Added support for live market data.

This commit is contained in:
caspar 2026-03-16 14:49:58 -04:00
parent d1328a88d9
commit f5e2d70f57
7 changed files with 509 additions and 100 deletions

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@ -0,0 +1,36 @@
namespace Backend.MarketDataRequest
{
public sealed class FundamentalsEquityRequest
{
public int RequestId { get; init; }
public string Symbol { get; init; } = string.Empty;
public string SecType { get; init; } = "STK";
public string Exchange { get; init; } = "SMART";
public string PrimaryExchange { get; init; } = "NASDAQ";
public string Currency { get; init; } = "USD";
public bool RegulatorySnapshot { get; init; } = false;
public void Validate()
{
if (RequestId <= 0)
throw new ArgumentException("RequestId must be greater than 0.");
if (string.IsNullOrWhiteSpace(Symbol))
throw new ArgumentException("Symbol is required.");
if (string.IsNullOrWhiteSpace(SecType))
throw new ArgumentException("SecType is required.");
if (string.IsNullOrWhiteSpace(Exchange))
throw new ArgumentException("Exchange is required.");
if (string.IsNullOrWhiteSpace(PrimaryExchange))
throw new ArgumentException("PrimaryExchange is required.");
if (string.IsNullOrWhiteSpace(Currency))
throw new ArgumentException("Currency is required.");
}
}
}

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@ -0,0 +1,25 @@
namespace Backend.MarketDataRequest
{
public sealed class FundamentalsEquitySnapshot
{
public string Symbol { get; init; } = string.Empty;
public double? MarketCap { get; set; }
public double? PERatio { get; set; }
public double? DividendYield { get; set; }
public bool IsComplete =>
MarketCap.HasValue &&
PERatio.HasValue &&
DividendYield.HasValue;
public override string ToString()
{
return
$"Symbol={Symbol}, " +
$"MarketCap={MarketCap}, " +
$"PERatio={PERatio}, " +
$"DividendYield={DividendYield}";
}
}
}

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@ -55,14 +55,14 @@ namespace Backend.MarketDataRequest
public static class HistoricalRequestMappings
{
public static string ToIbString(this HistoricalBarSize barSize) => barSize switch
public static string ToIbString(this HistoricalBarSize BarSize) => BarSize switch
{
HistoricalBarSize.OneMin => "1 min",
HistoricalBarSize.FiveMins => "5 mins",
HistoricalBarSize.FifteenMins => "15 mins",
HistoricalBarSize.OneHour => "1 hour",
HistoricalBarSize.OneDay => "1 day",
_ => throw new ArgumentOutOfRangeException(nameof(barSize))
_ => throw new ArgumentOutOfRangeException(nameof(BarSize))
};
public static string ToIbString(this HistoricalWhatToShow whatToShow) => whatToShow switch

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@ -1,5 +1,6 @@
using IBApi;
using System.Collections.Concurrent;
using System.Globalization;
namespace Backend.MarketDataRequest
{
@ -16,9 +17,18 @@ namespace Backend.MarketDataRequest
public bool IsConnected => Client.IsConnected();
public bool IsApiReady => _apiReady;
private readonly ConcurrentDictionary<int, List<Bar>> _barsByRequest = new();
// Historical data
private readonly ConcurrentDictionary<int, List<Bar>> _BarsByRequest = new();
private readonly ConcurrentDictionary<int, TaskCompletionSource<List<Bar>>> _historyRequests = new();
// Equity data
private readonly ConcurrentDictionary<int, LiveEquitySnapshot> _liveSnapshotsByRequest = new();
