ib-ruby 0.5.19 → 0.5.21

data/HISTORY

@@ -121,3 +121,7 @@
 == 0.5.19 / 2012-02-23
 
 * Contract
+
+== 0.5.21 / 2012-03-06
+
+* Fully tested with integration spec suite

data/TODO

@@ -2,8 +2,6 @@
 
 Plan:
 
-1. Create integration tests (Brokerton?)
-
 2. Make ActiveModel-like attributes Hash for easy attributes updating
 
 3. IB#send_message method should accept block, thus compressing subscribe/send_message
@@ -16,7 +14,6 @@ http://finance.groups.yahoo.com/group/TWSAPI/message/25413
 
 6. Compatibility check for new TWS v.966
 
-
 Done:
 
 2. IB#subscribe should accept regexes.

data/VERSION

@@ -1 +1 @@
-0.5.19
+0.5.21

data/bin/contract_details

@@ -13,9 +13,9 @@ require 'ib-ruby'
 # Definition of what we want market data for.  We have to keep track of what ticker id
 # corresponds to what symbol ourselves, because the ticks don't include any other
 # identifying information. The choice of ticker ids is, as far as I can tell, arbitrary.
-@market = {123 => IB::Symbols::Stocks[:wfc],
-           125 => IB::Symbols::Options[:wfc20],
-           129 => IB::Symbols::Stocks[:wrong]}
+@market = {122 => IB::Symbols::Stocks[:wfc],
+           133 => IB::Symbols::Options[:wfc20],
+           144 => IB::Symbols::Stocks[:wrong]}
 
 # Connect to IB TWS.
 ib = IB::Connection.new

data/bin/depth_of_market

@@ -27,7 +27,7 @@ ib.subscribe(:Alert) { |msg| puts msg.to_human }
 
 # Subscribe to MarketDepth events.
 ib.subscribe(:MarketDepth) do |msg|
-  puts @market[msg.data[:id]].description + ": " + msg.to_human
+  puts @market[msg.request_id].description + ": " + msg.to_human
 end
 
 # Now we actually request L2 market data for the symbols we're interested in.

data/bin/historic_data

@@ -31,12 +31,8 @@ ib.subscribe(:Alert) { |msg| puts msg.to_human }
 # Note that we have to look the ticker id of each incoming message
 # up in local memory to figure out what it's for.
 ib.subscribe(IB::Messages::Incoming::HistoricalData) do |msg|
-  puts @market[msg.data[:id]].description + ": " +
-                  msg.data[:count].to_s + " items:"
-
-  msg.data[:results].each do |datum|
-    puts "  " + datum.to_s
-  end
+  puts @market[msg.request_id].description + ": #{msg.count} items:"
+  msg.results.each { |entry| puts "  #{entry}" }
   @last_msg_time = Time.now.to_i
 end
 
@@ -44,7 +40,7 @@ end
 # respond with a HistoricalData message, which will be processed by the code above.
 @market.each_pair do |id, contract|
   ib.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
-                      :id => id,
+                      :request_id => id,
                       :contract => contract,
                       :end_date_time => Time.now.to_ib,
                       :duration => '2 D', #    ?
@@ -54,4 +50,5 @@ end
                       :format_date => 1)
 end
 
-sleep 5 # Wait for IB to respond to our request
+# Wait for IB to respond to our request
+sleep 0.1 until @last_msg_time && @last_msg_time < Time.now.to_i + 0.5

data/bin/market_data

@@ -28,12 +28,12 @@ ib.subscribe(:Alert) { |msg| puts msg.to_human }
 # argument. In this case, we just print out the tick. NB: The description field is not
 # from IB TWS. It is defined locally in forex.rb, and is just arbitrary text.
 ib.subscribe(:TickPrice, :TickSize) do |msg|
-  puts @market[msg.data[:id]].description + ": " + msg.to_human
+  puts @market[msg.ticker_id].description + ": " + msg.to_human
 end
 
 # Now we actually request market data for the symbols we're interested in.
 @market.each_pair do |id, contract|
-  ib.send_message :RequestMarketData, :id => id, :contract => contract
+  ib.send_message :RequestMarketData, :ticker_id => id, :contract => contract
 end
 
 puts "\nSubscribed to market data"

data/bin/option_data

@@ -31,12 +31,12 @@ ib.subscribe(:Alert) { |msg| puts msg.to_human }
 # (N.B. The description field is not from IB TWS. It is defined
 #  locally in forex.rb, and is just arbitrary text.)
 ib.subscribe(:TickPrice, :TickSize, :TickOption, :TickString) do |msg|
-  puts @market[msg.data[:id]].description + ": " + msg.to_human
+  puts @market[msg.ticker_id].description + ": " + msg.to_human
 end
 
