ib-api 972.0

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

@@ -0,0 +1,209 @@
+module IB
+  module Messages
+    module Outgoing
+
+      # Data format is { :id => int: local_id,
+      #                  :contract => Contract,
+      #                  :order => Order }
+      PlaceOrder = def_message [3, 45]				## ServerVersion > 145:  def_message[ 0,45 ]
+																							## server-version is not known at compilation time
+																							## Method call has to be replaced then
+																							## Max-Client_ver --> 144!!
+
+      class PlaceOrder
+				
+        def encode
+#					server_version = Connection.current.server_version
+          order = @data[:order]
+          contract = @data[:contract]
+					error "contract has to be specified" unless contract.is_a? IB::Contract
+         [super[0..-1],
+#	  [ [3,45, @data[:local_id] ],
+           contract.serialize_short(:primary_exchange, :sec_id_type),
+
+           # main order fields
+           (order.side == :short ? 'SSHORT' : order.side == :short_exempt ? 'SSHORTX' : order.side.to_sup),
+					 order.total_quantity,
+           order[:order_type], # Internal code, 'LMT' instead of :limit
+           order.limit_price,		
+           order.aux_price,
+           order[:tif],
+           order.oca_group,
+           order.account,
+           order.open_close.to_sup[0],
+           order[:origin],  # translates :customer, :firm  to 0,1
+           order.order_ref,
+           order.transmit,
+           order.parent_id,
+           order.block_order || false,
+           order.sweep_to_fill || false,
+           order.display_size,
+           order[:trigger_method],
+           order.outside_rth || false, # was: ignore_rth
+           order.hidden || false,
+           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     
+	          []    
+	  end,	      
+	     
+
+           "", # deprecated shares_allocation field
+           order.discretionary_amount,	    
+           order.good_after_time,
+           order.good_till_date,
+           [ order.fa_group,
+           order.fa_method,
+           order.fa_percentage,
+           order.fa_profile ] ,
+	   order.model_code || "",
+           order[:short_sale_slot] || 0 , # 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,
+           order.all_or_none || false,
+           order.min_quantity || "",
+           order.percent_offset || '',
+           order.etrade_only || false,
+           order.firm_quote_only || false,
+           order.nbbo_price_cap || "",
+           order[:auction_strategy],
+           order.starting_price,
+           order.stock_ref_price || "",
+           order.delta || "",
+           order.stock_range_lower || "",
+           order.stock_range_upper || "",
+           order.override_percentage_constraints || false,
+					 if order.volatility.present?
+           [ order.volatility , #              Volatility orders
+           order[:volatility_type] || 2 ] #     default: annual volatility
+						else
+						["",""]
+					 end,
+           # Support for delta neutral orders with parameters
+           if order.delta_neutral_order_type && order.delta_neutral_order_type != :none
+             [order[:delta_neutral_order_type],
+              order.delta_neutral_aux_price || "",
+              order.delta_neutral_con_id,
+              order.delta_neutral_settling_firm,
+              order.delta_neutral_clearing_account,
+              order[:delta_neutral_clearing_intent],
+							order.delta_neutral_open_close,
+							order.delta_neutral_short_sale,
+							order.delta_neutral_short_sale_slot,
+							order.delta_neutral_designated_location ]
