ib-ruby 0.4.3 → 0.4.20

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

@@ -0,0 +1,807 @@
+# 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.
+
+# TODO: Don't instantiate messages, use their classes as just namespace for .encode/decode
+# TODO: realize Message#fire method that raises EWrapper events
+
+module IB
+  module Messages
+
+    # Incoming IB messages
+    module Incoming
+      Classes = Array.new
+
+      # This is just a basic generic message from the server.
+      #
+      # Class variables:
+      # @message_id - int: message id.
+      # @version - int: current version of message format.
+      #
+      # Instance attributes (at minimum):
+      # @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
+        attr_accessor :created_at, :data
+
+        def self.inherited(by)
+          super(by)
+          Classes.push(by)
+        end
+
+        def self.message_id
+          @message_id
+        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"
+          @created_at = Time.now
+          @data = Hash.new
+          @socket = socket
+          @server_version = server_version
+
+          self.load()
+
+          @socket = nil
+        end
+
+        def to_human
+          self.inspect
+        end
+
+        protected
+
+        # Every message loads received message version first
+        def load
+          @data[:version] = @socket.read_int
+        end
+
+        # Load @data from the socket according to the given map.
+        #
+        # map is a series of Arrays in the format [ [ :name, :type ] ],
+        # type identifiers must have a corresponding read_type method on socket (read_int, etc.).
+        # [:version, :int ] is loaded first, by default
+        #
+        #
+        def load_map(*map)
+          ##logger.debug("load_maping map: " + map.inspect)
+          map.each { |spec|
+            @data[spec[0]] = @socket.__send__(("read_" + spec[1].to_s).to_sym)
+          }
+        end
+      end # class AbstractMessage
+
+      class AbstractTick < AbstractMessage
+        # Returns Symbol with a meaningful name for received tick type
+        def type
+          TICK_TYPES[@data[:tick_type]]
+        end
+
+        def to_human
+          "<#{self.class.to_s.split('::').last} #{type}:" +
+              @data.map do |key, value|
+                " #{key} #{value}" unless [:version, :id, :tick_type].include?(key)
+              end.compact.join(',') + " >"
+        end
+      end
+
+      # Macro that defines short message classes using a one-liner
+      def self.def_message message_id, *keys, &human_block
+        base = keys.first.is_a?(Class) ? keys.shift : AbstractMessage
+        Class.new(base) do
+          @message_id = message_id
+
+          define_method(:load) do
+            super()
+            load_map *keys
+          end
+
+          define_method(:to_human, &human_block) if human_block
+        end
+      end
+
+      ### Actual message classes (short definitions):
+
+      OrderStatus = def_message 3, [:id, :int],
+                                [:status, :string],
+                                [:filled, :int],
+                                [:remaining, :int],
+                                [:average_fill_price, :decimal],
+                                [:perm_id, :int],
+                                [:parent_id, :int],
+                                [:last_fill_price, :decimal],
+                                [:client_id, :int],
+                                [:why_held, :string]
+
+      AccountValue = def_message(6, [:key, :string],
+                                 [:value, :string],
+                                 [:currency, :string],
+                                 [:account_name, :string]) do
+        "<AccountValue: #{@data[:account_name]}, #{@data[:key]}=#{@data[:value]} #{@data[:currency]}>"
+      end
+
+      AccountUpdateTime = def_message(8, [:time_stamp, :string]) do
+        "<AccountUpdateTime: #{@data[:time_stamp]}>"
+      end
+
+      # This message is always sent by TWS automatically at connect.
+      # The IB::Connection class subscribes to it automatically and stores
+      # the order id in its @next_order_id attribute.
+      NextValidID = def_message 9, [:id, :int]
+
+      MarketDepth =
+          def_message 12, [:id, :int],
+                      [:position, :int], # The row Id of this market depth entry.
+                      [:operation, :int], # How it should be applied to the market depth:
+                      #   0 = insert this new order into the row identified by :position
+                      #   1 = update the existing order in the row identified by :position
+                      #   2 = delete the existing order at the row identified by :position
+                      [:side, :int], # side of the book: 0 = ask, 1 = bid
+                      [:price, :decimal],
+                      [:size, :int]
+
+      MarketDepthL2 =
+          def_message 13, [:id, :int],
+                      [:position, :int], # The row Id of this market depth entry.
+                      [:market_maker, :string], # The exchange hosting this order.
