ib-api 972.0 → 972.4

data/lib/models/ib/combo_leg.rb

@@ -83,6 +83,28 @@ module IB
        ].flatten
     end
 
+    
+     # fields are generated by serialize(:extended)
+    # i.e.
+# z=  Strangle.build from: Symbols::Index.stoxx, p: 3700, c: 4000, expiry: 202106
+# zc= z.combo_legs.serialize :extended
+# => [[321584786, 1, "BUY", "DTB", 0, 0, "", -1], [321584637, 1, "BUY", "DTB", 0, 0, "", -1]] 
+# nz = zc.map{|o| ComboLeg.build *o }
+# zc.map{|o| ComboLeg.build o }     =>    #  is equivalent
+# => [#<IB::ComboLeg:0x0000000001c36bc0 @attributes={:con_id=>321584786, :ratio=>1, :side=>"B", :exchange=>"DTB", ... 
+# nz.first == z.combo_legs.first    => true 
+# 
+    def self.build *fields
+      self.new Hash[[:con_id,
+                 :ratio,
+                 :side,    #  reverse to_sup?
+                 :exchange,
+                 :open_close,
+                 :short_sale_slot,
+                 :designated_location,
+                 :exempt_code].zip fields]
+    end
+
     def to_human
       "<ComboLeg: #{side} #{ratio} con_id #{con_id} at #{exchange}>"
     end

data/lib/models/ib/contract.rb

@@ -4,7 +4,14 @@ require 'models/ib/underlying'
 
 
 module IB
-  class Contract < IB::Model
+
+  if defined?(Contract) 
+		#Connection.current.logger.warn "Contract already a #{defined?(Contract)}"
+
+#		puts Contract.ancestors
+#		IB.send(:remove_const, 'Contract')
+	end
+  class Contract <  IB::Model
     include BaseProperties
 
     # Fields are Strings unless noted otherwise
@@ -113,7 +120,7 @@ module IB
 
     def default_attributes  # :nodoc:
       super.merge :con_id => 0,
-        :strike => 0.0,
+        :strike => "",
         :right => :none, # Not an option
        # :exchange => 'SMART',
         :include_expired => false
@@ -130,13 +137,13 @@ module IB
 
     def serialize *fields  # :nodoc:
       print_default = ->(field, default="") { field.blank? ? default : field }
-      print_not_zero = ->(field, default="") { field.to_i.zero? ? default : field }
       [(con_id.present? && !con_id.is_a?(Symbol) && con_id.to_i > 0 ? con_id : ""),
        print_default[symbol],
        print_default[self[:sec_type]],
        ( fields.include?(:option) ?
        [ print_default[expiry], 
-				 print_not_zero[strike], 
+			##  a Zero-Strike-Option  has to be defined with  «strike: -1 »
+				 strike.present? && ( strike.is_a?(Numeric) && !strike.zero? && strike > 0 )  ?  strike : strike<0 ?  0 : "",
 				 print_default[self[:right]], 
 				 print_default[multiplier]] : nil ),
        print_default[exchange],
@@ -211,17 +218,22 @@ module IB
 		# the link to contract-details is __not__ maintained.
 		def  essential
 
-			self_attributes = [ :right, :sec_type]
-			the_attributes = [ :symbol , :con_id,   :exchange, 
+			the_attributes = [ :sec_type, :symbol , :con_id,   :exchange, :right, 
 									  :currency, :expiry,  :strike,   :local_symbol, :last_trading_day,
-								:multiplier,  :primary_exchange, :trading_class ]
-			the_hash= the_attributes.map{|x| y= attributes[x];  [x,y] if y.present?  }.compact.to_h
-			the_hash[:description] = @description if @description.present?
-			self.class.new   the_hash.merge( self_attributes.map{|x| y = self.send(x);  [x,y] unless y == :none}.compact.to_h )
+								:multiplier,  :primary_exchange, :trading_class, :description ]
+			new_contract= self.class.new invariant_attributes.select{|k,_| the_attributes.include? k }.compact
+      new_contract[:description] = if @description.present? 
+                                     @description 
+                                   elsif contract_detail.present?
+                                     contract_detail.long_name
+                                   else 
+                                     ""
+                                   end
+      new_contract # return contract
 		end
 
