package com.ib.client.examples;
import com.ib.client.Contract;
import com.ib.client.Contract;
import com.ib.client.ContractDetails;
import com.ib.client.EWrapperMsgGenerator;
import com.ib.client.Order;
import com.ib.client.TickType;
import com.ib.client.examples.model.UnderlyingData;
import com.ib.client.examples.util.DateUtil;
import com.ib.client.examples.util.RequestIDManager;
import java.util.ArrayList;
import java.util.ArrayList;
import java.util.List;
/**
* This example will request market data for a given underlying. Based on the
* minimum implied volatily and implied volatility to historical volatility ratio
* limit provided, decision is made whether or not to place a buy straddle order.
*
* API requests:
* eConnect
* reqMktData
* cancelMktData
* reqContractDetails
* placeOrder
* eDisconnect
*
* API callbacks:
* tickPrice
* tickGeneric
* contractDetails
* contractDetailsEnd
* orderStatus
* nextValidId
*
* $Id$
*/
public class Example2 extends ExampleBase {
private final static String GENERIC_TICKS = "104, 106"; // Hist Vol, Imp Vol
private UnderlyingData underlyingData = null;
private List<Contract> optionContracts = new ArrayList<Contract>();
public Example2(String symbol, String minImpVol, String volRatioLimit) {
this.underlyingData = new UnderlyingData(symbol, Double.parseDouble(minImpVol), Double.parseDouble(volRatioLimit));
}
public static void main(String[] args) {
if (args.length != 3) {
System.out.println(" Usage: java Example2 <symbol> <minImpVol> <volRatioLimit>");
System.exit(1);
} else {
new Example2(args[0], args[1], args[2]).start();
}
}
public void run() {
try {
connectToTWS();
// Retrieve underlying data (last price, hist vol, imp vol)
if (retrieveUnderlyingData()) {
if (underlyingData.isOrderCriteriaMet()) {
// Retrieve option contracts for underlying
if (retrieveOptionContracts()) {
// Find the one that is 1) closest strike to underlying last price, 2) expiry not within 15 days
Contract callContract = filterContracts("C");
Contract putContract = filterContracts("P");
if (RequestIDManager.singleton().isOrderIdInitialized()) {
// Place buy straddle for 1 contract as market order
Order callOrder = createOrder("BUY", 1, "MKT");
Order putOrder = createOrder("BUY", 1, "MKT");
eClientSocket.placeOrder(RequestIDManager.singleton().getNextOrderId(), callContract, callOrder);
eClientSocket.placeOrder(RequestIDManager.singleton().getNextOrderId(), putContract, putOrder);
System.out.println(" [Info] Buy straddle market order submitted for: " + underlyingData.toString());
sleep(WAIT_TIME * 30); // Hang around for order status updates...
} else {
System.out.println(" [Error] Failed to initialize order ID for: " + underlyingData.toString());
}
} else {
System.out.println(" [Error] Failed to retrieve option contracts for: " + underlyingData.toString());
}
} else {
System.out.println(" [Info] Underlying does NOT meet order criteria: " + underlyingData.toString());
}
} else {
System.out.println(" [Error] Failed to retrieve underlying data: " + underlyingData.toString());
}
} catch (Throwable t) {
System.out.println(" [Error] Example2.run() :: Problem occurred during processing: " + t.getMessage());
} finally {
disconnectFromTWS();
}
}
private boolean retrieveUnderlyingData() throws InterruptedException {
boolean isSuccess = false;
int waitCount = 0;
// Create a contract, with defaults...
Contract contract = createContract(underlyingData.getSymbol(), "STK", "SMART", "USD");
// Requests market data
int requestId = RequestIDManager.singleton().getNextRequestId();
eClientSocket.reqMktData(requestId, contract, GENERIC_TICKS, false);
while (!isSuccess && waitCount < MAX_WAIT_COUNT) {
// Check if last price and volatilities loaded
if (underlyingData.isDataReady()) {
isSuccess = true;
} else {
sleep(WAIT_TIME); // Pause for 1 sec
waitCount++;
}
}
// Cancel market data
eClientSocket.cancelMktData(requestId);
return isSuccess;
}
private boolean retrieveOptionContracts() throws InterruptedException {
boolean isSuccess = false;
int waitCount = 0;
// Find all option contracts for underlying, will filter strike and expiry later...
