ib-ruby 0.4.20 → 0.4.22

data/HISTORY

@@ -89,3 +89,11 @@
 == 0.4.20 / 2011-09-19
 
 * IB::Connection#subscribe now accepts Symbols with message names
+
+== 0.4.21 / 2011-09-19
+
+* README extended
+
+== 0.4.22 / 2011-09-20
+
+* Fixed minor buglets

data/README.rdoc

@@ -7,14 +7,11 @@ that is in turn forked from http://github.com/pjlegato/ib-ruby by Paul Legato.
 
 == DESCRIPTION:
 
-Ruby Implementation of the Interactive Broker' TWS API
-
-The goal of this fork is to modernize library structure (Bundler/Gemfile/etc) and
-then roll out a new version based on latest IB TWS API v.965.
+Ruby Implementation of the Interactive Broker' TWS API v.965.
 
 == FEATURES/PROBLEMS:
 
-* This is a ALPHA release, and should not be used for live trading.
+* This is a BETA release, and should not be used for live trading.
   Any features contained with are AS-IS and may not work in all conditions
 * This code is not sanctioned or supported by Interactive Brokers
 
@@ -41,9 +38,20 @@ Ensure it is configured to allow API connections on localhost.
 
   >> require 'ib-ruby'
   >> ib = IB::Connection.new
-  >> ib.subscribe(IB::Messages::Incoming::Alert) { |msg| puts msg.to_human }
-  >> ib.subscribe(IB::Messages::Incoming::AccountValue) { |msg| puts msg.to_human }
-  >> ib.send IB::Messages::Outgoing::RequestAccountData.new :subscribe => true
+  >> ib.subscribe(:Alert, :AccountValue) { |msg| puts msg.to_human }
+  >> ib.send :RequestAccountData, :subscribe => true
+
+Essentially, all interaction of your code and TWS can be described as an exchange
+of messages. You subscribe to message types you're interested in using
+IB::Connection#subscribe and request data from TWS using IB::Connection#send.
+The code blocks (or procs) given to #subscribe will be executed when a message of
+requested type is received, with the received message as its argument.
+
+Use sample scripts in /bin folder as an example of how common tasks can be
+achieved using ib-ruby.
+
+See /lib/ib-ruby/messages for a full list of TWS incoming/outgoing messages and
+their attributes. Original TWS docs and code samples can be found in /misc folder.
 
 == LICENSE:
 

data/VERSION

@@ -1 +1 @@
-0.4.20
+0.4.22

data/bin/historic_data

@@ -26,7 +26,7 @@ Timeout = 10 # How long to wait for messages from TWS before exiting, sec
 ib = IB::Connection.new
 
 # Subscribe to TWS alerts/errors
-ib.subscribe(IB::Messages::Incoming::Alert) { |msg| puts msg.to_human }
+ib.subscribe(:Alert) { |msg| puts msg.to_human }
 
 # Now, subscribe to HistoricalData incoming events.  The code passed in the block
 # will be executed when a message of that type is received, with the received
@@ -41,7 +41,6 @@ ib.subscribe(IB::Messages::Incoming::HistoricalData) do |msg|
     @last_msg_time = Time.now.to_i
 
     STDERR.puts "  " + datum.to_s unless Quiet
-    #STDOUT.puts "#{datum.date},#{datum.open},#{datum.high},#{datum.low},#{datum.close},#{datum.volume}"
   end
 end
 

data/bin/time_and_sales

@@ -40,10 +40,6 @@ def show_sales_and_size(msg)
                "#{msg.data[:size]} at #{msg.data[:price]}" : msg.to_human)
 end
 
-def show_size(msg)
-  return if msg.type != :last_size || msg.data[:size] < MIN_SIZE
-end
-
 # Now, subscribe to TickerPrice and TickerSize events.  The code passed in the block
 # will be executed when a message of that type is  received, with the received message
 # as its argument. In this case, we just print out the tick.

data/lib/ib-ruby/constants.rb

@@ -7,15 +7,24 @@ module IB
   #                 2 => "PROFILES",
   #                 3 =>"ALIASES"}
 
-  # Enumeration of data types
-  DATA_TYPES = [:trades, :midpoint, :bid, :ask]
-
   # Enumeration of bar size types for convenience.
   # Bar sizes less than 30 seconds do not work for some securities.
   BAR_SIZES = ['1 sec', '5 secs', '15 secs', '30 secs',
                '1 min', '2 mins', '3 mins', '5 mins',
                '15 mins', '30 mins', '1 hour', '1 day']
 
