ib-api 972.0 → 972.4
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +4 -4
- data/Gemfile.lock +36 -37
- data/README.md +48 -3
- data/VERSION +1 -1
- data/api.gemspec +1 -1
- data/bin/console +4 -8
- data/changelog.md +12 -0
- data/lib/ib/base_properties.rb +3 -4
- data/lib/ib/connection.rb +18 -16
- data/lib/ib/logger.rb +1 -1
- data/lib/ib/messages/incoming.rb +1 -1
- data/lib/ib/messages/incoming/abstract_message.rb +7 -7
- data/lib/ib/messages/incoming/account_value.rb +5 -1
- data/lib/ib/messages/incoming/contract_data.rb +0 -2
- data/lib/ib/messages/incoming/historical_data.rb +25 -5
- data/lib/ib/messages/incoming/ticks.rb +21 -60
- data/lib/ib/messages/outgoing.rb +4 -2
- data/lib/ib/messages/outgoing/abstract_message.rb +3 -3
- data/lib/ib/messages/outgoing/bar_requests.rb +4 -5
- data/lib/ib/messages/outgoing/request_marketdata.rb +10 -7
- data/lib/ib/models.rb +1 -1
- data/lib/ib/support.rb +32 -15
- data/lib/logging.rb +45 -0
- data/lib/models/ib/account.rb +0 -13
- data/lib/models/ib/bag.rb +7 -1
- data/lib/models/ib/bar.rb +1 -1
- data/lib/models/ib/combo_leg.rb +22 -0
- data/lib/models/ib/contract.rb +44 -32
- data/lib/models/ib/contract_detail.rb +13 -7
- data/lib/models/ib/index.rb +1 -1
- data/lib/models/ib/option.rb +8 -2
- data/lib/models/ib/option_detail.rb +19 -3
- data/lib/models/ib/order.rb +5 -0
- data/lib/models/ib/spread.rb +168 -0
- data/lib/models/ib/stock.rb +9 -3
- data/lib/models/ib/underlying.rb +4 -1
- data/lib/requires.rb +10 -3
- metadata +9 -20
- data/example/README.md +0 -76
- data/example/account_info +0 -54
- data/example/account_positions +0 -30
- data/example/account_summary +0 -88
- data/example/cancel_orders +0 -74
- data/example/fa_accounts +0 -25
- data/example/fundamental_data +0 -40
- data/example/historic_data_cli +0 -186
- data/example/list_orders +0 -45
- data/example/portfolio_csv +0 -81
- data/example/scanner_data +0 -62
- data/example/template +0 -19
- data/example/tick_data +0 -28
data/example/fa_accounts
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#!/usr/bin/env ruby
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#
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# This script receives Financial Adviser and Managed Accounts info
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require 'bundler/setup'
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require 'ib-api'
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# First, connect to IB TWS.
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ib = IB::Connection.new client_id: 1114, port: 4002 #, :port => 7496 # TWS
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# Subscribe to TWS alerts/errors and FA/managed account info
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ib.subscribe(:Alert, :ManagedAccounts, :ReceiveFA) { |msg| puts msg.to_human }
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##
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## type of Financial Advisor configuration data
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# being received from TWS. Valid values include:
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# 1 = GROUPS, 2 = PROFILE, 3 = ACCOUNT ALIASES
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ib.send_message :RequestFA, fa_data_type: 3
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ib.send_message :RequestManagedAccounts
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ib.wait_for :ReceiveFA
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data/example/fundamental_data
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#!/usr/bin/env ruby
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#
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# This script downloads Fundamental data for specific symbols from IB
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# This only works IF you have Reuters data subscription!
