ib-extensions 1.0

data/ib-extensions.gemspec

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+require_relative 'lib/ib/extensions/version'
+
+Gem::Specification.new do |spec|
+  spec.name          = "ib-extensions"
+  spec.version       = IB::Extensions::VERSION
+  spec.authors       = ["Hartmut Bischoff"]
+  spec.email         = ["topofocus@gmail.com"]
+
+  spec.summary       = %q{Part of IB-Ruby. Tools to to access the tws-api comfortably.}
+  spec.homepage      = "https://ib-ruby.github.io/ib-doc/"
+  spec.required_ruby_version = Gem::Requirement.new(">= 2.6.0")
+
+#  spec.metadata["allowed_push_host"] = "TODO: Set to 'http://mygemserver.com"
+
+  spec.metadata["homepage_uri"] = spec.homepage
+  spec.metadata["source_code_uri"] = "https://github.cm/ib-ruby/ib-extensions"
+  spec.metadata["changelog_uri"] = "https://github.cm/ib-ruby/ib-extensions/changelog.md"
+
+  # Specify which files should be added to the gem when it is released.
+  # The `git ls-files -z` loads the files in the RubyGem that have been added into git.
+  spec.files         = Dir.chdir(File.expand_path('..', __FILE__)) do
+    `git ls-files -z`.split("\x0").reject { |f| f.match(%r{^(test|spec|features)/}) }
+  end
+  spec.bindir        = "exe"
+  spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
+  spec.require_paths = ["lib"]
+
+
+	spec.add_dependency "ox"
+	spec.add_development_dependency "bundler", "~> 2.0"
+  spec.add_development_dependency "rspec", "~> 3.0"
+  spec.add_development_dependency 'rspec-collection_matchers'
+  spec.add_development_dependency 'rspec-its' 
+
+  spec.add_development_dependency "guard"
+  spec.add_development_dependency "guard-rspec"
+end

data/lib/ib-gateway.rb

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+require  'ib-api'
+require  'ib/verify'
+require  'ib/spread-prototypes'
+require  'ib/order-prototypes'
+require  'ib/gateway'

data/lib/ib/alerts/base-alert.rb

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+module IB
+  class Alert
+=begin
+The Singleton IB::Alert handles any response to IB:Messages::Incomming:Alert
+
+Individual methods can be defined as well as methods responding to a group of error-codes.
+The default-behavior is defined in the method_missing-method. This just logs the object at the debug level.
+
+To use the IB::Alert facility, first a logger has to be assigned to the Class.
+    IB::Alert.logger =  Logger.new(STDOUT) 
+
+Default-wrappers to completely ignore the error-message (ignore_alert)
+and to log the object in a different log-level (log_alert_in [warn,info,error] ) are defined in base_alert
+Just add
+  module IB
+    class Alert
+      log_alert_in_warn {list of codennumbers} 
+    end
+  end
+to your code
+
+
+IB::Gateway calls the methods in response of subscribing to the :Alert signal by calling
+   IB::Alert.send("alert_#{msg.code}", msg )
+
+To define a response to the code 134 ( Modify order failed)  a method like
+		module IB
+			class Alert
+				def self.alert_134 msg
+					(your code)
+				end
+			end
+		end
+has to be written. 
+
+Important: The class is accessed asynchronically. Be careful while raising interrupts.
+
+=end
+  
+    # acts as prototype for any generated method 
+    #require 'active_support'
+
+    mattr_accessor :logger
+
+		def self.method_missing( method_id, msg , *args, &block )
+			if msg.is_a?  IB::Messages::Incoming::Alert
+				logger.debug { msg.to_human }
+			else
+				logger.error { "Argument to IB::Alert is not a IB::Messages::Incoming::Alert" }
+				logger.error { "The object: #{msg.inspect} " }
+			end
+		rescue NoMethodError
+			unless logger.nil?
+				logger.error { "The Argument is not a valid  IB::Messages:Incoming::Alert object"}
+				logger.error { "The object: #{msg.inspect} " }
+			else
+				puts "No Logging-Device specified"
+				puts "The object: #{msg.inspect} "
+			end
+		end
+
+
+
+      class << self
+
+	def ignore_alert  *codes
+	  codes.each do |n|
+	    class_eval <<-EOD
+	      def self.alert_#{n} msg
+			# even the log_debug entry is suppressed 
+		end              
+	      EOD
+	  end
+	end
+	def log_alert_in_info  *codes
+	  codes.each do |n|
+	    class_eval <<-EOD
+	      def self.alert_#{n} msg
+	      logger.info { msg.to_human }
+		end              
+	      EOD
+	  end
+	end
+	def log_alert_in_warn  *codes
+	  codes.each do |n|
+	    class_eval <<-EOD
+	      def self.alert_#{n} msg
+	      logger.warn { msg.to_human }
+		end              
+	      EOD
+	  end
+	end
+
+	def log_alert_in_error  *codes
+	codes.each do |n|
+	    class_eval <<-EOD
+	      def self.alert_#{n} msg
+		if msg.error_id.present? && msg.error_id > 0
+		  logger.error {  msg.message + ' id: ' + msg.error_id.to_s }
+		else
+		  logger.error {  msg.message   }
+		end
+	      end              
+	      EOD
+	  end
+	end
+      end
+
+      ignore_alert 200 , # is handled by IB::Contract.update_contract
+		    2100, # API client has been unsubscribed from account data
+				2105, 
+		    399 # your order will not be placed at the exchange until
+
+      log_alert_in_info    1102 #Connectivity between IB and Trader Workstation has been restored
+
+
+      log_alert_in_error 320, 321, 323, 324, #ServerError
+##				110, # The price does not conform to the minimum price variation
+#			  103, #duplicate order  ## order-alerts
+#			  201, #deleted objecta  ## order-alerts
+			  326 #Unable connect as the client id is already in use
+
+      log_alert_in_warn  354 #Requested market data is not subscribed
+		    
+
+
+  end
+end

