ib-ruby 0.4.3 → 0.4.20

data/.gitignore

@@ -0,0 +1,32 @@
+## MAC OS
+.DS_Store
+
+## TEXTMATE
+*.tmproj
+tmtags
+
+## EMACS
+*~
+\#*
+.\#*
+
+## VIM
+*.swp
+
+## Idea
+.idea
+.bundle
+.rakeTasks
+*.iml
+
+## PROJECT::GENERAL
+coverage
+config
+data
+rdoc
+pkg
+log
+tmp
+
+## PROJECT::SPECIFIC
+*.db

data/HISTORY

@@ -21,3 +21,71 @@
 == 0.4.3 / 2011-09-05
 
 * Old tests converted into specs
+
+== 0.4.4 / 2011-09-05
+
+* IB references and Java examples added
+
+== 0.4.5 / 2011-09-06
+
+* Sample scripts updated
+
+== 0.4.6 / 2011-09-07
+
+* CSV Downloader Java examples added
+
+== 0.4.7 / 2011-09-12
+
+* Datatypes turned into Models
+
+== 0.4.8 / 2011-09-12
+
+* IB::Messages::Outgoing code compacted using macros
+
+== 0.4.9 / 2011-09-15
+
+* IB::Messages::Incoming rewritten
+
+== 0.4.10 / 2011-09-16
+
+* Market data request now working
+
+== 0.4.11 / 2011-09-17
+
+* New scripts working
+
+== 0.4.12 / 2011-09-18
+
+* historic_data script now functional
+
+== 0.4.13 / 2011-09-18
+
+* time_and_sales script now working
+
+== 0.4.14 / 2011-09-18
+
+* DOM script added
+
+== 0.4.15 / 2011-09-18
+
+* Messages like RTBars etc implemented
+
+== 0.4.16 / 2011-09-19
+
+* Execution Model added
+
+== 0.4.17 / 2011-09-19
+
+* option_data script now working
+
+== 0.4.18 / 2011-09-19
+
+* IB::Connection#subscribe syntax changed
+
+== 0.4.19 / 2011-09-19
+
+* All IB messages implemented
+
+== 0.4.20 / 2011-09-19
+
+* IB::Connection#subscribe now accepts Symbols with message names

data/README.rdoc

@@ -1,16 +1,16 @@
-= mix
+= ib-ruby
 by:: Arvicco
 url:: http://github.com/arvicco/ib-ruby
 
-    This is a fork of http://github.com/wdevauld/ib-ruby by Wes Devauld,
-    that is in turn forked from http://github.com/pjlegato/ib-ruby by Paul Legato
+This is a fork of http://github.com/wdevauld/ib-ruby by Wes Devauld,
+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.
+then roll out a new version based on latest IB TWS API v.965.
 
 == FEATURES/PROBLEMS:
 
@@ -39,8 +39,11 @@ connections on localhost.
 First, start up Interactive Broker's Trader Work Station.
 Ensure it is configured to allow API connections on localhost.
 
->> require 'ib-ruby'
->> ib_connection = IB::IB.new()
+  >> 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
 
 == LICENSE:
 

data/VERSION

@@ -1 +1 @@
-0.4.3
+0.4.20

data/bin/account_info

@@ -0,0 +1,29 @@
+#!/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::Connection.new
+
+# Subscribe to TWS alerts/errors and account-related messages
+# that TWS sends in response to account data request
+ib.subscribe(:Alert, :AccountValue,
+             :PortfolioValue, :AccountUpdateTime) { |msg| puts msg.to_human }
+
+ib.send :RequestAccountData, :subscribe => true
+
+puts "\nSubscribing to IB account data"
+puts "\n******** Press <Enter> to cancel... *********\n\n"
+gets
+puts "Cancelling account data subscription.."
+
+ib.send :RequestAccountData, :subscribe => false