+                      [:operation, :int], # How it should be applied to the market depth:
+                      #   0 = insert this new order into the row identified by :position
+                      #   1 = update the existing order in the row identified by :position
+                      #   2 = delete the existing order at the row identified by :position
+                      [:side, :int], # side of the book: 0 = ask, 1 = bid
+                      [:price, :decimal],
+                      [:size, :int]
+
+      NewsBulletins =
+          def_message 14, [:id, :int], # unique incrementing bulletin ID.
+                      [:type, :int], # Type of bulletin. Valid values include:
+                      #     1 = Reqular news bulletin
+                      #     2 = Exchange no longer available for trading
+                      #     3 = Exchange is available for trading
+                      [:text, :string], # The bulletin's message text.
+                      [:exchange, :string] # Exchange from which this message originated.
+
+      ManagedAccounts =
+          def_message 15, [:accounts_list, :string]
+
+      # Receives previously requested FA configuration information from TWS.
+      ReceiveFA =
+          def_message 16, [:type, :int], # type of Financial Advisor configuration data
+                      #                    being received from TWS. Valid values include:
+                      #                      1 = GROUPS
+                      #                      2 = PROFILE
+                      #                      3 = ACCOUNT ALIASES
+                      [:xml, :string] # XML string containing the previously requested
+      #                                 FA configuration information.
+
+      # Receives an XML document that describes the valid parameters that a scanner
+      # subscription can have.
+      ScannerParameters = def_message 19, [:xml, :string]
+
+      # Receives the current system time on the server side.
+      CurrentTime = def_message 49, [:time, :int] # long!
+
+      # Receive Reuters global fundamental market data. There must be a subscription to
+      # Reuters Fundamental set up in Account Management before you can receive this data.
+      FundamentalData = def_message 50, [:id, :int], # request_id
+                                    [:data, :string]
+
+      ContractDataEnd = def_message 52, [:id, :int] # request_id
+
+      OpenOrderEnd = def_message 53
+
+      AccountDownloadEnd = def_message 54, [:account_name, :string]
+
+      ExecutionDataEnd = def_message 55, [:id, :int] # request_id
+
+      TickSnapshotEnd = def_message 57, [:id, :int] # request_id
+
+      ### Actual message classes (long definitions):
+
+      # 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."
+      #
+      # IB then emits at most 2 events on eWrapper:
+      #          tickPrice( tickerId, tickType, price, canAutoExecute)
+      #          tickSize( tickerId, sizeTickType, size)
+      TickPrice = def_message 1, AbstractTick,
+                              [:id, :int], # ticker_id
+                              [:tick_type, :int],
+                              [:price, :decimal],
+                              [:size, :int],
+                              [:can_auto_execute, :int]
+
+      TickSize = def_message 2, AbstractTick,
+                             [:id, :int], # ticker_id
+                             [:tick_type, :int],
+                             [:size, :int]
+
+      TickGeneric = def_message 45, AbstractTick,
+                                [:id, :int], # ticker_id
+                                [:tick_type, :int],
+                                [:value, :decimal]
+
+      TickString = def_message 46, AbstractTick,
+                               [:id, :int], # ticker_id
+                               [:tick_type, :int],
+                               [:value, :string]
+
+      TickEFP = def_message 47, AbstractTick,
+                            [:id, :int], # ticker_id
+                            [:tick_type, :int],
+                            [:basis_points, :decimal],
+                            [:formatted_basis_points, :string],
+                            [:implied_futures_price, :decimal],
+                            [:hold_days, :int],
+                            [:dividend_impact, :decimal],
+                            [:dividends_to_expiry, :decimal]
+
+      # This message is received when the market in an option or its underlier moves.
+      # TWS�s option model volatilities, prices, and deltas, along with the present
+      # value of dividends expected on that options underlier are received.
+      # TickOption message contains following @data:
+      #    :id - Ticker Id that was specified previously in the call to reqMktData()
+      #    :tick_type - Specifies the type of option computation (see TICK_TYPES).
+      #    :implied_volatility - The implied volatility calculated by the TWS option
+      #                          modeler, using the specified :tick_type value.
+      #    :delta - The option delta value.
+      #    :option_price - The option price.
+      #    :pv_dividend - The present value of dividends expected on the options underlier
+      #    :gamma - The option gamma value.
+      #    :vega - The option vega value.
+      #    :theta - The option theta value.
+      #    :under_price - The price of the underlying.
