ib-ruby 0.4.3

data/bin/HistoricToCSV

@@ -0,0 +1,111 @@
+#!/usr/bin/env ruby -w
+#
+# 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
+#
+# TODO Fix the Historical command line client
+#
+
+require File.expand_path(
+    File.join(File.dirname(__FILE__), '..', 'lib', 'ib-ruby'))
+
+### Configurable Options
+
+# if Quiet == false, status data will be printed to STDERR
+Quiet = false
+
+# How long to wait when no messages are received from TWS before
+# exiting, in seconds
+Timeout = 10 
+
+SymbolToRequest = IB::Symbols::Forex[:gbpusd]
+
+### end options
+
+
+#
+# Definition of what we want market data for.  We have to keep track
+# of what ticker id corresponds to what symbol ourselves, because the
+# ticks don't include any other identifying information.
+#
+# The choice of ticker ids is, as far as I can tell, arbitrary.
+#
+# Note that as of 4/07 there is no historical data available for forex spot.
+#
+@market =
+  {
+    123 => SymbolToRequest 
+  }
+
+# To determine when the timeout has passed.
+@last_msg_time = Time.now.to_i + 2
+
+# Connect to IB TWS.
+ib = IB::IB.new
+
+# Uncomment this for verbose debug messages:
+# IB::IBLogger.level = Logger::Severity::DEBUG
+
+#
+# Now, subscribe to HistoricalData incoming events.  The code
+# passed in the block will be executed when a message of that type is
+# received, with the received message as its argument. In this case,
+# we just print out the data.
+#
+# Note that we have to look the ticker id of each incoming message
+# up in local memory to figure out what it's for.
+#
+# (N.B. The description field is not from IB TWS. It is defined
+#  locally in forex.rb, and is just arbitrary text.)
+
+
+ib.subscribe(IB::IncomingMessages::HistoricalData, lambda {|msg|
+
+               STDERR.puts @market[msg.data[:req_id]].description + ": " + msg.data[:item_count].to_s("F") + " items:" unless Quiet
+
+               msg.data[:history].each { |datum|
+
+                 @last_msg_time = Time.now.to_i
+
+                 STDERR.puts "   " + datum.to_s("F") unless Quiet
+                 STDOUT.puts "#{datum.date},#{datum.open.to_s("F")},#{datum.high.to_s("F")},#{datum.low.to_s("F")},#{datum.close.to_s("F")},#{datum.volume}"
+               }
+             })
+
+# Now we actually request historical data for the symbols we're
+# interested in.  TWS will respond with a HistoricalData message,
+# which will be received by the code above.
+
+@market.each_pair {|id, contract|
+  msg = IB::OutgoingMessages::RequestHistoricalData.new({
+                                                          :ticker_id => id,
+                                                          :contract => contract,
+                                                          :end_date_time => Time.now.to_ib,
+                                                          :duration => (360).to_s, # how long before end_date_time to request in seconds - this means 1 day
+                                                          :bar_size => IB::OutgoingMessages::RequestHistoricalData::BarSizes.index(:hour),
+                                                          :what_to_show => :trades,
+                                                          :use_RTH => 0,
+                                                          :format_date => 2
+                                                        })
+  ib.dispatch(msg)
+}
+
+
+while true
+  exit(0) if Time.now.to_i > @last_msg_time + Timeout
+  sleep 1
+end

