R/decode.R
In lbilli/rib: An Implementation of 'Interactive Brokers' API
Defines functions
unmask
to_list
to_matrix
validate
decode
#
# Decode message
#
decode <- function(msg, ver)
{
stopifnot(is.list(msg))
msgid <- msg$msgid
imsg <- msg$msg
# The second field is unused version, for msgId < 75 and != 3, 4, 5, 10, 11, 17, 18, 21
if(msgid < 75L && ! msgid %in% c(3L, 4L, 5L, 10L, 11L, 17L, 18L, 21L) ||
msgid == 4L && ver < MIN_SERVER_VER_ERROR_TIME)
imsg$pop()
# Find handler
handler <- process[[as.character(msgid)]]
res <- if(is.null(handler)) {
warning("unknown message id: ", msgid)
NULL
}
else
# Call the appropriate handler
handler(imsg, ver)
# Check that the full message has been processed
if(msgid < PROTOBUF_MSG_ID && imsg$left() > 0L)
warning("message: ", msgid, " not completely processed. Ignored: ",
paste0(dQuote(imsg$pop(imsg$left())), collapse=" "))
res
}
#
# Validate/convert args
#
validate <- function(fname, ..., no_names=FALSE)
{
args <- list(...)
# Handle parameters passed in a single character vector
if(length(args) == 1L && is.character(args[[1L]]) && length(args[[1L]]) > 1L && !is.matrix(args[[1L]]))
args <- as.list(args[[1L]])
if(length(args) > 0L)
args <- Validator[[fname]](args, no_names=no_names)
# Return callback name and argument list
list(fname=fname, fargs=args)
}
#
# Make a matrix by row
#
to_matrix <- function(imsg, struct, names)
{
n <- Validator$i(imsg$pop())
if(!missing(struct))
names <- get("names", environment(Validator[[struct]]))
matrix(imsg$pop(n * length(names)),
ncol= length(names),
byrow= TRUE,
dimnames= list(character(), names))
}
#
# Make a list of structs
#
to_list <- function(imsg, struct)
{
n <- Validator$i(imsg$pop())
names <- get("names", environment(Validator[[struct]]))
m <- length(names)
lapply(seq_len(n), function(i) as.list(structure(imsg$pop(m), names=names)) )
}
#
# Unmask "mask" into a list of logicals
#
unmask <- function(mask, names)
{
as.list(structure(intToBits(mask)[seq_along(names)] != 0L,
names=names))
}
# ##############################################################
#
# Message handlers
#
# ##############################################################
process <- list2env(list(
# TICK_PRICE
"1"= function(imsg, ver) {
m <- imsg$pop(5L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
attrib <- unmask(m[5L], c("canAutoExecute", "pastLimit", "preOpen"))
validate("tickPrice", tickerId= m[1L],
field= m[2L],
price= m[3L],
size= m[4L],
attrib= attrib)
},
# TICK_SIZE
"2"= function(imsg, ver) {
m <- imsg$pop(3L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
validate("tickSize", m, no_names=TRUE)
},
# TICK_OPTION_COMPUTATION
"21"= function(imsg, ver) {
m <- imsg$pop(11L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
# (impliedVol, optPrice, pvDividend, undPrice) == -1 means NA
idx <- c(4L, 6L, 7L, 11L)
m[idx][m[idx] == "-1"] <- NA_character_
# (delta, gamma, vega, theta) == -2 means NA
idx <- c(5L, 8L, 9L, 10L)
m[idx][m[idx] == "-2"] <- NA_character_
validate("tickOptionComputation", m, no_names=TRUE)
},
# TICK_GENERIC
"45"= function(imsg, ver) {
m <- imsg$pop(3L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
validate("tickGeneric", m, no_names=TRUE)
},
# TICK_STRING
"46"= function(imsg, ver) {
m <- imsg$pop(3L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
validate("tickString", m, no_names=TRUE)
},
# TICK_EFP
"47"= function(imsg, ver) {
m <- imsg$pop(9L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
validate("tickEFP", m, no_names=TRUE)
},
# ORDER_STATUS
"3"= function(imsg, ver) {
validate("orderStatus", imsg$pop(11L), no_names=TRUE)
},
# ERR_MSG
"4"= function(imsg, ver) {
m <- imsg$pop(4L)
errorTime <- if(ver >= MIN_SERVER_VER_ERROR_TIME) imsg$pop() else "0"
validate("error", id= m[1L],
errorTime= errorTime,
errorCode= m[2L],
errorString= m[3L],
advancedOrderRejectJson= m[4L])
},
# OPEN_ORDER
"5"= function(imsg, ver) {
contract <- Contract
order <- Order
orderState <- OrderState
order$orderId <- imsg$pop()
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
order[c(4L:9L)] <- imsg$pop(6L) # "action" -> "tif"
order[c("ocaGroup",
"account",
"openClose")] <- imsg$pop(3L)
order$origin <- map_int2enum("Origin", imsg$pop())
order[c("orderRef",
"clientId",
"permId",
"outsideRth",
"hidden",
"discretionaryAmt",
"goodAfterTime")] <- imsg$pop(7L)
imsg$pop() # Deprecated sharesAllocation
order[c("faGroup",
"faMethod",
"faPercentage",
"modelCode",
"goodTillDate",
"rule80A",
"percentOffset",
"settlingFirm",
"shortSaleSlot",
"designatedLocation",
"exemptCode")] <- imsg$pop(11L)
order$auctionStrategy <- map_int2enum("AuctionStrategy", imsg$pop())
order[43L:47L] <- imsg$pop(5L) # "startingPrice" -> "stockRangeUpper"
order[c("displaySize",
"blockOrder",
"sweepToFill",
"allOrNone",
"minQty",
"ocaType")] <- imsg$pop(6L)
imsg$pop(3L) # Deprecated eTradeOnly, firmQuoteOnly, nbboPriceCap
order[c("parentId",
"triggerMethod")] <- imsg$pop(2L)
order[50L:53L] <- imsg$pop(4L) # "volatility" -> "deltaNeutralAuxPrice"
if(nzchar(order$deltaNeutralOrderType))
order[54L:61L] <- imsg$pop(8L) # "deltaNeutralConId" -> "deltaNeutralDesignatedLocation"
order[c("continuousUpdate",
"referencePriceType",
"trailStopPrice",
"trailingPercent",
"basisPoints",
"basisPointsType")] <- imsg$pop(6L)
contract$comboLegsDescrip <- imsg$pop()
# ComboLegs
contract$comboLegs <- to_list(imsg, "ComboLeg")
# OrderComboLeg
orderComboLegsCount <- Validator$i(imsg$pop())
if(orderComboLegsCount > 0L)
order$orderComboLegs <- imsg$pop(orderComboLegsCount)
# SmartComboRouting
smartComboRoutingParamsCount <- Validator$i(imsg$pop())
if(smartComboRoutingParamsCount > 0L)
order$smartComboRoutingParams <- fold_tagvalue(imsg$pop(2L * smartComboRoutingParamsCount))
order[c("scaleInitLevelSize",
"scaleSubsLevelSize")] <- imsg$pop(2L)
order$scalePriceIncrement <- Validator$n(imsg$pop())
if(!is.na(order$scalePriceIncrement) && order$scalePriceIncrement > 0L)
order[69L:75L] <- imsg$pop(7L) # "scalePriceAdjustValue" -> "scaleRandomPercent"
order$hedgeType <- imsg$pop()
if(nzchar(order$hedgeType))
order$hedgeParam <- imsg$pop()
order[c("optOutSmartRouting",
"clearingAccount",
"clearingIntent",
"notHeld")] <- imsg$pop(4L)
# DeltaNeutralContract
if(Validator$l(imsg$pop())) {
contract$deltaNeutralContract <- DeltaNeutralContract
contract$deltaNeutralContract[1L:3L] <- imsg$pop(3L)
}
# AlgoStrategy
order$algoStrategy <- imsg$pop()
if(nzchar(order$algoStrategy)) {
algoParamsCount <- Validator$i(imsg$pop())
if(algoParamsCount > 0L)
order$algoParams <- fold_tagvalue(imsg$pop(2L * algoParamsCount))
}
order[c("solicited",
"whatIf")] <- imsg$pop(2L)
orderState[1L:14L] <- imsg$pop(14L) # "status" -> "commissionCurrency"
if(ver >= MIN_SERVER_VER_FULL_ORDER_PREVIEW_FIELDS) {
orderState[15L:26L] <- imsg$pop(12L) # "marginCurrency" -> "rejectReason"