+  # Enumeration of data types
+  DATA_TYPES = [:trades, :midpoint, :bid, :ask]
+
+  # Valid security types (sec_type attribute)
+  SECURITY_TYPES = {:stock => "STK",
+                    :option => "OPT",
+                    :future => "FUT",
+                    :index => "IND",
+                    :futures_option => "FOP",
+                    :forex => "CASH",
+                    :bag => "BAG"}
+
   # Tick types as received in TickPrice and TickSize messages (enumeration)
   TICK_TYPES = {
       # int id => :Description #  Corresponding API Event/Function/Method

data/lib/ib-ruby/messages/incoming.rb

@@ -446,10 +446,10 @@ module IB
           under_comp_present = (@socket.read_int == 1)
 
           if under_comp_present
-            @contract.under_comp =
-                Models::Contract::UnderComp.new :con_id => @socket.read_int,
-                                                :delta => @socket.read_decimal,
-                                                :price => @socket.read_decimal
+            @contract.under_comp = true
+            @contract.under_con_id = @socket.read_int
+            @contract.under_delta = @socket.read_decimal
+            @contract.under_price = @socket.read_decimal
           end
 
           @order.algo_strategy = @socket.read_string
@@ -597,7 +597,6 @@ module IB
       #    :results - an Array of Historical Data Bars
       #    :start_date
       #    :end_date
-      #    :completed_indicator - string in stupid legacy format
       class HistoricalData < AbstractMessage
         @message_id = 17
 
@@ -608,9 +607,6 @@ module IB
                    [:end_date, :string],
                    [:count, :int]
 
-          @data[:completed_indicator] =
-              "finished-#{@data[:start_date]}-#{@data[:end_date]}"
-
           @data[:results] = Array.new(@data[:count]) do |index|
             Models::Bar.new :date => @socket.read_string,
                             :open => @socket.read_decimal,
@@ -625,7 +621,8 @@ module IB
         end
 
         def to_human
-          "<HistoricalData: req id #{@data[:id]}, #{@data[:item_count]} items, from #{@data[:start_date_str]} to #{@data[:end_date_str]}>"
+          "<HistoricalData: req id #{@data[:id]}, #{@data[:item_count]
+          } items, from #{@data[:start_date_str]} to #{@data[:end_date_str]}>"
         end
       end # HistoricalData
 

data/lib/ib-ruby/messages/outgoing.rb

@@ -368,10 +368,19 @@ module IB
 
       # data = { :id => ticker_id (int),
       #          :contract => Contract,
-      #          :exercise_action => int,
-      #          :exercise_quantity => int,
+      #          :exercise_action => int, 1 = exercise, 2 = lapse
+      #          :exercise_quantity => int, The number of contracts to be exercised
       #          :account => string,
-      #          :override => int } ## override? override what?
+      #          :override => int: Specifies whether your setting will override the
+      #                       system's natural action. For example, if your action
+      #                       is "exercise" and the option is not in-the-money, by
+      #                       natural action the option would not exercise. If you
+      #                       have override set to "yes" the natural action would be
+      #                       overridden and the out-of-the money option would be
+      #                       exercised. Values are:
+      #                              � 0 = do not override
+      #                              � 1 = override
+      #       }
       class ExerciseOptions < AbstractMessage
         @message_id = 21
 
@@ -385,7 +394,9 @@ module IB
         end
       end # ExerciseOptions
 
-      # Data format is { :id => order_id (int), :contract => Contract, :order => Order }
+      # Data format is { :id => order_id (int),
+      #                  :contract => Contract,
+      #                  :order => Order }
       class PlaceOrder < AbstractMessage
         @message_id = 3
         @version = 31
@@ -457,29 +468,50 @@ module IB
            @data[:order].clearing_intent,
            @data[:order].not_held,
            @data[:contract].serialize_under_comp,
-           @data[:contract].serialize_algo,
+           @data[:order].serialize_algo,
            @data[:order].what_if]
         end
       end # PlaceOrder
 
-      # data = { :filter => ExecutionFilter ]
+      # When this message is sent, TWS responds with ExecutionData messages, each
+      # containing the execution report that meets the specified criteria.
+      # @data={:id =>         int: :request_id,
+      #        :client_id => int: Filter the results based on the clientId.
+      #        :acct_code => Filter the results based on based on account code.
+      #                      Note: this is only relevant for Financial Advisor accts.
+      #        :sec_type =>  Filter the results based on the order security type.
+      #        :time =>      Filter the results based on execution reports received
+      #                      after the specified time - format "yyyymmdd-hh:mm:ss"
+      #        :symbol   =>  Filter the results based on the order symbol.
+      #        :exchange =>  Filter the results based on the order exchange
+      #        :side =>  Filter the results based on the order action: BUY/SELL/SSHORT
       class RequestExecutions < AbstractMessage
         @message_id = 7
         @version = 3
 
