Merge pull request #237 from ceddybi/get_tickbytick_alllast_updates

feat(TickByTickAllLastDataUpdates)

Author: ceddybi

src/api-next/api-next.ts

@@ -29,9 +29,12 @@ import {
   ScannerSubscription,
   SecType,
   TagValue,
+  TickByTickDataType,
   WhatToShow,
 } from "../";
 import LogLevel from "../api/data/enum/log-level";
+import { TickAttribLast } from "../api/historical/historicalTickLast";
+import { TickByTickAllLast } from "../api/market/tickByTickAllLast";
 import OrderStatus from "../api/order/enum/order-status";
 import { isNonFatalError } from "../common/errorCode";
 import {
@@ -3133,4 +3136,83 @@ export class IBApiNext {
       },
     );
   }
+
+  /** TickByTickAllLastDataUpdates event handler */
+  private readonly onTickByTickAllLastDataUpdates =
+    (contract: Contract) =>
+    (
+      subscriptions: Map<number, IBApiNextSubscription<TickByTickAllLast>>,
+      reqId: number,
+      tickType: number,
+      time: string,
+      price: number,
+      size: number,
+      tickAttribLast: TickAttribLast,
+      exchange: string,
+      specialConditions: string,
+    ): void => {
+      // get subscription
+
+      const subscription = subscriptions.get(reqId);
+      if (!subscription) {
+        return;
+      }
+
+      // update tick by tick all last
+
+      const current = subscription.lastAllValue ?? ({} as TickByTickAllLast);
+      current.tickType = tickType;
+      current.time = !time ? undefined : +time;
+      current.price = price !== -1 ? price : undefined;
+      current.size = size !== -1 ? size : undefined;
+      current.tickAttribLast = tickAttribLast;
+      current.exchange = exchange;
+      current.specialConditions = specialConditions;
+      current.contract = contract;
+      subscription.next({
+        all: current,
+      });
+    };
+
+  /**
+   * Create a subscription to receive tick-by-tick last or all last price data updates.
+   *
+   * Use {@link IBApiNext.getHistoricalTicksLast} to receive historical last tick data and this function if you
+   * want to receive real-time tick-by-tick last or all last price data updates.
+   *
+   * @see https://interactivebrokers.github.io/tws-api/tick_data.html for details
+   *
+   * @param contract The contract for which we want to retrieve the data.
+   * @param numberOfTicks The number of ticks to retrieve.
+   * @param ignoreSize If true, the size of the tick will be ignored.
+   */
+  getTickByTickAllLastDataUpdates(
+    contract: Contract,
+    numberOfTicks: number = 0,
+    ignoreSize: boolean = false,
+  ): Observable<TickByTickAllLast> {
+    return this.subscriptions
+      .register<TickByTickAllLast>(
+        (reqId) => {
+          this.api.reqTickByTickData(
+            reqId,
+            contract,
+            TickByTickDataType.Last,
+            numberOfTicks,
+            ignoreSize,
+          );
+        },
+        (reqId) => {
+          this.api.cancelTickByTickData(reqId);
+        },
+        [
+          [
+            EventName.tickByTickAllLast,
+            this.onTickByTickAllLastDataUpdates(contract),
+          ],
+        ],
+        `${JSON.stringify(contract)}:${numberOfTicks}:${ignoreSize}`, // Use the same instance ID each time to ensure there is only one pending request at a time.
+      )
+      .pipe(map((v: { all: TickByTickAllLast }) => v.all));
+  }
 }

src/api/api.ts

@@ -3021,7 +3021,7 @@ export declare interface IBApi {
     listener: (
       reqId: number,
       tickType: number,
-      time: number,
+      time: string,
       price: number,
       size: number,
       tickAttribLast: TickAttribLast,

