Update to API v163

lbilli · Sep 22, 2021 · 9f8c738 · 9f8c738
1 parent f276526
commit 9f8c738
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Showing 6 changed files with 42 additions and 37 deletions.
diff --git a/Project.toml b/Project.toml
@@ -1,7 +1,7 @@
 name = "Jib"
 uuid = "f310f2d2-a263-11e8-3998-47bd686f18f7"
 authors = ["Luca Billi <[email protected]>"]
-version = "0.12.4"
+version = "0.13.0"
 
 [deps]
 DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"

diff --git a/data/wrapper_signatures.jl b/data/wrapper_signatures.jl
@@ -1,6 +1,6 @@
-tickPrice= function(tickerId::Int, field::String, price::Float64, size::Int, attrib::TickAttrib)
+tickPrice= function(tickerId::Int, field::String, price::Float64, size::Float64, attrib::TickAttrib)
 
-tickSize= function(tickerId::Int, field::String, size::Int)
+tickSize= function(tickerId::Int, field::String, size::Float64)
 
 tickOptionComputation= function(tickerId::Int, tickType::String, tickAttrib::Union{Int,Nothing}, impliedVol::Union{Float64,Nothing}, delta::Union{Float64,Nothing}, optPrice::Union{Float64,Nothing}, pvDividend::Union{Float64,Nothing}, gamma::Union{Float64,Nothing}, vega::Union{Float64,Nothing}, theta::Union{Float64,Nothing}, undPrice::Union{Float64,Nothing})
 
@@ -38,9 +38,9 @@ execDetailsEnd= function(reqId::Int)
 
 error= function(id::Union{Int,Nothing}, errorCode::Union{Int,Nothing}, errorString::String)
 
-updateMktDepth= function(id::Int, position::Int, operation::Int, side::Int, price::Float64, size::Int)
+updateMktDepth= function(id::Int, position::Int, operation::Int, side::Int, price::Float64, size::Float64)
 
-updateMktDepthL2= function(id::Int, position::Int, marketMaker::String, operation::Int, side::Int, price::Float64, size::Int, isSmartDepth::Bool)
+updateMktDepthL2= function(id::Int, position::Int, marketMaker::String, operation::Int, side::Int, price::Float64, size::Float64, isSmartDepth::Bool)
 
 updateNewsBulletin= function(msgId::Int, msgType::Int, newsMessage::String, originExch::String)
 
@@ -54,7 +54,7 @@ scannerParameters= function(xml::String)
 
 scannerData= function(reqId::Int, rank::Vector{Int}, contractDetails::Vector{ContractDetails}, distance::Vector{String}, benchmark::Vector{String}, projection::Vector{String}, legsStr::Vector{String})
 
-realtimeBar= function(reqId::Int, time::Int, open::Float64, high::Float64, low::Float64, close::Float64, volume::Int, wap::Float64, count::Int)
+realtimeBar= function(reqId::Int, time::Int, open::Float64, high::Float64, low::Float64, close::Float64, volume::Float64, wap::Float64, count::Int)
 
 currentTime= function(time::Int)
 
@@ -144,9 +144,9 @@ historicalTicksBidAsk= function(reqId::Int, ticks::DataFrame, done::Bool)
 
 historicalTicksLast= function(reqId::Int, ticks::DataFrame, done::Bool)
 
-tickByTickAllLast= function(reqId::Int, tickType::Int, time::Int, price::Float64, size::Int, attribs::TickAttribLast, exchange::String, specialConditions::String)
+tickByTickAllLast= function(reqId::Int, tickType::Int, time::Int, price::Float64, size::Float64, attribs::TickAttribLast, exchange::String, specialConditions::String)
 
