ib-ruby 0.5.18 → 0.5.19

data/HISTORY

@@ -117,3 +117,7 @@
 == 0.5.18 / 2012-02-15
 
 * Bugfix release
+
+== 0.5.19 / 2012-02-23
+
+* Contract

data/TODO

@@ -1,29 +1,30 @@
-1. IB Connection uses delays to prevent hitting 50 msgs/sec limit:
-http://finance.groups.yahoo.com/group/TWSAPI/message/25413
+1. Create integration tests for basic use cases
 
-2. Decouple Broker-specific Adapter from universal high-level messaging layer
-(potentially adding other broker adapters)
+Plan:
 
-3. Tweak IB::Message API for speed (use class methods)
+1. Create integration tests (Brokerton?)
 
-4. Create integration tests (Brokerton?)
+2. Make ActiveModel-like attributes Hash for easy attributes updating
 
-5. IB#send_message method should accept block, thus compressing subscribe/send_message
+3. IB#send_message method should accept block, thus compressing subscribe/send_message
 pair into a single call - to simplify DSL.
 
+4. IB Connection uses delays to prevent hitting 50 msgs/sec limit:
+http://finance.groups.yahoo.com/group/TWSAPI/message/25413
+
+5. IB Connection reconnects gracefully in case if TWS disconnects/reconnects
+
 6. Compatibility check for new TWS v.966
 
-7. Fix iteration bug
-   (probably, caused by new IB message arriving while we're adding new subscriber):
-        RuntimeError: can't add a new key into hash during iteration
-                       []= at org/jruby/RubyHash.java:899
-                 subscribe at /Users/vb/.rvm/gems/jruby-head@option_mower/gems/ib-ruby-0.5.17/lib/ib-ruby/connection.rb:132
-                      each at org/jruby/RubyArray.java:1609
-                 subscribe at /Users/vb/.rvm/gems/jruby-head@option_mower/gems/ib-ruby-0.5.17/lib/ib-ruby/connection.rb:121
-          subscribe_orders at /Users/vb/Dev/ib/option_mower/lib/option_mower/connection.rb:153
-                     start at /Users/vb/Dev/ib/option_mower/lib/option_mower/connection.rb:42
-                     start at /Users/vb/Dev/ib/option_mower/lib/option_mower/connection.rb:17
-                     start at /Users/vb/Dev/ib/option_mower/lib/option_mower/robot.rb:103
-                       run at /Users/vb/Dev/ib/option_mower/lib/option_mower/robot.rb:121
-                    (root) at bin/option_mower:46
+
+Done:
+
+2. IB#subscribe should accept regexes.
+
+Ideas for future:
+
+1. Decouple Broker-specific Adapter from universal high-level messaging layer
+(potentially adding other broker adapters)
+
+2. Tweak IB::Message API for speed (use class methods)
 

data/VERSION

@@ -1 +1 @@
-0.5.18
+0.5.19

data/bin/cancel_orders

@@ -21,7 +21,7 @@ ib.subscribe(:Alert, :OpenOrder, :OrderStatus, :OpenOrderEnd) { |msg| puts msg.t
 if ARGV.empty?
   ib.send_message :RequestGlobalCancel
 else
-  ARGV.each { |order_id| ib.send_message :CancelOrder, :id => order_id.to_i }
+  ib.cancel_order *ARGV
 end
 
 ib.send_message :RequestAllOpenOrders

data/bin/list_orders

@@ -26,5 +26,4 @@ end
 
 ib.send_message :RequestAllOpenOrders
 
-puts "\n******** Press <Enter> to cancel... *********\n\n"
-STDIN.gets
+sleep 2

data/lib/ib-ruby/connection.rb

@@ -92,7 +92,7 @@ module IB
     alias open connect # Legacy alias
 
     def disconnect
-      if @server[:reader]
+      if reader_running?
         @reader_running = false
         @server[:reader].join
       end
@@ -109,6 +109,10 @@ module IB
       @connected
     end
 