+      class TickOption < AbstractTick
+        @message_id = 21
+
+        # Read @data[key] if it was computed (received value above limit)
+        # Leave @data[key] nil if received value below limit ("not yet computed" indicator)
+        def read_computed key, limit
+          value = @socket.read_decimal # limit-1 is the "not yet computed" indicator
+          @data[key] = value < limit ? nil : value
+        end
+
+        def load
+          super
+
+          @data[:id] = @socket.read_int # ticker_id
+          @data[:tick_type] = @socket.read_int
+          read_computed :implied_volatility, 0 #-1 is the "not yet computed" indicator
+          read_computed :delta, -1 #            -2 is the "not yet computed" indicator
+          read_computed :option_price, 0 #      -1 is the "not yet computed" indicator
+          read_computed :pv_dividend, 0 #       -1 is the "not yet computed" indicator
+          read_computed :gamma, -1 #            -2 is the "not yet computed" indicator
+          read_computed :vega, -1 #             -2 is the "not yet computed" indicator
+          read_computed :theta, -1 #            -2 is the "not yet computed" indicator
+          read_computed :under_price, 0 #       -1 is the "not yet computed" indicator
+        end
+
+        def to_human
+          "<TickOption #{type} for #{@data[:id]}: underlying @ #{@data[:under_price]}, "+
+              "option @ #{@data[:option_price]}, IV #{@data[:implied_volatility]}%, " +
+              "delta #{@data[:delta]}, gamma #{@data[:gamma]}, vega #{@data[:vega]}, " +
+              "theta #{@data[:theta]}, pv_dividend #{@data[:pv_dividend]}>"
+        end
+      end # TickOption
+      TickOptionComputation = TickOption
+
+      # Called Error in Java code, but in fact this type of messages also
+      # deliver system alerts and additional (non-error) info from TWS.
+      # It has additional accessors: #code and #message, derived from @data
+      Alert = def_message 4, [:id, :int], [:code, :int], [:message, :string]
+      class Alert
+        def code
+          @data && @data[:code]
+        end
+
+        def message
+          @data && @data[:message]
+        end
+
+        # Is it an Error message?
+        def error?
+          code < 1000
+        end
+
+        # Is it a System message?
+        def system?
+          code > 1000 && code < 2000
+        end
+
+        # Is it a Warning message?
+        def warning?
+          code > 2000
+        end
+
+        def to_human
+          "TWS #{ error? ? 'Error' : system? ? 'System' : 'Warning'
+          } Message #{@data[:code]}: #{@data[:message]}"
+        end
+      end # class ErrorMessage
+      Error = Alert
+      ErrorMessage = Alert
+
+      class OpenOrder < AbstractMessage
+        @message_id = 5
+
+        attr_accessor :order, :contract
+
+        def load
+          super
+
+          @order = Models::Order.new :id => @socket.read_int
+
+          @contract = Models::Contract.new :symbol => @socket.read_string,
+                                           :sec_type => @socket.read_string,
+                                           :expiry => @socket.read_string,
+                                           :strike => @socket.read_decimal,
+                                           :right => @socket.read_string,
+                                           :exchange => @socket.read_string,
+                                           :currency => @socket.read_string,
+                                           :local_symbol => @socket.read_string
+
+          @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
+          @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
+          @order.good_after_time = @socket.read_string
+          @socket.read_string # skip deprecated sharesAllocation field
+
+          @order.fa_group = @socket.read_string
+          @order.fa_method = @socket.read_string
+          @order.fa_percentage = @socket.read_string
+          @order.fa_profile = @socket.read_string
+          @order.good_till_date = @socket.read_string
+          @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.exempt_code = @socket.read_int # skipped in ver 51?
+          @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
+          @order.parent_id = @socket.read_int
+          @order.trigger_method = @socket.read_int
+          @order.volatility = @socket.read_decimal
+          @order.volatility_type = @socket.read_int
+          @order.delta_neutral_order_type = @socket.read_string
+          @order.delta_neutral_aux_price = @socket.read_decimal
+
+          @order.continuous_update = @socket.read_int
+          @order.reference_price_type = @socket.read_int
+          @order.trail_stop_price = @socket.read_decimal
+          @order.basis_points = @socket.read_decimal
+          @order.basis_points_type = @socket.read_int
+          @order.combo_legs_description = @socket.read_string
+          @order.scale_init_level_size = @socket.read_int_max
+          @order.scale_subs_level_size = @socket.read_int_max
+          @order.scale_price_increment = @socket.read_decimal_max
+          @order.clearing_account = @socket.read_string
+          @order.clearing_intent = @socket.read_string
+          @order.not_held = (@socket.read_int == 1)
+
+          under_comp_present = (@socket.read_int == 1)
+
+          if under_comp_present
+            @contract.under_comp =
+                Models::Contract::UnderComp.new :con_id => @socket.read_int,
+                                                :delta => @socket.read_decimal,
+                                                :price => @socket.read_decimal
+          end
+
+          @order.algo_strategy = @socket.read_string
+
+          unless @order.algo_strategy.nil? || @order.algo_strategy.empty?