-tickByTickBidAsk= function(reqId::Int, time::Int, bidPrice::Float64, askPrice::Float64, bidSize::Int, askSize::Int, attribs::TickAttribBidAsk)
+tickByTickBidAsk= function(reqId::Int, time::Int, bidPrice::Float64, askPrice::Float64, bidSize::Float64, askSize::Float64, attribs::TickAttribBidAsk)
 
 tickByTickMidPoint= function(reqId::Int, time::Int, midPoint::Float64)
 

diff --git a/src/process.jl b/src/process.jl
@@ -87,7 +87,7 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
           tickerId::Int,
           ticktype::Int,
           price::Float64,
-          size::Int,
+          size::Float64,
           mask::Int = it
 
           w.tickPrice(tickerId, tickname(ticktype), price, size, unmask(TickAttrib, mask))
@@ -98,7 +98,7 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
 
           tickerId::Int,
           ticktype::Int,
-          size::Int = it
+          size::Float64 = it
 
           w.tickSize(tickerId, tickname(ticktype), size)
         end,
@@ -320,6 +320,8 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
                       :realExpirationDate,
                       :stockType), it)
 
+          ver ≥ Client.FRACTIONAL_SIZE_SUPPORT && (cd.sizeMinTick = pop(it))
+
           w.contractDetails(reqId, cd)
         end,
 
@@ -338,10 +340,10 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
         end,
 
   # MARKET_DEPTH
-  12 => (it, w, ver) -> w.updateMktDepth(slurp((Int,Int,Int,Int,Float64,Int), it)...),
+  12 => (it, w, ver) -> w.updateMktDepth(slurp((Int,Int,Int,Int,Float64,Float64), it)...),
 
   # MARKET_DEPTH_L2
-  13 => (it, w, ver) -> w.updateMktDepthL2(slurp((Int,Int,String,Int,Int,Float64,Int,Bool), it)...),
+  13 => (it, w, ver) -> w.updateMktDepthL2(slurp((Int,Int,String,Int,Int,Float64,Float64,Bool), it)...),
 
   # NEWS_BULLETINS
   14 => (it, w, ver) -> w.updateNewsBulletin(slurp((Int,Int,String,String), it)...),
@@ -362,7 +364,7 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
 
           n::Int = pop(it)
 
-          df = fill_df([String,Float64,Float64,Float64,Float64,Int,Float64,Int],
+          df = fill_df([String,Float64,Float64,Float64,Float64,Float64,Float64,Int],
                        [:time, :open, :high, :low, :close, :volume, :wap, :count],
                        n, it)
 
@@ -508,7 +510,7 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
         end,
 
   # REAL_TIME_BARS
-  50 => (it, w, ver) -> w.realtimeBar(slurp((Int,Int,Float64,Float64,Float64,Float64,Int,Float64,Int), it)...),
+  50 => (it, w, ver) -> w.realtimeBar(slurp((Int,Int,Float64,Float64,Float64,Float64,Float64,Float64,Int), it)...),
 
   # FUNDAMENTAL_DATA
   51 => (it, w, ver) -> w.fundamentalData(slurp((Int,String), it)...),
@@ -731,7 +733,7 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
           reqId::Int,
           n::Int = it
 
-          df = fill_df([Float64,Int], [:price, :size], n, it)
+          df = fill_df([Float64,Float64], [:price, :size], n, it)
 
           w.histogramData(reqId, df)
         end,
@@ -748,7 +750,7 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
                             :high,
                             :low,
                             :wap,
-                            :volume)}(slurp((Int,String,Float64,Float64,Float64,Float64,Float64,Int), it))
+                            :volume)}(slurp((Int,String,Float64,Float64,Float64,Float64,Float64,Float64), it))
 
           w.historicalDataUpdate(reqId, bar)
         end,
@@ -801,11 +803,11 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
           reqId::Int,
           n::Int = it
 
-          df = fill_df([Int,Int,Float64,Int], [:time, :ignore, :price, :size], n, it)
+          df = fill_df([Int,Int,Float64,Float64], [:time, :ignore, :price, :size], n, it)
 
           select!(df, Not(:ignore))
 
