ib-api 972.0

data/lib/ib/errors.rb

@@ -0,0 +1,44 @@
+module IB
+
+  # Error handling
+  class Error < RuntimeError
+  end
+
+  class ArgumentError < ArgumentError
+  end
+
+  class SymbolError < ArgumentError
+  end
+
+  class LoadError < LoadError
+  end
+
+  class FlexError < RuntimeError
+  end
+
+  class TransmissionError < RuntimeError
+  end
+end # module IB
+
+# Patching Object with universally accessible top level error method. 
+# The method is used throughout the lib instead of plainly raising exceptions. 
+# This allows lib user to easily inject user-specific error handling into the lib 
+# by just replacing Object#error method.
+def error message, type=:standard, backtrace=nil
+  e = case type
+  when :standard
+    IB::Error.new message
+  when :args
+    IB::ArgumentError.new message
+  when :symbol
+    IB::SymbolError.new message
+  when :load
+    IB::LoadError.new message
+  when :flex
+    IB::FlexError.new message
+  when :reader
+    IB::TransmissionError.new message
+  end
+  e.set_backtrace(backtrace) if backtrace
+  raise e
+end

data/lib/ib/logger.rb

@@ -0,0 +1,26 @@
+require "logger"
+module LogDev
+	# define default_logger 
+	def default_logger
+		@default_logger ||=  Logger.new(STDOUT).tap do |l|
+			l.formatter = proc do |severity, datetime, progname, msg|
+				#   "#{datetime.strftime("%d.%m.(%X)")}#{"%5s" % severity}->#{progname}##{msg}\n"
+				## the default logger displays the message only
+				msg.to_s + "\n"
+			end
+			l.level = Logger::INFO
+		end
+	end
+
+
+	def default_logger= logger
+		@default_logger = logger
+	end
+
+	# Add universally accessible log method/accessor into Object
+	def log *args
+		default_logger.tap do |logger|
+			logger.fatal *args unless args.empty?
+		end
+	end
+end # module

data/lib/ib/messages.rb

@@ -0,0 +1,99 @@
+require 'ib/server_versions'
+module IB
+
+  module Messages
+  	# This gem supports incoming/outgoing IB messages compatible with the following
+  	# IB client/server versions:
+    CLIENT_VERSION = 66 #  => API V  9.71
+    SERVER_VERSION =  "v"+ MIN_CLIENT_VER.to_s + ".." + MAX_CLIENT_VER.to_s  # extracted from the python-client			  
+  end
+end
+
+require 'ib/messages/outgoing'
+require 'ib/messages/incoming'
+
+__END__
+    // Client version history
+    //
+    //  6 = Added parentId to orderStatus
+    //  7 = The new execDetails event returned for an order filled status and reqExecDetails
+    //     Also market depth is available.
+    //  8 = Added lastFillPrice to orderStatus() event and permId to execution details
+    //  9 = Added 'averageCost', 'unrealizedPNL', and 'unrealizedPNL' to updatePortfolio event
+    // 10 = Added 'serverId' to the 'open order' & 'order status' events.
+    //      We send back all the API open orders upon connection.
+    //      Added new methods reqAllOpenOrders, reqAutoOpenOrders()
+    //      Added FA support - reqExecution has filter.
+    //                       - reqAccountUpdates takes acct code.
+    // 11 = Added permId to openOrder event.
+    // 12 = requsting open order attributes ignoreRth, hidden, and discretionary
+    // 13 = added goodAfterTime
+    // 14 = always send size on bid/ask/last tick
+    // 15 = send allocation description string on openOrder
+    // 16 = can receive account name in account and portfolio updates, and fa params in openOrder
+    // 17 = can receive liquidation field in exec reports, and notAutoAvailable field in mkt data
+    // 18 = can receive good till date field in open order messages, and request intraday backfill
+    // 19 = can receive rthOnly flag in ORDER_STATUS
+    // 20 = expects TWS time string on connection after server version >= 20.
+    // 21 = can receive bond contract details.