Contract contract = createContract(underlyingData.getSymbol(), "OPT", "SMART", "USD");
int requestId = RequestIDManager.singleton().getNextRequestId();
eClientSocket.reqContractDetails(requestId, contract);
while (!isSuccess && waitCount < MAX_WAIT_COUNT) {
// Check if all contracts received
if (RequestIDManager.singleton().isRequestComplete(requestId)) {
isSuccess = true;
} else {
sleep(WAIT_TIME); // Pause for 1 sec
waitCount++;
}
}
return isSuccess;
}
private Contract filterContracts(String right) {
Contract c = null;
// First by price
double priceDiff = 0.0;
for (Contract contract : optionContracts) {
if (contract.m_right.equals(right)) {
if (c == null) {
c = contract;
priceDiff = Math.abs(contract.m_strike - underlyingData.getLastPrice());
} else {
double tempDiff = Math.abs(contract.m_strike - underlyingData.getLastPrice());
if (tempDiff < priceDiff) {
c = contract;
priceDiff = tempDiff;
}
}
}
}
// Next find closest expiry outside 15 days
long days = 0;
for (Contract contract : optionContracts) {
// This time include check to look at those matching strike
if (contract.m_right.equals(right) && contract.m_strike == c.m_strike) {
if (days == 0) {
days = DateUtil.getDeltaDays(contract.m_expiry);
c = contract;
} else {
long tempDays = DateUtil.getDeltaDays(contract.m_expiry);
if (tempDays < days && tempDays > 15) {
days = tempDays;
c = contract;
}
}
}
}
System.out.println(" [Debug] Filtered option contract: " + c.m_symbol + " " + c.m_expiry + " " + c.m_strike + " " + c.m_right);
return c;
}
public void tickPrice(int tickerId, int field, double price, int canAutoExecute) {
System.out.println(" [API.tickPrice] " + EWrapperMsgGenerator.tickPrice(tickerId, field, price, canAutoExecute));
if (field == TickType.LAST) {
underlyingData.setLastPrice(price);
}
}
public void tickGeneric(int tickerId, int field, double generic) {
System.out.println(" [API.tickGeneric] " + EWrapperMsgGenerator.tickGeneric(tickerId, tickerId, generic));
if (field == TickType.OPTION_IMPLIED_VOL) {
underlyingData.setImpVol(generic * 100);
} else if (field == TickType.OPTION_HISTORICAL_VOL) {
underlyingData.setHistVol(generic * 100);
}
}
public void contractDetails(int reqId, ContractDetails contractDetails) {
// System.out.println(" [API.contractDetails] " + EWrapperMsgGenerator.contractDetails(reqId, contractDetails));
if (contractDetails != null && contractDetails.m_summary != null && "OPT".equals(contractDetails.m_summary.m_secType)) {
optionContracts.add(contractDetails.m_summary);
}
}
public void contractDetailsEnd(int reqId) {
System.out.println(" [API.contractDetailsEnd] " + EWrapperMsgGenerator.contractDetailsEnd(reqId));
RequestIDManager.singleton().addToRequestsCompleted(reqId);
}
public void orderStatus(int orderId, String status, int filled, int remaining, double avgFillPrice, int permId, int parentId, double lastFillPrice, int clientId, String whyHeld) {
System.out.println(" [API.orderStatus] " + EWrapperMsgGenerator.orderStatus(orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld));
}
public void nextValidId(int orderId) {
System.out.println(" [API.nextValidId] " + EWrapperMsgGenerator.nextValidId(orderId));
RequestIDManager.singleton().initializeOrderId(orderId);
}
}