+    def reader_running?
+      @reader_running && @server[:reader] && @server[:reader].alive?
+    end
+
     # Subscribe Proc or block to specific type(s) of incoming message events.
     # Listener will be called later with received message instance as its argument.
     # Returns subscriber id to allow unsubscribing
@@ -119,18 +123,21 @@ module IB
       raise ArgumentError.new "Need subscriber proc or block" unless subscriber.is_a? Proc
 
       args.each do |what|
-        message_class =
+        message_classes =
             case
               when what.is_a?(Class) && what < Messages::Incoming::AbstractMessage
                 what
               when what.is_a?(Symbol)
                 Messages::Incoming.const_get(what)
+              when what.is_a?(Regexp)
+                Messages::Incoming::Table.values.find_all { |klass| klass.to_s =~ what }
               else
                 raise ArgumentError.new "#{what} must represent incoming IB message class"
             end
-
-        subscribers[message_class][subscriber_id] = subscriber
-        # TODO: Fix: RuntimeError: can't add a new key into hash during iteration
+        [message_classes].flatten.each do |message_class|
+          # TODO: Fix: RuntimeError: can't add a new key into hash during iteration
+          subscribers[message_class][subscriber_id] = subscriber
+        end
       end
       subscriber_id
     end
@@ -190,14 +197,24 @@ module IB
     end
 
     # Place Order (convenience wrapper for message :PlaceOrder).
-    # Returns TWS id of a placed order.
+    # Assigns client_id and order_id fields to placed order.
+    # Returns order_id.
     def place_order order, contract
-      @next_order_id += 1
       send_message :PlaceOrder,
                    :order => order,
                    :contract => contract,
                    :id => @next_order_id
-      @next_order_id
+      order.client_id = @server[:client_id]
+      order.order_id = @next_order_id
+      @next_order_id += 1
+      order.order_id
+    end
+
+    # Cancel Orders by their id (convenience wrapper for message :CancelOrder).
+    def cancel_order *order_ids
+      order_ids.each do |order_id|
+        send_message :CancelOrder, :id => order_id.to_i
+      end
     end
 
     # Start reader thread that continuously reads messages from server in background.

data/lib/ib-ruby/constants.rb

@@ -38,6 +38,7 @@ module IB
                     :index => "IND",
                     :futures_option => "FOP",
                     :forex => "CASH",
+                    :bond => "BOND",
                     :bag => "BAG"}
 
   ### These values are typically received from TWS in incoming messages

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

@@ -534,9 +534,9 @@ module IB
           @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 = @socket.read_decimal_max       # May be nil!
+          @order.min_commission = @socket.read_decimal_max   # May be nil!
+          @order.max_commission = @socket.read_decimal_max   # May be nil!
           @order.commission_currency = @socket.read_string
           @order.warning_text = @socket.read_string
         end
@@ -568,8 +568,8 @@ module IB
                    [:market_price, :decimal],
                    [:market_value, :decimal],
                    [:average_cost, :decimal],
-                   [:unrealized_pnl, :decimal], # TODO: Check for Double.MAX_VALUE
-                   [:realized_pnl, :decimal], # TODO: Check for Double.MAX_VALUE
+                   [:unrealized_pnl, :decimal_max], # May be nil!
+                   [:realized_pnl, :decimal_max], #   May be nil!
                    [:account_name, :string]
         end
 

