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import {IBApiNextError} from "@stoqey/ib";
import {
DiffTools,
inject,
MapExt,
service,
subscribeUntil
} from "@waytrade/microservice-core";
import LruCache from "lru-cache";
import {
firstValueFrom, map,
Observable, Subject,
Subscription,
takeUntil
} from "rxjs";
import {IBApiApp} from "../app";
import {AccountSummary} from "../models/account-summary.model";
import {BarSize} from "../models/historic-data-request.model";
import {MarketData} from "../models/market-data.model";
import {OHLCBars} from "../models/ohlc-bar.model";
import {Position} from "../models/position.model";
import {
ACCOUNT_SUMMARY_TAGS,
IBApiServiceHelper as Helper
} from "../utils/ib.helper";
import {IBApiFactoryService} from "./ib-api-factory.service";
/**
* Send interval on market data ticks in milliseconds.
* TWS sends market data value changes one-by-one which can cause a lot of
* overhead donwstream. Use this setting to reduce update frequency.
*/
const MARKET_DATA_SEND_INTERVAL_MS = 10;
/** Re-try intervall when an IB function has reported an error */
const IB_ERROR_RETRY_INTERVAL = 1000 * 30; // 30sec
/** Re-try intervall when an IB function has reported an error for tests */
const IB_ERROR_RETRY_INTERVAL_TEST = 1000; // 1sec
/** An update the positions. */
export class PositionsUpdate {
/** List of positions added or changed since last update. */
changed?: Position[];
/** List of positions closed since last update. */
closed?: Position[];
}
/**
* The Interactive Brokers TWS API Service
*/
@service()
export class IBApiService {
@inject("IBApiApp")
private app!: IBApiApp;
/** The [[IBApiNext]] factory instance. */
@inject("IBApiFactoryService")
private factory!: IBApiFactoryService;
/** The [[IBApiNext]] instance. */
private api!: IB.IBApiNext;
/** Subscription on IBApiNext connection date. */
private connectionState$?: Subscription;
/** The service shutdown signal. */
private shutdownSignal = new Subject<void>();
/** Cache of a requested contract details, with conId as key. */
private readonly contractDetailsCache = new LruCache<
number,
IB.ContractDetails[]
>({
max: 128,
});
/** All current account summary values. */
private readonly currentAccountSummaries = new MapExt<
string,
AccountSummary
>();
/** Account summary change subject. */
private readonly accountSummariesChange = new Subject<AccountSummary[]>();
/** All current positions. */
private readonly currentPositions = new MapExt<
string,
Position
>();
/** Position change subject. */
private readonly positionsChange = new Subject<PositionsUpdate>();
/** Start the service. */
async start(): Promise<void> {
this.factory.api.then(api => {
this.api = api;
this.subscribeAccountSummaries();
this.subscribeAccountPnL();
this.subscribePositions();
// exit on connection loss
let connectionTries = 0;
let connectedTimer: NodeJS.Timeout;
this.connectionState$ = api.connectionState.subscribe({
next: state => {
switch (state) {
case IB.ConnectionState.Connecting:
connectionTries++;
break;
case IB.ConnectionState.Connected:
if (connectedTimer) {
clearTimeout(connectedTimer);
}
connectedTimer = global.setTimeout(() => {
connectionTries = 0;
}, 2000); // wait 2s to ensure a stable connection before resetting connectionTries
break;
case IB.ConnectionState.Disconnected:
if (connectedTimer) {
clearTimeout(connectedTimer);
}
if (
connectionTries >= (this.app.config.IB_GATEWAY_RECONNECT_TRIES ?? 0)
) {
this.app.error("Lost connection to IB Gateway, shutown app...");
api.disconnect();
this.app.stop();
}
break;
}
},
});
});
}
/** Stop the service. */
stop(): void {
this.connectionState$?.unsubscribe();
this.shutdownSignal.next();
}
/** Search contracts where name or symbol matches the given text pattern. */
async searchContracts(pattern: string): Promise<IB.ContractDescription[]> {
try {
return await this.api.searchContracts(pattern);
} catch(e) {
throw (<IBApiNextError>e).error;
}
}
/** Get the contract details for contract that match the given criteria. */
async getContractDetails(
contract: IB.Contract,
): Promise<IB.ContractDetails[]> {
if (contract.conId) {
const cache = this.contractDetailsCache.get(contract.conId);
if (cache) {
return cache;
}
}
try {
const details = await this.api?.getContractDetails(contract);
if (contract.conId && details.length) {
this.contractDetailsCache.set(contract.conId, details);
}
return details;
} catch(e) {
throw (<IBApiNextError>e).error;
}
}
/** Get historic OHLC data of a contract of a given contract ID. */