+    // 22 = can receive price magnifier in version 2 contract details message
+    // 23 = support for scanner
+    // 24 = can receive volatility order parameters in open order messages
+    // 25 = can receive HMDS query start and end times
+    // 26 = can receive option vols in option market data messages
+    // 27 = can receive delta neutral order type and delta neutral aux price in place order version 20: API 8.85
+    // 28 = can receive option model computation ticks: API 8.9
+    // 29 = can receive trail stop limit price in open order and can place them: API 8.91
+    // 30 = can receive extended bond contract def, new ticks, and trade count in bars
+    // 31 = can receive EFP extensions to scanner and market data, and combo legs on open orders
+    //    ; can receive RT bars
+    // 32 = can receive TickType.LAST_TIMESTAMP
+    //    ; can receive "whyHeld" in order status messages
+    // 33 = can receive ScaleNumComponents and ScaleComponentSize is open order messages
+    // 34 = can receive whatIf orders / order state
+    // 35 = can receive contId field for Contract objects
+    // 36 = can receive outsideRth field for Order objects
+    // 37 = can receive clearingAccount and clearingIntent for Order objects
+    // 38 = can receive multiplier and primaryExchange in portfolio updates
+    //    ; can receive cumQty and avgPrice in execution
+    //    ; can receive fundamental data
+    //    ; can receive underComp for Contract objects
+    //    ; can receive reqId and end marker in contractDetails/bondContractDetails
+    //    ; can receive ScaleInitComponentSize and ScaleSubsComponentSize for Order objects
+    // 39 = can receive underConId in contractDetails
+    // 40 = can receive algoStrategy/algoParams in openOrder
+    // 41 = can receive end marker for openOrder
+    //    ; can receive end marker for account download
+    //    ; can receive end marker for executions download
+    // 42 = can receive deltaNeutralValidation
+    // 43 = can receive longName(companyName)
+    //    ; can receive listingExchange
+    //    ; can receive RTVolume tick
+    // 44 = can receive end market for ticker snapshot
+    // 45 = can receive notHeld field in openOrder
+    // 46 = can receive contractMonth, industry, category, subcategory fields in contractDetails
+    //    ; can receive timeZoneId, tradingHours, liquidHours fields in contractDetails
+    // 47 = can receive gamma, vega, theta, undPrice fields in TICK_OPTION_COMPUTATION
+    // 48 = can receive exemptCode in openOrder
+    // 49 = can receive hedgeType and hedgeParam in openOrder
+    // 50 = can receive optOutSmartRouting field in openOrder
+    // 51 = can receive smartComboRoutingParams in openOrder
+    // 52 = can receive deltaNeutralConId, deltaNeutralSettlingFirm, deltaNeutralClearingAccount and deltaNeutralClearingIntent in openOrder
+    // 53 = can receive orderRef in execution
+    // 54 = can receive scale order fields (PriceAdjustValue, PriceAdjustInterval, ProfitOffset, AutoReset,
+    //      InitPosition, InitFillQty and RandomPercent) in openOrder
+    // 55 = can receive orderComboLegs (price) in openOrder
+    // 56 = can receive trailingPercent in openOrder
+    // 57 = can receive commissionReport message
+    // 58 = can receive CUSIP/ISIN/etc. in contractDescription/bondContractDescription
+    // 59 = can receive evRule, evMultiplier in contractDescription/bondContractDescription/executionDetails
+    //      can receive multiplier in executionDetails
+    // 60 = can receive deltaNeutralOpenClose, deltaNeutralShortSale, deltaNeutralShortSaleSlot and              …deltaNeutralDesignatedLocation in openOrder
+    // 61 = can receive multiplier in openOrder
+    //      can receive tradingClass in openOrder, updatePortfolio, execDetails and position
+    // 62 = can receive avgCost in position message
+    // 63 = can receive verifyMessageAPI, verifyCompleted, displayGroupList and displayGroupUpdated messages
+    // 64 = can receive solicited attrib in openOrder message
+    // 65 = can receive verifyAndAuthMessageAPI and verifyAndAuthCompleted messages
+    // 66 = can receive randomize size and randomize price order fields
+

data/lib/ib/messages/abstract_message.rb

@@ -0,0 +1,101 @@
+module IB
+  module Messages
+
+    # This is just a basic generic message from the server.
