// send end of dataset marker
this.emit(
EventName.historicalData,
reqId,
completedIndicator,
-1,
-1,
-1,
-1,
-1,
-1,
-1,
false,
);
}
/**
* Decode a HISTORICAL_DATA_UPDATE message from data queue and emit historicalDataUpdate events.
*/
private decodeMsg_HISTORICAL_DATA_UPDATE(): void {
const reqId = this.readInt();
const barCount = this.readInt();
const date = this.readStr();
const open = this.readDouble();
const close = this.readDouble();
const high = this.readDouble();
const low = this.readDouble();
const WAP = this.readDecimal();
const volume = this.readDecimal();
this.emit(
EventName.historicalDataUpdate,
reqId,
date,
open,
high,
low,
close,
volume,
barCount,
WAP,
);
}
/**
* Decode a REROUTE_MKT_DATA message from data queue and emit a rerouteMktDataReq event.
*/
private decodeMsg_REROUTE_MKT_DATA(): void {
const reqId = this.readInt();
const conId = this.readInt();
const exchange = this.readStr();
this.emit(EventName.rerouteMktDataReq, reqId, conId, exchange);
}
/**
* Decode a REROUTE_MKT_DEPTH message from data queue and emit a rerouteMktDepthReq event.
*/
private decodeMsg_REROUTE_MKT_DEPTH(): void {
const reqId = this.readInt();
const conId = this.readInt();
const exchange = this.readStr();
this.emit(EventName.rerouteMktDepthReq, reqId, conId, exchange);
}
/**
* Decode a MARKET_RULE message from data queue and emit a marketRule event.
*/
private decodeMsg_MARKET_RULE(): void {
const marketRuleId = this.readInt();
const nPriceIncrements = this.readInt();
const priceIncrements = new Array(nPriceIncrements);
for (let i = 0; i < nPriceIncrements; i++) {
priceIncrements[i] = {
lowEdge: this.readDouble(),
increment: this.readDouble(),
};
}
this.emit(EventName.marketRule, marketRuleId, priceIncrements);
}
/**
* Decode a BOND_CONTRACT_DATA message from data queue and emit a BondContractData event.
*/
private decodeMsg_BOND_CONTRACT_DATA(): void {
let version = 6;
if (this.serverVersion < MIN_SERVER_VER.SIZE_RULES) {
version = this.readInt();
}
let reqId = -1;
if (version >= 3) {
reqId = this.readInt();
}
const contract: ContractDetails = {
contract: {},
};
contract.contract.symbol = this.readStr();
contract.contract.secType = this.readStr() as SecType;
contract.cusip = this.readStr();
contract.coupon = this.readDouble();
this.readLastTradeDate(contract, true);
contract.issueDate = this.readStr();
contract.ratings = this.readStr();
contract.bondType = this.readStr();
contract.couponType = this.readStr();
contract.convertible = this.readBool();
contract.callable = this.readBool();
contract.putable = this.readBool();
contract.descAppend = this.readStr();
contract.contract.exchange = this.readStr();
contract.contract.currency = this.readStr();
contract.marketName = this.readStr();
contract.contract.tradingClass = this.readStr();
contract.contract.conId = this.readInt();
contract.minTick = this.readDouble();
if (
this.serverVersion >= MIN_SERVER_VER.MD_SIZE_MULTIPLIER &&
this.serverVersion < MIN_SERVER_VER.SIZE_RULES
) {
this.readInt(); // mdSizeMultiplier - not used anymore
}
contract.orderTypes = this.readStr();
contract.validExchanges = this.readStr();
if (version >= 2) {
contract.nextOptionDate = this.readStr();
contract.nextOptionType = this.readStr();
contract.nextOptionPartial = this.readBool();
contract.notes = this.readStr();
}
if (version >= 4) {
contract.longName = this.readStr();
}
if (version >= 6) {
contract.evRule = this.readStr();
contract.evMultiplier = this.readDouble();
}
if (version >= 5) {
let secIdListCount = this.readInt();
if (secIdListCount > 0) {
contract.secIdList = [];
while (secIdListCount--) {
const tagValue: TagValue = {
tag: this.readStr(),
value: this.readStr(),
};
contract.secIdList.push(tagValue);
}
}
}
if (this.serverVersion >= MIN_SERVER_VER.AGG_GROUP) {
contract.aggGroup = this.readInt();
}
if (this.serverVersion >= MIN_SERVER_VER.MARKET_RULES) {
contract.marketRuleIds = this.readStr();
}
if (this.serverVersion >= MIN_SERVER_VER.SIZE_RULES) {
contract.minSize = this.readDecimal();
contract.sizeIncrement = this.readDecimal();
contract.suggestedSizeIncrement = this.readDecimal();
}
this.emit(EventName.bondContractDetails, reqId, contract);
}
/**
* Decode a SCANNER_PARAMETERS message from data queue and emit a scannerParameters event.
*/
private decodeMsg_SCANNER_PARAMETERS(): void {
this.readInt(); // version
const xml = this.readStr();
this.emit(EventName.scannerParameters, xml);
}
/**
* Decode a SCANNER_DATA message from data queue and emit a scannerData and scannerDataEnd event.
*/
private decodeMsg_SCANNER_DATA(): void {
const version = this.readInt();
const reqId = this.readInt();
let numberOfElements = this.readInt();
while (numberOfElements--) {
const contract: ContractDetails = {
contract: {},
};
const rank = this.readInt();
if (version >= 3) {
contract.contract.conId = this.readInt();
}
contract.contract.symbol = this.readStr();
contract.contract.secType = this.readStr() as SecType;
this.readLastTradeDate(contract, false);
contract.contract.strike = this.readDouble();
contract.contract.right = validateOptionType(
this.readStr() as OptionType,
);
contract.contract.exchange = this.readStr();
contract.contract.currency = this.readStr();
contract.contract.localSymbol = this.readStr();
contract.marketName = this.readStr();
contract.contract.tradingClass = this.readStr();
const distance = this.readStr();
const benchmark = this.readStr();
const projection = this.readStr();
let legsStr: string | undefined = undefined;
if (version >= 2) {
legsStr = this.readStr();
}
this.emit(
EventName.scannerData,
reqId,
rank,
contract,
distance,
benchmark,
projection,
legsStr,
);
}
this.emit(EventName.scannerDataEnd, reqId);
}
/**
* Decode a TICK_OPTION_COMPUTATION message from data queue and emit a tickOptionComputation event.
*/
private decodeMsg_TICK_OPTION_COMPUTATION(): void {
let version;
if (this.serverVersion >= MIN_SERVER_VER.PRICE_BASED_VOLATILITY)
version = Number.MAX_VALUE;
else version = this.readInt();
const tickerId = this.readInt();
const tickType = this.readInt();
let tickAttrib = Number.MAX_VALUE;
if (this.serverVersion >= MIN_SERVER_VER.PRICE_BASED_VOLATILITY) {
tickAttrib = this.readInt();
}
let impliedVol = this.readDouble();
if (impliedVol == -1) {
// -1 is the "not yet computed" indicator
impliedVol = undefined;
}
let delta = this.readDouble();
if (delta == -2) {
// -2 is the "not yet computed" indicator
delta = undefined;
}
let optPrice: number | undefined = undefined;
let pvDividend: number | undefined = undefined;
let gamma: number | undefined = undefined;
let vega: number | undefined = undefined;
let theta: number | undefined = undefined;
let undPrice: number | undefined = undefined;
if (
version >= 6 ||
tickType === TickType.MODEL_OPTION ||
tickType === TickType.DELAYED_MODEL_OPTION
) {
optPrice = this.readDouble();
if (optPrice == -1) {
// -1 is the "not yet computed" indicator
optPrice = undefined;
}
pvDividend = this.readDouble();
if (pvDividend == -1) {
// -1 is the "not yet computed" indicator
pvDividend = undefined;
}
}
if (version >= 6) {
gamma = this.readDouble();
if (gamma == -2) {
// -2 is the "not yet computed" indicator
gamma = undefined;
}
vega = this.readDouble();
if (vega == -2) {
// -2 is the "not yet computed" indicator
vega = undefined;
}
theta = this.readDouble();
if (theta == -2) {
// -2 is the "not yet computed" indicator
theta = undefined;
}
undPrice = this.readDouble();
if (undPrice == -1) {
// -1 is the "not yet computed" indicator
undPrice = undefined;
}
}
this.emit(
EventName.tickOptionComputation,
tickerId,
tickType,
tickAttrib,
impliedVol,
delta,
optPrice,
pvDividend,
gamma,
vega,
theta,
undPrice,
);
}
/**
* Decode a TICK_GENERIC message from data queue and emit a tickGeneric event.