async getHistoricData(
conId: number,
end: string | undefined,
duration: string,
barSize: BarSize,
whatToShow: string): Promise<OHLCBars> {
const contractDetails = (await this.getContractDetails({conId}));
if (!contractDetails.length) {
throw Error("Contract to found.");
}
try {
return {
bars: await this.api.getHistoricalData(
contractDetails[0].contract, end, duration,
<unknown>barSize as IB.BarSizeSetting, whatToShow, 1, 1)
};
} catch(e) {
throw (<IBApiNextError>e).error;
}
}
/** Get the accounts to which the logged user has access to. */
get managedAccounts(): Promise<string[]> {
return this.api.getManagedAccounts();
}
/** Get the account summary of the given account */
getAccountSummary(account: string): Observable<AccountSummary> {
return new Observable(res => {
// initial event
const current = this.currentAccountSummaries.get(account);
const firstEvent: AccountSummary = {account};
let baseCurrencySent = false;
if (current) {
Object.assign(firstEvent, current);
firstEvent.baseCurrency = this.app.config.BASE_CURRENCY;
baseCurrencySent = true;
}
res.next(firstEvent);
// dispatch changes
const sub$ = this.accountSummariesChange
.pipe(map(v => v.find(v => v.account === account)))
.subscribe({
next: update => {
const current: AccountSummary = {account};
Object.assign(current, update);
Iif (!baseCurrencySent) {
current.baseCurrency = this.app.config.BASE_CURRENCY;
}
res.next(update);
}
});
return (): void => sub$.unsubscribe();
});
}
/** Get the account summaries of all accounts */
get accountSummaries(): Observable<AccountSummary[]> {
return new Observable(res => {
const baseCurrencytSent = new Set<string>();
const current = Array.from(this.currentAccountSummaries.values());
current.forEach(v => {
v.baseCurrency = this.app.config.BASE_CURRENCY;
baseCurrencytSent.add(v.account);
});
res.next(current);
const sub$ = this.accountSummariesChange.subscribe({
next: update => {
update.forEach(v => {
Eif (!baseCurrencytSent.has(v.account)) {
baseCurrencytSent.add(v.account);
v.baseCurrency = this.app.config.BASE_CURRENCY;
}
});
res.next(update);
}
});
return (): void => sub$.unsubscribe();
});
}
get positions(): Observable<PositionsUpdate> {
return new Observable(res => {
res.next({
changed: Array.from(this.currentPositions.values())
});
const sub$ = this.positionsChange.subscribe({
next: update => {
res.next(update);
}
});
return (): void => sub$.unsubscribe();
});
}
/** Get market data updates for the given conId.*/
getMarketData(conId: number): Observable<MarketData> {
return new Observable<MarketData>(subscriber => {
const cancel = new Subject();
// lookup contract details from conId
this.getContractDetails({conId})
.then(details => {
const contract = details.find(
v => v.contract.conId === conId,
)?.contract;
if (!contract) {
subscriber.error(new Error("conId not found"));
return;
}
const lastSentMarketData: MarketData = {};
let currentMarketData: MarketData = {};
// donwstream send timer
const sendTimer = setInterval(() => {
const changedMarketData = DiffTools.diff(
lastSentMarketData,
currentMarketData,
).changed;
if (changedMarketData) {
Object.assign(currentMarketData, changedMarketData);
Object.assign(lastSentMarketData, currentMarketData);
subscriber.next(changedMarketData);
}
}, MARKET_DATA_SEND_INTERVAL_MS);
// do not display delayed market data at all:
this.api.setMarketDataType(IB.MarketDataType.FROZEN);
// subscribe on market data
const sub$ = this.api
.getMarketData(contract, "104,105,106,165,411", false, false)
.subscribe({
next: update => {
currentMarketData = Helper.marketDataTicksToModel(update.all);
},
error: (error: IB.IBApiNextError) => {
this.app.error(
`getMarketData(${conId} / ${contract.symbol}) failed with ${error.error.message}`,
);
subscriber.error(new Error(error.error.message));
clearInterval(sendTimer);
},
});
// handle cancel signal
firstValueFrom(cancel).then(() => {
clearInterval(sendTimer);
sub$.unsubscribe();
});
})
.catch(e => {
this.app.error(
`getContractDetails(${conId}) failed with: ${e.message}`,
);
subscriber.error(e);
});
return (): void => {
cancel.next(true);
cancel.complete();
};
});
}
/** Subscribe on account summaries */
private subscribeAccountSummaries(): void {
subscribeUntil(
this.shutdownSignal,
this.api
.getAccountSummary(
"All",
ACCOUNT_SUMMARY_TAGS.join(",") +
`$LEDGER:${this.app.config.BASE_CURRENCY}`,
),
{
error: err => {
setTimeout(() => {
this.app.error("getAccountSummary: " + err.error.message);
this.subscribeAccountSummaries();
}, this.app.config.isTest ?
