ib-ruby 0.4.20 → 0.4.22

data/lib/legacy/messages.rb

@@ -1,1458 +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
-
-
-# EClientSocket.java uses sendMax() rather than send() for a number of these.
-# It sends an EOL rather than a number if the value == Integer.MAX_VALUE (or Double.MAX_VALUE).
-# These fields are initialized to this MAX_VALUE.
-# This has been implemented with nils in Ruby to represent the case where an EOL should be sent.
-
-module IB
-
-  #logger = Logger.new(STDERR)
-
-  class ExtremelyAbstractMessage
-    attr_reader :created_at
-
-    def to_human
-      self.inspect
-    end
-  end
-
-
-  ################################################################
-  #### Outgoing messages
-  ################################################################
-
-  module OutgoingMessages
-    EOL = "\0"
-
-    class AbstractMessage < ExtremelyAbstractMessage
-      def self.message_id
-        raise Exception("AbstractMessage.message_id called - you need to override this in a subclass.")
-      end
-
-      # data is a Hash.
-      def initialize(data=nil)
-        @created_at = Time.now
-        @data = Datatypes::StringentHash.new(data)
-      end
-
-      # This causes the message to send itself over the server socket in server[:socket].
-      # "server" is the @server instance variable from the IB object.
-      # You can also use this to e.g. get the server version number.
-      #
-      # Subclasses can either override this method for precise control
-      # over how stuff gets sent to the server, or else define a
-      # method queue() that returns an Array of elements that ought to
-      # be sent to the server by calling to_s on each one and
-      # postpending a '\0'.
-      #
-      def send(server)
-        self.queue(server).each { |datum|
-
-          # TWS wants to receive booleans as 1 or 0... rewrite as necessary.
-          datum = "1" if datum == true
-          datum = "0" if datum == false
-          #
-          #print 'SENDING: '
-          #p datum
-          server[:socket].syswrite(datum.to_s + "\0")
-        }
-      end
-
-      def queue
-        raise Exception("AbstractMessage.queue() called - you need to override this in a subclass.")
-      end
-
-
-      protected
-
-      def requireVersion(server, version)
-        raise(Exception.new("TWS version >= #{version} required.")) if server[:version] < version
-      end
-
-      # Returns EOL instead of datum if datum is nil, providing the same functionality
-      # as sendMax() in the Java version, which uses Double.MAX_VALUE to mean "item not set"
-      # in a variable, and replaces that with EOL on send.
-      def nilFilter(datum)
-        datum.nil? ? EOL : datum
-      end
-
-    end # AbstractMessage
-
-
-    # Data format is { :ticker_id => int, :contract => Datatypes::Contract }
-    class RequestMarketData < AbstractMessage
-      def self.message_id
-        1
-      end
-
-      def queue(server)
-        queue = [self.class.message_id,
-                 5, # message version number
-                 @data[:ticker_id]
-        ].concat(@data[:contract].serialize_long(server[:version]))
-
-        # No idea what "BAG" means. Copied from the Java code.
-        queue.concat(@data[:contract].serialize_combo_legs
-        ) if server[:version] >= 8 && @data[:contract].sec_type == "BAG"
-
-        queue
-      end # queue
-    end # RequestMarketData
-
-    # Data format is { :ticker_id => int }
-    class CancelMarketData < AbstractMessage
-      def self.message_id
-        2
-      end
-
-      def queue(server)
-        [self.class.message_id,
-         1, # message version number
-         @data[:ticker_id]]
-      end # queue
-    end # CancelMarketData
-
-    # Data format is { :order_id => int, :contract => Contract, :order => Order }
-    class PlaceOrder < AbstractMessage
-      def self.message_id
-        3
-      end
-
-      def queue(server)
-        queue = [self.class.message_id,
-                 20, # version
-                 @data[:order_id],
-                 @data[:contract].symbol,
-                 @data[:contract].sec_type,
-                 @data[:contract].expiry,
-                 @data[:contract].strike,
-                 @data[:contract].right
-        ]
-        queue.push(@data[:contract].multiplier) if server[:version] >= 15
-        queue.push(@data[:contract].exchange) if server[:version] >= 14
-        queue.push(@data[:contract].currency)
-        queue.push(@data[:contract].local_symbol) if server[:version] >= 2
-
-        queue.concat([
-                         @data[:order].tif,
-                         @data[:order].oca_group,
-                         @data[:order].account,
-                         @data[:order].open_close,
-                         @data[:order].origin,
-                         @data[:order].order_ref,
-                         @data[:order].transmit
-                     ])
-
-        queue.push(@data[:contract].parent_id) if server[:version] >= 4
-
-        queue.concat([
-                         @data[:order].block_order,
-                         @data[:order].sweep_to_fill,
-                         @data[:order].display_size,
-                         @data[:order].trigger_method,
-                         @data[:order].outside_rth
-                     ]) if server[:version] >= 5
-
-        queue.push(@data[:order].hidden) if server[:version] >= 7
-
-
-        queue.concat(@data[:contract].serialize_combo_legs(true)) if server[:version] >= 8 &&
-            @data[:contract].sec_type.upcase == "BAG" # "BAG" is defined as a constant in EClientSocket.java, line 45
-
-        queue.push(@data[:order].shares_allocation) if server[:version] >= 9 # EClientSocket.java says this is deprecated. No idea.
