ib-api 10.33.4 → 972.0

data/lib/ib/messages/incoming/tick_efp.rb

@@ -1,18 +0,0 @@
-module IB
-  module Messages
-    module Incoming
-      extend Messages # def_message macros
-
-
-      TickEFP = def_message [47, 6], AbstractTick,
-                            [:ticker_id, :int],
-                            [:tick_type, :int],
-                            [:basis_points, :decimal],
-                            [:formatted_basis_points, :string],
-                            [:implied_futures_price, :decimal],
-                            [:hold_days, :int],
-                            [:dividend_impact, :decimal],
-                            [:dividends_to_expiry, :decimal]
-    end
-  end
-end

data/lib/ib/messages/incoming/tick_generic.rb

@@ -1,12 +0,0 @@
-module IB
-  module Messages
-    module Incoming
-      extend Messages # def_message macros
-
-      TickGeneric = def_message [45, 6], AbstractTick,
-                                [:ticker_id, :int],
-                                [:tick_type, :int],
-                                [:value, :float]
-    end
-  end
-end

data/lib/ib/messages/incoming/tick_option.rb

@@ -1,60 +0,0 @@
-module IB
-  module Messages
-    module Incoming
-      extend Messages # def_message macros
-
-      # This message is received when the market in an option or its underlier moves.
-      # TWS option model volatilities, prices, and deltas, along with the present
-      # value of dividends expected on that options underlier are received.
-      # TickOption message contains following @data:
-      #    :ticker_id - Id that was specified previously in the call to reqMktData()
-      #    :tick_type - Specifies the type of option computation (see TICK_TYPES).
-      #    :implied_volatility - The implied volatility calculated by the TWS option
-      #                          modeler, using the specified :tick_type value.
-      #    :delta - The option delta value.
-      #    :option_price - The option price.
-      #    :pv_dividend - The present value of dividends expected on the options underlier
-      #    :gamma - The option gamma value.
-      #    :vega - The option vega value.
-      #    :theta - The option theta value.
-      #    :under_price - The price of the underlying.
-      TickOption = TickOptionComputation =
-          def_message([21, 0], AbstractTick,
-                      [:ticker_id, :int],
-                      [:tick_type, :int],
-                      [:tick_attribute, :int],
-                      [:implied_volatility, :decimal_limit_1], # -1 and below
-                      [:delta, :decimal_limit_2],         #      -2 and below
-                      [:option_price, :decimal_limit_1],  #      -1   -"-
-                      [:pv_dividend, :decimal_limit_1],   #      -1   -"-
-                      [:gamma, :decimal_limit_2],         #      -2   -"-
-                      [:vega, :decimal_limit_2],          #      -2   -"-
-                      [:theta, :decimal_limit_2],         #      -2   -"-
-                      [:under_price, :decimal_limit_1]) do
-
-            "<TickOption #{type}   " + 
-                "option @ #{"%8.3f" % (option_price || -1)}, IV: #{"%4.3f" % (implied_volatility || -1)}, " +
-                "delta: #{"%5.3f" % (delta || -1)}, " +
-                "gamma: #{"%6.4f" % (gamma || -1)}, vega: #{ "%6.5f" % (vega || -1)}, " + 
-                "theta: #{"%7.6f" % (theta || -1)}, pv_dividend: #{"%5.3f" % (pv_dividend || -1)}, " +
-                "underlying @ #{"% 8.3f" % (under_price || -1)} >"
-          end
-
-       class TickOption   
-         def greeks
-           { delta: delta, gamma: gamma, vega: vega, theta: theta }
-         end
-
-         def iv
-           implied_volatility
-         end
-      
-         
-         def greeks? 
-           greeks.values.any? &:present?
-         end
-
-       end
-    end
-  end
-end