IB_ERROR_RETRY_INTERVAL_TEST : IB_ERROR_RETRY_INTERVAL
);
},
next: update => {
// collect updated
const updated = new Map([
...(update.changed?.entries() ?? []),
...(update.added?.entries() ?? []),
]);
const changed = new MapExt<string, AccountSummary>();
updated.forEach((tagValues, accountId) => {
Helper.colllectAccountSummaryTagValues(
accountId,
tagValues,
this.app.config.BASE_CURRENCY ?? "",
changed,
);
});
changed.forEach(changedSummary => {
const currentSummary = this.currentAccountSummaries.getOrAdd(
changedSummary.account,
() => new AccountSummary({account: changedSummary.account}),
);
Object.assign(currentSummary, changedSummary);
});
// emit update event
Eif (changed.size) {
this.accountSummariesChange.next(Array.from(changed.values()));
}
},
},
);
}
/** Subscribe on account PnLs */
private subscribeAccountPnL(): void {
this.managedAccounts.then(managedAccount => {
managedAccount?.forEach(accountId => {
subscribeUntil(
this.shutdownSignal,
this.api.getPnL(accountId),
{
error: (err: IB.IBApiNextError) => {
this.app.error(`getPnL(${accountId}): ${err.error.message}`);
setTimeout(() => {
this.subscribeAccountPnL();
}, this.app.config.isTest ?
IB_ERROR_RETRY_INTERVAL_TEST : IB_ERROR_RETRY_INTERVAL
);
},
next: pnl => {
if (
pnl.dailyPnL !== undefined ||
pnl.realizedPnL !== undefined ||
pnl.unrealizedPnL !== undefined
) {
const changedSummary: AccountSummary = {
account: accountId,
dailyPnL: pnl.dailyPnL,
realizedPnL: pnl.realizedPnL,
unrealizedPnL: pnl.unrealizedPnL,
};
const currentSummary = this.currentAccountSummaries.getOrAdd(
changedSummary.account,
() => new AccountSummary({account: changedSummary.account}),
);
Object.assign(currentSummary, changedSummary);
this.accountSummariesChange.next([changedSummary]);
}
},
},
);
});
});
}
/** Subscribe on all account positions. */
private subscribePositions(): void {
const pnlSubscriptions = new Map<string, Subscription>();
firstValueFrom(this.shutdownSignal).then(() => {
pnlSubscriptions.forEach(p => p.unsubscribe());
pnlSubscriptions.clear();
});
subscribeUntil(
this.shutdownSignal,
this.api.getPositions(), {
error: (error: IB.IBApiNextError) => {
pnlSubscriptions.forEach(p => p.unsubscribe());
pnlSubscriptions.clear();
this.app.error("getPositions(): " + error.error.message);
setTimeout(() => {
this.subscribePositions();
}, this.app.config.isTest ?
