ib-ruby 0.4.20 → 0.4.22

data/lib/legacy/bin/historic_data_old

@@ -1,81 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script downloads historic data for specific symbol from IB
-#
-# TODO: Fix the Historical command line client
-
-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'
-
-### Configurable Options
-Quiet = false # if Quiet == false, status data will be printed to STDERR
-Timeout = 10 # How long to wait when no messages are received from TWS before exiting, in seconds
-SymbolToRequest = IB::Symbols::Forex[:gbpusd]
-
-# Definition of what we want market data for.  We have to keep track
-# of what ticker id corresponds to what symbol ourselves, because the
-# ticks don't include any other identifying information.
-#
-# The choice of ticker ids is, as far as I can tell, arbitrary.
-#
-# Note that as of 4/07 there is no historical data available for forex spot.
-#
-@market = {123 => SymbolToRequest}
-
-# To determine when the timeout has passed.
-@last_msg_time = Time.now.to_i + 2
-
-# Connect to IB TWS.
-ib = IB::IB.new
-
-# Uncomment this for verbose debug messages:
-# IB::IBLogger.level = Logger::Severity::DEBUG
-
-# 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
-# message as its argument. In this case, we just print out the data.
-#
-# Note that we have to look the ticker id of each incoming message
-# up in local memory to figure out what it's for.
-#
-# (N.B. The description field is not from IB TWS. It is defined
-#  locally in forex.rb, and is just arbitrary text.)
-
-ib.subscribe(IB::IncomingMessages::HistoricalData, lambda { |msg|
-
-  STDERR.puts @market[msg.data[:req_id]].description + ": " + msg.data[:item_count].to_s("F") + " items:" unless Quiet
-
-  msg.data[:history].each { |datum|
-
-    @last_msg_time = Time.now.to_i
-
-    STDERR.puts "   " + datum.to_s("F") unless Quiet
-    STDOUT.puts "#{datum.date},#{datum.open.to_s("F")},#{datum.high.to_s("F")},#{datum.low.to_s("F")},#{datum.close.to_s("F")},#{datum.volume}"
-  }
-})
-
-# Now we actually request historical data for the symbols we're
-# interested in.  TWS will respond with a HistoricalData message,
-# which will be received by the code above.
-
-@market.each_pair do |id, contract|
-  msg = IB::OutgoingMessages::RequestHistoricalData.new(:ticker_id => id,
-                                                        :contract => contract,
-                                                        :end_date_time => Time.now.to_ib,
-                                                        :duration => (360).to_s, # how long before end_date_time to request in seconds - this means 1 day
-                                                        :bar_size => IB::OutgoingMessages::RequestHistoricalData::BarSizes.index(:hour),
-                                                        :what_to_show => :trades,
-                                                        :use_RTH => 0,
-                                                        :format_date => 2)
-  ib.dispatch(msg)
-end
-
-while true
-  exit(0) if Time.now.to_i > @last_msg_time + Timeout
-  sleep 1
-end

data/lib/legacy/bin/market_data_old

@@ -1,68 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script connects to IB API, subscribes to market data for specific symbols
-
-require 'rubygems'
-require 'pathname'
-require 'bundler/setup'
-
-LIB_DIR = (Pathname.new(__FILE__).dirname + '../lib/').realpath.to_s
-$LOAD_PATH.unshift LIB_DIR unless $LOAD_PATH.include?(LIB_DIR)
-
-require 'ib-ruby'
-
-# Definition of what we want market data for.  We have to keep track
-# of what ticker id corresponds to what symbol ourselves, because the
-# ticks don't include any other identifying information.
-#
-# The choice of ticker ids is, as far as I can tell, arbitrary.
-#
-@market = {123 => IB::Symbols::Forex[:gbpusd],
-           456 => IB::Symbols::Forex[:eurusd],
-           789 => IB::Symbols::Forex[:usdcad]}
-
-# First, connect to IB TWS.
-ib = IB::IB.new
-
-# 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.
-#
-# Note that we have to look the ticker id of each incoming message
-# up in local memory to figure out what it's for.
-#
-# (N.B. The description field is not from IB TWS. It is defined
-#  locally in forex.rb, and is just arbitrary text.)
-
-ib.subscribe(IB::IncomingMessages::TickPrice, lambda { |msg|
-  puts @market[msg.data[:ticker_id]].description + ": " + msg.to_human
-})
-
-ib.subscribe(IB::IncomingMessages::TickSize, lambda { |msg|
-  puts @market[msg.data[:ticker_id]].description + ": " + msg.to_human
-})
-
-
-# Now we actually request market data for the symbols we're interested in.