data/lib/ib/alerts/gateway-alerts.rb

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+# These Alerts are always active
+module IB
+	class Alert
+
+		def self.alert_2102 msg
+			# Connectivity between IB and Trader Workstation has been restored - data maintained.
+			sleep 0.1  #  no need to wait too long.
+			if IB::Gateway.current.check_connection
+				IB::Gateway.logger.debug { "Alert 2102: Connection stable" }
+			else
+				IB::Gateway.current.reconnect
+			end
+		end
+		end
+end

data/lib/ib/alerts/order-alerts.rb

@@ -0,0 +1,68 @@
+module IB
+	class Alert
+
+		def self.alert_202 msg
+			# do anything in a secure mutex-synchronized-environment
+			any_order = IB::Gateway.current.account_data do | account |
+				order= account.locate_order( local_id: msg.error_id )
+				if order.present? && ( order.order_state.status != 'Cancelled' )
+					order.order_states.update_or_create( IB::OrderState.new( status: 'Cancelled', 
+																																	perm_id: order.perm_id, 
+																																	local_id: order.local_id  ) ,
+																																	:status )
+
+				end
+				order # return_value
+			end
+			if any_order.compact.empty? 
+				IB::Gateway.logger.error{"Alert 202: The deleted order was not registered: local_id #{msg.error_id}"}
+			end
+
+		end
+
+
+		class << self
+=begin
+IB::Alert#AddOrderstateAlert
+
+The OrderState-Record is used to record the history of the order.
+If selected Alert-Messages appear, they are  added to the Order.order_state-Array.
+The last Status is available as Order.order_state, all states are accessible by Order.order_states
+
+The TWS-Message-text is stored to the »warning-text«-field.
+The Status is always »rejected«. 
+If the first OrderState-object of a Order is »rejected«, the order is not placed at all.
+Otherwise only the last action is not applied and the order is unchanged.
+
+=end
+			def add_orderstate_alert  *codes
+				codes.each do |n|
+					class_eval <<-EOD
+						 def self.alert_#{n} msg
+
+								 if msg.error_id.present?
+										IB::Gateway.current.account_data do | account |
+												order= account.locate_order( local_id: msg.error_id )
+												if order.present? && ( order.order_state.status != 'Rejected' )
+													order.order_states.update_or_create(  IB::OrderState.new( status: 'Rejected' ,
+															perm_id: order.perm_id, 
+															warning_text: '#{n}: '+  msg.message,
+															local_id: msg.error_id ), :status ) 	
+
+													IB::Gateway.logger.error{  msg.to_human  }
+												end	# order present?
+										 end	# mutex-environment
+									end	# branch
+							end	# def
+					EOD
+				end # loop
+			end # def
+		end
+		add_orderstate_alert  103,  # duplicate order
+			201,  # deleted object
+			105,  # Order being modified does not match original order
+			462,  # Cannot change to the new Time in Force:GTD
+			329,  # Cannot change to the new order type:STP
+			10147 # OrderId 0 that needs to be cancelled is not found.
+	end  # class Alert
+end #  module IB

