ib-ruby 0.5.19 → 0.5.21

data/spec/integration_helper.rb

@@ -0,0 +1,110 @@
+require 'message_helper'
+
+# Make sure integration tests are only run against the pre-configured PAPER ACCOUNT
+def verify_account
+  return OPTS[:account_verified] if OPTS[:account_verified]
+
+  puts
+  puts 'WARNING: MAKE SURE TO RUN INTEGRATION TESTS AGAINST IB PAPER ACCOUNT ONLY!'
+  puts 'WARNING: FINANCIAL LOSSES MAY RESULT IF YOU RUN TESTS WITH REAL IB ACCOUNT!'
+  puts 'WARNING: YOU HAVE BEEN WARNED!'
+  puts
+  puts 'Configure your connection to IB PAPER ACCOUNT in spec/spec_helper.rb'
+  puts
+
+  account = OPTS[:connection][:account] || OPTS[:connection][:account_name]
+  raise "Please configure IB PAPER ACCOUNT in spec/spec_helper.rb" unless account
+
+  connect_and_receive :AccountValue
+  @ib.send_message :RequestAccountData, :subscribe => true
+
+  wait_for { received? :AccountValue }
+  raise "Unable to verify IB PAPER ACCOUNT" unless received? :AccountValue
+
+  received = @received[:AccountValue].first.account_name
+  raise "Connected to wrong account #{received}, expected #{account}" if account != received
+
+  close_connection
+  OPTS[:account_verified] = true
+end
+
+### Helpers for placing and verifying orders
+
+def place_order contract, opts
+  @contract = contract
+  @order = IB::Models::Order.new({:total_quantity => 100,
+                                  :limit_price => 9.13,
+                                  :action => 'BUY',
+                                  :order_type => 'LMT'}.merge(opts))
+  @order_id_before = @ib.next_order_id
+  @order_id_placed = @ib.place_order @order, @contract
+  @order_id_after = @ib.next_order_id
+end
+
+def check_status item, status
+  case status
+    when Regexp
+      item.status.should =~ status
+    when String
+      item.status.should == status
+  end
+end
+
+def order_status_should_be status, index=0
+  msg = @received[:OrderStatus][index]
+  msg.should be_an IB::Messages::Incoming::OrderStatus
+  msg.order_id.should == @order_id_placed
+  msg.perm_id.should be_an Integer
+  msg.client_id.should == OPTS[:connection][:client_id]
+  msg.parent_id.should == 0
+  msg.why_held.should == ''
+  check_status msg, status
+
+  if @contract == IB::Symbols::Forex[:eurusd]
+    msg.filled.should == 20000
+    msg.remaining.should == 0
+    msg.average_fill_price.should be > 1
+    msg.average_fill_price.should be < 2
+    msg.last_fill_price.should == msg.average_fill_price
+  else
+    msg.filled.should == 0
+    msg.remaining.should == @order.total_quantity
+    msg.average_fill_price.should == 0
+    msg.last_fill_price.should == 0
+  end
+end
+
+def open_order_should_be status, index=0
+  msg = @received[:OpenOrder][index]
+  msg.should be_an IB::Messages::Incoming::OpenOrder
+  msg.order.should == @order
+  msg.contract.should == @contract
+  msg.order.order_id.should == @order_id_placed
+  check_status msg.order, status
+end
+
+def execution_should_be side, opts={}
+  msg = @received[:ExecutionData][opts[:index] || -1]
+  msg.request_id.should == (opts[:request_id] || -1)
+  msg.contract.should == @contract
+
+  exec = msg.execution
+  exec.perm_id.should be_an Integer
+  exec.perm_id.should == @received[:OpenOrder].last.order.perm_id if @received[:OpenOrder].last
+  exec.client_id.should == OPTS[:connection][:client_id]
+  exec.order_id.should be_an Integer
+  exec.order_id.should == @order.order_id if @order
+  exec.exec_id.should be_a String
+  exec.time.should =~ /\d\d:\d\d:\d\d/
+  exec.account_name.should == OPTS[:connection][:account_name]
+  exec.exchange.should == 'IDEALPRO'
+  exec.side.to_s.should == side
+  exec.shares.should == 20000
+  exec.cumulative_quantity.should == 20000
+  exec.price.should be > 1
+  exec.price.should be < 2
+  exec.price.should == exec.average_price
+  exec.liquidation.should == 0
+end
+
+

data/spec/message_helper.rb

@@ -2,11 +2,6 @@ require 'spec_helper'
 require 'thread'
 require 'stringio'
 