orderState$orderAllocations <- to_list(imsg, "OrderAllocation")
}
orderState$warningText <- imsg$pop()
order[c("randomizeSize",
"randomizePrice")] <- imsg$pop(2L)
if(order$orderType == "PEG BENCH")
order[c("referenceContractId",
"isPeggedChangeAmountDecrease",
"peggedChangeAmount",
"referenceChangeAmount",
"referenceExchangeId")] <- imsg$pop(5L)
conditionsSize <- Validator$i(imsg$pop())
if(conditionsSize > 0L) {
order$conditions <- lapply(seq_len(conditionsSize),
function(i) {
cond <- fCondition(map_int2enum("Condition",
Validator$i(imsg$pop())))
cond[-1L] <- imsg$pop(length(cond) - 1L)
cond
})
order[c("conditionsIgnoreRth",
"conditionsCancelOrder")] <- imsg$pop(2L)
}
order[c("adjustedOrderType",
"triggerPrice",
"trailStopPrice",
"lmtPriceOffset",
"adjustedStopPrice",
"adjustedStopLimitPrice",
"adjustedTrailingAmount",
"adjustableTrailingUnit")] <- imsg$pop(8L)
order$softDollarTier[1L:3L] <- imsg$pop(3L)
order[c("cashQty",
"dontUseAutoPriceForHedge",
"isOmsContainer",
"discretionaryUpToLimitPrice",
"usePriceMgmtAlgo",
"duration",
"postToAts",
"autoCancelParent",
"minTradeQty",
"minCompeteSize",
"competeAgainstBestOffset",
"midOffsetAtWhole",
"midOffsetAtHalf",
"customerAccount",
"professionalCustomer",
"bondAccruedInterest")] <- imsg$pop(16L)
if(ver >= MIN_SERVER_VER_INCLUDE_OVERNIGHT)
order$includeOvernight <- imsg$pop()
if(ver >= MIN_SERVER_VER_CME_TAGGING_FIELDS_IN_OPEN_ORDER)
order[c("extOperator",
"manualOrderIndicator")] <- imsg$pop(2L)
if(ver >= MIN_SERVER_VER_SUBMITTER)
order$submitter <- imsg$pop()
if(ver >= MIN_SERVER_VER_IMBALANCE_ONLY)
order$imbalanceOnly <- imsg$pop()
validate("openOrder", orderId= order$orderId,
contract= contract,
order= order,
orderstate= orderState)
},
# ACCT_VALUE
"6"= function(imsg, ver) {
validate("updateAccountValue", imsg$pop(4L), no_names=TRUE)
},
# PORTFOLIO_VALUE
"7"= function(imsg, ver) {
contract <- Contract
contract[c(1L:7L, 9L:12L)] <- imsg$pop(11L)
position <- imsg$pop()
marketPrice <- imsg$pop()
marketValue <- imsg$pop()
averageCost <- imsg$pop()
unrealizedPNL <- imsg$pop()
realizedPNL <- imsg$pop()
accountName <- imsg$pop()
validate("updatePortfolio", contract= contract,
position= position,
marketPrice= marketPrice,
marketValue= marketValue,
averageCost= averageCost,
unrealizedPNL= unrealizedPNL,
realizedPNL= realizedPNL,
accountName= accountName)
},
# ACCT_UPDATE_TIME
"8"= function(imsg, ver) {
validate("updateAccountTime", timeStamp=imsg$pop())
},
# NEXT_VALID_ID
"9"= function(imsg, ver) {
validate("nextValidId", orderId=imsg$pop())
},
# CONTRACT_DATA
"10"= function(imsg, ver) {
reqId <- imsg$pop()
cd <- ContractDetails
cd$contract[c(2L, 3L, 4L, 18L, 5L, 6L, 8L, 10L, 11L)] <- imsg$pop(9L)
cd$marketName <- imsg$pop()
cd$contract$tradingClass <- imsg$pop()
cd$contract$conId <- imsg$pop()
cd$minTick <- imsg$pop()
cd$contract$multiplier <- imsg$pop()
cd[4L:8L] <- imsg$pop(5L)
cd$contract$primaryExchange <- imsg$pop()
cd[9L:17L] <- imsg$pop(9L)
n <- Validator$i(imsg$pop())
if(n > 0L)
cd$secIdList <- fold_tagvalue(imsg$pop(2L * n))
cd[c("aggGroup",
"underSymbol",
"underSecType",
"marketRuleIds",
"realExpirationDate",
"stockType",
"minSize",
"sizeIncrement",
"suggestedSizeIncrement")] <- imsg$pop(9L)
if(cd$contract$secType == "FUND") {
cd[44L:58L] <- imsg$pop(15L)
cd$fundDistributionPolicyIndicator <- funddist(imsg$pop())
cd$fundAssetType <- fundtype(imsg$pop())
}
cd$ineligibilityReasonList <- to_list(imsg, "IneligibilityReason")
validate("contractDetails", reqId=reqId, contractDetails=cd)
},
# BOND_CONTRACT_DATA
"18"= function(imsg, ver) {
reqId <- imsg$pop()
cd <- ContractDetails
cd$contract[2L:3L] <- imsg$pop(2L)
cd[c("cusip",
"coupon",
"maturity",
"issueDate",
"ratings",
"bondType",
"couponType",
"convertible",
"callable",
"putable",
"descAppend")] <- imsg$pop(11L)
cd$contract[c("exchange",
"currency")] <- imsg$pop(2L)
cd$marketName <- imsg$pop()
cd$contract[c("tradingClass",
"conId")] <- imsg$pop(2L)
cd[c("minTick",
"orderTypes",
"validExchanges",
"nextOptionDate",
"nextOptionType",
"nextOptionPartial",
"notes",
"longName")] <- imsg$pop(8L)
if(ver >= MIN_SERVER_VER_BOND_TRADING_HOURS)
cd[13L:15L] <- imsg$pop(3L) # "timeZoneId" -> "liquidHours"
cd[16L:17L] <- imsg$pop(2L) # "evRule" -> "evMultiplier"
n <- Validator$i(imsg$pop())
if(n > 0L)
cd$secIdList <- fold_tagvalue(imsg$pop(2L * n))
cd[c("aggGroup",
"marketRuleIds",
"minSize",
"sizeIncrement",
"suggestedSizeIncrement")] <- imsg$pop(5L)
validate("bondContractDetails", reqId=reqId, contractDetails=cd)
},
# EXECUTION_DATA
"11"= function(imsg, ver) {
contract <- Contract
execution <- Execution
reqId <- imsg$pop()
execution$orderId <- imsg$pop()
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
execution[2L:19L] <- imsg$pop(18L)
if(ver >= MIN_SERVER_VER_SUBMITTER)
execution$submitter <- imsg$pop()
validate("execDetails", reqId=reqId, contract=contract, execution=execution)
},
# MARKET_DEPTH
"12"= function(imsg, ver) {
validate("updateMktDepth", imsg$pop(6L), no_names=TRUE)
},
# MARKET_DEPTH_L2
"13"= function(imsg, ver) {
validate("updateMktDepthL2", imsg$pop(8L), no_names=TRUE)
},
# NEWS_BULLETINS
"14"= function(imsg, ver) {
validate("updateNewsBulletin", imsg$pop(4L), no_names=TRUE)
},
# MANAGED_ACCTS
"15"= function(imsg, ver) {
validate("managedAccounts", accountsList=imsg$pop())
},
# RECEIVE_FA
"16"= function(imsg, ver) {
faDataType <- map_int2enum("FaDataType", imsg$pop())
validate("receiveFA", faDataType=faDataType, xml=imsg$pop())
},
# HISTORICAL_DATA
"17"= function(imsg, ver) {
reqId <- imsg$pop()
if(ver < MIN_SERVER_VER_HISTORICAL_DATA_END)
imsg$pop(2L) # Ignore startDate, endDate
bar <- to_matrix(imsg, "Bar")
validate("historicalData", reqId=reqId, bar=bar)
},
# SCANNER_DATA
"20"= function(imsg, ver) {
reqId <- imsg$pop()
n <- Validator$i(imsg$pop())
cd <- vector(n, mode="list")
rank <-
distance <-
benchmark <-
projection <-
legsStr <- character(n)
for(i in seq_len(n)) {
rank[i] <- imsg$pop()
d <- ContractDetails
d$contract[c(1L:6L, 8L, 10L, 11L)] <- imsg$pop(9L)
d$marketName <- imsg$pop()
d$contract$tradingClass <- imsg$pop()
cd[[i]] <- d
distance[i] <- imsg$pop()
benchmark[i] <- imsg$pop()
projection[i] <- imsg$pop()
legsStr[i] <- imsg$pop()
}
validate("scannerData", reqId= reqId,
rank= rank,
contractDetails= cd,
distance= distance,
benchmark= benchmark,
projection= projection,
legsStr= legsStr)
},
# SCANNER_PARAMETERS
"19"= function(imsg, ver) {
validate("scannerParameters", xml=imsg$pop())
},
# CURRENT_TIME
"49"= function(imsg, ver) {
validate("currentTime", time=imsg$pop())
},
# REAL_TIME_BARS
"50"= function(imsg, ver) {
validate("realtimeBar", imsg$pop(9L), no_names=TRUE)
},
# FUNDAMENTAL_DATA
"51"= function(imsg, ver) {
reqId <- imsg$pop()
validate("fundamentalData", reqId=reqId, data=imsg$pop())
},
# CONTRACT_DATA_END
"52"= function(imsg, ver) {