+            algo_params_count = @socket.read_int
+            if algo_params_count > 0
+              @order.algo_params = Hash.new
+              algo_params_count.times do
+                tag = @socket.read_string
+                value = @socket.read_string
+                @order.algo_params[tag] = value
+              end
+            end
+          end
+
+          @order.what_if = (@socket.read_int == 1)
+          @order.status = @socket.read_string
+          @order.init_margin = @socket.read_string
+          @order.maint_margin = @socket.read_string
+          @order.equity_with_loan = @socket.read_string
+          @order.commission = @socket.read_decimal_max
+          @order.min_commission = @socket.read_decimal_max
+          @order.max_commission = @socket.read_decimal_max
+          @order.commission_currency = @socket.read_string
+          @order.warning_text = @socket.read_string
+        end
+      end # OpenOrder
+
+      class PortfolioValue < AbstractMessage
+        @message_id = 7
+
+        attr_accessor :contract
+
+        def load
+          super
+
+          @contract = Models::Contract.new :con_id => @socket.read_int,
+                                           :symbol => @socket.read_string,
+                                           :sec_type => @socket.read_string,
+                                           :expiry => @socket.read_string,
+                                           :strike => @socket.read_decimal,
+                                           :right => @socket.read_string,
+                                           :multiplier => @socket.read_string,
+                                           :primary_exchange => @socket.read_string,
+                                           :currency => @socket.read_string,
+                                           :local_symbol => @socket.read_string
+          load_map [:position, :int],
+                   [:market_price, :decimal],
+                   [:market_value, :decimal],
+                   [:average_cost, :decimal],
+                   [:unrealized_pnl, :decimal],
+                   [:realized_pnl, :decimal],
+                   [:account_name, :string]
+        end
+
+        def to_human
+          "<PortfolioValue: #{@contract.to_human} (#{@data[:position]}): Market #{@data[:market_price]}" +
+              " price #{@data[:market_value]} value; PnL: #{@data[:unrealized_pnl]} unrealized," +
+              " #{@data[:realized_pnl]} realized; account #{@data[:account_name]}>"
+        end
+
+      end # PortfolioValue
+
+      class ContractData < AbstractMessage
+        @message_id = 10
+
+        attr_accessor :contract
+
+        def load
+          super
+          load_map [:id, :int] # request id
+
+          @contract =
+              Models::Contract.new :symbol => @socket.read_string,
+                                   :sec_type => @socket.read_string,
+                                   :expiry => @socket.read_string,
+                                   :strike => @socket.read_decimal,
+                                   :right => @socket.read_string,
+                                   :exchange => @socket.read_string,
+                                   :currency => @socket.read_string,
+                                   :local_symbol => @socket.read_string,
+
+                                   :market_name => @socket.read_string,
+                                   :trading_class => @socket.read_string,
+                                   :con_id => @socket.read_int,
+                                   :min_tick => @socket.read_decimal,
+                                   :multiplier => @socket.read_string,
+                                   :order_types => @socket.read_string,
+                                   :valid_exchanges => @socket.read_string,
+                                   :price_magnifier => @socket.read_int,
+                                   :under_con_id => @socket.read_int,
+                                   :long_name => @socket.read_string,
+                                   :primary_exchange => @socket.read_string,
+                                   :contract_month => @socket.read_string,
+                                   :industry => @socket.read_string,
+                                   :category => @socket.read_string,
+                                   :subcategory => @socket.read_string,
+                                   :time_zone => @socket.read_string,
+                                   :trading_hours => @socket.read_string,
+                                   :liquid_hours => @socket.read_string
+        end
+      end # ContractData
+
+      class ExecutionData < AbstractMessage
+        @message_id = 11
+
+        attr_accessor :contract, :execution
+
+        def load
+          super
+          load_map [:id, :int], # request_id
+                   [:order_id, :int]
+
+          @contract =
+              Models::Contract.new :con_id => @socket.read_int,
+                                   :symbol => @socket.read_string,
+                                   :sec_type => @socket.read_string,
+                                   :expiry => @socket.read_string,
+                                   :strike => @socket.read_decimal,
+                                   :right => @socket.read_string,
+                                   :exchange => @socket.read_string,
+                                   :currency => @socket.read_string,
+                                   :local_symbol => @socket.read_string
+          @execution =
+              Models::Execution.new :order_id => @data[:order_id],
+                                    :exec_id => @socket.read_string,
+                                    :time => @socket.read_string,
+                                    :account_number => @socket.read_string,
+                                    :exchange => @socket.read_string,
+                                    :side => @socket.read_string,
+                                    :shares => @socket.read_int,
+                                    :price => @socket.read_decimal,
+                                    :perm_id => @socket.read_int,
+                                    :client_id => @socket.read_int,
+                                    :liquidation => @socket.read_int,
+                                    :cumulative_quantity => @socket.read_int,
+                                    :average_price => @socket.read_decimal
+        end
+      end # ExecutionData
+
+      # HistoricalData contains following @data:
+      #    :id - The ID of the request to which this is responding
+      #    :count - Number of data points returned (size of :results).
