ib-api 10.33.4 → 972.0

data/lib/models/ib/option.rb

@@ -0,0 +1,78 @@
+require 'models/ib/contract'
+require 'models/ib/option_detail'
+
+module IB
+  class Option < Contract
+
+    validates_numericality_of :strike, :greater_than => 0
+    validates_format_of :sec_type, :with => /\Aoption\z/,
+      :message => "should be an option"
+    validates_format_of :local_symbol, :with => /\A\w+\s*\d{6}[pcPC]\d{8}$|\A\z/,
+      :message => "invalid OSI code"
+    validates_format_of :right, :with => /\Aput$|^call\z/,
+      :message => "should be put or call"
+
+
+		# introduce Option.greek with reference to IB::OptionDetail-dataset
+		#
+		has_one :greek , as: :option_detail
+    # For Options, this is contract's OSI (Option Symbology Initiative) name/code
+    alias osi local_symbol
+
+    def osi= value
+      # Normalize to 21 char
+      self.local_symbol = value.sub(/ /, ' '*(22-value.size))
+    end
+
+    # Make valid IB Contract definition from OSI (Option Symbology Initiative) code.
+    # NB: Simply making a new Contract with *local_symbol* (osi) property set to a
+    # valid OSI code works just as well, just do NOT set *expiry*, *right* or
+    # *strike* properties in this case.
+    # This class method provided as a backup and shows how to analyse OSI codes.
+    def self.from_osi osi
+
+      # Parse contract's OSI (OCC Option Symbology Initiative) code
+      args = osi.match(/(\w+)\s?(\d\d)(\d\d)(\d\d)([pcPC])(\d+)/).to_a.drop(1)
+      symbol = args.shift
+      year = 2000 + args.shift.to_i
+      month = args.shift.to_i
+      day = args.shift.to_i
+      right = args.shift.upcase
+      strike = args.shift.to_i/1000.0
+
+      # Set correct expiry date - IB expiry date differs from OSI if expiry date
+      # falls on Saturday (see https://github.com/arvicco/option_mower/issues/4)
+      expiry_date = Time.utc(year, month, day)
+      expiry_date = Time.utc(year, month, day-1) if expiry_date.wday == 6
+
+      new :symbol => symbol,
+        :exchange => "SMART",
+        :expiry => expiry_date.to_ib[2..7], # YYMMDD
+        :right => right,
+        :strike => strike
+    end
+
+    def default_attributes
+      super.merge :sec_type => :option
+      #self[:description] ||= osi ? osi : "#{symbol} #{strike} #{right} #{expiry}"
+    end
+		def == other
+      super(other) || (  # finish positive, if contract#== is true
+												  # otherwise, we most probably compare the response from IB with our selfmade input
+			exchange == other.exchange &&
+			include_expired == other.include_expired &&
+			sec_type == other.sec_type  &&
+			multiplier == other.multiplier &&
+			strike == other.strike &&
+			right == other.right &&
+			multiplier == other.multiplier &&
+			expiry == other.expiry )
+
+		end
+
+    def to_human
+      "<Option: " + [symbol, expiry, right, strike, exchange, currency].join(" ") + ">"
+    end
+
+  end # class Option
+end # module IB

data/lib/models/ib/option_detail.rb

@@ -0,0 +1,55 @@
+module IB
+
+  # Additional Option properties and Option-Calculations
+  class OptionDetail < IB::Model
+    include BaseProperties
+
+    prop :delta,  :gamma, :vega, :theta, # greeks
+         :implied_volatility,
+	 :pv_dividend, # anticipated Dividend
+	 :under_price,  # price of the Underlying
+	 :option_price,
+	 :close_price,
+	 :open_tick,
+	 :bid_price,
+	 :ask_price,
+	 :prev_strike,
+	 :next_strike,
+	 :prev_expiry,
+	 :next_expiry,
+	 :option_price
+    belongs_to :option
+
+    # returns true if all datafields are filled with reasonal data
+    def complete?
+     fields= [ :delta,  :gamma, :vega, :theta,
+         :implied_volatility, :pv_dividend, :open_tick,
+	 :under_price, :option_price, :close_price, :bid_price, :ask_price]
+
+      !fields.detect{|y| self.send(y).nil?}
+
+    end
+
+    def greeks?
+     fields= [ :delta,  :gamma, :vega, :theta,
+         :implied_volatility, :pv_dividend]
+
+      !fields.detect{|y| self.send(y).nil?}
+
+    end
+
+    def to_human
+      outstr= ->( item ) { if item.nil? then "--" else  sprintf("%g" , item)  end  }
+      att = " optionPrice: #{ outstr[ option_price ]}, UnderlyingPrice: #{ outstr[ under_price] } impl.Vola: #{ outstr[ implied_volatility ]} ; dividend: #{ outstr[ pv_dividend ]}; "
+      greeks = "Greeks::  delta:  #{ outstr[ delta ] }; gamma: #{ outstr[ gamma ]}, vega: #{ outstr[ vega ] }; theta: #{ outstr[ theta ]}" 
+      prices= " close: #{ outstr[ close_price ]}; bid: #{ outstr[ bid_price ]}; ask: #{ outstr[ ask_price ]} "
+      if	complete?
+	"< "+ prices + "\n" + att + "\n" + greeks + " >"
+      else
+	"< " + greeks + " >"
+      end
+
+    end
+
+  end  # class
+end # module