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

@@ -277,19 +277,12 @@ module IB
       #                             '30 min'
       #                             '1 hour'
       #                             '1 day'
-      #          :what_to_show => Symbol:
-      # Determines the nature of data being extracted. Valid values:
-      #one of :trades, :midpoint, :bid, or :ask -
-      #    � TRADES
-      #� MIDPOINT
-      #� BID
-      #� ASK
-      #� BID_ASK
-      #� HISTORICAL_VOLATILITY
-      #� OPTION_IMPLIED_VOLATILITY
-      #� OPTION_VOLUME
-      #� OPTION_OPEN_INTEREST
-      #                           converts to "TRADES," "MIDPOINT," "BID," or "ASK."
+      #          :what_to_show => Symbol: Determines the nature of data being extracted.
+      #                           Valid values:
+      #                             :trades, :midpoint, :bid, :ask, :bid_ask,
+      #                             :historical_volatility, :option_implied_volatility,
+      #                             :option_volume, :option_open_interest
+      #                              - converts to "TRADES," "MIDPOINT," "BID," etc...
       #          :use_rth => int: 0 - all data available during the time span requested
       #                     is returned, even data bars covering time intervals where the
       #                     market in question was illiquid. 1 - only data within the
@@ -362,8 +355,12 @@ module IB
       #           :contract => Contract ,
       #           :bar_size => int/Symbol? Currently only 5 second bars (2?) are supported,
       #                        if any other value is used, an exception will be thrown.,
-      #          :what_to_show => Symbol: one of :trades, :midpoint, :bid, or :ask -
-      #                           converts to "TRADES," "MIDPOINT," "BID," or "ASK."
+      #          :what_to_show => Symbol: Determines the nature of data being extracted.
+      #                           Valid values:
+      #                             :trades, :midpoint, :bid, :ask, :bid_ask,
+      #                             :historical_volatility, :option_implied_volatility,
+      #                             :option_volume, :option_open_interest
+      #                              - converts to "TRADES," "MIDPOINT," "BID," etc...
       #          :use_rth => int: 0 - all data available during the time span requested
       #                     is returned, even data bars covering time intervals where the
       #                     market in question was illiquid. 1 - only data within the
@@ -374,20 +371,23 @@ module IB
         @message_id = 50
 
         def encode
-          if @data.has_key?(:what_to_show) && @data[:what_to_show].is_a?(String)
-            @data[:what_to_show] = @data[:what_to_show].downcase.to_sym
+          data_type = DATA_TYPES[@data[:what_to_show]] || @data[:what_to_show]
+          unless  DATA_TYPES.values.include?(data_type)
+            raise ArgumentError(":what_to_show must be one of #{DATA_TYPES}.")
           end
 
-          raise ArgumentError(":what_to_show must be one of #{DATA_TYPES}.") unless DATA_TYPES.include?(@data[:what_to_show])
-          raise ArgumentError(":bar_size must be one of #{BAR_SIZES}.") unless BAR_SIZES.include?(@data[:bar_size])
+          bar_size = BAR_SIZES[@data[:bar_size]] || @data[:bar_size]
+          unless  BAR_SIZES.values.include?(bar_size)
+            raise ArgumentError(":bar_size must be one of #{BAR_SIZES}.")
+          end
 
           contract = @data[:contract].is_a?(Models::Contract) ?
               @data[:contract] : Models::Contract.from_ib_ruby(@data[:contract])
 
           [super,
            contract.serialize_long,
-           @data[:bar_size],
-           @data[:what_to_show].to_s.upcase,
+           bar_size,
+           data_type.to_s.upcase,
            @data[:use_rth]]
         end
       end # RequestRealTimeBars

data/lib/ib-ruby/models/contract.rb

@@ -1,7 +1,5 @@
 require 'ib-ruby/models/model'
 
-# TODO: Implement equals() according to the criteria in IB's Java client.
-
 module IB
   module Models
     class Contract < Model
@@ -242,6 +240,8 @@ module IB
         end
       end
 
+      ### Leg-related methods (better suited to BAG subclass?)
+
       # Some messages send open_close too, some don't. WTF.
       # "BAG" is not really a contract, but a combination (combo) of securities.
       # AKA basket or bag of securities. Individual securities in combo are represented
@@ -252,6 +252,56 @@ module IB
         [legs.size, legs.map { |leg| leg.serialize *fields }]
       end
 
