ib-extensions 1.0

data/examples/market_price

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+#!/usr/bin/env ruby
+#
+# Fetching market-prices for 500 Contracts
+#
+# Ensure to run `ruby input.rb` prior to the first run. 
+# That initializes the watchlist `W500`.
+# 
+# First a (fast) asynchron request is fired. 
+# Second a (much slower) synchron attempt is drawn
+
+require 'bundler/setup'
+require 'ib/symbols'
+require 'ib/market-price'
+require 'yaml'
+
+# First, connect to IB TWS and subscribe for events. 
+ib = IB::Connection.new :client_id => 1112  do | gw | #, :port => 7497 # TWS
+
+	# Subscribe to TWS alerts/errors
+	gw.subscribe(:Alert) { |msg| puts msg.to_human }
+	# Set log level
+	gw.logger.level = Logger::FATAL # DEBUG  -- INFO -- WARN -- ERROR  -- FATAL
+
+end
+# Put your code here
+# ...
+ IB::Symbols.allocate_collection :w500
+
+ puts
+ puts '*'*40
+ puts "(1) asynchon fetching of snapshot data "
+ start =  Time.now; 
+ IB::Symbols::W500.bunch(45,1){|x| x.map{|y| y.market_price(thread: true)}}; 
+ 
+ print "Finished  Time:"
+ puts second_duration = Time.now - start
+ puts "Prices: "; sleep(7)
+ puts IB::Symbols::W500.map{|x| x.misc}.join( ' - ' )
+
+ IB::Connection.current.disconnect
+ IB::Connection.current.connect
+ puts '*'*40
+ puts "(2) sequencial fetching of snapshot data "
+ start =  Time.now; 
+ prices = IB::Symbols::W500.map &:market_price
+ 
+ print "Finished  Time:"
+ puts first_duration = Time.now - start
+
+ puts "Prices: #{prices.map( &:to_s ).join(" - ")}"
+
+
+ puts 
+ puts "first_duration:  #{first_duration} s "
+ puts "second_duration:  #{second_duration} s "
+
+ puts "finished"

data/examples/option_chain

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+#!/usr/bin/env ruby
+#
+# Gets the OptionChain of GE
+
+require 'bundler/setup'
+require 'ib-api'
+require 'ib/verify'
+
+# First, connect to IB TWS and subscribe for events. 
+ib = IB::Connection.new :client_id => 1112  do | gw | #, :port => 7497 # TWS
+
+	# Subscribe to TWS alerts/errors
+	gw.subscribe(:Alert) { |msg| puts msg.to_human }
+	# Set log level
+	gw.logger.level = Logger::ERROR # DEBUG  # -- INFO -- WARN -- ERROR  -- FATAL
+
+end
+
+TheYear =  2021
+TheStrike = 6 
+TheRight =  :put
+
+# get expiries (last-trading-days)
+the_contract =  IB::Option.new	symbol: 'GE', 
+																currency: 'USD', 
+																exchange: 'SMART', 
+																expiry: TheYear,
+																strike: TheStrike, 
+																right: TheRight
+																
+provided_expiries = Array.new
+
+puts "Using #{the_contract.to_human}"
+
+# get all available expiries
+the_contract.verify do | detected_contract |
+	# last trading day: format yyyy-mm-dd
+	# expiry: format yyyymmdd
+	provided_expiries << detected_contract.last_trading_day
+end
+	puts "detected Expiries  #{provided_expiries.sort{|a,b| a.to_f <=> b.to_f }.join(" -- ")}"
+	puts
+
+
+
+# get provided strikes
+option_matrix = provided_expiries.map do | last_trading_day |
+	provided_strikes =  Array.new									
+
+	# because we used last_trading day as input to the expiry's array, it has to be assigned that way, too
+  the_contract =  IB::Option.new symbol: 'GE', currency: 'USD', exchange: 'SMART', last_trading_day: last_trading_day, right: TheRight
+																
+  the_contract.verify do | detected_contract |
+		provided_strikes << detected_contract.strike
+	end
+	puts "Expiry: #{the_contract.expiry}"
+	puts "Strikes: "+ provided_strikes.join(" -- ")
+	provided_strikes  # return array
+
+end
+
+puts "NOTICE: Strikes are not sorted when :RequestContractData is used"
+# print summary
+#option_matrix.zip( provided_expiries) do | strikes, expiry|
+#	puts "expiry #{strikes}"
+#	puts "provided strikes: #{strikes.join(' ')}"
+#end

