ib-api 10.33.1

data/lib/ib/messages/outgoing/bar_request_message.rb

@@ -0,0 +1,247 @@
+module IB
+  module Messages
+    module Outgoing
+      extend Messages # def_message macros
+
+      # Messages that request bar data have special processing of @data
+
+      class BarRequestMessage < AbstractMessage
+        # Preprocessor for some data fields
+        def parse data
+          type = data[:data_type] || data[:what_to_show]
+          data_type = DATA_TYPES.invert[type] || type
+          unless  DATA_TYPES.keys.include?(data_type)
+            error ":data_type must be one of #{DATA_TYPES.inspect}", :args
+          end
+
+          #size = data[:bar_size] || data[:size]
+          #bar_size = BAR_SIZES.invert[size] || size
+          # unless  BAR_SIZES.keys.include?(bar_size)
+            # error ":bar_size must be one of #{BAR_SIZES.inspect}", :args
+          # end
+          unless data[:contract].is_a? IB::Contract
+            error "contract must be a valid IB::Contract" , :args
+          end
+          [data_type, nil, data[:contract]]
+        end
+      end
+
+      #  data = { :id => ticker_id (int),
+      #           :contract => Contract ,
+      #           :bar_size => int/Symbol? Currently only 5 second bars are supported,
+      #                        if any other value is used, an exception will be thrown.,
+      #           :data_type => Symbol: Determines the nature of data being extracted.
+      #                       :trades, :midpoint, :bid, :ask, :bid_ask,
+      #                       :historical_volatility, :option_implied_volatility,
+      #                       :option_volume, :option_open_interest
+      #                       - converts to "TRADES," "MIDPOINT," "BID," etc...
+      #          :use_rth => int: 0 - all data available during the time span requested
+      #                     is returned, even data bars covering time intervals where the
+      #                     market in question was illiquid. 1 - only data within the
+      #                     "Regular Trading Hours" of the product in question is returned,
+      #                     even if the time span requested falls partially or completely
+      #                     outside of them.
+      #
+      #  Version 3 
+      RequestRealTimeBars = def_message [ 50, 3 ], BarRequestMessage,
+        :request_id  # autogenerated if not specified
+
+      class RequestRealTimeBars
+        def parse data
+          data_type, bar_size, contract = super data
+
+          size = data[:bar_size] || data[:size]
+          bar_size = 5 #  only 5 sec bars are supported   --> for future use ::> size.to_i
+          [data_type, bar_size, contract]
+        end
+
+        def encode
+          data_type, bar_size, contract = parse @data
+
+          [super,
+           contract.serialize_short(:primary_exchange),  # include primary exchange in request
+           bar_size,
+           data_type.to_s.upcase,
+           @data[:use_rth] ,
+     ""   # not suported realtimebars option string
+    ]
+        end
+      end # RequestRealTimeBars
+
+  
+      RequestHistoricalData = def_message [20, 0], BarRequestMessage,
+        :request_id  # autogenerated if not specified
+
+      # - data = {
+      #          :contract => Contract: requested ticker description
+      #          :end_date_time => String: "yyyymmdd HH:mm:ss", with optional time zone
+      #                            allowed after a space: "20050701 18:26:44 GMT"
+      #          :duration => String, time span the request will cover, and is specified
+      #                  using the format: <integer> <unit>, eg: '1 D', valid units are:
+      #                        '1 S' (seconds, default if no unit is specified)
+      #                        '1 D' (days)
+      #                        '1 W' (weeks)
+      #                        '1 M' (months)
+      #                        '1 Y' (years, currently limited to one)
+      #          :bar_size => String: Specifies the size of the bars that will be returned
+      #                       (within IB/TWS limits). Valid values include:
+      #                             '1 sec'
+      #                             '5 secs'
+      #                             '15 secs'
+      #                             '30 secs'
+      #                             '1 min'
+      #                             '2 mins'
+      #                             '3 mins'
+      #                             '5 mins'
+      #                             '15 mins'
+      #                             '30 min'
+      #                             '1 hour'
+      #                             '1 day'
+      #          :what_to_show => Symbol: Determines the nature of data being extracted.
