ib-api 972.0

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

@@ -0,0 +1,88 @@
+require 'ib/messages/abstract_message'
+
+module IB
+  module Messages
+    module Outgoing
+
+      # Container for specific message classes, keyed by their message_ids
+      Classes = {}
+
+      class AbstractMessage < IB::Messages::AbstractMessage
+
+        def initialize data={}
+          @data = data
+          @created_at = Time.now
+        end
+
+        # This causes the message to send itself over the server socket in server[:socket].
+        # "server" is the @server instance variable from the IB object.
+        # You can also use this to e.g. get the server version number.
+        #
+        # Subclasses can either override this method for precise control over how
+        # stuff gets sent to the server, or else define a method encode() that returns
+        # an Array of elements that ought to be sent to the server by calling to_s on
+        # each one and postpending a '\0'.
+        #
+        def send_to socket
+	  ### debugging of outgoing Messages
+	 # puts "------sendto ---------(debugging output in outgoing/abstract_message)" 
+	 #  puts socket.prepare_message( self.preprocess).inspect.split('\x00')[3..-1].inspect
+	 # puts "------sendto ---------"
+          socket.send_messages self.preprocess #.each {|data| socket.write_data data}
+        end
+
+        # Same message representation as logged by TWS into API messages log file
+        def to_s
+          self.preprocess.join('-')
+        end
+
+        # Pre-process encoded message Array before sending into socket, such as
+        # changing booleans into 0/1 and stuff
+        def preprocess
+          self.encode.flatten.map {|data| data == true ? 1 : data == false ? 0 : data }
+        end
+
+        # Encode message content into (possibly, nested) Array of values.
+        # At minimum, encoded Outgoing message contains message_id and version.
+        # Most messages also contain (ticker, request or order) :id.
+        # Then, content of @data Hash is encoded per instructions in data_map.
+        # This method may be modified by message subclasses!
+	#
+	# If the version is zero, omit its apperance (for historical data)
+        def encode
+					## create a proper request_id  and erase :id and :ticker_id if nessesary
+					if self.class.properties?.include?(:request_id) 
+						@data[:request_id] = if  @data[:request_id].blank? && @data[:ticker_id].blank? && @data[:id].blank?
+																	 rand(9999)  
+																 else
+																	 @data[:id] || @data[:ticker_id] || @data[:request_id] 
+																 end
+						@data[:id] = @data[:ticker_id] = nil
+					end
+         [
+	   self.class.version.zero? ? self.class.message_id : [ self.class.message_id, self.class.version ],
+           @data[:id] || @data[:ticker_id] ||# @data[:request_id] ||  # id, ticker_id, local_id, order_id
+           @data[:local_id] || @data[:order_id] || [],								# do not appear in data_map
+           self.class.data_map.map do |(field, default_method, args)| # but request_id does
+             case
+             when default_method.nil?
+               @data[field]
+	
+             when default_method.is_a?(Symbol) # method name with args
+               @data[field].send default_method, *args 
+
+             when default_method.respond_to?(:call) # callable with args
+               default_method.call @data[field], *args
+
+             else # default
+               @data[field].nil? ? default_method : @data[field] # may be false still
+             end
+           end
+           ]
+          # TWS wants to receive booleans as 1 or 0
+        end
+
+      end # AbstractMessage
+    end # module Outgoing
+  end # module Messages
+end # module IB