+    #
+    # Class variables:
+    # @message_id - int: message id.
+    # @message_type - Symbol: message type (e.g. :OpenOrderEnd)
+    #
+    # Instance attributes (at least):
+    # @version - int: current version of message format.
+    # @data - Hash of actual data read from a stream.
+    class AbstractMessage
+
+      # Class methods
+      def self.data_map # Map for converting between structured message and raw data
+        @data_map ||= []
+      end
+
+      def self.version # Per class, minimum message version supported
+        @version || 1
+      end
+
+      def self.message_id
+        @message_id
+      end
+
+      # Returns message type Symbol (e.g. :OpenOrderEnd)
+      def self.message_type
+        to_s.split(/::/).last.to_sym
+      end
+
+      def message_id
+        self.class.message_id
+      end
+
+			def request_id
+				@data[:request_id].presence || nil
+			end
+
+      def message_type
+        self.class.message_type
+      end
+
+      attr_accessor :created_at, :data
+
+			def self.properties?
+				@given_arguments
+			end
+
+
+      def to_human
+        "<#{self.message_type}:" +
+        @data.map do |key, value|
+          unless [:version].include?(key)
+            " #{key} #{ value.is_a?(Hash) ? value.inspect : value}"
+          end
+        end.compact.join(',') + " >"
+      end
+
+    end # class AbstractMessage
+
+    # Macro that defines short message classes using a one-liner.
+    #   First arg is either a [message_id, version] pair or just message_id (version 1)
+    #   data_map contains instructions for processing @data Hash. Format:
+    #      Incoming messages: [field, type] or [group, field, type]
+    #      Outgoing messages: field, [field, default] or [field, method, [args]]
+    def def_message message_id_version, *data_map, &to_human
+      base = data_map.first.is_a?(Class) ? data_map.shift : self::AbstractMessage
+      message_id, version = message_id_version
+
+      # Define new message class
+      message_class = Class.new(base) do
+        @message_id, @version = message_id, version || 1
+        @data_map = data_map
+				@given_arguments =[]
+
+        @data_map.each do |(name, _, type_args)|
+					dont_process = name == :request_id # [ :request_id, :local_id, :id ].include? name.to_sym 
+					@given_arguments << name.to_sym
+          # Avoid redefining existing accessor methods
+          unless instance_methods.include?(name.to_s) || instance_methods.include?(name.to_sym) || dont_process
+            if type_args.is_a?(Symbol) # This is Incoming with [group, field, type]
+              attr_reader name
+            else
+              define_method(name) { @data[name] } 
+            end
+          end
+        end
+
+        define_method(:to_human, &to_human) if to_human
+      end
+
+      # Add defined message class to Classes Hash keyed by its message_id
+      self::Classes[message_id] = message_class
+
+      message_class
+    end
+
+  end # module Messages
+end # module IB

data/lib/ib/messages/incoming.rb

@@ -0,0 +1,251 @@
+require 'ib/messages/incoming/abstract_message'
+
+# EClientSocket.java uses sendMax() rather than send() for a number of these.
+# It sends an EOL rather than a number if the value == Integer.MAX_VALUE (or Double.MAX_VALUE).
+# These fields are initialized to this MAX_VALUE.
+# This has been implemented with nils in Ruby to represent the case where an EOL should be sent.
+
+# TODO: Don't instantiate messages, use their classes as just namespace for .encode/decode
+# TODO: realize Message#fire method that raises EWrapper events
+
+module IB
+  module Messages
+
+    # Incoming IB messages (received from TWS/Gateway)
+    module Incoming
+      extend Messages # def_message macros
+
+      ### Define short message classes in-line:
+
+
+      NewsBulletins =
+          def_message 14, [:request_id, :int], # unique incrementing bulletin ID.
+                      [:type, :int], # Type of bulletin. Valid values include:
+                      #     1 = Regular news bulletin
+                      #     2 = Exchange no longer available for trading
+                      #     3 = Exchange is available for trading
+                      [:text, :string], # The bulletin's message text.
