using System;
using System.Collections.Generic;
using IBApi;
namespace TradeFuturesWithVWAP
{
class Program
{
static void Main(string[] args)
{
// create an instance of the EWrapperImpl class
EWrapperImpl wrapper = new EWrapperImpl();
// create an instance of the EClientSocket class and connect to TWS or IB Gateway
EClientSocket clientSocket = new EClientSocket(wrapper);
clientSocket.ClientSocket.eConnect("127.0.0.1", 7497, 0);
// create a contract for Eurodollar futures
Contract contract = new Contract();
contract.Symbol = "GE";
contract.SecType = "FUT";
contract.Exchange = "GLOBEX";
contract.Currency = "USD";
contract.LastTradeDateOrContractMonth = "202212";
// request real-time market data for the contract
clientSocket.reqMktData(1, contract, "", false, null);
// wait for market data to be received
while (wrapper.vwap == 0)
{
System.Threading.Thread.Sleep(100);
}
// calculate the target price for the order based on the VWAP
double targetPrice = wrapper.vwap * 1.005; // add 0.5% to the VWAP
// create an order
Order order = new Order();
order.Action = "BUY";
order.OrderType = "LMT";
order.TotalQuantity = 1;
order.LmtPrice = targetPrice;
// place the order
clientSocket.placeOrder(2, contract, order);
// wait for the order to be filled or rejected
while (wrapper.orderStatus == "")
{
System.Threading.Thread.Sleep(100);
}
// print the order status
Console.WriteLine("Order status: " + wrapper.orderStatus);
// disconnect from TWS or IB Gateway
clientSocket.ClientSocket.eDisconnect();
}
}
// create a class that implements the EWrapper interface
// to handle events and data received from TWS or IB Gateway
public class EWrapperImpl : EWrapper
{
// variables to store market data and order status
public double vwap = 0;
public string orderStatus = "";
public void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
// handle tick price events
if (field == 4) // field 4 is the VWAP
{
vwap = price;
}
}
public void orderStatus(int orderId, string status, double filled, double remaining, double avgFillPrice, int permId, int parentId, double lastFillPrice, int clientId, string whyHeld, double mktCapPrice)
{
// handle order status events
orderStatus = status;
}
}
}