+           else
+             ['', '']
+           end,
+
+           order.continuous_update, #        Volatility orders
+           order[:reference_price_type] || "", #   Volatility orders
+
+           order.trail_stop_price || "", #         TRAIL_STOP_LIMIT stop price
+           order.trailing_percent || "", #         Support for trailing percent
+
+           order.scale_init_level_size || "", #    Scale Orders
+           order.scale_subs_level_size || "", #    Scale Orders
+           order.scale_price_increment || "", #    Scale Orders
+
+           # Support for extended scale orders parameters
+           if order.scale_price_increment && order.scale_price_increment > 0
+             [order.scale_price_adjust_value || "",
+              order.scale_price_adjust_interval || "",
+              order.scale_profit_offset || "",
+              order.scale_auto_reset, #  default: false,
+              order.scale_init_position || "",
+              order.scale_init_fill_qty || "",
+              order.scale_random_percent # default: false,
+              ]
+           else
+             []
+           end,
+
+	      order.scale_table,		 # v 69
+	      order.active_start_time || "" ,	 # v 69
+	      order.active_stop_time || "" ,	 # v 69
+
+           # Support for hedgeType
+           order.hedge_type, # MIN_SERVER_VER_HEDGE_ORDERS
+           order.hedge_param || [],
+
+           order.opt_out_smart_routing, # MIN_SERVER_VER_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,      # MIN_SERVER_VER_LINKING
+	   order.solicided ,		      # MIN_SERVER_VER_ORDER_SOLICITED
+	   order.random_size ,		      # MIN_SERVER_VER_RANDOMIZE_SIZE_AND_PRICE
+	   order.random_price ,		      # MIN_SERVER_VER_RANDOMIZE_SIZE_AND_PRICE
+	   ( order[:type] == 'PEG BENCH' ? [	# pegged_to_benchmark  v. 102
+	    order.reference_contract_id,
+	    order.is_pegged_change_amount_decrease,
+	    order.pegged_change_amount,
+	    order.reference_change_amount,
+	    order.reference_exchange_id ] : [] ),
+		 order.serialize_conditions ,   # serialisation of conditions outsourced to model file
+	   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 ,
+	   order.ext_operator ,		      # MIN_SERVER_VER_EXT_OPERATOR:
+		 order.soft_dollar_tier_name,
+		 order.soft_dollar_tier_value,
+		 order.soft_dollar_tier_display_name,
+#	   order.serialize_soft_dollar_tier() ,	      # MIN_SERVER_VER_SOFT_DOLLAR_TIER
+	   order.cash_qty , 		      # MIN_SERVER_VER_CASH_QTY  /111)
+#			 if server_version >= 138   # :min_server_ver_decision_maker 
+				 [ order.mifid_2_decision_maker, order.mifid_2_decision_algo],
+#				end ,
+#				if server_version >= 139 # min_server_ver_mifid_execution  
+				[ order.mifid_2_execution_maker, order.mifid_2_execution_algo ],
+#				end,
+#				if server_version >= 141 # min_server_ver_auto_price_for_hedge 
+				order.dont_use_auto_price_for_hedge,
+#				end,
+#				if server_version >= 145 #	min_server_ver_order_container
+					order.is_O_ms_container,
+#				end,
+#				if server_version >= 148 # 	min_server_ver_d_peg_orders
+					order.discretionary_up_to_limit_price
+#				end ]
+				]
+#
+#
+#
+#	   if self.serverVersion() >= MIN_SERVER_VER_AUTO_PRICE_FOR_HEDGE:141
+#            flds.append(make_field(order.dontUseAutoPriceForHedge))
+#
+#        if self.serverVersion() >= MIN_SERVER_VER_ORDER_CONTAINER:145
+#            flds.append(make_field(order.isOmsContainer))
+#
+#        if self.serverVersion() >= MIN_SERVER_VER_D_PEG_ORDERS: 148
+#            flds.append(make_field(order.discretionaryUpToLimitPrice))
+#
+#  
+
+        end
+      end # PlaceOrder
+
+
+    end # module Outgoing
+  end # module Messages
+end # module IB