-        queue.push(@data[:order].discretionary_amount) if server[:version] >= 10
-        queue.push(@data[:order].good_after_time) if server[:version] >= 11
-        queue.push(@data[:order].good_till_date) if server[:version] >= 12
-
-        queue.concat([
-                         @data[:order].fa_group,
-                         @data[:order].fa_method,
-                         @data[:order].fa_percentage,
-                         @data[:order].fa_profile
-                     ]) if server[:version] >= 13
-
-        queue.concat([
-                         @data[:order].short_sale_slot,
-                         @data[:order].designated_location
-                     ]) if server[:version] >= 18
-
-        queue.concat([
-                         @data[:order].oca_type,
-                         @data[:order].rth_only,
-                         @data[:order].rule_80a,
-                         @data[:order].settling_firm,
-                         @data[:order].all_or_none,
-                         nilFilter(@data[:order].min_quantity),
-                         nilFilter(@data[:order].percent_offset),
-                         @data[:order].etrade_only,
-                         @data[:order].firm_quote_only,
-                         nilFilter(@data[:order].nbbo_price_cap),
-                         nilFilter(@data[:order].auction_strategy),
-                         nilFilter(@data[:order].starting_price),
-                         nilFilter(@data[:order].stock_ref_price),
-                         nilFilter(@data[:order].delta),
-
-                         # Says the Java here:
-                         # "// Volatility orders had specific watermark price attribs in server version 26"
-                         # I have no idea what this means.
-
-                         ((server[:version] == 26 && @data[:order].order_type.upcase == "VOL") ? EOL : @data[:order].stock_range_lower),
-                         ((server[:version] == 26 && @data[:order].order_type.upcase == "VOL") ? EOL : @data[:order].stock_range_upper),
-
-                     ]) if server[:version] >= 19
-
-        queue.push(@data[:order].override_percentage_constraints) if server[:version] >= 22
-
-        # Volatility orders
-        if server[:version] >= 26
-          queue.concat([nilFilter(@data[:order].volatility),
-                        nilFilter(@data[:order].volatility_type)])
-
-          if server[:version] < 28
-            queue.push(@data[:order].delta_neutral_order_type.upcase == "MKT")
-          else
-            queue.concat([@data[:order].delta_neutral_order_type,
-                          nilFilter(@data[:order].delta_neutral_aux_price)
-                         ])
-          end
-
-          queue.push(@data[:order].continuous_update)
-          queue.concat([
-                           (@data[:order].order_type.upcase == "VOL" ? @data[:order].stock_range_lower : EOL),
-                           (@data[:order].order_type.upcase == "VOL" ? @data[:order].stock_range_upper : EOL)
-                       ]) if server[:version] == 26
-
-          queue.push(@data[:order].reference_price_type)
-
-        end # if version >= 26
-
-        queue
-      end # queue()
-
-    end # PlaceOrder
-
-    # Data format is { :id => id-to-cancel }
-    class CancelOrder < AbstractMessage
-      def self.message_id
-        4
-      end
-
-      def queue(server)
-        [
-            self.class.message_id,
-            1, # version
-            @data[:id]
-        ]
-      end # queue
-    end # CancelOrder
-
-    class RequestOpenOrders < AbstractMessage
-      def self.message_id
-        5
-      end
-
-      def queue(server)
-        [self.class.message_id,
-         1 # version
-        ]
-      end
-    end # RequestOpenOrders
-
-    # Data is { :subscribe => boolean, :account_code => string }
-    #
-    # :account_code is only necessary for advisor accounts. Set it to
-    # empty ('') for a standard account.
-    #
-    class RequestAccountData < AbstractMessage
-      def self.message_id
-        6
-      end
-
-      def queue(server)
-        queue = [self.class.message_id,
-                 2, # version
-                 @data[:subscribe]
-        ]
-        queue.push(@data[:account_code]) if server[:version] >= 9
-        queue
-      end
-    end # RequestAccountData
-
-
-    # data = { :filter => ExecutionFilter ]
-    class RequestExecutions < AbstractMessage
-      def self.message_id
-        7
-      end
-
-      def queue(server)
-        queue = [self.class.message_id,
-                 2 # version
-        ]
-
-        queue.concat([
-                         @data[:filter].client_id,
-                         @data[:filter].acct_code,
-
-                         # The Java says: 'Note that the valid format for m_time is "yyyymmdd-hh:mm:ss"'
-                         @data[:filter].time,
-                         @data[:filter].symbol,
-                         @data[:filter].sec_type,
-                         @data[:filter].exchange,
-                         @data[:filter].side
-                     ]) if server[:version] >= 9
-
-        queue
-      end # queue
-    end # RequestExecutions
-
-
-    # data = { :number_of_ids => int }
-    class RequestIds < AbstractMessage
-      def self.message_id
-        8
-      end
-
-      def queue(server)
-        [self.class.message_id,
-         1, # version
-         @data[:number_of_ids]
-        ]
-      end
-    end # RequestIds
-
-
-    # data => { :contract => Contract }
-    class RequestContractData < AbstractMessage
-      def self.message_id
-        9
-      end
-
-      def queue(server)
-        requireVersion(server, 4)
-
-        queue = [
-            self.class.message_id,
-            2, # version
-            @data[:contract].symbol,
-            @data[:contract].sec_type,
-            @data[:contract].expiry,
-            @data[:contract].strike,
