ib-extensions 1.0 → 1.1

data/examples/place_combo_order

@@ -1,70 +0,0 @@
-#!/usr/bin/env ruby
-#
-# =============================
-# DO ONLY RUN ON A DEMO ACCOUNT
-#
-# This script places a combo order:  Buy Microsoft, sell WellsFarge 
-# 
-# The first Account (IB::Gateway.clients.first) is used.
-#
-#
-# DO ONLY RUN ON A DEMO ACCOUNT
-# =============================
-#
-require 'bundler/setup'
-require 'ib-gateway'
-require 'ib/order-prototypes'
-require 'ib/spread-prototypes'
-require 'ib/market-price'
-
-
-# 
-# First, connect to IB TWS. Arbitrary :client_id is used to identify your script
-g = IB::Gateway.new :client_id => 1112 do | gw | #, :port => 7497 # TWS
-
-# Subscribe to TWS alerts/errors and order-related messages
-	gw.tws.subscribe(:Alert, :OpenOrder, :OrderStatus) { |msg| puts msg.to_human }
-end
-
-# if tws/gateway is ready
-g.tws.wait_for :NextValidId
-
-# create the bag
-# only US-Stocks are allowed by IB
-the_bag = IB::StockSpread.fabricate 'MSFT', 'WFC', ratio: [1, -8]  
-
-puts "Market price for Microsoft/WellsFargo Combo: #{the_market_price = the_bag.market_price}"
-
-if the_market_price.nil?
-	puts "No marketdata received, using  default (10 $) "
-	the_market_price = 14
-end
-# use the order-prototype to create the order
-order = IB::Combo.order total_quantity: 10, 
-                        limit_price: the_market_price,
-                        action: :buy
-		
-# calculate margin impact
-impact= g.clients.first.preview order: order, contract: the_bag
-
-puts "Preview:: Margin Impact"
-puts impact #map{ |x,y| "#{ x }: #{ y.blank? ? '---' ?  y.to_f }" unless x == :created_at }.join("; ")
-
-
-
-# and place
-if g.clients.first.test_environment?
-	local_id = g.clients.first.place_order order: order
-
-	g.tws.wait_for [:OpenOrder, 3], [:OrderStatus, 2]
-
-else
-	puts "Order not placed. #{G.clients.first.to_human} is not a demo account"
-end
-#puts "\n******** Press <Enter> to cancel... *********\n\n"
-#STDIN.gets
-
-=begin
-Expected output 
-
-=end

data/examples/place_limit_order

@@ -1,82 +0,0 @@
-#!/usr/bin/env ruby
-#
-## This script places WFC buy order for 100 lots
-#
-## RUN ONLY ON A DEMO ACCOUNT
-require 'bundler/setup'
-require 'ib-api'
-require 'ib/order-prototypes'
-
-# you need to provide account_code such as DU666777
-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 => 7496 # TWS
-
-# Subscribe to TWS alerts/errors and order-related messages prior to the connection of the client
-  gw.subscribe(:Alert, :OpenOrder, :OrderStatus,  :ManagedAccounts, :OpenOrderEnd ) { |msg| puts "recieved: #{msg.to_human }"}
-
-end
-
-puts "-" * 80
-wfc = IB::Stock.new symbol: 'WFC'
-
-puts IB::Limit.summary
-puts "Supported Parameter "
-puts "-" * 80
-puts IB::Limit.parameters
-buy_order = IB::Limit.order size: 100,
-                          price: 1 + rand().round(2),
-                          action:  :buy,
-													account: account_code
-puts "placing  #{buy_order.to_human} "
-ib.wait_for :NextValidId
-ib.place_order buy_order,  wfc
-
-puts "requesting all open orders "
-ib.send_message :RequestAllOpenOrders
-ib.wait_for :OpenOrderEnd, 5 #sec
-
-puts "\n******** Press <Enter> to cancel... *********\n\n"
-STDIN.gets
-
-## RUN ONLY ON A DEMO ACCOUNT
-#
-#
-# expected output
-=begin
-./place_limit_order DU167349
-Connected to server, version: 137,
- connection time: 2020-09-03 05:21:47 +0000 local, 2020-09-03T05:21:47+00:00 remote.
-< ManagedAccounts: DF167347 - DU167348 - DU167349>
-Got next valid order id: 68.
-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
-	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 --> also aliased as :price
- --------------- 
-Optional : account --> Account(number) to trade on
- --------------- 
-<Order: LMT GTC buy 100  @ 1.43 New #/ from /DU167349>
-<Stock: WFC USD NYSE>
-<ContractDataEnd: request_id 56 >
-
-******** Press <Enter> to cancel... *********
-
-<OpenOrder: <Stock: WFC USD> <Order: LMT GTC buy 100.0  @ 1.45 PreSubmitted #67/1750019077 from 1112/DU167349>>
-<OrderState: PreSubmitted #67/1750019077 from 1112 filled 0.0/100.0 at 0.0/0.0 why_held locate>
-<OrderState: ApiPending #68/0 from 1112 filled 0.0/100.0>
-No subscribers for message IB::Messages::Incoming::OpenOrderEnd!
-<OpenOrder: <Stock: WFC USD> <Order: LMT GTC buy 100.0  @ 1.43 PreSubmitted #68/1750019078 from 1112/DU167349>>
-<OrderState: PreSubmitted #68/1750019078 from 1112 filled 0.0/100.0 at 0.0/0.0 why_held locate>
-
-=end