*/
private decodeMsg_TICK_GENERIC(): void {
this.readInt(); // version
const tickerId = this.readInt();
const tickType = this.readInt();
const value = this.readDouble();
this.emit(EventName.tickGeneric, tickerId, tickType, value);
}
/**
* Decode a TICK_STRING message from data queue and emit a tickString event.
*/
private decodeMsg_TICK_STRING(): void {
this.readInt(); // version
const tickerId = this.readInt();
const tickType = this.readInt();
const value = this.readStr();
this.emit(EventName.tickString, tickerId, tickType, value);
}
/**
* Decode a TICK_EFP message from data queue and emit a tickEFP event.
*/
private decodeMsg_TICK_EFP(): void {
this.readInt(); // version
const tickerId = this.readInt();
const tickType = this.readInt();
const basisPoints = this.readDouble();
const formattedBasisPoints = this.readStr();
const impliedFuturesPrice = this.readDouble();
const holdDays = this.readInt();
const futureExpiry = this.readStr();
const dividendImpact = this.readDouble();
const dividendsToExpiry = this.readDouble();
this.emit(
EventName.tickEFP,
tickerId,
tickType,
basisPoints,
formattedBasisPoints,
impliedFuturesPrice,
holdDays,
futureExpiry,
dividendImpact,
dividendsToExpiry,
);
}
/**
* Decode a CURRENT_TIME message from data queue and emit a currentTime event.
*/
private decodeMsg_CURRENT_TIME(): void {
this.readInt(); // version
const time = this.readInt();
this.emit(EventName.currentTime, time);
}
/**
* Decode a REAL_TIME_BARS message from data queue and emit a realtimeBars event.
*/
private decodeMsg_REAL_TIME_BARS(): void {
this.readInt(); // version
const reqId = this.readInt();
const time = this.readInt();
const open = this.readDouble();
const high = this.readDouble();
const low = this.readDouble();
const close = this.readDouble();
const volume = this.readDecimal();
const wap = this.readDecimal();
const count = this.readInt();
this.emit(
EventName.realtimeBar,
reqId,
time,
open,
high,
low,
close,
volume,
wap,
count,
);
}
/**
* Decode a REAL_TIME_BARS message from data queue and emit a fundamentalData event.
*/
private decodeMsg_FUNDAMENTAL_DATA(): void {
this.readInt(); // version
const reqId = this.readInt();
const data = this.readStr();
this.emit(EventName.fundamentalData, reqId, data);
}
/**
* Decode a CONTRACT_DATA_END message from data queue and emit a contractDetailsEnd event.
*/
private decodeMsg_CONTRACT_DATA_END(): void {
this.readInt(); // version
const reqId = this.readInt();
this.emit(EventName.contractDetailsEnd, reqId);
}
/**
* Decode a OPEN_ORDER_END message from data queue and emit a openOrderEnd event.
*/
private decodeMsg_OPEN_ORDER_END(): void {
this.readInt(); // version
this.emit(EventName.openOrderEnd);
}
/**
* Decode a ACCT_DOWNLOAD_END message from data queue and emit a accountDownloadEnd event.
*/
private decodeMsg_ACCT_DOWNLOAD_END(): void {
this.readInt(); // version
const accountName = this.readStr();
this.emit(EventName.accountDownloadEnd, accountName);
}
/**
* Decode a EXECUTION_DATA_END message from data queue and emit a execDetailsEnd event.
*/
private decodeMsg_EXECUTION_DATA_END(): void {
this.readInt(); // version
const reqId = this.readInt();
this.emit(EventName.execDetailsEnd, reqId);
}
/**
* Decode a DELTA_NEUTRAL_VALIDATION message from data queue and emit a deltaNeutralValidation event.
*/
private decodeMsg_DELTA_NEUTRAL_VALIDATION(): void {
this.readInt(); // version
const reqId = this.readInt();
const underComp: DeltaNeutralContract = {
conId: this.readInt(),
delta: this.readDouble(),
price: this.readDouble(),
};
this.emit(EventName.deltaNeutralValidation, reqId, underComp);
}
/**
* Decode a TICK_SNAPSHOT_END message from data queue and emit a tickSnapshotEnd event.
*/
private decodeMsg_TICK_SNAPSHOT_END(): void {
this.readInt(); // version
const reqId = this.readInt();
this.emit(EventName.tickSnapshotEnd, reqId);
}
/**
* Decode a MARKET_DATA_TYPE message from data queue and emit a marketDataType event.
*/
private decodeMsg_MARKET_DATA_TYPE(): void {
this.readInt(); // version
const reqId = this.readInt();
const marketDataType = this.readInt();
this.emit(EventName.marketDataType, reqId, marketDataType);
}
/**
* Decode a COMMISSION_REPORT message from data queue and emit a commissionReport event.
*/
private decodeMsg_COMMISSION_REPORT(): void {
this.readInt(); // version
const commissionReport: CommissionReport = {};
commissionReport.execId = this.readStr();
commissionReport.commission = this.readDouble();
commissionReport.currency = this.readStr();
commissionReport.realizedPNL = this.readDouble();
commissionReport.yield = this.readDouble();
commissionReport.yieldRedemptionDate = this.readInt();
this.emit(EventName.commissionReport, commissionReport);
}
/**
* Decode a POSITION message from data queue and emit a position event.
*/
private decodeMsg_POSITION(): void {
const version = this.readInt();
const account = this.readStr();
const contract: Contract = {};
contract.conId = this.readInt();
contract.symbol = this.readStr();
contract.secType = this.readStr() as SecType;
contract.lastTradeDateOrContractMonth = this.readStr();
contract.strike = this.readDouble();
contract.right = validateOptionType(this.readStr() as OptionType);
contract.multiplier = this.readInt();
contract.exchange = this.readStr();
contract.currency = this.readStr();
contract.localSymbol = this.readStr();
if (version >= 2) {
contract.tradingClass = this.readStr();
}
const pos = this.readDecimal();
let avgCost = 0;
if (version >= 3) {
avgCost = this.readDouble();
}
this.emit(EventName.position, account, contract, pos, avgCost);
}
/**
* Decode a POSITION_END message from data queue and emit a positionEnd event.
*/
private decodeMsg_POSITION_END(): void {
this.readInt(); // version
this.emit(EventName.positionEnd);
}
/**
* Decode a ACCOUNT_SUMMARY message from data queue and emit a accountSummary event.
*/
private decodeMsg_ACCOUNT_SUMMARY(): void {
this.readInt(); // version
const reqId = this.readInt();
const account = this.readStr();
const tag = this.readStr();
const value = this.readStr();
const currency = this.readStr();
this.emit(EventName.accountSummary, reqId, account, tag, value, currency);
}
/**
* Decode a ACCOUNT_SUMMARY message from data queue and emit a accountSummaryEnd event.
