ib-extensions 1.2 → 1.3

checksums.yaml

@@ -1,7 +1,7 @@
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data/Gemfile

@@ -2,9 +2,8 @@ source "https://rubygems.org"
 
 # Specify your gem's dependencies in ib-extensions.gemspec
 gemspec
-gem "ib-api",   path: "../ib-api/"
+gem "ib-api" #    path: "../ib-api/"
 ## move this to gemspec and include as development dependency after the gem is released
-gem "ib-symbols" #,   path: "../ib-symbols/"
+gem "ib-symbols" # ,   path: "../ib-symbols/"
 #gem "ib-api",  :git=> 'https://github.com/ib-ruby/ib-api.git'
 gem "rake", "~> 12.0"
-gem 'dry-core'

data/Gemfile.lock

@@ -1,34 +1,38 @@
 PATH
   remote: ../ib-api
   specs:
-    ib-api (972.4)
+    ib-api (972.1)
       activemodel
       activesupport (>= 6.0)
 
+PATH
+  remote: ../ib-symbols
+  specs:
+    ib-symbols (1.0)
+      ib-api
+      ox
+
 PATH
   remote: .
   specs:
-    ib-extensions (1.1)
-      ib-api (~> 972.4)
+    ib-extensions (1.0)
       ox
 
 GEM
   remote: https://rubygems.org/
   specs:
-    activemodel (6.1.3.2)
-      activesupport (= 6.1.3.2)
-    activesupport (6.1.3.2)
+    activemodel (6.1.0)
+      activesupport (= 6.1.0)
+    activesupport (6.1.0)
       concurrent-ruby (~> 1.0, >= 1.0.2)
       i18n (>= 1.6, < 2)
       minitest (>= 5.1)
       tzinfo (~> 2.0)
       zeitwerk (~> 2.3)
     coderay (1.1.3)
-    concurrent-ruby (1.1.8)
+    concurrent-ruby (1.1.7)
     diff-lcs (1.4.4)
-    dry-core (0.5.0)
-      concurrent-ruby (~> 1.0)
-    ffi (1.15.0)
+    ffi (1.13.1)
     formatador (0.2.5)
     guard (2.16.2)
       formatador (>= 0.2.4)
@@ -44,23 +48,20 @@ GEM
       guard (~> 2.1)
       guard-compat (~> 1.1)
       rspec (>= 2.99.0, < 4.0)
-    i18n (1.8.10)
+    i18n (1.8.5)
       concurrent-ruby (~> 1.0)
-    ib-symbols (1.0)
-      ib-api
-      ox
-    listen (3.5.1)
+    listen (3.3.1)
       rb-fsevent (~> 0.10, >= 0.10.3)
       rb-inotify (~> 0.9, >= 0.9.10)
     lumberjack (1.2.8)
     method_source (1.0.0)
-    minitest (5.14.4)
+    minitest (5.14.2)
     nenv (0.3.0)
     notiffany (0.1.3)
       nenv (~> 0.1)
       shellany (~> 0.0)
-    ox (2.14.4)
-    pry (0.14.1)
+    ox (2.13.4)
+    pry (0.13.1)
       coderay (~> 1.1)
       method_source (~> 1.0)
     rake (12.3.3)
@@ -73,20 +74,20 @@ GEM
       rspec-mocks (~> 3.10.0)
     rspec-collection_matchers (1.2.0)
       rspec-expectations (>= 2.99.0.beta1)
-    rspec-core (3.10.1)
+    rspec-core (3.10.0)
       rspec-support (~> 3.10.0)
-    rspec-expectations (3.10.1)
+    rspec-expectations (3.10.0)
       diff-lcs (>= 1.2.0, < 2.0)
       rspec-support (~> 3.10.0)
     rspec-its (1.3.0)
       rspec-core (>= 3.0.0)
       rspec-expectations (>= 3.0.0)
-    rspec-mocks (3.10.2)
+    rspec-mocks (3.10.0)
       diff-lcs (>= 1.2.0, < 2.0)
       rspec-support (~> 3.10.0)
-    rspec-support (3.10.2)
+    rspec-support (3.10.0)
     shellany (0.0.1)
-    thor (1.1.0)
+    thor (1.0.1)
     tzinfo (2.0.4)
       concurrent-ruby (~> 1.0)
     zeitwerk (2.4.2)
@@ -96,16 +97,15 @@ PLATFORMS
 