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require 'bundler/setup'
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require 'ib-api'
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# allocate two variables
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request_id, snapshot_data = nil
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ib = IB::Connection.new port: 7496, :client_id => 1112 do | gw | #, :port => 7496 # TWS
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gw.subscribe(:Alert) { |msg| puts msg.to_human }
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# Fundamental Data will arrive in XML format, we need to parse it
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gw.subscribe(:FundamentalData) { |msg| snapshot_data = msg.xml if msg.request_id == request_id }
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end
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# Request Fundamental Data for IBM. Possible report types:
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# 'estimates' - Estimates
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# 'finstat' - Financial statements
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# 'snapshot' - Summary
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request_id = ib.send_message :RequestFundamentalData,
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:contract => IB::Stock.new( symbol: 'ibm' ),
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:report_type => 'snapshot'
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# Needs some time to receive and parse XML. Standard timeout of 1 sec is just too low.
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ib.wait_for :FundamentalData
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# Now just extract and use all the fundamental data you needed
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puts snapshot_data[:ReportSnapshot][:TextInfo][:Text]
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pp snapshot_data[:ReportSnapshot][:Ratios]
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STDIN.gets
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puts "Displaying the complete transmitted data:"
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puts ""
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pp snapshot_data
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data/example/historic_data_cli
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#!/usr/bin/env ruby
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# This script connects to IB API, and downloads historic data
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require 'rubygems'
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require 'time'
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require 'getopt/long'
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require 'bundler/setup'
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require 'ib-api'
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include Getopt
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opt = Getopt::Long.getopts(
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["--help", BOOLEAN],
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["--end", REQUIRED],
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["--port", REQUIRED],
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["--security", REQUIRED],
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["--duration", REQUIRED],
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["--barsize", REQUIRED],
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["--csv", BOOLEAN],
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["--dateformat", REQUIRED],
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["--nonregularhours", BOOLEAN],
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["--what", OPTIONAL]
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)
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if opt["help"] || opt["security"].nil? || opt["security"].empty?
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puts <<ENDHELP
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This program requires a TWS or Gateway running on localhost.
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----------
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One argument is required: --security, the security specification you want, in
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"long serialized IB-Ruby" format. This is a colon-separated string of the format:
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symbol:security_type:expiry:strike:right:multiplier:exchange:primary_exchange:currency:local_symbol
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Fields not needed for a particular security should be left blank (e.g. strike and right are only relevant for options.)
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For example, to query the Apple 500 Strike Call expiring in January 2013, use:
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$ ./historic_data_cli --security AAPL:OPT:202101:200:CALL::SMART::USD:
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Consult contract.rb for allowed values, and see also the examples in the symbols/ directory
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(load them in irb and run security#serialize_ib_ruby to see the appropriate string.)
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----------
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Options:
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--end is is the last time we want data for. The default is now.
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This is eval'ed by Ruby, so you can use a Ruby expression, which must return a Time object.
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--duration is time period before --end, in seconds. The default is 86400 sec (1 day).
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TWS imposes limit of 86400 sec (1 day) worth of historic data per request.
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--what determines what the data will be comprised of. This can be
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"trades", "midpoint", "bid", or "ask". The default is "trades".
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--barsize determines how long each bar will be.
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Possible bar values (from the IB documentation):
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Values less than 30 sec do not appear to work for some securities.
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sec1 = 1 sec
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sec5 = 5 sec
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sec15 = 15 sec
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sec30 = 30 sec
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min1 = 1 minute
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min2 = 2 minutes
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min5 = 5 minutes
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min15 = 15 minutes (default)
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min30 = 30 minutes
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hour1 = 1 hour
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day1 = 1 day
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--nonregularhours : Normally, only data from the instrument's regular trading
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hours is returned. If --nonregularhours is given, all data available during the time
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span requested is returned, even for time intervals when the market was illiquid.
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--dateformat : 1 (default) human-readable time/date format, like "20050307 11:32:16".
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If you set it to 2 instead, you will get UNIX epoch offsets (seconds since Jan 1, 1970).
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--csv : print out the historic data in CSV format, with header.