data/lib/ib/eod.rb

@@ -0,0 +1,152 @@
+module IB
+require 'active_support/core_ext/date/calculations'
+	module BuisinesDays
+		#		https://stackoverflow.com/questions/4027768/calculate-number-of-business-days-between-two-days
+
+		# Calculates the number of business days in range (start_date, end_date]
+		#
+		# @param start_date [Date]
+		# @param end_date [Date]
+		#
+		# @return [Fixnum]
+		def self.business_days_between(start_date, end_date)
+			days_between = (end_date - start_date).to_i
+			return 0 unless days_between > 0
+
+			# Assuming we need to calculate days from 9th to 25th, 10-23 are covered
+			# by whole weeks, and 24-25 are extra days.
+			#
+			# Su Mo Tu We Th Fr Sa    # Su Mo Tu We Th Fr Sa
+			#        1  2  3  4  5    #        1  2  3  4  5
+			#  6  7  8  9 10 11 12    #  6  7  8  9 ww ww ww
+			# 13 14 15 16 17 18 19    # ww ww ww ww ww ww ww
+			# 20 21 22 23 24 25 26    # ww ww ww ww ed ed 26
+			# 27 28 29 30 31          # 27 28 29 30 31
+			whole_weeks, extra_days = days_between.divmod(7)
+
+			unless extra_days.zero?
+				# Extra days start from the week day next to start_day,
+				# and end on end_date's week date. The position of the
+				# start date in a week can be either before (the left calendar)
+				# or after (the right one) the end date.
+				#
+				# Su Mo Tu We Th Fr Sa    # Su Mo Tu We Th Fr Sa
+				#        1  2  3  4  5    #        1  2  3  4  5
+				#  6  7  8  9 10 11 12    #  6  7  8  9 10 11 12
+				# ## ## ## ## 17 18 19    # 13 14 15 16 ## ## ##
+				# 20 21 22 23 24 25 26    # ## 21 22 23 24 25 26
+				# 27 28 29 30 31          # 27 28 29 30 31
+				#
+				# If some of the extra_days fall on a weekend, they need to be subtracted.
+				# In the first case only corner days can be days off,
+				# and in the second case there are indeed two such days.
+				extra_days -= if start_date.tomorrow.wday <= end_date.wday
+												[start_date.tomorrow.sunday?, end_date.saturday?].count(true)
+											else
+												2
+											end
+			end
+
+			(whole_weeks * 5) + extra_days
+		end
+	end
+	class Contract
+		# Receive EOD-Data 
+		#  
+		# The Enddate has to be specified (as Date Object), t
+		#
+		# The Duration can either be specified as Sting " yx D" or as Integer. 
+		# Altenative a start date can be specified with the :start parameter.
+		#
+		# The parameter :what specified the kind of received data: 
+		#  Valid values:
+		#   :trades, :midpoint, :bid, :ask, :bid_ask,
+		#   :historical_volatility, :option_implied_volatility,
+		#   :option_volume, :option_open_interest
+		# 
+		# The results can be preprocessed through a block, thus
+		#  
+		# puts IB::Symbols::Index::stoxx.eod( duration: '10 d')){|r| r.to_human}
+		#   <Bar: 2019-04-01 wap 0.0 OHLC 3353.67 3390.98 3353.67 3385.38 trades 1750 vol 0>
+		#   <Bar: 2019-04-02 wap 0.0 OHLC 3386.18 3402.77 3382.84 3395.7 trades 1729 vol 0>
+		#   <Bar: 2019-04-03 wap 0.0 OHLC 3399.93 3435.9 3399.93 3435.56 trades 1733 vol 0>
+		#   <Bar: 2019-04-04 wap 0.0 OHLC 3434.34 3449.44 3425.19 3441.93 trades 1680 vol 0>
+		#   <Bar: 2019-04-05 wap 0.0 OHLC 3445.05 3453.01 3437.92 3447.47 trades 1677 vol 0>
+		#   <Bar: 2019-04-08 wap 0.0 OHLC 3446.15 3447.08 3433.47 3438.06 trades 1648 vol 0>
+		#   <Bar: 2019-04-09 wap 0.0 OHLC 3437.07 3450.69 3416.67 3417.22 trades 1710 vol 0>
+		#   <Bar: 2019-04-10 wap 0.0 OHLC 3418.36 3435.32 3418.36 3424.65 trades 1670 vol 0>
+		#   <Bar: 2019-04-11 wap 0.0 OHLC 3430.73 3442.25 3412.15 3435.34 trades 1773 vol 0>
+		#   <Bar: 2019-04-12 wap 0.0 OHLC 3432.16 3454.77 3425.84 3447.83 trades 1715 vol 0>
+		#
+		# «to_human« is not needed here because ist aliased with `to_s`
+		# 
+		# puts Symbols::Stocks.wfc.eod(  start: Date.new(2019,10,9), duration: 3 ) 
+		#		<Bar: 2020-10-23 wap 23.3675 OHLC 23.55 23.55 23.12 23.28 trades 5778 vol 50096>
+		#		<Bar: 2020-10-26 wap 22.7445 OHLC 22.98 22.99 22.6 22.7 trades 6873 vol 79560>
+		#		<Bar: 2020-10-27 wap 22.086 OHLC 22.55 22.58 21.82 21.82 trades 7503 vol 97691>
+
+		# puts Symbols::Stocks.wfc.eod(  to: Date.new(2019,10,9), duration: 3 ) 
+		#		<Bar: 2019-10-04 wap 48.964 OHLC 48.61 49.25 48.54 49.21 trades 9899 vol 50561>
+		#		<Bar: 2019-10-07 wap 48.9445 OHLC 48.91 49.29 48.75 48.81 trades 10317 vol 50189>
+		#		<Bar: 2019-10-08 wap 47.9165 OHLC 48.25 48.34 47.55 47.82 trades 12607 vol 53577>
+		#
+		def eod start:nil, to: Date.today, duration: nil , what: :trades 
+
+			tws = IB::Connection.current
+			recieved =  Queue.new
+			r = nil
+      # the hole response is transmitted at once! 
+			a= tws.subscribe(IB::Messages::Incoming::HistoricalData) do |msg|
+				if msg.request_id == con_id
+					#					msg.results.each { |entry| puts "  #{entry}" }
+					r = block_given? ?  msg.results.map{|y| yield y} : msg.results
+				end
+				recieved.push Time.now
+			end
+			b = tws.subscribe( IB::Messages::Incoming::Alert) do  |msg|
+				if [321,162,200].include? msg.code
+					tws.logger.info msg.message
+					# TWS Error 200: No security definition has been found for the request
+					# TWS Error 354: Requested market data is not subscribed.
+				  # TWS Error 162  # Historical Market Data Service error 
+					recieved =[]
+				end
+		  end
+			
+
+			duration =  if duration.present?
+										duration.is_a?(String) ? duration : duration.to_s + " D"
+									elsif start.present?
+										BuisinesDays.business_days_between(start, to).to_s + " D"
+									else
+										"1 D"
+									end
+
+			tws.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
+				:request_id => con_id,
+				:contract =>  self,
+				:end_date_time => to.to_time.to_ib, #  Time.now.to_ib,
+				:duration => duration, #    ?
+				:bar_size => :day1, #  IB::BAR_SIZES.key(:hour)?
+				:what_to_show => what,
+				:use_rth => 0,
+				:format_date => 2,
+				:keep_up_todate => 0)
+
+			Timeout::timeout(50) do   # max 5 sec.
+				sleep 0.1 
+				last_time =  recieved.pop # blocks until a message is ready on the queue
+				loop do
+					sleep 0.1
+					break if recieved.empty?  # finish if no more data received
+				end
+			tws.unsubscribe a
+			tws.unsubscribe b
+
+			r  #  the collected result
+
+			end
+		end # def
+	end  # class
+end # module
+