*/
private decodeMsg_ACCOUNT_SUMMARY_END(): void {
this.readInt(); // version
const reqId = this.readInt();
this.emit(EventName.accountSummaryEnd, reqId);
}
/**
* Decode a DISPLAY_GROUP_LIST message from data queue and emit a displayGroupList event.
*/
private decodeMsg_DISPLAY_GROUP_LIST(): void {
this.readInt(); // version
const reqId = this.readInt();
const list = this.readStr();
this.emit(EventName.displayGroupList, reqId, list);
}
/**
* Decode a DISPLAY_GROUP_UPDATED message from data queue and emit a displayGroupUpdated event.
*/
private decodeMsg_DISPLAY_GROUP_UPDATED(): void {
this.readInt(); // version
const reqId = this.readInt();
const contractInfo = this.readStr();
this.emit(EventName.displayGroupUpdated, reqId, contractInfo);
}
/**
* Decode a POSITION_MULTI message from data queue and emit a PositionMulti event.
*/
private decodeMsg_POSITION_MULTI(): void {
this.readInt(); // version
const reqId = this.readInt();
const account = this.readStr();
const contract: Contract = {};
contract.conId = this.readInt();
contract.symbol = this.readStr();
contract.secType = this.readStr() as SecType;
contract.lastTradeDateOrContractMonth = this.readStr();
contract.strike = this.readDouble();
contract.right = validateOptionType(this.readStr() as OptionType);
contract.multiplier = this.readInt();
contract.exchange = this.readStr();
contract.currency = this.readStr();
contract.localSymbol = this.readStr();
contract.tradingClass = this.readStr();
const pos = this.readDecimal();
const avgCost = this.readDouble();
const modelCode = this.readStr();
this.emit(
EventName.positionMulti,
reqId,
account,
modelCode,
contract,
pos,
avgCost,
);
}
/**
* Decode a POSITION_MULTI_END message from data queue and emit a positionMultiEnd event.
*/
private decodeMsg_POSITION_MULTI_END(): void {
this.readInt(); // version
const reqId = this.readInt();
this.emit(EventName.positionMultiEnd, reqId);
}
/**
* Decode a ACCOUNT_UPDATE_MULTI message from data queue and emit a accountUpdateMulti event.
*/
private decodeMsg_ACCOUNT_UPDATE_MULTI(): void {
this.readInt(); // version
const reqId = this.readInt();
const account = this.readStr();
const modelCode = this.readStr();
const key = this.readStr();
const value = this.readStr();
const currency = this.readStr();
this.emit(
EventName.accountUpdateMulti,
reqId,
account,
modelCode,
key,
value,
currency,
);
}
/**
* Decode a ACCOUNT_UPDATE_MULTI_END message from data queue and emit a accountUpdateMultiEnd event.
*/
private decodeMsg_ACCOUNT_UPDATE_MULTI_END(): void {
this.readInt(); // version
const reqId = this.readStr();
this.emit(EventName.accountUpdateMultiEnd, reqId);
}
/**
* Decode a SECURITY_DEFINITION_OPTION_PARAMETER message from data queue and emit a securityDefinitionOptionParameter event.
*/
private decodeMsg_SECURITY_DEFINITION_OPTION_PARAMETER(): void {
const reqId = this.readInt();
const exchange = this.readStr();
const underlyingConId = this.readInt();
const tradingClass = this.readStr();
const multiplier = this.readStr();
const expCount = this.readInt();
const expirations: unknown[] = [];
for (let i = 0; i < expCount; i++) {
expirations.push(this.readStr());
}
const strikeCount = this.readInt();
const strikes: number[] = [];
for (let j = 0; j < strikeCount; j++) {
strikes.push(this.readDouble());
}
this.emit(
EventName.securityDefinitionOptionParameter,
reqId,
exchange,
underlyingConId,
tradingClass,
multiplier,
expirations,
strikes,
);
}
/**
* Decode a SECURITY_DEFINITION_OPTION_PARAMETER_END message from data queue and emit a securityDefinitionOptionParameterEnd event.
*/
private decodeMsg_SECURITY_DEFINITION_OPTION_PARAMETER_END(): void {
const reqId = this.readInt();
this.emit(EventName.securityDefinitionOptionParameterEnd, reqId);
}
/**
* Decode a SOFT_DOLLAR_TIERS message from data queue and emit a softDollarTiers event.
*/
private decodeMsg_SOFT_DOLLAR_TIERS(): void {
const reqId = this.readInt();
const nTiers = this.readInt();
const tiers: SoftDollarTier[] = new Array(nTiers);
for (let i = 0; i < nTiers; i++) {
tiers[i] = {
name: this.readStr(),
value: this.readStr(),
displayName: this.readStr(),
};
}
this.emit(EventName.softDollarTiers, reqId, tiers);
}
/**
* Decode a FAMILY_CODES message from data queue and emit a familyCodes event.
*/
private decodeMsg_FAMILY_CODES(): void {
const nFamilyCodes = this.readInt();
const familyCodes: FamilyCode[] = new Array(nFamilyCodes);
for (let i = 0; i < nFamilyCodes; i++) {
familyCodes[i] = {
accountID: this.readStr(),
familyCode: this.readStr(),
};
}
this.emit(EventName.familyCodes, familyCodes);
}
/**
* Decode a SYMBOL_SAMPLES message from data queue and emit a symbolSamples event.
*/
private decodeMsg_SYMBOL_SAMPLES(): void {
const reqId = this.readInt();
const nContractDescriptions = this.readInt();
const contractDescriptions: ContractDescription[] = new Array(
nContractDescriptions,
);
for (let i = 0; i < nContractDescriptions; i++) {
const contract: Contract = {
conId: this.readInt(),
symbol: this.readStr(),
secType: this.readStr() as SecType,
primaryExch: this.readStr(),
currency: this.readStr(),
};
const nDerivativeSecTypes = this.readInt();
const derivativeSecTypes: SecType[] = new Array(nDerivativeSecTypes);
for (let j = 0; j < nDerivativeSecTypes; j++) {
derivativeSecTypes[j] = this.readStr() as SecType;
}
if (this.serverVersion >= MIN_SERVER_VER.BOND_ISSUERID) {
contract.description = this.readStr();
contract.issuerId = this.readStr();
}
contractDescriptions[i] = {
contract: contract,
derivativeSecTypes: derivativeSecTypes,
};
}
this.emit(EventName.symbolSamples, reqId, contractDescriptions);
}
/**
* Decode a MKT_DEPTH_EXCHANGES message from data queue and emit a mktDepthExchanges event.
*/
private decodeMsg_MKT_DEPTH_EXCHANGES(): void {
const nDepthMktDataDescriptions = this.readInt();
const depthMktDataDescriptions: DepthMktDataDescription[] = new Array(
nDepthMktDataDescriptions,
);
for (let i = 0; i < nDepthMktDataDescriptions; i++) {
if (this.serverVersion >= MIN_SERVER_VER.SERVICE_DATA_TYPE) {
depthMktDataDescriptions[i] = {
exchange: this.readStr(),
secType: this.readStr() as SecType,
listingExch: this.readStr(),
serviceDataType: this.readStr(),
aggGroup: this.readIntOrUndefined(),
};
} else {
depthMktDataDescriptions[i] = {
exchange: this.readStr(),
secType: this.readStr() as SecType,
listingExch: "",
serviceDataType: this.readBool() ? "Deep2" : "Deep",
aggGroup: undefined,
};
}
}
this.emit(EventName.mktDepthExchanges, depthMktDataDescriptions);
}
/**
* Decode a TICK_REQ_PARAMS message from data queue and emit a tickReqParams event.
*/
private decodeMsg_TICK_REQ_PARAMS(): void {
const tickerId = this.readInt();
const minTick = this.readInt();
const bboExchange = this.readStr();
const snapshotPermissions = this.readInt();
this.emit(
EventName.tickReqParams,
tickerId,
minTick,
bboExchange,
snapshotPermissions,
);
}
/**
* Decode a SMART_COMPONENTS message from data queue and emit a smartComponents event.