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--port : 4001 for Gateway (default), 7496 for TWS, or your custom port
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ENDHELP
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exit
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end
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### Parameters
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# DURATION is how much historic data we want, in seconds, before END_DATE_TIME.
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DURATION = (opt["duration"] && opt["duration"].to_i) || 86400
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if DURATION > 86400
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STDERR.puts("\nTWS rejects --duration longer than 86400 seconds (1 day).\n")
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exit(1)
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end
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# This is the last time we want data for.
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END_DATE_TIME = (opt["end"] && eval(opt["end"]).to_ib) || Time.now.to_ib
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# This can be :trades, :midpoint, :bid, or :asked
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WHAT = (opt["what"] && opt["what"].to_sym) || :trades
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# Values less than 4 do not appear to actually work; they are rejected by the server.
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#
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BAR_SIZE = (opt["barsize"] && opt["barsize"].to_sym) || :min15
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# If REGULAR_HOURS_ONLY is set to 0, all data available during the time
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# span requested is returned, even data bars covering time
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# intervals where the market in question was illiquid. If useRTH
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# has a non-zero value, only data within the "Regular Trading
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# Hours" of the product in question is returned, even if the time
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# span requested falls partially or completely outside of them.
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REGULAR_HOURS_ONLY = opt["nonregularhours"] ? 0 : 1
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# Using a DATE_FORMAT of 1 will cause the dates in the returned
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# messages with the historic data to be in a text format, like
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# "20050307 11:32:16". If you set :format_date to 2 instead, you
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# will get an offset in seconds from the beginning of 1970, which
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# is the same format as the UNIX epoch time.
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DATE_FORMAT = (opt["dateformat"] && opt["dateformat"].to_i) || 1
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PORT = (opt["port"] && opt["port"]) || '4002'
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lastMessageTime = Queue.new # for communicating with the reader thread.
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# First, connect to IB TWS.
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ib = IB::Connection.new( :client_id => 1112, :port => PORT) do | gw|
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# Subscribe to TWS alerts/errors
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gw.subscribe(:Alert) { |msg| puts msg.to_human }
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# Subscribe to incoming HistoricalData events. The code passed in the
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# block will be executed when a message of the subscribed type is
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# received, with the received message as its argument. In this case,
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# we just print out the data.
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#
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# Note that we have to look the ticker id of each incoming message
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# up in local memory to figure out what security it relates to.
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# The incoming message packet from TWS just identifies it by ticker id.
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#
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gw.subscribe(:HistoricalData) do |msg|
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if opt["csv"]
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puts "date,time,open,high,low,close,volume,wap,has_gaps"
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msg.results.each do |datum|
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puts "#{datum.time},#{datum.open},#{datum.high},#{datum.low}," +
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"#{datum.close},#{datum.volume},#{datum.wap},#{datum.has_gaps}"
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end
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n
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STDERR.puts "Received #{msg.count} items:"
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msg.results.each { |datum| puts datum.to_s }
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end
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lastMessageTime.push(Time.now)
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end
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end
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# Now we actually request historical data for the symbols we're
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# interested in. TWS will respond with a HistoricalData message,
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# which will be received by the code above.
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ib.send_message :RequestHistoricalData,
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:request_id => 123,
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:contract => opt["security"],
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:end_date_time => END_DATE_TIME,
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:duration => DURATION, # seconds == 1 hour
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:bar_size => BAR_SIZE, # 1 minute bars
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:what_to_show => WHAT,
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:use_RTH => REGULAR_HOURS_ONLY,
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:keep_up_todate => 0,
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:format_date => DATE_FORMAT
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# A complication here is that IB does not send any indication when all historic data
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# is done being delivered. So we have to guess - when there is no more new data for
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# some period, we interpret that as "end of data" and exit.
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sleep 2
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while true
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lastTime = lastMessageTime.pop # blocks until a message is ready on the queue
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sleep 0.1 # .. wait ..
