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//! Examples of populating fields of various order types use num_traits::FromPrimitive; use crate::core::common::TagValue; use crate::core::order::{AuctionStrategy, Order, OrderComboLeg}; use crate::core::order_condition::{ create_condition, ConditionType, ExecutionCondition, MarginCondition, PercentChangeCondition, PriceCondition, TimeCondition, VolumeCondition, }; /// An auction order is entered into the electronic trading system during the pre-market opening period for execution at the /// Calculated Opening Price (COP). If your order is not filled on the open, the order is re-submitted as a limit order with /// the limit price set to the COP or the best bid/ask after the market opens. /// Products: FUT, STK */// //================================================================================================== pub fn at_auction(action: &str, quantity: f64, price: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.tif = "AUC".to_string(); order.order_type = "MTL".to_string(); order.total_quantity = quantity; order.lmt_price = price; order } //================================================================================================== /// A discretionary order is a limit order submitted with a hidden, specified 'discretionary' amount off the limit price which /// may be used to increase the price range over which the limit order is eligible to execute. The market sees only the limit price. /// Products: STK pub fn discretionary(action: &str, quantity: f64, price: f64, discretionary_amount: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LMT".to_string(); order.total_quantity = quantity; order.lmt_price = price; order.discretionary_amt = discretionary_amount; order } //================================================================================================== /// A Market order is an order to buy or sell at the market bid or offer price. A market order may increase the likelihood of a fill /// and the speed of execution, but unlike the Limit order a Market order provides no price protection and may fill at a price far /// lower/higher than the current displayed bid/ask. /// Products: BOND, CFD, EFP, CASH, FUND, FUT, FOP, OPT, STK, WAR pub fn market_order(action: &str, quantity: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "MKT".to_string(); order.total_quantity = quantity; order } //================================================================================================== /// A Market if Touched (MIT) is an order to buy (or sell) a contract below (or above) the market. Its purpose is to take advantage /// of sudden or unexpected changes in share or other prices and provides investors with a trigger price to set an order in motion. /// Investors may be waiting for excessive strength (or weakness) to cease, which might be represented by a specific price point. /// MIT orders can be used to determine whether or not to enter the market once a specific price level has been achieved. This order /// is held in the system until the trigger price is touched, and is then submitted as a market order. An MIT order is similar to a /// stop order, except that an MIT sell order is placed above the current market price, and a stop sell order is placed below /// Products: BOND, CFD, CASH, FUT, FOP, OPT, STK, WAR pub fn market_if_touched(action: &str, quantity: f64, price: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "MIT".to_string(); order.total_quantity = quantity; order.aux_price = price; order } //================================================================================================== /// A Market-on-Close (MOC) order is a market order that is submitted to execute as close to the closing price as possible. /// Products: CFD, FUT, STK, WAR pub fn market_on_close(action: &str, quantity: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "MOC".to_string(); order.total_quantity = quantity; order } //================================================================================================== /// A Market-on-Open (MOO) order combines a market order with the OPG time in force to create an order that is automatically /// submitted at the market's open and fills at the market price. /// Products: CFD, STK, OPT, WAR pub fn market_on_open(action: &str, quantity: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "MKT".to_string(); order.total_quantity = quantity; order.tif = "OPG".to_string(); order } //================================================================================================== /// ISE MidpoMatch:i32 (MPM) orders always execute at the midpoof:the:i32 NBBO. You can submit market and limit orders direct-routed /// to ISE for MPM execution. Market orders execute at the midpowhenever:an:i32 eligible contra-order is available. Limit orders /// execute only when the midpoprice:is:i32 better than the limit price. Standard MPM orders are completely anonymous. /// Products: STK pub fn midpoint_match(action: &str, quantity: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "MKT".to_string(); order.total_quantity = quantity; order } //================================================================================================== /// A midprice order is designed to split the difference between the bid and ask prices, and fill at the current midpoint of /// the NBBO or better. Set an optional price cap to define the highest price (for a buy order) or the lowest price (for a sell /// order) you are willing to accept. Requires TWS 975+. Smart-routing to US stocks only. pub fn midprice(action: &str, quantity: f64, price_cap: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "MIDPRICE".to_string(); order.total_quantity = quantity; order.lmt_price = price_cap; // optional //midprice] order } //================================================================================================== /// A pegged-to-market order is designed to maintain a purchase price relative to the national best offer (NBO) or a sale