validate("contractDetailsEnd", reqId=imsg$pop())
},
# OPEN_ORDER_END
"53"= function(imsg, ver) {
validate("openOrderEnd")
},
# ACCT_DOWNLOAD_END
"54"= function(imsg, ver) {
validate("accountDownloadEnd", accountName=imsg$pop())
},
# EXECUTION_DATA_END
"55"= function(imsg, ver) {
validate("execDetailsEnd", reqId=imsg$pop())
},
# DELTA_NEUTRAL_VALIDATION
"56"= function(imsg, ver) {
reqId <- imsg$pop()
deltaNeutralContract <- DeltaNeutralContract
deltaNeutralContract[1L:3L] <- imsg$pop(3L)
validate("deltaNeutralValidation", reqId=reqId, deltaNeutralContract=deltaNeutralContract)
},
# TICK_SNAPSHOT_END
"57"= function(imsg, ver) {
validate("tickSnapshotEnd", reqId=imsg$pop())
},
# MARKET_DATA_TYPE
"58"= function(imsg, ver) {
reqId <- imsg$pop()
validate("marketDataType", reqId=reqId, marketDataType=imsg$pop())
},
# COMMISSION_REPORT
"59"= function(imsg, ver) {
commission <- CommissionReport
commission[1L:6L] <- imsg$pop(6L)
validate("commissionReport", commissionReport=commission)
},
# POSITION_DATA
"61"= function(imsg, ver) {
account <- imsg$pop()
contract <- Contract
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
position <- imsg$pop()
avgCost <- imsg$pop()
validate("position", account= account,
contract= contract,
position= position,
avgCost= avgCost)
},
# POSITION_END
"62"= function(imsg, ver) {
validate("positionEnd")
},
# ACCOUNT_SUMMARY
"63"= function(imsg, ver) {
validate("accountSummary", imsg$pop(5L), no_names=TRUE)
},
# ACCOUNT_SUMMARY_END
"64"= function(imsg, ver) {
validate("accountSummaryEnd", reqId=imsg$pop())
},
# VERIFY_MESSAGE_API
"65"= function(imsg, ver) {
validate("verifyMessageAPI", apiData=imsg$pop())
},
# VERIFY_COMPLETED
"66"= function(imsg, ver) {
isSuccessful <- imsg$pop()
validate("verifyCompleted", isSuccessful=isSuccessful, errorText=imsg$pop())
},
# DISPLAY_GROUP_LIST
"67"= function(imsg, ver) {
reqId <- imsg$pop()
validate("displayGroupList", reqId=reqId, groups=imsg$pop())
},
# DISPLAY_GROUP_UPDATED
"68"= function(imsg, ver) {
reqId <- imsg$pop()
validate("displayGroupUpdated", reqId=reqId, contractInfo=imsg$pop())
},
# VERIFY_AND_AUTH_MESSAGE_API
"69"= function(imsg, ver) {
apiData <- imsg$pop()
validate("verifyAndAuthMessageAPI", apiData=apiData, xyzChallenge=imsg$pop())
},
# VERIFY_AND_AUTH_COMPLETED
"70"= function(imsg, ver) {
isSuccessful <- imsg$pop()
validate("verifyAndAuthCompleted", isSuccessful=isSuccessful, errorText=imsg$pop())
},
# POSITION_MULTI
"71"= function(imsg, ver) {
reqId <- imsg$pop()
account <- imsg$pop()
contract <- Contract
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
position <- imsg$pop()
avgCost <- imsg$pop()
modelCode <- imsg$pop()
validate("positionMulti", reqId= reqId,
account= account,
modelCode= modelCode,
contract= contract,
position= position,
avgCost= avgCost)
},
# POSITION_MULTI_END
"72"= function(imsg, ver) {
validate("positionMultiEnd", reqId=imsg$pop())
},
# ACCOUNT_UPDATE_MULTI
"73"= function(imsg, ver) {
validate("accountUpdateMulti", imsg$pop(6L), no_names=TRUE)
},
# ACCOUNT_UPDATE_MULTI_END
"74"= function(imsg, ver) {
validate("accountUpdateMultiEnd", reqId=imsg$pop())
},
# SECURITY_DEFINITION_OPTION_PARAMETER
"75"= function(imsg, ver) {
reqId <- imsg$pop()
exchange <- imsg$pop()
underlyingConId <- imsg$pop()
tradingClass <- imsg$pop()
multiplier <- imsg$pop()
nExp <- Validator$i(imsg$pop())
expirations <- imsg$pop(nExp)
nStrk <- Validator$i(imsg$pop())
strikes <- imsg$pop(nStrk)
validate("securityDefinitionOptionalParameter", reqId= reqId,
exchange= exchange,
underlyingConId= underlyingConId,
tradingClass= tradingClass,
multiplier= multiplier,
expirations= expirations,
strikes= strikes)
},
# SECURITY_DEFINITION_OPTION_PARAMETER_END
"76"= function(imsg, ver) {
validate("securityDefinitionOptionalParameterEnd", reqId=imsg$pop())
},
# SOFT_DOLLAR_TIERS
"77"= function(imsg, ver) {
reqId <- imsg$pop()
tiers <- to_matrix(imsg, "SoftDollarTier")
validate("softDollarTiers", reqId=reqId, tiers=tiers)
},
# FAMILY_CODES
"78"= function(imsg, ver) {
familyCodes <- to_matrix(imsg, "FamilyCode")
validate("familyCodes", familyCodes=familyCodes)
},
# SYMBOL_SAMPLES
"79"= function(imsg, ver) {
reqId <- imsg$pop()
cds <- lapply(seq_len(Validator$i(imsg$pop())), function(i) {
cd <- ContractDescription
cd$contract[c("conId",
"symbol",
"secType",
"primaryExchange",
"currency")] <- imsg$pop(5L)
nsec <- Validator$i(imsg$pop())
if(nsec > 0L)
cd$derivativeSecTypes <- imsg$pop(nsec)
cd$contract[c("description",
"issuerId")] <- imsg$pop(2L)
cd
})
validate("symbolSamples", reqId=reqId, contractDescriptions=cds)
},
# MKT_DEPTH_EXCHANGES
"80"= function(imsg, ver) {
dms <- to_matrix(imsg, "DepthMktDataDescription")
validate("mktDepthExchanges", depthMktDataDescriptions=dms)
},
# TICK_REQ_PARAMS
"81"= function(imsg, ver) {
validate("tickReqParams", imsg$pop(4L), no_names=TRUE)
},
# SMART_COMPONENTS
"82"= function(imsg, ver) {
reqId <- imsg$pop()
sm <- to_matrix(imsg, "SmartComponent")
validate("smartComponents", reqId=reqId, theMap=sm)
},
# NEWS_ARTICLE
"83"= function(imsg, ver) {
validate("newsArticle", imsg$pop(3L), no_names=TRUE)
},
# TICK_NEWS
"84"= function(imsg, ver) {
validate("tickNews", imsg$pop(6L), no_names=TRUE)
},
# NEWS_PROVIDERS
"85"= function(imsg, ver) {
newsProviders <- to_matrix(imsg, "NewsProvider")
validate("newsProviders", newsProviders=newsProviders)
},
# HISTORICAL_NEWS
"86"= function(imsg, ver) {
validate("historicalNews", imsg$pop(5L), no_names=TRUE)
},
# HISTORICAL_NEWS_END
"87"= function(imsg, ver) {
validate("historicalNewsEnd", imsg$pop(2L), no_names=TRUE)
},
# HEAD_TIMESTAMP
"88"= function(imsg, ver) {
validate("headTimestamp", imsg$pop(2L), no_names=TRUE)
},
# HISTOGRAM_DATA
"89"= function(imsg, ver) {
reqId <- imsg$pop()
d <- to_matrix(imsg, "HistogramData")
validate("histogramData", reqId=reqId, data=d)
},
# HISTORICAL_DATA_UPDATE
"90"= function(imsg, ver) {
reqId <- imsg$pop()
bar <- as.list(structure(imsg$pop(8L),
names=c("count", "time", "open", "close", "high", "low", "wap", "volume")))
validate("historicalDataUpdate", reqId=reqId, bar=bar[c(2L, 3L, 5L, 6L, 4L, 8L, 7L, 1L)])
},
# REROUTE_MKT_DATA_REQ
"91"= function(imsg, ver) {
validate("rerouteMktDataReq", imsg$pop(3L), no_names=TRUE)
},
# REROUTE_MKT_DEPTH_REQ
"92"= function(imsg, ver) {
validate("rerouteMktDepthReq", imsg$pop(3L), no_names=TRUE)
},
# MARKET_RULE
"93"= function(imsg, ver) {
marketRuleId <- imsg$pop()
p <- to_matrix(imsg, "PriceIncrement")
validate("marketRule", marketRuleId=marketRuleId, priceIncrements=p)
},
# PNL
"94"= function(imsg, ver) {
validate("pnl", imsg$pop(4L), no_names=TRUE)
},
# PNL_SINGLE
"95"= function(imsg, ver) {
validate("pnlSingle", imsg$pop(6L), no_names=TRUE)
},
# HISTORICAL_TICKS
"96"= function(imsg, ver) {
reqId <- imsg$pop()