 DEPENDENCIES
   bundler (~> 2.0)
-  dry-core
   guard
   guard-rspec
   ib-api!
   ib-extensions!
-  ib-symbols
+  ib-symbols!
   rake (~> 12.0)
   rspec (~> 3.0)
   rspec-collection_matchers
   rspec-its
 
 BUNDLED WITH
-   2.2.3
+   2.1.4

data/README.md

@@ -6,7 +6,6 @@ __Documentation: [https://ib-ruby.github.io/ib-doc/](https://ib-ruby.github.io/i
 
 __Questions, Contributions, Remarks: [Discussions are opened in ib-api](https://github.com/ib-ruby/ib-api/discussions)__
 
----
 
 __Helpers and Macros that ease the usage of the TWS-API of Interactive Brokers__
 
@@ -46,6 +45,8 @@ puts IB::Symbols.Index.estx.eod( duration: '10 d' )
 ```
 Fetch historical data with just one line of code  ([documentation](https://ib-ruby.github.io/ib-doc/Historical_data.html) )
 
+**NEW :: Contract.eod returns a PolarsDataframe **
+
 ## Order Prototypes
 ```
 require 'ib-api'
@@ -62,38 +63,83 @@ More details in the [documentation](https://ib-ruby.github.io/ib-doc/order_proto
 
 ## Spread Prototypes
 
-```
+``` ruby
 require 'ib-api'
 require 'ib/spread-prototypes'
 ```
 
 Compose most common spreads through
 
-```
+``` ruby
 s = IB::Straddle.build from: IB::Symbols::Index.stoxx, 
-                            strike: 2400, 
-                            expiry: 202103 
+                            strike: 4200, 
+                            expiry: 202112 
                             
-s = IB::Strangle.build from: IB::Symbols::Index.stoxx, 
+t = IB::Strangle.build from: IB::Symbols::Index.stoxx, 
                             c: 2400, p: 2200, 
                             expiry: 202103 
 
-```
-and use the speads like any other contract. ([documentation](https://ib-ruby.github.io/ib-doc/spreads.html)
+puts s.as_table
+┌─────────────────────────────────────────────────────────────────────────────────────────────────────────────┐
+│                                      Straddle ESTX50(4200.0)[Dec 2021]                                      │
+├────────┬────────┬────────────┬──────────┬──────────┬────────────┬───────────────┬───────┬────────┬──────────┤
+│        │ symbol │ con_id     │ exchange │ expiry   │ multiplier │ trading-class │ right │ strike │ currency │
+╞════════╪════════╪════════════╪══════════╪══════════╪════════════╪═══════════════╪═══════╪════════╪══════════╡
+│ Spread │ ESTX50 │ -532066861 │   DTB    │          │     10     │               │       │        │   EUR    │
+│ Option │ ESTX50 │  266033438 │   DTB    │ 20211217 │     10     │     OESX      │  put  │ 4200.0 │   EUR    │
+│ Option │ ESTX50 │  266033423 │   DTB    │ 20211217 │     10     │     OESX      │ call  │ 4200.0 │   EUR    │
+└────────┴────────┴────────────┴──────────┴──────────┴────────────┴───────────────┴───────┴────────┴──────────┘
+ ```
+and use the speads like any other contract. ([documentation](https://ib-ruby.github.io/ib-doc/spreads.html))
 
