ib-extensions 1.0

data/lib/ib/order_prototypes/abstract.rb

@@ -0,0 +1,67 @@
+# These modules are used to facilitate referencing of most common Ordertypes
+
+module IB
+	module OrderPrototype
+
+
+
+
+		def order **fields
+
+			# special treatment of size:  positive numbers --> buy order, negative: sell 
+			if fields[:size].present? && fields[:action].blank?
+				error "Size = 0 is not possible" if fields[:size].zero?
+				fields[:action] = fields[:size] >0 ? :buy  : :sell
+				fields[:size] = fields[:size].abs
+			end
+			# change aliases  to the original. We are modifying the fields-hash.
+			fields.keys.each{|x| fields[aliases.key(x)] = fields.delete(x) if aliases.has_value?(x)}
+			# inlcude defaults (arguments override defaults)
+			the_arguments = defaults.merge fields
+			# check if requirements are fullfilled
+			necessary = requirements.keys.detect{|y| the_arguments[y].nil?}
+			if necessary.present?
+				msg =self.name + ".order -> A necessary field is missing: #{necessary}: --> #{requirements[necessary]}"
+				error msg, :args, nil
+			end
+			if alternative_parameters.present?
+				unless ( alternative_parameters.keys  & the_arguments.keys ).size == 1
+					msg =self.name + ".order -> One of the alternative fields needs to be specified: \n\t:" +
+						"#{alternative_parameters.map{|x| x.join ' => '}.join(" or \n\t:")}"
+					error msg, :args, nil
+				end
+			end
+
+			# initialise order with given attributes	
+			IB::Order.new the_arguments
+		end
+
+		def alternative_parameters
+			{}
+		end
+		def requirements
+			{ action: IB::VALUES[:side], total_quantity: 'also aliased as :size' }
+		end
+
+		def defaults
+			{  tif: :good_till_cancelled }
+		end
+
+		def optional
+			{ account: 'Account(number) to trade on' }
+		end
+
+		def aliases
+			{  total_quantity: :size }
+		end
+
+		def parameters
+			the_output = ->(var){ var.map{|x| x.join(" --> ") }.join("\n\t: ")}
+
+			"Required : " + the_output[requirements] + "\n --------------- \n" +
+				"Optional : " + the_output[optional] + "\n --------------- \n" 
+
+		end
+
+	end
+end

data/lib/ib/order_prototypes/combo.rb

@@ -0,0 +1,46 @@
+module IB
+
+#Combo-Orders are used for NonGuaranteed Orders only.
+#»Normal« Option-Spreads are transmited by ordinary Limit-Orders
+    module Combo
+      ### Basic Order Prototype: Combo with two limits
+      extend OrderPrototype
+      class << self
+      def defaults
+	## todo implement serialisation of  key/tag Hash to camelCased-keyValue-List 
+#      super.merge order_type: :limit , combo_params: { non_guaranteed: true} 
+	#      for the time being, we use the array representation
+      super.merge order_type: :limit , combo_params: [ ['NonGuaranteed', true] ]
+      end
+
+
+      def requirements
+				Limit.requirements
+      end
+
+      def aliases
+				Limit.aliases
+      end
+
+
+      def summary
+	<<-HERE
+	Create combination orders. It is constructed through  options, stock and futures legs 
+	(stock legs can be included if the order is routed through SmartRouting). 
+	
+	Although a combination/spread order is constructed of separate legs, it is executed 
+	as a single transaction if it is routed directly to an exchange. For combination orders 
+	that are SmartRouted, each leg may be executed separately to ensure best execution. 
+
+	The »NonGuaranteed«-Flag is set to "false". A Pair of two securites should always be
+	routed »Guaranteed«, otherwise separate orders are prefered.
+
+	If a Bag-Order with »NonGuarateed :true« should be submitted, the Order-Type would be 
+	REL+MKT, LMT+MKT, or REL+LMT 
+	--------
+	Products: Options, Stocks, Futures
+	HERE
+      end # def
+      end # class
+    end	# module combo
+end  # module ib