ticks <- to_matrix(imsg, names=c("time", "", "price", "size"))[ , -2L]
done <- imsg$pop()
validate("historicalTicks", reqId=reqId, ticks=ticks, done=done)
},
# HISTORICAL_TICKS_BID_ASK
"97"= function(imsg, ver) {
reqId <- imsg$pop()
ticks <- to_matrix(imsg, "HistoricalTickBidAsk")
done <- imsg$pop()
validate("historicalTicksBidAsk", reqId=reqId, ticks=ticks, done=done)
},
# HISTORICAL_TICKS_LAST
"98"= function(imsg, ver) {
reqId <- imsg$pop()
ticks <- to_matrix(imsg, "HistoricalTickLast")
done <- imsg$pop()
validate("historicalTicksLast", reqId=reqId, ticks=ticks, done=done)
},
# TICK_BY_TICK
"99"= function(imsg, ver) {
reqId <- imsg$pop()
tickType <- imsg$pop()
time <- imsg$pop()
itype <- Validator$i(tickType)
if(itype %in% c(1L, 2L)) {
m <- imsg$pop(5L)
attrib <- unmask(m[3L], c("pastLimit", "unreported"))
validate("tickByTickAllLast", reqId= reqId,
tickType= tickType,
time= time,
price= m[1L],
size= m[2L],
attribs= attrib,
exchange= m[4L],
specialConditions= m[5L])
}
else if(itype == 3L) {
m <- imsg$pop(5L)
attrib <- unmask(m[5L], c("bidPastLow", "askPastHigh"))
validate("tickByTickBidAsk", reqId= reqId,
time= time,
bidPrice= m[1L],
askPrice= m[2L],
bidSize= m[3L],
askSize= m[4L],
attribs= attrib)
}
else if(itype == 4L) {
validate("tickByTickMidPoint", reqId= reqId,
time= time,
midPoint= imsg$pop())
}
else {
warning("TICK_BY_TICK: unknown TickType ", tickType)
NULL
}
},
# ORDER_BOUND
"100"= function(imsg, ver) {
validate("orderBound", imsg$pop(3L), no_names=TRUE)
},
# COMPLETED_ORDER
"101"= function(imsg, ver) {
contract <- Contract
order <- Order
orderState <- OrderState
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
order[c(4L:9L)] <- imsg$pop(6L) # "action" -> "tif"
order[c("ocaGroup",
"account",
"openClose")] <- imsg$pop(3L)
order$origin <- map_int2enum("Origin", imsg$pop())
order[c("orderRef",
"permId",
"outsideRth",
"hidden",
"discretionaryAmt",
"goodAfterTime",
"faGroup",
"faMethod",
"faPercentage",
"modelCode",
"goodTillDate",
"rule80A",
"percentOffset",
"settlingFirm",
"shortSaleSlot",
"designatedLocation",
"exemptCode")] <- imsg$pop(17L)
order[43L:47L] <- imsg$pop(5L) # "startingPrice" -> "stockRangeUpper"
order[c("displaySize",
"sweepToFill",
"allOrNone",
"minQty",
"ocaType",
"triggerMethod")] <- imsg$pop(6L)
order[50L:53L] <- imsg$pop(4L) # "volatility" -> "deltaNeutralAuxPrice"
if(nzchar(order$deltaNeutralOrderType))
order[c(54L, 59L:61L)] <- imsg$pop(4L) # "deltaNeutralConId" -> "deltaNeutralDesignatedLocation"
order[c("continuousUpdate",
"referencePriceType",
"trailStopPrice",
"trailingPercent")] <- imsg$pop(4L)
contract$comboLegsDescrip <- imsg$pop()
# ComboLegs
contract$comboLegs <- to_list(imsg, "ComboLeg")
# OrderComboLeg
orderComboLegsCount <- Validator$i(imsg$pop())
if(orderComboLegsCount > 0L)
order$orderComboLegs <- imsg$pop(orderComboLegsCount)
# SmartComboRouting
smartComboRoutingParamsCount <- Validator$i(imsg$pop())
if(smartComboRoutingParamsCount > 0L)
order$smartComboRoutingParams <- fold_tagvalue(imsg$pop(2L * smartComboRoutingParamsCount))
order[c("scaleInitLevelSize",
"scaleSubsLevelSize")] <- imsg$pop(2L)
order$scalePriceIncrement <- Validator$n(imsg$pop())
if(!is.na(order$scalePriceIncrement) && order$scalePriceIncrement > 0L)
order[69L:75L] <- imsg$pop(7L) # "scalePriceAdjustValue" -> "scaleRandomPercent"
order$hedgeType <- imsg$pop()
if(nzchar(order$hedgeType))
order$hedgeParam <- imsg$pop()
order[c("clearingAccount",
"clearingIntent",
"notHeld")] <- imsg$pop(3L)
# DeltaNeutralContract
if(Validator$l(imsg$pop())) {
contract$deltaNeutralContract <- DeltaNeutralContract
contract$deltaNeutralContract[1L:3L] <- imsg$pop(3L)
}
# AlgoStrategy
order$algoStrategy <- imsg$pop()
if(nzchar(order$algoStrategy)) {
algoParamsCount <- Validator$i(imsg$pop())
if(algoParamsCount > 0L)
order$algoParams <- fold_tagvalue(imsg$pop(2L * algoParamsCount))
}
order$solicited <- imsg$pop()
orderState$status <- imsg$pop()
order[c("randomizeSize",
"randomizePrice")] <- imsg$pop(2L)
if(order$orderType == "PEG BENCH")
order[c("referenceContractId",
"isPeggedChangeAmountDecrease",
"peggedChangeAmount",
"referenceChangeAmount",
"referenceExchangeId")] <- imsg$pop(5L)
conditionsSize <- Validator$i(imsg$pop())
if(conditionsSize > 0L) {
order$conditions <- lapply(seq_len(conditionsSize),
function(i) {
cond <- fCondition(map_int2enum("Condition",
Validator$i(imsg$pop())))
cond[-1L] <- imsg$pop(length(cond) - 1L)
cond
})
order[c("conditionsIgnoreRth",
"conditionsCancelOrder")] <- imsg$pop(2L)
}
order[c("trailStopPrice",
"lmtPriceOffset",
"cashQty",
"dontUseAutoPriceForHedge",
"isOmsContainer")] <- imsg$pop(5L)
order[118L:125L] <- imsg$pop(8L) # "autoCancelDate" -> "parentPermId"
orderState[c("completedTime",
"completedStatus")] <- imsg$pop(2L)
order[c("minTradeQty",
"minCompeteSize",
"competeAgainstBestOffset",
"midOffsetAtWhole",
"midOffsetAtHalf",
"customerAccount",
"professionalCustomer")] <- imsg$pop(7L)
if(ver >= MIN_SERVER_VER_SUBMITTER)
order$submitter <- imsg$pop()
validate("completedOrder", contract= contract,
order= order,
orderState= orderState)
},
# COMPLETED_ORDERS_END
"102"= function(imsg, ver) {
validate("completedOrdersEnd")
},
# REPLACE_FA_END
"103"= function(imsg, ver) {
validate("replaceFAEnd", imsg$pop(2L), no_names=TRUE)
},
# WSH_META_DATA
"104"= function(imsg, ver) {
validate("wshMetaData", imsg$pop(2L), no_names=TRUE)
},
# WSH_EVENT_DATA
"105"= function(imsg, ver) {
validate("wshEventData", imsg$pop(2L), no_names=TRUE)
},
# HISTORICAL_SCHEDULE
"106"= function(imsg, ver) {
reqId <- imsg$pop()
startDateTime <- imsg$pop()
endDateTime <- imsg$pop()
timeZone <- imsg$pop()
sessions <- to_matrix(imsg, "HistoricalSession")
validate("historicalSchedule", reqId= reqId,
startDateTime= startDateTime,
endDateTime= endDateTime,
timeZone= timeZone,
sessions= sessions)
},
# USER_INFO
"107"= function(imsg, ver) {
validate("userInfo", imsg$pop(2L), no_names=TRUE)
},
# HISTORICAL_DATA_END
"108" = function(imsg, ver) {
validate("historicalDataEnd", imsg$pop(3L), no_names=TRUE)
},
# CURRENT_TIME_IN_MILLIS
"109" = function(imsg, ver) {
validate("currentTimeInMillis", imsg$pop(), no_names=TRUE)
},
#
# Messages using ProtoBuf have an offset applied to msgid -> msgid + PROTOBUF_MSG_ID = 200
#
# EXECUTION_DATA
"211"= function(msg, ver) {
pb <- RProtoBuf::read(IBProto.ExecutionDetails, msg)
args <- splatpb(pb)
args$execution$shares <- as.numeric(args$execution$shares)
args$execution$cumQty <- as.numeric(args$execution$cumQty)
args$execution$optExerciseOrLapseType <- optexercisetype(args$execution$optExerciseOrLapseType)
list(fname="execDetails", fargs=args)
},
# EXECUTION_DATA_END
"255"= function(msg, ver) {
pb <- RProtoBuf::read(IBProto.ExecutionDetailsEnd, msg)
list(fname="execDetailsEnd", fargs=splatpb(pb))
}
))
lbilli/rib documentation built on June 9, 2025, 2:33 a.m.
