ibapi/
scanner.rs

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
use serde::{Deserialize, Serialize};

use crate::{
    client::{DataStream, ResponseContext, Subscription},
    messages::{IncomingMessages, OutgoingMessages},
    orders::TagValue,
    server_versions, Client, Error,
};

mod decoders;

#[cfg(test)]
mod tests;

// Requests an XML list of scanner parameters valid in TWS.
pub(super) fn scanner_parameters(client: &Client) -> Result<String, Error> {
    let request = encoders::encode_scanner_parameters()?;
    let subscription = client.send_shared_request(OutgoingMessages::RequestScannerParameters, request)?;
    match subscription.next() {
        Some(Ok(message)) => decoders::decode_scanner_parameters(message),
        Some(Err(Error::ConnectionReset)) => scanner_parameters(client),
        Some(Err(e)) => Err(e),
        None => Err(Error::UnexpectedEndOfStream),
    }
}

#[derive(Debug, Clone, Serialize, Deserialize, PartialEq)]
/// Scanner subscription parameters.
pub struct ScannerSubscription {
    /// The number of rows to be returned for the query
    pub number_of_rows: i32,
    /// The instrument's type for the scan. I.e. STK, FUT.HK, etc.
    pub instrument: Option<String>,
    /// The request's location (STK.US, STK.US.MAJOR, etc).
    pub location_code: Option<String>,
    /// Same as TWS Market Scanner's "parameters" field, for example: TOP_PERC_GAIN
    pub scan_code: Option<String>,
    /// Filters out Contracts which price is below this value
    pub above_price: Option<f64>,
    /// Filters out contracts which price is above this value.
    pub below_price: Option<f64>,
    /// Filters out Contracts which volume is above this value.
    pub above_volume: Option<i32>,
    /// Filters out Contracts which option volume is above this value.
    pub average_option_volume_above: Option<i32>,
    /// Filters out Contracts which market cap is above this value.
    pub market_cap_above: Option<f64>,
    /// Filters out Contracts which market cap is below this value.
    pub market_cap_below: Option<f64>,
    /// Filters out Contracts which Moody's rating is below this value.
    pub moody_rating_above: Option<String>,
    /// Filters out Contracts which Moody's rating is above this value.
    pub moody_rating_below: Option<String>,
    /// Filters out Contracts with a S&P rating below this value.
    pub sp_rating_above: Option<String>,
    /// Filters out Contracts with a S&P rating above this value.
    pub sp_rating_below: Option<String>,
    /// Filter out Contracts with a maturity date earlier than this value.
    pub maturity_date_above: Option<String>,
    /// Filter out Contracts with a maturity date older than this value.
    pub maturity_date_below: Option<String>,
    /// Filter out Contracts with a coupon rate lower than this value.
    pub coupon_rate_above: Option<f64>,
    /// Filter out Contracts with a coupon rate higher than this value.
    pub coupon_rate_below: Option<f64>,
    /// Filters out Convertible bonds
    pub exclude_convertible: bool,
    /// For example, a pairing "Annual, true" used on the "top Option Implied Vol % Gainers" scan would return annualized volatilities.
    pub scanner_setting_pairs: Option<String>,
    /// CORP = Corporation, ADR = American Depositary Receipt, ETF = Exchange Traded Fund, REIT = Real Estate Investment Trust, CEF = Closed End Fund
    pub stock_type_filter: Option<String>,
}

impl Default for ScannerSubscription {
    fn default() -> Self {
        ScannerSubscription {
            number_of_rows: -1,
            instrument: None,
            location_code: None,
            scan_code: None,
            above_price: None,
            below_price: None,
            above_volume: None,
            average_option_volume_above: None,
            market_cap_above: None,
            market_cap_below: None,
            moody_rating_above: None,
            moody_rating_below: None,
            sp_rating_above: None,
            sp_rating_below: None,
            maturity_date_above: None,
            maturity_date_below: None,
            coupon_rate_above: None,
            coupon_rate_below: None,
            exclude_convertible: false,
            scanner_setting_pairs: None,
            stock_type_filter: None,
        }
    }
}

impl DataStream<Vec<ScannerData>> for Vec<ScannerData> {
    fn decode(_client: &Client, message: &mut crate::messages::ResponseMessage) -> Result<Vec<ScannerData>, Error> {
        match message.message_type() {
            IncomingMessages::ScannerData => Ok(decoders::decode_scanner_data(message.clone())?),
            _ => Err(Error::UnexpectedResponse(message.clone())),
        }
    }
}