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exit if lastMessageTime.empty? # if still no more messages after 2 more seconds, exit.
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end
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data/example/list_orders
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#!/usr/bin/env ruby
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#
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# This script retrieves list of all Orders from TWS
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require 'bundler/setup'
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require 'ib-api'
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# Connect to IB as 0 (TWS) to retrieve all Orders, including TWS-generated ones
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ib = IB::Connection.new :client_id => 0 do |gw| # , :port => 7497 # TWS
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# Subscribe to TWS alerts/errors and order-related messages
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counter = 0
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gw.subscribe(:Alert, :ManagedAccounts, :OrderStatus, :OpenOrderEnd) { |msg| puts msg.to_human }
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gw.subscribe(:OpenOrder) do |msg|
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counter += 1
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puts "#{counter}: #{msg.to_human}"
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# Get rid of logging verbosity
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gw.logger.level = Logger::FATAL
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end
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end
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## fire request
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ib.send_message :RequestAllOpenOrders
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# Wait for IB to respond to our request
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ib.wait_for :OpenOrderEnd
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sleep 1 # Let printer do the job
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=begin
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---> expected output
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1: <OpenOrder: <Bag: GOOG SMART USD legs: 269330045|1,269562569|1,301964119|-2 > <Order: LMT GTC buy 10.0 0.06 PreSubmitted #9/561364885 from 1112/DU167349 fee 0.0>>
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<OrderStatus: <OrderState: PreSubmitted #9/561364885 from 1112 filled 0.0/10.0 at 0.0/0.0 why_held locate>>
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2:<OpenOrder: <Stock: WFC USD> <Order: LMT DAY sell 100.0 34.05 PreSubmitted #19/561364895 from 1112/DU167349 fee 0.0>>
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<OrderStatus: <OrderState: PreSubmitted #19/561364895 from 1112 filled 0.0/100.0 at 0.0/0.0 why_held child,locate>>
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3: <OpenOrder: <Stock: WFC USD> <Order: STP DAY sell 100.0 0.0 PreSubmitted /33.55#18/561364894 from 1112/DU167349 fee 0.0>>
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<OrderStatus: <OrderState: PreSubmitted #18/561364894 from 1112 filled 0.0/100.0 at 0.0/0.0 why_held child,locate,trigger>>
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4: <OpenOrder: <Bag: GOOG SMART USD legs: 269330045|1,269562569|1,301964119|-2 > <Order: LMT GTC buy 10.0 0.06 PreSubmitted #8/1562725198 from 1112/DU167349 fee 0.0>>
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<OrderStatus: <OrderState: PreSubmitted #8/1562725198 from 1112 filled 0.0/10.0 at 0.0/0.0 why_held locate>>
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5: <OpenOrder: <Stock: WFC USD> <Order: LMT GTC buy 100.0 1.72 Submitted #3/1562725193 from 1112/DU167349 fee 0.0>>