R Package Documentation
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Defines functions unmask to_list to_matrix validate decode
#
# Decode message
#
decode <- function(msg, ver)
{
stopifnot(is.list(msg))
msgid <- msg$msgid
imsg <- msg$msg
# The second field is unused version, for msgId < 75 and != 3, 4, 5, 10, 11, 17, 18, 21
if(msgid < 75L && ! msgid %in% c(3L, 4L, 5L, 10L, 11L, 17L, 18L, 21L) ||
msgid == 4L && ver < MIN_SERVER_VER_ERROR_TIME)
imsg$pop()
# Find handler
handler <- process[[as.character(msgid)]]
res <- if(is.null(handler)) {
warning("unknown message id: ", msgid)
NULL
}
else
# Call the appropriate handler
handler(imsg, ver)
# Check that the full message has been processed
if(msgid < PROTOBUF_MSG_ID && imsg$left() > 0L)
warning("message: ", msgid, " not completely processed. Ignored: ",
paste0(dQuote(imsg$pop(imsg$left())), collapse=" "))
res
}
#
# Validate/convert args
#
validate <- function(fname, ..., no_names=FALSE)
{
args <- list(...)
# Handle parameters passed in a single character vector
if(length(args) == 1L && is.character(args[[1L]]) && length(args[[1L]]) > 1L && !is.matrix(args[[1L]]))
args <- as.list(args[[1L]])
if(length(args) > 0L)
args <- Validator[[fname]](args, no_names=no_names)
# Return callback name and argument list
list(fname=fname, fargs=args)
}
#
# Make a matrix by row
#
to_matrix <- function(imsg, struct, names)
{
n <- Validator$i(imsg$pop())
if(!missing(struct))
names <- get("names", environment(Validator[[struct]]))
matrix(imsg$pop(n * length(names)),
ncol= length(names),
byrow= TRUE,
dimnames= list(character(), names))
}
#
# Make a list of structs
#
to_list <- function(imsg, struct)
{
n <- Validator$i(imsg$pop())
names <- get("names", environment(Validator[[struct]]))
m <- length(names)
lapply(seq_len(n), function(i) as.list(structure(imsg$pop(m), names=names)) )
}
#
# Unmask "mask" into a list of logicals
#
unmask <- function(mask, names)
{
as.list(structure(intToBits(mask)[seq_along(names)] != 0L,
names=names))
}
# ##############################################################
#
# Message handlers
#
# ##############################################################
process <- list2env(list(
# TICK_PRICE
"1"= function(imsg, ver) {
m <- imsg$pop(5L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
attrib <- unmask(m[5L], c("canAutoExecute", "pastLimit", "preOpen"))
validate("tickPrice", tickerId= m[1L],
field= m[2L],
price= m[3L],
size= m[4L],
attrib= attrib)
},
# TICK_SIZE
"2"= function(imsg, ver) {
m <- imsg$pop(3L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
validate("tickSize", m, no_names=TRUE)
},
# TICK_OPTION_COMPUTATION
"21"= function(imsg, ver) {
m <- imsg$pop(11L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
# (impliedVol, optPrice, pvDividend, undPrice) == -1 means NA
idx <- c(4L, 6L, 7L, 11L)
m[idx][m[idx] == "-1"] <- NA_character_
# (delta, gamma, vega, theta) == -2 means NA
idx <- c(5L, 8L, 9L, 10L)
m[idx][m[idx] == "-2"] <- NA_character_
validate("tickOptionComputation", m, no_names=TRUE)
},
# TICK_GENERIC
"45"= function(imsg, ver) {
m <- imsg$pop(3L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
validate("tickGeneric", m, no_names=TRUE)
},
# TICK_STRING
"46"= function(imsg, ver) {
m <- imsg$pop(3L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
validate("tickString", m, no_names=TRUE)
},
# TICK_EFP
"47"= function(imsg, ver) {
m <- imsg$pop(9L)
# Convert tickType to string
m[2L] <- ticktype(m[2L])
validate("tickEFP", m, no_names=TRUE)
},
# ORDER_STATUS
"3"= function(imsg, ver) {
validate("orderStatus", imsg$pop(11L), no_names=TRUE)
},
# ERR_MSG
"4"= function(imsg, ver) {
m <- imsg$pop(4L)
errorTime <- if(ver >= MIN_SERVER_VER_ERROR_TIME) imsg$pop() else "0"
validate("error", id= m[1L],
errorTime= errorTime,
errorCode= m[2L],
errorString= m[3L],
advancedOrderRejectJson= m[4L])
},
# OPEN_ORDER
"5"= function(imsg, ver) {
contract <- Contract
order <- Order
orderState <- OrderState
order$orderId <- imsg$pop()
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
order[c(4L:9L)] <- imsg$pop(6L) # "action" -> "tif"
order[c("ocaGroup",
"account",
"openClose")] <- imsg$pop(3L)
order$origin <- map_int2enum("Origin", imsg$pop())
order[c("orderRef",
"clientId",
"permId",
"outsideRth",
"hidden",
"discretionaryAmt",
"goodAfterTime")] <- imsg$pop(7L)
imsg$pop() # Deprecated sharesAllocation
order[c("faGroup",
"faMethod",
"faPercentage",
"modelCode",
"goodTillDate",
"rule80A",
"percentOffset",
"settlingFirm",
"shortSaleSlot",
"designatedLocation",
"exemptCode")] <- imsg$pop(11L)
order$auctionStrategy <- map_int2enum("AuctionStrategy", imsg$pop())
order[43L:47L] <- imsg$pop(5L) # "startingPrice" -> "stockRangeUpper"
order[c("displaySize",
"blockOrder",
"sweepToFill",
"allOrNone",
"minQty",
"ocaType")] <- imsg$pop(6L)
imsg$pop(3L) # Deprecated eTradeOnly, firmQuoteOnly, nbboPriceCap
order[c("parentId",
"triggerMethod")] <- imsg$pop(2L)
order[50L:53L] <- imsg$pop(4L) # "volatility" -> "deltaNeutralAuxPrice"
if(nzchar(order$deltaNeutralOrderType))
order[54L:61L] <- imsg$pop(8L) # "deltaNeutralConId" -> "deltaNeutralDesignatedLocation"
order[c("continuousUpdate",
"referencePriceType",
"trailStopPrice",
"trailingPercent",
"basisPoints",
"basisPointsType")] <- imsg$pop(6L)
contract$comboLegsDescrip <- imsg$pop()
# ComboLegs
contract$comboLegs <- to_list(imsg, "ComboLeg")
# OrderComboLeg
orderComboLegsCount <- Validator$i(imsg$pop())
if(orderComboLegsCount > 0L)
order$orderComboLegs <- imsg$pop(orderComboLegsCount)
# SmartComboRouting
smartComboRoutingParamsCount <- Validator$i(imsg$pop())
if(smartComboRoutingParamsCount > 0L)
order$smartComboRoutingParams <- fold_tagvalue(imsg$pop(2L * smartComboRoutingParamsCount))
order[c("scaleInitLevelSize",
"scaleSubsLevelSize")] <- imsg$pop(2L)
order$scalePriceIncrement <- Validator$n(imsg$pop())
if(!is.na(order$scalePriceIncrement) && order$scalePriceIncrement > 0L)
order[69L:75L] <- imsg$pop(7L) # "scalePriceAdjustValue" -> "scaleRandomPercent"
order$hedgeType <- imsg$pop()
if(nzchar(order$hedgeType))
order$hedgeParam <- imsg$pop()
order[c("optOutSmartRouting",
"clearingAccount",
"clearingIntent",
"notHeld")] <- imsg$pop(4L)
# DeltaNeutralContract
if(Validator$l(imsg$pop())) {
contract$deltaNeutralContract <- DeltaNeutralContract
contract$deltaNeutralContract[1L:3L] <- imsg$pop(3L)
}
# AlgoStrategy
order$algoStrategy <- imsg$pop()
if(nzchar(order$algoStrategy)) {
algoParamsCount <- Validator$i(imsg$pop())
if(algoParamsCount > 0L)
order$algoParams <- fold_tagvalue(imsg$pop(2L * algoParamsCount))
}
order[c("solicited",
"whatIf")] <- imsg$pop(2L)
orderState[1L:14L] <- imsg$pop(14L) # "status" -> "commissionCurrency"
if(ver >= MIN_SERVER_VER_FULL_ORDER_PREVIEW_FIELDS) {
orderState[15L:26L] <- imsg$pop(12L) # "marginCurrency" -> "rejectReason"
