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orders: reject non-finite and malformed order parameters (ibx#263) #392

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orders: reject non-finite and malformed order parameters (ibx#263) #392

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140 changes: 86 additions & 54 deletions src/api/client/orders.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -173,74 +173,106 @@ impl EClient {
}

/// Parse algo strategy and TagValue params into internal AlgoParams.
///
/// A key the caller never set defaults the way IB's own algos do (0.0,
/// false, or the documented default enum value). A key the caller *did*
/// set — even to an empty string — is refused if it doesn't parse, instead
/// of silently taking that same default: a typo like `riskAversion="Aggresive"`
/// used to submit a Neutral algo with no error, and `maxPctVol=""` used to
/// submit 0.0. See ibx#263.
pub fn parse_algo_params(strategy: &str, params: &[TagValue]) -> Result<AlgoParams, String> {
let get = |key: &str| -> String {
params.iter()
.find(|tv| tv.tag == key)
.map(|tv| tv.value.clone())
.unwrap_or_default()
let get = |key: &str| -> Option<String> {
params.iter().find(|tv| tv.tag == key).map(|tv| tv.value.clone())
};
let get_f64 = |key: &str| -> f64 { get(key).parse().unwrap_or(0.0) };
let get_bool = |key: &str| -> bool {
let v = get(key);
v == "1" || v.eq_ignore_ascii_case("true")
let get_str = |key: &str| -> String { get(key).unwrap_or_default() };
let get_f64 = |key: &str| -> Result<f64, String> {
let raw = match get(key) {
None => return Ok(0.0),
Some(raw) => raw,
};
let v: f64 = raw.parse().map_err(|_| format!("Invalid {} '{}': expected a number", key, raw))?;
if !v.is_finite() {
return Err(format!("Invalid {} '{}': must be a finite number", key, raw));
}
Ok(v)
};
let get_bool = |key: &str| -> Result<bool, String> {
let raw = match get(key) {
None => return Ok(false),
Some(raw) => raw,
};
match raw.to_lowercase().as_str() {
"0" | "false" => Ok(false),
"1" | "true" => Ok(true),
_ => Err(format!("Invalid {} '{}': expected true/false or 1/0", key, raw)),
}
};

match strategy.to_lowercase().as_str() {
"vwap" => Ok(AlgoParams::Vwap {
max_pct_vol: get_f64("maxPctVol"),
no_take_liq: get_bool("noTakeLiq"),
allow_past_end_time: get_bool("allowPastEndTime"),
start_time: get("startTime"),
end_time: get("endTime"),
max_pct_vol: get_f64("maxPctVol")?,
no_take_liq: get_bool("noTakeLiq")?,
allow_past_end_time: get_bool("allowPastEndTime")?,
start_time: get_str("startTime"),
end_time: get_str("endTime"),
}),
"twap" => Ok(AlgoParams::Twap {
allow_past_end_time: get_bool("allowPastEndTime"),
start_time: get("startTime"),
end_time: get("endTime"),
allow_past_end_time: get_bool("allowPastEndTime")?,
start_time: get_str("startTime"),
end_time: get_str("endTime"),
}),
"arrivalpx" | "arrival_price" => {
let risk = match get("riskAversion").to_lowercase().as_str() {
"get_done" | "getdone" => RiskAversion::GetDone,
"aggressive" => RiskAversion::Aggressive,
"passive" => RiskAversion::Passive,
_ => RiskAversion::Neutral,
};
Ok(AlgoParams::ArrivalPx {
max_pct_vol: get_f64("maxPctVol"),
risk_aversion: risk,
allow_past_end_time: get_bool("allowPastEndTime"),
force_completion: get_bool("forceCompletion"),
start_time: get("startTime"),
end_time: get("endTime"),
})
}
"closepx" | "close_price" => {
let risk = match get("riskAversion").to_lowercase().as_str() {
"get_done" | "getdone" => RiskAversion::GetDone,
"aggressive" => RiskAversion::Aggressive,
"passive" => RiskAversion::Passive,
_ => RiskAversion::Neutral,
"arrivalpx" | "arrival_price" => Ok(AlgoParams::ArrivalPx {
max_pct_vol: get_f64("maxPctVol")?,
risk_aversion: parse_risk_aversion(get("riskAversion").as_deref())?,
allow_past_end_time: get_bool("allowPastEndTime")?,
force_completion: get_bool("forceCompletion")?,
start_time: get_str("startTime"),
end_time: get_str("endTime"),
}),
"closepx" | "close_price" => Ok(AlgoParams::ClosePx {
max_pct_vol: get_f64("maxPctVol")?,
risk_aversion: parse_risk_aversion(get("riskAversion").as_deref())?,
force_completion: get_bool("forceCompletion")?,
start_time: get_str("startTime"),
}),
"darkice" | "dark_ice" => {
let display_size = match get("displaySize") {
None => 100,
Some(raw) => raw.parse().map_err(|_| format!("Invalid displaySize '{}': expected a non-negative integer", raw))?,
};
Ok(AlgoParams::ClosePx {
max_pct_vol: get_f64("maxPctVol"),
risk_aversion: risk,
force_completion: get_bool("forceCompletion"),
start_time: get("startTime"),
Ok(AlgoParams::DarkIce {
allow_past_end_time: get_bool("allowPastEndTime")?,
display_size,
start_time: get_str("startTime"),
end_time: get_str("endTime"),
})
}
"darkice" | "dark_ice" => Ok(AlgoParams::DarkIce {
allow_past_end_time: get_bool("allowPastEndTime"),
display_size: get("displaySize").parse().unwrap_or(100),
start_time: get("startTime"),
end_time: get("endTime"),
}),
"pctvol" | "pct_vol" => Ok(AlgoParams::PctVol {
pct_vol: get_f64("pctVol"),
no_take_liq: get_bool("noTakeLiq"),
start_time: get("startTime"),
end_time: get("endTime"),
pct_vol: get_f64("pctVol")?,
no_take_liq: get_bool("noTakeLiq")?,
start_time: get_str("startTime"),
end_time: get_str("endTime"),
}),
_ => Err(format!("Unsupported algo strategy: '{}'", strategy)),
}
}

/// Parse a `riskAversion` tag value (used by ArrivalPx and ClosePx). A
/// missing tag defaults to Neutral, matching IB's own algo default; a
/// present value — including an empty string — that isn't a recognized
/// member is refused rather than silently defaulting to Neutral. See ibx#263.
fn parse_risk_aversion(raw: Option<&str>) -> Result<RiskAversion, String> {
let raw = match raw {
None => return Ok(RiskAversion::Neutral),
Some(raw) => raw,
};
match raw.to_lowercase().as_str() {
"neutral" => Ok(RiskAversion::Neutral),
"get_done" | "getdone" => Ok(RiskAversion::GetDone),
"aggressive" => Ok(RiskAversion::Aggressive),
"passive" => Ok(RiskAversion::Passive),
_ => Err(format!(
"Unknown riskAversion '{}': expected Get_Done, Aggressive, Neutral or Passive", raw
)),
}
}
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