-            @data[:contract].right
-        ]
-        queue.push(@data[:contract].multiplier) if server[:version] >= 15
-
-        queue.concat([
-                         @data[:contract].exchange,
-                         @data[:contract].currency,
-                         @data[:contract].local_symbol,
-                     ])
-
-        queue
-      end # send
-    end # RequestContractData
-
-    # data = { :ticker_id => int, :contract => Contract, :num_rows => int }
-    class RequestMarketDepth < AbstractMessage
-      def self.message_id
-        10
-      end
-
-      def queue(server)
-        requireVersion(server, 6)
-
-        queue = [self.class.message_id,
-                 3, # version
-                 @data[:ticker_id]
-        ]
-        queue.concat(@data[:contract].serialize_short(server[:version]))
-        queue.push(@data[:num_rows]) if server[:version] >= 19
-
-        queue
-
-      end # queue
-    end # RequestMarketDepth
-
-    # data = { :ticker_id => int }
-    class CancelMarketDepth < AbstractMessage
-      def self.message_id
-        11
-      end
-
-      def queue(server)
-        requireVersion(self, 6)
-
-        [self.class.message_id,
-         1, # version
-         @data[:ticker_id]
-        ]
-      end
-    end # CancelMarketDepth
-
-
-    # data = { :all_messages => boolean }
-    class RequestNewsBulletins < AbstractMessage
-      def self.message_id
-        12
-      end
-
-      def queue(server)
-        [self.class.message_id,
-         1, # version
-         @data[:all_messages]
-        ]
-      end
-    end # RequestNewsBulletins
-
-    class CancelNewsBulletins < AbstractMessage
-      def self.message_id
-        13
-      end
-
-      def queue(server)
-        [self.class.message_id,
-         1 # version
-        ]
-      end
-    end # CancelNewsBulletins
-
-    # data = { :loglevel => int }
-    class SetServerLoglevel < AbstractMessage
-      def self.message_id
-        14
-      end
-
-      def queue(server)
-        [self.class.message_id,
-         1, # version
-         @data[:loglevel]
-        ]
-      end
-    end # SetServerLoglevel
-
-    # data = { :auto_bind => boolean }
-    class RequestAutoOpenOrders < AbstractMessage
-      def self.message_id
-        15
-      end
-
-      def queue(server)
-        [self.class.message_id,
-         1, # version
-         @data[:auto_bind]
-        ]
-      end
-    end # RequestAutoOpenOrders
-
-
-    class RequestAllOpenOrders < AbstractMessage
-      def self.message_id
-        16
-      end
-
-      def queue(server)
-        [self.class.message_id,
-         1 # version
-        ]
-      end
-    end # RequestAllOpenOrders
-
-    class RequestManagedAccounts < AbstractMessage
-      def self.message_id
-        17
-      end
-
-      def queue(server)
-        [self.class.message_id,
-         1 # version
-        ]
-      end
-    end # RequestManagedAccounts
-
-    # No idea what this is.
-    # data = { :fa_data_type => int }
-    class RequestFA < AbstractMessage
-      def self.message_id
-        18
-      end
-
-      def queue(server)
-        requireVersion(server, 13)
-
-        [self.class.message_id,
-         1, # version
-         @data[:fa_data_type]
-        ]
-      end
-    end # RequestFA
-
-    # No idea what this is.
-    # data = { :fa_data_type => int, :xml => string }
-    class ReplaceFA < AbstractMessage
-      def self.message_id
-        19
-      end
-
-      def queue(server)
-        requireVersion(server, 13)
-
-        [self.class.message_id,
-         1, # version
-         @data[:fa_data_type],
-         @data[:xml]
-        ]
-      end
-    end # ReplaceFA
-
-    # data = { :ticker_id => int,
-    #          :contract => Contract,
-    #          :end_date_time => string,
-    #          :duration => string, # this specifies an integer number of seconds
-    #          :bar_size => int,
-    #          :what_to_show => symbol, # one of :trades, :midpoint, :bid, or :ask
-    #          :use_RTH => int,
-    #          :format_date => int
-    #        }
-    #
-    # Note that as of 4/07 there is no historical data available for forex spot.
-    #
-    # data[:contract] may either be a Contract object or a String. A String should be
-    # in serialize_ib_ruby format; that is, it should be a colon-delimited string in
-    # the format:
-    #
-    #    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 correct string is:
-    #
-    #    GBP:FUT:200809:::62500:GLOBEX::USD:
-    #
-    # A Contract object will be automatically serialized into the required format.
-    #
-    # See also http://chuckcaplan.com/twsapi/index.php/void%20reqIntradayData%28%29
-    # for general information about how TWS handles historic data requests, whence
-    # the following has been adapted:
-    #
-    # The server providing historical prices appears to not always be
-    # available outside of market hours. If you call it outside of its
-    # supported time period, or if there is otherwise a problem with
-    # it, you will receive error #162 "Historical Market Data Service
-    # query failed.:HMDS query returned no data."
-    #
-    # The "endDateTime" parameter accepts a string in the form
-    # "yyyymmdd HH:mm:ss", with a time zone optionally allowed after a
-    # space at the end of the string; e.g. "20050701 18:26:44 GMT"
-    #
-    # The ticker id needs to be different than the reqMktData ticker
-    # id. If you use the same ticker ID you used for the symbol when
-    # you did ReqMktData, nothing comes back for the historical data call.
-    #
-    # Possible :bar_size values:
-    # 1 = 1 sec
-    # 2 = 5 sec
-    # 3 = 15 sec
-    # 4 = 30 sec
-    # 5 = 1 minute
-    # 6 = 2 minutes
-    # 7 = 5 minutes
-    # 8 = 15 minutes
-    # 9 = 30 minutes
-    # 10 = 1 hour
-    # 11 = 1 day
-    #
-    # Values less than 4 do not appear to work for certain securities.
