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Some helpful code to interface with IB TWS in C++

I often build applications that interface with Interactive Brokers. This repository helps by

  • Breaking down the EWrapper.hpp into sections so I have to implement less
  • Provide some mock classes to test things without having TWS running, and using saved tick or bar data

This project uses CMake. Some notes:

  • The Decimal Floating Point library from Intel is used by IB TWS. What comes with their installer is not always compatible. To solve this, I have added Intel's library as a subproject and compile it as part of this build
  • The date project from HowardHinnant is used to help with contract rollover date stuff.
  • The directory that contains the IB TWS API must be provided.
git clone https://github.com/jmjatlanta/ib_helper
cd ib_helper
git submodule update --init --recursive
mkdir build
cd build
cmake .. -DIB_CLIENT_DIR=/home/mydir/IBJts/client/cppclient/client
make

Things left TODO (Mock/testing):

  • A cancel order comes in, the order is executed, the cancel is rejected because the order is filled
    • Need the ability to delay execution of an order
    • Need to handle cancel errors exactly as IB does it (what error code is thrown in this case?)
  • A cancel order comes in, the order is partially executed, the cancel succeeds but the position is probably not what you expect
    • Need the ability to delay and partially execute an order
  • A partial fill happens, then a TP. The original order is still there. Should it be? NOTE: what happens in these cases are strategy dependent, but we need the ability to test this)