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<OrderStatus: <OrderState: Submitted #3/1562725193 from 1112 filled 0.0/100.0 at 0.0/0.0 why_held >>
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<OpenOrderEnd: >
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=end
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data/example/portfolio_csv
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#!/usr/bin/env ruby
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#
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# This script exports your IB portfolio in a CSV format. Usage:
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# $ example/portfolio_csv [account] > portfolio.csv
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require 'bundler/setup'
|
7
|
-
require 'ib-ruby'
|
8
|
-
|
9
|
-
# Only for Advisors: you need to provide account id such as U666777
|
10
|
-
account = ARGV[0] || ''
|
11
|
-
accounts = []
|
12
|
-
|
13
|
-
# Connect to IB TWS and subscribe to events
|
14
|
-
ib = IB::Connection.new( :client_id => 1112 , port: 4002 ) do |gw| # , :port => 7496 # TWS
|
15
|
-
|
16
|
-
# Redirect TWS alerts/errors to STDERR to keep output file clean
|
17
|
-
#gw.subscribe(:Alert) { |msg| STDERR.puts msg.to_human }
|
18
|
-
|
19
|
-
# Subscribe to TWS alerts/errors and account-related messages
|
20
|
-
# that TWS sends in response to account data request
|
21
|
-
gw.subscribe(:Alert) do |msg|
|
22
|
-
## if an account is not given. but required, (Error 321 indicates this)
|
23
|
-
## fetch data from the last account detected. (The first is most probably the Advisor-Account)
|
24
|
-
if msg.code == 321
|
25
|
-
account = accounts.last
|
26
|
-
gw.send_message :RequestAccountData, :subscribe => true, :account_code => account
|
27
|
-
else
|
28
|
-
puts msg.to_human
|
29
|
-
end
|
30
|
-
end
|
31
|
-
# Silently ignore account-related messages other than :PortfolioValue
|
32
|
-
gw.subscribe(:AccountUpdateTime, :AccountValue, :ManagedAccounts, :AccountDownloadEnd) {}
|
33
|
-
# Get rid of logging verbosity
|
34
|
-
gw.logger.level = Logger::FATAL
|
35
|
-
|
36
|
-
## Just in case: put account-names into accounts-array
|
37
|
-
gw.subscribe(:ManagedAccounts){ |msg| accounts = msg.accounts_list.split ',' }
|
38
|
-
end
|
39
|
-
|
40
|
-
# Output CSV headers
|
41
|
-
puts %w[Symbol
|
42
|
-
SecType
|
43
|
-
Expiry
|
44
|
-
Strike
|
45
|
-
Right
|
46
|
-
Currency
|
47
|
-
LocalSymbol
|
48
|
-
Position
|
49
|
-
MarketPrice
|
50
|
-
MarketValue
|
51
|
-
AvgCost
|
52
|
-
UnrealizedPNL
|
53
|
-
RealizedPNL
|
54
|
-
Account].map {|val| "\"#{val}\""}.join(",")
|
55
|
-
|
56
|
-
# Output each portfolio position as a single line in CSV format
|
57
|
-
ib.subscribe(:PortfolioValue) do |msg|
|
58
|
-
contract = msg.contract
|
59
|
-
csv = [ contract.symbol,
|
60
|
-
IB::CODES[:sec_type][contract.sec_type],
|
61
|
-
contract.expiry,
|
62
|
-
contract.strike == 0 ? "" : contract.strike,
|
63
|
-
contract.right == :none ? "" : contract.right,
|
64
|
-
contract.currency,
|
65
|
-
contract.local_symbol,
|
66
|
-
msg.position,
|
67
|
-
msg.market_price,
|
68
|
-
msg.market_value,
|
69
|
-
msg.average_cost,
|
70
|
-
msg.unrealized_pnl,
|
71
|
-
msg.realized_pnl,
|
72
|
-
msg.account_name
|
73
|
-
].map {|val| "\"#{val}\""}.join(",")
|
74
|
-
puts csv
|
75
|
-
end
|
76
|
-
|
77
|
-
# Request account data, wait for its end, unsubscribe
|
78
|
-
ib.send_message :RequestAccountData, :subscribe => true, :account_code => account
|
79
|
-
ib.wait_for :AccountDownloadEnd, 30
|
80
|
-
ib.send_message :RequestAccountData, :subscribe => false, :account_code => account
|
81
|
-
sleep 0.5
|
data/example/scanner_data
DELETED
@@ -1,62 +0,0 @@
|
|
1
|
-
#!/usr/bin/env ruby
|
2
|
-
# This Script needs testing. remove this line after sucessfully using the scanner facility
|
3
|
-
#
|
4
|
-
# This script setups a scan request and retreives the results.
|
5
|
-
|
6
|
-
require 'rubygems'
|
7
|
-
require 'bundler/setup'
|
8
|
-
require 'ib-api'