data/examples/place_the_limit_order

@@ -1,145 +0,0 @@
-#!/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
-		# always place the order, if there is no reference to an existing one: local_id nust not be nil, 0 or "" 
-		the_order_id = if modus == :place || order.local_id.to_i.zero?  
-		 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-ruby'
-include OrderPlacement
-
-# 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 => 7496 # TWS
-
-# Subscribe to TWS alerts/errors and order-related messages prior to the connection of the client
-  gw.subscribe(:Alert, :OpenOrder, :OrderStatus,  :ContractDataEnd ) { |msg| puts msg.to_human }
-  gw.subscribe(:ContractData ) do |msg| 
-    puts msg.contract.to_human + "\n"
-  end
-
-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 "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/volatility_research

@@ -1,139 +0,0 @@
-#!/usr/bin/env ruby
-
-require 'bundler/setup'
-require 'ib-api'
-require 'ib/symbols'
-require 'ib/verify'
-
-=begin
-Discover properties of Options
-
-IB provides two calculations: :RequestOptionPrice and :RequestImpliedVolatility
-
-ib.send_message :RequestOptionPrice
------------------------------------
-Given a valid option-contract, a fair option-price is calculated using appropiate 
-Underlying-price (:under_price) and :volatility-input-values
-
-In addition, the »greeks« and the incorporated dividend are provided by the tws
-
-ib.send_message :RequestImpliedVolatility
------------------------------------------
-Instead of :volatility, the  :option_price is used as input. 
-
-Both requests are answered by a :TickOption-Message and are thus easily displayed by
-(in console)
- C.send_message :RequestImpliedVolatility, contract: IB::Symbols::Options.aapl200, under_price: 180, option_price: 11.3 
- => 8673   # returns the ticker_id
-C.received[:TickOption].to_human
- => ["<TickOption cust_option_computation for ticker_id: underlying @ 180.0, option @ 11.3, IV 0.16260792724594816%, delta -2.0, gamma -2.0, vega -2.0, theta -2.0, pv_dividend -1.0>"]
-...(greeks: -2.0  indicates, that IB has not jet calculated anything, but the IV is there ) 
-
-=end
-
-
-# First, connect to IB TWS and subscribe for events. 
-# The output is produced »on the fly« if the tws-response is detected
-# The output is unsorted! 
-#
-#ib = IB::Connection.new( :client_id => 1102, port: 7496, host: '10.222.148.177'  ) do  | gw | 
-	ib = IB::Connection.new( :client_id => 1112   )do | gw | #, :port => 7497 # TWS
-
-		# Subscribe to TWS alerts/errors
-		gw.subscribe(:Alert, :ManagedAccounts ) { |msg| puts msg.to_human }
-
-		# the Output
-		gw.subscribe( :TickOption ) do |msg| 
-			print " %3d %% --->    %6.3f  " % [msg.ticker_id.to_i, msg.option_price]
-			puts "   || " + "%7.6f   %6.3f   %6.3f   %6.3f" % [ msg.gamma, msg.delta, msg.theta || -1, msg.vega ]
-		end
-		# Set log level
-		gw.logger.level = Logger::ERROR # DEBUG  -- INFO -- WARN -- ERROR  -- FATAL
-	end
-
-	# We use OptionPriceCalculations provided by IB
-	# specify the Option
-	the_option =  IB::Symbols::Options.aapl.merge( strike: 120 ).verify.first
-
-	# specify the desired Volatility-Range
-	vola_range = ( 10 .. 50 ) # in % p.a.
-
-	# Specify the hypothetical price of the underlying
-
-	underlying_price =  100 
-
-	puts "BASE:  #{the_option.to_human}"
-	puts "Hypothetical price of the underlying: #{underlying_price}"
-	puts
-	puts " We simulate the rise of volatility"
-	puts '-'*66
-	puts  "Vola   --->  Option-Price ||  Gamma     Delta    Theta    Vega "