-    #
-    # The nature of the data extracted is governed by sending a string
-    # having a value of "TRADES," "MIDPOINT," "BID," or "ASK." Here,
-    # we require a symbol argument of :trades, :midpoint, :bid, or
-    # :asked to be passed as data[:what_to_show].
-    #
-    # If data[:use_RTH] is set to 0, all data available during the time
-    # span requested is returned, even data bars covering time
-    # intervals where the market in question was illiquid. If useRTH
-    # has a non-zero value, only data within the "Regular Trading
-    # Hours" of the product in question is returned, even if the time
-    # span requested falls partially or completely outside of them.
-    #
-    # Using a :format_date of 1 will cause the dates in the returned
-    # messages with the historic data to be in a text format, like
-    # "20050307 11:32:16". If you set :format_date to 2 instead, you
-    # will get an offset in seconds from the beginning of 1970, which
-    # is the same format as the UNIX epoch time.
-    #
-    # For backfill on futures data, you may need to leave the Primary
-    # Exchange field of the Contract structure blank; see
-    # http://www.interactivebrokers.com/discus/messages/2/28477.html?1114646754
-    # [This message does not appear to exist anymore as of 4/07.]
-
-    ALLOWED_HISTORICAL_TYPES = [:trades, :midpoint, :bid, :ask]
-
-    class RequestHistoricalData < AbstractMessage
-      # Enumeration of bar size types for convenience. These are passed to TWS as the (one-based!) index into the array.
-      # Bar sizes less than 30 seconds do not work for some securities.
-      BarSizes = [
-          :invalid, # zero is not a valid barsize
-          :second,
-          :five_seconds,
-          :fifteen_seconds,
-          :thirty_seconds,
-          :minute,
-          :two_minutes,
-          :five_minutes,
-          :fifteen_minutes,
-          :thirty_minutes,
-          :hour,
-          :day,
-      ]
-
-
-      def self.message_id
-        20
-      end
-
-      def queue(server)
-        requireVersion(server, 16)
-
-        if @data.has_key?(:what_to_show) && @data[:what_to_show].is_a?(String)
-          @data[:what_to_show].downcase!
-          @data[:what_to_show] = @data[:what_to_show].to_sym
-        end
-
-        raise ArgumentError("RequestHistoricalData: @data[:what_to_show] must be one of #{ALLOWED_HISTORICAL_TYPES.inspect}.") unless ALLOWED_HISTORICAL_TYPES.include?(@data[:what_to_show])
-
-        queue = [self.class.message_id,
-                 3, # version
-                 @data[:ticker_id]
-        ]
-
-        contract = @data[:contract].is_a?(Datatypes::Contract) ? @data[:contract] : Datatypes::Contract.from_ib_ruby(@data[:contract])
-        queue.concat(contract.serialize_long(server[:version]))
-
-        queue.concat([
-                         @data[:end_date_time],
-                         @data[:bar_size]
-                     ]) if server[:version] > 20
-
-
-        queue.concat([
-                         @data[:duration],
-                         @data[:use_RTH],
-                         @data[:what_to_show].to_s.upcase
-                     ])
-
-        queue.push(@data[:format_date]) if server[:version] > 16
-
-        if contract.sec_type.upcase == "BAG"
-          queue.concat(contract.serialize_combo_legs)
-        end
-
-        queue
-      end
-    end # RequestHistoricalData
-
-    # data = { :ticker_id => int,
-    #          :contract => Contract,
-    #          :exercise_action => int,
-    #          :exercise_quantity => int,
-    #          :account => string,
-    #          :override => int } ## override? override what?
-    class ExerciseOptions < AbstractMessage
-      def self.message_id
-        21
-      end
-
-      def queue(server)
-
-        requireVersion(server, 21)
-
-        q = [self.class.message_id,
-             1, # version
-             @data[:ticker_id]
-        ]
-        q.concat(@data[:contract].serialize_long(server[:version]))
-        q.concat([
-                     @data[:exercise_action],
-                     @data[:exercise_quantity],
-                     @data[:account],
-                     @data[:override]
-                 ])
-        q
-      end # queue
-    end # ExerciseOptions
-
-    # data = { :ticker_id => int,
-    #          :scanner_subscription => ScannerSubscription
-    #        }
-    class RequestScannerSubscription < AbstractMessage
-      def self.message_id
-        22
-      end
-
-      def queue(server)
-        requireVersion(server, 24)
-
-        [
-            self.class.message_id,
-            3, # version
-            @data[:ticker_id],
-            @data[:subscription].number_of_rows,
-            nilFilter(@data[:subscription].number_of_rows),
-            @data[:subscription].instrument,
-            @data[:subscription].location_code,
-            @data[:subscription].scan_code,
-            nilFilter(@data[:subscription].above_price),
-            nilFilter(@data[:subscription].below_price),
-            nilFilter(@data[:subscription].above_volume),
-            nilFilter(@data[:subscription].market_cap_above),
-            @data[:subscription].moody_rating_above,
-            @data[:subscription].moody_rating_below,
-            @data[:subscription].sp_rating_above,
-            @data[:subscription].sp_rating_below,
-            @data[:subscription].maturity_date_above,
-            @data[:subscription].maturity_date_below,
-            nilFilter(@data[:subscription].coupon_rate_above),
-            nilFilter(@data[:subscription].coupon_rate_below),
-            @data[:subscription].exclude_convertible,
-            (server[:version] >= 25 ? [@data[:subscription].average_option_volume_above,
-                                       @data[:subscription].scanner_setting_pairs] : []),
-
-            (server[:version] >= 27 ? [@data[:subscription].stock_type_filter] : []),
-        ].flatten
-
-      end
-    end # RequestScannerSubscription
-
-
-    # data = { :ticker_id => int }
-    class CancelScannerSubscription
-      def self.message_id
-        23
-      end
-
-      def queue(server)
-        requireVersion(server, 24)
-        [self.class.message_id,
-         1, # version
-         @data[:ticker_id]
-        ]
-      end
-    end # CancelScannerSubscription
-
-
-    class RequestScannerParameters
-      def self.message_id
-        24
-      end
-
-      def queue(server)
-        requireVersion(server, 24)
-
-        [self.class.message_id,
-         1 # version
-        ]
-      end
-    end # RequestScannerParameters
-
-
-    # data = { :ticker_id => int }
-    class CancelHistoricalData
-      def self.message_id
-        25
-      end
-
-      def queue(server)
-        requireVersion(server, 24)
-        [self.class.message_id,
-         1, # version
-         @data[:ticker_id]
-        ]
-      end
-    end # CancelHistoricalData
-
-  end # module OutgoingMessages
-
-  ################################################################
-  #### end outgoing messages
-  ################################################################
-
-
-  ################################################################
-  #### Incoming messages
-  ################################################################
-
-  module IncomingMessages
-    Classes = Array.new
-
-    #
-    # This is just a basic generic message from the server.
