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Major changes to Order Entry, Option/Futures Assignment, Reconciliati…
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…on, and GUI elements. May possibly affect quantiry values of some transactions already entered in your database.
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@PaulSquires
PaulSquires committed Aug 18, 2023
1 parent b9d11ea commit af5d45d
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Showing 20 changed files with 191 additions and 129 deletions.
57 changes: 40 additions & 17 deletions IB-Tracker/src/ActiveTrades/ActiveTrades.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -157,18 +157,18 @@ void ActiveTrades_ShowActiveTrades()

// Create the new ListBox line data and initiate the new market data.
int categoryHeader = -1;
for (const auto& trade : trades) {
for (auto& trade : trades) {
// We are displaying only open trades
if (trade->isOpen) {
// Set the decimals for this tickerSymbol. Most will be 2 but futures can have a lot more.
trade->tickerDecimals = GetTickerDecimals(trade->tickerSymbol);

if (trade->category != categoryHeader) {
ListBoxData_AddCategoryHeader(hListBox, trade);
categoryHeader = trade->category;
}
ListBoxData_OpenPosition(hListBox, trade, tickerId);

// Set the decimals for this tickerSymbol. Most will be 2 but futures can have a lot more.
trade->tickerDecimals = GetTickerDecimals(trade->tickerSymbol);

tickerId++;
if (tickerId > 500) tickerId = 100;
}
Expand Down Expand Up @@ -208,6 +208,8 @@ void ActiveTrades_ShowActiveTrades()
ListBox_SetSel(hListBox, true, curSel);
ActiveTrades_ShowListBoxItem(curSel);

RECT rc; GetClientRect(HWND_ACTIVETRADES, &rc);
ActiveTrades_OnSize(HWND_ACTIVETRADES, 0, rc.right, rc.bottom);

SetFocus(hListBox);

Expand Down Expand Up @@ -361,22 +363,25 @@ void ActiveTrades_CalledAwayAssignment(
std::shared_ptr<Transaction> trans;
std::shared_ptr<Leg> newleg;

bool isShares = (trade->tickerSymbol.substr(0, 1) == L"/") ? false : true;
bool isShares = (IsFuturesTicker(trade->tickerSymbol)) ? false : true;

int QuantityAssigned = 0;
int NumLegQuantity = 0;
double multiplier = 1;

std::wstring msg = L"Continue with OPTION ASSIGNMENT?\n\n";

if (isShares == true) {
QuantityAssigned = min(abs(leg->openQuantity * 100), abs(NumSharesAggregate));
NumLegQuantity = QuantityAssigned / 100;
msg += std::to_wstring(QuantityAssigned) + L" shares called away at $" + leg->strikePrice + L" per share.";
multiplier = 1;
}
else {
QuantityAssigned = min(abs(leg->openQuantity), abs(NumFuturesAggregate));
NumLegQuantity = QuantityAssigned;
msg += std::to_wstring(QuantityAssigned) + L" futures called away at $" + leg->strikePrice + L" per future.";
multiplier = trade->multiplier;
}
NumLegQuantity = (leg->openQuantity < 0) ? NumLegQuantity * -1 : NumLegQuantity;

Expand Down Expand Up @@ -420,8 +425,8 @@ void ActiveTrades_CalledAwayAssignment(
trans->description = L"Called away";
trans->underlying = (isShares == true) ? L"SHARES" : L"FUTURES";
trans->quantity = QuantityAssigned;
trans->price = stod(leg->strikePrice);
trans->multiplier = 1;
trans->price = AfxValDouble(leg->strikePrice);
trans->multiplier = multiplier;
trans->fees = 0;
trade->Transactions.push_back(trans);

