ib-ruby 0.5.19 → 0.5.21

data/spec/integration/option_data_spec.rb

@@ -0,0 +1,96 @@
+require 'integration_helper'
+
+def wait_for_all_ticks
+  wait_for(5) do
+    received?(:TickPrice) && received?(:TickSize) &&
+        received?(:TickOption) && received?(:TickString)
+  end
+end
+
+describe 'Request Market Data for Options', :if => :us_trading_hours,
+         :connected => true, :integration => true do
+
+  before(:all) do
+    verify_account
+    connect_and_receive :Alert, :TickPrice, :TickSize, :TickOption, :TickString
+
+    @ib.send_message :RequestMarketData, :id => 456,
+                     :contract => IB::Symbols::Options[:aapl500]
+    wait_for_all_ticks
+  end
+
+  after(:all) do
+    @ib.send_message :CancelMarketData, :id => 456
+    close_connection
+  end
+
+  context "received :Alert message " do
+    subject { @received[:Alert].first }
+
+    it { should be_an IB::Messages::Incoming::Alert }
+    it { should be_warning }
+    it { should_not be_error }
+    its(:code) { should be_an Integer }
+    its(:message) { should =~ /Market data farm connection is OK/ }
+    its(:to_human) { should =~ /TWS Warning/ }
+  end
+
+  context "received :TickPrice message" do
+    subject { @received[:TickPrice].first }
+
+    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 }
+    its(:size) { should be_an Integer }
+    its(:can_auto_execute) { should be_an Integer }
+    its(:data) { should be_a Hash }
+    its(:ticker_id) { should == 456 } # ticker_id
+    its(:to_human) { should =~ /TickPrice/ }
+  end
+
+  context "received :TickSize message" do
+    subject { @received[:TickSize].first }
+
+    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 }
+    its(:type) { should be_a Symbol }
+    its(:size) { should be_an Integer }
+    its(:ticker_id) { should == 456 }
+    its(:to_human) { should =~ /TickSize/ }
+  end
+
+  context "received :TickOption message" do
+    subject { @received[:TickOption].first }
+
+    it { should be_an IB::Messages::Incoming::TickOption }
+    its(:type) { should_not be_nil }
+    its(:data) { should be_a Hash }
+    its(:tick_type) { should be_an Integer }
+    its(:type) { should be_a Symbol }
+    its(:under_price) { should be_a Float }
+    its(:option_price) { should be_a Float }
+    its(:pv_dividend) { should be_a Float }
+    its(:implied_volatility) { should be_a Float }
+    its(:gamma) { should be_a Float }
+    its(:vega) { should be_a Float }
+    its(:theta) { should be_a Float }
+    its(:ticker_id) { should == 456 }
+    its(:to_human) { should =~ /TickOption/ }
+  end
+
+  context "received :TickString message" do
+    subject { @received[:TickString].first }
+
+    it { should be_an IB::Messages::Incoming::TickString }
+    its(:type) { should_not be_nil }
+    its(:data) { should be_a Hash }
+    its(:tick_type) { should be_an Integer }
+    its(:type) { should be_a Symbol }
+    its(:value) { should be_a String }
+    its(:ticker_id) { should == 456 }
+    its(:to_human) { should =~ /TickString/ }
+  end
+end # Request Options Market Data

