Sunday, January 5, 2014

F#: Connect to InteractiveBrokers via ActiveX

In this blog post we show how to write a F# console program which runs on Windows and connect to InteractiveBrokers (IB). There are a few different options of programmatic connectivity provided by IB. Here we use the ActiveX control (Tws.ocx) and Trade Workstation (TWS), so the end-to-end communication between our console program and IB goes like this:

F# code <=> Tws.ocx <=> TWS <=> IB server.

Before we begin, you need to have an account with IB, which can be either a real account or a paper account. Once you have the account ready, here is the step-by-step guide to the console program.

Install TWS and API:

  • Trade Workstation: please download and install a standalone version from here. You need to configure TWS to accept ActiveX clients by doing the following:
    • Select Edit->Global Configuration
    • Select API->Settings
    • Check "Enable ActiveX and Socket Clients" and note down the port number specified at "Socket Port". By default, the port number is 7496.
  • API: can be downloaded from here, which contains Tws.ocx.

Generate wrapper DLLs to expose Tws.ocx to .NET:
Assuming that the API has been installed at C:\TWS_API and you have Visual Studio loaded on your machine, you can then run Aximp.exe as follows:

C:\TWS_API\bin\ActiveX>aximp Tws.ocx

And you shall see the following 2 DLLs generated:

Generated Assembly: C:\TWS_API\bin\ActiveX\TWSLib.dll
Generated Assembly: C:\TWS_API\bin\ActiveX\AxTWSLib.dll

To make use of the ActiveX control, we need to add references to these 2 DLLs in the Visual Studio project. (Note that as the only thing we are trying to do here is connecting to and disconnecting from TWS, we need only AxTWSLib.dll. However, in following few blog posts, we will try to capture market data and submit trade orders, which will requires both DLLs.)

Write F# code to connect and disconnect:
Below you can see the code of our console program. There are some remarks about the code I would like to make:

  • Tws.ocx is an ActiveX control which is meant to be added to a GUI container. To get the control initialized properly, a dummy Windows Form is created to host it, as you can see at the beginning of the main function. As our intention here is a console program, we don't display the form.
  • To connect to TWS, we invoke the connect method, which takes 3 parameters: IP address, port number, client ID. 
    • IP address: to indicate where is the machine running TWS. Since I run TWS and the program on the same machine, there's no need to provide an IP address.
    • port number: 7496 by default, unless you change it in the Global Configuration page of TWS.
    • client ID: an integer used to identify this client connection. If you want to connect multiple clients to the same TWS instance at the same time, each client should be assigned a unique ID. 
  • Once TWS receives a connection request, a dialog pops up. Click on yes to accept the connection. 
  • To see whether the connection is successful, we check the serverVersion property of the control. If it's successful, we shall a positive serverVersion. Otherwise, we receive a zero. 


------------------------------------------------------------------------
open AxTWSLib
open System
open System.Drawing
open System.Windows.Forms

[<EntryPoint; STAThread>]
let main _ = 
    // initialize TWS ActiveX Control tws1
    let form1 = new Form(Text="Dummy Form")
    let tws1 = new AxTws()
    tws1.BeginInit()
    form1.Controls.Add(tws1)
    tws1.EndInit()

    // connect to local TWS
    tws1.connect("", 7496, 1)
    printfn "server version = %d" tws1.serverVersion

    // disconnect from TWS
    if tws1.serverVersion > 0 then 
        tws1.disconnect()

    0
------------------------------------------------------------------------

1 comment:

  1. Any thoughts on the pros and cons of using the ActiveX control, versus importing the csharpapi dll directly into your F# project and implementing the various methods?

    https://www.interactivebrokers.com/en/software/api/apiguide/api/csharp_api.htm

    ReplyDelete