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试图创造一种市场扫描仪。下面的代码应该返回期权合约链。调用 TWS API 是一种异步方法，仅当我从 TWS 收到 ContractEnd 或 Error 响应时才返回一些数据。在第一次调用 reqContractDetails() 时，它按预期工作，我得到合同列表，接收消息“ContractEnd”，然后退出该方法。

障碍

出于某种原因，在第二次调用 reqContractDetails() 时，我没有收到来自 TWS 的任何通知。我必须停止并重新启动我的应用程序，启动与服务器的新连接以使其再次工作。

更新

重构我的代码后，我在第二次调用时收到一个错误，上面写着“无法读取超出流的末尾”。调用堆栈看起来是这样的。

IBLibrary.dll!IBLibrary.OptionService.GetOptionsChain.AnonymousMethod__3(IBLibrary.Messages.ErrorMessage data) Line 64
IBLibrary.dll!IBLibrary.Classes.Client.error(string str) Line 42
CSharpAPI.dll!IBApi.EReader.putMessageToQueue() Line 94
CSharpAPI.dll!IBApi.EReader.Start.AnonymousMethod__9_0() Line 48

我在 C# 中的包装器实现

public class BaseService : IDisposable
{
  protected Client Sender { get; set; }
  protected EReader Receiver { get; set; }

  public BaseService()
  {
    Sender = new Client();
    Sender.Socket.eConnect("127.0.0.1", 7496, 0);
    Receiver = new EReader(Sender.Socket, Sender.Signal);
    Receiver.Start();

    var process = new Thread(() =>
    {
      while (Sender.Socket.IsConnected())
      {
        Sender.Signal.waitForSignal();
        Receiver.processMsgs();
      }
    })
    {
      IsBackground = true
    };

    process.Start();
  }

  public void Dispose()
  {
    Sender.Socket.eDisconnect();
  }
}

public class OptionService : BaseService
{
  public Task<List<OptionModel>> GetOptionsChain(OptionModel query)
  {
    if (query == null)
    {
      query = new OptionModel();
    }

    var process = Task.Run(() =>
    {
      var done = false;
      var id = new Random(DateTime.Now.Millisecond).Next();

      var contract = new Contract
      {
        Symbol = query.Symbol,
        SecType = "OPT",
        Exchange = "SMART",
        Currency = "USD",
        LastTradeDateOrContractMonth = query.Expiration
      };

      var contracts = new List<OptionModel>();

      Action<ErrorMessage> errorMessage = null;
      Action<ContractDetailsMessage> contractMessage = null;
      Action<ContractDetailsEndMessage> contractMessageEnd = null;

      contractMessage = (ContractDetailsMessage data) =>
      {
        contracts.Add(new OptionModel
        {
          Symbol = data.ContractDetails.Contract.Symbol,
          Right = data.ContractDetails.Contract.Right,
          Strike = data.ContractDetails.Contract.Strike,
          Expiration = data.ContractDetails.RealExpirationDate
        });
      };

      // I receive this message at first, but not the second time

      contractMessageEnd = (ContractDetailsEndMessage data) =>
      {
        done = true;
      };

      errorMessage = (ErrorMessage data) =>
      {
        var notifications = new List<int>
        {
          (int) ErrorCode.MarketDataFarmConnectionIsOK,
          (int) ErrorCode.HmdsDataFarmConnectionIsOK
        };

        if (notifications.Contains(data.ErrorCode) == false)
        {
          done = true;
        }
      };

      Sender.ErrorEvent += errorMessage;
      Sender.ContractDetailsEvent += contractMessage;
      Sender.ContractDetailsEndEvent += contractMessageEnd;
      Sender.Socket.reqContractDetails(id, contract);

      // Execute method until we get all contracts
      // The econd call to reqContractDetails doesn't return 
      // any notification, so obviously this line hangs forever

      while (done == false);

      Sender.ErrorEvent -= errorMessage;
      Sender.ContractDetailsEvent -= contractMessage;
      Sender.ContractDetailsEndEvent -= contractMessageEnd;

      return contracts;
    });

    return process;
  }
}
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1 回答 1

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至于没有人知道答案，即使是 IB 本身，我看到的唯一解决方案是将我的 API 控制器转换为同步控制器，并在每次请求后关闭与 IB 服务器的套接字连接。

旧版。

public class ServiceOptionsController : BaseServiceController
{
  OptionService Service = new OptionService();

  [AcceptVerbs("POST")]
  public async Task<List<OptionModel>> Options([FromBody] dynamic data)
  {
    var selectors = data.ToObject<QueryModel>();

    var optionModel = new OptionModel
    {
      Symbol = "MSFT",
      Expiration = "201806"
    };

    var processes = new List<Task<List<OptionModel>>>
    {
      Service.GetOptionsChain(optionModel)
    };

    return (await Task.WhenAll(processes)).SelectMany(o => o).ToList();
  }
}

工作版。

public class ServiceOptionsController : BaseServiceController
{
  [AcceptVerbs("POST")]
  public List<OptionModel> Options([FromBody] dynamic data)
  {
    var selectors = data.ToObject<QueryModel>();

    var optionModel = new OptionModel
    {
      Symbol = "MSFT",
      Expiration = "201806"
    };

    var optionService = new OptionService();

    var processes = new List<Task<List<OptionModel>>>
    {
      optionService.GetOptionsChain(optionModel)
    };

    var items = Task.WhenAll(processes).Result.SelectMany(o => o).ToList();

    optionService.Dispose(); // Ridiculous fix for ridiculous API

    return items;
  }
}
于 2018-06-07T00:13:27.810 回答