#[derive(Debug, Clone, Serialize, Deserialize, Default, PartialEq)]
/// Provides the data resulting from the market scanner request.
pub struct ScannerData {
    /// The ranking position of the contract in the scanner sort.
    pub rank: i32,
    /// The contract matching the scanner subscription.
    pub contract_details: crate::contracts::ContractDetails,
    ///  Describes the combo legs when the scanner is returning EFP.
    pub leg: String,
}

pub(super) fn scanner_subscription<'a>(
    client: &'a Client,
    subscription: &ScannerSubscription,
    filter: &Vec<TagValue>,
) -> Result<Subscription<'a, Vec<ScannerData>>, Error> {
    if !filter.is_empty() {
        client.check_server_version(
            server_versions::SCANNER_GENERIC_OPTS,
            "It does not support API scanner subscription generic filter options.",
        )?
    }

    let request_id = client.next_request_id();
    let request = encoders::encode_scanner_subscription(request_id, client.server_version, subscription, filter)?;
    let subscription = client.send_request(request_id, request)?;

    Ok(Subscription::new(client, subscription, ResponseContext::default()))
}

mod encoders {
    use crate::messages::OutgoingMessages;
    use crate::messages::RequestMessage;
    use crate::orders::TagValue;
    use crate::server_versions;
    use crate::Error;

    use super::ScannerSubscription;

    pub(super) fn encode_scanner_parameters() -> Result<RequestMessage, Error> {
        const VERSION: i32 = 1;

        let mut message = RequestMessage::new();

        message.push_field(&OutgoingMessages::RequestScannerParameters);
        message.push_field(&VERSION);

        Ok(message)
    }

    pub(super) fn encode_scanner_subscription(
        request_id: i32,
        server_version: i32,
        subscription: &ScannerSubscription,
        filter: &Vec<TagValue>,
    ) -> Result<RequestMessage, Error> {
        const VERSION: i32 = 4;

        let mut message = RequestMessage::new();

        message.push_field(&OutgoingMessages::RequestScannerSubscription);
        if server_version < server_versions::SCANNER_GENERIC_OPTS {
            message.push_field(&VERSION);
        }
        message.push_field(&request_id);
        message.push_field(&subscription.number_of_rows);
        message.push_field(&subscription.instrument);
        message.push_field(&subscription.location_code);
        message.push_field(&subscription.scan_code);

        message.push_field(&subscription.above_price);
        message.push_field(&subscription.below_price);
        message.push_field(&subscription.above_volume);
        message.push_field(&subscription.market_cap_above);
        message.push_field(&subscription.market_cap_below);
        message.push_field(&subscription.moody_rating_above);
        message.push_field(&subscription.moody_rating_below);
        message.push_field(&subscription.sp_rating_above);
        message.push_field(&subscription.sp_rating_below);
        message.push_field(&subscription.maturity_date_above);
        message.push_field(&subscription.maturity_date_below);
        message.push_field(&subscription.coupon_rate_above);
        message.push_field(&subscription.coupon_rate_below);
        message.push_field(&subscription.exclude_convertible);
        message.push_field(&subscription.average_option_volume_above);
        message.push_field(&subscription.scanner_setting_pairs);
        message.push_field(&subscription.stock_type_filter);

        if server_version >= server_versions::SCANNER_GENERIC_OPTS {
            message.push_field(filter);
        }
        if server_version >= server_versions::LINKING {
            message.push_field(&""); // ignore subscription options
        }

        Ok(message)
    }
}