data/examples/place_and_modify_order

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+#!/usr/bin/env ruby
+#
+## This script places WFC buy order for 100 lots
+#
+## RUN ONLY ON A DEMO ACCOUNT
+
+module OrderPlacement
+
+	# Utility Method 
+	#
+	# gets the most recent price of the asset
+	# User has to specify order in the block provided
+	# returns the order_id
+	#
+	def place_the_order( contract: IB::Symbols::Stocks.wfc, modus: :place )  # modus: place or modify 
+		# First, get the current connection
+		ib =  IB::Connection.current
+		raise 'Unable to place order, no connection' unless ib && ib.connected?
+		# Ask the TWS for the last available price for the asset, 
+		# Optional: switch to delayed data, if no market-data subscription is booked;
+		# Unsubscribe from the Marketdata-Feed after successfully received the data
+		ib.send_message :RequestMarketDataType, :market_data_type => :delayed
+		the_id = ib.send_message :RequestMarketData, contract:  contract
+		ib.wait_for :TickPrice
+		ib.send_message :CancelMarketData, id: the_id
+		# We received High, Low, (perhaps open and close, too), choose the maximum value for reference
+		# and clear the received-array for proper bookkeeping
+		last_price = ib.received[:TickPrice].price.map(&:to_f).max
+		ib.clear_received :TickPrice
+		# let the calling method decide how to use the price 
+		# the calling method should return a valid order
+		order =  yield(last_price.presence || 47)
+		# to finish, we place the order using the given contract and return the order_id
+		the_order_id = if modus == :place
+		 ib.place_order order, contract      
+									 else
+		 ib.modify_order order, contract
+									 end
+		ib.wait_for :OpenOrder, 3
+		the_order_id  # return value
+	end
+end
+
+
+
+
+
+
+require 'bundler/setup'
+require 'ib-api'
+require 'ib/symbols'
+require 'ib/order-prototypes'
+
+include OrderPlacement
+
+# Only for Advisor accounts: you need to provide account_code such as DU666777
+account_code = ARGV[0] || ''
+puts "\n" * 3
+puts  "*" * 50
+puts " We are going to place a BUY-order on Wells Fargo on the account #{account_code} "
+puts ""
+puts " The Order is placed by the Order-Prototye »Limit.order»"
+puts " "
+puts " The Order is left open after finishing this script. You have to cancel it manualy"
+puts  "*" * 50
+puts "\n" * 3
+#
+# First, connect to IB TWS. Arbitrary :client_id is used to identify your script
+ib = IB::Connection.new client_id: 1112  do | gw | #, :port => 7496 # TWS
+
+# Subscribe to TWS alerts/errors and order-related messages prior to the connection of the client
+  gw.subscribe(:Alert, :ManagedAccounts, :OpenOrder, :OrderStatus,  :ContractDataEnd ) { |msg| puts msg.to_human }
+  gw.subscribe(:ContractData ) do |msg| 
+    puts msg.contract.to_human + "\n"
+  end
+	gw.logger.level = Logger::FATAL # DEBUG  -- INFO -- WARN -- ERROR  -- FATAL
+
+end
+
+buy_order = nil  # placeholder for buy_order defined in the block
+contract =  IB::Symbols::Stocks.wfc
+			puts '*'*10 + ' Introduction '+ '*'*10
+			puts IB::Limit.summary
+			puts "\nSupported Parameter \n -------------------------- "
+			puts IB::Limit.parameters
+
+			buy_order = IB::Limit.order size: 100,
+				price: 0,  # dummy, specified later 
+				action:  :buy,
+				account: account_code
+
+			the_initial_order_id = place_the_order( contract: contract ) do | asset_price |
