wrapper.jl

const callbacks = [:tickPrice,
                   :tickSize,
                   :tickOptionComputation,
                   :tickGeneric,
                   :tickString,
                   :tickEFP,
                   :orderStatus,
                   :openOrder,
                   :openOrderEnd,
#                  :winError,
#                  :connectionClosed,
                   :updateAccountValue,
                   :updatePortfolio,
                   :updateAccountTime,
                   :accountDownloadEnd,
                   :nextValidId,
                   :contractDetails,
                   :bondContractDetails,
                   :contractDetailsEnd,
                   :execDetails,
                   :execDetailsEnd,
                   :error,
                   :updateMktDepth,
                   :updateMktDepthL2,
                   :updateNewsBulletin,
                   :managedAccounts,
                   :receiveFA,
                   :historicalData,
                   :scannerParameters,
                   :scannerData,
                   :realtimeBar,
                   :currentTime,
                   :fundamentalData,
                   :deltaNeutralValidation,
                   :tickSnapshotEnd,
                   :marketDataType,
                   :commissionReport,
                   :position,
                   :positionEnd,
                   :accountSummary,
                   :accountSummaryEnd,
                   :verifyMessageAPI,
                   :verifyCompleted,
                   :displayGroupList,
                   :displayGroupUpdated,
                   :verifyAndAuthMessageAPI,
                   :verifyAndAuthCompleted,
#                  :connectAck,
                   :positionMulti,
                   :positionMultiEnd,
                   :accountUpdateMulti,
                   :accountUpdateMultiEnd,
                   :securityDefinitionOptionalParameter,
                   :securityDefinitionOptionalParameterEnd,
                   :softDollarTiers,
                   :familyCodes,
                   :symbolSamples,
                   :mktDepthExchanges,
                   :tickNews,
                   :smartComponents,
                   :tickReqParams,
                   :newsProviders,
                   :newsArticle,
                   :historicalNews,
                   :historicalNewsEnd,
                   :headTimestamp,
                   :histogramData,
                   :historicalDataUpdate,
                   :rerouteMktDataReq,
                   :rerouteMktDepthReq,
                   :marketRule,
                   :pnl,
                   :pnlSingle,
                   :historicalTicks,
                   :historicalTicksBidAsk,
                   :historicalTicksLast,
                   :tickByTickAllLast,
                   :tickByTickBidAsk,
                   :tickByTickMidPoint,
                   :orderBound,
                   :completedOrder,
                   :completedOrdersEnd,
                   :replaceFAEnd,
                   :wshMetaData,
                   :wshEventData,
                   :historicalSchedule,
                   :userInfo]


struct Wrapper
  cb::Dict{Symbol,Function}

  function Wrapper(; kw...)

    cb = Dict{Symbol,Function}(kw)

    x = setdiff(keys(cb), callbacks)

    isempty(x) || error("unknown callback $x")

    new(cb)
  end
end


Base.getproperty(w::Wrapper, name::Symbol) = get(getfield(w, :cb), name) do

                                                  if name ∈ callbacks
                                                    @info "undefined callback" name
                                                  else
                                                    @error "unknown callback" name
                                                  end

                                                  # Noop
                                                  (_...) -> nothing
                                                end


Base.propertynames(w::Wrapper) = getfield(w, :cb) |> keys |> collect


function Base.setproperty!(w::Wrapper, name::Symbol, f)

  name ∈ callbacks || error("unknown callback $name")

  getfield(w, :cb)[name] = f
end


function simple_wrap()

  d = Dict{Symbol,Any}()

  w = Wrapper(

    tickPrice= (tickerId::Int, field::String, price::Union{Float64,Nothing}, size::Union{Float64,Nothing}, attrib::TickAttrib) ->
                 println("tickPrice: $tickerId $field $(something(price, "NA")) $(something(size, "NA")) $attrib"),

    tickSize= (tickerId::Int, field::String, size::Float64) -> println("tickSize: $tickerId $field $size"),

    tickOptionComputation= function(tickerId::Int, tickType::String, tickAttrib::Int, impliedVol::Union{Float64,Nothing}, delta::Union{Float64,Nothing}, optPrice::Union{Float64,Nothing}, pvDividend::Union{Float64,Nothing}, gamma::Union{Float64,Nothing}, vega::Union{Float64,Nothing}, theta::Union{Float64,Nothing}, undPrice::Union{Float64,Nothing})
                             d[:option] = (tickType, tickAttrib, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice)
                             println("tickOption: $tickerId $tickType")
                           end,

    tickGeneric= (tickerId::Int, tickType::String, value::Float64) ->
                   println("tickGeneric: $tickerId $tickType $value"),