+      #                           Valid values:
+      #                             :trades, :midpoint, :bid, :ask, :bid_ask,
+      #                             :historical_volatility, :option_implied_volatility,
+      #                             :option_volume, :option_open_interest
+      #                              - converts to "TRADES," "MIDPOINT," "BID," etc...
+      #          :use_rth => int: 0 - all data available during the time span requested
+      #                     is returned, even data bars covering time intervals where the
+      #                     market in question was illiquid. 1 - only data within the
+      #                     "Regular Trading Hours" of the product in question is returned,
+      #                     even if the time span requested falls partially or completely
+      #                     outside of them.
+      #          :format_date => int: 1 - text format, like "20050307 11:32:16".
+      #                               2 - offset from 1970-01-01 in sec (UNIX epoch)
+      #         }
+      #
+      # - NB: using the D :duration only returns bars in whole days, so requesting "1 D"
+      #   for contract ending at 08:05 will only return 1 bar, for 08:00 on that day.
+      #   But requesting "86400 S" gives 86400/barlengthsecs bars before the end Time.
+      #
+      # - Note also that the :duration for any request must be such that the start Time is not
+      #   more than one year before the CURRENT-Time-less-one-day (not 1 year before the end
+      #   Time in the Request)
+      #
+      #     Bar Size Max Duration
+      #     -------- ------------
+      #      1 sec        2000 S
+      #      5 sec       10000 S
+      #      15 sec      30000 S
+      #      30 sec      86400 S
+      #      1 minute    86400 S, 6 D
+      #      2 minutes   86400 S, 6 D
+      #      5 minutes   86400 S, 6 D
+      #      15 minutes  86400 S, 6 D, 20 D, 2 W
+      #      30 minutes  86400 S, 34 D, 4 W, 1 M
+      #      1 hour      86400 S, 34 D, 4 w, 1 M
+      #      1 day       60 D, 12 M, 52 W, 1 Y
+      #  
+      # - NB: as of 4/07 there is no historical data available for forex spot.
+      #
+      # - data[:contract] may either be a Contract object or a String. A String should be
+      #   in serialize_ib_ruby format; that is, it should be a colon-delimited string in
+      #   the format (e.g. for Globex British pound futures contract expiring in Sep-2008):
+      #
+      #
+      # - Fields not needed for a particular security should be left blank (e.g. strike
+      #   and right are only relevant for options.)
+      #
+      # - A Contract object will be automatically serialized into the required format.
+      #
+      # - See also http://chuckcaplan.com/twsapi/index.php/void%20reqIntradayData%28%29
+      #   for general information about how TWS handles historic data requests, whence
+      #   the following has been adapted:
+      #
+      # - The server providing historical prices appears to not always be
+      #   available outside of market hours. If you call it outside of its
+      #   supported time period, or if there is otherwise a problem with
+      #   it, you will receive error #162 "Historical Market Data Service
+      #   query failed.:HMDS query returned no data."
+      #
+      # - For backfill on futures data, you may need to leave the Primary
+      #   Exchange field of the Contract structure blank; see
+      #   http://www.interactivebrokers.com/discus/messages/2/28477.html?1114646754
+      #
+      # - Version 6 implemented --> the version is not transmitted anymore
+      class RequestHistoricalData
+        def parse data
+          data_type, bar_size, contract = super data
+
+          size = data[:bar_size] || data[:size]
+          bar_size = BAR_SIZES.invert[size] || size
+          unless  BAR_SIZES.keys.include?(bar_size)
+            error ":bar_size must be one of #{BAR_SIZES.inspect}", :args
+          end
+          [data_type, bar_size, contract]
+        end
+
+        def encode
+          data_type, bar_size, contract = parse @data
+
+          [super.flatten,
+           contract.serialize_long[0..-1],   # omit sec_id_type and sec_id
+           @data[:end_date_time],
+           bar_size,
+           @data[:duration],
+           @data[:use_rth],
+           data_type.to_s.upcase,
+          2 , # @data[:format_date], format-date is hard-coded as int_date in incoming/historicalData 
+           contract.serialize_legs ,
+     @data[:keep_up_todate],   # 0 / 1
+    ''  #  chartOptions:TagValueList - For internal use only. Use default value XYZ.  