 ## Gateway 
 ```
 require 'ib-gateway'
 ```
-IB::Gateway is an alternative to IB::Connection. Upon initialization, it detects active accounts and stores them in a thread safe array. 
+IB::Gateway is an enhancement of IB::Connection. Upon initialization, it detects active accounts and stores them in thread safe arrays. 
+
+``` ruby
+g =  IB::Gateway.current
+clients =  G.clients
+puts client.first.portfolio_values.as_table
+┌───────────┬─────────────────────────────────────────────┬─────┬──────────┬──────────┬───────────┬────────────┬──────────┐
+│           │                                             │ pos │ entry    │ market   │ value     │ unrealized │ realized │
+╞═══════════╪═════════════════════════════════════════════╪═════╪══════════╪══════════╪═══════════╪════════════╪══════════╡
+│ Uxxxxxxx  │ Stock: BEPC USD NYSE                        │ 200 │   43.038 │   41.042 │    8208.4 │    -399.17 │          │
+│ Uxxxxxxx  │ Option: CNHI 20210819 put 13.0 IDEM EUR     │  -2 │    0.386 │     0.01 │     -9.63 │     376.37 │          │
+│ Uxxxxxxx  │ Stock: EQT SEK SFB                          │ 200 │    443.8 │  420.469 │  84093.85 │   -4666.19 │ -1369.02 │
+│ Uxxxxxxx  │ Future: ESTX50 20210917 EUR                 │  -1 │   4145.3 │  4098.15 │  -40981.5 │      471.5 │          │
+│ Uxxxxxxx  │ Option: ESTX50 20211217 call 4200.0 DTB EUR │  -4 │    97.85 │   99.398 │   -3975.9 │      -61.9 │          │
+│ Uxxxxxxx  │ Option: IWM 20210903 call 230.0 AMEX USD    │  -4 │    1.943 │    0.124 │    -49.72 │     727.49 │          │
+
+```
 Details in the [documentation](https://ib-ruby.github.io/ib-doc/gateway.html)
 
+Generally `puts IB::Model.as_table` provides a modern and convient output for the console and notebooks.
+
+```ruby
+g.update_orders
+puts g.clients.first.orders.as_table
+┌──────────┬───────────┬─────────────────────────────────────────┬──────┬─────┬────────┬────────┬───────┬────────┐
+│ account  │ status    │                                         │ Type │ tif │ action │ amount │ price │ id/fee │
+╞══════════╪═══════════╪═════════════════════════════════════════╪══════╪═════╪════════╪════════╪═══════╪════════╡
+│ U123456  │ Submitted │ Option: SLV 20210716 put 24.0 SMART USD │ LMT  │ GTC │ sell   │ 5.0    │ 0.98  │ 0      │
+└──────────┴───────────┴─────────────────────────────────────────┴──────┴─────┴────────┴────────┴───────┴────────┘
+puts g.clients.first.orders.contract.as_table
+┌────────┬────────┬───────────┬──────────┬──────────┬────────────┬───────────────┬───────┬────────┬──────────┐
+│        │ symbol │ con_id    │ exchange │ expiry   │ multiplier │ trading-class │ right │ strike │ currency │
+╞════════╪════════╪═══════════╪══════════╪══════════╪════════════╪═══════════════╪═══════╪════════╪══════════╡
+│ Option │ SLV    │ 456347029 │  SMART   │ 20210716 │    100     │      SLV      │  put  │   24.0 │   USD    │
+└────────┴────────┴───────────┴──────────┴──────────┴────────────┴───────────────┴───────┴────────┴──────────┘
+```
 Its used in [Simple Monitor](https://github.com/ib-ruby/simple-monitor)
 
 
+## Notebooks
+**`IB-Ruby`** code can be executed in [iruby jupyter notebooks](https://github.com/SciRuby/iruby). A few scripts are included in [IB-Examples](https://github.com/ib-ruby/ib-examples). (*.ipynb- files)
 
 
-
+```
 ## Contributing
 
 Bug reports and pull requests are welcome on GitHub at https://github.com/ib-ruby/ib-extensions. This project is intended to be a safe, welcoming space for collaboration, and contributors are expected to adhere to the [code of conduct](https://github.com/[ib-ruby/ib-extensions/blob/master/CODE_OF_CONDUCT.md).

data/bin/console

@@ -65,7 +65,8 @@ read_yml = -> (key) do
 	
   ## The Block takes instructions which are executed  after initializing all instance-variables
   ## and prior to the connection-process
-  ## Here we just subscribe to some events  
+  ## Here we just subscribe to some events
+  begin
   C =  Connection.new  client_id: client_id, port: port  do |c|  # future use__ , optional_capacities: "+PACEAPI"  do |c|
 
     c.subscribe( :ContractData, :BondContractData) { |msg| c.logger.info { msg.contract.to_human } }
@@ -77,8 +78,8 @@ read_yml = -> (key) do
 #				puts
 #    end
 