*/
private decodeMsg_SMART_COMPONENTS(): void {
const reqId = this.readInt();
const nCount = this.readInt();
const theMap: Map<number, [string, string]> = new Map();
for (let i = 0; i < nCount; i++) {
const bitNumber = this.readInt();
const exchange = this.readStr();
const exchangeLetter = this.readStr();
theMap.set(bitNumber, [exchange, exchangeLetter]);
}
this.emit(EventName.smartComponents, reqId, theMap);
}
/**
* Decode a NEWS_ARTICLE message from data queue and emit a newsArticle event.
*/
private decodeMsg_NEWS_ARTICLE(): void {
const reqId = this.readInt();
const articleType = this.readInt();
const articleText = this.readStr();
this.emit(EventName.newsArticle, reqId, articleType, articleText);
}
/**
* Decode a TICK_NEWS message from data queue and emit a tickNews event.
*/
private decodeMsg_TICK_NEWS(): void {
const tickerId = this.readInt();
const timeStamp = this.readInt();
const providerCode = this.readStr();
const articleId = this.readStr();
const headline = this.readStr();
const extraData = this.readStr();
this.emit(
EventName.tickNews,
tickerId,
timeStamp,
providerCode,
articleId,
headline,
extraData,
);
}
/**
* Decode a NEWS_PROVIDERS message from data queue and emit a newsProviders event.
*/
private decodeMsg_NEWS_PROVIDERS(): void {
const nNewsProviders = this.readInt();
const newProviders: NewsProvider[] = new Array(nNewsProviders);
for (let i = 0; i < nNewsProviders; i++) {
newProviders[i] = {
providerCode: this.readStr(),
providerName: this.readStr(),
};
}
this.emit(EventName.newsProviders, newProviders);
}
/**
* Decode a HISTORICAL_NEWS message from data queue and emit a historicalNews event.
*/
private decodeMsg_HISTORICAL_NEWS(): void {
const requestId = this.readInt();
const time = this.readStr();
const providerCode = this.readStr();
const articleId = this.readStr();
const headline = this.readStr();
this.emit(
EventName.historicalNews,
requestId,
time,
providerCode,
articleId,
headline,
);
}
/**
* Decode a HISTORICAL_NEWS_END message from data queue and emit a historicalNewsEnd event.
*/
private decodeMsg_HISTORICAL_NEWS_END(): void {
const reqId = this.readInt();
const hasMore = this.readBool();
this.emit(EventName.historicalNewsEnd, reqId, hasMore);
}
/**
* Decode a HEAD_TIMESTAMP message from data queue and emit a headTimestamp event.
*/
private decodeMsg_HEAD_TIMESTAMP(): void {
const reqId = this.readInt();
const headTimestamp = this.readStr();
this.emit(EventName.headTimestamp, reqId, headTimestamp);
}
/**
* Decode a HISTOGRAM_DATA message from data queue and emit a histogramData event.
*/
private decodeMsg_HISTOGRAM_DATA(): void {
const reqId = this.readInt();
const count = this.readInt();
const items: HistogramEntry[] = new Array(count);
for (let i = 0; i < count; i++) {
items[i] = {
price: this.readDouble(),
size: this.readDecimal(),
};
}
this.emit(EventName.histogramData, reqId, items);
}
/**
* Decode a PNL message from data queue and emit a pnl event.
*/
private decodeMsg_PNL(): void {
const reqId = this.readInt();
const dailyPnL = this.readDouble();
let unrealizedPnL: number | undefined = undefined;
let realizedPnL: number | undefined = undefined;
if (this.serverVersion >= MIN_SERVER_VER.UNREALIZED_PNL) {
unrealizedPnL = this.readDouble();
}
if (this.serverVersion >= MIN_SERVER_VER.REALIZED_PNL) {
realizedPnL = this.readDouble();
}
this.emit(EventName.pnl, reqId, dailyPnL, unrealizedPnL, realizedPnL);
}
/**
* Decode a PNL_SINGLE message from data queue and emit a pnlSingle event.
*/
private decodeMsg_PNL_SINGLE(): void {
const reqId = this.readInt();
const pos = this.readDecimal();
const dailyPnL = this.readDouble();
let unrealizedPnL: number | undefined = undefined;
let realizedPnL: number | undefined = undefined;
if (this.serverVersion >= MIN_SERVER_VER.UNREALIZED_PNL) {
unrealizedPnL = this.readDouble();
}
if (this.serverVersion >= MIN_SERVER_VER.REALIZED_PNL) {
realizedPnL = this.readDouble();
}
const value = this.readDouble();
this.emit(
EventName.pnlSingle,
reqId,
pos,
dailyPnL,
unrealizedPnL,
realizedPnL,
value,
);
}
/**
* Decode a HISTORICAL_TICKS message from data queue and emit a historicalTicks event.
*/
private decodeMsg_HISTORICAL_TICKS(): void {
const reqId = this.readInt();
const tickCount = this.readInt();
const ticks: HistoricalTick[] = new Array(tickCount);
for (let i = 0; i < tickCount; i++) {
const time = this.readInt();
this.readInt(); //for consistency
const price = this.readDouble();
const size = this.readDecimal();
ticks[i] = {
time,
price,
size,
};
}
const done = this.readBool();
this.emit(EventName.historicalTicks, reqId, ticks, done);
}
/**
* Decode a HISTORICAL_TICKS_BID_ASK message from data queue and emit a historicalTicksBidAsk event.
*/
private decodeMsg_HISTORICAL_TICKS_BID_ASK(): void {
const reqId = this.readInt();
const tickCount = this.readInt();
const ticks: HistoricalTickBidAsk[] = new Array(tickCount);
for (let i = 0; i < tickCount; i++) {
const time = this.readInt();
const flags = this.readInt();
const priceBid = this.readDouble();
const priceAsk = this.readDouble();
const sizeBid = this.readDecimal();
const sizeAsk = this.readDecimal();
ticks[i] = {
time: time,
tickAttribBidAsk: {
bidPastLow: (flags & (1 << 0)) != 0,
askPastHigh: (flags & (1 << 1)) != 0,
},
priceBid: priceBid,
priceAsk: priceAsk,
sizeBid: sizeBid,
sizeAsk: sizeAsk,
};
}
const done = this.readBool();
this.emit(EventName.historicalTicksBidAsk, reqId, ticks, done);
}
/**
* Decode a HISTORICAL_TICKS_LAST message from data queue and emit a historicalTicksLast event.
*/
private decodeMsg_HISTORICAL_TICKS_LAST(): void {
const reqId = this.readInt();
const tickCount = this.readInt();
const ticks: HistoricalTickLast[] = new Array(tickCount);
for (let i = 0; i < tickCount; i++) {
const time = this.readInt();
const mask = this.readInt();
const price = this.readDouble();
const size = this.readDecimal();
const exchange = this.readStr();
const specialConditions = this.readStr();
ticks[i] = {
time: time,
tickAttribLast: {
pastLimit: (mask & (1 << 0)) !== 0,
unreported: (mask & (1 << 1)) !== 0,
},
price: price,
size: size,
exchange: exchange,
specialConditions: specialConditions,
};
}
const done = this.readBool();
this.emit(EventName.historicalTicksLast, reqId, ticks, done);
}
/**
* Decode a TICK_BY_TICK message from data queue and a emit tickByTickAllLast, tickByTickBidAsk or tickByTickMidPoint event.