-
-@market.each_pair { |id, contract|
-  msg = IB::OutgoingMessages::RequestMarketData.new({
-                                                        :ticker_id => id,
-                                                        :contract => contract
-                                                    })
-  ib.dispatch(msg)
-}
-
-puts "\nSubscribed to market data"
-puts "\n******** Press <Enter> to cancel... *********\n\n"
-gets
-puts "Cancelling market data subscription.."
-
-@market.each_pair { |id, contract|
-  msg = IB::OutgoingMessages::CancelMarketData.new({
-                                                       :ticker_id => id,
-                                                       :contract => contract
-                                                   })
-  ib.dispatch(msg)
-}

data/lib/legacy/datatypes.rb

@@ -1,485 +0,0 @@
-#
-# Copyright (C) 2006 Blue Voodoo Magic LLC.
-#
-# This library is free software; you can redistribute it and/or modify
-# it under the terms of the GNU Lesser General Public License as
-# published by the Free Software Foundation; either version 2.1 of the
-# License, or (at your option) any later version.
-#
-# This library is distributed in the hope that it will be useful, but
-# WITHOUT ANY WARRANTY; without even the implied warranty of
-# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
-# Lesser General Public License for more details.
-#
-# You should have received a copy of the GNU Lesser General Public
-# License along with this library; if not, write to the Free Software
-# Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
-# 02110-1301 USA
-#
-
-#
-# TODO: Implement equals() according to the criteria in IB's Java client.
-#
-
-module IB
-
-  module Datatypes
-    attr_reader :created_at
-
-    class AbstractDatum
-
-      def init
-        @created_at = Time.now
-      end
-
-      # If a hash is given, keys are taken as attribute names, values as data.
-      # The attrs of the instance are set automatically from the attributeHash.
-      #
-      # If no hash is given, #init is called in the instance. #init
-      # should set the datum up in a generic state.
-      #
-      def initialize(attributeHash=nil)
-        if attributeHash.nil?
-          init
-        else
-          raise ArgumentError.new("Argument must be a Hash") unless attributeHash.is_a?(Hash)
-          attributeHash.keys.each { |key|
-            self.send((key.to_s + "=").to_sym, attributeHash[key])
-          }
-        end
-      end
-    end # AbstractDatum
-
-
-    # This is used within HistoricData messages.
-    # Instantiate with a Hash of attributes, to be auto-set via initialize in AbstractDatum.
-    class Bar < AbstractDatum
-      attr_accessor :date, :open, :high, :low, :close, :volume, :wap, :has_gaps
-      # :bar_count => @socket.read_int
-
-      def to_s
-        "<Bar: #{@date}; OHLC: #{@open.to_s}, #{@high.to_s}, #{@low.to_s}, #{@close.to_s}; volume: #{@volume}; wap: #{@wap.to_s}; has_gaps: #{@has_gaps}>"
-      end
-    end # Bar
-
-
-    class Order < AbstractDatum
-      # Constants used in Order objects. Drawn from Order.java
-      Origin_Customer = 0
-      Origin_Firm = 1
-
-      Opt_Unknown = '?'
-      Opt_Broker_Dealer = 'b'
-      Opt_Customer = 'c'
-      Opt_Firm = 'f'
-      Opt_Isemm = 'm'
-      Opt_Farmm = 'n'
-      Opt_Specialist = 'y'
-
-      OCA_Cancel_with_block = 1
-      OCA_Reduce_with_block = 2
-      OCA_Reduce_non_block = 3
-
-      # Box orders consts:
-      Box_Auction_Match = 1
-      Box_Auction_Improvement = 2
-      Box_Auction_Transparent = 3
-
-      # Volatility orders consts:
-      Volatility_Type_Daily = 1
-      Volatility_Type_Annual = 2
-      Volatility_Ref_Price_Average = 1
-      Volatility_Ref_Price_BidOrAsk = 2
-
-      # No idea why IB uses a large number as the default for some fields
-      Max_Value = 99999999
-
-      # Main order fields
-      attr_accessor :id, #              int 		m_orderId; ?
-                    :client_id, #       int
-                    :perm_id, #         int
-                    :action, #          String
-                    :total_quantity, #  int
-                    :order_type, #      String
-                    :limit_price, #     double
-                    :aux_price, #       double
-                    #:shares_allocation, # deprecated sharesAllocation field
-
-                    # Extended order fields
-                    :tif, #         String: Time in Force - DAY, GTC, etc.