data/spec/integration/orders/execution_spec.rb

@@ -0,0 +1,135 @@
+require 'integration_helper'
+
+# TODO: RequestExecutions (with filters?)
+
+def wait_for_execution_and_commission
+  wait_for(5) do
+    received?(:ExecutionData) && received?(:OpenOrder) &&
+        @received[:OpenOrder].last.order.commission
+  end
+end
+
+describe "Trades", :connected => true, :integration => true, :slow => true do
+
+  before(:all) { verify_account }
+
+  context "Trading Forex", :if => :forex_trading_hours do
+
+    before(:all) do
+      @contract = IB::Symbols::Forex[:eurusd]
+      connect_and_receive :NextValidID, :Alert, :ExecutionData, :ExecutionDataEnd,
+                          :OpenOrder, :OrderStatus, :OpenOrderEnd
+      wait_for { received? :NextValidID }
+    end
+
+    after(:all) { close_connection }
+
+    context "Placing BUY order" do
+
+      before(:all) do
+        place_order @contract,
+                    :total_quantity => 20000,
+                    :limit_price => 2,
+                    :action => 'BUY'
+
+        wait_for_execution_and_commission
+      end
+
+      after(:all) do
+        clean_connection # Clear logs and message collector
+        @ib.cancel_order @order_id_placed # Just in case...
+      end
+
+      it 'changes client`s next_order_id' do
+        @order_id_placed = @order_id_before
+        @ib.next_order_id.should == @order_id_before + 1
+      end
+
+      it { @received[:OpenOrder].should have_at_least(1).open_order_message }
+      it { @received[:OrderStatus].should have_at_least(1).status_message }
+      it { @received[:ExecutionData].should have_exactly(1).execution_data }
+      it { @received[:ExecutionDataEnd].should be_empty }
+
+      it 'receives filled OpenOrder' do
+        open_order_should_be 'Filled', -1
+        msg = @received[:OpenOrder].last
+        msg.order.commission.should == 2.5
+      end
+
+      it 'receives Execution Data' do
+        execution_should_be 'BUY'
+      end
+
+      it 'receives OrderStatus with fill details' do
+        order_status_should_be 'Filled', -1
+      end
+    end # Placing BUY
+
+    context "Placing SELL order" do
+
+      before(:all) do
+        place_order @contract,
+                    :total_quantity => 20000,
+                    :limit_price => 1,
+                    :action => 'SELL'
+
+        wait_for_execution_and_commission
+      end
+
+      after(:all) do
+        clean_connection # Clear logs and message collector
+        @ib.cancel_order @order_id_placed # Just in case...
+      end
+
+      it 'changes client`s next_order_id' do
+        @order_id_placed = @order_id_before
+        @ib.next_order_id.should == @order_id_before + 1
+      end
+
+      it { @received[:OpenOrder].should have_at_least(1).open_order_message }
+      it { @received[:OrderStatus].should have_at_least(1).status_message }
+      it { @received[:ExecutionData].should have_exactly(1).execution_data }
+
+      it 'receives filled OpenOrder' do
+        open_order_should_be 'Filled', -1
+        msg = @received[:OpenOrder].last
+        msg.order.commission.should == 2.5
+      end
+
+      it 'receives Execution Data' do
+        execution_should_be 'SELL'
+      end
+
+      it 'receives OrderStatus with fill details' do
+        order_status_should_be 'Filled', -1
+      end
+    end # Placing SELL
+
+    context "Request executions" do
+
+      before(:all) do
+        @ib.send_message :RequestExecutions,
+                         :request_id => 456,
+                         :client_id => OPTS[:connection][:client_id],
+                         :time => (Time.now-10).to_ib
+        wait_for(3) { received?(:ExecutionData) }
+      end
+
+      #after(:all) { clean_connection }
+
+      it 'does not receive Order-related messages' do
+        @received[:OpenOrder].should be_empty
+        @received[:OrderStatus].should be_empty
+      end
+
+      it 'receives ExecutionData messages' do
+        @received[:ExecutionData].should have_at_least(1).execution_data
+      end
+
+      it 'receives Execution Data' do
+        execution_should_be 'SELL', :request_id => 456
+      end
+    end # Request executions
+  end # Forex order
+
+end # Trades

data/spec/{ib-ruby/messages → integration/orders}/open_order

@@ -19,211 +19,15 @@
   @socket=nil>,                                    @socket=nil>,                                     @socket=nil>]
 
 
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+#<IB::Models::Order:0xfa0                   #<IB::Models::Order:0x1040                   #<IB::Models::Order:0x10e0
+ @commission=nil,                            @commission=nil,                             @commission=2.5,
+ @commission_currency="USD",                 @commission_currency="USD",                  @commission_currency="USD",
+ @limit_price=1.0,                           @limit_price=1.0,                            @limit_price=1.0,
+ @status="Filled",                           @status="Filled",                            @status="Filled",
+ @tif="DAY",                                 @tif="DAY",                                  @tif="DAY",
+ @total_quantity=20000,                      @total_quantity=20000,                       @total_quantity=20000,
+ @transmit=true,                             @transmit=true,                              @transmit=true,
+ @what_if=false>                             @what_if=false>                              @what_if=false>
 