Expand All @@ -435,14 +440,14 @@ void ActiveTrades_CalledAwayAssignment(
newleg->action = L"BTC";
newleg->origQuantity = QuantityAssigned;
newleg->openQuantity = QuantityAssigned;
trans->total = trans->quantity * trans->price * -1; // DR
trans->total = trans->quantity * multiplier * trans->price * -1; // DR
trade->ACB = trade->ACB + trans->total;
}
else {
newleg->action = L"STC";
newleg->origQuantity = QuantityAssigned * -1;
newleg->openQuantity = QuantityAssigned * -1;
trans->total = trans->quantity * trans->price; // CR
trans->total = trans->quantity * multiplier * trans->price; // CR
trade->ACB = trade->ACB + trans->total;
}

Expand Down Expand Up @@ -477,16 +482,19 @@ void ActiveTrades_Assignment(auto trade, auto leg)
bool isShares = (trade->tickerSymbol.substr(0,1) == L"/") ? false : true;

int QuantityAssigned = 0;
double multiplier = 1;

std::wstring wszLongShort = (leg->PutCall == L"P") ? L"LONG " : L"SHORT ";
std::wstring msg = L"Continue with OPTION ASSIGNMENT?\n\n";

if (isShares == true) {
QuantityAssigned = abs(leg->openQuantity * 100);
multiplier = 1;
msg += wszLongShort + std::to_wstring(QuantityAssigned) + L" shares at $" + leg->strikePrice + L" per share.";
}
else {
QuantityAssigned = abs(leg->openQuantity);
multiplier = trade->multiplier;
msg += wszLongShort + std::to_wstring(QuantityAssigned) + L" futures at $" + leg->strikePrice + L" per future.";
}

Expand Down Expand Up @@ -530,8 +538,8 @@ void ActiveTrades_Assignment(auto trade, auto leg)
trans->description = L"Assignment";
trans->underlying = (isShares == true) ? L"SHARES" : L"FUTURES";
trans->quantity = QuantityAssigned;
trans->price = stod(leg->strikePrice);
trans->multiplier = 1;
trans->price = AfxValDouble(leg->strikePrice);
trans->multiplier = multiplier;
trans->fees = 0;
trade->Transactions.push_back(trans);

Expand All @@ -545,14 +553,14 @@ void ActiveTrades_Assignment(auto trade, auto leg)
newleg->action = L"BTO";
newleg->origQuantity = QuantityAssigned;
newleg->openQuantity = QuantityAssigned;
trans->total = trans->quantity * trans->price * -1; // DR
trans->total = trans->quantity * multiplier * trans->price * -1; // DR
trade->ACB = trade->ACB + trans->total;
}
else {
newleg->action = L"STO";
newleg->origQuantity = QuantityAssigned * -1;
newleg->openQuantity = QuantityAssigned * -1;
trans->total = trans->quantity * trans->price; // CR
trans->total = trans->quantity * multiplier * trans->price; // CR
trade->ACB = trade->ACB + trans->total;
}

Expand Down Expand Up @@ -673,10 +681,16 @@ void ActiveTrades_RightClickMenu(HWND hListBox, int idx)

bool IsTickerLine = false;

// Clear the tdd module global trade variable
tdd.ResetDefaults();

int nCurSel = ListBox_GetCurSel(hListBox);
ListBoxData* ld = (ListBoxData*)ListBox_GetItemData(hListBox, nCurSel);
if (ld->trade == nullptr) return;

trade = ld->trade;
tdd.trade = ld->trade;
tdd.trans = ld->trans;
tdd.sharesAggregateEdit = ld->AggregateShares;

if (nCount == 1) {
Expand Down Expand Up @@ -726,8 +740,12 @@ void ActiveTrades_RightClickMenu(HWND hListBox, int idx)
InsertMenu(hMenu, 0, MF_BYCOMMAND | MF_STRING | MF_ENABLED, (int)TradeAction::AddPutToTrade, L"Add Put to Trade");
InsertMenu(hMenu, 0, MF_BYCOMMAND | MF_STRING | MF_ENABLED, (int)TradeAction::AddCallToTrade, L"Add Call to Trade");
InsertMenu(hMenu, 0, MF_BYCOMMAND | MF_SEPARATOR | MF_ENABLED, (int)TradeAction::NoAction + 3, L"");
InsertMenu(hMenu, 0, MF_BYCOMMAND | MF_STRING | MF_ENABLED, (int)TradeAction::AddSharesToTrade, L"Add Shares to Trade");
InsertMenu(hMenu, 0, MF_BYCOMMAND | MF_STRING | MF_ENABLED, (int)TradeAction::AddFuturesToTrade, L"Add Futures to Trade");