-                    :oca_group, #   String: one cancels all group name
-                    :oca_type, #    1 = CANCEL_WITH_BLOCK, 2 = REDUCE_WITH_BLOCK, 3 = REDUCE_NON_BLOCK
-                    :order_ref, #   String
-                    :transmit, #    bool:if false, order will be created but not transmitted.
-                    :parent_id, #   int: Parent order id, to associate auto STP or TRAIL orders with the original order.
-                    :block_order, #    bool
-                    :sweep_to_fill, #  bool
-                    :display_size, #   int
-                    :trigger_method, # 0=Default, 1=Double_Bid_Ask, 2=Last, 3=Double_Last,
-                    #                  4=Bid_Ask, 7=Last_or_Bid_Ask, 8=Mid-point
-                    :outside_rth, #    bool: WAS ignore_rth
-                    :hidden, #         bool
-                    :good_after_time, # FORMAT: 20060505 08:00:00 {time zone}
-                    :good_till_date, #  FORMAT: 20060505 08:00:00 {time zone}
-                    :override_percentage_constraints, # bool
-                    :rule_80a, # Individual = 'I', Agency = 'A', AgentOtherMember = 'W',
-                    #            IndividualPTIA = 'J', AgencyPTIA = 'U', AgentOtherMemberPTIA = 'M',
-                    #            IndividualPT = 'K', AgencyPT = 'Y', AgentOtherMemberPT = 'N'
-                    :all_or_none, #      bool
-                    :min_quantity, #     int
-                    :percent_offset, #   double: REL orders only
-                    :trail_stop_price, # double: for TRAILLIMIT orders only
-
-                    # Financial advisors only, all Strings
-                    :fa_group, :fa_profile, :fa_method, :fa_percentage,
-
-                    # Institutional orders only
-                    :open_close, #          String: O=Open, C=Close
-                    :origin, #              int: 0=Customer, 1=Firm
-                    :short_sale_slot, # 1 - you hold the shares, 2 - they will be delivered from elsewhere.  Only for Action="SSHORT
-                    :designated_location, # String: set when slot==2 only
-                    :exempt_code, #         int
-
-                    # SMART routing only
-                    :discretionary_amount, #  double
-                    :etrade_only, #           bool
-                    :firm_quote_only, #       bool
-                    :nbbo_price_cap, #        double
-
-                    # BOX or VOL ORDERS ONLY
-                    :auction_strategy, # 1=AUCTION_MATCH, 2=AUCTION_IMPROVEMENT, 3=AUCTION_TRANSPARENT
-                    :starting_price, #   double, BOX ORDERS ONLY
-                    :stock_ref_price, #  double, BOX ORDERS ONLY
-                    :delta, #            double, BOX ORDERS ONLY
-
-                    # Pegged to stock or VOL orders
-                    :stock_range_lower, #   double
-                    :stock_range_upper, #   double
-
-                    # VOLATILITY ORDERS ONLY
-                    :volatility, #               double
-                    :volatility_type, #          int: 1=daily, 2=annual
-                    :continuous_update, #        int
-                    :reference_price_type, #     int: 1=Average, 2 = BidOrAsk
-                    :delta_neutral_order_type, # String
-                    :delta_neutral_aux_price, #  double
-
-                    # COMBO ORDERS ONLY
-                    :basis_points, #      double: EFP orders only
-                    :basis_points_type, # double: EFP orders only
-
-                    # SCALE ORDERS ONLY
-                    :scale_init_level_size, # int
-                    :scale_subs_level_size, # int
-                    :scale_price_increment, # double
-
-                    #  Clearing info
-                    :account, #          String: IB account
-                    :settling_firm, #    String
-                    :clearing_account, # String: True beneficiary of the order
-                    :clearing_intent, #   "" (Default), "IB", "Away", "PTA" (PostTrade)
-
-                    # ALGO ORDERS ONLY
-                    :algo_strategy, # String
-                    :algo_params, # public Vector<TagValue> m_algoParams; ?!
-
-                    # WTF?!