data/bin/RequestHistoricData

@@ -0,0 +1,301 @@
+#!/usr/bin/env ruby -w
+#
+# 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'))
+
+require 'rubygems'
+require 'time'
+require 'duration'
+require 'getopt/long'
+
+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]
+)
+
+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
+work. (Patches to make it work on an arbitrary host/port are welcome.)
+
+----------
+
+One argument is required: --security, the security specification you want, in
+"long serialized IB-Ruby" format. This is a colon-separated string of 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 command line is:
+
+  ./RequestHistoricData.rb --security GBP:FUT:200809:::62500:GLOBEX::USD:
+
+Consult datatypes.rb for allowed values, and see also the examples in the symbols/ directory (load them in
+irb and run security#serialize_ib_ruby(ib_version) to see the appropriate string.)
+
+***
+
+Options:
+
+--end is is the last time we want data for. The default is now.
+  This is eval'ed by Ruby, so you can use a Ruby expression, which must return a Time object.
+
+
+--duration is how much historic data we want, in seconds, before --end's time.
+  The default is 86400 (seconds, which is 1 day.)
+  The TWS-imposed limit is 86400 (1 day per request.) Requests for more than 86400 seconds worth of historic data will fail.
+
+--what determines what the data will be comprised of. This can be "trades", "midpoint", "bid", or "asked".
+  The default is "trades".
+
+--barsize determines how long each bar will be.
+
+Possible values (from the IB documentation):
+
+ 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 some securities.
+ The default is 8, 15 minutes.
+
+--nonregularhours :
+ Normally, only data from the instrument's regular trading hours is returned.
+ If --nonregularhours is given, all data available during the time
+ span requested is returned, even data bars covering time
+ intervals where the market in question was illiquid. If
+
+
+--dateformat : a --dateformat 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 it 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.
+
+ The default is 1 (human-readable time.)
+
+--header : if present, prints a 1 line CSV header describing the fields in the CSV.
+
+--veryverbose : if present, prints very verbose debugging info.
+--verbose : if present, prints all messages received from IB, and print the data in human-readable
+  format.
+
+ Otherwise, in the default mode, prints only the historic data (and any errors), and prints the
+ data in CSV format.
+
+ENDHELP
+#' <- fix broken syntax highlighting in Aquamacs
+  exit
+
+end
+
+### Parameters
+
+# DURATION is how much historic data we want, in seconds, before END_DATE_TIME.
+# (The 'duration' gem gives us methods like #hour on integers.)
+DURATION = (opt["duration"] && opt["duration"].to_i) || 1.day
+
+if DURATION > 86400
+  STDERR.puts("\nTWS does not accept a --duration longer than 86400 seconds (1 day.) Please try again with a smaller duration.\n\n")
+  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
+
+# 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 actually work; they are rejected by the server.
+#
+BAR_SIZE = (opt["barsize"] && opt["barsize"].to_i) || 8
+
+# If REGULAR_HOURS_ONLY 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.
+
+REGULAR_HOURS_ONLY = opt["nonregularhours"] ? 0 : 1
+
+# Using a DATE_FORMAT 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.
+
+DATE_FORMAT = (opt["dateformat"] && opt["dateformat"].to_i) || 1
+
+VERYVERBOSE = !opt["veryverbose"].nil?
+VERBOSE = !opt["verbose"].nil?
+
+#
+# Definition of what we want market data for.  We have to keep track
+# of what ticker id corresponds to what symbol ourselves, because the
+# ticks don't include any other identifying information.
+#
+# The choice of ticker ids is, as far as I can tell, arbitrary.
+#
+# Note that as of 4/07 there is no historical data available for forex spot.
+#
+@market =
+  {
+    123 => opt["security"]
+  }
+
+
+# First, connect to IB TWS.
+ib = IB::IB.new
+
+
+# Default level is quiet, only warnings printed.
+# IB::IBLogger.level = Logger::Severity::ERROR
+
+# For verbose printing of each message:
+# IB::IBLogger.level = Logger::Severity::INFO if VERBOSE
+
+# For very verbose debug messages:
+# IB::IBLogger.level = Logger::Severity::DEBUG if VERYVERBOSE
+
+puts "datetime,open,high,low,close,volume,wap,has_gaps" if !opt["header"].nil?
+
+lastMessageTime = Queue.new # for communicating with the reader thread.
+
+#
+# Subscribe to incoming HistoricalData events. The code passed in the
+# block will be executed when a message of the subscribed 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 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)
+             })
+
+# 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|
+  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
+                                                        })
+  ib.dispatch(msg)
+}
+
+
+# A complication here is that IB does not send any indication when all historic data is done being delivered.
+# So we have to guess - when there is no more new data for some period, we interpret that as "end of data" and exit.
+
+while true
+  lastTime = lastMessageTime.pop # blocks until a message is ready on the queue
+  sleep 2 # .. wait ..
+  exit if lastMessageTime.empty? # if still no more messages after 2 more seconds, exit.
+end
+