         def encode
+
           [super,
-           @data[:filter].client_id,
-           @data[:filter].acct_code,
-           @data[:filter].time, # Valid format for time is "yyyymmdd-hh:mm:ss"
-           @data[:filter].symbol,
-           @data[:filter].sec_type,
-           @data[:filter].exchange,
-           @data[:filter].side]
+           @data[:client_id],
+           @data[:acct_code],
+           @data[:time], # Valid format for time is "yyyymmdd-hh:mm:ss"
+           @data[:symbol],
+           @data[:sec_type],
+           @data[:exchange],
+           @data[:side]]
         end # encode
       end # RequestExecutions
 
-      # data = { :request_id => int, :contract => Contract, :report_type => String }
+      # Send this message to receive Reuters global fundamental data. There must be
+      # a subscription to Reuters Fundamental set up in Account Management before
+      # you can receive this data.
+      # data = { :id => int: :request_id,
+      #          :contract => Contract,
+      #          :report_type => String: one of the following:
+      #                             Estimates
+      #                             Financial Statements
+      #                             Summary
+      #        }
       class RequestFundamentalData < AbstractMessage
         @message_id = 52
 

data/lib/ib-ruby/models/contract.rb

@@ -6,15 +6,6 @@ module IB
   module Models
     class Contract < Model
 
-      # Valid security types (sec_type attribute)
-      SECURITY_TYPES = {:stock => "STK",
-                        :option => "OPT",
-                        :future => "FUT",
-                        :index => "IND",
-                        :futures_option => "FOP",
-                        :forex => "CASH",
-                        :bag => "BAG"}
-
       BAG_SEC_TYPE = "BAG"
 
       # Fields are Strings unless noted otherwise
@@ -237,25 +228,6 @@ module IB
         end
       end
 
-      def serialize_algo(*args)
-        raise "Unimplemented"
-        #if (m_serverVersion >= MIN_SERVER_VER_ALGO_ORDERS) {
-        #  send( order.m_algoStrategy);
-        #  if( !IsEmpty(order.m_algoStrategy)) {
-        #    java.util.Vector algoParams = order.m_algoParams;
-        #    int algoParamsCount = algoParams == null ? 0 : algoParams.size();
-        #    send( algoParamsCount);
-        #    if( algoParamsCount > 0) {
-        #      for( int i = 0; i < algoParamsCount; ++i) {
-        #        TagValue tagValue = (TagValue)algoParams.get(i);
-        #        send( tagValue.m_tag);
-        #        send( tagValue.m_value);
-        #      }
-        #    }
-        #  }
-        #}
-      end
-
       # Some messages send open_close too, some don't. WTF.
       def serialize_combo_legs(type = :short)
         # No idea what "BAG" means. Copied from the Java code.

data/lib/ib-ruby/models/order.rb

@@ -228,6 +228,8 @@ module IB
         @delta_neutral_order_type = ''
         @what_if = false
         @not_held = false
+        @algo_strategy = ''
+        @algo_params = []
 
         # TODO: Initialize with nil instead of Max_Value, or change
         #       Order sending code in IB::Messages::Outgoing::PlaceOrder
@@ -257,6 +259,16 @@ module IB
         super opts
       end
 
+      def serialize_algo(*args)
+        if algo_strategy.empty? || algo_strategy.nil?
+          ['']
+        else
+          [algo_strategy,
+           algo_params.size,
+           algo_params.to_a]
+        end
+      end
+
     end # class Order
   end # module Models
 end # module IB

data/lib/ib-ruby/symbols/forex.rb

@@ -1,4 +1,3 @@
-
 # Note that the :description field is particular to ib-ruby, and is NOT part of the standard TWS API.
 # It is never transmitted to IB. It's purely used clientside, and you can store any arbitrary string that
 # you may find useful there.
@@ -6,64 +5,64 @@ module IB
   module Symbols
     Forex = {
         :audusd => Models::Contract.new(:symbol => "AUD",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "USD",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "AUDUSD"),
+                                        :exchange => "IDEALPRO",
+                                        :currency => "USD",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "AUDUSD"),
 
         :gbpusd => Models::Contract.new(:symbol => "GBP",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "USD",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "GBPUSD"),
+                                        :exchange => "IDEALPRO",
+                                        :currency => "USD",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "GBPUSD"),
 
         :euraud => Models::Contract.new(:symbol => "EUR",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "AUD",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "EURAUD"),
+                                        :exchange => "IDEALPRO",
+                                        :currency => "AUD",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "EURAUD"),
 