-    #
-    # Class variables:
-    # @@message_id - integer message id.
-    #
-    # Instance attributes:
-    # :data - Hash of actual data read from a stream.
-    #
-    # Override the load(socket) method in your subclass to do actual reading into @data.
-    #
-    class AbstractMessage < ExtremelyAbstractMessage
-      attr_accessor :data
-
-      def self.message_id
-        raise Exception("AbstractMessage.message_id called - you need to override this in a subclass.")
-      end
-
-
-      def initialize(socket, server_version)
-        raise Exception.new("Don't use AbstractMessage directly; use the subclass for your specific message type") if self.class.name == "AbstractMessage"
-        #logger.debug(" * loading #{self.class.name}")
-        @created_at = Time.now
-
-        @data = Hash.new
-        @socket = socket
-        @server_version = server_version
-
-        self.load()
-
-        @socket = nil
-
-        #logger.debug(" * New #{self.class.name}: #{ self.to_human }")
-      end
-
-      def AbstractMessage.inherited(by)
-        super(by)
-        Classes.push(by)
-      end
-
-      def load
-        raise Exception.new("Don't use AbstractMessage; override load() in a subclass.")
-      end
-
-      protected
-
-      #
-      # Load @data from the socket according to the given map.
-      #
-      # map is a series of Arrays in the format [ [ :name, :type ] ], e.g. autoload([:version, :int ], [:ticker_id, :int])
-      # type identifiers must have a corresponding read_type method on socket (read_int, etc.).
-      #
-      def autoload(*map)
-        ##logger.debug("autoloading map: " + map.inspect)
-        map.each { |spec|
-          @data[spec[0]] = @socket.__send__(("read_" + spec[1].to_s).to_sym)
-        }
-      end
-
-      # version_load loads map only if @data[:version] is >= required_version.
-      def version_load(required_version, *map)
-        if @data[:version] >= required_version
-          map.each { |item|
-            autoload(item)
-          }
-        end
-      end
-
-    end # class AbstractMessage
-
-
-    ### Actual message classes
-
-    # The IB code seems to dispatch up to two wrapped objects for this message, a tickPrice
-    # and sometimes a tickSize, which seems to be identical to the TICK_SIZE object.
-    #
-    # Important note from
-    # http://chuckcaplan.com/twsapi/index.php/void%20tickPrice%28%29 :
-    #
-    # "The low you get is NOT the low for the day as you'd expect it
-    # to be. It appears IB calculates the low based on all
-    # transactions after 4pm the previous day. The most inaccurate
-    # results occur when the stock moves up in the 4-6pm aftermarket
-    # on the previous day and then gaps open upward in the
-    # morning. The low you receive from TWS can be easily be several
-    # points different from the actual 9:30am-4pm low for the day in
-    # cases like this. If you require a correct traded low for the
-    # day, you can't get it from the TWS API. One possible source to
-    # help build the right data would be to compare against what Yahoo
-    # lists on finance.yahoo.com/q?s=ticker under the "Day's Range"
-    # statistics (be careful here, because Yahoo will use anti-Denial
-    # of Service techniques to hang your connection if you try to
-    # request too many bytes in a short period of time from them). For
-    # most purposes, a good enough approach would start by replacing
-    # the TWS low for the day with Yahoo's day low when you first
-    # start watching a stock ticker; let's call this time T. Then,
-    # update your internal low if the bid or ask tick you receive is
-    # lower than that for the remainder of the day. You should check
-    # against Yahoo again at time T+20min to handle the occasional
-    # case where the stock set a new low for the day in between
-    # T-20min (the real time your original quote was from, taking into
-    # account the delay) and time T. After that you should have a
-    # correct enough low for the rest of the day as long as you keep
-    # updating based on the bid/ask. It could still get slightly off
-    # in a case where a short transaction setting a new low appears in
-    # between ticks of data that TWS sends you.  The high is probably
-    # distorted in the same way the low is, which would throw your
-    # results off if the stock traded after-hours and gapped down. It
-    # should be corrected in a similar way as described above if this
-    # is important to you."