orderState$orderAllocations <- to_list(imsg, "OrderAllocation")
}
orderState$warningText <- imsg$pop()
order[c("randomizeSize",
"randomizePrice")] <- imsg$pop(2L)
if(order$orderType == "PEG BENCH")
order[c("referenceContractId",
"isPeggedChangeAmountDecrease",
"peggedChangeAmount",
"referenceChangeAmount",
"referenceExchangeId")] <- imsg$pop(5L)
conditionsSize <- Validator$i(imsg$pop())
if(conditionsSize > 0L) {
order$conditions <- lapply(seq_len(conditionsSize),
function(i) {
cond <- fCondition(map_int2enum("Condition",
Validator$i(imsg$pop())))
cond[-1L] <- imsg$pop(length(cond) - 1L)
cond
})
order[c("conditionsIgnoreRth",
"conditionsCancelOrder")] <- imsg$pop(2L)
}
order[c("adjustedOrderType",
"triggerPrice",
"trailStopPrice",
"lmtPriceOffset",
"adjustedStopPrice",
"adjustedStopLimitPrice",
"adjustedTrailingAmount",
"adjustableTrailingUnit")] <- imsg$pop(8L)
order$softDollarTier[1L:3L] <- imsg$pop(3L)
order[c("cashQty",
"dontUseAutoPriceForHedge",
"isOmsContainer",
"discretionaryUpToLimitPrice",
"usePriceMgmtAlgo",
"duration",
"postToAts",
"autoCancelParent",
"minTradeQty",
"minCompeteSize",
"competeAgainstBestOffset",
"midOffsetAtWhole",
"midOffsetAtHalf",
"customerAccount",
"professionalCustomer",
"bondAccruedInterest")] <- imsg$pop(16L)
if(ver >= MIN_SERVER_VER_INCLUDE_OVERNIGHT)
order$includeOvernight <- imsg$pop()
if(ver >= MIN_SERVER_VER_CME_TAGGING_FIELDS_IN_OPEN_ORDER)
order[c("extOperator",
"manualOrderIndicator")] <- imsg$pop(2L)
if(ver >= MIN_SERVER_VER_SUBMITTER)
order$submitter <- imsg$pop()
if(ver >= MIN_SERVER_VER_IMBALANCE_ONLY)
order$imbalanceOnly <- imsg$pop()
validate("openOrder", orderId= order$orderId,
contract= contract,
order= order,
orderstate= orderState)
},
# ACCT_VALUE
"6"= function(imsg, ver) {
validate("updateAccountValue", imsg$pop(4L), no_names=TRUE)
},
# PORTFOLIO_VALUE
"7"= function(imsg, ver) {
contract <- Contract
contract[c(1L:7L, 9L:12L)] <- imsg$pop(11L)
position <- imsg$pop()
marketPrice <- imsg$pop()
marketValue <- imsg$pop()
averageCost <- imsg$pop()
unrealizedPNL <- imsg$pop()
realizedPNL <- imsg$pop()
accountName <- imsg$pop()
validate("updatePortfolio", contract= contract,
position= position,
marketPrice= marketPrice,
marketValue= marketValue,
averageCost= averageCost,
unrealizedPNL= unrealizedPNL,
realizedPNL= realizedPNL,
accountName= accountName)
},
# ACCT_UPDATE_TIME
"8"= function(imsg, ver) {
validate("updateAccountTime", timeStamp=imsg$pop())
},
# NEXT_VALID_ID
"9"= function(imsg, ver) {
validate("nextValidId", orderId=imsg$pop())
},
# CONTRACT_DATA
"10"= function(imsg, ver) {
reqId <- imsg$pop()
cd <- ContractDetails
cd$contract[c(2L, 3L, 4L, 18L, 5L, 6L, 8L, 10L, 11L)] <- imsg$pop(9L)
cd$marketName <- imsg$pop()
cd$contract$tradingClass <- imsg$pop()
cd$contract$conId <- imsg$pop()
cd$minTick <- imsg$pop()
cd$contract$multiplier <- imsg$pop()
cd[4L:8L] <- imsg$pop(5L)
cd$contract$primaryExchange <- imsg$pop()
cd[9L:17L] <- imsg$pop(9L)
n <- Validator$i(imsg$pop())
if(n > 0L)
cd$secIdList <- fold_tagvalue(imsg$pop(2L * n))
cd[c("aggGroup",
"underSymbol",
"underSecType",
"marketRuleIds",
"realExpirationDate",
"stockType",
"minSize",
"sizeIncrement",
"suggestedSizeIncrement")] <- imsg$pop(9L)
if(cd$contract$secType == "FUND") {
cd[44L:58L] <- imsg$pop(15L)
cd$fundDistributionPolicyIndicator <- funddist(imsg$pop())
cd$fundAssetType <- fundtype(imsg$pop())
}
cd$ineligibilityReasonList <- to_list(imsg, "IneligibilityReason")
validate("contractDetails", reqId=reqId, contractDetails=cd)
},
# BOND_CONTRACT_DATA
"18"= function(imsg, ver) {
reqId <- imsg$pop()
cd <- ContractDetails
cd$contract[2L:3L] <- imsg$pop(2L)
cd[c("cusip",
"coupon",
"maturity",
"issueDate",
"ratings",
"bondType",
"couponType",
"convertible",
"callable",
"putable",
"descAppend")] <- imsg$pop(11L)
cd$contract[c("exchange",
"currency")] <- imsg$pop(2L)
cd$marketName <- imsg$pop()
cd$contract[c("tradingClass",
"conId")] <- imsg$pop(2L)
cd[c("minTick",
"orderTypes",
"validExchanges",
"nextOptionDate",
"nextOptionType",
"nextOptionPartial",
"notes",
"longName")] <- imsg$pop(8L)
if(ver >= MIN_SERVER_VER_BOND_TRADING_HOURS)
cd[13L:15L] <- imsg$pop(3L) # "timeZoneId" -> "liquidHours"
cd[16L:17L] <- imsg$pop(2L) # "evRule" -> "evMultiplier"
n <- Validator$i(imsg$pop())
if(n > 0L)
cd$secIdList <- fold_tagvalue(imsg$pop(2L * n))
cd[c("aggGroup",
"marketRuleIds",
"minSize",
"sizeIncrement",
"suggestedSizeIncrement")] <- imsg$pop(5L)
validate("bondContractDetails", reqId=reqId, contractDetails=cd)
},
# EXECUTION_DATA
"11"= function(imsg, ver) {
contract <- Contract
execution <- Execution
reqId <- imsg$pop()
execution$orderId <- imsg$pop()
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
execution[2L:19L] <- imsg$pop(18L)
if(ver >= MIN_SERVER_VER_SUBMITTER)
execution$submitter <- imsg$pop()
validate("execDetails", reqId=reqId, contract=contract, execution=execution)
},
# MARKET_DEPTH
"12"= function(imsg, ver) {
validate("updateMktDepth", imsg$pop(6L), no_names=TRUE)
},
# MARKET_DEPTH_L2
"13"= function(imsg, ver) {
validate("updateMktDepthL2", imsg$pop(8L), no_names=TRUE)
},
# NEWS_BULLETINS
"14"= function(imsg, ver) {
validate("updateNewsBulletin", imsg$pop(4L), no_names=TRUE)
},
# MANAGED_ACCTS
"15"= function(imsg, ver) {
validate("managedAccounts", accountsList=imsg$pop())
},
# RECEIVE_FA
"16"= function(imsg, ver) {
faDataType <- map_int2enum("FaDataType", imsg$pop())
validate("receiveFA", faDataType=faDataType, xml=imsg$pop())
},
# HISTORICAL_DATA
"17"= function(imsg, ver) {
reqId <- imsg$pop()
if(ver < MIN_SERVER_VER_HISTORICAL_DATA_END)
imsg$pop(2L) # Ignore startDate, endDate
bar <- to_matrix(imsg, "Bar")
validate("historicalData", reqId=reqId, bar=bar)
},
# SCANNER_DATA
"20"= function(imsg, ver) {
reqId <- imsg$pop()
n <- Validator$i(imsg$pop())
cd <- vector(n, mode="list")
rank <-
distance <-
benchmark <-
projection <-
legsStr <- character(n)
for(i in seq_len(n)) {
rank[i] <- imsg$pop()
d <- ContractDetails
d$contract[c(1L:6L, 8L, 10L, 11L)] <- imsg$pop(9L)
d$marketName <- imsg$pop()
d$contract$tradingClass <- imsg$pop()
cd[[i]] <- d
distance[i] <- imsg$pop()
benchmark[i] <- imsg$pop()
projection[i] <- imsg$pop()
legsStr[i] <- imsg$pop()
}
validate("scannerData", reqId= reqId,
rank= rank,
contractDetails= cd,
distance= distance,
benchmark= benchmark,
projection= projection,
legsStr= legsStr)
},
# SCANNER_PARAMETERS
"19"= function(imsg, ver) {
validate("scannerParameters", xml=imsg$pop())
},
# CURRENT_TIME
"49"= function(imsg, ver) {
validate("currentTime", time=imsg$pop())
},
# REAL_TIME_BARS
"50"= function(imsg, ver) {
validate("realtimeBar", imsg$pop(9L), no_names=TRUE)
},
# FUNDAMENTAL_DATA
"51"= function(imsg, ver) {
reqId <- imsg$pop()
validate("fundamentalData", reqId=reqId, data=imsg$pop())
},
# CONTRACT_DATA_END
"52"= function(imsg, ver) {