data/bin/contract_details

@@ -0,0 +1,37 @@
+#!/usr/bin/env ruby
+#
+# This script gets details for specific symbol from IB
+
+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'
+
+# 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::Stocks[:wfc],
+           125 => IB::Symbols::Options[:wfc20],
+           129 => IB::Symbols::Stocks[:wrong]}
+
+# Connect to IB TWS.
+ib = IB::Connection.new
+
+# Subscribe to TWS alerts/errors
+ib.subscribe(IB::Messages::Incoming::Alert) { |msg| puts msg.to_human }
+
+# Now, subscribe to ContractData 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.
+ib.subscribe(:ContractData) { |msg| puts msg.contract.inspect }
+
+# Now we actually request historical data for the symbols we're interested in. TWS will
+# respond with a HistoricalData message, which will be processed by the code above.
+@market.each_pair do |id, contract|
+  ib.send :RequestContractData, :id => id, :contract => contract
+end
+
+sleep 3 # Wait for IB to respond to our request

data/bin/depth_of_market

@@ -0,0 +1,43 @@
+#!/usr/bin/env ruby
+#
+# This script connects to IB API and subscribes to L2 (depth of market) data for
+# specific symbols
+
+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'
+
+# Definition of what we want L2 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::Stocks[:wfc],
+           456 => IB::Symbols::Futures[:ym],
+           789 => IB::Symbols::Forex[:gbpusd]
+}
+
+# First, connect to IB TWS.
+ib = IB::Connection.new
+
+# Subscribe to TWS alerts/errors
+ib.subscribe(:Alert) { |msg| puts msg.to_human }
+
+# Subscribe to MarketDepth events.
+ib.subscribe(:MarketDepth) do |msg|
+  puts @market[msg.data[:id]].description + ": " + msg.to_human
+end
+
+# Now we actually request market data for the symbols we're interested in.
+@market.each_pair do |id, contract|
+  ib.send :RequestMarketDepth, :id => id, :contract => contract, :num_rows => 5
+end
+
+puts "\nSubscribed to market data"
+puts "\n******** Press <Enter> to cancel... *********\n\n"
+gets
+puts "Cancelling market data subscription.."
+
+@market.each_pair { |id, contract| ib.send :CancelMarketDepth, :id => id }

data/bin/historic_data

@@ -0,0 +1,62 @@
+#!/usr/bin/env ruby
+#
+# This script downloads historic data for specific symbols from IB
+
+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 for messages from TWS before exiting, sec
+
+# Definition of what we want 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::Stocks[:wfc],
+           456 => IB::Symbols::Futures[:ym],
+           789 => IB::Symbols::Forex[:gbpusd] # No historical market data for GBP/CASH@IDEALPRO Last 60
+}
+
+# Connect to IB TWS.
+ib = IB::Connection.new
+
+# Subscribe to TWS alerts/errors
+ib.subscribe(IB::Messages::Incoming::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
+# 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.
+ib.subscribe(IB::Messages::Incoming::HistoricalData) do |msg|
+  STDERR.puts @market[msg.data[:id]].description + ": " + msg.data[:count].to_s + " items:" unless Quiet
+
+  msg.data[:results].each do |datum|
+    @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
+
+# Now we actually request historical data for the symbols we're interested in. TWS will
+# respond with a HistoricalData message, which will be processed by the code above.
+@market.each_pair do |id, contract|
+  ib.send IB::Messages::Outgoing::RequestHistoricalData.new(
+              :id => id,
+              :contract => contract,
+              :end_date_time => Time.now.to_ib,
+              :duration => '2 D', # ?
+              :bar_size => '1 min', #IB::OutgoingMessages::BAR_SIZES.key(:hour),
+              :what_to_show => :trades,
+              :use_rth => 1,
+              :format_date => 1)
+end
+
+sleep 5 # Wait for IB to respond to our request

data/bin/{RequestHistoricData → historic_data_cli}

@@ -1,77 +1,39 @@
-#!/usr/bin/env ruby -w
+#!/usr/bin/env ruby
 #
-# Copyright (C) 2009 Wes Devauld 
-#
-# 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
-#
-
-require File.expand_path(
-    File.join(File.dirname(__FILE__), '..', 'lib', 'ib-ruby'))
+# This script connects to IB API, and downloads historic data
+# TODO: Fix the Historical command line client
 
 require 'rubygems'
 require 'time'
 require 'duration'
+require 'pathname'
 require 'getopt/long'
+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'
 