+      # Check if two Contracts have same legs (maybe in different order)
+      def same_legs? other
+        legs == other.legs ||
+            legs_description.split(',').sort == other.legs_description.split(',').sort
+      end
+
+      # IB-equivalent leg description. TODO: Rewrite with self[:legs_description]
+      def legs_description
+        @legs_description || legs.map { |leg| "#{leg.con_id}|#{leg.weight}" }.join(',')
+      end
+
+      # Contract comparison
+      def == other
+        # Different sec_id_type
+        return false if sec_id_type && other.sec_id_type && sec_id_type != other.sec_id_type
+
+        # Different sec_id
+        return false if sec_id && other.sec_id && sec_id != other.sec_id
+
+        # Different under_comp
+        return false if under_comp && other.under_comp && under_comp != other.under_comp
+
+        # Different legs
+        return false unless same_legs? other
+
+        # Same con_id for all Bags, but unknown for new Contracts...
+        # 0 or nil con_id  matches any
+        return false if con_id != 0 && other.con_id != 0 &&
+            con_id && other.con_id && con_id != other.con_id
+
+        # SMART or nil exchange matches any
+        return false if exchange != 'SMART' && other.exchange != 'SMART' &&
+            exchange && other.exchange && exchange != other.exchange
+
+        # Comparison for Bonds and Options
+        if sec_type == SECURITY_TYPES[:bond] || sec_type == SECURITY_TYPES[:option]
+          return false unless right == other.right &&
+              strike == other.strike &&
+              expiry == other.expiry &&
+              multiplier == other.multiplier
+        end
+
+        # All else being equal...
+        sec_type == other.sec_type &&
+            symbol == other.symbol &&
+            currency == other.currency
+      end
+
+
+      # TODO: Remove @summary into reader method
       def to_s
         "<Contract: " + instance_variables.map do |key|
           unless key == :@summary

data/lib/ib-ruby/models/model.rb

@@ -14,6 +14,16 @@ module IB
 
         opts.keys.each { |key| self.send("#{key}=", opts[key]) }
       end
+
+      # ActiveModel-style attribute accessors
+      def [] key
+        self.send key
+      end
+
+      def []= key, val
+        self.send "#{key}=", val
+      end
+
     end # Model
   end # module Models
 end # module IB

data/lib/ib-ruby/models/order.rb

@@ -46,7 +46,7 @@ module IB
       Max_Value = 99999999
 
       # Main order fields
-      attr_accessor :id, #        int: m_orderId? The id for this order.
+      attr_accessor :id, #        int: m_orderId? Order id associated with client (volatile).
                     :client_id, # int: The id of the client that placed this order.
                     :perm_id, #   int: TWS id used to identify orders, remains
                     #                  the same over TWS sessions.
@@ -304,6 +304,9 @@ module IB
 
                     :warning_text # String: Displays a warning message if warranted.
 
+      alias order_id id # TODO: Change due to ActiveRecord specifics
+      alias order_id= id= # TODO: Change due to ActiveRecord specifics
+
       # IB uses weird String with Java Double.MAX_VALUE to indicate no value here
       def init_margin= val
         @init_margin = val == "1.7976931348623157E308" ? nil : val
@@ -321,6 +324,10 @@ module IB
 
       def initialize opts = {}
         # Assign defaults first!
+        @aux_price = 0.0
+        @parent_id=0
+        @tif='DAY'
+
         @outside_rth = false
         @open_close = "O"
         @origin = Origin_Customer
@@ -429,6 +436,31 @@ module IB
          what_if]
       end
 
+      # Order comparison
+      def == other
+        perm_id == other.perm_id ||
+            order_id == other.order_id && #   ((p __LINE__)||true) &&
+                client_id == other.client_id &&
+                parent_id == other.parent_id &&
+                tif == other.tif &&
+                action == other.action &&
+                order_type == other.order_type &&
+                total_quantity == other.total_quantity &&
+                limit_price == other.limit_price &&
+                aux_price == other.aux_price &&
+                outside_rth == other.outside_rth &&
+                origin == other.origin &&
+                transmit == other.transmit &&
+                designated_location == other.designated_location &&
+                exempt_code == other.exempt_code &&
+                what_if == other.what_if &&
+                not_held == other.not_held &&
+                algo_strategy == other.algo_strategy &&
+                algo_params == other.algo_params
+
+        # TODO: || compare all attributes!
+      end
+
       def serialize_algo
         if algo_strategy.nil? || algo_strategy.empty?
           ['']
@@ -448,7 +480,7 @@ module IB
 