+    ]
+        end
+      end # RequestHistoricalData
+
+    end # module Outgoing
+  end # module Messages
+end # module IB
+
+## python documentaion
+#   """Requests contracts' historical data. When requesting historical data, a
+#        finishing time and date is required along with a duration string. The
+#        resulting bars will be returned in EWrapper.historicalData()
+#        reqId:TickerId - The id of the request. Must be a unique value. When the
+#            market data returns, it whatToShowill be identified by this tag. This is also
+#            used when canceling the market data.
+#        contract:Contract - This object contains a description of the contract for which
+#            market data is being requested.
+#        endDateTime:str - Defines a query end date and time at any point during the past 6 mos.
+#            Valid values include any date/time within the past six months in the format:
+#            yyyymmdd HH:mm:ss ttt
+#            where "ttt" is the optional time zone.
+#        durationStr:str - Set the query duration up to one week, using a time unit
+#            of seconds, days or weeks. Valid values include any integer followed by a space
+#            and then S (seconds), D (days) or W (week). If no unit is specified, seconds is used.
+#        barSizeSetting:str - Specifies the size of the bars that will be returned (within IB/TWS listimits).
+#            Valid values include:
+#            1 sec
+#            5 secs
+#            15 secs
+#            30 secs
+#            1 min
+#            2 mins
+#            3 mins
+#            5 mins
+#            15 mins
+#            30 mins
+#            1 hour
+#            1 day
+#        whatToShow:str - Determines the nature of data beinging extracted. Valid values include:
+#            TRADES
+#            MIDPOINT
+#            BID
+#            ASK
+#            BID_ASK
+#            HISTORICAL_VOLATILITY
+#            OPTION_IMPLIED_VOLATILITY
+#        useRTH:int - Determines whether to return all data available during the requested time span,
+#            or only data that falls within regular trading hours. Valid values include:
+#            0 - all data is returned even where the market in question was outside of its
+#            regular trading hours.
+#            1 - only data within the regular trading hours is returned, even if the
+#            requested time span falls partially or completely outside of the RTH.
+#        formatDate: int - Determines the date format applied to returned bars. validd values include:
+#            1 - dates applying to bars returned in the format: yyyymmdd{space}{space}hh:mm:dd
+#            2 - dates are returned as a long integer specifying the number of seconds since
+#                1/1/1970 GMT.
+#        chartOptions:TagValueList - For internal use only. Use default value XYZ. """

data/lib/ib/messages/outgoing/new-place-order.rb

@@ -0,0 +1,193 @@
+module IB
+  module Messages
+    module Outgoing
+      extend Messages # def_message macros
+
+      PlaceOrder = def_message [ 3,0  ]
+
+      class PlaceOrder
+        def encode
+          order = @data[:order]
+          contract = @data[:contract]
+
+          error 'contract has to be specified' unless contract.is_a? IB::Contract
+
+          # send place order msg
+          fields = [ super ]
+          fields << contract.serialize_short(:primary_exchange, :sec_id_type)
+          fields << order.serialize_main_order_fields
+          fields << order.serialize_extended_order_fields
+
+          # Send combo legs for BAG requests (srv v8 and above)
+          if contract.bag?
+            fields.push(combo_legs.size)
+            fields += combo_legs.map do |the_leg|
+              array = [
+                the_leg.con_id,
+                the_leg.ratio,
+                the_leg.side.to_sup,
+                the_leg.exchange,
+                the_leg[:open_close],
+                the_leg[:short_sale_slot],
+                the_leg.designated_location,
+              ]
+              array.push(the_leg.exempt_code) if server_version >= KNOWN_SERVERS[:min_server_ver_sshortx_old] # 51
+              array
+            end.flatten
+
+            # TODO: order_combo_leg?