 
-		# creates a new Contract substituting attributes by the provied key-value pairs.
+		# creates a new Contract substituting attributes by the provided key-value pairs.
 		#
 		# con_id is resetted
 		def merge **new_attributes
@@ -327,6 +339,10 @@ module IB
       self[:sec_type] == 'IND'
     end
 
+
+		def verify  # :nodoc:
+			error "verify must be overloaded. Please require at least `ib/verify` from the `ib-extenstions` gem "
+		end
 =begin
 From the release notes of TWS 9.50
 
@@ -364,20 +380,33 @@ In places where these terms are used to indicate a concept, we have left them as
 
 
   ### Now let's deal with Contract subclasses
+	begin
 
-  require 'models/ib/option'
+  require_relative 'option'
   require 'models/ib/bag'
   require 'models/ib/forex'
   require 'models/ib/future'
   require 'models/ib/stock'
   require 'models/ib/index'
+	### walkaraound to enable spreads with orientdb 
+	if IB::const_defined? :Spread
+		IB::send(:remove_const, :Spread)
+		#puts "Spread already defined"
+		#puts "erasing"
+  end
+  require 'models/ib/spread.rb'
+	end
+
+
 
   class Contract
     # Contract subclasses representing specialized security types.
+    using IBSupport
 
     Subclasses = Hash.new(Contract)
     Subclasses[:bag] = IB::Bag
     Subclasses[:option] = IB::Option
+    Subclasses[:futures_option] = IB::FutureOption
     Subclasses[:future] = IB::Future
     Subclasses[:stock] = IB::Stock
     Subclasses[:forex] =  IB::Forex
@@ -385,31 +414,14 @@ In places where these terms are used to indicate a concept, we have left them as
 
 
     # This builds an appropriate Contract subclass based on its type
-		#
-		# the method is also used to copy Contract.values to new instances
+    #
+    # the method is also used to copy Contract.values to new instances
     def self.build opts = {}
       subclass =( VALUES[:sec_type][opts[:sec_type]] || opts['sec_type'] || opts[:sec_type]).to_sym
       Contract::Subclasses[subclass].new opts
     end
 
-    # This returns a Contract initialized from the serialize_ib_ruby format string.
-    def self.from_ib_ruby 
-      keys = [:con_id, :symbol, :sec_type, :expiry, :strike, :right, :multiplier,
-              :exchange, :primary_exchange, :currency, :local_symbol]
-      props = Hash[keys.zip(string.split(":"))]
-      props.delete_if { |k, v| v.nil? || v.empty? }
-      Contract.build props
-    end
+
   end # class Contract
 end # module IB
 
-class String
-	def to_contract
-      keys = [:con_id, :symbol, :sec_type, :expiry, :strike, :right, :multiplier,
-              :exchange, :primary_exchange, :currency, :local_symbol]
-      props = Hash[keys.zip(split(":"))]
-      props.delete_if { |k, v| v.nil? || v.empty? }
-      IB::Contract.build props
-
-	end
-end

data/lib/models/ib/contract_detail.rb

@@ -95,13 +95,19 @@ module IB
     end
 
 		def to_human
-			ret = "<ContractDetails  #{long_name}, market-name:#{market_name}, "
-			ret << "category:#{category}, industry:#{industry} / #{subcategory}, " if category.present?
-			ret << "underlying: con_id:#{under_con_id} , sec_type:#{under_sec_type}, symbol:#{under_symbol} " unless under_con_id.zero?
-      ret << "ev_multiplier:#{ev_multiplier}, convertible:#{convertible}, cupon:#{coupon}, "
-			ret << "md_size_multiplier:#{md_size_multiplier}, min_tick:#{min_tick}, next_option_partial:#{next_option_partial} "
-			ret <<"price_magnifier:#{price_magnifier}, puttable:#{puttable}, sec_id-list:#{sec_id_list}, "
-			ret <<"valid exchanges: #{ valid_exchanges}, order types: #{order_types} >"
+			ret = "<ContractDetails  #{long_name}, "
+			ret << "--> #{market_name}, " if market_name.present?
+			ret << "/C/ #{category}, /I/ #{industry} /SC/ #{subcategory}, " if category.present?
+			ret << "Underlying:#{under_symbol}[#{under_sec_type}](#{under_con_id}), " unless under_con_id.zero?
+      ret << "ev_multiplier:#{ev_multiplier}, " if ev_multiplier.present?
+			ret << "convertible:#{convertible}, " if convertible
+			ret << "coupon:#{coupon}, " if coupon.present?  && coupon > 0 
+			ret << "md_size_multiplier:#{md_size_multiplier}, min_tick:#{min_tick}, "
+			ret << "next_option_partial:#{next_option_partial}, " if next_option_partial.present?
+			ret << "price_magnifier:#{price_magnifier}, " 
+			ret << "puttable:#{puttable}, " if puttable.present? 
+			ret << "sec_id-list:#{sec_id_list}, " unless sec_id_list.empty?
+			ret <<"valid exchanges: #{ valid_exchanges}; order types: #{order_types} >"
 		end
 