*/
private decodeMsg_TICK_BY_TICK(): void {
const reqId = this.readInt();
const tickType = this.readInt();
const time = this.readStr();
switch (tickType) {
case 0: // None
break;
case 1: // Last
case 2: {
// All-last
const price = this.readDouble();
const size = this.readDecimal();
const mask = this.readInt();
const pastLimit = (mask & (1 << 0)) !== 0;
const unreported = (mask & (1 << 1)) !== 0;
const exchange = this.readStr();
const specialConditions = this.readStr();
this.emit(
EventName.tickByTickAllLast,
reqId,
tickType,
time,
price,
size,
{ pastLimit, unreported },
exchange,
specialConditions,
);
break;
}
case 3: {
// BidAsk
const bidPrice = this.readDouble();
const askPrice = this.readDouble();
const bidSize = this.readDecimal();
const askSize = this.readDecimal();
const mask = this.readInt();
const bidPastLow = (mask & (1 << 0)) !== 0;
const askPastHigh = (mask & (1 << 1)) !== 0;
this.emit(
EventName.tickByTickBidAsk,
reqId,
time,
bidPrice,
askPrice,
bidSize,
askSize,
{
bidPastLow,
askPastHigh,
},
);
break;
}
case 4: {
// MidPoint
const midPoint = this.readDouble();
this.emit(EventName.tickByTickMidPoint, reqId, time, midPoint);
break;
}
}
}
/**
* Decode a ORDER_BOUND message from data queue and a emit orderBound event.
*/
private decodeMsg_ORDER_BOUND(): void {
const orderId = this.readInt();
const apiClientId = this.readDouble();
const apiOrderId = this.readInt();
this.emit(EventName.orderBound, orderId, apiClientId, apiOrderId);
}
/**
* Decode a COMPLETED_ORDER message from data queue and a emit completedOrder event.
*/
private decodeMsg_COMPLETED_ORDER(): void {
const contract: Contract = {};
const order: Order = {};
const orderState: OrderState = {};
const orderDecoder = new OrderDecoder(
this,
contract,
order,
orderState,
Number.MAX_VALUE,
this.serverVersion,
);
// read contract fields
orderDecoder.readContractFields();
// read order fields
orderDecoder.readAction();
orderDecoder.readTotalQuantity();
orderDecoder.readOrderType();
orderDecoder.readLmtPrice();
orderDecoder.readAuxPrice();
orderDecoder.readTIF();
orderDecoder.readOcaGroup();
orderDecoder.readAccount();
orderDecoder.readOpenClose();
orderDecoder.readOrigin();
orderDecoder.readOrderRef();
orderDecoder.readPermId();
orderDecoder.readOutsideRth();
orderDecoder.readHidden();
orderDecoder.readDiscretionaryAmount();
orderDecoder.readGoodAfterTime();
orderDecoder.readFAParams();
orderDecoder.readModelCode();
orderDecoder.readGoodTillDate();
orderDecoder.readRule80A();
orderDecoder.readPercentOffset();
orderDecoder.readSettlingFirm();
orderDecoder.readShortSaleParams();
orderDecoder.readBoxOrderParams();
orderDecoder.readPegToStkOrVolOrderParams();
orderDecoder.readDisplaySize();
orderDecoder.readSweepToFill();
orderDecoder.readAllOrNone();
orderDecoder.readMinQty();
orderDecoder.readOcaType();
orderDecoder.readTriggerMethod();
orderDecoder.readVolOrderParams(false);
orderDecoder.readTrailParams();
orderDecoder.readComboLegs();
orderDecoder.readSmartComboRoutingParams();
orderDecoder.readScaleOrderParams();
orderDecoder.readHedgeParams();
orderDecoder.readClearingParams();
orderDecoder.readNotHeld();
orderDecoder.readDeltaNeutral();
orderDecoder.readAlgoParams();
orderDecoder.readSolicited();
orderDecoder.readOrderStatus();
orderDecoder.readVolRandomizeFlags();
orderDecoder.readPegToBenchParams();
orderDecoder.readConditions();
orderDecoder.readStopPriceAndLmtPriceOffset();
orderDecoder.readCashQty();
orderDecoder.readDontUseAutoPriceForHedge();
orderDecoder.readIsOmsContainer();
orderDecoder.readAutoCancelDate();
orderDecoder.readFilledQuantity();
orderDecoder.readRefFuturesConId();
orderDecoder.readAutoCancelParent();
orderDecoder.readShareholder();
orderDecoder.readImbalanceOnly();
orderDecoder.readRouteMarketableToBbo();
orderDecoder.readParentPermId();
orderDecoder.readCompletedTime();
orderDecoder.readCompletedStatus();
orderDecoder.readPegBestPegMidOrderAttributes();
orderDecoder.readCustomerAccount();
orderDecoder.readProfessionalCustomer();
this.emit(EventName.completedOrder, contract, order, orderState);
}
/**
* Decode a COMPLETED_ORDER_END message from data queue and a emit completedOrdersEnd event.
*/
private decodeMsg_COMPLETED_ORDERS_END(): void {
this.emit(EventName.completedOrdersEnd);
}
/**
* Decode a REPLACE_FA_END message from data queue and a emit replaceFAEnd event.
*/
private decodeMsg_REPLACE_FA_END(): void {
const reqId = this.readInt();
const text = this.readStr();
this.emit(EventName.replaceFAEnd, reqId, text);
}
/**
* Decode a WSH_META_DATA message from data queue and a emit wshMetaData event.
*/
private decodeMsg_WSH_META_DATA(): void {
const reqId = this.readInt();
const dataJson = this.readStr();
this.emit(EventName.wshMetaData, reqId, dataJson);
}
/**
* Decode a WSH_EVENT_DATA message from data queue and a emit wshEventData event.
*/
private decodeMsg_WSH_EVENT_DATA(): void {
const reqId = this.readInt();
const dataJson = this.readStr();
this.emit(EventName.wshEventData, reqId, dataJson);
}
/**
* Decode a HISTORICAL_SCHEDULE message from data queue and a emit historicalSchedule event.
*/
private decodeMsg_HISTORICAL_SCHEDULE(): void {
const reqId = this.readInt();
const startDateTime = this.readStr();
const endDateTime = this.readStr();
const timeZone = this.readStr();
const sessionsCount = this.readInt();
const sessions: HistoricalSession[] = new Array(sessionsCount);
for (let i = 0; i < sessionsCount; i++) {
const sessionStartDateTime = this.readStr();
const sessionEndDateTime = this.readStr();
const sessionRefDate = this.readStr();
sessions[i] = {
startDateTime: sessionStartDateTime,
endDateTime: sessionEndDateTime,
refDate: sessionRefDate,
};
}
this.emit(
EventName.historicalSchedule,
reqId,
startDateTime,
endDateTime,
timeZone,
sessions,
);
}
/**
* Decode a USER_INFO message from data queue and a emit userInfo event.
*/
private decodeMsg_USER_INFO(): void {
const reqId = this.readInt();
const whiteBrandingId = this.readStr();
this.emit(EventName.userInfo, reqId, whiteBrandingId);
}
/**
* Read last trade date, parse it and assign to proper [[ContractDetails]] attributes.
