IB API C++ programming

marsman said:
On this page http://interactivebrokers.github.io...Client.html#a5b7d2f3048b2be5c9c3a87c18fb01dd3
the reqMktData() method is described, but unfortunately what the last parameter (mktDataOptions) is supposed to have is not described :-(

void reqMktData(int tickerId,
Contract contract,
string genericTickList,
bool snapshot,
List< TagValue > mktDataOptions
)

OTOH the genericTickList values are IMO very useful (HV, IV, RT HV etc. besides many other values like Volume etc.)
More...
In the doc they pass just a TagValueListSPtr() object (?) created on the stack it seems :). Reason I don't know yet :).
Hmm maybe it is just a pointer as the suffix might indicate (but the signature doesn't expect a pointer or a reference, funny, maybe they are using some magic macro stuff or operator overloading...):
m_pClient->reqMktData(1001, ContractSamples::StockComboContract(), "", false, TagValueListSPtr());

Hmm... need to study the stuff deeper...
 
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IBApi ::

[ComVisible(true)]
public class TagValue : TWSApi.ITagValue
{
private string tag;
private string value;

public string Tag
{
get { return tag; }
set { tag = value; }
}


public string Value
{
get { return this.value; }
set { this.value = value; }
}

public TagValue()
{
}

public TagValue(string p_tag, string p_value)
{
tag = p_tag;
value = p_value;
}

public override bool Equals(Object other)
{

if (this == other)
return true;

if (other == null)
return false;

TagValue l_theOther = (TagValue)other;

if (Util.StringCompare(Tag, l_theOther.Tag) != 0 ||
Util.StringCompare(Value, l_theOther.Value) != 0)
{
return false;
}

return true;
}

string TWSApi.ITagValue.tag
{
get
{
return this.tag;
}
set
{
this.tag = value;
}
}

string TWSApi.ITagValue.value
{
get
{
return this.value;
}
set
{
this.value = value;
}
}
}

You're welcome;
 
Yup, right with you. I modified the source to compile with g++, and am doing the same type of stuff. Big screens of code in front of me right now, on my home-built Centos 7 Linux rig. Intel I7 Dual core @ 4GHz.

In my opinion, beware the following:

1. IB do not provide tick data. For U.S. Equities, you get one price update (not a tick!) per 250ms. Assuming that the exchanges step at 1ms, TTBOMK, this is some kind of volume-weighted average of these 250 data points.
2. Often these data are delivered in bursts; i.e., you may wait 5 seconds, and receive a burst of 20 price movements.

Sincerely,
Keith
 
Rationalize said:
IBApi ::

[ComVisible(true)]
public class TagValue : TWSApi.ITagValue
{
private string tag;
private string value;

public string Tag
{
get { return tag; }
set { tag = value; }
}
<snip>
More...

I don't think this is standard C++, it must be rather something non-standard Microsoft stuff I guess... Thx, but I can't use that thing as the topic is about C++...
 
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marsman said:
I don't think this is standard C++, it must be rather something non-standard Microsoft stuff I guess... I can't use that thing...
More...
Seriously
Just turn it into a type n you'll be right
Imho
This is the least of your worries re profitability
C++ is overkill
Do this in excel
Faster to build
Then test your efficacy.
 
kmiklas said:
Yup, right with you. I modified the source to compile with g++, and am doing the same type of stuff. Big screens of code in front of me right now, on my home-built Centos 7 Linux rig. Intel I7 Dual core @ 4GHz.

In my opinion, beware the following:

1. IB do not provide tick data. For U.S. Equities, you get one price update (not a tick!) per 250ms. Assuming that the exchanges step at 1ms, TTBOMK, this is some kind of volume-weighted average of these 250 data points.
2. Often these data are delivered in bursts; i.e., you may wait 5 seconds, and receive a burst of 20 price movements.

Sincerely,
Keith
More...
Thanks, I know about the consolidated data feed of IB. But this is ok for me.

Btw, I guess you mean the sample application (TestCppClient). I had to modify some sources,
move some sources to other directories, and also modified the makefile to exclude the SSL stuff
as it didn't compile verbatim. Now I switched to the non-SSL code and it compiled successfully.
If anybody interessted I can try to recollect the changes I had made (was some days ago...).
But as said: this is the Beta 9.72 API version for Linux/Unix/MacOSX or so.

And: I had also sent the compiler warnings to IB's API team, but have not heard anything since then yet...
 
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Rationalize said:
Seriously
Just turn it into a type n you'll be right
Imho
This is the least of your worries re profitability
C++ is overkill
Do this in excel
Faster to build
Then test your efficacy.
More...
As was clearly stated in the initial posting and also in the thread title, the project is in C++, and under Linux.
Since the used compiler g++ is also available in the Cygwin POSIX environment under Windows, then it should compile there as well.
 
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Ok, here is the solution to the TagValueList problem in v9.72:

http://holowczak.com/ib-tws-api-tagvaluelist/
"... Starting with the the IB TWS API version 9.71, several of the API calls require a new parameter with a class (or data structure) of TagValueList. The documentation for this new class is not very clear on how to construct the TagValueList. This class is also used to construct a variable length set of parameters for multi-leg combo orders and parameters for IB’s Algo orders..."

I guess 9.71 is a typo and he rather means 9.72.
The solution is given in the rest of the text at the above link for all the languages the API supports.
 
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