price /// relative to the national best bid (NBB). Depending on the width of the quote, this order may be passive or aggressive. /// The trader creates the order by entering a limit price which defines the worst limit price that they are willing to accept. /// Next, the trader enters an offset amount which computes the active limit price as follows: /// Sell order price = Bid price + offset amount /// Buy order price = Ask price - offset amount /// Products: STK pub fn pegged_to_market(action: &str, quantity: f64, market_offset: f64) -> Order { //pegged_market] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "PEG MKT".to_string(); order.total_quantity = quantity; order.aux_price = market_offset; //Offset price //pegged_market] order } //================================================================================================== /// A Pegged to Stock order continually adjusts the option order price by the product of a signed user-define delta and the change of /// the option's underlying stock price. The delta is entered as an absolute and assumed to be positive for calls and negative for puts. /// A buy or sell call order price is determined by adding the delta times a change in an underlying stock price to a specified starting /// price for the call. To determine the change in price, the stock reference price is subtracted from the current NBBO midpoint. /// The Stock Reference Price can be defined by the user, or defaults to the NBBO midpoat:the:i32 time of the order if no reference price /// is entered. You may also enter a high/low stock price range which cancels the order when reached. The delta times the change in stock /// price will be rounded to the nearest penny in favor of the order. /// Products: OPT pub fn pegged_to_stock( action: &str, quantity: f64, delta: f64, stock_reference_price: f64, starting_price: f64, ) -> Order { //pegged_stock] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "PEG STK".to_string(); order.total_quantity = quantity; order.delta = delta; order.stock_ref_price = stock_reference_price; order.starting_price = starting_price; //pegged_stock] order } /// Relative (a.k.a. Pegged-to-Primary) orders provide a means for traders to seek a more aggressive price than the National Best Bid /// and Offer (NBBO). By acting as liquidity providers, and placing more aggressive bids and offers than the current best bids and offers, /// traders increase their odds of filling their order. Quotes are automatically adjusted as the markets move, to remain aggressive. /// For a buy order, your bid is pegged to the NBB by a more aggressive offset, and if the NBB moves up, your bid will also move up. /// If the NBB moves down, there will be no adjustment because your bid will become even more aggressive and execute. For sales, your /// offer is pegged to the NBO by a more aggressive offset, and if the NBO moves down, your offer will also move down. If the NBO moves up, /// there will be no adjustment because your offer will become more aggressive and execute. In addition to the offset, you can define an /// absolute cap, which works like a limit price, and will prevent your order from being executed above or below a specified level. /// Stocks, Options and Futures - not available on paper trading /// Products: CFD, STK, OPT, FUT //================================================================================================== pub fn relative_pegged_to_primary( action: &str, quantity: f64, price_cap: f64, offset_amount: f64, ) -> Order { //relative_pegged_primary] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "REL".to_string(); order.total_quantity = quantity; order.lmt_price = price_cap; order.aux_price = offset_amount; //relative_pegged_primary] order } /// Sweep-to-fill orders are useful when a trader values speed of execution over price. A sweep-to-fill order identifies the best price /// and the exact quantity offered/available at that price, and transmits the corresponding portion of your order for immediate execution. /// Simultaneously it identifies the next best price and quantity offered/available, and submits the matching quantity of your order for /// immediate execution. /// Products: CFD, STK, WAR //================================================================================================== pub fn sweep_to_fill(action: &str, quantity: f64, price: f64) -> Order { //sweep_to_fill] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LMT".to_string(); order.total_quantity = quantity; order.lmt_price = price; order.sweep_to_fill = true; //sweep_to_fill] order } /// For option orders routed to the Boston Options Exchange (BOX) you may elect to participate in the BOX's price improvement auction in /// pennies. All BOX-directed price improvement orders are immediately sent from Interactive Brokers to the BOX order book, and when the /// terms allow, IB will evaluate it for inclusion in a price improvement auction based on price and volume priority. In the auction, your /// order will have priority over broker-dealer price improvement orders at the same price. /// An Auction Limit order at a specified price. Use of a limit order ensures that you will not receive an execution at a price less favorable /// than the limit price. Enter limit orders in penny increments with your auction improvement amount computed as the difference between your /// limit order price and the nearest listed increment. /// Products: OPT /// Supported Exchanges: BOX //================================================================================================== pub fn auction_limit( action: &str, quantity: f64, price: f64, auction_strategy: AuctionStrategy, ) -> Order { //auction_limit] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LMT".to_string(); order.total_quantity = quantity; order.lmt_price = price; order.auction_strategy = auction_strategy; //auction_limit] order } /// For option orders routed to the Boston Options Exchange (BOX) you may elect to participate in the BOX's