   end # class ContractDetail

data/lib/models/ib/index.rb

@@ -7,7 +7,7 @@ module IB
       super.merge :sec_type => :ind
     end
     def to_human
-      "<Index: " + [symbol, currency].join(" ") + ">"
+      "<Index: " + [symbol, currency].join(" ") + " (#{description}) >"
     end
 
   end

data/lib/models/ib/option.rb

@@ -1,5 +1,5 @@
-require 'models/ib/contract'
-require 'models/ib/option_detail'
+#require_relative 'contract'
+require_relative 'option_detail'
 
 module IB
   class Option < Contract
@@ -75,4 +75,10 @@ module IB
     end
 
   end # class Option
+
+	class FutureOption   < Option 
+    def default_attributes
+      super.merge :sec_type => :futures_option
+		end
+	end
 end # module IB

data/lib/models/ib/option_detail.rb

@@ -17,7 +17,8 @@ module IB
 	 :next_strike,
 	 :prev_expiry,
 	 :next_expiry,
-	 :option_price
+	 :option_price,
+	 :updated_at
     belongs_to :option
 
     # returns true if all datafields are filled with reasonal data
@@ -32,19 +33,34 @@ module IB
 
     def greeks?
      fields= [ :delta,  :gamma, :vega, :theta,
-         :implied_volatility, :pv_dividend]
+         :implied_volatility]
 
       !fields.detect{|y| self.send(y).nil?}
 
     end
 
+		def prices?
+			fields = [:implied_volatility, :under_price, :option_price]
+      !fields.detect{|y| self.send(y).nil?}
+		end
+
+		def iv
+			implied_volatility
+		end
+
+		def spread
+			bid_price - ask_price
+		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 + " >"
+				"< "+ prices + "\n" + att + "\n" + greeks + " >"
+			elsif prices?
+				"< " + att + greeks + " >"
       else
 	"< " + greeks + " >"
       end

data/lib/models/ib/order.rb

@@ -514,6 +514,11 @@ Format of serialisation
         (account ? "/#{account}" : '') +
         (commission ? " fee #{commission}" : '') + ">"
     end
+		def serialize_rabbit
+			{ 'Contract' => contract.present? ? contract.serialize( :option, :trading_class ): '' ,
+		 'Order' =>  self,
+		 'OrderState' => order_state}
+		end
 