 include Getopt
 
 opt = Getopt::Long.getopts(
-   ["--help", BOOLEAN],
-   ["--end", REQUIRED],
-   ["--security", REQUIRED],
-   ["--duration", REQUIRED],
-   ["--barsize", REQUIRED],
-   ["--header",BOOLEAN],
-   ["--dateformat", REQUIRED],
-   ["--nonregularhours", BOOLEAN],
-   ["--verbose", BOOLEAN],
-   ["--veryverbose", BOOLEAN]
+    ["--help", BOOLEAN],
+    ["--end", REQUIRED],
+    ["--security", REQUIRED],
+    ["--duration", REQUIRED],
+    ["--barsize", REQUIRED],
+    ["--header", BOOLEAN],
+    ["--dateformat", REQUIRED],
+    ["--nonregularhours", BOOLEAN],
+    ["--verbose", BOOLEAN],
+    ["--veryverbose", BOOLEAN]
 )
 
 if opt["help"] || opt["security"].nil? || opt["security"].empty?
   puts <<ENDHELP
 
-** RequestHistoricData.rb - Copyright (C) 2007-8 Paul Legato.
-
- 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
-
- The author and this software are not connected with Interactive
- Brokers in any way, nor do they endorse us.
-
-************************************************************************************
-
- >>         YOUR USE OF THIS PROGRAM IS ENTIRELY AT YOUR OWN RISK.                <<
- >> IT MAY CONTAIN POTENTIALLY COSTLY BUGS, ERRORS, ETC., BOTH KNOWN AND UNKNOWN. <<
- >> DO NOT USE THIS SOFTWARE IF YOU ARE UNWILLING TO ACCEPT ALL RISK IN DOING SO. <<
-
-************************************************************************************
-
+***
 
 This program requires a TWS running on localhost on the standard port
 that uses API protocol version 15 or higher. Any modern TWS should
@@ -153,7 +115,7 @@ Possible values (from the IB documentation):
  data in CSV format.
 
 ENDHELP
-#' <- fix broken syntax highlighting in Aquamacs
+
   exit
 
 end
@@ -169,11 +131,9 @@ if DURATION > 86400
   exit(1)
 end
 
-
 # This is the last time we want data for.
 END_DATE_TIME = (opt["end"] && eval(opt["end"]).to_ib) || Time.now.to_ib
 
-
 # This can be :trades, :midpoint, :bid, or :asked
 WHAT = (opt["what"] && opt["what"].to_sym) || :trades
 
@@ -223,16 +183,11 @@ VERBOSE = !opt["verbose"].nil?
 #
 # Note that as of 4/07 there is no historical data available for forex spot.
 #
-@market =
-  {
-    123 => opt["security"]
-  }
-
+@market = {123 => opt["security"]}
 
 # First, connect to IB TWS.
 ib = IB::IB.new
 
-
 # Default level is quiet, only warnings printed.
 # IB::IBLogger.level = Logger::Severity::ERROR
 
@@ -256,35 +211,35 @@ lastMessageTime = Queue.new # for communicating with the reader thread.
 # up in local memory to figure out what security it relates to.
 # The incoming message packet from TWS just identifies it by ticker id.
 #
-ib.subscribe(IB::IncomingMessages::HistoricalData, lambda {|msg|
-               STDERR.puts @market[msg.data[:req_id]].description + ": " + msg.data[:item_count].to_s("F") + " items:" if VERBOSE
-
-               msg.data[:history].each { |datum|
-                 puts(if VERBOSE
-                        datum.to_s
-                      else
-                        "#{datum.date},#{datum.open.to_s("F")},#{datum.high.to_s("F")},#{datum.low.to_s("F")}," +
-                          "#{datum.close.to_s("F")},#{datum.volume},#{datum.wap.to_s("F")},#{datum.has_gaps}"
-                      end
-                      )
-               }
-               lastMessageTime.push(Time.now)
-             })
+ib.subscribe(IB::IncomingMessages::HistoricalData, lambda { |msg|
+  STDERR.puts @market[msg.data[:req_id]].description + ": " + msg.data[:item_count].to_s("F") + " items:" if VERBOSE
+
+  msg.data[:history].each { |datum|
+    puts(if VERBOSE
+           datum.to_s
+         else
+           "#{datum.date},#{datum.open.to_s("F")},#{datum.high.to_s("F")},#{datum.low.to_s("F")}," +
+               "#{datum.close.to_s("F")},#{datum.volume},#{datum.wap.to_s("F")},#{datum.has_gaps}"
+         end
+    )
+  }
+  lastMessageTime.push(Time.now)
+})
 