       def to_human
         "<Order: #{order_type} #{tif} #{action} #{total_quantity} #{status} #{limit_price}" +
-            " id: #{id}/#{perm_id} from: #{client_id}/#{account}>"
+            " id: #{order_id}/#{perm_id} from: #{client_id}/#{account}>"
       end
     end # class Order
   end # module Models

data/lib/ib-ruby/socket.rb

@@ -45,7 +45,7 @@ module IB
       # Floating-point numbers shouldn't be used to store money...
       # ...but BigDecimals are too unwieldy to use in this case... maybe later
       #  str.nil? || str.empty? ? nil : str.to_d
-      str.nil? || str.empty? ? nil : str.to_f
+      str.to_f unless str.nil? || str.empty? || str.to_f > 1.797 * 10.0 ** 306
     end
   end # class IBSocket
 

data/spec/ib-ruby/connection_spec.rb

@@ -16,10 +16,10 @@ describe IB::Connection do
 
       it { should_not be_nil }
       it { should be_connected }
-      its(:server) {should be_a Hash}
-      its(:server) {should have_key :reader}
-      its(:subscribers) {should have_at_least(1).item} # :NextValidID and empty Hashes
-      its(:next_order_id) {should be_a Fixnum} # Not before :NextValidID arrives
+      its(:server) { should be_a Hash }
+      its(:server) { should have_key :reader }
+      its(:subscribers) { should have_at_least(1).item } # :NextValidID and empty Hashes
+      its(:next_order_id) { should be_a Fixnum } # Not before :NextValidID arrives
     end
 
     describe '#send_message', 'sending messages' do
@@ -46,24 +46,31 @@ describe IB::Connection do
     context "subscriptions" do
 
       it '#subscribe, adds(multiple) subscribers' do
-        @subscriber_id = @ib.subscribe(IB::Messages::Incoming::Alert, :AccountValue) do
+        @subscriber_id = @ib.subscribe(IB::Messages::Incoming::Alert, :OpenOrder, /Value/) do
         end
 
         @subscriber_id.should be_a Fixnum
 
-        @ib.subscribers.should have_key(IB::Messages::Incoming::Alert)
-        @ib.subscribers.should have_key(IB::Messages::Incoming::AccountValue)
-        @ib.subscribers[IB::Messages::Incoming::Alert].should have_key(@subscriber_id)
-        @ib.subscribers[IB::Messages::Incoming::AccountValue].should have_key(@subscriber_id)
-        @ib.subscribers[IB::Messages::Incoming::Alert][@subscriber_id].should be_a Proc
-        @ib.subscribers[IB::Messages::Incoming::AccountValue][@subscriber_id].should be_a Proc
+        [IB::Messages::Incoming::Alert,
+         IB::Messages::Incoming::OpenOrder,
+         IB::Messages::Incoming::AccountValue,
+         IB::Messages::Incoming::PortfolioValue
+        ].each do |message_class|
+          @ib.subscribers.should have_key(message_class)
+          @ib.subscribers[message_class].should have_key(@subscriber_id)
+        end
       end
 
       it '#unsubscribe, removes all subscribers at this id' do
         @ib.unsubscribe(@subscriber_id)
 
-        @ib.subscribers[IB::Messages::Incoming::Alert].should_not have_key(@subscriber_id)
-        @ib.subscribers[IB::Messages::Incoming::AccountValue].should_not have_key(@subscriber_id)
+        [IB::Messages::Incoming::Alert,
+         IB::Messages::Incoming::OpenOrder,
+         IB::Messages::Incoming::AccountValue,
+         IB::Messages::Incoming::PortfolioValue
+        ].each do |message_class|
+          @ib.subscribers[message_class].should_not have_key(@subscriber_id)
+        end
       end
 
     end # subscriptions
@@ -77,10 +84,10 @@ describe IB::Connection do
 
       it { should_not be_nil }
       it { should_not be_connected }
-      its(:server) {should be_a Hash}
-      its(:server) {should_not have_key :reader}
-      its(:subscribers) {should be_empty}
-      its(:next_order_id) {should be_nil}
+      its(:server) { should be_a Hash }
+      its(:server) { should_not have_key :reader }
+      its(:subscribers) { should be_empty }
+      its(:next_order_id) { should be_nil }
     end
 