-    #
-
-    class TickPrice < AbstractMessage
-      def self.message_id
-        1
-      end
-
-      def load
-        autoload([:version, :int], [:ticker_id, :int], [:tick_type, :int], [:price, :decimal])
-
-        version_load(2, [:size, :int])
-        version_load(3, [:can_auto_execute, :int])
-
-        if @data[:version] >= 2
-          # the IB code translates these into 0, 3, and 5, respectively, and wraps them in a TICK_SIZE-type wrapper.
-          @data[:type] = case @data[:tick_type]
-                           when 1
-                             :bid
-                           when 2
-                             :ask
-                           when 4
-                             :last
-                           when 6
-                             :high
-                           when 7
-                             :low
-                           when 9
-                             :close
-                           else
-                             nil
-                         end
-        end
-
-      end
-
-      # load
-
-      def inspect
-        "Tick (" + @data[:type].to_s('F') + " at " + @data[:price].to_s('F') + ") " + super.inspect
-      end
-
-      def to_human
-        @data[:size].to_s + " " + @data[:type].to_s + " at " + @data[:price].to_s('F')
-      end
-
-    end # TickPrice
-
-
-    class TickSize < AbstractMessage
-      def self.message_id
-        2
-      end
-
-      def load
-        autoload([:version, :int], [:ticker_id, :int], [:tick_type, :int], [:size, :int])
-        @data[:type] = case @data[:tick_type]
-                         when 0
-                           :bid
-                         when 3
-                           :ask
-                         when 5
-                           :last
-                         when 8
-                           :volume
-                         else
-                           nil
-                       end
-      end
-
-      def to_human
-        @data[:type].to_s + " size: " + @data[:size].to_s
-      end
-    end # TickSize
-
-
-    class OrderStatus < AbstractMessage
-      def self.message_id
-        3
-      end
-
-      def load
-        autoload([:version, :int], [:id, :int], [:status, :string], [:filled, :int], [:remaining, :int],
-                 [:average_fill_price, :decimal])
-
-        version_load(2, [:perm_id, :int])
-        version_load(3, [:parent_id, :int])
-        version_load(4, [:last_fill_price, :decimal])
-        version_load(5, [:client_id, :int])
-      end
-    end
-
-
-    class Error < AbstractMessage
-      def self.message_id
-        4
-      end
-
-      def code
-        @data && @data[:code]
-      end
-
-      def load
-        @data[:version] = @socket.read_int
-
-        if @data[:version] < 2
-          @data[:message] = @socket.read_string
-        else
-          autoload([:id, :int], [:code, :int], [:message, :string])
-        end
-      end
-
-      def to_human
-        "TWS #{@data[:code]}: #{@data[:message]}"
-      end
-    end # class ErrorMessage
-
-    class OpenOrder < AbstractMessage
-      attr_accessor :order, :contract
-
-      def self.message_id
-        5
-      end
-
-      def load
-        @order = Datatypes::Order.new
-        @contract = Datatypes::Contract.new
-
-        autoload([:version, :int])
-
-        @order.id = @socket.read_int
-
-        @contract.symbol = @socket.read_string
-        @contract.sec_type = @socket.read_string
-        @contract.expiry = @socket.read_string
-        @contract.strike = @socket.read_decimal
-        @contract.right = @socket.read_string
-        @contract.exchange = @socket.read_string
-        @contract.currency = @socket.read_string
-
-        @contract.local_symbol = @socket.read_string if @data[:version] >= 2
-
-        @order.action = @socket.read_string
-        @order.total_quantity = @socket.read_int
-        @order.order_type = @socket.read_string
-        @order.limit_price = @socket.read_decimal
-        @order.aux_price = @socket.read_decimal
-        @order.tif = @socket.read_string
-        @order.oca_group = @socket.read_string
-        @order.account = @socket.read_string
-        @order.open_close = @socket.read_string
-        @order.origin = @socket.read_int
-        @order.order_ref = @socket.read_string
-
-        @order.client_id = @socket.read_int if @data[:version] >= 3
-
-        if @data[:version] >= 4
-          @order.perm_id = @socket.read_int
-          @order.outside_rth = (@socket.read_int == 1)
-          @order.hidden = (@socket.read_int == 1)
-          @order.discretionary_amount = @socket.read_decimal
-        end
-
-        @order.good_after_time = @socket.read_string if @data[:version] >= 5
-        @order.shares_allocation = @socket.read_string if @data[:version] >= 6
-
-        if @data[:version] >= 7
-          @order.fa_group = @socket.read_string
-          @order.fa_method = @socket.read_string
-          @order.fa_percentage = @socket.read_string
-          @order.fa_profile = @socket.read_string
-        end
-
-        @order.good_till_date = @socket.read_string if @data[:version] >= 8
-
-        if @data[:version] >= 9
-          @order.rule_80A = @socket.read_string
-          @order.percent_offset = @socket.read_decimal
-          @order.settling_firm = @socket.read_string
-          @order.short_sale_slot = @socket.read_int
-          @order.designated_location = @socket.read_string
-          @order.auction_strategy = @socket.read_int
-          @order.starting_price = @socket.read_decimal
-          @order.stock_ref_price = @socket.read_decimal
-          @order.delta = @socket.read_decimal
-          @order.stock_range_lower = @socket.read_decimal
-          @order.stock_range_upper = @socket.read_decimal
-          @order.display_size = @socket.read_int
-          @order.rth_only = @socket.read_boolean
-          @order.block_order = @socket.read_boolean
-          @order.sweep_to_fill = @socket.read_boolean
-          @order.all_or_none = @socket.read_boolean
-          @order.min_quantity = @socket.read_int
-          @order.oca_type = @socket.read_int
-          @order.eTrade_only = @socket.read_boolean
-          @order.firm_quote_only = @socket.read_boolean
-          @order.nbbo_price_cap = @socket.read_decimal
-        end
-
-        if @data[:version] >= 10
-          @order.parent_id = @socket.read_int
-          @order.trigger_method = @socket.read_int
-        end
-
-        if @data[:version] >= 11
-          @order.volatility = @socket.read_decimal
-          @order.volatility_type = @socket.read_int
-
-          if @data[:version] == 11
-            @order.delta_neutral_order_type = (@socket.read_int == 0 ? "NONE" : "MKT")