         :eurgbp => Models::Contract.new(:symbol => "EUR",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "GBP",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "EURGBP"),
+                                        :exchange => "IDEALPRO",
+                                        :currency => "GBP",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "EURGBP"),
 
         :eurjpy => Models::Contract.new(:symbol => "EUR",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "JPY",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "EURJPY"),
+                                        :exchange => "IDEALPRO",
+                                        :currency => "JPY",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "EURJPY"),
 
         :eurusd => Models::Contract.new(:symbol => "EUR",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "USD",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "EURUSD"),
+                                        :exchange => "IDEALPRO",
+                                        :currency => "USD",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "EURUSD"),
 
         :eurcad => Models::Contract.new(:symbol => "EUR",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "CAD",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "EURCAD"),
+                                        :exchange => "IDEALPRO",
+                                        :currency => "CAD",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "EURCAD"),
 
         :usdchf => Models::Contract.new(:symbol => "USD",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "CHF",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "USDCHF"),
+                                        :exchange => "IDEALPRO",
+                                        :currency => "CHF",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "USDCHF"),
 
         :usdcad => Models::Contract.new(:symbol => "USD",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "CAD",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "USDCAD"),
+                                        :exchange => "IDEALPRO",
+                                        :currency => "CAD",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "USDCAD"),
 
         :usdjpy => Models::Contract.new(:symbol => "USD",
-                                           :exchange => "IDEALPRO",
-                                           :currency => "JPY",
-                                           :sec_type => Models::Contract::SECURITY_TYPES[:forex],
-                                           :description => "USDJPY")
+                                        :exchange => "IDEALPRO",
+                                        :currency => "JPY",
+                                        :sec_type => SECURITY_TYPES[:forex],
+                                        :description => "USDJPY")
     }
   end # Contracts
 end

data/lib/ib-ruby/symbols/futures.rb

@@ -18,8 +18,6 @@ module IB
     # N.B. This will not work as expected near/after expiration during that month, as
     # volume rolls over to the next quarter even though the current month is still valid!
     #
-
-
     def self.next_quarter_month(time)
       sprintf("%02d", [3, 6, 9, 12].find { |month| month >= time.month })
     end
@@ -41,14 +39,14 @@ module IB
                                     :expiry => self.next_expiry(Time.now),
                                     :exchange => "ECBOT",
                                     :currency => "USD",
-                                    :sec_type => Models::Contract::SECURITY_TYPES[:future],
+                                    :sec_type => SECURITY_TYPES[:future],
                                     :description => "Mini Dow Jones Industrial"),
 
         :es => Models::Contract.new(:symbol => "ES",
                                     :expiry => self.next_expiry(Time.now),
                                     :exchange => "GLOBEX",
                                     :currency => "USD",
-                                    :sec_type => Models::Contract::SECURITY_TYPES[:future],
+                                    :sec_type => SECURITY_TYPES[:future],
                                     :multiplier => 50,
                                     :description => "E-Mini S&P 500"),
 
@@ -56,7 +54,7 @@ module IB
                                      :expiry => self.next_expiry(Time.now),
                                      :exchange => "GLOBEX",
                                      :currency => "USD",
-                                     :sec_type => Models::Contract::SECURITY_TYPES[:future],
+                                     :sec_type => SECURITY_TYPES[:future],
                                      :multiplier => 62500,
                                      :description => "British Pounds"),
 
@@ -64,7 +62,7 @@ module IB
                                      :expiry => self.next_expiry(Time.now),
                                      :exchange => "GLOBEX",
                                      :currency => "USD",
-                                     :sec_type => Models::Contract::SECURITY_TYPES[:future],
+                                     :sec_type => SECURITY_TYPES[:future],
                                      :multiplier => 12500,
                                      :description => "Euro FX"),
 
@@ -72,7 +70,7 @@ module IB
                                      :expiry => self.next_expiry(Time.now),
                                      :exchange => "GLOBEX",
                                      :currency => "USD",
-                                     :sec_type => Models::Contract::SECURITY_TYPES[:future],
+                                     :sec_type => SECURITY_TYPES[:future],
                                      :multiplier => 12500000,
                                      :description => "Japanese Yen"),
 