price improvement auction in pennies. /// All BOX-directed price improvement orders are immediately sent from Interactive Brokers to the BOX order book, and when the terms allow, /// IB will evaluate it for inclusion in a price improvement auction based on price and volume priority. In the auction, your order will have /// priority over broker-dealer price improvement orders at the same price. /// An Auction Pegged to Stock order adjusts the order price by the product of a signed delta (which is entered as an absolute and assumed to be /// positive for calls, negative for puts) and the change of the option's underlying stock price. A buy or sell call order price is determined /// by adding the delta times a change in an underlying stock price change to a specified starting price for the call. To determine the change /// in price, a stock reference price (NBBO midpoat:the:i32 time of the order is assumed if no reference price is entered) is subtracted from /// the current NBBO midpoint. A stock range may also be entered that cancels an order when reached. The delta times the change in stock price /// will be rounded to the nearest penny in favor of the order and will be used as your auction improvement amount. /// Products: OPT /// Supported Exchanges: BOX //================================================================================================== pub fn auction_pegged_to_stock( action: &str, quantity: f64, starting_price: f64, delta: f64, ) -> Order { //auction_pegged_stock] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "PEG STK".to_string(); order.total_quantity = quantity; order.delta = delta; order.starting_price = starting_price; //auction_pegged_stock] order } /// For option orders routed to the Boston Options Exchange (BOX) you may elect to participate in the BOX's price improvement auction in pennies. /// All BOX-directed price improvement orders are immediately sent from Interactive Brokers to the BOX order book, and when the terms allow, /// IB will evaluate it for inclusion in a price improvement auction based on price and volume priority. In the auction, your order will have /// priority over broker-dealer price improvement orders at the same price. /// An Auction Relative order that adjusts the order price by the product of a signed delta (which is entered as an absolute and assumed to be /// positive for calls, negative for puts) and the change of the option's underlying stock price. A buy or sell call order price is determined /// by adding the delta times a change in an underlying stock price change to a specified starting price for the call. To determine the change /// in price, a stock reference price (NBBO midpoat:the:i32 time of the order is assumed if no reference price is entered) is subtracted from /// the current NBBO midpoint. A stock range may also be entered that cancels an order when reached. The delta times the change in stock price /// will be rounded to the nearest penny in favor of the order and will be used as your auction improvement amount. /// Products: OPT /// Supported Exchanges: BOX //================================================================================================== pub fn auction_relative(action: &str, quantity: f64, offset: f64) -> Order { //auction_relative] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "REL".to_string(); order.total_quantity = quantity; order.aux_price = offset; //auction_relative] order } /// The block attribute is used for large volume option orders on ISE that consist of at least 50 contracts. To execute large-volume /// orders over time without moving the market, use the Accumulate/Distribute algorithm. /// Products: OPT //================================================================================================== pub fn block(action: &str, quantity: f64, price: f64) -> Order { //block] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LMT".to_string(); order.total_quantity = quantity; //Large volumes! order.lmt_price = price; order.block_order = true; //block] order } /// A Box Top order executes as a market order at the current best price. If the order is only partially filled, the remainder is submitted as /// a limit order with the limit price equal to the price at which the filled portion of the order executed. /// Products: OPT /// Supported Exchanges: BOX //================================================================================================== pub fn box_top(action: &str, quantity: f64) -> Order { //boxtop] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "BOX TOP".to_string(); order.total_quantity = quantity; //boxtop] order } /// A Limit order is an order to buy or sell at a specified price or better. The Limit order ensures that if the order fills, /// it will not fill at a price less favorable than your limit price, but it does not guarantee a fill. /// Products: BOND, CFD, CASH, FUT, FOP, OPT, STK, WAR //================================================================================================== pub fn limit_order(action: &str, quantity: f64, limit_price: f64) -> Order { //limitorder] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LMT".to_string(); order.total_quantity = quantity; order.lmt_price = limit_price; order.transmit = true; //limitorder] order } /// Forex orders can be placed in demonination of second currency in pair using cashQty field /// Requires TWS or IBG 963+ /// <https://www.interactivebrokers.com/en/index.php?f=23876#963-02> //================================================================================================== pub fn limit_order_with_cash_qty( action: &str, quantity: f64, limit_price: f64, cash_qty: f64, ) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LMT".to_string(); order.total_quantity = quantity; order.lmt_price = limit_price; order.cash_qty = cash_qty; order } /// A Limit if Touched is an order to buy (or sell) a contract at a specified price or better, below (or above) the market. This order is /// held in the system until