-	puts '-'*66
-	# get the prices and store in recieved-array
-	vola_range.each do | the_vola |
-		req_id = ib.send_message :RequestOptionPrice, 
-		id:  the_vola,
-		contract: the_option,
-		volatility: the_vola.to_f/100,
-		under_price: underlying_price
-	ib.wait_for :TickOption, 1
-
-	ib.send_message :CancelOptionPrice, id: req_id
-	end
-	sleep 2
-	puts "Thats it, folks"
-
-
-=begin 
-Expected Output
-
-BASE:  <Option: AAPL 20201218 call 120.0 SMART USD>
-Hypothetical price of the underlying: 100
-(the date: Oct. 26th)
- We simulate the rise of volatility
-------------------------------------------------------------------
-Vola   --->  Option-Price ||  Gamma     Delta    Theta    Vega 
-------------------------------------------------------------------
-  10 % --->     0.000     || 0.000001    0.000   -1.000    0.000
-  16 % --->     0.002     || 0.000664    0.001   -1.000    0.002
-  17 % --->     0.004     || 0.001086    0.002   -1.000    0.004
-  18 % --->     0.008     || 0.001625    0.004   -1.000    0.005
-  19 % --->     0.013     || 0.002237    0.006   -1.000    0.007
-  20 % --->     0.020     || 0.002921    0.008   -1.000    0.011
-  21 % --->     0.031     || 0.003728    0.011   -1.000    0.012
-  22 % --->     0.042     || 0.004450    0.015   -1.000    0.018
-  23 % --->     0.060     || 0.005344    0.019   -1.000    0.018
-  24 % --->     0.078     || 0.006098    0.023   -1.000    0.025
-  25 % --->     0.102     || 0.006935    0.029   -1.000    0.027
-  26 % --->     0.129     || 0.007706    0.034   -1.000    0.027
-  27 % --->     0.157     || 0.008352    0.039   -1.000    0.039
-  28 % --->     0.196     || 0.009119    0.046   -1.000    0.039
-  29 % --->     0.235     || 0.009763    0.053   -1.000    0.039
-  30 % --->     0.274     || 0.010301    0.058   -1.000    0.049
-  31 % --->     0.322     || 0.010860    0.065   -1.000    0.054
-  32 % --->     0.376     || 0.011385    0.073   -1.000    0.054
-  33 % --->     0.430     || 0.011827    0.079   -1.000    0.054
-  34 % --->     0.483     || 0.012198    0.086   -1.000    0.059
-  35 % --->     0.543     || 0.012538    0.092   -1.000    0.071
-  36 % --->     0.614     || 0.012883    0.100   -1.000    0.071
-  37 % --->     0.685     || 0.013173    0.107   -1.000    0.071
-  38 % --->     0.756     || 0.013415    0.114   -1.000    0.071
-  39 % --->     0.827     || 0.013614    0.121   -1.000    0.071
-  40 % --->     0.898     || 0.013777    0.127   -1.000    0.082
-  41 % --->     0.980     || 0.013927    0.133   -1.000    0.090
-  42 % --->     1.070     || 0.014062    0.141   -1.000    0.090
-  43 % --->     1.161     || 0.014169    0.148   -1.000    0.090
-  44 % --->     1.251     || 0.014252    0.154   -1.000    0.090
-  45 % --->     1.342     || 0.014314    0.160   -1.000    0.090
-  46 % --->     1.432     || 0.014356    0.166   -1.000    0.090
-  47 % --->     1.522     || 0.014382    0.172   -1.000    0.090
-  48 % --->     1.613     || 0.014393    0.178   -1.000    0.099
-  49 % --->     1.712     || 0.014390    0.184   -1.000    0.110
-  50 % --->     1.822     || 0.014376    0.190   -1.000    0.110
-  11 % --->     0.000     || 0.000004    0.000   -1.000    0.000
-  12 % --->     0.000     || 0.000021    0.000   -1.000    0.000
-  13 % --->     0.000     || 0.000071    0.000   -1.000    0.000
-  14 % --->     0.000     || 0.000178    0.000   -1.000    0.001
-  15 % --->     0.001     || 0.000367    0.001   -1.000    0.001
-Thats it, folks
-=end