data/lib/ib/extensions.rb

@@ -0,0 +1,9 @@
+## require any file, except gateway and related
+require "ib/extensions/version"
+require "ib/verify"
+require "ib/eod"
+require "ib/market-price"
+require "ib/option-chain"
+require "ib/option-greeks"
+require "ib/order-prototypes"
+require "ib/spread-prototypes"

data/lib/ib/extensions/contract.rb

@@ -0,0 +1,37 @@
+
+	def associate_ticdata
+
+		tws=  IB::Gateway.tws 		 # get the initialized ib-ruby instance
+		the_id =  nil
+		finalize= false
+		#  switch to delayed data
+		tws.send_message :RequestMarketDataType, :market_data_type => :delayed
+
+		s_id = tws.subscribe(:TickSnapshotEnd) { |msg|	finalize = true	if msg.ticker_id == the_id }
+				
+		sub_id = tws.subscribe(:TickPrice, :TickSize,  :TickGeneric, :TickOption) do |msg|
+			    self.bars << msg.the_data if msg.ticker_id == the_id 
+			end
+
+		# initialize »the_id« that is used to identify the received tick messages
+		# by firing the market data request
+		the_id = tws.send_message :RequestMarketData,  contract: self , snapshot: true 
+
+		#keep the method-call running until the request finished
+		#and cancel subscriptions to the message handler.
+		Thread.new do 
+                  i=0; loop{ i+=1; sleep 0.1; break if finalize || i > 1000 }
+                  tws.unsubscribe sub_id 
+                  tws.unsubscribe s_id
+                  puts "#{symbol} data gathered" 
+                end  # method returns the (running) thread
+
+	end # def 
+######################  private methods 
+
+		end # class
+
+
+
+
+end # module