ib-ruby 0.4.3 → 0.4.20

data/lib/legacy/messages.rb

@@ -0,0 +1,1458 @@
+#
+# 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