private readonly ConcurrentDictionary<int, TaskCompletionSource<LiveEquitySnapshot>> _liveRequests = new();
//Fundamentals data
private readonly ConcurrentDictionary<int, FundamentalsEquitySnapshot> _fundamentalsSnapshotsByRequest = new();
private readonly ConcurrentDictionary<int, TaskCompletionSource<FundamentalsEquitySnapshot>> _fundamentalsRequests = new();
public IBGatewayControl()
{
Client = new EClientSocket(this, _signal);
@ -121,11 +131,23 @@ namespace Backend.MarketDataRequest
Console.WriteLine($"[error] id={id}, code={errorCode}, time={errorTime}, msg={errorMsg}");
if (id > 0 && _historyRequests.TryRemove(id, out var tcs))
if (id > 0 && _liveRequests.TryRemove(id, out var liveTcs))
{
_barsByRequest.TryRemove(id, out _);
tcs.TrySetException(
new InvalidOperationException($"IB error for reqId={id}: {errorCode} - {errorMsg}"));
Client.cancelMktData(id);
_liveSnapshotsByRequest.TryRemove(id, out _);
liveTcs.TrySetException(
new InvalidOperationException($"IB error for live reqId={id}: {errorCode} - {errorMsg}"));
return;
}
if (id > 0 && _fundamentalsRequests.TryRemove(id, out var fundamentalsTcs))
{
Client.cancelMktData(id);
_fundamentalsSnapshotsByRequest.TryRemove(id, out _);
fundamentalsTcs.TrySetException(
new InvalidOperationException($"IB error for fundamentals reqId={id}: {errorCode} - {errorMsg}"));
}
}
@ -149,7 +171,7 @@ namespace Backend.MarketDataRequest
Currency = "USD"
};
_barsByRequest[request.RequestId] = new List<Bar>();
_BarsByRequest[request.RequestId] = new List<Bar>();
Console.WriteLine(
$"Requesting historical data: Symbol={request.Symbol}, End={request.EndDateTime}, Duration={request.Duration}, BarSize={request.BarSize.ToIbString()}");
@ -189,51 +211,51 @@ namespace Backend.MarketDataRequest
return tcs.Task.GetAwaiter().GetResult();
_historyRequests.TryRemove(request.RequestId, out _);
_barsByRequest.TryRemove(request.RequestId, out _);
_BarsByRequest.TryRemove(request.RequestId, out _);
throw new TimeoutException($"Timed out waiting for historical data for reqId={request.RequestId}.");
}
catch
{
_historyRequests.TryRemove(request.RequestId, out _);
_barsByRequest.TryRemove(request.RequestId, out _);
_BarsByRequest.TryRemove(request.RequestId, out _);
throw;
}
}
public override void historicalData(int reqId, Bar bar)
public override void historicalData(int reqId, Bar Bar)
{
if (_barsByRequest.TryGetValue(reqId, out var bars))
if (_BarsByRequest.TryGetValue(reqId, out var Bars))
{
lock (bars)
lock (Bars)
{
bars.Add(bar);
Bars.Add(Bar);
}
}
Console.WriteLine(
$"[historicalData] reqId={reqId}, Date={bar.Time}, Open={bar.Open}, High={bar.High}, Low={bar.Low}, Close={bar.Close}, Volume={bar.Volume}");
$"[historicalData] reqId={reqId}, Date={Bar.Time}, Open={Bar.Open}, High={Bar.High}, Low={Bar.Low}, Close={Bar.Close}, Volume={Bar.Volume}");
}
public override void historicalDataEnd(int reqId, string start, string end)
{
Console.WriteLine($"[historicalDataEnd] reqId={reqId}, start={start}, end={end}");
if (_barsByRequest.TryRemove(reqId, out var bars))
if (_BarsByRequest.TryRemove(reqId, out var Bars))
{
Console.WriteLine();
Console.WriteLine("=== Final Printed Bars ===");
lock (bars)
lock (Bars)
{
foreach (var bar in bars)
foreach (var Bar in Bars)
{
Console.WriteLine(