+            if server_version >= KNOWN_SERVERS[:min_server_ver_order_combo_legs_price]  # 61
+              fields.push(contract.combo_legs.size)
+              fields += contract.combo_legs.map { |leg| leg.price || '' }
+            end
+
+            # TODO: smartComboRoutingParams
+            if server_version >= KNOWN_SERVERS[:min_server_ver_smart_combo_routing_params]  # 57
+              fields.push(order.combo_params.size)
+              fields += order.combo_params.to_a
+            end
+          end
+
+          fields << order.serialize_auxilery_order_fields # incluing advisory order fields
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_models_support]
+            fields.push(order.model_code )
+          end
+
+          fields += [
+            order[:short_sale_slot] , # 0 only for retail, 1 or 2 for institution  (Institutional)
+            order.designated_location # only populate when short_sale_slot == 2    (Institutional)
+          ]
+
+          fields.push(order.exempt_code) if server_version >= KNOWN_SERVERS[:min_server_ver_sshortx_old]
+
+          fields.push(order[:oca_type])
+          fields += [
+            order[:rule_80a], # .to_sup[0..0],
+            order.settling_firm,
+            order.all_or_none,
+            order.min_quantity,
+            order.percent_offset,
+            false, # was: order.etrade_only || false,  desupported in TWS > 981
+            false, # was: order.firm_quote_only || false,    desupported in TWS > 981
+            '', ## desupported in TWS > 981, too. maybe we have to insert a hard-coded "" here
+            order[:auction_strategy], # AUCTION_MATCH, AUCTION_IMPROVEMENT, AUCTION_TRANSPARENT
+            order.starting_price ,
+            order.stock_ref_price ,
+            order.delta ,
+            order.stock_range_lower ,
+            order.stock_range_upper ,
+            order.override_percentage_constraints,
+            order.serialize_volatility_order_fields,
+            order.serialize_delta_neutral_order_fields
+          ]
+
+          fields += [
+            order.continuous_update,
+            order[:reference_price_type] ,
+            order.trail_stop_price,
+            order.trailing_percent
+          ]
+
+          fields << order.serialize_scale_order_fields
+
+          fields.push order.hedge_type
+          fields.push order.hedge_param  # default is [] --> omitted if left default
+          fields.push order.opt_out_smart_routing
+
+          fields.push  order.clearing_account
+          fields.push  order.clearing_intent
+
+          fields.push(order.not_held) if server_version >= KNOWN_SERVERS[:min_server_ver_not_held] #44
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_delta_neutral]  # 40
+            fields += contract.serialize_under_comp
+          end
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_algo_orders]  # 41
+            fields += order.serialize_algo
+          end
+          if server_version >= KNOWN_SERVERS[:min_server_ver_algo_id]   # 71 
+            fields.push(order.algo_id)
+          end
+
+          fields.push(order.what_if)
+          fields.push(order.serialize_misc_options) if server_version >= KNOWN_SERVERS[:min_server_ver_linking] # 70
+          fields.push(order.solicided) if server_version >= KNOWN_SERVERS[:min_server_ver_order_solicited] # 73
+          if server_version >= KNOWN_SERVERS[:min_server_ver_randomize_size_and_price]   # 76
+            fields += [
+              order.random_size,
+              order.random_price
+            ]
+          end
+
+          fields << order.serialize_pegged_order_fields
+          fields += order.serialize_conditions
+          fields += [
+              order.adjusted_order_type,
+              order.trigger_price,
+              order.limit_price_offset,
+              order.adjusted_stop_price,
+              order.adjusted_stop_limit_price,
+              order.adjusted_trailing_amount,
+              order.adjustable_trailing_unit
+            ]
+
+          fields.push(order.ext_operator) if server_version >= KNOWN_SERVERS[:min_server_ver_ext_operator]
+
+          fields << order.serialize_soft_dollar_tier
+
+          fields.push(order.cash_qty) if server_version >= KNOWN_SERVERS[:min_server_ver_cash_qty] # 111
+
+          fields << order.serialize_mifid_order_fields
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_auto_price_for_hedge]
+            fields.push(order.dont_use_auto_price_for_hedge)