if (IsFuturesTicker(trade->tickerSymbol)) {
InsertMenu(hMenu, 0, MF_BYCOMMAND | MF_STRING | MF_ENABLED, (int)TradeAction::AddFuturesToTrade, L"Add Futures to Trade");
} else {
InsertMenu(hMenu, 0, MF_BYCOMMAND | MF_STRING | MF_ENABLED, (int)TradeAction::AddSharesToTrade, L"Add Shares to Trade");
}

POINT pt; GetCursorPos(&pt);
TradeAction selected =
Expand Down Expand Up @@ -959,6 +977,9 @@ void ActiveTrades_OnSize(HWND hwnd, UINT state, int cx, int cy)

int margin = AfxScaleY(ACTIVETRADES_MARGIN);

// If no entries exist for the ListBox then don't show any child controls
int showflag = (ListBox_GetCount(hListBox) <= 1) ? SWP_HIDEWINDOW : SWP_SHOWWINDOW;

HDWP hdwp = BeginDeferWindowPos(5);

// Move and size the top label into place
Expand All @@ -985,12 +1006,14 @@ void ActiveTrades_OnSize(HWND hwnd, UINT state, int cx, int cy)
int nTop = margin;
int nHeight = cy - nTop;
int nWidth = cx - CustomVScrollBarWidth;
hdwp = DeferWindowPos(hdwp, hListBox, 0, nLeft, nTop, nWidth, nHeight, SWP_NOZORDER | SWP_SHOWWINDOW);
hdwp = DeferWindowPos(hdwp, hListBox, 0, nLeft, nTop, nWidth, nHeight, SWP_NOZORDER | showflag);

nLeft = nLeft + nWidth; // right edge of ListBox
nWidth = CustomVScrollBarWidth;
int showscrollbar = (bShowScrollBar ? SWP_SHOWWINDOW : SWP_HIDEWINDOW);
if (showflag == SWP_HIDEWINDOW) showscrollbar = SWP_HIDEWINDOW;
hdwp = DeferWindowPos(hdwp, hCustomVScrollBar, 0, nLeft, nTop, nWidth, nHeight,
SWP_NOZORDER | (bShowScrollBar ? SWP_SHOWWINDOW : SWP_HIDEWINDOW));
SWP_NOZORDER | showflag);

EndDeferWindowPos(hdwp);
}
Expand Down
16 changes: 15 additions & 1 deletion IB-Tracker/src/Config/Config.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -75,10 +75,24 @@ std::unordered_map<std::wstring, std::wstring> mapMultipliers {
};

std::unordered_map<std::wstring, int> mapTickerDecimals {
{ L"/AUD", 5 }
{ L"/AUD", 5 },
{ L"/ZB", 3 },
{ L"/ZC", 3 },
{ L"/ZS", 4 }
};



// ========================================================================================
// Determine if the incoming ticker symbol is a Future.
// ========================================================================================
bool IsFuturesTicker(const std::wstring& wszTicker)
{
return (wszTicker.substr(0, 1) == L"/");
}



// ========================================================================================
// Get the Ticker Decimals for the incoming underlying.
// ========================================================================================
Expand Down
3 changes: 2 additions & 1 deletion IB-Tracker/src/Config/Config.h
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Original file line number Diff line number Diff line change
Expand Up @@ -26,7 +26,7 @@ SOFTWARE.

