ib-extensions 1.0 → 1.1

data/lib/ib/models/spread.rb

@@ -1,159 +0,0 @@
-require 'ib/verify'
-module IB
-	class Spread  < Bag
-		has_many :legs
-
-		using IBSupport
-
-=begin
-Parameters:   front: YYYMM(DD)
-							back: {n}w, {n}d or YYYYMM(DD)
-
-Adds (or substracts) relative (back) measures to the front month, just passes absolute YYYYMM(DD) value
-	
-	front: 201809   back:  2m (-1m) --> 201811 (201808)
-	front: 20180908 back:  1w (-1w) --> 20180918 (20180902)
-=end
-
-		def transform_distance front, back
-			# Check Format of back: 201809 --> > 200.000
-			#	                      20180989 ---> 20.000.000
-			start_date = front.to_i < 20000000 ?  Date.strptime(front.to_s,"%Y%m") :  Date.strptime(front.to_s,"%Y%m%d") 
-			nb = if back.to_i > 200000 
-						 back.to_i
-					 elsif back[-1] == "w" && front.to_i > 20000000
-						 start_date + (back.to_i * 7)
-					 elsif back[-1] == "m" && front.to_i > 200000
-						 start_date >> back.to_i
-					 else
-						 error "Wrong date #{back} required format YYYMM, YYYYMMDD ord {n}w or {n}m"
-					 end
-			if nb.is_a?(Date)	
-				if back[-1]=='w'
-					nb.strftime("%Y%m%d")
-				else
-					nb.strftime("%Y%m")
-				end
-			else
-				nb
-			end 
-		end # def 
-	
-		def to_human
-			self.description
-		end
-
-		def calculate_spread_value( array_of_portfolio_values )
-			array_of_portfolio_values.map{|x| x.send yield }.sum if block_given?
-		end
-	
-		def fake_portfolio_position(  array_of_portfolio_values )
-				calculate_spread_value= ->( a_o_p_v, attribute ) do
-							a_o_p_v.map{|x| x.send attribute }.sum 
-				end
-				ar=array_of_portfolio_values
-				IB::PortfolioValue.new  contract: self, 
-					average_cost: 	calculate_spread_value[ar, :average_cost],
-					market_price: 	calculate_spread_value[ar, :market_price],
-					market_value: 	calculate_spread_value[ar, :market_value],
-					unrealized_pnl: 	calculate_spread_value[ar, :unrealized_pnl],
-					realized_pnl: 	calculate_spread_value[ar, :realized_pnl],
-					position: 0
-
-		end
-
-
-
-		def serialize_rabbit
-			{ "Spread" => serialize( :option, :trading_class ),
-				'legs' => legs.map{ |y| y.serialize :option, :trading_class }, 'combo_legs' => combo_legs.map(&:serialize),
-				'misc' => [description]
-			}	
-		end
-
-		# adds a leg to any spread
-		#
-		# Parameter: 
-		#		contract:  Will be verified. Contract.essential is added to legs-array
-		#		action: :buy or :sell
-		#		weight:
-		#		ratio:
-		#		
-		#	Default:  action: :buy, 	weight: 1
-
-		def add_leg contract,  **leg_params
-			evaluated_contracts =  []
-			nc =	contract.verify.first.essential
-			#			weigth = 1 --> sets Combo.side to buy and overwrites the action statement
-#			leg_params[:weight] = 1 unless leg_params.key?(:weight) || leg_params.key?(:ratio)
-			if nc.is_a?( IB::Contract) && nc.con_id.present?
-					the_leg= ComboLeg.new( nc.attributes.slice( :con_id, :exchange )
-																					.merge( leg_params ))
-					self.combo_legs << the_leg 
-					self.description = description + " added #{nc.to_human}" rescue "Spread: #{nc.to_human}"
-					self.legs << nc
-			end
-			self  # return value to enable chaining
-
-
-		end
-
-		# removes the contract from the spread definition
-		#
-		def remove_leg contract
-			contract.verify do |c|
-				legs.delete_if { |x| x.con_id == c.con_id }
-				combo_legs.delete_if { |x| x.con_id == c.con_id }
-				self.description = description + " removed #{c.to_human}"
-			end
-			self
-		end
-
-
-		def essential
-				legs.each{ |x| x.essential }
-				self
-		end
-		def  multiplier
-			(legs.map(&:multiplier).sum/legs.size).to_i
-		end
-		
-		# provide a negative con_id 
-		def con_id
-			-legs.map(&:con_id).sum
-		end
-
-
-		def non_guaranteed= x
-      super.merge		combo_params: [ ['NonGuaranteed', x] ]
-		end
-
-
-		def non_guaranteed
-     	combo_params['NonGuaranteed']
-		end
-#  optional: specify default order prarmeters for all spreads
-#		def order_requirements
-#		 super.merge		symbol: symbol
-#		end
-
-
-		def self.build_from_json container
-			read_leg = ->(a) do 
-				  IB::ComboLeg.new :con_id => a.read_int,
-                           :ratio => a.read_int,
-                           :action => a.read_string,
-                           :exchange => a.read_string
-
-			end
-			object= self.new  container['Spread'].read_contract
-			object.legs = container['legs'].map{|x| IB::Contract.build x.read_contract}
-			object.combo_legs = container['combo_legs'].map{ |x| read_leg[ x ] } 
-			object.description = container['misc'].read_string
-			object
-
-		end
-	end
-
-
-end