+          end
+
+          fields.push(order.is_O_ms_container) if server_version >= KNOWN_SERVERS[:min_server_ver_order_container]
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_d_peg_orders]
+            fields.push(order.discretionary_up_to_limit_price)
+          end
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_price_mgmt_algo]
+            fields.push(order.use_price_management_algo)
+          end
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_duration]
+            fields.push(order.duration)
+          end
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_post_to_ats]
+            fields.push(order.post_to_ats)
+          end
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_auto_cancel_parent]
+            fields.push(order.auto_cancel_parent)
+          end
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_advanced_order_reject]
+            fields.push(order.advanced_order_reject)
+          end
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_manual_order_time]
+            fields.push(order.manual_order_time)
+          end
+
+          fields << order.serialize_peg_best_and_mid
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_customer_account]
+            fields.push(order.customer_account)
+          end
+
+          if server_version >= KNOWN_SERVERS[:min_server_ver_professional_customer]
+            fields.push(order.professional_account)
+          end
+
+          fields
+        end
+      end
+    end
+  end
+end

data/lib/ib/messages/outgoing/old-place-order.rb

@@ -0,0 +1,147 @@
+module IB
+  module Messages
+    module Outgoing
+      extend Messages # def_message macros
+
+      # Data format is { :id => local_id,
+      #                  :contract => Contract,
+      #                  :order => Order }
+      PlaceOrder = def_message [ 3,0 ]
+
+      class PlaceOrder
+        def encode
+
+        # lamba's to include order fields dependend of the server version provided
+        include_model_code = -> (m) { if server_version >= KNOWN_SERVERS[ :min_server_ver_models_support ] then m else [] end }
+        include_ext_operator = -> (e) { if server_version >= KNOWN_SERVERS[ :min_server_ver_ext_operator ] then e else [] end }
+        include_cash_qty = -> (c) { if server_version >= KNOWN_SERVERS[ :min_server_ver_cash_qty ] then c else [] end  }
+        include_auto_price_for_hedge = -> (a) { if server_version >= KNOWN_SERVERS[ :min_server_ver_auto_price_for_hedge ] then a else [] end  }
+        include_order_container = -> (o) { if server_version >= KNOWN_SERVERS[ :min_server_ver_order_container] then o else [] end  }
+        include_d_peg_order = -> (d) { if server_version >= KNOWN_SERVERS[ :min_server_ver_d_peg_orders ] then d else [] end  }
+        include_price_mgmt_algo = -> (p) { if server_version >= KNOWN_SERVERS[ :min_server_ver_price_mgmt_algo ]then p else [] end  }
+        include_duration = -> (d) { if server_version >= KNOWN_SERVERS[ :min_server_ver_duration ]then d else [] end  }
+        include_ats = -> (a)  { if server_version >= KNOWN_SERVERS[ :min_server_ver_post_to_ats ]then a else [] end  }
+        include_auto_cancel_parent = -> (a) { if server_version >= KNOWN_SERVERS[ :min_server_ver_auto_cancel_parent ] then a else [] end }
+        include_manual_order_time = -> (m) {  if server_version >= KNOWN_SERVERS[ :min_server_ver_manual_order_time ] then m else [] end }
+        include_advanced_reject =  -> (a){ if server_version >= KNOWN_SERVERS[ :min_server_ver_advanced_order_reject ] then a else [] end }
+        include_customer_account = -> (c) { if  server_version >= KNOWN_SERVERS[  :min_server_ver_customer_account ] then c else [] end }
+        include_professional_customer = -> (p) { if  server_version >= KNOWN_SERVERS[ :min_server_ver_professional_customer ] then p else [] end }
+
+          order = @data[ :order ]
+          contract = @data[ :contract ]
+
+          error "contract has to be specified" unless contract.is_a? IB::Contract
+
+# -------------------------- start here -----------------------------------------
+# build an array of order values ready to be transmitted to the tws ( after flattening )
+#
+         [ super,
+           contract.serialize_short( :primary_exchange, :sec_id_type ),
+           order.serialize_main_order_fields,
+           order.serialize_extended_order_fields,
+# legs
+           [  contract.serialize_legs( :extended ),
+           if contract.bag?