IB_ERROR_RETRY_INTERVAL_TEST : IB_ERROR_RETRY_INTERVAL
);
},
next: update => {
const changed = new MapExt<string, Position>();
// collect updated
const updated = new Map([
...(update.changed?.entries() ?? []),
...(update.added?.entries() ?? []),
]);
const zeroSizedIds: string[] = [];
updated.forEach((positions, accountId) => {
positions.forEach(ibPosition => {
const posId = Helper.formatPositionId(
accountId,
ibPosition.contract.conId,
);
if (!ibPosition.pos) {
if (this.currentPositions.has(posId)) {
zeroSizedIds.push(posId);
}
return;
}
let newPosition = false;
const prevPositions = this.currentPositions.getOrAdd(posId, () => {
newPosition = true;
return new Position({
id: posId,
avgCost: ibPosition.avgCost,
account: accountId,
conId: ibPosition.contract.conId,
pos: ibPosition.pos,
});
});
const changedPos: Position = {id: posId};
if (ibPosition.avgCost != undefined &&
prevPositions.avgCost !== ibPosition.avgCost) {
changedPos.avgCost = ibPosition.avgCost;
}
if (ibPosition.pos != undefined &&
prevPositions.pos !== ibPosition.pos) {
changedPos.pos = ibPosition.pos;
}
if (newPosition) {
changed.set(posId, prevPositions);
} else if (Object.keys(changedPos).length > 1) {
changed.set(posId, changedPos);
}
});
});
// collect closed
const removedIds = new Set(zeroSizedIds);
update.removed?.forEach((positions, account) => {
positions.forEach(pos => {
const id = Helper.formatPositionId(account, pos.contract.conId);
removedIds.add(id);
});
});
// update
if (changed.size || removedIds.size) {
const closedPositions: Position[] = [];
removedIds.forEach(id => {
this.currentPositions.delete(id);
closedPositions.push(new Position({id}));
});
this.positionsChange.next({
changed: changed.size
? Array.from(changed.values())
: undefined,
closed: closedPositions,
});
}
// subscribe on PnL
updated.forEach((positions, accountId) => {
positions.forEach(ibPosition => {
if (!ibPosition.pos) {
return;
}
const posId = Helper.formatPositionId(
accountId,
ibPosition.contract.conId,
);
if (pnlSubscriptions.has(posId)) {
return;
}
const sub = this.api.getPnLSingle(
ibPosition.account,
"",
ibPosition.contract.conId ?? 0,
)
.pipe(takeUntil(this.shutdownSignal))
.subscribe({
error: (error: IB.IBApiNextError) => {
pnlSubscriptions.delete(posId);
this.app.error(
`getPnLSingle(${ibPosition.contract.symbol}): ${error.error.message}`,
);
},
next: pnl => {
let prePos = this.currentPositions.get(posId);
if (
prePos &&
pnl.position !== undefined &&
!pnl.position
) {
this.currentPositions.delete(posId);
this.positionsChange.next({
closed: [new Position({id: posId})],
});
return;
}
const changedPos: Position = {id: posId};
if (prePos?.account !== accountId) {
changedPos.account = accountId;
}
if (pnl.dailyPnL != undefined &&
prePos?.dailyPnL !== pnl.dailyPnL) {
changedPos.dailyPnL = pnl.dailyPnL;
}
if (pnl.marketValue != undefined &&
prePos?.marketValue !== pnl.marketValue) {
changedPos.marketValue = pnl.marketValue;
}
if (pnl.position != undefined &&
prePos?.pos !== pnl.position) {
changedPos.pos = pnl.position;
}
if (pnl.realizedPnL != undefined &&
prePos?.realizedPnL !== pnl.realizedPnL) {
changedPos.realizedPnL = pnl.realizedPnL;
}
if (pnl.unrealizedPnL != undefined &&
prePos?.unrealizedPnL !== pnl.unrealizedPnL) {
changedPos.unrealizedPnL = pnl.unrealizedPnL;
}
if (!prePos) {
prePos = {id: posId};
Object.assign(prePos, changedPos);
this.currentPositions.set(posId, prePos);
} else {
Object.assign(prePos, changedPos);
}
if (Object.keys(changedPos).length > 1) {
this.positionsChange.next({
changed: [changedPos],
});
}
},
});
pnlSubscriptions.set(posId, sub);
});
});
removedIds.forEach(id => {
pnlSubscriptions.get(id)?.unsubscribe();
});
}
}
);
}
}
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