+				buy_order.limit_price =   ( asset_price -( asset_price * 0.1)).round 
+				puts buy_order.to_human
+				buy_order  # return_value
+			end
+
+
+puts "going to modify the order "
+
+puts "\n******** Press <Enter> to proceed... *********\n\n"
+STDIN.gets
+
+puts "changing price by 1$"
+
+			the_modified_order_id = place_the_order( contract: contract, modus: :modify ) do | asset_price |
+				buy_order.limit_price =   ( asset_price - 1 - ( asset_price * 0.1)).round 
+				puts buy_order.to_human
+				buy_order  # return_value
+			end
+
+
+ib.send_message :RequestAllOpenOrders
+
+
+puts "\n******** Press <Enter> to cancel... *********\n\n"
+STDIN.gets
+
+
+## RUN ONLY ON A DEMO ACCOUNT
+#
+#
+# expected output
+#
+#12:13:05.096 Got message 15 (IB::Messages::Incoming::ManagedAccounts)
+#12:13:05.097 No subscribers for message IB::Messages::Incoming::ManagedAccounts!
+#12:13:05.137 Got message 9 (IB::Messages::Incoming::NextValidId)
+#12:13:05.137 Got next valid order id: 1.
+#------sendto ---------(debugging output in outgoing/abstract_message)
+#["'9", "8", "56", "", "WFC", "STK", "", "0.0", "", "", "NYSE", "", "USD", "", "", "0", "", "", "\""]
+#------sendto ---------
+#	A Limit order is an order to buy or sell at a specified price or better. 
+#	The Limit order ensures that if the order fills, it will not fill at a price less favorable than 
+#	your limit price, but it does not guarantee a fill. 
+#	It appears in the orderbook.
+#Supported Parameter 
+# -------------------------- 
+#Required : action --> {"B"=>:buy, "S"=>:sell, "T"=>:short, "X"=>:short_exempt}
+#	: total_quantity --> also aliased as :size
+#	: limit_price --> decimal
+# --------------- 
+#Optional : account --> Account(number) to trade on
+# --------------- 
+#<Order: LMT GTC buy 100 1.13 New #/ from /DU167348>
+#------sendto ---------(debugging output in outgoing/abstract_message)
+#["\\xB03", "45", "1", "", "WFC", "STK", "", "0.0", "", "", "NYSE", "", "USD", "", "", "", "", "BUY", "100", "LMT", "1.13", "", "GTC", "", "DU167348", "O", "0", "", "1", "0", "0", "0", "0", "0", "0", "0", "", "0", "", "", "", "", "", "", "", "0", "", "-1", "0", "", "", "0", "", "", "1", "1", "", "0", "", "", "", "", "", "0", "", "", "", "", "0", "", "", "", "", "", "", "", "", "", "", "0", "", "", "0", "0", "", "", "0", "", "0", "0", "0", "0", "", "", "", "", "", "", "", "", "", "", "", "\""]
+#------sendto ---------
+#12:13:05.290 Got message 10 (IB::Messages::Incoming::ContractData)
+#<Stock: WFC USD>
+#12:13:05.291 Got message 52 (IB::Messages::Incoming::ContractDataEnd)
+#<ContractDataEnd: request_id 56 >
+#
+#******** Press <Enter> to cancel... *********
+#
+#12:13:05.303 Got message 3 (IB::Messages::Incoming::OrderStatus)
+#<OrderStatus: <OrderState: ApiPending #1/0 from 1112 filled 0.0/100.0 at 0.0/0.0>>
+#12:13:05.304 Got message 53 (IB::Messages::Incoming::OpenOrderEnd)
+#12:13:05.304 No subscribers for message IB::Messages::Incoming::OpenOrderEnd!
+#12:13:05.712 Got message 5 (IB::Messages::Incoming::OpenOrder)
+#<OpenOrder: <Stock: WFC USD> <Order: LMT GTC buy 100.0 1.13 Submitted #1/1562725191 from 1112/DU167348 fee 0.0>>
+#12:13:05.714 Got message 3 (IB::Messages::Incoming::OrderStatus)
+#<OrderStatus: <OrderState: Submitted #1/1562725191 from 1112 filled 0.0/100.0 at 0.0/0.0 why_held >>

