ib-extensions 1.0

data/examples/place_combo_order

@@ -0,0 +1,70 @@
+#!/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

@@ -0,0 +1,82 @@
+#!/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

@@ -0,0 +1,145 @@
+#!/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

@@ -0,0 +1,139 @@
+#!/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

@@ -0,0 +1,90 @@
+#!/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 
+#
+#********************************************************************************
+#