[roq-ibkr] New gateway: Interactive Brokers

[thraneh]

This gateway will only be developed with client sponsorship This means that you should already have a real trading strategy which can be used to test and validate the gateway solution. It also means that you should be prepared to dedicate your time to help with live testing and possibly provide logs to help investigating issues.

• Understand requirements for commercial license to use TWS API
• Choice between using FIX or TWS for order management
• Only support simple order types

Technically, the TWS API socket classes should be entirely avoided (as they're not single threaded and using locks, signals, etc. for communication). It appears to be possible to externally manage socket connect/read/write operations and otherwise use the following interfaces: EDecoder, EClient, EWrapper, and ETransport.

[thraneh]

Currently not progressing due to lack of sponsorship.