$"{bar.Time} | O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
$"{Bar.Time} | O:{Bar.Open} H:{Bar.High} L:{Bar.Low} C:{Bar.Close} V:{Bar.Volume}");
}
}
if (_historyRequests.TryRemove(reqId, out var tcs))
{
tcs.TrySetResult(bars);
tcs.TrySetResult(Bars);
}
}
}
@ -253,5 +275,304 @@ namespace Backend.MarketDataRequest
if (_disposed)
throw new ObjectDisposedException(nameof(IBGatewayControl));
}
private static bool IsValidNumber(double value)
{
return !double.IsNaN(value) &&
!double.IsInfinity(value) &&
value > -99999.0;
}
private static bool TryParseDouble(string raw, out double value)
{
return double.TryParse(raw, NumberStyles.Any, CultureInfo.InvariantCulture, out value);
}
private static Dictionary<string, string> ParseFundamentalRatios(string raw)
{
var result = new Dictionary<string, string>(StringComparer.OrdinalIgnoreCase);
if (string.IsNullOrWhiteSpace(raw))
return result;
string[] parts = raw.Split(';', StringSplitOptions.RemoveEmptyEntries);
foreach (string part in parts)
{
int idx = part.IndexOf('=');
if (idx <= 0 || idx >= part.Length - 1)
continue;
string key = part[..idx].Trim();
string value = part[(idx + 1)..].Trim();
result[key] = value;
}
return result;
}
private static void TryFillFundamentals(FundamentalsEquitySnapshot snapshot, string raw)
{
var ratios = ParseFundamentalRatios(raw);
if (!snapshot.MarketCap.HasValue &&
ratios.TryGetValue("MKTCAP", out var marketCapRaw) &&
TryParseDouble(marketCapRaw, out var marketCap) &&
IsValidNumber(marketCap))
{
snapshot.MarketCap = marketCap;
}
if (!snapshot.PERatio.HasValue)
{
if (ratios.TryGetValue("PEEXCLXOR", out var peRaw) &&
TryParseDouble(peRaw, out var pe) &&
IsValidNumber(pe))
{
snapshot.PERatio = pe;
}
else if (ratios.TryGetValue("APENORM", out var peNormRaw) &&
TryParseDouble(peNormRaw, out var peNorm) &&
IsValidNumber(peNorm))
{
snapshot.PERatio = peNorm;
}
}
if (!snapshot.DividendYield.HasValue &&
ratios.TryGetValue("YIELD", out var yieldRaw) &&
TryParseDouble(yieldRaw, out var divYield) &&
IsValidNumber(divYield))
{
snapshot.DividendYield = divYield;
}
}
private void CompleteLiveRequestIfReady(int reqId)
{
if (!_liveSnapshotsByRequest.TryGetValue(reqId, out var snapshot))
return;
if (!snapshot.IsComplete)
return;
Client.cancelMktData(reqId);
_liveSnapshotsByRequest.TryRemove(reqId, out _);
if (_liveRequests.TryRemove(reqId, out var tcs))
tcs.TrySetResult(snapshot);
}
private void CompleteFundamentalsRequestIfReady(int reqId)
{
if (!_fundamentalsSnapshotsByRequest.TryGetValue(reqId, out var snapshot))
return;
if (!snapshot.IsComplete)
return;
Client.cancelMktData(reqId);
_fundamentalsSnapshotsByRequest.TryRemove(reqId, out _);
if (_fundamentalsRequests.TryRemove(reqId, out var tcs))
tcs.TrySetResult(snapshot);
}
public LiveEquitySnapshot RequestLiveEquityBlocking(LiveEquityRequest request, TimeSpan timeout)
{
ThrowIfDisposed();
request.Validate();
if (!Client.IsConnected())
throw new InvalidOperationException("IB Gateway is not connected.");
if (!_apiReady)
throw new InvalidOperationException("IB API is not ready yet.");
if (_liveRequests.ContainsKey(request.RequestId))
throw new InvalidOperationException($"Live RequestId {request.RequestId} is already in use.");
var tcs = new TaskCompletionSource<LiveEquitySnapshot>(
TaskCreationOptions.RunContinuationsAsynchronously);