   end # class Order
 end # module IB

data/lib/models/ib/spread.rb

@@ -0,0 +1,168 @@
+# require 'ib/verify'
+module IB
+  if defined?(Spread) 
+		puts "Bag already a #{defined?(Spread)}"
+
+#		puts Spread.ancestors
+		IB.send(:remove_const, 'Spread')
+	end
+  class Spread  < Bag
+		has_many :legs
+
+		using IBSupport
+
+=begin
+Parameters:   front: YYYMM(DD)
+							back: {n}w, {n}d or YYYYMM(DD)
+
+Adds (or substracts) relative (back) measures to the front month, just passes absolute YYYYMM(DD) value
+	
+	front: 201809   back:  2m (-1m) --> 201811 (201808)
+	front: 20180908 back:  1w (-1w) --> 20180918 (20180902)
+=end
+
+		def transform_distance front, back
+			# Check Format of back: 201809 --> > 200.000
+			#	                      20180989 ---> 20.000.000
+			start_date = front.to_i < 20000000 ?  Date.strptime(front.to_s,"%Y%m") :  Date.strptime(front.to_s,"%Y%m%d") 
+			nb = if back.to_i > 200000 
+						 back.to_i
+					 elsif back[-1] == "w" && front.to_i > 20000000
+						 start_date + (back.to_i * 7)
+					 elsif back[-1] == "m" && front.to_i > 200000
+						 start_date >> back.to_i
+					 else
+						 error "Wrong date #{back} required format YYYMM, YYYYMMDD ord {n}w or {n}m"
+					 end
+			if nb.is_a?(Date)	
+				if back[-1]=='w'
+					nb.strftime("%Y%m%d")
+				else
+					nb.strftime("%Y%m")
+				end
+			else
+				nb
+			end 
+		end # def 
+	
+		def to_human
+			self.description
+		end
+
+		def calculate_spread_value( array_of_portfolio_values )
+			array_of_portfolio_values.map{|x| x.send yield }.sum if block_given?
+		end
+	
+		def fake_portfolio_position(  array_of_portfolio_values )
+				calculate_spread_value= ->( a_o_p_v, attribute ) do
+							a_o_p_v.map{|x| x.send attribute }.sum 
+				end
+				ar=array_of_portfolio_values
+				IB::PortfolioValue.new  contract: self, 
+					average_cost: 	calculate_spread_value[ar, :average_cost],
+					market_price: 	calculate_spread_value[ar, :market_price],
+					market_value: 	calculate_spread_value[ar, :market_value],
+					unrealized_pnl: 	calculate_spread_value[ar, :unrealized_pnl],
+					realized_pnl: 	calculate_spread_value[ar, :realized_pnl],
+					position: 0
+
+		end
+
+
+		# adds a leg to any spread
+		#
+		# Parameter: 
+		#		contract:  Will be verified. Contract.essential is added to legs-array
+		#		action: :buy or :sell
+		#		weight:
+		#		ratio:
+		#		
+		#	Default:  action: :buy, 	weight: 1
+
+		def add_leg contract,  **leg_params
+			evaluated_contracts =  []
+			nc =	contract.verify.first.essential
+			#			weigth = 1 --> sets Combo.side to buy and overwrites the action statement
+#			leg_params[:weight] = 1 unless leg_params.key?(:weight) || leg_params.key?(:ratio)
+			if nc.is_a?( IB::Contract) && nc.con_id.present?
+					the_leg= ComboLeg.new( nc.attributes.slice( :con_id, :exchange )
+																					.merge( leg_params ))
+					self.combo_legs << the_leg 
+					self.description = "#{description.nil? ? "": description} added #{nc.to_human}" rescue "Spread: #{nc.to_human}"
+					self.legs << nc
+			end
+			self  # return value to enable chaining
+
+
+		end
+
+		# removes the contract from the spread definition
+		#
+		def remove_leg contract
+			contract.verify do |c|
+				legs.delete_if { |x| x.con_id == c.con_id }
+				combo_legs.delete_if { |x| x.con_id == c.con_id }
+				self.description = description + " removed #{c.to_human}"
+			end
+			self
+		end
+
+# essentail
+# effectivley clones the object
+# 
+		def essential
+      the_es = self.class.new invariant_attributes
+      the_es.legs = legs.map{|y| IB::Contract.build y.invariant_attributes}
+      the_es.combo_legs = combo_legs.map{|y| IB::ComboLeg.new y.invariant_attributes }
+      the_es.description = description
+      the_es  # return
+		end
+
+		def  multiplier
+			(legs.map(&:multiplier).sum/legs.size).to_i
+		end
+		
+		# provide a negative con_id
+		def con_id
+			if attributes[:con_id].present? && attributes[] < 0
+				attributes[:con_id]
+			else
+				-legs.map{ |x| x.is_a?(String) ? x.expand.con_id : x.con_id}.sum
+			end
+		end
+
+
+		def non_guaranteed= x
+      super.merge		combo_params: [ ['NonGuaranteed', x] ]
+		end
+
+
+		def non_guaranteed
+     	combo_params['NonGuaranteed']
+		end
+#  optional: specify default order prarmeters for all spreads
+#		def order_requirements
+#		 super.merge		symbol: symbol
+#		end
+
+
+		def self.build_from_json container
+			read_leg = ->(a) do 
+				  IB::ComboLeg.new :con_id => a.read_int,
+                           :ratio => a.read_int,
+                           :action => a.read_string,
+                           :exchange => a.read_string
+
+			end
+      object= self.new  container['Spread'].clone.read_contract
+      object.legs = container['legs'].map{|x| IB::Contract.build x.clone.read_contract}
+      object.combo_legs = container['combo_legs'].map{ |x| read_leg[ x.clone ] } 
+      object.description = container['misc'].clone.read_string
+			object
+
+		end
+
+	end
+
+
+end