data/bin/RequestMarketData

@@ -0,0 +1,78 @@
+#!/usr/bin/env ruby -w
+#
+# 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'))
+
+#
+# Definition of what we want market data for.  We have to keep track
+# of what ticker id corresponds to what symbol ourselves, because the
+# ticks don't include any other identifying information.
+# 
+# The choice of ticker ids is, as far as I can tell, arbitrary.
+#
+@market = 
+  {
+    123 => IB::Symbols::Forex[:gbpusd],
+    456 => IB::Symbols::Forex[:eurusd],
+    789 => IB::Symbols::Forex[:usdcad]
+  }
+
+
+# First, connect to IB TWS.
+ib = IB::IB.new
+
+
+#
+# Now, subscribe to TickerPrice and TickerSize events.  The code
+# passed in the block will be executed when a message of that type is
+# received, with the received message as its argument. In this case,
+# we just print out the tick.
+# 
+# Note that we have to look the ticker id of each incoming message
+# up in local memory to figure out what it's for.
+#
+# (N.B. The description field is not from IB TWS. It is defined
+#  locally in forex.rb, and is just arbitrary text.)
+
+ib.subscribe(IB::IncomingMessages::TickPrice, lambda {|msg|
+               puts @market[msg.data[:ticker_id]].description + ": " + msg.to_human
+             })
+
+ib.subscribe(IB::IncomingMessages::TickSize, lambda {|msg|
+               puts @market[msg.data[:ticker_id]].description + ": " + msg.to_human
+             })
+
+
+# Now we actually request market data for the symbols we're interested in.
+
+@market.each_pair {|id, contract|
+  msg = IB::OutgoingMessages::RequestMarketData.new({
+                                                      :ticker_id => id,
+                                                      :contract => contract
+                                                    })
+  ib.dispatch(msg)
+}
+
+         
+puts "Main thread going to sleep. Press ^C to quit.."
+while true
+  sleep 2
+end

data/bin/SimpleTimeAndSales

@@ -0,0 +1,98 @@
+#!/usr/bin/env ruby -w
+#
+# 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'))
+
+# First, connect to IB TWS.
+ib = IB::IB.new
+
+# Uncomment this for verbose debug messages:
+# IB::IBLogger.level = Logger::Severity::DEBUG
+
+# Define the symbols we're interested in.
+@market = 
+  {
+    123 => IB::Symbols::Futures[:gbp],
+    234 => IB::Symbols::Futures[:jpy]
+  }
+
+
+# This method filters out non-:last type events, and filters out any
+# sale < MIN_SIZE.
+MIN_SIZE = 0
+
+def showSales(msg)
+  return if msg.data[:type] != :last || msg.data[:size] < MIN_SIZE
+  puts @market[msg.data[:ticker_id]].description + ": " + msg.data[:size].to_s("F") + " at " + msg.data[:price].to_s("F")
+end
+
+def showSize(msg)
+  puts @market[msg.data[:ticker_id]].description + ": " + msg.to_human
+end
+
+
+#
+# Now, subscribe to TickerPrice and TickerSize events.  The code
+# passed in the block will be executed when a message of that type is
+# received, with the received message as its argument. In this case,
+# we just print out the tick.
+# 
+# Note that we have to look the ticker id of each incoming message
+# up in local memory to figure out what it's for.
+#
+# (N.B. The description field is not from IB TWS. It is defined
+#  locally in forex.rb, and is just arbitrary text.)
+
+ib.subscribe(IB::IncomingMessages::TickPrice, lambda {|msg|
+               showSales(msg)
+             })
+
+ib.subscribe(IB::IncomingMessages::TickSize, lambda {|msg|
+              showSize(msg)
+             })
+
+
+# Now we actually request market data for the symbols we're interested in.
+
+@market.each_pair {|id, contract|
+  msg = IB::OutgoingMessages::RequestMarketData.new({
+                                                      :ticker_id => id,
+                                                      :contract => contract
+                                                    })
+  ib.dispatch(msg)
+}
+
+         
+puts "\n\n\t******** Press <Enter> to quit.. *********\n\n"
+
+gets
+
+puts "Unsubscribing from TWS market data.."
+
+@market.each_pair {|id, contract|
+  msg = IB::OutgoingMessages::CancelMarketData.new({
+                                                      :ticker_id => id,
+                                                   })
+  ib.dispatch(msg)
+}
+
+puts "Done."
+

data/bin/ib-ruby

@@ -0,0 +1,8 @@
+#!/usr/bin/env ruby
+
+require File.expand_path(
+    File.join(File.dirname(__FILE__), %w[.. lib ib-ruby]))
+
+# Put your code here
+
+# EOF