-                    :what_if, #public boolean  m_whatIf; // What-if
-                    :not_held #public boolean  m_notHeld; // Not Held
-
-      def init
-        super
-
-        @open_close = "0"
-        @origin = Origin_Customer
-        @transmit = true
-        @primary_exchange = ''
-        @designated_location = ''
-        @min_quantity = Max_Value # TODO: Initialize with nil instead of Max_Value, or change
-                                  # Order sending code in IB::Messages::Outgoing::PlaceOrder
-        @percent_offset = Max_Value # -"-
-        @nbba_price_cap = Max_Value # -"-
-        @starting_price = Max_Value # -"-
-        @stock_ref_price = Max_Value # -"-
-        @delta = Max_Value
-        @delta_neutral_order_type = ''
-        @delta_neutral_aux_price = Max_Value # -"-
-        @reference_price_type = Max_Value # -"-
-      end # init
-
-    end # class Order
-
-
-    class Contract < AbstractDatum
-
-      # Valid security types (sec_type attribute)
-      SECURITY_TYPES =
-          {
-              :stock => "STK",
-              :option => "OPT",
-              :future => "FUT",
-              :index => "IND",
-              :futures_option => "FOP",
-              :forex => "CASH",
-              :bag => "BAG"
-          }
-
-      # note that the :description field is entirely local to ib-ruby, and not part of TWS.
-      # You can use it to store whatever arbitrary data you want.
-      attr_accessor :symbol, :strike, :multiplier, :exchange, :currency,
-                    :local_symbol, :combo_legs, :description
-
-      # Bond values
-      attr_accessor(:cusip, :ratings, :desc_append, :bond_type, :coupon_type, :callable,
-                    :puttable, :coupon, :convertible, :maturity, :issue_date)
-
-      attr_reader :sec_type, :expiry, :right, :primary_exchange
-
-
-      # some protective filters
-      def primary_exchange=(x)
-        x.upcase! if x.is_a?(String)
-
-        # per http://chuckcaplan.com/twsapi/index.php/Class%20Contract
-        raise(ArgumentError.new("Don't set primary_exchange to smart")) if x == "SMART"
-
-        @primary_exchange = x
-      end
-
-      def right=(x)
-        x.upcase! if x.is_a?(String)
-        x = nil if !x.nil? && x.empty?
-        raise(ArgumentError.new("Invalid right \"#{x}\" (must be one of PUT, CALL, P, C)")) unless x.nil? || ["PUT", "CALL", "P", "C", "0"].include?(x)
-        @right = x
-      end
-
-      def expiry=(x)
-        x = x.to_s
-        if (x.nil? || !(x =~ /\d{6,8}/)) and !x.empty? then
-          raise ArgumentError.new("Invalid expiry \"#{x}\" (must be in format YYYYMM or YYYYMMDD)")
-        end
-        @expiry = x
-      end
-
-      def sec_type=(x)
-        x = nil if !x.nil? && x.empty?
-        raise(ArgumentError.new("Invalid security type \"#{x}\" (see SECURITY_TYPES constant in Contract class for valid types)")) unless x.nil? || SECURITY_TYPES.values.include?(x)
-        @sec_type = x
-      end
-
-      def reset
-        @combo_legs = Array.new
-        @strike = 0
-      end
-
-      # This returns an Array of data from the given contract, in standard format.
-      # Different messages serialize contracts differently. Go figure.
-      # Note that it does not include the combo legs.
-      def serialize(type = :long)
-        [self.symbol,
-         self.sec_type,
-         self.expiry,
-         self.strike,
-         self.right,
-         self.multiplier,
-         self.exchange] +
-            (type == :long ? [self.primary_exchange] : []) +
-            [self.currency,
-             self.local_symbol]
-      end
-
-      # @Legacy
-      def serialize_long(version)
-        serialize(:long)
-      end
-
-      # @Legacy
-      def serialize_short(version)
-        serialize(:short)
-      end
-
-      # This produces a string uniquely identifying this contract, in the format used
-      # for command line arguments in the IB-Ruby examples. The format is:
-      #
-      #    symbol:security_type:expiry:strike:right:multiplier:exchange:primary_exchange:currency:local_symbol
-      #
-      # Fields not needed for a particular security should be left blank
-      # (e.g. strike and right are only relevant for options.)
-      #
-      # For example, to query the British pound futures contract trading on Globex
-      # expiring in September, 2008, the string is:
-      #
-      #    GBP:FUT:200809:::62500:GLOBEX::USD:
-      def serialize_ib_ruby(version)
-        serialize.join(":")
-      end
-
-      # This returns a Contract initialized from the serialize_ib_ruby format string.