data/lib/ib/order_prototypes/forex.rb

@@ -0,0 +1,40 @@
+module IB
+#  module UseOrder
+    module  ForexLimit
+      extend OrderPrototype
+      class << self
+
+
+      def defaults
+	  super.merge order_type: :limit , tif: :day
+      end
+
+
+      def requirements
+	super.merge cash_qty: '(true/false) to indicate to let IB calculate the cash-quantity of the alternate currency'
+     end
+
+
+      def summary
+	<<-HERE
+	Forex orders can be placed in denomination of second currency in pair using cashQty field.
+	Don't specify a limit-price to force immidiate execution.
+	HERE
+      end
+      end
+=begin
+2.5.0 :001 > f =  Symbols::Forex[:eurusd]
+ => #<IB::Contract:0x0000000003299458 @attributes={"symbol"=>"EUR", "exchange"=>"IDEALPRO", "currency"=>"USD", "sec_type"=>"CASH", "created_at"=>2018-01-20 05:21:01 +0100, "updated_at"=>2018-01-20 05:21:01 +0100, "con_id"=>0, "right"=>"", "include_expired"=>false}, @description="EURUSD"> 
+
+2.5.0 :002 > uf =  ForexLimit.order action: :buy, size: 15000, cash_qty: true
+{:action=>:buy, :cash_qty=>true, :total_quantity=>15000}
+ => #<IB::Order:0x0000000002f45a40 @attributes={"tif"=>"DAY", "order_type"=>"LMT", "side"=>"B", "cash_qty"=>true, "total_quantity"=>15000, "created_at"=>2018-01-20 05:21:06 +0100, "updated_at"=>2018-01-20 05:21:06 +0100, "active_start_time"=>"", "active_stop_time"=>"", "algo_strategy"=>"", "algo_id"=>"", "auction_strategy"=>0, "conditions"=>[], "continuous_update"=>0, "delta_neutral_designated_location"=>"", "delta_neutral_con_id"=>0, "delta_neutral_settling_firm"=>"", "delta_neutral_clearing_account"=>"", "delta_neutral_clearing_intent"=>"", "designated_location"=>"", "display_size"=>0, "discretionary_amount"=>0, "etrade_only"=>true, "exempt_code"=>-1, "ext_operator"=>"", "firm_quote_only"=>true, "not_held"=>false, "oca_type"=>0, "open_close"=>1, "opt_out_smart_routing"=>false, "origin"=>0, "outside_rth"=>false, "parent_id"=>0, "random_size"=>false, "random_price"=>false, "scale_auto_reset"=>false, "scale_random_percent"=>false, "scale_table"=>"", "short_sale_slot"=>0, "solicided"=>false, "transmit"=>true, "trigger_method"=>0, "what_if"=>false, "leg_prices"=>[], "algo_params"=>{}, "combo_params"=>[], "soft_dollar_tier_params"=>{"name"=>"", "val"=>"", "display_name"=>""}}, @order_states=[#<IB::OrderState:0x0000000002f44258 @attributes={"status"=>"New", "filled"=>0, "remaining"=>0, "price"=>0, "average_price"=>0, "created_at"=>2018-01-20 05:21:06 +0100, "updated_at"=>2018-01-20 05:21:06 +0100}>]> 
+ 2.5.0 :004 > C.place_order uf, f
+ => 4 
+ 2.5.0 :005 > 05:21:23.606 Got message 4 (IB::Messages::Incoming::Alert)
+ I, [2018-01-20T05:21:23.606819 #31020]  INFO -- : TWS Warning 10164: Traders are responsible for understanding cash quantity details, which are provided on a best efforts basis only.
+ Restriction is specified in Precautionary Settings of Global Configuration/Presets.
+
+=end
+    end
+end