-    c.subscribe( :OpenOrder){ |msg|  "Open Order detected and stored: C.received[:OpenOrders] " }
-		c.logger.level = Logger::INFO 
+    c.subscribe( :OpenOrder){ |msg|  c.logger.info "Open Order detected and stored: C.received[:OpenOrders] " }
+		c.logger.level = Logger::WARN   # set to INFO for more verbose output
 	end 
   unless  C.received[:OpenOrder].blank?
         puts "------------------------------- OpenOrders ----------------------------------"
@@ -91,4 +92,10 @@ read_yml = -> (key) do
   puts  "some basic Messages are subscribed and accordingly displayed"
   puts '-'* 45
 
+ rescue IB::TransmissionError => e
+      Connection.logger.fatal e.message
+      Connection.logger.fatal "Aborting"
+      Kernel.exit
+ end
+
   IRB.start(__FILE__)

data/bin/gateway

@@ -64,21 +64,26 @@ read_yml = -> (key) do
 					end
 
   ARGV.clear
-  logger = Logger.new  STDOUT
-  logger.formatter = proc do |level, time, prog, msg|
-      "#{time.strftime('%H:%M:%S')} #{msg}\n"
-	end
-			logger.level = Logger::INFO 
 	
   ## The Block takes instructions which are executed  after initializing all instance-variables
   ## and prior to the connection-process
   ## Here we just subscribe to some events  
 	begin
 		G =  Gateway.new get_account_data: true, serial_array: true,
-			client_id: client_id, port: port ,  logger: logger,
-			watchlists: [:Spreads, :Stillhalter, :BuyAndHold]
-	rescue IB::TransmissionError => e
-		puts "E: #{e.inspect}"
+			client_id: client_id, port: port , 
+			watchlists: [:Spreads, :Stillhalter, :BuyAndHold] do |c|
+        c.tws.subscribe( :Alert, :ContractDataEnd, :ManagedAccounts, :OrderStatus ) {| m| c.logger.info { m.to_human } }
+      end
+  rescue IB::TransmissionError => e
+    if e.message =~ /client-id/
+      IB::Connection.logger.fatal "Increasing client_id"
+      client_id +=1
+      retry
+    else
+      puts "E: #{e.inspect}"
+      puts "Please restart"
+      Kernel.exit
+    end
 	end
 
 	C =  G.tws

data/changelog.md

@@ -35,3 +35,57 @@
 
 * Gateway#connect: Occasionally the request for AccountPositions/AllOrders fails. Then a reconnect is
                    appropriate. This is now implemented.
+
+* Order.auto_adjust
+
+     Auto Adjust implements a simple algorithm to ensure that an order is accepted
+    
+     It reads `contract_detail.min_tick`. 
+    
+     If min_tick < 0.01, the real tick-increments differ from the min_tick_value
+    
+     For J36 (jardines) min tick is 0.001, but the minimal increment is 0.005
+     For Tui1 its the same, min_tick is 0.00001 , minimal increment ist 0.00005
+    
+     Thus, for min-tick smaller then 0.01, the value is rounded to the next higher digit.
+     
+     | min-tick     |  round     |
+     |--------------|------------|
+     |   10         |   110      |
+     |    1         |   111      |
+     |    0.1       |   111.1    |
+     |    0.001     |   111.11   |
+     |    0.0001    |   111.11   |
+     |    0.00001   |   111.111  |
+     |--------------|------------|
+
+* Client.place:   defaults are 
+  *   auto_adjust is "true" 
+  *   convert_size: true
+
+  If a negative value for 'total amount' is used, then Order.action is set to :sell.   
+  If a positive value is used, Order.action is kept 
+
+* Client.place raises an `IB::Symbol Error` if the order is not submitted 
+
+* Included Contract#included_in?( an IB::Account ) and Contract#portfolio_value( an IB::Account )
+
+  Suppose, you want to check, if a complex Contract is included in the Portfolio
+
+  ```ruby
+  s = Straddle.build symbol: Symbols::Index.stoxx, strike=4200, expiry: 20211217
+  puts s.included__in?(IB::Gateway.current.clients.first).to_human
+  =>  "<Straddle ESTX50(4200.0)[Dec 2021]>" 
+  puts s.portfolio_value( IB::Gateway.current.clients.first ).to_human
+  => <PortfolioValue: Uxxxxxx Pos=-4 @ 225.158;Value=-9006.31;PNL=-1812.31 unrealized;<Option: ESTX50 20211217 put 4200.0 DTB EUR>
+ => <PortfolioValue: Uxxxxxxx Pos=-4 @ 99.398;Value=-3975.9;PNL=-61.9 unrealized;<Option: ESTX50 20211217 call 4200.0 DTB EUR>
+
+  ```
+  Both methods are available for IB::Contracts.
+
+* IB::Gateway.current.get_account_data  accepts only one parameter and is not persistent anymore
+   The former second argument (watchlists: ) is defaulted by those initialized through e IB::Gateway.new  (IB::Gateway.current.active_watchlists)  
+   The method now fetches the account- and portfoliodate, initialises Account#contracts, Account#portfolio_values, Account#account_values , Account#focusses and desubscribes from the TWS. (Before, the subscription to AccountData was permanently active).
+
+* IB::Gateway.current.add_watchlist( a symbol ) -- Watchlists can added after initialisation
+