+                      [:exchange, :string] # Exchange from which this message originated.
+
+
+      # Receives an converted XML document that describes the valid parameters that a scanner
+      # subscription can have (for outgoing RequestScannerSubscription message).
+      ScannerParameters = def_message 19, [:xml, :xml]
+
+			class  ScannerParameters 
+				# returns a List of Hashes specifing Instruments. 
+				# >  C.received[:ScannerParameters].first.instruments.first
+				# => {:name=>"US Stocks", 
+				#     :type=>"STK", 
+				#     :filters=>"AFTERHRSCHANGEPERC,AVGOPTVOLUME,AVGPRICETARGET,AVGRATING,AVGTARGET2PRICERATIO,AVGVOLUME,AVGVOLUME_USD,CHANGEOPENPERC,CHANGEPERC,EMA_20,EMA_50,EMA_100,EMA_200,PRICE_VS_EMA_20,PRICE_VS_EMA_50,PRICE_VS_EMA_100,PRICE_VS_EMA_200,DAYSTOCOVER,DIVIB,DIVYIELD,DIVYIELDIB,FEERATE,FIRSTTRADEDATE,GROWTHRATE,HALTED,HASOPTIONS,HISTDIVIB,HISTDIVYIELDIB,IMBALANCE,IMBALANCEADVRATIOPERC,IMPVOLAT,IMPVOLATOVERHIST,INSIDEROFFLOATPERC,INSTITUTIONALOFFLOATPERC,MACD,MACD_SIGNAL,MACD_HISTOGRAM,MKTCAP,MKTCAP_USD,NEXTDIVAMOUNT,NEXTDIVDATE,NUMPRICETARGETS,NUMRATINGS,NUMSHARESINSIDER,NUMSHARESINSTITUTIONAL,NUMSHARESSHORT,OPENGAPPERC,OPTVOLUME,OPTVOLUMEPCRATIO,PERATIO,PILOT,PPO,PPO_SIGNAL,PPO_HISTOGRAM,PRICE,PRICE2BK,PRICE2TANBK,PRICERANGE,PRICE_USD,QUICKRATIO,REBATERATE,REGIMBALANCE,REGIMBALANCEADVRATIOPERC,RETEQUITY,SHORTABLESHARES,SHORTOFFLOATPERC,SHORTSALERESTRICTED,SIC,ISSUER_COUNTRY_CODE,SOCSACT,SOCSNET,STKTYPE,STVOLUME_3MIN,STVOLUME_5MIN,STVOLUME_10MIN,TRADECOUNT,TRADERATE,UNSHORTABLE,VOLUME,VOLUMERATE,VOLUME_USD,RCGLTCLASS,RCGLTENDDATE,RCGLTIVALUE,RCGLTTRADE,RCGITCLASS,RCGITENDDATE,RCGITIVALUE,RCGITTRADE,RCGSTCLASS,RCGSTENDDATE,RCGSTIVALUE,RCGSTTRADE", 
+				#     :group=>"STK.GLOBAL", 
+				#     :shortName=>"US", 
+				#     :cloudScanNotSupported=>"false"}
+				def instruments
+					@data[:xml][:ScanParameterResponse][:InstrumentList].first[:Instrument]
+				end
+
+				# returns a List of Hashes specifing ScanTypes
+				# >  C.received[:ScannerParameters].first.scan_types.first
+				# => {:displayName=>"Assets Under Management (AltaVista) Desc", 
+				#			:scanCode=>"SCAN_etfAssets_DESC", 
+				#			:instruments=>"ETF.EQ.US,ETF.FI.US", 
+				#			:absoluteColumns=>"false", 
+				#			:Columns=>{:ColumnSetRef=>{:colId=>"0", :name=>"PctPerf", :display=>"false", :displayType=>"DATA"}, 
+				#			:Column=>{:colId=>"6031", :name=>"Assets Under Management", :display=>"true", :displayType=>"DATA"}}, 
+				#			:supportsSorting=>"true", 
+				#			:respSizeLimit=>"2147483647", :snapshotSizeLimit=>"2147483647", 
+				#			:searchDefault=>"false", :access=>"unrestricted"} 
+# 
+
+				def scan_types
+					@data[:xml][:ScanParameterResponse][:ScanTypeList][:ScanType]
+				end
+			end
+
+      # Receives the current system time on the server side.