+      #    :results - an Array of Historical Data Bars
+      #    :start_date
+      #    :end_date
+      #    :completed_indicator - string in stupid legacy format
+      class HistoricalData < AbstractMessage
+        @message_id = 17
+
+        def load
+          super
+          load_map [:id, :int],
+                   [:start_date, :string],
+                   [:end_date, :string],
+                   [:count, :int]
+
+          @data[:completed_indicator] =
+              "finished-#{@data[:start_date]}-#{@data[:end_date]}"
+
+          @data[:results] = Array.new(@data[:count]) do |index|
+            Models::Bar.new :date => @socket.read_string,
+                            :open => @socket.read_decimal,
+                            :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,
+                            :trades => @socket.read_int
+          end
+        end
+
+        def to_human
+          "<HistoricalData: req id #{@data[:id]}, #{@data[:item_count]} items, from #{@data[:start_date_str]} to #{@data[:end_date_str]}>"
+        end
+      end # HistoricalData
+
+      class BondContractData < AbstractMessage
+        @message_id = 18
+
+        attr_accessor :contract
+
+        def load
+          super
+          load_map [:id, :int] # request id
+
+          @contract =
+              Models::Contract.new :symbol => @socket.read_string,
+                                   :sec_type => @socket.read_string,
+                                   :cusip => @socket.read_string,
+                                   :coupon => @socket.read_decimal,
+                                   :maturity => @socket.read_string,
+                                   :issue_date => @socket.read_string,
+                                   :ratings => @socket.read_string,
+                                   :bond_type => @socket.read_string,
+                                   :coupon_type => @socket.read_string,
+                                   :convertible => @socket.read_boolean,
+                                   :callable => @socket.read_boolean,
+                                   :puttable => @socket.read_boolean,
+                                   :desc_append => @socket.read_string,
+                                   :exchange => @socket.read_string,
+                                   :currency => @socket.read_string,
+                                   :market_name => @socket.read_string,
+                                   :trading_class => @socket.read_string,
+                                   :con_id => @socket.read_int,
+                                   :min_tick => @socket.read_decimal,
+                                   :order_types => @socket.read_string,
+                                   :valid_exchanges => @socket.read_string,
+                                   :valid_next_option_date => @socket.read_string,
+                                   :valid_next_option_type => @socket.read_string,
+                                   :valid_next_option_partial => @socket.read_string,
+                                   :notes => @socket.read_string,
+                                   :long_name => @socket.read_string
+        end
+      end # BondContractData
+
+      # This method receives the requested market scanner data results.
+      # ScannerData contains following @data:
+      # :id - The ID of the request to which this row is responding
+      # :count - Number of data points returned (size of :results).
+      # :results - an Array of Hashes, each hash contains a set of
+      #            data about one scanned Contract:
+      #            :contract - a full description of the contract (details).
+      #            :distance - Varies based on query.
+      #            :benchmark - Varies based on query.
+      #            :projection - Varies based on query.
+      #            :legs - Describes combo legs when scan is returning EFP.