the trigger price is touched. An LIT order is similar to a stop limit order, except that an LIT sell order is /// placed above the current market price, and a stop limit sell order is placed below. /// Products: BOND, CFD, CASH, FUT, FOP, OPT, STK, WAR //================================================================================================== pub fn limit_if_touched( action: &str, quantity: f64, limit_price: f64, trigger_price: f64, ) -> Order { //limitiftouched] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LIT".to_string(); order.total_quantity = quantity; order.lmt_price = limit_price; order.aux_price = trigger_price; //limitiftouched] order } /// A Limit-on-close (LOC) order will be submitted at the close and will execute if the closing price is at or better than the submitted /// limit price. /// Products: CFD, FUT, STK, WAR //================================================================================================== pub fn limit_on_close(action: &str, quantity: f64, limit_price: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LOC".to_string(); order.total_quantity = quantity; order.lmt_price = limit_price; order } /// A Limit-on-Open (LOO) order combines a limit order with the OPG time in force to create an order that is submitted at the market's open, /// and that will only execute at the specified limit price or better. Orders are filled in accordance with specific exchange rules. /// Products: CFD, STK, OPT, WAR //================================================================================================== pub fn limit_on_open(action: &str, quantity: f64, limit_price: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.tif = "OPG".to_string(); order.order_type = "LMT".to_string(); order.total_quantity = quantity; order.lmt_price = limit_price; order } /// Passive Relative orders provide a means for traders to seek a less aggressive price than the National Best Bid and Offer (NBBO) while /// keeping the order pegged to the best bid (for a buy) or ask (for a sell). The order price is automatically adjusted as the markets move /// to keep the order less aggressive. For a buy order, your order price is pegged to the NBB by a less aggressive offset, and if the NBB /// moves up, your bid will also move up. If the NBB moves down, there will be no adjustment because your bid will become aggressive and execute. /// For a sell order, your price is pegged to the NBO by a less aggressive offset, and if the NBO moves down, your offer will also move down. /// If the NBO moves up, there will be no adjustment because your offer will become aggressive and execute. In addition to the offset, you can /// define an absolute cap, which works like a limit price, and will prevent your order from being executed above or below a specified level. /// The Passive Relative order is similar to the Relative/Pegged-to-Primary order, except that the Passive relative subtracts the offset from /// the bid and the Relative adds the offset to the bid. /// Products: STK, WAR //================================================================================================== pub fn passive_relative(action: &str, quantity: f64, offset: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "PASSV REL".to_string(); order.total_quantity = quantity; order.aux_price = offset; order } /// A pegged-to-midpoorder:provides:i32 a means for traders to seek a price at the midpoof:the:i32 National Best Bid and Offer (NBBO). /// The price automatically adjusts to peg the midpoas:the:i32 markets move, to remain aggressive. For a buy order, your bid is pegged to /// the NBBO midpoand:the:i32 order price adjusts automatically to continue to peg the midpoif:the:i32 market moves. The price only adjusts /// to be more aggressive. If the market moves in the opposite direction, the order will execute. /// Products: STK //================================================================================================== pub fn pegged_to_midpoint(action: &str, quantity: f64, offset: f64, limit_price: f64) -> Order { //pegged_midpoint] let mut order = Order::default(); order.action = action.to_string(); order.order_type = "PEG MID".to_string(); order.total_quantity = quantity; order.aux_price = offset; order.lmt_price = limit_price; //pegged_midpoint] order } /// Bracket orders are designed to help limit your loss and lock in a profit by "bracketing" an order with two opposite-side orders. /// A BUY order is bracketed by a high-side sell limit order and a low-side sell stop order. A SELL order is bracketed by a high-side buy /// stop order and a low side buy limit order. /// Products: CFD, BAG, FOP, CASH, FUT, OPT, STK, WAR //================================================================================================== pub fn bracket_order( parent_order_id: i32, action: &str, quantity: f64, limit_price: f64, take_profit_limit_price: f64, stop_loss_price: f64, ) -> (Order, Order, Order) { // This will be our main or "parent" order let mut parent = Order::default(); parent.order_id = parent_order_id; parent.action = action.to_string(); parent.order_type = "LMT".to_string(); parent.total_quantity = quantity; parent.lmt_price = limit_price; // The parent and children orders will need this attribute set to False to prevent accidental executions. // The LAST CHILD will have it set to True, parent.transmit = false; let mut take_profit = Order::default(); take_profit.order_id = parent.order_id + 1; take_profit.action = (if action == "BUY" { "SELL" } else { "BUY" }).to_string(); take_profit.order_type = "LMT".to_string(); take_profit.total_quantity = quantity; take_profit.lmt_price = take_profit_limit_price; take_profit.parent_id = parent_order_id; take_profit.transmit = false; let mut stop_loss = Order::default(); stop_loss.order_id = parent.order_id + 2; stop_loss.action = (if action == "BUY" { "SELL" } else { "BUY" }).to_string(); stop_loss.order_type = "STP".to_string(); // stop trigger price stop_loss.aux_price = stop_loss_price; stop_loss.total_quantity = quantity; stop_loss.parent_id = parent_order_id; // In this case, the low side order will be the last child being sent. Therefore, it needs to set this attribute to True // to activate all its predecessors stop_loss.transmit = true; (parent, take_profit, stop_loss) } /// Products:CFD, FUT, FOP, OPT, STK, WAR /// A Market-to-Limit (MTL) order is submitted as a market order to execute at the current best market price. If the order is only /// partially filled, the remainder of the order is canceled and re-submitted as a limit order with the limit price equal to the price /// at which the filled portion of the order executed. //================================================================================================== pub fn market_to_limit(action: &str, quantity: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "MTL".to_string(); order.total_quantity = quantity; order } /// This order type is useful for futures traders using Globex. A Market with Protection order is a market order that will be cancelled and /// resubmitted as a limit order if the entire order does not immediately execute at the market price. The limit price is set by Globex to be /// close to the current market price, slightly higher for a sell order and lower for a buy order. /// Products: FUT, FOP //================================================================================================== pub fn market_with_protection(action: &str, quantity: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "MKT PRT".to_string(); order.total_quantity = quantity; order } /// A stop order is an instruction to submit a buy or sell market order if and when the user-specified stop trigger price is attained or /// penetrated. A stop order is not guaranteed a specific execution price and may execute significantly away from its stop price. A Sell /// stop order is always placed below the current market price and is typically used to limit a loss or protect a profit on a long stock /// position. A Buy stop order is always placed above the current market price. It is typically used to limit a loss or help protect a /// profit on a short sale. /// Products: CFD, BAG, CASH, FUT, FOP, OPT, STK, WAR //================================================================================================== pub fn stop(action: &str, quantity: f64, stop_price: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "STP".to_string(); order.aux_price = stop_price; order.total_quantity = quantity; order } /// A stop-Limit order is an instruction to submit a buy or sell limit order when the user-specified stop trigger price is attained or /// penetrated. The order has two basic components: the stop price and the limit price. When a trade has occurred at or through the stop /// price, the order becomes executable and enters the market as a limit order, which is an order to buy or sell at a specified price or better. /// Products: CFD, CASH, FUT, FOP, OPT, STK, WAR //================================================================================================== pub fn stop_limit(action: &str, quantity: f64, limit_price: f64, stop_price: f64) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "STP LMT".to_string(); order.total_quantity = quantity; order.lmt_price = limit_price; order.aux_price = stop_price; order } /// A stop with Protection order combines the functionality of a stop limit order with a market with protection order. The order is set /// to trigger at a specified stop price. When the stop price is penetrated, the order is triggered as a market with protection order, /// which means that it will fill within a specified protected price range equal to the trigger price +/- the exchange-defined protection /// porange:i32. Any portion of the order that does not fill within this protected range is submitted as a limit order at the exchange-defined /// trigger price +/- the protection points. /// Products: FUT //================================================================================================== pub fn stop_with_protection(action: &str, quantity: f64, stop_price: f64) -> Order { let mut order = Order::default(); order.total_quantity = quantity; order.action = action.to_string(); order.order_type = "STP PRT".to_string(); order.aux_price = stop_price; order } /// A sell trailing stop order sets the stop price at a fixed amount below the market price with an attached "trailing" amount. As the /// market price rises, the stop price rises by the trail amount, but if the stock price falls, the stop loss price doesn't change, /// and a market order is submitted when the stop price is hit. This technique is designed to allow an investor to specify a limit on the /// maximum possible loss, without setting a limit on the maximum possible gain. "Buy" trailing stop orders are the mirror image of sell /// trailing stop orders, and are most appropriate for use in falling markets. /// Products: CFD, CASH, FOP, FUT, OPT, STK, WAR //================================================================================================== pub fn trailing_stop( action: &str, quantity: f64, trailing_percent: f64, trail_stop_price: f64, ) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "TRAIL".to_string(); order.total_quantity = quantity; order.trailing_percent = trailing_percent; order.trail_stop_price = trail_stop_price; order } /// A trailing stop limit order is designed to allow an investor to specify a limit on the maximum possible loss, without setting a limit /// on the maximum possible gain. A SELL trailing stop limit moves with the market price, and continually recalculates the stop trigger /// price at a fixed amount below the market price, based on the user-defined "trailing" amount. The limit order price is also continually /// recalculated based on the limit offset. As the market price rises, both the stop price and the limit price rise by the trail amount and /// limit offset respectively, but if the stock price falls, the stop price