 [#<IB::Messages::Incoming::OrderStatus:0x127c
   @created_at=Thu Feb 23 12:17:48 +0400 2012,

data/spec/integration/orders/placement_spec.rb

@@ -0,0 +1,150 @@
+require 'integration_helper'
+
+describe "Orders", :connected => true, :integration => true do
+
+  before(:all) { verify_account }
+
+  context "Placing wrong order", :slow => true do
+
+    before(:all) do
+      connect_and_receive :NextValidID, :Alert, :OpenOrder, :OrderStatus
+      wait_for { received? :NextValidID }
+
+      place_order IB::Symbols::Stocks[:wfc],
+                  :limit_price => 9.131313 # Weird non-acceptable price
+      wait_for 1
+    end
+
+    after(:all) { close_connection }
+
+    it 'does not place new Order' do
+      @received[:OpenOrder].should be_empty
+      @received[:OrderStatus].should be_empty
+    end
+
+    it 'still changes client`s next_order_id' do
+      @order_id_placed.should == @order_id_before
+      @ib.next_order_id.should == @order_id_before + 1
+    end
+
+    context 'received :Alert message' do
+      subject { @received[:Alert].last }
+
+      it { should be_an IB::Messages::Incoming::Alert }
+      it { should be_error }
+      its(:code) { should be_a Integer }
+      its(:message) { should =~ /The price does not conform to the minimum price variation for this contract/ }
+    end
+
+  end # Placing wrong order
+
+  context "Off-market stock order" do
+    before(:all) do
+      connect_and_receive :NextValidID, :Alert, :OpenOrder, :OrderStatus, :OpenOrderEnd
+      wait_for { received? :NextValidID }
+
+      place_order IB::Symbols::Stocks[:wfc],
+                  :limit_price => 9.13 # Set acceptable price
+      wait_for { @received[:OpenOrder].size > 2 && @received[:OpenOrder].size > 1 }
+    end
+
+    after(:all) { close_connection }
+
+    context "Placing" do
+      after(:all) { clean_connection } # Clear logs and message collector
+
+      it 'changes client`s next_order_id' do
+        @order_id_placed.should == @order_id_before
+        @ib.next_order_id.should == @order_id_before + 1
+      end
+
+      it { @received[:OpenOrder].should have_at_least(1).open_order_message }
+      it { @received[:OrderStatus].should have_at_least(1).status_message }
+
+      it 'receives confirmation of Order submission' do
+        open_order_should_be /Submitted/ # ()Pre)Submitted
+        order_status_should_be /Submitted/
+      end
+    end # Placing
+
+    context "Retrieving placed orders" do
+      before(:all) do
+        @ib.send_message :RequestAllOpenOrders
+
+        wait_for { received?(:OpenOrderEnd) }
+      end
+
+      after(:all) { clean_connection } # Clear logs and message collector
+
+      it 'does not increase client`s next_order_id further' do
+        @ib.next_order_id.should == @order_id_after
+      end
+
+      it { @received[:OpenOrder].should have_exactly(1).open_order_message }
+      it { @received[:OrderStatus].should have_exactly(1).status_message }
+      it { @received[:OpenOrderEnd].should have_exactly(1).order_end_message }
+      it { @received[:Alert].should have_exactly(0).alert_messages }
+
+      it 'receives OpenOrder and OrderStatus for placed order' do
+        open_order_should_be /Submitted/
+        order_status_should_be /Submitted/
+      end
+    end # Retrieving
+
+    context "Cancelling placed order" do
+      before(:all) do
+        @ib.cancel_order @order_id_placed
+
+        wait_for { received?(:OrderStatus) && received?(:Alert) }
+      end
+
+      after(:all) { clean_connection } # Clear logs and message collector
+
+      it 'does not increase client`s next_order_id further' do
+        @ib.next_order_id.should == @order_id_after
+      end
+
+      it 'does not receive OpenOrder message' do
+        received?(:OpenOrder).should be_false
+      end
+
+      it { @received[:OrderStatus].should have_exactly(1).status_message }
+      it { @received[:Alert].should have_exactly(1).alert_message }
+
+      it 'receives cancellation Order Status' do
+        order_status_should_be /Cancel/ # Cancelled / PendingCancel
+      end
+
+      it 'receives Order cancelled Alert' do
+        alert = @received[:Alert].first
+        alert.should be_an IB::Messages::Incoming::Alert
+        alert.message.should =~ /Order Canceled - reason:/
+      end
+    end # Cancelling
+
+    context "Cancelling wrong order" do
+      before(:all) do
+        @ib.cancel_order rand(99999999)
+
+        wait_for { received?(:Alert) }
+      end
+
+      it { @received[:Alert].should have_exactly(1).alert_message }
+
+      it 'does not increase client`s next_order_id further' do
+        @ib.next_order_id.should == @order_id_after
+      end
+
+      it 'does not receive Order messages' do
+        received?(:OrderStatus).should be_false
+        received?(:OpenOrder).should be_false
+      end
+
+      it 'receives unable to find Order Alert' do
+        alert = @received[:Alert].first
+        alert.should be_an IB::Messages::Incoming::Alert
+        alert.message.should =~ /Can't find order with id =/
+      end
+    end # Cancelling
+  end # Off-market order
+end # Orders