+      CurrentTime = def_message 49, [:time, :int] # long!
+
+
+			HeadTimeStamp = def_message( [88, 0], [:request_id, :int], [:date,  :int_date] ) do
+				# def to_human
+					"<#{self.message_type}:" +
+						"Request #{request_id}, First Historical Datapoint @ #{date.to_s}«"
+			end
+
+      # Receive Reuters global fundamental market data. There must be a subscription to
+      # Reuters Fundamental set up in Account Management before you can receive this data.
+      FundamentalData = def_message 51, [:request_id, :int], [:xml, :xml]
+
+      ContractDataEnd = def_message 52, [:request_id, :int]
+
+      OpenOrderEnd = def_message 53
+
+      AccountDownloadEnd = def_message 54, [:account_name, :string]
+
+      ExecutionDataEnd = def_message 55, [:request_id, :int]
+
+      MarketDataType = def_message 58, [:request_id, :int], [:market_data_type, :int] do
+					"<#{self.message_type}:" +
+						" switched to »#{MARKET_DATA_TYPES[market_data_type]}«" # to_human
+				end
+
+      CommissionReport =
+          def_message 59, [:exec_id, :string],
+                      [:commission, :decimal], # Commission amount.
+                      [:currency, :string], # Commission currency
+                      [:realized_pnl, :decimal_max],
+                      [:yield, :decimal_max],
+                      [:yield_redemption_date, :int] # YYYYMMDD format
+
+			SecurityDefinitionOptionParameter = OptionChainDefinition = def_message [75,0] , 
+																[:request_id, :int],
+																[:exchange, :string],
+																[:con_id, :int],   # underlying_con_id
+																[:trading_class, :string],
+																[:multiplier, :int]
+
+			class OptionChainDefinition
+					using IBSupport   # defines tws-method for Array  (socket.rb)
+					def load
+						super
+						load_map 	[:expirations, :array, proc {  @buffer.read_date }],
+											[:strikes, :array, proc {  @buffer.read_decimal } ]
+					end
+					def expirations
+						@data[:expirations]
+					end
+					def strikes
+						@data[:strikes]
+					end
+
+					def to_human
+						"OptionChainDefinition #{trading_class}@#{exchange} [#{multiplier} X ] strikes: #{strikes.first} - #{strikes.last} expirations: #{expirations.first} - #{expirations.last}"
+					end
+			end
+																
+
+
+			 OptionChainDefinitionEnd  = SecurityDefinitionOptionParameterEnd = def_message [76,0 ],
+																[ :request_id, :int ]
+
+
+      #<- 1-9-789--USD-CASH-----IDEALPRO--CAD------
+      #-> ---81-123-5.0E-5--0-
+
+			MarketDepthExchanges =  def_message [80,0], 
+																[ :request_id, :int ]
+
+      TickRequestParameters = def_message [81, 0], [ :ticker_id, :int ],
+					      [ :min_tick, :decimal],
+					      [ :exchange, :string ],
+					      [ :snapshot_prermissions, :int ]
+#      class TickRequestParameters 
+#	def load
+#	  simple_load
+#	end
+ #     end
+
+      ### Require standalone source files for more complex message classes:
+
+      require 'ib/messages/incoming/alert'
+      require 'ib/messages/incoming/contract_data'
+      require 'ib/messages/incoming/delta_neutral_validation'
+      require 'ib/messages/incoming/execution_data'
+      require 'ib/messages/incoming/historical_data'
+      require 'ib/messages/incoming/market_depths'
+      require 'ib/messages/incoming/next_valid_id'
+      require 'ib/messages/incoming/open_order'
+      require 'ib/messages/incoming/order_status'