validate("contractDetailsEnd", reqId=imsg$pop())
},
# OPEN_ORDER_END
"53"= function(imsg, ver) {
validate("openOrderEnd")
},
# ACCT_DOWNLOAD_END
"54"= function(imsg, ver) {
validate("accountDownloadEnd", accountName=imsg$pop())
},
# EXECUTION_DATA_END
"55"= function(imsg, ver) {
validate("execDetailsEnd", reqId=imsg$pop())
},
# DELTA_NEUTRAL_VALIDATION
"56"= function(imsg, ver) {
reqId <- imsg$pop()
deltaNeutralContract <- DeltaNeutralContract
deltaNeutralContract[1L:3L] <- imsg$pop(3L)
validate("deltaNeutralValidation", reqId=reqId, deltaNeutralContract=deltaNeutralContract)
},
# TICK_SNAPSHOT_END
"57"= function(imsg, ver) {
validate("tickSnapshotEnd", reqId=imsg$pop())
},
# MARKET_DATA_TYPE
"58"= function(imsg, ver) {
reqId <- imsg$pop()
validate("marketDataType", reqId=reqId, marketDataType=imsg$pop())
},
# COMMISSION_REPORT
"59"= function(imsg, ver) {
commission <- CommissionReport
commission[1L:6L] <- imsg$pop(6L)
validate("commissionReport", commissionReport=commission)
},
# POSITION_DATA
"61"= function(imsg, ver) {
account <- imsg$pop()
contract <- Contract
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
position <- imsg$pop()
avgCost <- imsg$pop()
validate("position", account= account,
contract= contract,
position= position,
avgCost= avgCost)
},
# POSITION_END
"62"= function(imsg, ver) {
validate("positionEnd")
},
# ACCOUNT_SUMMARY
"63"= function(imsg, ver) {
validate("accountSummary", imsg$pop(5L), no_names=TRUE)
},
# ACCOUNT_SUMMARY_END
"64"= function(imsg, ver) {
validate("accountSummaryEnd", reqId=imsg$pop())
},
# VERIFY_MESSAGE_API
"65"= function(imsg, ver) {
validate("verifyMessageAPI", apiData=imsg$pop())
},
# VERIFY_COMPLETED
"66"= function(imsg, ver) {
isSuccessful <- imsg$pop()
validate("verifyCompleted", isSuccessful=isSuccessful, errorText=imsg$pop())
},
# DISPLAY_GROUP_LIST
"67"= function(imsg, ver) {
reqId <- imsg$pop()
validate("displayGroupList", reqId=reqId, groups=imsg$pop())
},
# DISPLAY_GROUP_UPDATED
"68"= function(imsg, ver) {
reqId <- imsg$pop()
validate("displayGroupUpdated", reqId=reqId, contractInfo=imsg$pop())
},
# VERIFY_AND_AUTH_MESSAGE_API
"69"= function(imsg, ver) {
apiData <- imsg$pop()
validate("verifyAndAuthMessageAPI", apiData=apiData, xyzChallenge=imsg$pop())
},
# VERIFY_AND_AUTH_COMPLETED
"70"= function(imsg, ver) {
isSuccessful <- imsg$pop()
validate("verifyAndAuthCompleted", isSuccessful=isSuccessful, errorText=imsg$pop())
},
# POSITION_MULTI
"71"= function(imsg, ver) {
reqId <- imsg$pop()
account <- imsg$pop()
contract <- Contract
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
position <- imsg$pop()
avgCost <- imsg$pop()
modelCode <- imsg$pop()
validate("positionMulti", reqId= reqId,
account= account,
modelCode= modelCode,
contract= contract,
position= position,
avgCost= avgCost)
},
# POSITION_MULTI_END
"72"= function(imsg, ver) {
validate("positionMultiEnd", reqId=imsg$pop())
},
# ACCOUNT_UPDATE_MULTI
"73"= function(imsg, ver) {
validate("accountUpdateMulti", imsg$pop(6L), no_names=TRUE)
},
# ACCOUNT_UPDATE_MULTI_END
"74"= function(imsg, ver) {
validate("accountUpdateMultiEnd", reqId=imsg$pop())
},
# SECURITY_DEFINITION_OPTION_PARAMETER
"75"= function(imsg, ver) {
reqId <- imsg$pop()
exchange <- imsg$pop()
underlyingConId <- imsg$pop()
tradingClass <- imsg$pop()
multiplier <- imsg$pop()
nExp <- Validator$i(imsg$pop())
expirations <- imsg$pop(nExp)
nStrk <- Validator$i(imsg$pop())
strikes <- imsg$pop(nStrk)
validate("securityDefinitionOptionalParameter", reqId= reqId,
exchange= exchange,
underlyingConId= underlyingConId,
tradingClass= tradingClass,
multiplier= multiplier,
expirations= expirations,
strikes= strikes)
},
# SECURITY_DEFINITION_OPTION_PARAMETER_END
"76"= function(imsg, ver) {
validate("securityDefinitionOptionalParameterEnd", reqId=imsg$pop())
},
# SOFT_DOLLAR_TIERS
"77"= function(imsg, ver) {
reqId <- imsg$pop()
tiers <- to_matrix(imsg, "SoftDollarTier")
validate("softDollarTiers", reqId=reqId, tiers=tiers)
},
# FAMILY_CODES
"78"= function(imsg, ver) {
familyCodes <- to_matrix(imsg, "FamilyCode")
validate("familyCodes", familyCodes=familyCodes)
},
# SYMBOL_SAMPLES
"79"= function(imsg, ver) {
reqId <- imsg$pop()
cds <- lapply(seq_len(Validator$i(imsg$pop())), function(i) {
cd <- ContractDescription
cd$contract[c("conId",
"symbol",
"secType",
"primaryExchange",
"currency")] <- imsg$pop(5L)
nsec <- Validator$i(imsg$pop())
if(nsec > 0L)
cd$derivativeSecTypes <- imsg$pop(nsec)
cd$contract[c("description",
"issuerId")] <- imsg$pop(2L)
cd
})
validate("symbolSamples", reqId=reqId, contractDescriptions=cds)
},
# MKT_DEPTH_EXCHANGES
"80"= function(imsg, ver) {
dms <- to_matrix(imsg, "DepthMktDataDescription")
validate("mktDepthExchanges", depthMktDataDescriptions=dms)
},
# TICK_REQ_PARAMS
"81"= function(imsg, ver) {
validate("tickReqParams", imsg$pop(4L), no_names=TRUE)
},
# SMART_COMPONENTS
"82"= function(imsg, ver) {
reqId <- imsg$pop()
sm <- to_matrix(imsg, "SmartComponent")
validate("smartComponents", reqId=reqId, theMap=sm)
},
# NEWS_ARTICLE
"83"= function(imsg, ver) {
validate("newsArticle", imsg$pop(3L), no_names=TRUE)
},
# TICK_NEWS
"84"= function(imsg, ver) {
validate("tickNews", imsg$pop(6L), no_names=TRUE)
},
# NEWS_PROVIDERS
"85"= function(imsg, ver) {
newsProviders <- to_matrix(imsg, "NewsProvider")
validate("newsProviders", newsProviders=newsProviders)
},
# HISTORICAL_NEWS
"86"= function(imsg, ver) {
validate("historicalNews", imsg$pop(5L), no_names=TRUE)
},
# HISTORICAL_NEWS_END
"87"= function(imsg, ver) {
validate("historicalNewsEnd", imsg$pop(2L), no_names=TRUE)
},
# HEAD_TIMESTAMP
"88"= function(imsg, ver) {
validate("headTimestamp", imsg$pop(2L), no_names=TRUE)
},
# HISTOGRAM_DATA
"89"= function(imsg, ver) {
reqId <- imsg$pop()
d <- to_matrix(imsg, "HistogramData")
validate("histogramData", reqId=reqId, data=d)
},
# HISTORICAL_DATA_UPDATE
"90"= function(imsg, ver) {
reqId <- imsg$pop()
bar <- as.list(structure(imsg$pop(8L),
names=c("count", "time", "open", "close", "high", "low", "wap", "volume")))
validate("historicalDataUpdate", reqId=reqId, bar=bar[c(2L, 3L, 5L, 6L, 4L, 8L, 7L, 1L)])
},
# REROUTE_MKT_DATA_REQ
"91"= function(imsg, ver) {
validate("rerouteMktDataReq", imsg$pop(3L), no_names=TRUE)
},
# REROUTE_MKT_DEPTH_REQ
"92"= function(imsg, ver) {
validate("rerouteMktDepthReq", imsg$pop(3L), no_names=TRUE)
},
# MARKET_RULE
"93"= function(imsg, ver) {
marketRuleId <- imsg$pop()
p <- to_matrix(imsg, "PriceIncrement")
validate("marketRule", marketRuleId=marketRuleId, priceIncrements=p)
},
# PNL
"94"= function(imsg, ver) {
validate("pnl", imsg$pop(4L), no_names=TRUE)
},
# PNL_SINGLE
"95"= function(imsg, ver) {
validate("pnlSingle", imsg$pop(6L), no_names=TRUE)
},
# HISTORICAL_TICKS
"96"= function(imsg, ver) {
reqId <- imsg$pop()
