Package samples.dnhedge

Source Code of samples.dnhedge.SampleDNHedge

package samples.dnhedge;

import samples.base.OptContract;
import samples.base.StkContract;
import samples.base.SimpleWrapper;

import com.ib.client.Contract;
import com.ib.client.ContractDetails;


public class SampleDNHedge extends SimpleWrapper {

   private enum Status { None, SecDef, Order, Done, Error };

   private static final int ParentAcked = 1;
   private static final int ChildAcked = 2;

   private static final int AllAcked = ParentAcked | ChildAcked;

   private Object m_mutex = new Object();
   private Status m_status = Status.None;

   private int m_clientId;
   private int m_orderId;

   private String m_account;
   private String m_settlingFirm;
   private String m_designatedLocation;

   private Contract m_contract = null;
   private int m_underConId = 0;

   private int m_receivedAcks = 0;

   public SampleDNHedge(int clientId, int orderId, String account,
      String settlingFirm, String designatedLocation) {

      m_clientId = clientId;
      m_orderId = orderId;

      m_account = account;
      m_settlingFirm = settlingFirm;
      m_designatedLocation = designatedLocation;
   }

   public void testOrder() throws Exception {

      connect(m_clientId);

      if (client() != null && client().isConnected()) {

         try {

            synchronized (m_mutex) {

               if (client().serverVersion() < 66) {
                  error ("Sample will not work with TWS older that 932");
               }

               while (m_status != Status.Done &&
                     m_status != Status.Error) {

                  if (m_status == Status.None) {
                     obtainContract();
                     if (m_status != Status.Error &&
                         m_status != Status.SecDef) {
                        submitOrder();
                     }
                  }
                  m_mutex.wait();
               }
            }
         }

         finally {
            disconnect();
         }

         if (m_status == Status.Done) {

            consoleMsg("Done");
         }
      }
   }

   private void obtainContract() {

      m_contract = new OptContract("IBM", "20121019", 200, "CALL");
      m_contract.m_currency = "USD";
      m_contract.m_multiplier = "100";

      Contract underlying = new StkContract("IBM");
      submitSecDef(1, underlying);

      m_status = Status.SecDef;
   }

   private void submitSecDef(int reqId, Contract contract) {

      consoleMsg("REQ: secDef " + reqId);

      client().reqContractDetails(reqId, contract);
   }

   private void submitOrder() {

      consoleMsg("REQ: order " + m_orderId);

      m_status = Status.Order;

      client().placeOrder(m_orderId, m_contract,
            new DNHedgeOrder(m_clientId, m_orderId, 1, m_account,
               m_settlingFirm, m_underConId, m_designatedLocation));
   }

   private void checkReceivedAllAcks() {

      if ((m_receivedAcks & AllAcked) == AllAcked) {
         m_status = Status.Done;
         m_mutex.notify();
      }
   }

   public void contractDetails(int reqId, ContractDetails contractDetails) {

      consoleMsg("contractDetails: " + reqId);

      try {

         synchronized (m_mutex) {

            if (m_status == Status.SecDef) {


               /*
                * Store underConId if needed
                */
               if (m_underConId == 0) {
                  m_underConId  = contractDetails.m_summary.m_conId;
               }

               consoleMsg("using " + m_underConId + " for hedging");

               /*
                * And finally submit RFQ
                */
               submitOrder();
            }
         }
      }
      catch (Exception e) {

         // will update status and notify main thread
         error (e.toString());
      }
   }

   public void contractDetailsEnd(int reqId) {

      consoleMsg("contractDetailsEnd: " + reqId);

      try {

         synchronized (m_mutex) {

            if (m_status == Status.SecDef) {

               error ("Could not find hedge contract id");
               return;

            }
         }
      }
      catch (Exception e) {

         // will update status and notify main thread
         error (e.toString());
      }
   }

   public void orderStatus(int orderId, String status, int filled,
         int remaining, double avgFillPrice, int permId, int parentId,
         double lastFillPrice, int clientId, String whyHeld) {

      consoleMsg("orderStatus:" + orderId + " status=" + status);      

      synchronized (m_mutex) {

         if (status.equals("Cancelled")) {

            m_status = Status.Error;
            m_mutex.notify();
         }
         else if (status.equals("Submitted") ||
            status.equals("PreSubmitted")) {

            if (orderId == m_orderId) {
               m_receivedAcks |= ParentAcked;
            }
            else if (orderId < 0) {
               m_receivedAcks |= ChildAcked;
            }

            checkReceivedAllAcks();
         }
      }
   }

   public void error(String str) {

      consoleMsg("Error=" + str);

      synchronized (m_mutex) {

         m_status = Status.Error;
         m_mutex.notify();
      }
   }

   public void error(int id, int errorCode, String errorMsg) {

      consoleMsg("Error id=" + id + " code=" + errorCode + " msg=" + errorMsg);

      if (errorCode >= 2100 && errorCode < 2200) {
         return;
      }

      synchronized (m_mutex) {

         m_status = Status.Error;
         m_mutex.notify();
      }
   }

   /* ***************************************************************
    * Main Method
    *****************************************************************/

   public static void main(String[] args) {

      try {

         if (args.length < 2) {
            System.err.println("Account and settlingFirm parameters " +
               "are required");
            return;
         }

         int orderId = (int) (System.currentTimeMillis() / 1000);
         String account = args[0];
         String settlingFirm = args[1];
         String designatedLocation = (args.length >= 3) ? args[2] : "";
         SampleDNHedge ut = new SampleDNHedge(/* clientId */ 2, orderId,
            account, settlingFirm, designatedLocation);
         ut.testOrder();
      } catch (Exception e) {
         e.printStackTrace();
      }
   }
}
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