+      require 'ib/messages/incoming/account_value'
+      require 'ib/messages/incoming/portfolio_value'
+      require 'ib/messages/incoming/real_time_bar'
+      require 'ib/messages/incoming/scanner_data'
+      require 'ib/messages/incoming/ticks'
+
+    end # module Incoming
+  end # module Messages
+end # module IB
+
+
+__END__
+    // incoming msg id's
+    ## api 9.71v (python)
+    # incoming msg id's
+    class IN:
+        TICK_PRICE                = 1
+        TICK_SIZE                 = 2
+        ORDER_STATUS              = 3
+        ERR_MSG                   = 4
+        OPEN_ORDER                = 5
+        ACCT_VALUE                = 6
+        PORTFOLIO_VALUE           = 7
+        ACCT_UPDATE_TIME          = 8
+        NEXT_VALID_ID             = 9
+        CONTRACT_DATA             = 10
+        EXECUTION_DATA            = 11
+        MARKET_DEPTH              = 12
+        MARKET_DEPTH_L2           = 13
+        NEWS_BULLETINS            = 14
+        MANAGED_ACCTS             = 15
+        RECEIVE_FA                = 16
+        HISTORICAL_DATA           = 17
+        BOND_CONTRACT_DATA        = 18
+        SCANNER_PARAMETERS        = 19
+        SCANNER_DATA              = 20
+        TICK_OPTION_COMPUTATION   = 21
+        TICK_GENERIC              = 45
+        TICK_STRING               = 46
+        TICK_EFP                  = 47
+        CURRENT_TIME              = 49
+        REAL_TIME_BARS            = 50
+        FUNDAMENTAL_DATA          = 51
+        CONTRACT_DATA_END         = 52
+        OPEN_ORDER_END            = 53
+        ACCT_DOWNLOAD_END         = 54
+        EXECUTION_DATA_END        = 55
+        DELTA_NEUTRAL_VALIDATION  = 56
+        TICK_SNAPSHOT_END         = 57
+        MARKET_DATA_TYPE          = 58
+        COMMISSION_REPORT         = 59   ## 
+	### const below are new in api 9.71
+        POSITION_DATA             = 61
+        POSITION_END              = 62
+        ACCOUNT_SUMMARY           = 63
+        ACCOUNT_SUMMARY_END       = 64
+        VERIFY_MESSAGE_API        = 65
+        VERIFY_COMPLETED          = 66
+        DISPLAY_GROUP_LIST        = 67
+        DISPLAY_GROUP_UPDATED     = 68
+        VERIFY_AND_AUTH_MESSAGE_API = 69
+        VERIFY_AND_AUTH_COMPLETED   = 70
+        POSITION_MULTI            = 71
+        POSITION_MULTI_END        = 72
+        ACCOUNT_UPDATE_MULTI      = 73
+        ACCOUNT_UPDATE_MULTI_END  = 74
+        SECURITY_DEFINITION_OPTION_PARAMETER = 75
+        SECURITY_DEFINITION_OPTION_PARAMETER_END = 76
+        SOFT_DOLLAR_TIERS         = 77
+        FAMILY_CODES              = 78
+        SYMBOL_SAMPLES            = 79
+        MKT_DEPTH_EXCHANGES       = 80
+        TICK_REQ_PARAMS           = 81
+        SMART_COMPONENTS          = 82
+        NEWS_ARTICLE              = 83
+        TICK_NEWS                 = 84
+        NEWS_PROVIDERS            = 85
+        HISTORICAL_NEWS           = 86
+        HISTORICAL_NEWS_END       = 87
+        HEAD_TIMESTAMP            = 88
+        HISTOGRAM_DATA            = 89
+        HISTORICAL_DATA_UPDATE    = 90
+        REROUTE_MKT_DATA_REQ      = 91
+        REROUTE_MKT_DEPTH_REQ     = 92
+        MARKET_RULE               = 93
+        PNL                       = 94
+        PNL_SINGLE                = 95
+        HISTORICAL_TICKS          = 96
+        HISTORICAL_TICKS_BID_ASK  = 97
+        HISTORICAL_TICKS_LAST     = 98
+        TICK_BY_TICK              = 99
+