-          # TODO: Convert df[:time] to [Zoned]DateTime
+          # TODO: Convert df.time to [Zoned]DateTime
 
           done::Bool = pop(it)
 
@@ -818,10 +820,10 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
           reqId::Int,
           n::Int = it
 
-          df = fill_df([Int,Int,Float64,Float64,Int,Int], [:time, :mask, :priceBid, :priceAsk, :sizeBid, :sizeAsk], n, it)
+          df = fill_df([Int,Int,Float64,Float64,Float64,Float64], [:time, :mask, :priceBid, :priceAsk, :sizeBid, :sizeAsk], n, it)
 
-          # TODO: Convert df[:time] to [Zoned]DateTime
-          # TODO: Unmask df[:mask]
+          # TODO: Convert df.time to [Zoned]DateTime
+          # TODO: Unmask df.mask
 
           done::Bool = pop(it)
 
@@ -834,10 +836,10 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
           reqId::Int,
           n::Int = it
 
-          df = fill_df([Int,Int,Float64,Int,String,String], [:time, :mask, :price, :size, :exchange, :specialConditions], n, it)
+          df = fill_df([Int,Int,Float64,Float64,String,String], [:time, :mask, :price, :size, :exchange, :specialConditions], n, it)
 
-          # TODO: Convert df[:time] to [Zoned]DateTime
-          # TODO: Unmask df[:mask]
+          # TODO: Convert df.time to [Zoned]DateTime
+          # TODO: Unmask df.mask
 
           done::Bool = pop(it)
 
@@ -851,12 +853,12 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
           ticktype::Int,
           time::Int = it
 
-          mask::Int = 0  # To avoid "multiple type declarations" error
+          local mask::Int  # To avoid "multiple type declarations" error
 
           if ticktype ∈ (1, 2)
 
             price::Float64,
-            size::Int,
+            size::Float64,
             mask,
             exchange::String,
             specialConditions::String = it
@@ -867,8 +869,8 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
 
             bidPrice::Float64,
             askPrice::Float64,
-            bidSize::Int,
-            askSize::Int,
+            bidSize::Float64,
+            askSize::Float64,
             mask = it
 
             w.tickByTickBidAsk(reqId, time, bidPrice, askPrice, bidSize, askSize, unmask(TickAttribBidAsk, mask))

diff --git a/src/types_private.jl b/src/types_private.jl
@@ -40,6 +40,7 @@ mutable struct ContractDetails
   realExpirationDate::String
   lastTradeTime::String
   stockType::String
+  sizeMinTick::Union{Float64,Nothing}
   secIdList::NamedTuple
   cusip::String
   ratings::String
@@ -58,8 +59,9 @@ mutable struct ContractDetails
   notes::String
 end
 ContractDetails() = ContractDetails(Contract(), ns, 0, ns, ns, 0, 0, fill(ns, 9)...,
-                                    nothing, 0, nothing, fill(ns, 6)..., (;), fill(ns, 5)...,
-                                    false, false, nothing, false, ns, ns, ns, ns, false, ns)
+                                    nothing, 0, nothing, fill(ns, 6)..., nothing, (;),
+                                    fill(ns, 5)..., false, false, nothing, false, ns,
+                                    ns, ns, ns, false, ns)
 
 
 struct Execution

diff --git a/src/versions.jl b/src/versions.jl
@@ -8,5 +8,6 @@
   POST_TO_ATS              = 160
   WSHE_CALENDAR            = 161
   AUTO_CANCEL_PARENT       = 162
+  FRACTIONAL_SIZE_SUPPORT  = 163
 
 end
diff --git a/src/wrapper.jl b/src/wrapper.jl
@@ -101,10 +101,10 @@ function simple_wrap()
 
   w = Wrapper(
 
-    tickPrice= (tickerId::Int, field::String, price::Float64, size::Int, attrib::TickAttrib) ->
+    tickPrice= (tickerId::Int, field::String, price::Float64, size::Float64, attrib::TickAttrib) ->
                  println("tickPrice: $tickerId $field $price $size $attrib"),
 