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

@@ -0,0 +1,112 @@
+
+module IB
+  module Messages
+    module Outgoing
+
+      RequestManagedAccounts = def_message 17
+
+      # @data = { :subscribe => boolean,
+      #           :account_code => Advisor accounts only. Empty ('') for a standard account. }
+      RequestAccountUpdates = RequestAccountData = def_message([6, 2], 
+                                                               [:subscribe, true],
+                                                               :account_code)
+=begin
+  Call this method to request and keep up to date the data that appears
+        on the TWS Account Window Summary tab. The data is returned by
+        accountSummary().
+
+        Note:   This request is designed for an FA managed account but can be
+        used for any multi-account structure.
+
+        reqId:int - The ID of the data request. Ensures that responses are matched
+            to requests If several requests are in process.
+        groupName:str - Set to All to returnrn account summary data for all
+            accounts, or set to a specific Advisor Account Group name that has
+            already been created in TWS Global Configuration.
+        tags:str - A comma-separated list of account tags.  Available tags are:
+            accountountType
+            NetLiquidation,
+            TotalCashValue - Total cash including futures pnl
+            SettledCash - For cash accounts, this is the same as
+            TotalCashValue
+            AccruedCash - Net accrued interest
+            BuyingPower - The maximum amount of marginable US stocks the
+                account can buy
+            EquityWithLoanValue - Cash + stocks + bonds + mutual funds
+            PreviousDayEquityWithLoanValue,
+            GrossPositionValue - The sum of the absolute value of all stock
+                and equity option positions
+            RegTEquity,
+            RegTMargin,
+            SMA - Special Memorandum Account
+            InitMarginReq,
+            MaintMarginReq,
+            AvailableFunds,
+            ExcessLiquidity,
+            Cushion - Excess liquidity as a percentage of net liquidation value
+            FullInitMarginReq,
+            FullMaintMarginReq,
+            FullAvailableFunds,
+            FullExcessLiquidity,
+            LookAheadNextChange - Time when look-ahead values take effect
+            LookAheadInitMarginReq,
+            LookAheadMaintMarginReq,
+            LookAheadAvailableFunds,
+            LookAheadExcessLiquidity,
+            HighestSeverity - A measure of how close the account is to liquidation
+            DayTradesRemaining - The Number of Open/Close trades a user
+                could put on before Pattern Day Trading is detected. A value of "-1"
+                means that the user can put on unlimited day trades.
+            Leverage - GrossPositionValue / NetLiquidation
+            $LEDGER - Single flag to relay all cash balance tags*, only in base
+                currency.
+            $LEDGER:CURRENCY - Single flag to relay all cash balance tags*, only in
+                the specified currency.
+            $LEDGER:ALL - Single flag to relay all cash balance tags* in all
+            currencies.
+
+=end
+					RequestAccountSummary = def_message( 62,
+											  :request_id, # autogenerated if not specified
+						[:group, 'All'],
+						:tags )
+
+					CancelAccountSummary	=  def_message 63 # :request_id  required
+
+					# Note: The reqPositions function is not available in Introducing
+					# Broker or Financial Advisor master accounts that have very large
+					# numbers of subaccounts (> 50) to optimize the performance of TWS/IB
+					# Gateway v973+. Instead the function reqPositionsMulti can be used
+					# to subscribe to updates from individual subaccounts. Also not
+					# available with IBroker accounts configured for on-demand account
+					# lookup.
+					RequestPositions			=  def_message 61
+					CancelPositions				=  def_message 64
+
+		
+					# The function reqPositionsMulti can be used with any
+					# account structure to subscribe to positions updates for multiple
+					# accounts and/or models. The account and model parameters are
+					# optional if there are not multiple accounts or models available. 
+					RequestPositionsMulti = def_message( 74,  :request_id, # autogenerated
+						 [ :account, 'ALL' ],
+						 [:model_code, nil ] )
+
+					CancelPositionsMulti = def_message( 75, :request_id ) # required
+
+					RequestAccountUpdatesMulti = def_message( 76, :request_id, # autogenerated
+						 [ :account, 'ALL'],													# account or account-group	
+						 [:model_code, nil],
+						 [:leger_and_nlv, nil ])
+					CancelAccountUpdatesMulti = def_message 77, :request_id  #  required
+		end # module outgoing
+	end # module messages 
+end # module ib
+
+#     REQ_POSITIONS                 = 61
+#     REQ_ACCOUNT_SUMMARY           = 62
+#     CANCEL_ACCOUNT_SUMMARY        = 63
+#     CANCEL_POSITIONS              = 64
+
+#     REQ_ACCOUNT_UPDATES_MULTI     = 76
+#     CANCEL_ACCOUNT_UPDATES_MULTI  = 77

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

@@ -0,0 +1,250 @@
+module IB
+  module Messages
+    module Outgoing
+
+      # 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
+
+          contract = data[:contract].is_a?(IB::Contract) ?
+              data[:contract] : IB::Contract.from_ib_ruby(data[:contract])
+
+          [data_type, nil, 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] ,
+	   "XYZ"   # not suported realtimebars option string
+	  ]
+        end
+      end # RequestRealTimeBars
+
+			## python reference (9.74)
+			# def reqHistoricalData(self, reqId:TickerId , contract:Contract, endDateTime:str,
+      #                    durationStr:str, barSizeSetting:str, whatToShow:str,
+      #										useRTH:int, formatDate:int, keepUpToDate:bool, chartOptions:TagValueList)
+      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
+	  'XYZ'	#  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. """