if (!_liveRequests.TryAdd(request.RequestId, tcs))
throw new InvalidOperationException($"Unable to register live request {request.RequestId}.");
var snapshot = new LiveEquitySnapshot
{
Symbol = request.Symbol
};
_liveSnapshotsByRequest[request.RequestId] = snapshot;
try
{
var contract = new Contract
{
Symbol = request.Symbol,
SecType = request.SecType,
Exchange = request.Exchange,
PrimaryExch = request.PrimaryExchange,
Currency = request.Currency
};
Console.WriteLine(
$"Requesting live quote data: Symbol={request.Symbol}, Ticks=Last/Volume/Close/Open");
Client.reqMktData(
request.RequestId,
contract,
"",
false,
request.RegulatorySnapshot,
null
);
if (tcs.Task.Wait(timeout))
return tcs.Task.GetAwaiter().GetResult();
Client.cancelMktData(request.RequestId);
_liveRequests.TryRemove(request.RequestId, out _);
_liveSnapshotsByRequest.TryRemove(request.RequestId, out _);
throw new TimeoutException(
$"Timed out waiting for live quote data for reqId={request.RequestId}.");
}
catch
{
Client.cancelMktData(request.RequestId);
_liveRequests.TryRemove(request.RequestId, out _);
_liveSnapshotsByRequest.TryRemove(request.RequestId, out _);
throw;
}
}
public FundamentalsEquitySnapshot RequestFundamentalsBlocking(FundamentalsEquityRequest request, TimeSpan timeout)
{
ThrowIfDisposed();
request.Validate();
if (!Client.IsConnected())
throw new InvalidOperationException("IB Gateway is not connected.");
if (!_apiReady)
throw new InvalidOperationException("IB API is not ready yet.");
if (_fundamentalsRequests.ContainsKey(request.RequestId))
throw new InvalidOperationException($"Fundamentals RequestId {request.RequestId} is already in use.");
var tcs = new TaskCompletionSource<FundamentalsEquitySnapshot>(
TaskCreationOptions.RunContinuationsAsynchronously);
if (!_fundamentalsRequests.TryAdd(request.RequestId, tcs))
throw new InvalidOperationException($"Unable to register fundamentals request {request.RequestId}.");
var snapshot = new FundamentalsEquitySnapshot
{
Symbol = request.Symbol
};
_fundamentalsSnapshotsByRequest[request.RequestId] = snapshot;
try
{
var contract = new Contract
{
Symbol = request.Symbol,
SecType = request.SecType,
Exchange = request.Exchange,
PrimaryExch = request.PrimaryExchange,
Currency = request.Currency
};
Console.WriteLine(
$"Requesting fundamentals data: Symbol={request.Symbol}, GenericTicks=258");
Client.reqMktData(
request.RequestId,
contract,
"258",
false,
request.RegulatorySnapshot,
null
);
if (tcs.Task.Wait(timeout))
return tcs.Task.GetAwaiter().GetResult();
Client.cancelMktData(request.RequestId);
_fundamentalsRequests.TryRemove(request.RequestId, out _);
_fundamentalsSnapshotsByRequest.TryRemove(request.RequestId, out _);
throw new TimeoutException(
$"Timed out waiting for fundamentals data for reqId={request.RequestId}.");
}
catch
{
Client.cancelMktData(request.RequestId);
_fundamentalsRequests.TryRemove(request.RequestId, out _);
_fundamentalsSnapshotsByRequest.TryRemove(request.RequestId, out _);
throw;
}
}
public override void tickPrice(int tickerId, int field, double price, TickAttrib attribs)
{
if (_liveSnapshotsByRequest.TryGetValue(tickerId, out var liveSnapshot))
{
if (IsValidNumber(price))
{
switch (field)
{
case 4: // Last Price
liveSnapshot.LastPrice = price;
break;
case 9: // Close Price