data/ib-extensions.gemspec

@@ -25,10 +25,12 @@ Gem::Specification.new do |spec|
   spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
   spec.require_paths = ["lib"]
 
-
-	spec.add_dependency "ox"
-  spec.add_dependency "ib-api", "~> 972.4"
-	spec.add_development_dependency "bundler", "~> 2.0"
+  spec.add_dependency "ox"
+  spec.add_dependency "prime"
+  spec.add_dependency "distribution"
+  spec.add_dependency "polars-df" , "~> 0.3.1"
+  spec.add_dependency "ib-api", "~> 972.5.2"
+  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' 

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

@@ -43,15 +43,15 @@ Important: The class is accessed asynchronically. Be careful while raising inter
 
 		def self.method_missing( method_id, msg , *args, &block )
 			if msg.is_a?  IB::Messages::Incoming::Alert
-				logger.debug { msg.to_human }
+#				IB::Connection.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} " }
+				IB::Connection.logger.error { "Argument to IB::Alert is not a IB::Messages::Incoming::Alert" }
+				IB::Connection.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} " }
+			unless IB::Connection.logger.nil?
+				IB::Connection.logger.error { "The Argument is not a valid  IB::Messages:Incoming::Alert object"}
+				IB::Connection.logger.error { "The object: #{msg.inspect} " }
 			else
 				puts "No Logging-Device specified"
 				puts "The object: #{msg.inspect} "
@@ -61,9 +61,6 @@ Important: The class is accessed asynchronically. Be careful while raising inter
 
 
       class << self
-  def logger
-    IB::Connection.logger || IB::Gateway.logger
-  end
 
 	def ignore_alert  *codes
 	  codes.each do |n|
@@ -78,7 +75,7 @@ Important: The class is accessed asynchronically. Be careful while raising inter
 	  codes.each do |n|
 	    class_eval <<-EOD
 	      def self.alert_#{n} msg
-	      logger.info { msg.to_human }
+#	      IB::Connection.logger.info { msg.to_human }
 		end              
 	      EOD
 	  end
@@ -87,7 +84,7 @@ Important: The class is accessed asynchronically. Be careful while raising inter
 	  codes.each do |n|
 	    class_eval <<-EOD
 	      def self.alert_#{n} msg
-	      logger.warn { msg.to_human }
+#	      IB::Connection.logger.warn { msg.to_human }
 		end              
 	      EOD
 	  end
@@ -98,9 +95,9 @@ Important: The class is accessed asynchronically. Be careful while raising inter
 	    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 }
+#		  IB::Connection.logger.error {  msg.message + ' id: ' + msg.error_id.to_s }
 		else
-		  logger.error {  msg.message   }
+#		  IB::Connection.logger.error {  msg.message   }
 		end
 	      end              
 	      EOD