-      def self.from_ib_ruby(string)
-        c = Contract.new
-        c.symbol, c.sec_type, c.expiry, c.strike, c.right, c.multiplier,
-            c.exchange, c.primary_exchange, c.currency, c.local_symbol = string.split(":")
-        c
-      end
-
-      def serialize_under_comp(*args)
-        raise "Unimplemented"
-        # EClientSocket.java, line 471:
-        #if (m_serverVersion >= MIN_SERVER_VER_UNDER_COMP) {
-        # 	   if (contract.m_underComp != null) {
-        # 		   UnderComp underComp = contract.m_underComp;
-        # 		   send( true);
-        # 		   send( underComp.m_conId);
-        # 		   send( underComp.m_delta);
-        # 		   send( underComp.m_price);
-        # 	   }
-      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(include_open_close = false)
-        if self.combo_legs.nil?
-          [0]
-        else
-          [self.combo_legs.size].concat(self.combo_legs.serialize(include_open_close))
-        end
-      end
-
-      def init
-        super
-
-        @combo_legs = Array.new
-        @strike = 0
-        @sec_type = ''
-      end
-
-      def to_human
-        "<IB-Contract: " + [symbol, expiry, sec_type, strike, right, exchange, currency].join("-") + "}>"
-      end
-
-      def to_short
-        "#{symbol}#{expiry}#{strike}#{right}#{exchange}#{currency}"
-      end
-
-      def to_s
-        to_human
-      end
-
-    end # class Contract
-
-    class ContractDetails < AbstractDatum
-      attr_accessor :summary, :market_name, :trading_class, :con_id, :min_tick,
-                    :multiplier, :price_magnifier, :order_types, :valid_exchanges
-
-      def init
-        super
-
-        @summary = Contract.new
-        @con_id = 0
-        @min_tick = 0
-      end
-    end # class ContractDetails
-
-    class Execution < AbstractDatum
-      attr_accessor :order_id, :client_id, :exec_id, :time, :account_number, :exchange,
-                    :side, :shares, :price, :perm_id, :liquidation
-
-      def init
-        super
-
-        @order_id = 0
-        @client_id = 0
-        @shares = 0
-        @price = 0
-        @perm_id = 0
-        @liquidation =0
-      end
-    end # Execution
-
-    # From EClientSocket.java: Note that the valid format for m_time is "yyyymmdd-hh:mm:ss"
-    class ExecutionFilter < AbstractDatum
-      attr_accessor :client_id, :acct_code, :time, :symbol, :sec_type, :exchange, :side
-
-      def init
-        super
-
-        @client_id = 0
-      end
-
-    end # ExecutionFilter
-
-
-    class ComboLeg < AbstractDatum
-      attr_accessor :con_id, :ratio, :action, :exchange, :open_close
-
-      def init
-        super
-
-        @con_id = 0
-        @ratio = 0
-        @open_close = 0
-      end
-
-      # Some messages include open_close, some don't. wtf.
-      def serialize(include_open_close = false)
-        self.map { |leg|
-          [leg.con_id,
-           leg.ratio,
-           leg.action,
-           leg.exchange,
-           (include_open_close ? leg.open_close : [])]
-        }.flatten
-      end
-    end # ComboLeg
-
-
-    class ScannerSubscription < AbstractDatum
-
-      attr_accessor :number_of_rows, :instrument, :location_code, :scan_code, :above_price,
-                    :below_price, :above_volume, :average_option_volume_above,
-                    :market_cap_above, :market_cap_below, :moody_rating_above,
-                    :moody_rating_below, :sp_rating_above, :sp_rating_below,
-                    :maturity_date_above, :maturity_date_below, :coupon_rate_above,
-                    :coupon_rate_below, :exclude_convertible, :scanner_setting_pairs,
-                    :stock_type_filter
-
-      def init
-        super
-
-        @coupon_rate_above = @coupon_rate_below = @market_cap_below = @market_cap_above =
-            @average_option_volume_above = @above_volume = @below_price = @above_price = nil
-        @number_of_rows = -1 # none specified, per ScannerSubscription.java
-      end
-    end # ScannerSubscription
-
-
-    # Just like a Hash, but throws an exception if you try to access a key that doesn't exist.
-    class StringentHash < Hash
-      def initialize(hash)
-        super() { |hash, key| raise Exception.new("key #{key.inspect} not found!") }
-        self.merge!(hash) unless hash.nil?
-      end
-    end
-
-  end # module Datatypes
-  Models = Datatypes
-
-end # module

data/lib/legacy/ib-ruby.rb

@@ -1,10 +0,0 @@
-require 'version'
-
-module IbRuby
-end  # module IbRuby
-
-require 'ib-ruby/datatypes'
-require 'ib-ruby/ib'
-require 'ib-ruby/messages'
-require 'ib-ruby/symbols/forex'
-require 'ib-ruby/symbols/futures'