liveSnapshot.PreviousClose = price;
break;
case 14: // Open Tick
liveSnapshot.Open = price;
break;
}
}
CompleteLiveRequestIfReady(tickerId);
}
Console.WriteLine($"[tickPrice] reqId={tickerId}, field={field}, price={price}");
}
public override void tickSize(int tickerId, int field, decimal size)
{
if (_liveSnapshotsByRequest.TryGetValue(tickerId, out var liveSnapshot))
{
switch (field)
{
case 8: // Volume
liveSnapshot.Volume = (long)size;
break;
}
CompleteLiveRequestIfReady(tickerId);
}
Console.WriteLine($"[tickSize] reqId={tickerId}, field={field}, size={size}");
}
public override void tickString(int tickerId, int field, string value)
{
if (_fundamentalsSnapshotsByRequest.TryGetValue(tickerId, out var fundamentalsSnapshot))
{
if (field == 47)
{
TryFillFundamentals(fundamentalsSnapshot, value);
CompleteFundamentalsRequestIfReady(tickerId);
}
}
Console.WriteLine($"[tickString] reqId={tickerId}, field={field}, value={value}");
}
}
}

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@ -1,91 +1,36 @@
using System;
using System.Collections.Generic;
using IBApi;
namespace Backend.MarketDataRequest
{
public enum LiveMarketDataType
{
RealTime = 1,
Frozen = 2,
Delayed = 3,
DelayedFrozen = 4
}
public sealed class LiveEquityRequest
{
public int RequestId { get; set; }
public string Symbol { get; set; } = string.Empty;
public string Exchange { get; set; } = "SMART";
public string PrimaryExchange { get; set; } = "NASDAQ";
public string Currency { get; set; } = "USD";
public int RequestId { get; init; }
public string Symbol { get; init; } = string.Empty;
/// <summary>
/// Generic ticks string, e.g. "233,236"
/// Leave empty for standard top-of-book.
/// </summary>
public string GenericTickList { get; set; } = string.Empty;
public string SecType { get; init; } = "STK";
public string Exchange { get; init; } = "SMART";
public string PrimaryExchange { get; init; } = "NASDAQ";
public string Currency { get; init; } = "USD";
public bool Snapshot { get; set; } = false;
public bool RegulatorySnapshot { get; set; } = false;
public LiveMarketDataType MarketDataType { get; set; } = LiveMarketDataType.RealTime;
public bool RegulatorySnapshot { get; init; } = false;
public void Send(IBGatewayControl gateway)
public void Validate()
{
if (gateway == null)
{
throw new ArgumentNullException(nameof(gateway));
}
if (!gateway.IsConnected)
{
throw new InvalidOperationException("IB Gateway is not connected.");
}
if (RequestId <= 0)
throw new ArgumentException("RequestId must be greater than 0.");
if (string.IsNullOrWhiteSpace(Symbol))
{
throw new ArgumentException("Symbol cannot be empty.");
}
throw new ArgumentException("Symbol is required.");
gateway.Client.reqMarketDataType((int)MarketDataType);
if (string.IsNullOrWhiteSpace(SecType))
throw new ArgumentException("SecType is required.");
var contract = BuildContract();
if (string.IsNullOrWhiteSpace(Exchange))
throw new ArgumentException("Exchange is required.");
gateway.Client.reqMktData(
RequestId,
contract,
GenericTickList,
Snapshot,
RegulatorySnapshot,
new List<TagValue>()
);
}
if (string.IsNullOrWhiteSpace(PrimaryExchange))
throw new ArgumentException("PrimaryExchange is required.");
public void Cancel(IBGatewayControl gateway)
{
if (gateway == null)
{
throw new ArgumentNullException(nameof(gateway));
}