data/examples/place_bracket_order

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+#!/usr/bin/env ruby
+#
+# This script places WFC bracketed buy order.
+# Two child orders are attached:
+#   STOP order
+#   LIMIT order (profit target)
+
+require 'rubygems'
+require 'bundler/setup'
+require 'ib-api'
+require 'ib/symbols'
+require 'ib/order-prototypes'
+# Only for Advisor accounts: you need to provide account_code such as U666777
+account_code = ARGV[0] || ''
+# First, connect to IB TWS. Arbitrary :client_id is used to identify your script
+ib = IB::Connection.new :client_id => 1112 do | gw | #, :port => 7497 # TWS
+
+# Subscribe to TWS alerts/errors and order-related messages
+	gw.subscribe(:Alert, :OpenOrder, :OrderStatus, :ManagedAccounts) { |msg| puts msg.to_human }
+end
+
+symbol = IB::Symbols::Stocks[:wfc]
+
+order_price   = 24 
+stop_price    = order_price - 0.25
+profit_price  = order_price + 0.25
+
+#-- Parent Order --
+buy_order = IB::Limit.order :total_quantity => 100,
+                          :price => order_price,
+                          :action => :buy,
+                          :algo_strategy => '',
+                          :transmit => false,
+		      account: account_code 
+ib.wait_for :NextValidId
+
+#-- Child STOP --
+stop_order = IB::SimpleStop.order :total_quantity => 100,
+                          :price => stop_price,
+                          :action => :sell,
+                          :parent_id => buy_order.local_id,
+		      account: account_code 
+#-- Profit LMT
+profit_order = IB::Limit.order  :total_quantity => 100,
+                          :price => profit_price,
+                          :action => :sell,
+                          :parent_id => buy_order.local_id,
+		      account: account_code 
+
+# place parent order
+ib.place_order buy_order, symbol
+stop_order.parent_id = buy_order.local_id
+profit_order.parent_id = buy_order.local_id
+
+# place child orders
+ib.place_order stop_order, symbol
+ib.place_order profit_order, symbol
+
+ib.send_message :RequestAllOpenOrders
+
+puts "\n******** Press <Enter> to cancel... *********\n\n"
+STDIN.gets