ticks <- to_matrix(imsg, names=c("time", "", "price", "size"))[ , -2L]
done <- imsg$pop()
validate("historicalTicks", reqId=reqId, ticks=ticks, done=done)
},
# HISTORICAL_TICKS_BID_ASK
"97"= function(imsg, ver) {
reqId <- imsg$pop()
ticks <- to_matrix(imsg, "HistoricalTickBidAsk")
done <- imsg$pop()
validate("historicalTicksBidAsk", reqId=reqId, ticks=ticks, done=done)
},
# HISTORICAL_TICKS_LAST
"98"= function(imsg, ver) {
reqId <- imsg$pop()
ticks <- to_matrix(imsg, "HistoricalTickLast")
done <- imsg$pop()
validate("historicalTicksLast", reqId=reqId, ticks=ticks, done=done)
},
# TICK_BY_TICK
"99"= function(imsg, ver) {
reqId <- imsg$pop()
tickType <- imsg$pop()
time <- imsg$pop()
itype <- Validator$i(tickType)
if(itype %in% c(1L, 2L)) {
m <- imsg$pop(5L)
attrib <- unmask(m[3L], c("pastLimit", "unreported"))
validate("tickByTickAllLast", reqId= reqId,
tickType= tickType,
time= time,
price= m[1L],
size= m[2L],
attribs= attrib,
exchange= m[4L],
specialConditions= m[5L])
}
else if(itype == 3L) {
m <- imsg$pop(5L)
attrib <- unmask(m[5L], c("bidPastLow", "askPastHigh"))
validate("tickByTickBidAsk", reqId= reqId,
time= time,
bidPrice= m[1L],
askPrice= m[2L],
bidSize= m[3L],
askSize= m[4L],
attribs= attrib)
}
else if(itype == 4L) {
validate("tickByTickMidPoint", reqId= reqId,
time= time,
midPoint= imsg$pop())
}
else {
warning("TICK_BY_TICK: unknown TickType ", tickType)
NULL
}
},
# ORDER_BOUND
"100"= function(imsg, ver) {
validate("orderBound", imsg$pop(3L), no_names=TRUE)
},
# COMPLETED_ORDER
"101"= function(imsg, ver) {
contract <- Contract
order <- Order
orderState <- OrderState
contract[c(1L:8L, 10L:12L)] <- imsg$pop(11L)
order[c(4L:9L)] <- imsg$pop(6L) # "action" -> "tif"
order[c("ocaGroup",
"account",
"openClose")] <- imsg$pop(3L)
order$origin <- map_int2enum("Origin", imsg$pop())
order[c("orderRef",
"permId",
"outsideRth",
"hidden",
"discretionaryAmt",
"goodAfterTime",
"faGroup",
"faMethod",
"faPercentage",
"modelCode",
"goodTillDate",
"rule80A",
"percentOffset",
"settlingFirm",
"shortSaleSlot",
"designatedLocation",
"exemptCode")] <- imsg$pop(17L)
order[43L:47L] <- imsg$pop(5L) # "startingPrice" -> "stockRangeUpper"
order[c("displaySize",
"sweepToFill",
"allOrNone",
"minQty",
"ocaType",
"triggerMethod")] <- imsg$pop(6L)
order[50L:53L] <- imsg$pop(4L) # "volatility" -> "deltaNeutralAuxPrice"
if(nzchar(order$deltaNeutralOrderType))
order[c(54L, 59L:61L)] <- imsg$pop(4L) # "deltaNeutralConId" -> "deltaNeutralDesignatedLocation"
order[c("continuousUpdate",
"referencePriceType",
"trailStopPrice",
"trailingPercent")] <- imsg$pop(4L)
contract$comboLegsDescrip <- imsg$pop()
# ComboLegs
contract$comboLegs <- to_list(imsg, "ComboLeg")
# OrderComboLeg
orderComboLegsCount <- Validator$i(imsg$pop())
if(orderComboLegsCount > 0L)
order$orderComboLegs <- imsg$pop(orderComboLegsCount)
# SmartComboRouting
smartComboRoutingParamsCount <- Validator$i(imsg$pop())
if(smartComboRoutingParamsCount > 0L)
order$smartComboRoutingParams <- fold_tagvalue(imsg$pop(2L * smartComboRoutingParamsCount))
order[c("scaleInitLevelSize",
"scaleSubsLevelSize")] <- imsg$pop(2L)
order$scalePriceIncrement <- Validator$n(imsg$pop())
if(!is.na(order$scalePriceIncrement) && order$scalePriceIncrement > 0L)
order[69L:75L] <- imsg$pop(7L) # "scalePriceAdjustValue" -> "scaleRandomPercent"
order$hedgeType <- imsg$pop()
if(nzchar(order$hedgeType))
order$hedgeParam <- imsg$pop()
order[c("clearingAccount",
"clearingIntent",
"notHeld")] <- imsg$pop(3L)
# DeltaNeutralContract
if(Validator$l(imsg$pop())) {
contract$deltaNeutralContract <- DeltaNeutralContract
contract$deltaNeutralContract[1L:3L] <- imsg$pop(3L)
}
# AlgoStrategy
order$algoStrategy <- imsg$pop()
if(nzchar(order$algoStrategy)) {
algoParamsCount <- Validator$i(imsg$pop())
if(algoParamsCount > 0L)
order$algoParams <- fold_tagvalue(imsg$pop(2L * algoParamsCount))
}
order$solicited <- imsg$pop()
orderState$status <- imsg$pop()
order[c("randomizeSize",
"randomizePrice")] <- imsg$pop(2L)
if(order$orderType == "PEG BENCH")
order[c("referenceContractId",
"isPeggedChangeAmountDecrease",
"peggedChangeAmount",
"referenceChangeAmount",
"referenceExchangeId")] <- imsg$pop(5L)
conditionsSize <- Validator$i(imsg$pop())
if(conditionsSize > 0L) {
order$conditions <- lapply(seq_len(conditionsSize),
function(i) {
cond <- fCondition(map_int2enum("Condition",
Validator$i(imsg$pop())))
cond[-1L] <- imsg$pop(length(cond) - 1L)
cond
})
order[c("conditionsIgnoreRth",
"conditionsCancelOrder")] <- imsg$pop(2L)
}
order[c("trailStopPrice",
"lmtPriceOffset",
"cashQty",
"dontUseAutoPriceForHedge",
"isOmsContainer")] <- imsg$pop(5L)
order[118L:125L] <- imsg$pop(8L) # "autoCancelDate" -> "parentPermId"
orderState[c("completedTime",
"completedStatus")] <- imsg$pop(2L)
order[c("minTradeQty",
"minCompeteSize",
"competeAgainstBestOffset",
"midOffsetAtWhole",
"midOffsetAtHalf",
"customerAccount",
"professionalCustomer")] <- imsg$pop(7L)
if(ver >= MIN_SERVER_VER_SUBMITTER)
order$submitter <- imsg$pop()
validate("completedOrder", contract= contract,
order= order,
orderState= orderState)
},
# COMPLETED_ORDERS_END
"102"= function(imsg, ver) {
validate("completedOrdersEnd")
},
# REPLACE_FA_END
"103"= function(imsg, ver) {
validate("replaceFAEnd", imsg$pop(2L), no_names=TRUE)
},
# WSH_META_DATA
"104"= function(imsg, ver) {
validate("wshMetaData", imsg$pop(2L), no_names=TRUE)
},
# WSH_EVENT_DATA
"105"= function(imsg, ver) {
validate("wshEventData", imsg$pop(2L), no_names=TRUE)
},
# HISTORICAL_SCHEDULE
"106"= function(imsg, ver) {
reqId <- imsg$pop()
startDateTime <- imsg$pop()
endDateTime <- imsg$pop()
timeZone <- imsg$pop()
sessions <- to_matrix(imsg, "HistoricalSession")
validate("historicalSchedule", reqId= reqId,
startDateTime= startDateTime,
endDateTime= endDateTime,
timeZone= timeZone,
sessions= sessions)
},
# USER_INFO
"107"= function(imsg, ver) {
validate("userInfo", imsg$pop(2L), no_names=TRUE)
},
# HISTORICAL_DATA_END
"108" = function(imsg, ver) {
validate("historicalDataEnd", imsg$pop(3L), no_names=TRUE)
},
# CURRENT_TIME_IN_MILLIS
"109" = function(imsg, ver) {
validate("currentTimeInMillis", imsg$pop(), no_names=TRUE)
},
#
# Messages using ProtoBuf have an offset applied to msgid -> msgid + PROTOBUF_MSG_ID = 200
#
# EXECUTION_DATA
"211"= function(msg, ver) {
pb <- RProtoBuf::read(IBProto.ExecutionDetails, msg)
args <- splatpb(pb)
args$execution$shares <- as.numeric(args$execution$shares)
args$execution$cumQty <- as.numeric(args$execution$cumQty)
args$execution$optExerciseOrLapseType <- optexercisetype(args$execution$optExerciseOrLapseType)
list(fname="execDetails", fargs=args)
},
# EXECUTION_DATA_END
"255"= function(msg, ver) {
pb <- RProtoBuf::read(IBProto.ExecutionDetailsEnd, msg)
list(fname="execDetailsEnd", fargs=splatpb(pb))
}
))
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