   end # not connected

data/spec/ib-ruby/messages/account_info_spec.rb

@@ -24,7 +24,7 @@ describe IB::Messages do
 
       @ib.send_message :RequestAccountData, :subscribe => true
 
-      wait_for(5) { not @received[:AccountDownloadEnd].empty? }
+      wait_for(5) { received? :AccountDownloadEnd }
     end
 
     after(:all) do
@@ -35,7 +35,7 @@ describe IB::Messages do
     context "received :Alert message " do
       subject { @received[:Alert].first }
 
-      it { should_not be_nil }
+      it { should be_an IB::Messages::Incoming::Alert }
       it { should be_warning }
       it { should_not be_error }
       its(:code) { should be_a Integer }
@@ -47,7 +47,7 @@ describe IB::Messages do
       subject { @received[:AccountValue].first }
 
       #ps
-      it { should_not be_nil }
+      it { should be_an IB::Messages::Incoming::AccountValue }
       its(:data) { should be_a Hash }
       its(:account_name) { should =~ /\w\d/ }
       its(:key) { should be_a String }
@@ -59,7 +59,7 @@ describe IB::Messages do
     context "received :AccountDownloadEnd message" do
       subject { @received[:AccountDownloadEnd].first }
 
-      it { should_not be_nil }
+      it { should be_an IB::Messages::Incoming::AccountDownloadEnd }
       its(:data) { should be_a Hash }
       its(:account_name) { should =~ /\w\d/ }
       its(:to_human) { should =~ /AccountDownloadEnd/ }
@@ -68,7 +68,7 @@ describe IB::Messages do
     context "received :PortfolioValue message" do
       subject { @received[:PortfolioValue].first }
 
-      it { should_not be_nil }
+      it { should be_an IB::Messages::Incoming::PortfolioValue }
       its(:contract) { should be_a IB::Models::Contract }
       its(:data) { should be_a Hash }
       its(:position) { should be_a Integer }

data/spec/ib-ruby/messages/just_connect_spec.rb

@@ -6,17 +6,19 @@ describe IB::Messages do
 
     before(:all) do
       connect_and_receive :NextValidID, :OpenOrderEnd, :Alert
-      wait_for(2) { not @received[:OpenOrderEnd].empty? }
+      wait_for(2) { received? :OpenOrderEnd }
     end
 
     after(:all) { close_connection }
 
     it 'receives :NextValidID message' do
       @received[:NextValidID].should_not be_empty
+      @received[:NextValidID].first.should be_an IB::Messages::Incoming::NextValidID
     end
 
     it 'receives :OpenOrderEnd message' do
       @received[:OpenOrderEnd].should_not be_empty
+      @received[:OpenOrderEnd].first.should be_an IB::Messages::Incoming::OpenOrderEnd
     end
 
     it 'logs connection notification' do

data/spec/ib-ruby/messages/market_data_spec.rb

@@ -23,7 +23,7 @@ describe IB::Messages do
       context "received :Alert message " do
         subject { @received[:Alert].first }
 
-        it { should_not be_nil }
+        it { should be_an IB::Messages::Incoming::Alert }
         it { should be_warning }
         it { should_not be_error }
         its(:code) { should be_an Integer }
@@ -34,7 +34,7 @@ describe IB::Messages do
       context "received :TickPrice message" do
         subject { @received[:TickPrice].first }
 
-        it { should_not be_nil }
+        it { should be_an IB::Messages::Incoming::TickPrice}
         its(:tick_type) { should be_an Integer }
         its(:type) { should be_a Symbol }
         its(:price) { should be_a Float }
@@ -47,7 +47,7 @@ describe IB::Messages do
       context "received :TickSize message" do
         subject { @received[:TickSize].first }
 
-        it { should_not be_nil }
+        it { should be_an IB::Messages::Incoming::TickSize }
         its(:type) { should_not be_nil }
         its(:data) { should be_a Hash }
         its(:tick_type) { should be_an Integer }