+      class ScannerData < AbstractMessage
+        @message_id = 20
+
+        def load
+          super
+          load_map [:id, :int],
+                   [:count, :int]
+
+          @data[:results] = Array.new(@data[:count]) do |index|
+            {:rank => @socket.read_int,
+             :contract => Contract.new(:con_id => @socket.read_int,
+                                       :symbol => @socket.read_str,
+                                       :sec_type => @socket.read_str,
+                                       :expiry => @socket.read_str,
+                                       :strike => @socket.read_decimal,
+                                       :right => @socket.read_str,
+                                       :exchange => @socket.read_str,
+                                       :currency => @socket.read_str,
+                                       :local_symbol => @socket.read_str,
+                                       :market_name => @socket.read_str,
+                                       :trading_class => @socket.read_str),
+             :distance => @socket.read_str,
+             :benchmark => @socket.read_str,
+             :projection => @socket.read_str,
+             :legs => @socket.read_str,
+            }
+            #eWrapper().scannerData(tickerId, rank, contract, distance,
+            #    benchmark, projection, legsStr);
+
+          end
+
+          #eWrapper().scannerDataEnd(tickerId);
+        end
+      end # ScannerData
+
+      # HistoricalData contains following @data:
+      #    :id - The ID of the *request* to which this is responding
+      #    :time - The date-time stamp of the start of the bar. The format is offset in
+      #            seconds from the beginning of 1970, same format as the UNIX epoch time
+      #    :bar - received RT Bar
+      class RealTimeBar < AbstractMessage
+        @message_id = 50
+
+        attr_accessor :bar
+
+        def load
+          super
+          load_map [:id, :int],
+                   [:time, :int] # long!
+
+          @bar = Models::Bar.new :date => Time.at(@data[:time]),
+                                 :open => @socket.read_decimal,
+                                 :high => @socket.read_decimal,
+                                 :low => @socket.read_decimal,
+                                 :close => @socket.read_decimal,
+                                 :volume => @socket.read_int,
+                                 :wap => @socket.read_decimal,
+                                 :trades => @socket.read_int
+        end
+
+        def to_human
+          "<RealTimeBar: req id #{@data[:id]}, #{@bar}>"
+        end
+      end # RealTimeBar
+      RealTimeBars = RealTimeBar
+
+      # The server sends this message upon accepting a Delta-Neutral DN RFQ
+      # - see API Reference p. 26
+      class DeltaNeutralValidation < AbstractMessage
+        @message_id = 56
+
+        attr_accessor :contract
+
+        def load
+          super
+          load_map [:id, :int] # request id
+
+          @contract = Models::Contract.new :under_comp => true,
+                                           :under_con_id => @socket.read_int,
+                                           :under_delta => @socket.read_decimal,
+                                           :under_price => @socket.read_decimal
+        end
+      end # DeltaNeutralValidation
+
+      Table = Hash.new
+      Classes.each { |msg_class| Table[msg_class.message_id] = msg_class }
+
+    end # module Incoming
+  end # module Messages
+end # module IB
+__END__
+
+    // incoming msg id's
+    static final int TICK_PRICE		= 1; * TODO: realize both events
+    static final int TICK_SIZE		= 2; *
+    static final int ORDER_STATUS	= 3; *
+    static final int ERR_MSG		= 4;   *
+    static final int OPEN_ORDER         = 5;  *
+    static final int ACCT_VALUE         = 6;  *
+    static final int PORTFOLIO_VALUE    = 7;  *
+    static final int ACCT_UPDATE_TIME   = 8;  *
+    static final int NEXT_VALID_ID      = 9;  *
+    static final int CONTRACT_DATA      = 10; *
+    static final int EXECUTION_DATA     = 11; *
+    static final int MARKET_DEPTH     	= 12; *
+    static final int MARKET_DEPTH_L2    = 13; *
+    static final int NEWS_BULLETINS    	= 14; *
+    static final int MANAGED_ACCTS    	= 15; *
+    static final int RECEIVE_FA    	    = 16; *
+    static final int HISTORICAL_DATA    = 17; *
+    static final int BOND_CONTRACT_DATA = 18; *
+    static final int SCANNER_PARAMETERS = 19; *
+    static final int SCANNER_DATA       = 20; *
+    static final int TICK_OPTION_COMPUTATION = 21; *
+    static final int TICK_GENERIC = 45;       *
+    static final int TICK_STRING = 46;        *
+    static final int TICK_EFP = 47;           *
+    static final int CURRENT_TIME = 49;       *
+    static final int REAL_TIME_BARS = 50;     *
+    static final int FUNDAMENTAL_DATA = 51;   *
+    static final int CONTRACT_DATA_END = 52;  *
+    static final int OPEN_ORDER_END = 53;     *
+    static final int ACCT_DOWNLOAD_END = 54;  *
+    static final int EXECUTION_DATA_END = 55; *
+    static final int DELTA_NEUTRAL_VALIDATION = 56; *
+    static final int TICK_SNAPSHOT_END = 57;  *