data/examples/what_if_order

@@ -1,90 +0,0 @@
-#!/usr/bin/env ruby
-#
-## This script places WFC buy  what-if order for 100 lots 
-## and estimates commision, margin requirements and verifies that its executable.
-## It does not place the order for execution.
-#
-require 'bundler/setup'
-require 'ib-api'
-require 'ib/order-prototypes'
-
-# 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 => 7496 # TWS
-
-# Subscribe to TWS alerts/errors and order-related messages prior to the connection of the client
-  gw.subscribe(:Alert, :OpenOrder, :OrderStatus,  :ManagedAccounts, :OpenOrderEnd ) { |msg| puts "recieved: #{msg.to_human }" }
-
-end
-wfc = IB::Stock.new symbol: 'WFC'
-
-puts "-" * 80
-puts IB::Limit.summary
-puts "Supported Parameter"
-puts "-" * 80
-puts IB::Limit.parameters
-buy_order = IB::Limit.order size: 100,
-                          price: 1 + rand().round(2),
-                          action:  :buy,
-													what_if: true,
-													account: account_code
-puts "placing #{buy_order.to_human}"
-ib.wait_for :NextValidId
-ib.place_order buy_order,  wfc
-ib.wait_for :OpenOrder, 5 #sec
-
-puts "Got OpenOrder message"
-#ib.send_message :RequestAllOpenOrders
-
-
-#puts ib.received[:OpenOrder].last.order.inspect
-
-recieved_order = ib.received[:OpenOrder].last.order
-recieved_status =  recieved_order.order_states.last
-#puts recieved_status.to_human
-puts ""
-puts  '*' * 80
-puts  "Summary for a placement of #{buy_order.total_quantity} shares of #{wfc.to_human} on #{account_code}"
-puts  '_' * 80
-puts  ""
-puts  "Available Cash (equity with loan) \t #{recieved_status[:equity_with_loan].to_f}"
-puts  "Margin usage after placement \t (init) #{recieved_status[:init_margin].to_f} \t (maint.) #{recieved_status[:maint_margin].to_f} "
-puts  "Commissions \t \t \t (min) #{recieved_status[:min_commission].to_f}  \t\t (max) #{recieved_status[:max_commission].to_f} "
-
-puts ""
-puts  '*' * 80
-#### Expected Output
-#
-#Connected to server, version: 137,
-# connection time: 2020-10-16 05:07:08 +0000 local, 2020-10-16T05:07:07+00:00 remote.
-#recieved: < ManagedAccounts: DF167347 - DU167348 - DU167349>
-#Got next valid order id: 104.
-#--------------------------------------------------------------------------------
-#	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 --> also aliased as :price
-# --------------- 
-#Optional : account --> Account(number) to trade on
-# --------------- 
-#placing <Order: LMT GTC buy 100  @ 1.0 New #/ from /DU167349>
-#recieved: <OpenOrder: <Stock: WFC USD> <Order: LMT GTC buy 100.0  @ 1.0 PreSubmitted #104/988357646 from 0/DU167349>>
-#Got OpenOrderEnd message
-#
-#********************************************************************************
-#Summary for a placement of 100 shares of <Stock: WFC USD> on DU167349
-#________________________________________________________________________________
-#
-#Available Cash (equity with loan) 	 891888.27
-#Margin requirements 	 	 (init) 53170.9 	 (maint.) 50222.84 
-#Commissions 	 	 	 (min) 0.9  		 (max) 1.0 
-#
-#********************************************************************************
-#