-          else
-            @order.delta_neutral_order_type = @socket.read_string
-            @order.delta_neutral_aux_price = @socket.read_decimal
-          end
-
-          @order.continuous_update = @socket.read_int
-          if @server_version == 26
-            @order.stock_range_lower = @socket.read_decimal
-            @order.stock_range_upper = @socket.read_decimal
-          end
-
-          @order.reference_price_type = @socket.read_int
-        end # if version >= 11
-
-
-      end # load
-    end # OpenOrder
-
-    class AccountValue < AbstractMessage
-      def self.message_id
-        6
-      end
-
-      def load
-        autoload([:version, :int], [:key, :string], [:value, :string], [:currency, :string])
-        version_load(2, [:account_name, :string])
-      end
-
-      def to_human
-        "<AccountValue: acct ##{@data[:account_name]}; #{@data[:key]}=#{@data[:value]} (#{@data[:currency]})>"
-      end
-    end # AccountValue
-
-    class PortfolioValue < AbstractMessage
-      attr_accessor :contract
-
-      def self.message_id
-        7
-      end
-
-      def load
-        @contract = Datatypes::Contract.new
-
-        autoload([:version, :int])
-        @contract.symbol = @socket.read_string
-        @contract.sec_type = @socket.read_string
-        @contract.expiry = @socket.read_string
-        @contract.strike = @socket.read_decimal
-        @contract.right = @socket.read_string
-        @contract.currency = @socket.read_string
-        @contract.local_symbol = @socket.read_string if @data[:version] >= 2
-
-        autoload([:position, :int], [:market_price, :decimal], [:market_value, :decimal])
-        version_load(3, [:average_cost, :decimal], [:unrealized_pnl, :decimal], [:realized_pnl, :decimal])
-        version_load(4, [:account_name, :string])
-      end
-
-      def to_human
-        "<PortfolioValue: update for #{@contract.to_human}: market price #{@data[:market_price].to_s('F')}; market value " +
-            "#{@data[:market_value].to_s('F')}; position #{@data[:position]}; unrealized PnL #{@data[:unrealized_pnl].to_s('F')}; " +
-            "realized PnL #{@data[:realized_pnl].to_s('F')}; account #{@data[:account_name]}>"
-      end
-
-    end # PortfolioValue
-
-    class AccountUpdateTime < AbstractMessage
-      def self.message_id
-        8
-      end
-
-      def load
-        autoload([:version, :int], [:time_stamp, :string])
-      end
-    end # AccountUpdateTime
-
-
-    #
-    # This message is always sent by TWS automatically at connect.
-    # The IB class subscribes to it automatically and stores the order id in
-    # its :next_order_id attribute.
-    #
-    class NextValidID < AbstractMessage
-      def self.message_id
-        9
-      end
-
-      def load
-        autoload([:version, :int], [:order_id, :int])
-      end
-
-    end # NextValidIDMessage
-
-
-    class ContractData < AbstractMessage
-      attr_accessor :contract_details
-
-      def self.message_id
-        10
-      end
-
-      def load
-        @contract_details = Datatypes::ContractDetails.new
-
-        autoload([:version, :int])
-
-        @contract_details.summary.symbol = @socket.read_string
-        @contract_details.summary.sec_type = @socket.read_string
-        @contract_details.summary.expiry = @socket.read_string
-        @contract_details.summary.strike = @socket.read_decimal
-        @contract_details.summary.right = @socket.read_string
-        @contract_details.summary.exchange = @socket.read_string
-        @contract_details.summary.currency = @socket.read_string
-        @contract_details.summary.local_symbol = @socket.read_string
-
-        @contract_details.market_name = @socket.read_string
-        @contract_details.trading_class = @socket.read_string
-        @contract_details.con_id = @socket.read_int
-        @contract_details.min_tick = @socket.read_decimal
-        @contract_details.multiplier = @socket.read_string
-        @contract_details.order_types = @socket.read_string
-        @contract_details.valid_exchanges = @socket.read_string
-        @contract_details.price_magnifier = @socket.read_int if @data[:version] >= 2
-
-      end
-    end # ContractData
-
-
-    class ExecutionData < AbstractMessage
-      attr_accessor :contract, :execution
-
-      def self.message_id
-        11
-      end
-
-      def load
-        @contract = Datatypes::Contract.new
-        @execution = Datatypes::Execution.new
-
-        autoload([:version, :int], [:order_id, :int])
-
-        @contract.symbol = @socket.read_string
-        @contract.sec_type = @socket.read_string
-        @contract.expiry = @socket.read_string
-        @contract.strike = @socket.read_decimal
-        @contract.right = @socket.read_string
-        @contract.currency = @socket.read_string
-        @contract.local_symbol = @socket.read_string if @data[:version] >= 2
-
-        @execution.order_id = @data[:order_id]
-        @execution.exec_id = @socket.read_string
-        @execution.time = @socket.read_string
-        @execution.account_number = @socket.read_string
-        @execution.exchange = @socket.read_string
-        @execution.side = @socket.read_string
-        @execution.shares = @socket.read_int
-        @execution.price = @socket.read_decimal
-
-        @execution.perm_id = @socket.read_int if @data[:version] >= 2
-        @execution.client_id = @socket.read_int if @data[:version] >= 3
-        @execution.liquidation = @socket.read_int if @data[:version] >= 4
-      end
-    end # ExecutionData
-
-    class MarketDepth < AbstractMessage
-      def self.message_id
-        12
-      end
-
-      def load
-        autoload([:version, :int], [:id, :int], [:position, :int], [:operation, :int], [:side, :int], [:price, :decimal], [:size, :int])
-      end
-    end # MarketDepth
-
-    class MarketDepthL2 < AbstractMessage
-      def self.message_id
-        13
-      end
-
-      def load
-        autoload([:version, :int], [:id, :int], [:position, :int], [:market_maker, :string], [:operation, :int], [:side, :int],
-                 [:price, :decimal], [:size, :int])
-      end
-    end # MarketDepthL2
-
-
-    class NewsBulletins < AbstractMessage
-      def self.message_id
-        14
-      end
-
-      def load
-        autoload([:version, :int], [:news_message_id, :int], [:news_message_type, :int], [:news_message, :string], [:originating_exchange, :string])
-      end
-    end # NewsBulletins
-
-    class ManagedAccounts < AbstractMessage
-      def self.message_id
-        15
-      end
-
-      def load
-        autoload([:version, :int], [:accounts_list, :string])
-      end
-    end # ManagedAccounts
-
-    # "Fa"?