src/api/market/tickByTickAllLast.ts

@@ -0,0 +1,33 @@
+import { Contract } from "../contract/contract";
+import { TickAttribLast } from "../historical/historicalTickLast";
+
+/**
+ * Tick-by-tick last or all last price data.
+ *
+ * Used when requesting tick-by-tick data with tickType = LAST or ALL_LAST.
+ */
+export interface TickByTickAllLast {
+  /** The tick type. */
+  tickType?: number;
+
+  /** The UNIX timestamp of the tick. */
+  time: number;
+
+  /** The price of the tick. */
+  price: number;
+
+  /** The size of the tick. */
+  size: number;
+
+  /** The tick attributes of the tick. */
+  tickAttribLast: TickAttribLast;
+
+  /** The exchange of the tick. */
+  exchange: string;
+
+  /** The special conditions of the tick. */
+  specialConditions: string;
+
+  /** The contract of the tick. */
+  contract: Contract;
+}

src/tests/unit/api-next/get-tick-by-tick-all-last-data-updates.test.ts

@@ -0,0 +1,109 @@
+/**
+ * This file implements tests for the [[IBApiNext.getTickByTickAllLastDataUpdates]] function.
+ */
+
+import {
+  Contract,
+  EventName,
+  IBApi,
+  IBApiNext,
+  IBApiNextError,
+  SecType,
+} from "../../..";
+import { TickByTickAllLast } from "../../../api/market/tickByTickAllLast";
+
+describe("RxJS Wrapper: getTickByTickAllLastDataUpdates()", () => {
+  test("Observable updates", (done) => {
+    // create IBApiNext
+
+    const apiNext = new IBApiNext();
+    const api = (apiNext as unknown as Record<string, unknown>).api as IBApi;
+
+    // emit EventName.tickByTickAllLast events and verify RxJS result
+
+    const contract: Contract = {
+      symbol: "AMZN",
+      exchange: "SMART",
+      currency: "USD",
+      secType: SecType.STK,
+    };
+
+    const REF_TICKS: TickByTickAllLast[] = [
+      {
+        contract,
+        time: 1675228123,
+        price: 1,
+        size: 2,
+        tickAttribLast: {
+          pastLimit: false,
+          unreported: false,
+        },
+        exchange: "EXCHANGE",
+        specialConditions: "SPECIAL_CONDITIONS",
+      },
+      {
+        contract,
+        time: 1675228124,
+        price: 11,
+        size: 12,
+        tickAttribLast: {
+          pastLimit: false,
+          unreported: false,
+        },
+        exchange: "EXCHANGE",
+        specialConditions: "SPECIAL_CONDITIONS",
+      },
+      {
+        contract,
+        time: 1675228125,
+        price: 21,
+        size: 22,
+        tickAttribLast: {
+          pastLimit: false,
+          unreported: false,
+        },
+        exchange: "EXCHANGE",
+        specialConditions: "SPECIAL_CONDITIONS",
+      },
+    ];
+
+    let updateCount = 0;
+
+    apiNext
+      .getTickByTickAllLastDataUpdates(contract, 0, false)
+      // eslint-disable-next-line rxjs/no-ignored-subscription
+      .subscribe({
+        next: (update) => {
+          expect(update.contract).toEqual(REF_TICKS[updateCount].contract);
+          expect(update.time).toEqual(REF_TICKS[updateCount].time);
+          expect(update.price).toEqual(REF_TICKS[updateCount].price);
+          expect(update.size).toEqual(REF_TICKS[updateCount].size);
+          expect(update.tickAttribLast).toEqual(REF_TICKS[updateCount].tickAttribLast);
+          expect(update.exchange).toEqual(REF_TICKS[updateCount].exchange);
+          expect(update.specialConditions).toEqual(REF_TICKS[updateCount].specialConditions);
+
+          updateCount++;
+          if (updateCount >= REF_TICKS.length) {
+            done();
+          }
+        },
+        error: (err: IBApiNextError) => {
+          fail(err.error.message);
+        },
+      });
+
+    for (let i = 0; i < REF_TICKS.length; i++) {
+      api.emit(
+        EventName.tickByTickAllLast,
+        1,
+        1,
+        REF_TICKS[i].time,
+        REF_TICKS[i].price,
+        REF_TICKS[i].size,
+        REF_TICKS[i].tickAttribLast,
+        REF_TICKS[i].exchange,
+        REF_TICKS[i].specialConditions,
+      );
+    }
+  });
+});