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

@@ -0,0 +1,99 @@
+
+module IB
+  module Messages
+    module Outgoing
+      extend Messages # def_message macros
+
+
+      # @data={:id => int: ticker_id - Must be a unique value. When the market data
+      #                                returns, it will be identified by this tag,
+			#                                if omitted, id-autogeneration process is performed
+      #      :contract => IB::Contract, requested contract.
+      #      :tick_list => String: comma delimited list of requested tick groups:
+      #        Group ID - Description - Requested Tick Types
+      #        100 - Option Volume (currently for stocks) - 29, 30
+      #        101 - Option Open Interest (currently for stocks) - 27, 28
+      #        104 - Historical Volatility (currently for stocks) - 23
+      #	       105 - Average Opt Volume,  # new 971
+      #        106 - Option Implied Volatility (impvolat) - 24
+      #	       107   (climpvlt)  # new 971
+      #	       125   (Bond analytic data) # new 971
+      #        162 - Index Future Premium - 31
+      #        165 - Miscellaneous Stats - 15, 16, 17, 18, 19, 20, 21
+      #	       166  (CScreen)   # new 971,
+      #        221/220 - Creditman, Mark Price (used in TWS P&L computations) - 37
+      #        225 - Auction values (volume, price and imbalance) - 34, 35, 36
+      #	       232/221(Pl-price )  # new 971
+      #        233 - RTVolume - 48
+      #        236 - Shortable (inventory) - 46
+      #        256 - Inventory - ?
+      #        258 - Fundamental Ratios - 47
+      #        291 - (ivclose)                          
+      #        292 - (Wide News)                          
+      #        293 - (TradeCount)                          
+      #        295 - (VolumeRate)                          
+      #        318 - (iLastRTHT-Trade)                          
+      #        370 - (Participation Monitor)
+      #        375 - RTTrdVolumne
+      #        377 - CttTickTag
+      #        381 - IB-Rate
+      #        384 - RfdTickRespTag
+      #        387 -  DMM
+      #        388 - Issuer Fundamentals
+      #        391 - IBWarrantImplVolCompeteTick
+      #        405 - Index Capabilities
+      #        407 - Futures Margins
+      #        411 - Realtime Historical Volatility - 58
+      #        428 - Monetary Close
+      #        439 - MonitorTicTag
+      #        456/59 - IB Dividends
+      #        459 - RTCLOSE
+      #        460 - Bond Factor Multiplier
+      #        499 - Fee and Rebate Ratge
+      #        506 - midptiv
+      #
+      #        511(hvolrt10 (per-underlying)),
+      #        512(hvolrt30 (per-underlying)),
+      #        513(hvolrt50 (per-underlying)),
+      #        514(hvolrt75 (per-underlying)),
+      #        515(hvolrt100 (per-underlying)),
+      #        516(hvolrt150 (per-underlying)),
+      #        517(hvolrt200 (per-underlying)),
+      #        521(fzmidptiv),
+      #        545(vsiv),
+      #        576(EtfNavBidAsk(navbidask)),
+      #        577(EtfNavLast(navlast)),
+      #        578(EtfNavClose(navclose)),
+      #        584(Average Opening Vol.),
+      #        585(Average Closing Vol.),
+      #        587(Pl Price Delayed),
+      #        588(Futures Open Interest),
+      #        595(Short-Term Volume X Mins),
+      #        608(EMA N),
+      #        614(EtfNavMisc(hight/low)),
+      #        619(Creditman Slow Mark Price),
+      #        623(EtfFrozenNavLast(fznavlast)	      ## updated 2018/1/21
+      #
+      #      :snapshot => bool: Check to return a single snapshot of market data and
+      #                   have the market data subscription canceled. Do not enter any
+      #                   :tick_list values if you use snapshot. 
+      #
+      #      :regulatory_snapshot => bool - With the US Value Snapshot Bundle for stocks,
+      #                   regulatory snapshots are available for 0.01 USD each.
+      #      :mktDataOptions => (TagValueList)  For internal use only.
+      #                    Use default value XYZ. 
+      #
+      RequestMarketData =
+          def_message [1, 11], :request_id,
+                      [:contract, :serialize_short, :primary_exchange],  # include primary exchange in request
+                      [:contract, :serialize_legs, []],
+                      [:contract, :serialize_under_comp, []],
+                      [:tick_list, lambda do |tick_list|
+                        tick_list.is_a?(Array) ? tick_list.join(',') : (tick_list || '')
+                      end, []],
+                      [:snapshot, false],
+		      [:regulatory_snapshot, false],
+		      [:mkt_data_options, "XYZ"]
+    end
+  end
+end

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

@@ -0,0 +1,21 @@
+
+module IB
+  module Messages
+    module Outgoing
+      extend Messages # def_message macros
+
+
+
+      RequestTickByTickData = 
+											def_message [0, 97], :request_id,			# autogenerated if not specified
+                      [:contract, :serialize_short, :primary_exchange],  # include primary exchange in request
+											:tick_type,  # a string  supported: "Last", "AllLast", "BidAsk" or "MidPoint".
+											# Server_version >= 140
+											 :number_of_ticks,  # int
+										 :ignore_size      # bool
+
+      CancelTickByTickData =
+          def_message [0, 98], :request_id
+    end
+  end
+end

data/lib/ib/model.rb

@@ -0,0 +1,4 @@
+# lightweigth tables are used
+require 'ib/base_properties'
+require 'ib/base'
+	IB::Model = IB::Base

data/lib/ib/models.rb

@@ -0,0 +1,14 @@
+  require 'ib/model'
+
+  require 'models/ib/account'
+  require 'models/ib/account_value'
+  require 'models/ib/contract_detail'
+  require 'models/ib/underlying'
+  require 'models/ib/contract'
+  require 'models/ib/order_state'
+  require 'models/ib/portfolio_value'
+  require 'models/ib/order'
+  require 'models/ib/combo_leg'
+  require 'models/ib/execution'
+  require 'models/ib/bar'
+	require 'models/ib/condition'