data/lib/ib/messages/incoming/tick_price.rb

@@ -1,60 +0,0 @@
-module IB
-  module Messages
-    module Incoming
-      extend Messages # def_message macros
-
-      # The IB code seems to dispatch up to two wrapped objects for this message, a tickPrice
-      # and sometimes a tickSize, which seems to be identical to the TICK_SIZE object.
-      #
-      # Important note from
-      # http://chuckcaplan.com/twsapi/index.php/void%20tickPrice%28%29 :
-      #
-      # "The low you get is NOT the low for the day as you'd expect it
-      # to be. It appears IB calculates the low based on all
-      # transactions after 4pm the previous day. The most inaccurate
-      # results occur when the stock moves up in the 4-6pm aftermarket
-      # on the previous day and then gaps open upward in the
-      # morning. The low you receive from TWS can be easily be several
-      # points different from the actual 9:30am-4pm low for the day in
-      # cases like this. If you require a correct traded low for the
-      # day, you can't get it from the TWS API. One possible source to
-      # help build the right data would be to compare against what Yahoo
-      # lists on finance.yahoo.com/q?s=ticker under the "Day's Range"
-      # statistics (be careful here, because Yahoo will use anti-Denial
-      # of Service techniques to hang your connection if you try to
-      # request too many bytes in a short period of time from them). For
-      # most purposes, a good enough approach would start by replacing
-      # the TWS low for the day with Yahoo's day low when you first
-      # start watching a stock ticker; let's call this time T. Then,
-      # update your internal low if the bid or ask tick you receive is
-      # lower than that for the remainder of the day. You should check
-      # against Yahoo again at time T+20min to handle the occasional
-      # case where the stock set a new low for the day in between
-      # T-20min (the real time your original quote was from, taking into
-      # account the delay) and time T. After that you should have a
-      # correct enough low for the rest of the day as long as you keep
-      # updating based on the bid/ask. It could still get slightly off
-      # in a case where a short transaction setting a new low appears in
-      # between ticks of data that TWS sends you.  The high is probably
-      # distorted in the same way the low is, which would throw your
-      # results off if the stock traded after-hours and gapped down. It
-      # should be corrected in a similar way as described above if this
-      # is important to you."
-      #
-      # IB then emits at most 2 events on eWrapper:
-      #          tickPrice( tickerId, tickType, price, canAutoExecute)
-      #          tickSize( tickerId, sizeTickType, size)
-      TickPrice = def_message [1, 6], AbstractTick,
-                              [:ticker_id, :int],
-                              [:tick_type, :int],
-                              [:price, :decimal],
-                              [:size, :int],
-                              [:can_auto_execute, :int]
-      class TickPrice
-        def valid?
-        super &&  !price.zero?
-        end
-      end
-    end
-  end
-end

data/lib/ib/messages/incoming/tick_size.rb

@@ -1,55 +0,0 @@
-module IB
-  module Messages
-    module Incoming
-      extend Messages # def_message macros
-
-      # The IB code seems to dispatch up to two wrapped objects for this message, a tickPrice
-      # and sometimes a tickSize, which seems to be identical to the TICK_SIZE object.
-      #
-      # Important note from
-      # http://chuckcaplan.com/twsapi/index.php/void%20tickPrice%28%29 :
-      #
-      # "The low you get is NOT the low for the day as you'd expect it
-      # to be. It appears IB calculates the low based on all
-      # transactions after 4pm the previous day. The most inaccurate
-      # results occur when the stock moves up in the 4-6pm aftermarket
-      # on the previous day and then gaps open upward in the
-      # morning. The low you receive from TWS can be easily be several
-      # points different from the actual 9:30am-4pm low for the day in
-      # cases like this. If you require a correct traded low for the
-      # day, you can't get it from the TWS API. One possible source to
-      # help build the right data would be to compare against what Yahoo
-      # lists on finance.yahoo.com/q?s=ticker under the "Day's Range"
-      # statistics (be careful here, because Yahoo will use anti-Denial
-      # of Service techniques to hang your connection if you try to
-      # request too many bytes in a short period of time from them). For
-      # most purposes, a good enough approach would start by replacing
-      # the TWS low for the day with Yahoo's day low when you first
-      # start watching a stock ticker; let's call this time T. Then,
-      # update your internal low if the bid or ask tick you receive is
-      # lower than that for the remainder of the day. You should check
-      # against Yahoo again at time T+20min to handle the occasional
-      # case where the stock set a new low for the day in between
-      # T-20min (the real time your original quote was from, taking into
-      # account the delay) and time T. After that you should have a
-      # correct enough low for the rest of the day as long as you keep
-      # updating based on the bid/ask. It could still get slightly off
-      # in a case where a short transaction setting a new low appears in
-      # between ticks of data that TWS sends you.  The high is probably
-      # distorted in the same way the low is, which would throw your
-      # results off if the stock traded after-hours and gapped down. It
-      # should be corrected in a similar way as described above if this
-      # is important to you."
-      #
-      # IB then emits at most 2 events on eWrapper:
-      #          tickPrice( tickerId, tickType, price, canAutoExecute)
-      #          tickSize( tickerId, sizeTickType, size)
-
-      TickSize = def_message [2, 6], AbstractTick,
-                             [:ticker_id, :int],
-                             [:tick_type, :int],
-                             [:size, :int]
-    end
-  end
-end
-

data/lib/ib/messages/incoming/tick_string.rb

@@ -1,13 +0,0 @@
-module IB
-  module Messages
-    module Incoming
-      extend Messages # def_message macros
-
-      TickString = def_message [46, 6], AbstractTick,
-                               [:ticker_id, :int],
-                               [:tick_type, :int],
-                               [:value, :string]
-    end
-  end
-end
-

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

@@ -1,193 +0,0 @@
-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

@@ -1,147 +0,0 @@
-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