*/
private readLastTradeDate(contract: ContractDetails, isBond: boolean): void {
const lastTradeDateOrContractMonth = this.readStr();
if (lastTradeDateOrContractMonth?.length) {
const tokens =
lastTradeDateOrContractMonth.indexOf("-") > 0
? lastTradeDateOrContractMonth.split("-")
: lastTradeDateOrContractMonth.split("\\s+");
if (tokens.length > 0) {
if (isBond) {
contract.maturity = tokens[0];
} else {
contract.contract.lastTradeDateOrContractMonth = tokens[0];
}
}
if (tokens.length > 1) {
contract.lastTradeTime = tokens[1];
}
if (isBond && tokens.length > 2) {
contract.timeZoneId = tokens[2];
}
}
}
}
/**
* @internal
*
* This class implements the Order-decoder, similar to IB's EOrderDecoder on
* https://github.com/stoqey/ib/blob/master/ref/client/EOrderDecoder.java
*/
class OrderDecoder {
constructor(
private decoder: Decoder,
private contract: Contract,
private order: Order,
private orderState: OrderState,
private version: number,
private serverVersion: number,
) {}
readOrderId(): void {
this.order.orderId = this.decoder.readInt();
}
readContractFields(): void {
if (this.version >= 17) {
this.contract.conId = this.decoder.readInt();
}
this.contract.symbol = this.decoder.readStr();
this.contract.secType = this.decoder.readStr() as SecType;
this.contract.lastTradeDateOrContractMonth = this.decoder.readStr();
this.contract.strike = this.decoder.readDouble();
this.contract.right = validateOptionType(
this.decoder.readStr() as OptionType,
);
if (this.version >= 32) {
this.contract.multiplier = +this.decoder.readStr();
}
this.contract.exchange = this.decoder.readStr();
this.contract.currency = this.decoder.readStr();
if (this.version >= 2) {
this.contract.localSymbol = this.decoder.readStr();
}
if (this.version >= 32) {
this.contract.tradingClass = this.decoder.readStr();
}
}
readAction(): void {
this.order.action = this.decoder.readStr() as OrderAction;
}
readTotalQuantity(): void {
this.order.totalQuantity = this.decoder.readDecimal();
}
readOrderType(): void {
this.order.orderType = this.decoder.readStr() as OrderType;
}
readLmtPrice(): void {
if (this.version < 29) {
this.order.lmtPrice = this.decoder.readDouble();
} else {
this.order.lmtPrice = this.decoder.readDoubleOrUndefined();
}
}
readAuxPrice(): void {
if (this.version < 30) {
this.order.auxPrice = this.decoder.readDouble();
} else {
this.order.auxPrice = this.decoder.readDoubleOrUndefined();
}
}
readTIF(): void {
this.order.tif = this.decoder.readStr() as TimeInForce;
}
readOcaGroup(): void {
this.order.ocaGroup = this.decoder.readStr();
}
readAccount(): void {
this.order.account = this.decoder.readStr();
}
readOpenClose(): void {
this.order.openClose = this.decoder.readStr();
}
readOrigin(): void {
this.order.origin = this.decoder.readInt();
}
readOrderRef(): void {
this.order.orderRef = this.decoder.readStr();
}
readClientId(): void {
if (this.version >= 3) {
this.order.clientId = this.decoder.readInt();
}
}
readPermId(): void {
if (this.version >= 4) {
this.order.permId = this.decoder.readInt();
}
}
readOutsideRth(): void {
if (this.version >= 4) {
if (this.version < 18) {
// will never happen
/* order.m_ignoreRth = */ this.decoder.readBool();
} else {
this.order.outsideRth = this.decoder.readBool();
}
}
}
readHidden(): void {
if (this.version >= 4) {
this.order.hidden = this.decoder.readInt() == 1;
}
}
readDiscretionaryAmount(): void {
if (this.version >= 4) {
this.order.discretionaryAmt = this.decoder.readDouble();
}
}
readGoodAfterTime(): void {
if (this.version >= 5) {
this.order.goodAfterTime = this.decoder.readStr();
}
}
skipSharesAllocation(): void {
if (this.version >= 6) {
// skip deprecated sharesAllocation field
this.decoder.readStr();
}
}
readFAParams(): void {
if (this.version >= 7) {
this.order.faGroup = this.decoder.readStr();
this.order.faMethod = this.decoder.readStr();
this.order.faPercentage = this.decoder.readStr();
if (this.version < MIN_SERVER_VER.FA_PROFILE_DESUPPORT)
this.order.faProfile = this.decoder.readStr();
}
}
readModelCode(): void {
if (this.version >= MIN_SERVER_VER.MODELS_SUPPORT) {
this.order.modelCode = this.decoder.readStr();
}
}
readGoodTillDate(): void {
if (this.version >= 8) {
this.order.goodTillDate = this.decoder.readStr();
}
}
readRule80A(): void {
if (this.version >= 9) {
this.order.rule80A = this.decoder.readStr();
}
}
readPercentOffset() {
if (this.version >= 9) {
this.order.percentOffset = this.decoder.readDoubleOrUndefined();
}
}
readSettlingFirm(): void {
if (this.version >= 9) {
this.order.settlingFirm = this.decoder.readStr();
}
}
readShortSaleParams(): void {
if (this.version >= 9) {
this.order.shortSaleSlot = this.decoder.readInt();
this.order.designatedLocation = this.decoder.readStr();
if (this.version == 51) {
this.decoder.readInt(); // exemptCode
} else if (this.version >= 23) {
this.order.exemptCode = this.decoder.readInt();
}
}
}
readAuctionStrategy(): void {
if (this.version >= 9) {
this.order.auctionStrategy = this.decoder.readInt();
}
}
readBoxOrderParams(): void {
if (this.version >= 9) {
this.order.startingPrice = this.decoder.readDoubleOrUndefined();
this.order.stockRefPrice = this.decoder.readDoubleOrUndefined();
this.order.delta = this.decoder.readDoubleOrUndefined();
}
}
readPegToStkOrVolOrderParams(): void {
if (this.version >= 9) {
this.order.stockRangeLower = this.decoder.readDoubleOrUndefined();
this.order.stockRangeUpper = this.decoder.readDoubleOrUndefined();
}
}
readDisplaySize(): void {
if (this.version >= 9) {
this.order.displaySize = this.decoder.readIntOrUndefined();
}
}
readOldStyleOutsideRth(): void {
if (this.version >= 9) {
if (this.version < 18) {
// will never happen
/* order.m_rthOnly = */ this.decoder.readBool();
}
}
}
readBlockOrder(): void {
if (this.version >= 9) {
this.order.blockOrder = this.decoder.readBool();
}
}
readSweepToFill(): void {
if (this.version >= 9) {
this.order.sweepToFill = this.decoder.readBool();
}
}
readAllOrNone(): void {
if (this.version >= 9) {
this.order.allOrNone = this.decoder.readBool();
}
}
readMinQty(): void {
if (this.version >= 9) {
this.order.minQty = this.decoder.readIntOrUndefined();
}
}
readOcaType(): void {
if (this.version >= 9) {
this.order.ocaType = this.decoder.readInt();
}
}
readETradeOnly(): void {
if (this.version >= 9) {
this.order.eTradeOnly = this.decoder.readBool();
}
}
readFirmQuoteOnly(): void {
if (this.version >= 9) {
this.order.firmQuoteOnly = this.decoder.readBool();
}
}
readNbboPriceCap(): void {
if (this.version >= 9) {
this.order.nbboPriceCap = this.decoder.readDoubleOrUndefined();
}
}
readParentId(): void {
if (this.version >= 10) {
this.order.parentId = this.decoder.readInt();
}
}
readTriggerMethod(): void {
if (this.version >= 10) {
this.order.triggerMethod = this.decoder.readInt();
}
}
readVolOrderParams(readOpenOrderAttribs: boolean): void {
if (this.version >= 11) {
this.order.volatility = this.decoder.readDoubleOrUndefined();
this.order.volatilityType = this.decoder.readInt();