 # 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 {|id, contract|
+@market.each_pair { |id, contract|
   msg = IB::OutgoingMessages::RequestHistoricalData.new({
-                                                          :ticker_id => id,
-                                                          :contract => contract,
-                                                          :end_date_time => END_DATE_TIME,
-                                                          :duration => DURATION, # seconds == 1 hour
-                                                          :bar_size => BAR_SIZE, # 1 minute bars
-                                                          :what_to_show => WHAT,
-                                                          :use_RTH => REGULAR_HOURS_ONLY,
-                                                          :format_date => DATE_FORMAT
+                                                            :ticker_id => id,
+                                                            :contract => contract,
+                                                            :end_date_time => END_DATE_TIME,
+                                                            :duration => DURATION, # seconds == 1 hour
+                                                            :bar_size => BAR_SIZE, # 1 minute bars
+                                                            :what_to_show => WHAT,
+                                                            :use_RTH => REGULAR_HOURS_ONLY,
+                                                            :format_date => DATE_FORMAT
                                                         })
   ib.dispatch(msg)
 }

data/bin/market_data

@@ -0,0 +1,49 @@
+#!/usr/bin/env ruby
+#
+# This script connects to IB API and subscribes to market data for specific symbols
+
+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'
+
+# 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::Connection.new
+
+## Subscribe to TWS alerts/errors
+ib.subscribe(:Alert) { |msg| puts msg.to_human }
+
+# 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(:TickPrice, :TickSize) do |msg|
+  puts @market[msg.data[:id]].description + ": " + msg.to_human
+end
+
+# Now we actually request market data for the symbols we're interested in.
+@market.each_pair do |id, contract|
+  ib.send :RequestMarketData, :id => id, :contract => contract
+end
+
+puts "\nSubscribed to market data"
+puts "\n******** Press <Enter> to cancel... *********\n\n"
+gets
+puts "Cancelling market data subscription.."
+
+@market.each_pair { |id, _| ib.send :CancelMarketData, :id => id }

data/bin/option_data

@@ -0,0 +1,45 @@
+#!/usr/bin/env ruby
+#
+# This script connects to IB API and subscribes to market data for specific symbols
+
+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'
+
+# 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::Options[:wfc20],
+           125 => IB::Symbols::Options[:z50]}
+
+# First, connect to IB TWS.
+ib = IB::Connection.new
+
+## Subscribe to TWS alerts/errors
+ib.subscribe(:Alert) { |msg| puts msg.to_human }
+
+# Subscribe to Ticker... events.  The code passed in the block will be executed when
+# any message of that type is received, with the received message as its argument.
+# In this case, we just print out the tick.
+#
+# (N.B. The description field is not from IB TWS. It is defined
+#  locally in forex.rb, and is just arbitrary text.)
+ib.subscribe(:TickPrice, :TickSize, :TickOption) do |msg|
+  puts @market[msg.data[:id]].description + ": " + msg.to_human
+end
+
+# Now we actually request market data for the symbols we're interested in.
+@market.each_pair do |id, contract|
+  ib.send :RequestMarketData, :id => id, :contract => contract
+end
+
+puts "\nSubscribed to market data"
+puts "\n******** Press <Enter> to cancel... *********\n\n"
+gets
+puts "Cancelling market data subscription.."
+
+@market.each_pair { |id, contract| ib.send :CancelMarketData, :id => id }

data/bin/template

@@ -0,0 +1,21 @@
+#!/usr/bin/env ruby
+#
+# Your script description here...
+
+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'
+
+# Connect to IB TWS.
+ib = IB::Connection.new
+
+# Subscribe to TWS alerts/errors
+ib.subscribe(IB::Messages::Incoming::Alert) { |msg| puts msg.to_human }
+
+# Put your code here
+# ...
+