data/examples/place_butterfly_order

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+#!/usr/bin/env ruby
+#
+# This script places GOOG option butterfly combo order
+
+require 'rubygems'
+require 'bundler/setup'
+require 'ib-api'
+require 'ib/verify'
+require 'ib/market-price'
+require 'ib/order-prototypes'
+
+# Utility method that helps us build multi-legged (BAG) Orders
+def butterfly symbol, expiry, right, *strikes
+	
+	legs = strikes.zip([1, -2, 1]).map do |strike, weight|
+		# Create contract
+		the_leg = nil
+		IB::Option.new( :symbol => symbol,
+									 :expiry => expiry,
+									 :right => right,
+									 :strike => strike).verify do | c |
+
+										 # Create Comboleg from con_id and weight
+										 the_leg = IB::ComboLeg.new :con_id => c.con_id, :weight => weight 
+									 end
+	  the_leg #  return_value 
+  end
+	if legs.size < 3
+		puts "Could'nd initialize all legs"
+		nil   #  return nil
+	else
+  # Create and return new Combo contract
+  IB::Bag.new :symbol => symbol,
+              :currency => "USD", # Only US options in combo Contracts
+              :exchange => "SMART",
+              :combo_legs => legs
+	end
+end
+
+# Only for Advisor accounts: you need to provide account_code such as U666777
+account_code = ARGV[0] || ''
+
+# 
+# First, connect to IB TWS. Arbitrary :client_id is used to identify your script
+ib = IB::Connection.new :client_id => 1112 do | gw | #, :port => 7497 # TWS
+
+	# Subscribe to TWS alerts/errors and order-related messages
+	gw.subscribe(:Alert, :OpenOrder, :OrderStatus, :ManagedAccounts) { |msg| puts msg.to_human }
+end
+ib.wait_for :NextValidId
+
+# Create multi-legged option Combo using utility method above
+combo = butterfly 'WMT', '20201218', 'CALL', 145, 150 , 155
+unless combo.nil?
+	puts "MARKETPRICE: #{combo.market_price}"
+	# Create Order stub
+	order = IB::Limit.order total_quantity: 10, # 10 butterflies
+		limit_price: 0.06, # at 0.06 x 100 USD per contract
+		action: :buy,
+		account: account_code 
+
+
+	ib.place_order order, combo
+
+	ib.wait_for [:OpenOrder, 3], [:OrderStatus, 2]
+
+	puts "\n******** Press <Enter> to cancel... *********\n\n"
+STDIN.gets
+end
+
+### Expected output
+
+#./place_butterfly_order DU167349
+#Connected to server, version: 137,
+# connection time: 2020-09-03 05:13:24 +0000 local, 2020-09-03T05:13:24+00:00 remote.
+#< ManagedAccounts: DF167347 - DU167348 - DU167349>
+#Got next valid order id: 65.
+#TWS Warning 2104: Market data farm connection is OK:eufarm
+#TWS Warning 2104: Market data farm connection is OK:usopt
+#TWS Warning 2104: Market data farm connection is OK:usfarm
+#TWS Warning 2107: HMDS data farm connection is inactive but should be available upon demand.euhmds
+#TWS Error 354: Requested market data is not subscribed.
+#MARKETPRICE: []
+#<OpenOrder: <Bag: WMT SMART USD legs: 418440165|1,418440170|-2,418440175|1 > <Order: LMT GTC buy 10.0  @ 0.06 PreSubmitted #65/1750019075 from 1112/DU167349>>
+#<OrderState: PreSubmitted #65/1750019075 from 1112 filled 0.0/10.0 at 0.0/0.0 why_held locate>
+#
+#******** Press <Enter> to cancel... *********
+#
+#<OpenOrder: <Bag: WMT SMART USD legs: 418440165|1,418440170|-2,418440175|1 > <Order: LMT GTC buy 10.0  @ 0.06 Submitted #65/1750019075 from 1112/DU167349>>
+#<OrderState: Submitted #65/1750019075 from 1112 filled 0.0/10.0 at 0.0/0.0 why_held >
+#
+#./cancel_orders 
+#< ManagedAccounts: DF167347 - DU167348 - DU167349>
+#TWS Warning 2104: Market data farm connection is OK:eufarm
+#TWS Warning 2104: Market data farm connection is OK:usopt
+#TWS Warning 2104: Market data farm connection is OK:usfarm
+#TWS Warning 2107: HMDS data farm connection is inactive but should be available upon demand.euhmds
+#-------------------------------------------------------
+#Remaining Orders
+#-------------------------------------------------------
+#<OpenOrder: <Bag: WMT SMART USD legs: 418440165|1,418440170|-2,418440175|1 > <Order: LMT GTC buy 10.0  @ 0.06 PendingCancel #65/1750019075 from 1112/DU167349>>
+#<OrderState: PendingCancel #65/1750019075 from 1112 filled 0.0/10.0 at 0.0/0.0 why_held >
+#<OpenOrderEnd: >
+##