data/lib/ib/order_prototypes/limit.rb

@@ -0,0 +1,177 @@
+
+module IB
+    module Limit
+      extend OrderPrototype
+      class << self
+
+      def defaults
+	  super.merge order_type: :limit 
+      end
+
+      def aliases
+	super.merge  limit_price: :price 
+      end
+
+      def requirements
+	super.merge limit_price: "also aliased as :price"
+      end
+
+
+      def summary
+	<<-HERE
+	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.
+	HERE
+      end
+      end
+    end
+    module  Discretionary
+      extend OrderPrototype
+      class << self
+
+    def defaults
+     Limit.defaults 
+    end
+
+      def aliases
+	Limit.aliases.merge  discretionary_amount: :dc
+      end
+
+      def requirements
+	Limit.requirements
+      end
+
+      def optional
+	 super.merge discretionary_amount: :decimal 
+      end
+
+      def summary
+	<<-HERE
+	A Discretionary order is a Limitorder submitted with a hidden, 
+	specified 'discretionary' amount off the limit price which  may be used
+	to increase the price range over which the limit order is eligible to execute.
+	The market sees only the limit price.
+	The discretionary amount adds to the given limit price. The main effort is
+	to hide your real intentions from the public.
+	HERE
+      end
+      end
+    end
+#  module OrderPrototype
+    module  Sweep2Fill
+      extend OrderPrototype
+      class << self
+
+      def defaults
+	  super.merge order_type: ':limit' , tif: :day, sweep_to_fill: true
+      end
+
+      def aliases
+	Limit.aliases 
+      end
+
+      def requirements
+	Limit.requirements
+      end
+
+
+      def summary
+	<<-HERE
+	Sweep-to-fill orders are useful when a trader values speed of execution over price. A sweep-to-fill
+	order identifies the best price and the exact quantity offered/available at that price, and 
+	transmits the corresponding portion of your order for immediate execution. Simultaneously it 
+	identifies the next best price and quantity offered/available, and submits the matching quantity 
+	of your order for immediate execution.
+
+	------------------------
+        Products: CFD, STK, WAR (SMART only)
+
+	HERE
+      end
+      end
+    end
+    module  LimitIfTouched
+      extend OrderPrototype
+      class << self
+
+      def defaults
+	  Limit.defaults.merge order_type: :limit_if_touched
+      end
+
+      def aliases
+	Limit.aliases.merge  aux_price: :trigger_price 
+      end
+
+      def requirements
+	Limit.requirements.merge aux_price: 'also aliased as :trigger_price ' 
+      end
+
+
+      def summary
+	<<-HERE
+	A Limit if Touched is an order to buy (or sell) a contract at a specified price or better, 
+	below (or above) the market. This order is held in the system until the trigger price is touched. 
+	An LIT order is similar to a stop limit order, except that an LIT sell order is placed above 
+	the current market price, and a stop limit sell order is placed below. 
+	HERE
+      end
+      end
+    end
+
+
+    module  LimitOnClose
+      extend OrderPrototype
+      class << self
+
+      def defaults
+	  Limit.defaults.merge order_type: :limit_on_close 
+      end
+
+      def aliases
+	Limit.aliases 
+      end
+
+      def requirements
+	Limit.requirements 
+      end
+
+
+      def summary
+	<<-HERE
+	A Limit-on-close (LOC) order will be submitted at the close and will execute if the 
+	closing price is at or better than the submitted limit price. 
+	HERE
+      end
+      end
+    end
+    
+    module  LimitOnOpen
+      extend OrderPrototype
+      class << self
+
+      def defaults
+	  super.merge order_type: :limit_on_open , tif: :opening_price
+      end
+
+      def aliases
+	Limit.aliases 
+      end
+
+      def requirements
+	Limit.requirements
+      end
+
+
+      def summary
+	<<-HERE
+	A Limit-on-Open (LOO) order combines a limit order with the OPG time in force to create an 
+	order that is submitted at the market's open, and that will only execute at the specified 
+	limit price or better. Orders are filled in accordance with specific exchange rules. 
+	HERE
+      end
+      end
+    end
+ # end
+end

data/lib/ib/order_prototypes/market.rb

@@ -0,0 +1,116 @@
+
+module IB
+#  module OrderPrototype
+    module  Market
+      extend OrderPrototype
+      class << self
+
+      def defaults
+	  super.merge order_type: 'MKT' , tif: :day
+      end
+
+      def aliases
+	super 
+      end
+
+      def requirements
+	super 
+      end
+
+
+      def summary
+	<<-HERE
+	 A Market order is an order to buy or sell at the market bid or offer price.
+	 A market order may increase the likelihood of a fill and the speed of execution,
+	 but unlike the Limit order a Market order provides no price protection and
+	 may fill at a price far lower/higher than the current displayed bid/ask.
+	HERE
+      end
+      end
+    end
+    module  MarketIfTouched
+      extend OrderPrototype
+      class << self
+
+      def defaults
+	  super.merge order_type: 'MIT' , tif: :day
+      end
+
+      def aliases
+	super 
+      end
+
+      def requirements
+	super 
+      end
+
+
+      def summary
+	<<-HERE
+	A Market if Touched (MIT) is an order to buy (or sell) a contract below (or above) the market.
+	Its purpose is to take advantage of sudden or unexpected changes in share or other prices and
+	rovides investors with a trigger price to set an order in motion.
+	Investors may be waiting for excessive strength (or weakness) to cease, which might be represented
+	by a specific price point.
+	MIT orders can be used to determine whether or not to enter the market once a specific price level 
+	has been achieved. This order is held in the system until the trigger price is touched, and
+	is then submitted as a market order. An MIT order is similar to a stop order, except that an MIT 
+	sell order is placed above the current market price, and a stop sell order is placed below.
+	HERE
+      end
+      end
+    end
+
+
+    module  MarketOnClose
+      extend OrderPrototype
+      class << self
+
+      def defaults
+	  super.merge order_type: 'MOC' , tif: :day
+      end
+
+      def aliases
+	super 
+      end
+
+      def requirements
+	super 
+      end
+
+
+      def summary
+	<<-HERE
+	A Market-on-Close (MOC) order is a market order that is submitted to execute as close
+	to the closing price as possible.
+	HERE
+      end
+      end
+    end
+    
+    module  MarketOnOpen
+      extend OrderPrototype
+      class << self
+
+      def defaults
+	  super.merge order_type: 'MOC' , tif: :opening_price
+      end
+
+      def aliases
+	super 
+      end
+
+      def requirements
+	super 
+      end
+
+
+      def summary
+	<<-HERE
+	A Market-on-Close (MOC) order is a market order that is submitted to execute as close
+	to the closing price as possible.
+	HERE
+      end
+      end
+    end
+end