TradeWright TWSAPI

Introduction

This project is an alternative to the TWSAPI published by Interactive Brokers (IBKR).

It is .Net-based, and can be used from any language that runs on .Net.

It is currently broadly equivalent in functionality to the 9.73 version of the IBKR implementation as of June 2017, and will be updated to be fully equivalent to the latest version in due course.

It is targetted at .Net Standard 2.0, which enables it to be used with .Net implementations on other platforms (eg Windows universal apps, Linux and macOS). However it has not yet been tested on platforms other than Windows Desktop.

Overview

This implementation makes heavy use of asynchronous Tasks, allowing it to be run on the main thread of a Windows Forms or Windows Presentation Foundation application. Not only does this not involve any additional thread creation, but it also means that all API callbacks or events happen on the program's main thread, so that synchronisation issues are non-existent (unless the program needs to use other threads for its own purposes).

The API can also be used in command-line applications.

API callbacks can be delivered in several ways:

• through the .Net event mechanism. This is the simplest way, and is exactly equivalent to consuming events from .Net user interface controls

• by registering a class that inherits from the 'EventSource' class and overrides the various OnXXX methods

• by registering a class that inherits from the abstract CallbackHandler class and overrides the callback methods

• by registering classes that implement various interfaces relating to different aspecst of API operation, such as IConnectionStatusConsumer and IMarketDataConsumer

Sample Applications

Several sample applications are provided, which illustrate various aspects of using the API:

• SimpleTWSAPIDemo: shows the basics of using the API by means of the EventSource. This sample displays market data, market depth data, and allows simple orders to be submitted and managed.

• ApiLoadTestTW: starts market data streams for many contracts, and collects performance data which is displayed to the user

• ApiLoadTestIB: this does the same as ApiLoadTestTW, but uses IBKR's own CSharp API implementation. Running the two side by sides demonstrates the considerably better performance of the TradeWright API compared with IBKR's

• ApiLoadTestTW-VB6: this version uses the TWSAPI implementation from the original TradeBuild Platform, which is written in Visual Basic 6, and again provides a useful comparison with this .Net implementation

• Ib_VB_API_Sample: this is based on IBKR's own Visual Basic sample application, but has been heavily modified to use the TradeWright API, and to generally improve the rather poor code of IBKR's version.

Releases

Releases provide the following:

• Microsoft Installer files (.msi) that install the API library in a convenient location for use by developers, together with the compiled sample applications.

• A Nuget package, to simplify inclusion into Visual Studio projects.

In general releases are named to follow IBKR's versions, for example 9.73.nn, where the patch number nn will be specific to this implementation and will be incremented as required.