data/spec/integration/orders/valid_ids_spec.rb

@@ -0,0 +1,84 @@
+require 'integration_helper'
+
+shared_examples_for 'Received single id' do
+  subject { @received[:NextValidID].first }
+
+  after(:all) { clean_connection }
+
+  it { @received[:NextValidID].should have_exactly(1).message }
+
+  it 'receives next valid for Order placement' do
+    subject.should be_an IB::Messages::Incoming::NextValidID
+    subject.order_id.should be_an Integer
+    @id[:at_connect] ||= subject.order_id # just assign once
+  end
+
+  it 'logs next valid order id' do
+    should_log /Got next valid order id/
+  end
+end
+
+shared_examples_for 'Received single id after request' do
+  subject { @received[:NextValidID].first }
+
+  it_behaves_like 'Received single id'
+
+  it 'no new id is generated by this request' do
+    subject.order_id.should == @id[:at_connect]
+  end
+
+  it 'does not receive :OpenOrderEnd message' do
+    @received[:OpenOrderEnd].should be_empty
+  end
+
+  it 'does not reconnect to server' do
+    should_not_log /Connected to server/
+  end
+end
+
+describe 'Ids valid for Order placement', :connected => true, :integration => true do
+
+  before(:all) do
+    verify_account
+    connect_and_receive :NextValidID, :OpenOrderEnd, :Alert
+    wait_for(2) { received? :OpenOrderEnd }
+    @id = {} # Moving id between contexts. Feels dirty.
+  end
+
+  after(:all) { close_connection }
+
+  context 'at connect' do
+
+    it_behaves_like 'Received single id'
+
+    it { @received[:OpenOrderEnd].should have_exactly(1).message }
+
+    it 'receives also :OpenOrderEnd message' do
+      @received[:OpenOrderEnd].first.should be_an IB::Messages::Incoming::OpenOrderEnd
+    end
+
+    it 'logs connection notification' do
+      should_log /Connected to server, version: 53, connection time/
+    end
+  end # at connect
+
+  context 'Requesting valid order id' do
+    before(:all) do
+      @ib.send_message :RequestIds
+      wait_for 1 # sec
+    end
+
+    it_behaves_like 'Received single id after request'
+  end # Requesting valid order ids
+
+  context 'Requested number of valid ids is just silently ignored by TWS' do
+    before(:all) do
+      @ib.send_message :RequestIds, :number => 5
+      wait_for 1 # sec
+    end
+
+    it_behaves_like 'Received single id after request'
+  end # number of ids is silently ignored
+
+end # Ids valid for Order placement
+