|
9
|
-
|
10
|
-
|
11
|
-
|
12
|
-
# Connect to IB TWS.
|
13
|
-
ib = IB::Connection.new :client_id => 1112 , port: 7496 do | gw | #, :port => 7497 # TWS
|
14
|
-
|
15
|
-
|
16
|
-
# Subscribe to TWS alerts/errors
|
17
|
-
gw.subscribe(:Alert) { |msg| puts msg.to_human }
|
18
|
-
|
19
|
-
|
20
|
-
# Subscribe to ScannerData incoming events. The code passed in the block
|
21
|
-
# will be executed when a message of that type is received, with the received
|
22
|
-
# message as its argument. In this case, we just print out the data.
|
23
|
-
#
|
24
|
-
gw.subscribe(IB::Messages::Incoming::ScannerData) do |msg|
|
25
|
-
puts "ID: #{msg.request_id} : #{msg.count} items:"
|
26
|
-
msg.results.each { |entry| puts " #{entry}" }
|
27
|
-
end
|
28
|
-
end
|
29
|
-
id = 42
|
30
|
-
# Now we actually request scanner data for the type of scan we are interested.
|
31
|
-
# Some scan types can be found here: http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/tables/available_market_scanners.htm
|
32
|
-
mess = IB::Messages::Outgoing::RequestScannerSubscription.new(
|
33
|
-
:request_id => id,
|
34
|
-
:number_of_rows => 20,
|
35
|
-
:instrument => "STK",
|
36
|
-
:location_code => 'STK.US.MAJOR',
|
37
|
-
:scan_code => 'TOP_PERC_GAIN',
|
38
|
-
:above_price => 4.0,
|
39
|
-
:below_price => Float::MAX,
|
40
|
-
:above_volume => 5000,
|
41
|
-
:market_cap_above => 100000000,
|
42
|
-
:market_cap_below => Float::MAX,
|
43
|
-
:moody_rating_above => "",
|
44
|
-
:moody_rating_below => "",
|
45
|
-
:sp_rating_above => "",
|
46
|
-
:sp_rating_below => "",
|
47
|
-
:maturity_date_above => "",
|
48
|
-
:maturity_date_below => "",
|
49
|
-
:coupon_rate_above => Float::MAX,
|
50
|
-
:coupon_rate_below => Float::MAX,
|
51
|
-
:exclude_convertible => "",
|
52
|
-
:average_option_volume_above => "", # ?
|
53
|
-
:scanner_setting_pairs => "Annual,true",
|
54
|
-
:stock_type_filter => "Stock"
|
55
|
-
)
|
56
|
-
|
57
|
-
ib.send_message( mess )
|
58
|
-
|
59
|
-
# IB does not send any indication when all data is done being delivered.
|
60
|
-
# So we need to interrupt manually when our request is answered.
|
61
|
-
puts "\n******** Press <Enter> to exit... *********\n\n"
|
62
|
-
STDIN.gets
|
data/example/template
DELETED
@@ -1,19 +0,0 @@
|
|
1
|
-
#!/usr/bin/env ruby
|
2
|
-
#
|
3
|
-
# Your script description here...
|
4
|
-
|
5
|
-
require 'bundler/setup'
|
6
|
-
require 'ib-api'
|
7
|
-
|
8
|
-
# First, connect to IB TWS and subscribe for events.
|
9
|
-
ib = IB::Connection.new :client_id => 1112 do | gw | #, :port => 7497 # TWS
|
10
|
-
|
11
|
-
# Subscribe to TWS alerts/errors
|
12
|
-
gw.subscribe(:Alert, :ManagedAccounts) { |msg| puts msg.to_human }
|
13
|
-
# Set log level
|
14
|
-
gw.logger.level = Logger::FATAL # DEBUG -- INFO -- WARN -- ERROR -- FATAL
|
15
|
-
|
16
|
-
end
|
17
|
-
# Put your code here
|
18
|
-
# ...
|
19
|
-
|