remains unchanged, and when the stop price is hit a limit order /// is submitted at the last calculated limit price. A "Buy" trailing stop limit order is the mirror image of a sell trailing stop limit, /// and is generally used in falling markets. /// Products: BOND, CFD, CASH, FUT, FOP, OPT, STK, WAR //================================================================================================== pub fn trailing_stop_limit( action: &str, quantity: f64, lmt_price_offset: f64, trailing_amount: f64, trail_stop_price: f64, ) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "TRAIL LIMIT".to_string(); order.total_quantity = quantity; order.trail_stop_price = trail_stop_price; order.lmt_price_offset = lmt_price_offset; order.aux_price = trailing_amount; order } /// Create combination orders that include options, stock and futures legs (stock legs can be included if the order is routed /// through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed as a single transaction /// if it is routed directly to an exchange. For combination orders that are SmartRouted, each leg may be executed separately to ensure /// best execution. /// Products: OPT, STK, FUT //================================================================================================== pub fn combo_limit_order( action: &str, quantity: f64, limit_price: f64, non_guaranteed: bool, ) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LMT".to_string(); order.tif = "GTC".to_string(); order.total_quantity = quantity; order.lmt_price = limit_price; if non_guaranteed { order .smart_combo_routing_params .push(TagValue::new("NonGuaranteed".to_string(), "1".to_string())); } order } /// Create combination orders that include options, stock and futures legs (stock legs can be included if the order is routed /// through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed as a single transaction /// if it is routed directly to an exchange. For combination orders that are SmartRouted, each leg may be executed separately to ensure /// best execution. /// Products: OPT, STK, FUT //================================================================================================== pub fn combo_market_order(action: &str, quantity: f64, non_guaranteed: bool) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "MKT".to_string(); order.total_quantity = quantity; if non_guaranteed { order .smart_combo_routing_params .push(TagValue::new("NonGuaranteed".to_string(), "1".to_string())); } order } /// Create combination orders that include options, stock and futures legs (stock legs can be included if the order is routed /// through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed as a single transaction /// if it is routed directly to an exchange. For combination orders that are SmartRouted, each leg may be executed separately to ensure /// best execution. /// Products: OPT, STK, FUT //================================================================================================== pub fn limit_order_for_combo_with_leg_prices( action: &str, quantity: f64, leg_prices: Vec<f64>, non_guaranteed: bool, ) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "LMT".to_string(); order.total_quantity = quantity; for price in leg_prices { let mut combo_leg = OrderComboLeg::default(); combo_leg.price = price; order.order_combo_legs.push(combo_leg) } if non_guaranteed { order .smart_combo_routing_params .push(TagValue::new("NonGuaranteed".to_string(), "1".to_string())); } order } /// Create combination orders that include options, stock and futures legs (stock legs can be included if the order is routed /// through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed as a single transaction /// if it is routed directly to an exchange. For combination orders that are SmartRouted, each leg may be executed separately to ensure /// best execution. /// Products: OPT, STK, FUT //================================================================================================== pub fn relative_limit_combo( action: &str, quantity: f64, limit_price: f64, non_guaranteed: bool, ) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.total_quantity = quantity; order.order_type = "REL + LMT".to_string(); order.lmt_price = limit_price; if non_guaranteed { order .smart_combo_routing_params .push(TagValue::new("NonGuaranteed".to_string(), "1".to_string())); } order } /// Create combination orders that include options, stock and futures legs (stock legs can be included if the order is routed /// through SmartRouting). Although a combination/spread order is constructed of separate legs, it is executed as a single transaction /// if it is routed directly to an exchange. For combination orders that are SmartRouted, each leg may be executed separately to ensure /// best execution. /// Products: OPT, STK, FUT //================================================================================================== pub fn relative_market_combo(action: &str, quantity: f64, non_guaranteed: bool) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.total_quantity = quantity; order.order_type = "REL + MKT".to_string(); if non_guaranteed { order .smart_combo_routing_params .push(TagValue::new("NonGuaranteed".to_string(), "1".to_string())); } order } /// One-Cancels All (OCA) order type allows an investor to place multiple and possibly unrelated orders assigned to a group. The aim is /// to complete just one of the orders, which in turn will cause TWS to cancel the remaining orders. The investor may submit several /// orders aimed at taking advantage of the most desirable price within the group. Completion of one piece of the group order causes /// cancellation of the remaining group orders while partial completion causes the group to rebalance. An investor might desire to sell /// 1000 shares of only ONE of three positions held above prevailing market prices. The OCA order group allows the investor to enter prices /// at specified target levels and if one is completed, the other two will automatically