if (!gateway.IsConnected)
{
throw new InvalidOperationException("IB Gateway is not connected.");
}
gateway.Client.cancelMktData(RequestId);
}
private Contract BuildContract()
{
return new Contract
{
Symbol = Symbol,
SecType = "STK",
Exchange = Exchange,
PrimaryExch = PrimaryExchange,
Currency = Currency
};
if (string.IsNullOrWhiteSpace(Currency))
throw new ArgumentException("Currency is required.");
}
}
}

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@ -0,0 +1,28 @@
namespace Backend.MarketDataRequest
{
public sealed class LiveEquitySnapshot
{
public string Symbol { get; init; } = string.Empty;
public double? LastPrice { get; set; }
public long? Volume { get; set; }
public double? PreviousClose { get; set; }
public double? Open { get; set; }
public bool IsComplete =>
LastPrice.HasValue &&
Volume.HasValue &&
PreviousClose.HasValue &&
Open.HasValue;
public override string ToString()
{
return
$"Symbol={Symbol}, " +
$"LastPrice={LastPrice}, " +
$"Volume={Volume}, " +
$"PreviousClose={PreviousClose}, " +
$"Open={Open}";
}
}
}

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@ -11,14 +11,24 @@ namespace Backend
public static void Main(string[] args)
{
var Gateway = new IBGatewayControl();
Gateway.Start("127.0.0.1", 4002, 1);
try
{
Gateway.Start("127.0.0.1", 4002, 1);
}
catch
{
Console.WriteLine("Invalid connection to IB Gateway. Please ensure gateway is running and connected.");
Environment.Exit(1);
}
while (!Gateway.IsApiReady)
{
Thread.Sleep(50);
}
var request = new HistoricalEquityRequest
// ---- TEST HISTORICAL DATA REQUEST ----
var HistoricalRequest = new HistoricalEquityRequest
{
RequestId = 1,
Symbol = "NVDA",
@ -31,15 +41,59 @@ namespace Backend
FormatDate = 1
};
List<Bar> bars = Gateway.RequestHistoricalBlocking(
request,
List<Bar> Bars = Gateway.RequestHistoricalBlocking(HistoricalRequest, TimeSpan.FromSeconds(15));
Console.WriteLine();
Console.WriteLine($"Received {Bars.Count} bars. Continue program here.");
// ---- TEST LIVE DATA REQUEST ----
var liveRequest = new LiveEquityRequest
{
RequestId = 2,
Symbol = "NVDA"
};
var live = Gateway.RequestLiveEquityBlocking(
liveRequest,
TimeSpan.FromSeconds(15));
Console.WriteLine();
Console.WriteLine($"Received {bars.Count} bars. Continue program here.");
Console.WriteLine("=== Live Quote ===");
Console.WriteLine($"Symbol: {live.Symbol}");
Console.WriteLine($"Last Price: {live.LastPrice}");
Console.WriteLine($"Volume: {live.Volume}");
Console.WriteLine($"Previous Close: {live.PreviousClose}");
Console.WriteLine($"Open: {live.Open}");
// do next step here, for example save to database
// ---- FUNDAMENTALS DATA REQUEST ----
// DOES NOT WORK, NEEDS EXTRA DATA SUBSCRIPTION
/*
var fundamentalsRequest = new FundamentalsEquityRequest
{
RequestId = 3,
Symbol = "NVDA"
};
try
{
var fundamentals = Gateway.RequestFundamentalsBlocking(
fundamentalsRequest,
TimeSpan.FromSeconds(15));
Console.WriteLine();
Console.WriteLine("=== Fundamentals ===");
Console.WriteLine($"Symbol: {fundamentals.Symbol}");
Console.WriteLine($"Market Cap: {fundamentals.MarketCap}");
Console.WriteLine($"P/E Ratio: {fundamentals.PERatio}");
Console.WriteLine($"Dividend Yield: {fundamentals.DividendYield}");
}
catch (Exception ex)
{
Console.WriteLine($"Fundamentals request failed.");
}
*/
Gateway.Disconnect();
}
}