if (this.version == 11) {
const receivedInt = this.decoder.readInt();
this.order.deltaNeutralOrderType = receivedInt == 0 ? "NONE" : "MKT";
} else {
this.order.deltaNeutralOrderType = this.decoder.readStr();
this.order.deltaNeutralAuxPrice = this.decoder.readDoubleOrUndefined();
if (
this.version >= 27 &&
this.order.deltaNeutralOrderType &&
this.order.deltaNeutralOrderType !== ""
) {
this.order.deltaNeutralConId = this.decoder.readInt();
if (readOpenOrderAttribs) {
this.order.deltaNeutralSettlingFirm = this.decoder.readStr();
this.order.deltaNeutralClearingAccount = this.decoder.readStr();
this.order.deltaNeutralClearingIntent = this.decoder.readStr();
}
}
if (
this.version >= 31 &&
this.order.deltaNeutralOrderType &&
this.order.deltaNeutralOrderType !== ""
) {
if (readOpenOrderAttribs) {
this.order.deltaNeutralOpenClose = this.decoder.readStr();
}
this.order.deltaNeutralShortSale = this.decoder.readBool();
this.order.deltaNeutralShortSaleSlot = this.decoder.readInt();
this.order.deltaNeutralDesignatedLocation = this.decoder.readStr();
}
}
this.order.continuousUpdate = this.decoder.readInt();
if (this.version == 26) {
this.order.stockRangeLower = this.decoder.readDouble();
this.order.stockRangeUpper = this.decoder.readDouble();
}
this.order.referencePriceType = this.decoder.readInt();
}
}
readTrailParams(): void {
if (this.version >= 13) {
this.order.trailStopPrice = this.decoder.readDoubleOrUndefined();
}
if (this.version >= 30) {
this.order.trailingPercent = this.decoder.readDoubleOrUndefined();
}
}
readBasisPoints(): void {
if (this.version >= 14) {
this.order.basisPoints = this.decoder.readDoubleOrUndefined();
this.order.basisPointsType = this.decoder.readIntOrUndefined();
}
}
readComboLegs(): void {
if (this.version >= 14) {
this.contract.comboLegsDescription = this.decoder.readStr();
}
if (this.version >= 29) {
const comboLegsCount = this.decoder.readInt();
if (comboLegsCount > 0) {
this.contract.comboLegs = [];
for (let i = 0; i < comboLegsCount; ++i) {
const conId = this.decoder.readInt();
const ratio = this.decoder.readInt();
const action = this.decoder.readStr() as OrderAction;
const exchange = this.decoder.readStr();
const openClose = this.decoder.readInt();
const shortSaleSlot = this.decoder.readInt();
const designatedLocation = this.decoder.readStr();
const exemptCode = this.decoder.readInt();
this.contract.comboLegs.push({
conId,
ratio,
action,
exchange,
openClose,
shortSaleSlot,
designatedLocation,
exemptCode,
});
}
}
const orderComboLegsCount = this.decoder.readInt();
if (orderComboLegsCount > 0) {
this.order.orderComboLegs = [];
for (let i = 0; i < orderComboLegsCount; ++i) {
const price = this.decoder.readDoubleOrUndefined();
this.order.orderComboLegs.push({
price,
});
}
}
}
}
readSmartComboRoutingParams(): void {
if (this.version >= 26) {
const smartComboRoutingParamsCount = this.decoder.readInt();
if (smartComboRoutingParamsCount > 0) {
this.order.smartComboRoutingParams = [];
for (let i = 0; i < smartComboRoutingParamsCount; ++i) {
const tag = this.decoder.readStr();
const value = this.decoder.readStr();
this.order.smartComboRoutingParams.push({
tag,
value,
});
}
}
}
}
readScaleOrderParams(): void {
if (this.version >= 15) {
if (this.version >= 20) {
this.order.scaleInitLevelSize = this.decoder.readIntOrUndefined();
this.order.scaleSubsLevelSize = this.decoder.readIntOrUndefined();
} else {
/* int notSuppScaleNumComponents = */ this.decoder.readIntOrUndefined();
this.order.scaleInitLevelSize = this.decoder.readIntOrUndefined();
}
this.order.scalePriceIncrement = this.decoder.readDoubleOrUndefined();
}
if (
this.version >= 28 &&
this.order.scalePriceIncrement &&
this.order.scalePriceIncrement > 0.0
) {
this.order.scalePriceAdjustValue = this.decoder.readDoubleOrUndefined();
this.order.scalePriceAdjustInterval = this.decoder.readIntOrUndefined();
this.order.scaleProfitOffset = this.decoder.readDoubleOrUndefined();
this.order.scaleAutoReset = this.decoder.readBool();
this.order.scaleInitPosition = this.decoder.readIntOrUndefined();
this.order.scaleInitFillQty = this.decoder.readIntOrUndefined();
this.order.scaleRandomPercent = this.decoder.readBool();
}
}
readHedgeParams(): void {
if (this.version >= 24) {
this.order.hedgeType = this.decoder.readStr();
if (this.order.hedgeType && this.order.hedgeType !== "") {
this.order.hedgeParam = this.decoder.readStr();
}
}
}
readOptOutSmartRouting(): void {
if (this.version >= 25) {
this.order.optOutSmartRouting = this.decoder.readBool();
}
}
readClearingParams(): void {
if (this.version >= 19) {
this.order.clearingAccount = this.decoder.readStr();
this.order.clearingIntent = this.decoder.readStr();
}
}
readNotHeld(): void {
if (this.version >= 22) {
this.order.notHeld = this.decoder.readBool();
}
}
readDeltaNeutral(): void {
if (this.version >= 20) {
if (this.decoder.readBool()) {
const conId = this.decoder.readInt();
const delta = this.decoder.readDouble();
const price = this.decoder.readDouble();
this.contract.deltaNeutralContract = {
conId,
delta,
price,
};
}
}
}
readAlgoParams(): void {
if (this.version >= 21) {
this.order.algoStrategy = this.decoder.readStr();
if (this.order.algoStrategy && this.order.algoStrategy !== "") {
const algoParamsCount = this.decoder.readInt();
if (algoParamsCount > 0) {
this.order.algoParams = [];
for (let i = 0; i < algoParamsCount; ++i) {
const tag = this.decoder.readStr();
const value = this.decoder.readStr();
this.order.algoParams.push({
tag,
value,
});
}
}
}
}
}
readSolicited(): void {
if (this.version >= 33) {
this.order.solicited = this.decoder.readBool();
}
}
readWhatIfInfoAndCommission(): void {
if (this.version >= 16) {
this.order.whatIf = this.decoder.readBool();
this.readOrderStatus();
if (this.serverVersion >= MIN_SERVER_VER.WHAT_IF_EXT_FIELDS) {
this.orderState.initMarginBefore = this.decoder.readDoubleOrUndefined();
this.orderState.maintMarginBefore =
this.decoder.readDoubleOrUndefined();
this.orderState.equityWithLoanBefore =
this.decoder.readDoubleOrUndefined();
this.orderState.initMarginChange = this.decoder.readDoubleOrUndefined();
this.orderState.maintMarginChange =
this.decoder.readDoubleOrUndefined();
this.orderState.equityWithLoanChange =
this.decoder.readDoubleOrUndefined();
}
this.orderState.initMarginAfter = this.decoder.readDoubleOrUndefined();
this.orderState.maintMarginAfter = this.decoder.readDoubleOrUndefined();
this.orderState.equityWithLoanAfter =
this.decoder.readDoubleOrUndefined();
this.orderState.commission = this.decoder.readDoubleOrUndefined();
this.orderState.minCommission = this.decoder.readDoubleOrUndefined();
this.orderState.maxCommission = this.decoder.readDoubleOrUndefined();
this.orderState.commissionCurrency = this.decoder.readStr();
this.orderState.warningText = this.decoder.readStr();
}
}
readOrderStatus(): void {
this.orderState.status = this.decoder.readStr() as OrderStatus;
}
readVolRandomizeFlags(): void {
if (this.version >= 34) {