+             [
+               ## Support for per-leg prices in Order
+               [contract.combo_legs.size] + contract.combo_legs.map { |_| nil }, #(&:price) ,
+               ## Support for combo routing params in Order
+               order.combo_params.empty? ? 0 : [order.combo_params.size] + order.combo_params.to_a
+             ]
+          else
+            [ "do not include" ]
+          end ],
+          order.serialize_auxilery_order_fields, # incluing advisory order fields
+# regulatory order fields
+          [
+           include_model_code[ order.model_code ],
+           order[:short_sale_slot] , # 0 only for retail, 1 or 2 for institution  (Institutional)
+           order.designated_location, # only populate when short_sale_slot == 2    (Institutional)
+           order.exempt_code,
+           order[:oca_type],
+           order[:rule_80a], #.to_sup[0..0],
+           order.settling_firm ],
+# algo order fields -1-   (8)
+           [ order.all_or_none,
+           order.min_quantity ,
+           order.percent_offset,
+           false, # was: order.etrade_only || false,  desupported in TWS > 981
+           false, # was: order.firm_quote_only || false,    desupported in TWS > 981
+           false, # was  order.nbbo_price_cap || "", ## desupported in TWS > 981
+           order[:auction_strategy],
+           order.starting_price,
+           order.stock_ref_price,
+           order.delta,
+           order.stock_range_lower,
+           order.stock_range_upper,
+           order.override_percentage_constraints,
+           order.serialize_volatility_order_fields
+           ],
+
+           order.serialize_delta_neutral_order_fields,  # (9)
+
+#        Volatility orders  (10)
+          [
+           order.continuous_update,
+           order[:reference_price_type],
+          ],
+#         trailing orders  (11)
+           #
+           [
+            order.trail_stop_price,
+            order.trailing_percent,
+           ],
+
+           order.serialize_scale_order_fields,  # (12)
+
+# Support for hedgeType   (13)
+          [
+            order.hedge_type,
+            order.hedge_param
+          ],
+
+        order.opt_out_smart_routing,
+
+        order.clearing_account ,
+        order.clearing_intent ,
+        order.not_held ,
+        contract.serialize_under_comp,
+        order.serialize_algo(),
+        order.what_if,
+        order.serialize_misc_options,
+        order.solicided,
+        order.random_size,
+        order.random_price,
+        order.serialize_pegged_order_fields,
+        order.serialize_conditions ,
+        order.adjusted_order_type ,
+        order.trigger_price ,
+        order.limit_price_offset ,
+        order.adjusted_stop_price ,
+        order.adjusted_stop_limit_price ,
+        order.adjusted_trailing_amount ,
+        order.adjustable_trailing_unit ,
+        include_ext_operator[  order.ext_operator ] ,
+        order.serialize_soft_dollar_tier,
+        include_cash_qty[ order.cash_qty ] ,
+        order.serialize_mifid_order_fields,
+        include_auto_price_for_hedge[ order.dont_use_auto_price_for_hedge ],
+        include_order_container[  order.is_O_ms_container ],
+        include_d_peg_order[ order.discretionary_up_to_limit_price ],
+        include_price_mgmt_algo[ order.use_price_management_algo ],
+        include_duration[ order.duration ],
+        include_ats[ order.post_to_ats ],
+        include_auto_cancel_parent[ order.auto_cancel_parent ],
+        include_advanced_reject[ order.advanced_order_reject ],
+        include_manual_order_time[ order.manual_order_time ],
+        order.serialize_peg_best_and_mid,
+        include_customer_account[ order.customer_account  ],
+        include_professional_customer[ order.professional_account  ]
+         ]
+        end  # encode
+      end # PlaceOrder
+
+
+    end # module Outgoing
+  end # module Messages
+end # module IB