    tickString= (tickerId::Int, tickType::String, value::String) ->
                  println("tickString: $tickerId $tickType $value"),

    orderStatus= function(orderId::Int, status::String, filled::Float64, remaining::Float64, avgFillPrice::Float64, permId::Int, parentId::Int, lastFillPrice::Float64, clientId::Int, whyHeld::String, mktCapPrice::Float64)
                   d[:orderstatus] = (orderId=       orderId,
                                      status=        status,
                                      filled=        filled,
                                      remaining=     remaining,
                                      avgFillPrice=  avgFillPrice,
                                      permId=        permId,
                                      lastFillPrice= lastFillPrice,
                                      clientId=      clientId,
                                      whyHeld=       whyHeld,
                                      mktCapPrice=   mktCapPrice)
                   println("orderStatus: $orderId $status")
                 end,

    openOrder= function(orderId::Int, contract::Contract, order::Order, orderstate::OrderState)
                 d[:order_contract] = contract
                 d[:order] = order
                 d[:orderstate] = orderstate
                 println("openOrder: $orderId $(orderstate.status)")
              end,

    openOrderEnd= () -> println("openOrderEnd"),

    updateAccountValue= (key::String, val::String, currency::String, accountName::String) ->
                          println("accountValue: $key $val $currency $accountName"),

    updatePortfolio= (contract::Contract, position::Float64, marketPrice::Float64, marketValue::Float64, averageCost::Float64, unrealizedPNL::Float64, realizedPNL::Float64, accountName::String) ->
                       println("portfolio:  $(contract.symbol) $position $marketPrice $marketValue $averageCost $unrealizedPNL $realizedPNL $accountName"),

    updateAccountTime= (timeStamp::String) -> println("accountTime: $timeStamp"),

    accountDownloadEnd= (accountName::String) -> println("accountDownloadEnd: $accountName"),

    nextValidId= (orderId::Int) -> d[:nextId] = orderId,

    contractDetails = function(reqId::Int, contractDetails::ContractDetails)
                        d[:cd] = contractDetails
                        println("contractDetails: $reqId $(contractDetails.contract.conId) $(contractDetails.contract.localSymbol)")
                      end,

    bondContractDetails = function(reqId::Int, contractDetails::ContractDetails)
                            d[:cdbond] = contractDetails
                            println("bondContractDetails: $reqId $(contractDetails.contract.conId) $(contractDetails.contract.exchange) $(contractDetails.descAppend)")
                          end,

    contractDetailsEnd= (reqId::Int) -> println("contractDetailsEnd: $reqId"),

    execDetails= function(reqId::Int, contract::Contract, execution::Execution)
                   d[:ex_con] = contract
                   d[:execution] = execution
                   println("execDetails: $reqId")
                 end,

    execDetailsEnd= (reqId::Int) -> println("execDetailsEnd: $reqId"),

    error= (id::Union{Int,Nothing}, errorTime::Int, errorCode::Union{Int,Nothing}, errorString::String, advancedOrderRejectJson::String) ->
             println("error: ",
                     something(id, "NA"), " ",
                     errorTime, " ",
                     something(errorCode, "NA"), " ",
                     errorString, " ",
                     advancedOrderRejectJson),

    updateMktDepth= (id::Int, position::Int, operation::Int, side::Int, price::Float64, size::Float64) ->
                      println("mktDepth: $id $position $operation $side $price $size"),

    updateMktDepthL2= (id::Int, position::Int, marketMaker::String, operation::Int, side::Int, price::Float64, size::Float64, isSmartDepth::Bool) ->
                        println("mktDepthL2: $id $position $marketMaker $operation $side $price $size $isSmartDepth"),

    updateNewsBulletin= function(msgId::Int, msgType::Int, newsMessage::String, originExch::String)
                          d[:newsbulletin] = newsMessage
                          println("newsBulletin: $msgId $msgType $originExch")
                          println(newsMessage)
                        end,

    managedAccounts= (accountsList::String) -> d[:accounts] = accountsList,

    receiveFA= function(faDataType::FaDataType, xml::String)
                 d[:fa] = xml
                 println("receiveFA: $faDataType")
               end,

    historicalData= function(reqId::Int, bars::VBar)
                      d[:history] = bars
                      println("historicalData: $reqId $(length(bars))")
                    end,

    scannerParameters= function(xml::String)
                         d[:scannerparam] = xml
                         println("scannerParameters")
                       end,

    scannerData= function(reqId::Int, rank::Vector{Int}, contractDetails::Vector{ContractDetails}, distance::Vector{String}, benchmark::Vector{String}, projection::Vector{String}, legsStr::Vector{String})
                   d[:scannerdata] = (rank=       rank,
                                      cd=         contractDetails,
                                      distance=   distance,
                                      benchmark=  benchmark,
                                      projection= projection,
                                      legsStr=    legsStr)
                   println("scannerData: $reqId $(length(rank))")
                 end,