this.order.randomizeSize = this.decoder.readBool();
this.order.randomizePrice = this.decoder.readBool();
}
}
readPegToBenchParams(): void {
if (this.serverVersion >= MIN_SERVER_VER.PEGGED_TO_BENCHMARK) {
if (isPegBenchOrder(this.order.orderType)) {
this.order.referenceContractId = this.decoder.readInt();
this.order.isPeggedChangeAmountDecrease = this.decoder.readBool();
this.order.peggedChangeAmount = this.decoder.readDouble();
this.order.referenceChangeAmount = this.decoder.readDouble();
this.order.referenceExchangeId = this.decoder.readStr();
}
}
}
readConditions(): void {
if (this.serverVersion >= MIN_SERVER_VER.PEGGED_TO_BENCHMARK) {
const nConditions = this.decoder.readInt();
if (nConditions > 0) {
this.order.conditions = new Array(nConditions);
for (let i = 0; i < nConditions; i++) {
const orderConditionType = this.decoder.readInt();
// OrderCondition
const conjunctionConnection = this.decoder
.readStr()
?.toLocaleLowerCase();
switch (orderConditionType) {
case OrderConditionType.Execution: {
const secType = this.decoder.readStr() as SecType;
const exchange = this.decoder.readStr();
const symbol = this.decoder.readStr();
this.order.conditions[i] = new ExecutionCondition(
exchange,
secType,
symbol,
conjunctionConnection as ConjunctionConnection,
);
break;
}
case OrderConditionType.Margin: {
// OperatorCondition
const isMore = this.decoder.readBool();
const value = this.decoder.readInt();
this.order.conditions[i] = new MarginCondition(
value,
isMore,
conjunctionConnection as ConjunctionConnection,
);
break;
}
case OrderConditionType.PercentChange: {
// OperatorCondition
const isMore = this.decoder.readBool();
const value = this.decoder.readDouble();
// ContractCondition
const condId = this.decoder.readInt();
const exchange = this.decoder.readStr();
this.order.conditions[i] = new PercentChangeCondition(
value,
condId,
exchange,
isMore,
conjunctionConnection as ConjunctionConnection,
);
break;
}
case OrderConditionType.Price: {
// OperatorCondition
const isMore = this.decoder.readBool();
const value = this.decoder.readDouble();
// ContractCondition
const condId = this.decoder.readInt();
const exchange = this.decoder.readStr();
// PriceCondition
const triggerMethod = this.decoder.readInt() as TriggerMethod;
this.order.conditions[i] = new PriceCondition(
value,
triggerMethod,
condId,
exchange,
isMore,
conjunctionConnection as ConjunctionConnection,
);
break;
}
case OrderConditionType.Time: {
// OperatorCondition
const isMore = this.decoder.readBool();
const value = this.decoder.readStr();
this.order.conditions[i] = new TimeCondition(
value,
isMore,
conjunctionConnection as ConjunctionConnection,
);
break;
}
case OrderConditionType.Volume: {
// OperatorCondition
const isMore = this.decoder.readBool();
const value = this.decoder.readInt();
// ContractCondition
const condId = this.decoder.readInt();
const exchange = this.decoder.readStr();
this.order.conditions[i] = new VolumeCondition(
value,
condId,
exchange,
isMore,
conjunctionConnection as ConjunctionConnection,
);
break;
}
}
}
this.order.conditionsIgnoreRth = this.decoder.readBool();
this.order.conditionsCancelOrder = this.decoder.readBool();
}
}
}
readAdjustedOrderParams(): void {
if (this.serverVersion >= MIN_SERVER_VER.PEGGED_TO_BENCHMARK) {
this.order.adjustedOrderType = this.decoder.readStr();
this.order.triggerPrice = this.decoder.readDoubleOrUndefined();
this.readStopPriceAndLmtPriceOffset();
this.order.adjustedStopPrice = this.decoder.readDoubleOrUndefined();
this.order.adjustedStopLimitPrice = this.decoder.readDoubleOrUndefined();
this.order.adjustedTrailingAmount = this.decoder.readDoubleOrUndefined();
this.order.adjustableTrailingUnit = this.decoder.readInt();
}
}
readStopPriceAndLmtPriceOffset(): void {
this.order.trailStopPrice = this.decoder.readDoubleOrUndefined();
this.order.lmtPriceOffset = this.decoder.readDoubleOrUndefined();
}
readSoftDollarTier(): void {
if (this.serverVersion >= MIN_SERVER_VER.SOFT_DOLLAR_TIER) {
const name = this.decoder.readStr();
const value = this.decoder.readStr();
const displayName = this.decoder.readStr();
this.order.softDollarTier = {
name,
value,
displayName,
};
}
}
readCashQty(): void {
if (this.serverVersion >= MIN_SERVER_VER.CASH_QTY) {
this.order.cashQty = this.decoder.readDoubleOrUndefined();
}
}
readDontUseAutoPriceForHedge(): void {
if (this.serverVersion >= MIN_SERVER_VER.AUTO_PRICE_FOR_HEDGE) {
this.order.dontUseAutoPriceForHedge = this.decoder.readBool();
}
}
readIsOmsContainer(): void {
if (this.serverVersion >= MIN_SERVER_VER.ORDER_CONTAINER) {
this.order.isOmsContainer = this.decoder.readBool();
}
}
readDiscretionaryUpToLimitPrice(): void {
if (this.serverVersion >= MIN_SERVER_VER.D_PEG_ORDERS) {
this.order.discretionaryUpToLimitPrice = this.decoder.readBool();
}
}
readAutoCancelDate(): void {
this.order.autoCancelDate = this.decoder.readStr();
}
readFilledQuantity(): void {
this.order.filledQuantity = this.decoder.readDecimal();
}
readRefFuturesConId(): void {
this.order.refFuturesConId = this.decoder.readInt();
}
readAutoCancelParent(minVersionAutoCancelParent?: number): void {
if (
minVersionAutoCancelParent === undefined ||
this.serverVersion >= minVersionAutoCancelParent
) {
this.order.autoCancelParent = this.decoder.readBool();
}
}
readShareholder(): void {
this.order.shareholder = this.decoder.readStr();
}
readImbalanceOnly(): void {
this.order.imbalanceOnly = this.decoder.readBool();
}
readRouteMarketableToBbo(): void {
this.order.routeMarketableToBbo = this.decoder.readBool();
}
readParentPermId(): void {
this.order.parentPermId = this.decoder.readInt();
}
readCompletedTime(): void {
this.orderState.completedTime = this.decoder.readStr();
}
readCompletedStatus(): void {
this.orderState.completedStatus = this.decoder.readStr();
}
readUsePriceMgmtAlgo(): void {
if (this.serverVersion >= MIN_SERVER_VER.PRICE_MGMT_ALGO) {
this.order.usePriceMgmtAlgo = this.decoder.readBool();
}
}
readDuration(): void {
if (this.serverVersion >= MIN_SERVER_VER.DURATION) {
this.order.duration = this.decoder.readInt();
}
}
readPostToAts(): void {
if (this.serverVersion >= MIN_SERVER_VER.POST_TO_ATS) {
this.order.postToAts = this.decoder.readIntOrUndefined();
}
}
readPegBestPegMidOrderAttributes() {
if (this.serverVersion >= MIN_SERVER_VER.PEGBEST_PEGMID_OFFSETS) {
this.order.minTradeQty = this.decoder.readIntOrUndefined();
this.order.minCompeteSize = this.decoder.readIntOrUndefined();
this.order.competeAgainstBestOffset =
this.decoder.readDoubleOrUndefined();
this.order.midOffsetAtWhole = this.decoder.readDoubleOrUndefined();
this.order.midOffsetAtHalf = this.decoder.readDoubleOrUndefined();
}
}
readCustomerAccount() {
if (this.serverVersion >= MIN_SERVER_VER.CUSTOMER_ACCOUNT) {
this.order.customerAccount = this.decoder.readStr();
}
}
readProfessionalCustomer() {
if (this.serverVersion >= MIN_SERVER_VER.PROFESSIONAL_CUSTOMER) {
this.order.professionalCustomer = this.decoder.readBool();
}
}
}