 # Now we actually request market data for the symbols we're interested in.
 @market.each_pair do |id, contract|
-  ib.send_message :RequestMarketData, :id => id, :contract => contract
+  ib.send_message :RequestMarketData, :ticker_id => id, :contract => contract
 end
 
 puts "\nSubscribed to market data"

data/lib/ib-ruby/connection.rb

@@ -1,14 +1,6 @@
 require 'ib-ruby/socket'
 require 'ib-ruby/logger'
 
-# Add method to_ib to render datetime in IB format (zero padded "yyyymmdd HH:mm:ss")
-class Time
-  def to_ib
-    "#{self.year}#{sprintf("%02d", self.month)}#{sprintf("%02d", self.day)} " +
-        "#{sprintf("%02d", self.hour)}:#{sprintf("%02d", self.min)}:#{sprintf("%02d", self.sec)}"
-  end
-end # Time
-
 module IB
   # Encapsulates API connection to TWS or Gateway
   class Connection
@@ -61,7 +53,7 @@ module IB
 
       # TWS always sends NextValidID message at connect - save this id
       self.subscribe(:NextValidID) do |msg|
-        @next_order_id = msg.data[:id]
+        @next_order_id = msg.order_id
         log.info "Got next valid order id: #{@next_order_id}."
       end
 

data/lib/ib-ruby/extensions.rb

@@ -0,0 +1,8 @@
+# Add method to_ib to render datetime in IB format (zero padded "yyyymmdd HH:mm:ss")
+class Time
+  def to_ib
+    "#{year}#{sprintf("%02d", month)}#{sprintf("%02d", day)} " +
+        "#{sprintf("%02d", hour)}:#{sprintf("%02d", min)}:#{sprintf("%02d", sec)}"
+  end
+end # Time
+

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

@@ -0,0 +1,89 @@
+# 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
+
+    # This is just a basic generic message from the server.
+    #
+    # Class variables:
+    # @message_id - int: message id.
+    # @message_type - Symbol: message type (e.g. :OpenOrderEnd)
+    #
+    # Instance attributes (at least):
+    # version - int: current version of message format.
+    # @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
+
+      # Class methods
+      def self.data_map # Data keys (with types?)
+        @data_map ||= []
+      end
+
+      def self.version # Per class, minimum message version supported
+        @version || 1
+      end
+
+      def self.message_id
+        @message_id
+      end
+
+      # Returns message type Symbol (e.g. :OpenOrderEnd)
+      def self.message_type
+        to_s.split(/::/).last.to_sym
+      end
+
+      def message_id
+        self.class.message_id
+      end
+
+      def message_type
+        self.class.message_type
+      end
+
+      attr_accessor :created_at, :data
+
+      def to_human
+        "<#{self.message_type}:" +
+            @data.map do |key, value|
+              unless [:version].include?(key)
+                " #{key} #{ value.is_a?(Hash) ? value.inspect : value}"
+              end
+            end.compact.join(',') + " >"
+      end
+
+    end # class AbstractMessage
+
+    # Macro that defines short message classes using a one-liner
+    #   id_version is either a [message_id, version] pair or just message_id (version 1)
+    #   data_map contains instructions for processing @data Hash. Format:
+    #      Incoming messages: [field, type] or [group, field, type]
+    #      Outgoing messages: [field, default] or [field, method, [args]]
+    def def_message id_version, *data_map, &to_human
+      base = data_map.first.is_a?(Class) ? data_map.shift : self::AbstractMessage
+      Class.new(base) do
+        @message_id, @version = id_version
+        @version ||= 1
+        @data_map = data_map
+
+        @data_map.each do |(name, _, type_args)|
+          if type_args.is_a?(Symbol) # This is Incoming with [group, field, type]
+            attr_reader name
+          else
+            define_method(name) { @data[name] }
+          end
+        end
+
+        define_method(:to_human, &to_human) if to_human
+      end
+    end
+
+  end # module Messages
+end # module IB