    realtimeBar= (reqId::Int, time::Int, open::Float64, high::Float64, low::Float64, close::Float64, volume::Float64, wap::Float64, count::Int) ->
                   println("realtimeBar: $reqId $time $open $high, $low $close $volume $wap $count"),

    currentTime= (time::Int) -> println("currentTime: $time"),

    fundamentalData= function(reqId::Int, data::String)
                       d[:fundamental] = data
                       println("fundamentalData: $reqId")
                     end,

    tickSnapshotEnd= (reqId::Int) -> println("tickSnapshotEnd: $reqId"),

    marketDataType= (reqId::Int, marketDataType::MarketDataType) -> println("marketDataType: $reqId $marketDataType"),

    commissionReport= function(commissionReport::CommissionReport)
                        d[:commission] = commissionReport
                        println("commissionReport")
                      end,

    position= (account::String, contract::Contract, position::Float64, avgCost::Float64) ->
                println("position: $account $(contract.symbol) $position $avgCost"),

    positionEnd= () -> println("positionEnd"),

    accountSummary= (reqId::Int, account::String, tag::String, value::String, currency::String) -> println("accountSummary: $reqId $account $tag $value $currency"),

    accountSummaryEnd= (reqId::Int) -> println("accountSummaryEnd: $reqId"),

    displayGroupList= (reqId::Int, groups::String) -> println("displayGroupList: $reqId $groups"),

    displayGroupUpdated= (reqId::Int, contractInfo::String) -> println("displayGroupUpdated: $reqId $contractInfo"),

    positionMulti= (reqId::Int, account::String, modelCode::String, contract::Contract, position::Float64, avgCost::Float64) ->
                     println("positionMulti: $reqId $account $modelCode $(contract.symbol) $position $avgCost"),

    positionMultiEnd= (reqId::Int) -> println("positionMultiEnd $reqId"),

    accountUpdateMulti= (reqId::Int, account::String, modelCode::String, key::String, value::String, currency::String) -> println("accountUpdateMulti: $reqId $account, $modelCode $key=$value $currency"),

    accountUpdateMultiEnd= (reqId::Int) -> println("accountUpdateMultiEnd: $reqId"),

    securityDefinitionOptionalParameter= function(reqId::Int, exchange::String, underlyingConId::Int, tradingClass::String, multiplier::String, expirations::Vector{String}, strikes::Vector{Float64})
                                           d[:sdop] = (e= expirations,
                                                       s= strikes)
                                           println("sdop: $reqId $exchange $underlyingConId $tradingClass $multiplier $(length(expirations)) $(length(strikes))")
                                         end,

    securityDefinitionOptionalParameterEnd= (reqId::Int) -> println("sdopEnd: $reqId"),

    softDollarTiers= function(reqId::Int, tiers::Vector{SoftDollarTier})
                       d[:softdollar] = tiers
                       println("softDollarTiers: $reqId $(length(tiers))")
                     end,

    familyCodes= function(familyCodes::VFamilyCode)
                   d[:familycodes] = familyCodes
                   println("familyCodes: $(length(familyCodes))")
                 end,

    symbolSamples= function(reqId::Int, contractDescriptions::Vector{ContractDescription})
                     d[:symbolsamples] = contractDescriptions
                     println("symbolSamples: $reqId $(length(contractDescriptions))")
                   end,

    mktDepthExchanges= function(depthMktDataDescriptions::VDepthMktDataDescription)
                         d[:mktdepthexchanges] = depthMktDataDescriptions
                         println("mktDepthExchanges: $(length(depthMktDataDescriptions))")
                       end,

    tickNews= (tickerId::Int, timeStamp::Int, providerCode::String, articleId::String, headline::String, extraData::String) ->
                println("tickNews: $tickerId $timeStamp $providerCode $articleId $headline $extraData"),

    smartComponents= function(reqId::Int, theMap::VSmartComponent)
                       d[:smartcomponents] = theMap
                       println("smartComponents: $reqId $(length(theMap))")
                     end,

    tickReqParams= (tickerId::Int, minTick::Union{Float64,Nothing}, bboExchange::String, snapshotPermissions::Int) ->
                     println("tickReqParams: $tickerId ",
                             something(minTick, "NA"),
                             " $bboExchange $snapshotPermissions"),

    newsProviders= function(newsProviders::VNewsProvider)
                     d[:newsproviders] = newsProviders
                     println("newsProviders: $(length(newsProviders))")
                   end,

