Perfecto hilo, yo he empezado la aplicación y en breve pondré los avances destacados.
En primer lugar (yo empiezo de 0) lo que he hecho hasta ahora es preparar el visual estudio 2010 para conectarme a la api de ib para controles ACTIVE X, y crear una aplicación, ahora estoy desarrollando los métodos tickPrice(), tickSize(), tickGeneric(), tickString(), tickEFP() (todavía no sé bien como hacerlo
). Para poder generar simbolos de acciones en tiempo real en barras de 60 minutos y que se vaya retroalimentando y saltando un espacio para cada barra generada, para mí este es el principio para programar todo desde estos datos de entrada. Cuando consiga esto, posteriormente iré aplicando todos los algoritmos que tengo creado en excel, para poder automatizar todo el sistema...me queda bastante tiempo para eso, pero poco a poco...iré comentando los avances para que podáis ver como lo estoy realizando y abierto a sugerencias.
saludos.
""
tickPrice()
This function is called when the market data changes. Prices are updated immediately with no delay.
Sub tickPrice(ByVal id As Integer, ByVal tickType As Integer, ByVal price As Double,
ByVal canAutoExecute As Integer)
Parameter Description
id The ticker ID that was specified previously in the call to reqMktData()
tickType Specifies the type of price. Possible values are:
l 1 = bid
l 2 = ask
l 4 = last
l 6 = high
l 7 = low
l 9 = close
price The bid, ask or last price, the daily high, daily low or last day close, depending
on tickType value.
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canAutoExecute Specifies whether the price tick is available for automatic execution. Possible
values are:
l 0 = not eligible for automatic execution
l 1 = eligible for automatic execution
tickSize()
This function is called when the market data changes. Sizes are updated immediately with no delay.
Sub tickSize(ByVal id As Integer, ByVal tickType As Integer, ByVal size As Integer)
Parameter Description
id The ticker ID that was specified previously in the call to reqMktData()
tickType Specifies the type of price. Possible values are:
size The bid size, ask size, last size or trading volume, depending on the tickType value.
tickOptionComputation()
Sub tickOptionComputation(ByVal id As Integer, ByVal tickType As Integer, ByVal impliedVol As Double, ByVal
delta As Double, ByVal optPrice As Double, ByVal pvDividend As Double, ByVal gamma As Double, ByVal vega
As Double, ByVal theta As Double, ByVal undPrice As Double)
Parameter Description
id The ticker ID that was specified previously in the call to reqMktData()
tickType Specifies the type of tick. Possible values are:
l 10 = Bid
l 11 = Ask
l 12 = Last
ImpliedVol The implied volatility calculated by the TWS option modeler, using the specified ticktype
value.
delta The option delta calculated by the TWS option modeler.
optPrice The option price.
pvDivdend The present value of dividends expected on the options underlier.
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gamma The option gamma value.
vega The option vega value.
theta The option theta value.
undPrice The price of the underlying.
tickGeneric()
This method is called when the market data changes. Values are updated immediately with no delay.
Sub tickGeneric(ByVal id As Integer, ByVal tickType As Integer, ByVal value As Double)
Parameter Description
tickerId The ticker Id that was specified previously in the call to reqMktData()
tickType Specifies the type of tick.
Pass the field value into TickType.getField(int tickType) to retrieve the field
description. For example, a field value of 46 will map to shortable, etc.
value The value of the specified field.
tickString()
This method is called when the market data changes. Values are updated immediately with no delay.
Sub tickString(ByVal id As Integer, ByVal tickType As Integer, ByVal value As String)
Parameter Description
tickerId The ticker Id that was specified previously in the call to reqMktData()
tickType Specifies the type of tick.
Pass the field value into TickType.getField(int tickType) to retrieve the field
description. For example, a field value of 45 will map to lastTimestamp, etc.
value The value of the specified field.
tickEFP()
This method is called when the market data changes. Values are updated immediately with no delay.
Sub tickEFP(ByVal tickerId As Integer, ByVal field As Integer, ByVal basisPoints As Double, ByVal formattedBasisPoints
As String, ByVal totalDividends As Double, ByVal holdDays As Integer, ByVal futureExpiry
As String, ByVal dividendImpact As Double, ByVal dividendsToExpiry As Double))
Parameter Description
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tickerId The ticker Id that was specified previously in the call to reqMktData().
field Specifies the type of price.
Pass the field value into TickType.getField(int tickType) to retrieve the
field description. For example, a field value of 38 will map to bidEFP, etc.
basisPoints Annualized basis points, which is representative of the financing rate that
can be directly compared to broker rates.
formattedBasis
Points
Annualized basis points as a formatted string that depicts them in percentage
form.
totalDividends The total expected dividends.
holdDays The number of hold days until the expiry of the EFP.
futureExpiry The expiration date of the single stock future.
dividendImpact The dividend impact upon the annualized basis points interest rate.
dividendsToExpiry The dividends expected until the expiration of the single stock future.""
. Cuando tenga tiempo lo integraré en STMT con funciones que permitan acceder fácilmente a las carpetas de históricos y cargar históricos con más opciones: indicando que registros leer (desde el 100 al 150, por ejemplo) o las fechas a cargar.