-    class ReceiveFa < AbstractMessage
-      def self.message_id
-        16
-      end
-
-      def load
-        autoload([:version, :int], [:fa_data_type, :int], [:xml, :string])
-      end
-    end # ReceiveFa
-
-    class HistoricalData < AbstractMessage
-      def self.message_id
-        17
-      end
-
-      def load
-        autoload([:version, :int], [:req_id, :int])
-        version_load(2, [:start_date_str, :string], [:end_date_str, :string])
-        @data[:completed_indicator] = "finished-" + @data[:start_date_str] + "-" + @data[:end_date_str] if @data[:version] >= 2
-
-        autoload([:item_count, :int])
-        @data[:history] = Array.new(@data[:item_count]) { |index|
-          attrs = {
-              :date => @socket.read_string,
-              :open => @socket.read_decimal,
-              :high => @socket.read_decimal,
-              :low => @socket.read_decimal,
-              :close => @socket.read_decimal,
-              :volume => @socket.read_int,
-              :wap => @socket.read_decimal,
-              :has_gaps => @socket.read_string
-          }
-
-          Datatypes::Bar.new(attrs)
-        }
-
-      end
-
-      def to_human
-        "<HistoricalData: req id #{@data[:req_id]}, #{@data[:item_count]} items, from #{@data[:start_date_str]} to #{@data[:end_date_str]}>"
-      end
-    end # HistoricalData
-
-    class BondContractData < AbstractMessage
-      attr_accessor :contract_details
-
-      def self.message_id
-        18
-      end
-
-      def load
-        @contract_details = Datatypes::ContractDetails.new
-        @contract_details.summary.symbol = @socket.read_string
-        @contract_details.summary.sec_type = @socket.read_string
-        @contract_details.summary.cusip = @socket.read_string
-        @contract_details.summary.coupon = @socket.read_decimal
-        @contract_details.summary.maturity = @socket.read_string
-        @contract_details.summary.issue_date = @socket.read_string
-        @contract_details.summary.ratings = @socket.read_string
-        @contract_details.summary.bond_type = @socket.read_string
-        @contract_details.summary.coupon_type = @socket.read_string
-        @contract_details.summary.convertible = @socket.read_boolean
-        @contract_details.summary.callable = @socket.read_boolean
-        @contract_details.summary.puttable = @socket.read_boolean
-        @contract_details.summary.desc_append = @socket.read_string
-        @contract_details.summary.exchange = @socket.read_string
-        @contract_details.summary.currency = @socket.read_string
-        @contract_details.market_name = @socket.read_string
-        @contract_details.trading_class = @socket.read_string
-        @contract_details.con_id = @socket.read_int
-        @contract_details.min_tick = @socket.read_decimal
-        @contract_details.order_types = @socket.read_string
-        @contract_details.valid_exchanges = @socket.read_string
-
-      end
-    end # BondContractData
-
-    class ScannerParameters < AbstractMessage
-      def self.message_id
-        19
-      end
-
-      def load
-        autoload([:version, :int], [:xml, :string])
-      end
-    end # ScannerParamters
-
-
-    class ScannerData < AbstractMessage
-      attr_accessor :contract_details
-
-      def self.message_id
-        20
-      end
-
-      def load
-        autoload([:version, :int], [:ticker_id, :int], [:number_of_elements, :int])
-        @data[:results] = Array.new(@data[:number_of_elements]) { |index|
-          {
-              :rank => @socket.read_int
-              ## TODO: Pick up here.
-          }
-        }
-
-      end
-    end # ScannerData
-
-    ###########################################
-    ###########################################
-    ## End message classes
-    ###########################################
-    ###########################################
-
-    Table = Hash.new
-    Classes.each { |msg_class|
-      Table[msg_class.message_id] = msg_class
-    }
-
-    #logger.debug("Incoming message class table is #{Table.inspect}")
-
-  end # module IncomingMessages
-  ################################################################
-  #### End incoming messages
-  ################################################################
-
-
-end # module IB