cancel. Alternatively, an investor may wish to take /// a LONG position in eMini S&P stock index futures in a falling market or else SELL US treasury futures at a more favorable price. /// Grouping the two orders using an OCA order type offers the investor two chance to enter a similar position, while only running the risk /// of taking on a single position. /// Products: BOND, CASH, FUT, FOP, STK, OPT, WAR //================================================================================================== pub fn one_cancels_all(oca_group: &str, oca_orders: Vec<Order>, oca_type: i32) { for mut order in oca_orders { order.oca_group = oca_group.to_string(); order.oca_type = oca_type; } } /// Specific to US options, investors are able to create and enter volatility-type orders for options and combinations rather than price orders. /// Option traders may wish to trade and position for movements in the price of the option determined by its implied volatility. Because /// implied volatility is a key determinant of the premium on an option, traders position in specific contract months in an effort to take /// advantage of perceived changes in implied volatility arising before, during or after earnings or when company specific or broad market /// volatility is predicted to change. In order to create a volatility order, clients must first create a volatility Trader page from the /// Trading Tools menu and as they enter option contracts, premiums will display in percentage terms rather than premium. The buy/sell process /// is the same as for regular orders priced in premium terms except that the client can limit the volatility level they are willing to pay or /// receive. /// Products: FOP, OPT //================================================================================================== pub fn volatility( action: &str, quantity: f64, volatility_percent: f64, volatility_type: i32, ) -> Order { let mut order = Order::default(); order.action = action.to_string(); order.order_type = "VOL".to_string(); order.total_quantity = quantity; order.volatility = volatility_percent; //Expressed in percentage (40%) order.volatility_type = volatility_type; // 1=daily, 2=annual //volatility] order } //================================================================================================== pub fn market_fhedge(parent_order_id: i32, action: &str) -> Order { // FX Hedge orders can only have a quantity of 0 let mut order = market_order(action, 0.0); order.parent_id = parent_order_id; order.hedge_type = "F".to_string(); order } //================================================================================================== pub fn pegged_to_benchmark( action: &str, quantity: f64, starting_price: f64, pegged_change_amount_decrease: bool, pegged_change_amount: f64, reference_change_amount: f64, reference_con_id: i32, reference_exchange: &str, stock_reference_price: f64, reference_contract_lower_range: f64, reference_contract_upper_range: f64, ) -> Order { let mut order = Order::default(); order.order_type = "PEG BENCH".to_string(); // BUY or SELL order.action = action.to_string(); order.total_quantity = quantity; // Beginning with price... order.starting_price = starting_price; // increase/decrease price.. order.is_pegged_change_amount_decrease = pegged_change_amount_decrease; // by... (and likewise for price moving in opposite direction) order.pegged_change_amount = pegged_change_amount; // whenever there is a price change of... order.reference_change_amount = reference_change_amount; // in the reference contract... order.reference_contract_id = reference_con_id; // being traded at... order.reference_exchange_id = reference_exchange.parse().unwrap(); //starting reference price is... order.stock_ref_price = stock_reference_price; // Keep order active as long as reference contract trades between... order.stock_range_lower = reference_contract_lower_range; // and... order.stock_range_upper = reference_contract_upper_range; //pegged_benchmark] order } //================================================================================================== pub fn attach_adjustable_to_stop( parent: Order, attached_order_stop_price: f64, trigger_price: f64, adjust_stop_price: f64, ) -> Order { // Attached order is a conventional STP order in opposite direction let mut order = stop( (if parent.action == "BUY" { "SELL" } else { "BUY" }) .as_ref(), parent.total_quantity, attached_order_stop_price, ); order.parent_id = parent.order_id; // When trigger price is penetrated order.trigger_price = trigger_price; // The parent order will be turned into a STP order order.adjusted_order_type = "STP".to_string(); // With the given STP price order.adjusted_stop_price = adjust_stop_price; //adjustable_stop] order } //================================================================================================== pub fn attach_adjustable_to_stop_limit( parent: Order, attached_order_stop_price: f64, trigger_price: f64, adjusted_stop_price: f64, adjusted_stop_limit_price: f64, ) -> Order { // Attached order is a conventional STP order let mut order = stop( (if parent.action == "BUY" { "SELL" } else { "BUY" }) .as_ref(), parent.total_quantity, attached_order_stop_price, ); order.parent_id = parent.order_id; // When trigger price is penetrated order.trigger_price = trigger_price; // The parent order will be turned into a STP LMT order order.adjusted_order_type = "STP LMT".to_string(); // With the given stop price order.adjusted_stop_price = adjusted_stop_price; // And the given limit price order.adjusted_stop_limit_price = adjusted_stop_limit_price; //adjustable_stop_limit] order } //================================================================================================== pub fn attach_adjustable_to_trail( parent: Order, attached_order_stop_price: f64, trigger_price: f64, adjusted_stop_price: f64, adjusted_trail_amount: f64, trail_unit: i32, ) -> Order { // Attached order is a conventional STP order let mut order = stop( (if parent.action == "BUY" { "SELL" } else { "BUY" }) .as_ref(), parent.total_quantity, attached_order_stop_price, ); order.parent_id = parent.order_id; // When trigger price is penetrated order.trigger_price = trigger_price; // The parent order will be turned into a TRAIL order order.adjusted_order_type = "TRAIL".to_string(); // With a stop price of... order.adjusted_stop_price = adjusted_stop_price; // traling by and amount (0) or a percent (1)... order.adjustable_trailing_unit = trail_unit; // of... order.adjusted_trailing_amount = adjusted_trail_amount; order } //================================================================================================== pub fn price_condition( trigger_method: i32, con_id: i32, exchange: &str, price: f64, is_more: bool, is_conjunction: bool, ) -> PriceCondition { // Conditions have to be created via the OrderCondition.create let mut price_condition: PriceCondition = create_condition(ConditionType::Price).into(); // When this contract... price_condition.contract_condition.con_id = con_id; // traded on this exchange price_condition.contract_condition.exchange = exchange.to_string(); // has a price above/below price_condition .contract_condition .operator_condition .is_more = is_more; price_condition.trigger_method = FromPrimitive::from_i32(trigger_method).unwrap(); // this quantity price_condition.price = price; // AND | OR next condition (will be ignored if no more conditions are added) price_condition .contract_condition .operator_condition .order_condition .is_conjunction_connection = is_conjunction; price_condition } //================================================================================================== pub fn execution_condition( symbol: &str, sec_type: &str, exchange: &str, is_conjunction: bool, ) -> ExecutionCondition { let mut exec_condition: ExecutionCondition = create_condition(ConditionType::Execution).into(); // When an execution on symbol exec_condition.symbol = symbol.to_string(); // at exchange exec_condition.exchange = exchange.to_string(); // for this sec_type exec_condition.sec_type = sec_type.to_string(); // AND | OR next condition (will be ignored if no more conditions are added) exec_condition.order_condition.is_conjunction_connection = is_conjunction; exec_condition.order_condition.cond_type = ConditionType::Execution; exec_condition } //================================================================================================== pub fn margin_condition(percent: f64, is_more: bool, is_conjunction: bool) -> MarginCondition { let mut margin_condition: MarginCondition = create_condition(ConditionType::Margin).into(); // If margin is above/below margin_condition.operator_condition.is_more = is_more; // given percent margin_condition.percent = percent; // AND | OR next condition (will be ignored if no more conditions are added) margin_condition .operator_condition .order_condition .is_conjunction_connection = is_conjunction; margin_condition .operator_condition .order_condition .cond_type = ConditionType::Margin; margin_condition } //================================================================================================== pub fn percentage_change_condition( pct_change: f64, con_id: i32, exchange: &str, is_more: bool, is_conjunction: bool, ) -> PercentChangeCondition { let mut pct_change_condition: PercentChangeCondition = create_condition(ConditionType::Execution).into(); // If there is a price percent change measured against last close price above or below... pct_change_condition .contract_condition .operator_condition .is_more = is_more; // this amount... pct_change_condition.change_percent = pct_change; // on this contract pct_change_condition.contract_condition.con_id = con_id; // when traded on this exchange... pct_change_condition.contract_condition.exchange = exchange.to_string(); // AND | OR next condition (will be ignored if no more conditions are added) pct_change_condition .contract_condition .operator_condition .order_condition .is_conjunction_connection = is_conjunction; pct_change_condition .contract_condition .operator_condition .order_condition .cond_type = ConditionType::PercentChange; pct_change_condition } //================================================================================================== pub fn time_condition(time: &str, is_more: bool, is_conjunction: bool) -> TimeCondition { let mut time_condition: TimeCondition = create_condition(ConditionType::Time).into(); // Before or after... time_condition.operator_condition.is_more = is_more; // this time.. time_condition.time = time.to_string(); // AND | OR next condition (will be ignored if no more conditions are added) time_condition .operator_condition .order_condition .is_conjunction_connection = is_conjunction; time_condition.operator_condition.order_condition.cond_type = ConditionType::Time; time_condition } //================================================================================================== pub fn volume_condition( con_id: i32, exchange: &str, is_more: bool, volume: i32, is_conjunction: bool, ) -> VolumeCondition { let mut vol_cond: VolumeCondition = create_condition(ConditionType::Volume).into(); // Whenever contract... vol_cond.contract_condition.con_id = con_id; // When traded at vol_cond.contract_condition.exchange = exchange.to_string(); // reaches a volume higher/lower vol_cond.contract_condition.operator_condition.is_more = is_more; // than this... vol_cond.volume = volume; // AND | OR next condition (will be ignored if no more conditions are added) vol_cond .contract_condition .operator_condition .order_condition .is_conjunction_connection = is_conjunction; vol_cond .contract_condition .operator_condition .order_condition .cond_type = ConditionType::Volume; vol_cond } //================================================================================================== pub fn what_if_limit_order(action: &str, quantity: f64, limit_price: f64) -> Order { let mut order = limit_order(action, quantity, limit_price); order.what_if = true; order }