#pragma once

constexpr std::wstring version = L"1.2.1";
constexpr std::wstring version = L"2.0.0";

bool SaveConfig();
bool LoadConfig();
Expand All @@ -41,3 +41,4 @@ std::wstring GetCategoryDescription(int idxCategory);
void SetCategoryDescription(int idxCategory, std::wstring wszDescription);
bool GetStartupConnect();
void SetStartupConnect(bool bConnect);
bool IsFuturesTicker(const std::wstring& wszTicker);
1 change: 1 addition & 0 deletions IB-Tracker/src/CustomTextBox/CustomTextBox.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -466,6 +466,7 @@ std::wstring CustomTextBox_GetUserData(HWND hCtrl)
if (pData != nullptr) {
return pData->UserData;
}
return L"";
}


Expand Down
2 changes: 1 addition & 1 deletion IB-Tracker/src/Database/database.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -289,6 +289,7 @@ bool LoadDatabase()
leg->action = NumberToAction(try_catch_int(st, 8));
leg->underlying = NumberToUnderlying(try_catch_int(st, 9));
if (trans != nullptr) {
leg->trans = trans;
if (trade != nullptr) {
// Determine latest date for BP ROI calculation.
if (AfxValDouble(wszExpiryDate) > AfxValDouble(trade->BPendDate)) trade->BPendDate = wszExpiryDate;
Expand Down Expand Up @@ -317,7 +318,6 @@ bool LoadDatabase()
trade->ACB = 0;
for (const auto trans : trade->Transactions) {
trade->ACB = trade->ACB + trans->total;
trade->multiplier = trans->multiplier;
}
}

Expand Down
4 changes: 3 additions & 1 deletion IB-Tracker/src/Database/trade.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -79,8 +79,10 @@ void Trade::createOpenLegsVector()
openLegs.clear();

for (const auto &trans : Transactions) {
for (const auto &leg : trans->legs) {
if (trans->multiplier > 0) this->multiplier = trans->multiplier;
for (auto &leg : trans->legs) {
if (leg->isOpen()) {
leg->trans = trans;
openLegs.push_back(leg);
}
}
Expand Down
7 changes: 5 additions & 2 deletions IB-Tracker/src/Database/trade.h
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Original file line number Diff line number Diff line change
Expand Up @@ -36,6 +36,8 @@ SOFTWARE.
//


class Transaction; // forward declare


class Leg
{
Expand All @@ -51,6 +53,7 @@ class Leg
std::wstring action = L""; // STO,BTO,STC,BTC
std::wstring underlying = L""; // OPTIONS, STOCKS, FUTURES
bool isOpen(); // method to calc if leg quantity is not zero
std::shared_ptr<Transaction> trans = nullptr; // back pointer to transaction that this leg belongs to
};


Expand Down Expand Up @@ -83,7 +86,7 @@ class Trade
double ACB = 0;
double TradeBP = 0; // Buying Power for the entire trade
int nextLegID = 0; // Incrementing counter that gets unique ID for legs being generated in TransDetail.
double multiplier = 0; // Updated from Transaction and needed for updatePortfolio real time calculations
double multiplier = 0; // Retrieved from Transaction and needed for updatePortfolio real time calculations

double tickerLastPrice = 0;
double tickerClosePrice = 0;
Expand All @@ -95,7 +98,7 @@ class Trade
std::wstring OldestTradeTransDate = L"00000000"; // If Trade is closed then this trans will be the BPendDate


std::vector<std::shared_ptr<Transaction>> Transactions; // pointer list for all TransDetail in the trade
std::vector<std::shared_ptr<Transaction>> Transactions; // pointer list for all transactions in the trade
std::vector<std::shared_ptr<Leg>> openLegs; // sorted list of open legs for this trade

void setTradeOpenStatus();
Expand Down
15 changes: 0 additions & 15 deletions IB-Tracker/src/MainWindow/MainWindow.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -498,21 +498,6 @@ LRESULT CMainWindow::HandleMessage(UINT msg, WPARAM wParam, LPARAM lParam)
return 0;
}


case MSG_CATEGORY_CHANGED:
{
if (HWND_MIDDLEPANEL == ActiveTrades.WindowHandle()) {
// Destroy any existing ListBox line data
// This will also clear the LineData pointers and cancel any previous market data
ListBoxData_DestroyItemData(GetDlgItem(ActiveTrades.WindowHandle(), IDC_TRADES_LISTBOX));
ActiveTrades_ShowActiveTrades();
}
if (HWND_MIDDLEPANEL == TransPanel.WindowHandle()) {
TransPanel_ShowTransactions();
}
return 0;
}