data/lib/ib/server_versions.rb

@@ -0,0 +1,114 @@
+=begin
+taken from the python-client code
+
+Copyright (C) 2016 Interactive Brokers LLC. All rights reserved.  This code is
+subject to the terms and conditions of the IB API Non-Commercial License or the
+ IB API Commercial License, as applicable.
+
+
+
+The known server versions.
+=end
+
+known_servers = {
+#min_server_ver_real_time_bars       => 34,
+#min_server_ver_scale_orders         => 35,
+#min_server_ver_snapshot_mkt_data    => 35,
+#min_server_ver_sshort_combo_legs    => 35,
+#min_server_ver_what_if_orders       => 36,
+#min_server_ver_contract_conid       => 37,
+:min_server_ver_pta_orders             => 39,
+:min_server_ver_fundamental_data       => 40,
+:min_server_ver_under_comp             => 40,
+:min_server_ver_contract_data_chain    => 40,
+:min_server_ver_scale_orders2          => 40,
+:min_server_ver_algo_orders            => 41,
+:min_server_ver_execution_data_chain   => 42,
+:min_server_ver_not_held               => 44,
+:min_server_ver_sec_id_type            => 45,
+:min_server_ver_place_order_conid      => 46,
+:min_server_ver_req_mkt_data_conid     => 47,
+:min_server_ver_req_calc_implied_volat => 49,
+:min_server_ver_req_calc_option_price  => 50,
+:min_server_ver_sshortx_old            => 51,
+:min_server_ver_sshortx                => 52,
+:min_server_ver_req_global_cancel      => 53,
+:min_server_ver_hedge_orders           => 54,
+:min_server_ver_req_market_data_type   => 55,
+:min_server_ver_opt_out_smart_routing  => 56,
+:min_server_ver_smart_combo_routing_params => 57,
+:min_server_ver_delta_neutral_conid    => 58,
+:min_server_ver_scale_orders3          => 60,
+:min_server_ver_order_combo_legs_price => 61,
+:min_server_ver_trailing_percent       => 62,
+:min_server_ver_delta_neutral_open_close => 66,
+:min_server_ver_positions              => 67,
+:min_server_ver_account_summary        => 67,
+:min_server_ver_trading_class          => 68,
+:min_server_ver_scale_table            => 69,
+:min_server_ver_linking                => 70,
+:min_server_ver_algo_id                => 71,
+:min_server_ver_optional_capabilities  => 72,
+:min_server_ver_order_solicited        => 73,
+:min_server_ver_linking_auth           => 74,
+:min_server_ver_primaryexch            => 75,
+:min_server_ver_randomize_size_and_price => 76,
+:min_server_ver_fractional_positions   => 101,
+:min_server_ver_pegged_to_benchmark    => 102,
+:min_server_ver_models_support         => 103,
+:min_server_ver_sec_def_opt_params_req => 104,
+:min_server_ver_ext_operator           => 105,
+:min_server_ver_soft_dollar_tier       => 106,
+:min_server_ver_req_family_codes       => 107,
+:min_server_ver_req_matching_symbols   => 108,
+:min_server_ver_past_limit             => 109,
+:min_server_ver_md_size_multiplier     => 110,
+:min_server_ver_cash_qty               => 111,
+:min_server_ver_req_mkt_depth_exchanges => 112,
+:min_server_ver_tick_news              => 113,
+:min_server_ver_req_smart_components   => 114,
+:min_server_ver_req_news_providers     => 115,
+:min_server_ver_req_news_article       => 116,
+:min_server_ver_req_historical_news    => 117,
+:min_server_ver_req_head_timestamp     => 118,
+:min_server_ver_req_histogram          => 119,
+:min_server_ver_service_data_type      => 120,
+:min_server_ver_agg_group              => 121,
+:min_server_ver_underlying_info        => 122,
+:min_server_ver_cancel_headtimestamp   => 123,
+:min_server_ver_synt_realtime_bars     => 124,
+:min_server_ver_cfd_reroute            => 125,
+:min_server_ver_market_rules           => 126,
+:min_server_ver_pnl                    => 127,
+:min_server_ver_news_query_origins     => 128,
+:min_server_ver_unrealized_pnl         => 129,
+:min_server_ver_historical_ticks       => 130,
+:min_server_ver_market_cap_price       => 131,
+:min_server_ver_pre_open_bid_ask       => 132,
+:min_server_ver_real_expiration_date   => 134,
+:min_server_ver_realized_pnl           => 135,
+:min_server_ver_last_liquidity         => 136,
+:min_server_ver_tick_by_tick           => 137,
+:min_server_ver_decision_maker         => 138,
+:min_server_ver_mifid_execution        => 139,
+:min_server_ver_tick_by_tick_ignore_size => 140,
+:min_server_ver_auto_price_for_hedge     => 141,
+:min_server_ver_what_if_ext_fields       => 142,
+:min_server_ver_scanner_generic_opts     => 143,
+:min_server_ver_api_bind_order           => 144,
+:min_server_ver_order_container          => 145, ### > Version Field in Order dropped
+:min_server_ver_smart_depth              => 146,
+:min_server_ver_remove_null_all_casting  => 147,
+:min_server_ver_d_peg_orders             => 148
+
+
+
+
+}
+# 100+ messaging */
+# 100 = enhanced handshake, msg length prefixes
+
+MIN_CLIENT_VER = 100
+MAX_CLIENT_VER = 137 #known_servers[:min_server_ver_d_peg_orders]
+
+# imessages/outgoing/request_tick_Data is prepared for change to ver. 140 , its commented for now