-    tickSize= (tickerId::Int, field::String, size::Int) -> println("tickSize: $tickerId $field $size"),
+    tickSize= (tickerId::Int, field::String, size::Float64) -> println("tickSize: $tickerId $field $size"),
 
     tickOptionComputation= function(tickerId::Int, tickType::String, tickAttrib::Union{Int,Nothing}, impliedVol::Union{Float64,Nothing}, delta::Union{Float64,Nothing}, optPrice::Union{Float64,Nothing}, pvDividend::Union{Float64,Nothing}, gamma::Union{Float64,Nothing}, vega::Union{Float64,Nothing}, theta::Union{Float64,Nothing}, undPrice::Union{Float64,Nothing})
                              d[:option] = (tickType, tickAttrib, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice)
@@ -178,10 +178,10 @@ function simple_wrap()
                              something(errorCode, "NA"), " ",
                              errorString),
 
-    updateMktDepth= (id::Int, position::Int, operation::Int, side::Int, price::Float64, size::Int) ->
+    updateMktDepth= (id::Int, position::Int, operation::Int, side::Int, price::Float64, size::Float64) ->
                       println("mktDepth: $id $position $operation $side $price $size"),
 
-    updateMktDepthL2= (id::Int, position::Int, marketMaker::String, operation::Int, side::Int, price::Float64, size::Int, isSmartDepth::Bool) ->
+    updateMktDepthL2= (id::Int, position::Int, marketMaker::String, operation::Int, side::Int, price::Float64, size::Float64, isSmartDepth::Bool) ->
                         println("mktDepthL2: $id $position $marketMaker $operation $side $price $size $isSmartDepth"),
 
     updateNewsBulletin= function(msgId::Int, msgType::Int, newsMessage::String, originExch::String)
@@ -217,7 +217,7 @@ function simple_wrap()
                    println("scannerData: $reqId")
                  end,
 
-    realtimeBar= (reqId::Int, time::Int, open::Float64, high::Float64, low::Float64, close::Float64, volume::Int, wap::Float64, count::Int) ->
+    realtimeBar= (reqId::Int, time::Int, open::Float64, high::Float64, low::Float64, close::Float64, volume::Float64, wap::Float64, count::Int) ->
                    println("realtimeBar: $reqId $time $open $high, $low $close $volume $wap $count"),
 
     currentTime= (time::Int) -> println("currentTime: $time"),
@@ -360,10 +360,10 @@ function simple_wrap()
                            println("historicalTicksLast: $reqId $done")
                          end,
 
-    tickByTickAllLast= (reqId::Int, tickType::Int, time::Int, price::Float64, size::Int, attribs::TickAttribLast, exchange::String, specialConditions::String) ->
+    tickByTickAllLast= (reqId::Int, tickType::Int, time::Int, price::Float64, size::Float64, attribs::TickAttribLast, exchange::String, specialConditions::String) ->
                          println("tickByTickAllLast: $reqId $tickType $time $price $size $attribs $exchange $specialConditions"),
 
-    tickByTickBidAsk= (reqId::Int, time::Int, bidPrice::Float64, askPrice::Float64, bidSize::Int, askSize::Int, attribs::TickAttribBidAsk) ->
+    tickByTickBidAsk= (reqId::Int, time::Int, bidPrice::Float64, askPrice::Float64, bidSize::Float64, askSize::Float64, attribs::TickAttribBidAsk) ->
                         println("tickByTickBidAsk: $reqId $time $bidPrice $askPrice $bidSize $askSize $attribs"),
 
     tickByTickMidPoint= (reqId::Int, time::Int, midPoint::Float64) ->