default: return DefWindowProc(m_hwnd, msg, wParam, lParam);
}
}
Expand Down
9 changes: 5 additions & 4 deletions IB-Tracker/src/MainWindow/tws-client.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -234,7 +234,9 @@ void tws_performReconciliation()
// The results have been loaded into module global resultsText which will be displayed
// when Reconcile_Show() is called and Reconcile_positionEnd() has SendMessage notification
// to the dialog to say that text is ready.
tws_requestPortfolioUpdates();
// Load the IBKR and Local positions into the vectors and do the matching
client.cancelPositions();
client.requestPositions();

// Show the results
Reconcile_Show();
Expand Down Expand Up @@ -487,14 +489,14 @@ void TwsClient::tickPrice(TickerId tickerId, TickType field, double price, const
for (const auto& leg : ld->trade->openLegs) {
if (leg->underlying == L"OPTIONS") {
if (leg->PutCall == L"P") {
if (ld->trade->tickerLastPrice < std::stod(leg->strikePrice)) {
if (ld->trade->tickerLastPrice < AfxValDouble(leg->strikePrice)) {
leg->openQuantity < 0 ? isITMred = true : isITMred = false;
leg->openQuantity > 0 ? isITMgreen = true : isITMgreen = false;
break;
}
}
else if (leg->PutCall == L"C") {
if (ld->trade->tickerLastPrice > std::stod(leg->strikePrice)) {
if (ld->trade->tickerLastPrice > AfxValDouble(leg->strikePrice)) {
leg->openQuantity < 0 ? isITMred = true : isITMred = false;
leg->openQuantity > 0 ? isITMgreen = true : isITMgreen = false;
break;
Expand Down Expand Up @@ -560,7 +562,6 @@ void TwsClient::updatePortfolio(const Contract& contract, Decimal position,
// Utils::doubleMaxString(marketPrice).c_str(), Utils::doubleMaxString(marketValue).c_str(), Utils::doubleMaxString(averageCost).c_str(),
// Utils::doubleMaxString(unrealizedPNL).c_str(), Utils::doubleMaxString(realizedPNL).c_str(), accountName.c_str());


// Match the incoming contractID with the contractId stored in the Leg.

HWND hListBox = GetDlgItem(HWND_ACTIVETRADES, IDC_TRADES_LISTBOX);
Expand Down
6 changes: 3 additions & 3 deletions IB-Tracker/src/Reconcile/Reconcile.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -30,6 +30,7 @@ SOFTWARE.
#include "Database/trade.h"
#include "Utilities/IntelDecimal.h"
#include "Utilities/UserMessages.h"
#include "Config/Config.h"
#include "Reconcile.h"


Expand Down Expand Up @@ -115,12 +116,12 @@ void Reconcile_positionEnd()
if (leg->underlying == L"OPTIONS") p.underlying = L"OPT";
if (leg->underlying == L"SHARES") p.underlying = L"STK";

p.strikePrice = stod(leg->strikePrice);
p.strikePrice = AfxValDouble(leg->strikePrice);
p.expiryDate = AfxRemoveDateHyphens(leg->expiryDate);
p.PutCall = leg->PutCall;

// Check if the ticker is a future
if (p.tickerSymbol.substr(0, 1) == L"/") {
if (IsFuturesTicker(p.tickerSymbol)) {
p.tickerSymbol = trade->tickerSymbol.substr(1);
if (p.underlying == L"OPT") p.underlying = L"FOP";
}
Expand Down Expand Up @@ -164,7 +165,6 @@ void Reconcile_positionEnd()
}



// (1) Determine what IBKR "real" positions do not exist in the Local database.
ResultsText = L"IBKR that do not exist in Local:\r\n";
for (const auto& ibkr : IBKRPositions) {
Expand Down
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