    newsArticle= function(requestId::Int, articleType::Int, articleText::String)
                   d[:newsarticle] = articleText
                   println("newsArticle: $requestId $articleType")
                 end,

    historicalNews= function(requestId::Int, time::String, providerCode::String, articleId::String, headline::String)
                      println("historicalNews: $requestId $time $providerCode $articleId $headline")
                    end,

    historicalNewsEnd= (requestId::Int, hasMore::Bool) -> println("historicalNewsEnd: $requestId $hasMore"),

    headTimestamp= (reqId::Int, headTimestamp::String) -> println("headTimestamp: $reqId $headTimestamp"),

    histogramData= function(reqId::Int, data::VHistogramEntry)
                     d[:histogram] = data
                     println("histogramData: $reqId $(length(data))")
                   end,

    historicalDataUpdate= (reqId::Int, bar::Bar) ->
                            println("historicalDataUpdate: $reqId $bar"),

    rerouteMktDataReq= (reqId::Int, conid::Int, exchange::String) ->
                         println("rerouteMktDataReq: $reqId $conid $exchange"),

    rerouteMktDepthReq= (reqId::Int, conid::Int, exchange::String) ->
                          println("rerouteMktDepthReq: $reqId $conid $exchange"),

    marketRule= function(marketRuleId::Int, priceIncrements::VPriceIncrement)
                  d[:marketrule] = priceIncrements
                  println("marketRule: $marketRuleId $(length(priceIncrements))")
                end,

    pnl= (reqId::Int, dailyPnL::Float64, unrealizedPnL::Float64, realizedPnL::Float64) ->
           println("pnl: $reqId $dailyPnL $unrealizedPnL $realizedPnL"),

    pnlSingle= (reqId::Int, pos::Int, dailyPnL::Float64, unrealizedPnL::Union{Float64,Nothing}, realizedPnL::Union{Float64,Nothing}, value::Float64) ->
                 println("pnlSingle: $reqId $pos $dailyPnL ",
                         something(unrealizedPnL, "NA"), " ",
                         something(realizedPnL, "NA"),   " ",
                         value),

    historicalTicks= function(reqId::Int, ticks::VHistoricalTick, done::Bool)
                       d[:historyticks] = ticks
                       println("historicalTicks: $reqId $done $(length(ticks))")
                     end,

    historicalTicksBidAsk= function(reqId::Int, ticks::VHistoricalTickBidAsk, done::Bool)
                             d[:historyticksbidask] = ticks
                             println("historicalTicksBidAsk: $reqId $done $(length(ticks))")
                           end,

    historicalTicksLast= function(reqId::Int, ticks::VHistoricalTickLast, done::Bool)
                           d[:historytickslast] = ticks
                           println("historicalTicksLast: $reqId $done $(length(ticks))")
                         end,

    tickByTickAllLast= (reqId::Int, tickType::Int, time::Int, price::Float64, size::Float64, attribs::TickAttribLast, exchange::String, specialConditions::String) ->
                         println("tickByTickAllLast: $reqId $tickType $time $price $size $attribs $exchange $specialConditions"),

    tickByTickBidAsk= (reqId::Int, time::Int, bidPrice::Float64, askPrice::Float64, bidSize::Float64, askSize::Float64, attribs::TickAttribBidAsk) ->
                        println("tickByTickBidAsk: $reqId $time $bidPrice $askPrice $bidSize $askSize $attribs"),

    tickByTickMidPoint= (reqId::Int, time::Int, midPoint::Float64) ->
                          println("tickByTickMidPoint: $reqId $time $midPoint"),

    orderBound= (permId::Int, clientId::Int, orderId::Int) ->
                  println("orderBound: $permId $clientId $orderId"),

    completedOrder= function(contract::Contract, order::Order, orderState::OrderState)
                      d[:completed_contract] = contract
                      d[:completed] = order
                      d[:completed_state] = orderState
                      println("completedOrder: $(contract.symbol) $(orderState.status)")
                    end,

    completedOrdersEnd= () -> println("completedOrdersEnd"),

    replaceFAEnd= (reqId::Int, text::String) -> println("replaceFAEnd: $reqId $text"),

    wshMetaData= (reqId::Int, dataJson::String) -> println("wshMetaData: $reqId $dataJson"),

    wshEventData= (reqId::Int, dataJson::String) -> println("wshEventData: $reqId $dataJson"),

    historicalSchedule= function(reqId::Int, startDateTime::String, endDateTime::String, timeZone::String, sessions::VHistoricalSession)
                          d[:schedule] = sessions
                          println("historicalSchedule: $reqId $startDateTime $endDateTime $timeZone")
                        end,

    userInfo= (reqId::Int, whiteBrandingId::String) -> println("userInfo: $reqId $whiteBrandingId")
  )

  d, w
end