@@ -80,7 +78,7 @@ module IB
                                      :expiry => self.next_expiry(Time.now),
                                      :exchange => "HKFE",
                                      :currency => "HKD",
-                                     :sec_type => Models::Contract::SECURITY_TYPES[:future],
+                                     :sec_type => SECURITY_TYPES[:future],
                                      :multiplier => 50,
                                      :description => "Hang Seng Index")
     }

data/lib/ib-ruby/symbols/options.rb

@@ -10,19 +10,17 @@ module IB
     Options =
         {:wfc20 => Models::Contract.new(:symbol => "WFC",
                                         :exchange => "SMART",
-                                        #:currency => "USD",
                                         :expiry => "201110",
                                         :right => "CALL",
                                         :strike => 20.0,
-                                        :sec_type => Models::Contract::SECURITY_TYPES[:option],
+                                        :sec_type => SECURITY_TYPES[:option],
                                         :description => "Wells Fargo 20 Call 2011-10"),
          :z50 => Models::Contract.new(:symbol => "Z",
                                       :exchange => "LIFFE",
-                                      #:currency => "USD",
                                       :expiry => "201110",
                                       :right => "CALL",
                                       :strike => 50.0,
-                                      :sec_type => Models::Contract::SECURITY_TYPES[:option],
+                                      :sec_type => SECURITY_TYPES[:option],
                                       :description => " FTSE-100 index 50 Call 2011-10"),
 
         }

data/lib/ib-ruby/symbols/stocks.rb

@@ -11,12 +11,12 @@ module IB
         {:wfc => Models::Contract.new(:symbol => "WFC",
                                       :exchange => "NYSE",
                                       :currency => "USD",
-                                      :sec_type => Models::Contract::SECURITY_TYPES[:stock],
+                                      :sec_type => SECURITY_TYPES[:stock],
                                       :description => "Wells Fargo"),
         :wrong => Models::Contract.new(:symbol => "QEEUUE",
                                       :exchange => "NYSE",
                                       :currency => "USD",
-                                      :sec_type => Models::Contract::SECURITY_TYPES[:stock],
+                                      :sec_type => SECURITY_TYPES[:stock],
                                       :description => "Inexistent stock"),
         }
   end

metadata

@@ -2,7 +2,7 @@
 name: ib-ruby
 version: !ruby/object:Gem::Version 
   prerelease: 
-  version: 0.4.20
+  version: 0.4.22
 platform: ruby
 authors: 
 - arvicco
@@ -10,7 +10,7 @@ autorequire:
 bindir: bin
 cert_chain: []
 
-date: 2011-09-19 00:00:00 +04:00
+date: 2011-09-20 00:00:00 +04:00
 default_executable: 
 dependencies: 
 - !ruby/object:Gem::Dependency 
@@ -81,13 +81,6 @@ files:
 - lib/ib-ruby/symbols/stocks.rb
 - lib/ib-ruby/symbols.rb
 - lib/ib-ruby.rb
-- lib/legacy/bin/account_info_old
-- lib/legacy/bin/historic_data_old
-- lib/legacy/bin/market_data_old
-- lib/legacy/datatypes.rb
-- lib/legacy/ib-ruby.rb
-- lib/legacy/ib.rb
-- lib/legacy/messages.rb
 - lib/version.rb
 - spec/ib-ruby/models/contract_spec.rb
 - spec/ib-ruby/models/order_spec.rb

data/lib/legacy/bin/account_info_old

@@ -1,36 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script connects to IB API, subscribes to account info and prints out
-# messages received from IB (update every 3 minute or so)
-
-require 'pathname'
-LIB_DIR = (Pathname.new(__FILE__).dirname + '../lib/').realpath.to_s
-$LOAD_PATH.unshift LIB_DIR unless $LOAD_PATH.include?(LIB_DIR)
-
-require 'rubygems'
-require 'bundler/setup'
-require 'ib-ruby'
-
-# First, connect to IB TWS.
-ib = IB::IB.new
-
-# Uncomment this for verbose debug messages:
-# IB::IBLogger.level = Logger::Severity::DEBUG
-
-## Subscribe to the messages that TWS sends in response to account data request
-ib.subscribe(IB::IncomingMessages::AccountValue) { |msg|  puts msg.to_human }
-
-ib.subscribe(IB::IncomingMessages::PortfolioValue) { |msg|  puts msg.to_human }
-
-ib.subscribe(IB::IncomingMessages::AccountUpdateTime) { |msg|  puts msg.to_human }
-
-ib.dispatch(IB::OutgoingMessages::RequestAccountData.new(:subscribe => true,
-                                                         :account_code => ''))
-
-puts "\nSubscribing to IB account data"
-puts "\n******** Press <Enter> to cancel... *********\n\n"
-gets
-puts "Cancelling account data subscription.."
-
-ib.dispatch(IB::OutgoingMessages::RequestAccountData.new(:subscribe => false,
-                                                         :account_code => ''))