-# Given an IB message, retuns its type Symbol (e.g. :OpenOrderEnd)
-def message_type msg
-  msg.class.to_s.split(/::/).last.to_sym
-end
-
 def print_subject
   it 'prints out message' do
     p subject
@@ -50,42 +45,42 @@ end
 def connect_and_receive *message_types
 
   # Start disconnected (we need to set up catch-all subscriber first)
-  @ib = IB::Connection.new CONNECTION_OPTS.merge(:connect => false,
-                                                 :reader => false,
-                                                 :logger => mock_logger)
+  @ib = IB::Connection.new OPTS[:connection].merge(:connect => false,
+                                                   :reader => false,
+                                                   :logger => mock_logger)
 
   # Hash of received messages, keyed by message type
   @received = Hash.new { |hash, key| hash[key] = Array.new }
 
   # Catch all messages of given types and put them inside @received Hash
-  @ib.subscribe(*message_types) { |msg| @received[message_type(msg)] << msg }
+  @ib.subscribe(*message_types) { |msg| @received[msg.message_type] << msg }
 
-  @ib.connect
+  @ib.connect   # We only connect after everything is subscribed
   @ib.start_reader
 end
 
-# Clear logs and message collector. Output may be silenced
+# Clear logs and message collector. Output may be silenced.
 def clean_connection
-  unless SILENT
-    puts @received.map { |type, msg| [" #{type}:", msg.map(&:to_human)] }
-    puts " Logs:"
-    puts log_entries
+  unless OPTS[:silent]
+    puts @received.map { |type, msg| [" #{type}:", msg.map(&:to_human)] } if @received
+    puts " Logs:", log_entries if @stdout
   end
   @stdout.string = '' if @stdout
   @received.clear if @received
 end
 
 def close_connection
+  @ib.cancel_order @order_id_placed if @ib && @order_id_placed
   @ib.close if @ib
   clean_connection
 end
 
 #noinspection RubyArgCount
-def wait_for time = 1, &condition
+def wait_for time = 2, &condition
   timeout = Time.now + time
   sleep 0.1 until timeout < Time.now || condition && condition.call
 end
 
-def received? symbol
-  not @received[symbol].empty?
+def received? symbol, times=1
+  @received[symbol].size >= times
 end

data/spec/spec_helper.rb

@@ -2,7 +2,20 @@ require 'rspec'
 require 'ib-ruby'
 
 RSpec.configure do |config|
-  # config.exclusion_filter = { :slow => true }
+  config.exclusion_filter = {
+      :if => proc do |condition|
+        t = Time.now.utc
+        case condition # NB: excludes if condition is false!
+          when :us_trading_hours
+            # 09:30 - 16:00 (ET) Mon-Fri 14:30 - 21:00 (UTC)
+            !(t.wday >= 1 && t.wday <= 5 && t.hour >= 15 && t.hour <= 21)
+          when :forex_trading_hours
+            # 17:15 - 17:00 (ET) Sunday-Friday Forex  22:15 - 22:00 (UTC)
+            !(t.wday > 0 && t.wday < 5 || t.wday == 5 && t.hour < 22)
+        end
+
+      end # :slow => true
+  }
   # config.filter = { :focus => true }
   # config.include(UserExampleHelpers)
   # config.mock_with :mocha
@@ -10,29 +23,25 @@ RSpec.configure do |config|
   # config.mock_with :rr
 end
 
-puts
-puts 'WARNING: MAKE SURE TO RUN ALL YOUR TESTS AGAINST IB PAPER ACCOUNT ONLY!'
-puts 'WARNING: FINANCIAL LOSSES MAY RESULT IF YOU RUN TESTS WITH REAL IB ACCOUNT!'
-puts 'WARNING: YOU HAVE BEEN WARNED!'
-puts
-puts 'Configure your connection to IB PAPER ACCOUNT in spec/spec_helper.rb'
-puts
-
-# Please uncomment next line if you are REALLY sure you have properly configured
-# Connection to IB PAPER ACCOUNT or mock (Brokertron) account
-#exit
-
-SILENT = false #true
-
-BROKERTRON = false
-
-CONNECTION_OPTS = BROKERTRON ?
-    {:client_id => 1111,
-     :host => 'free.brokertron.com',
-     :port=> 10501
-    } :
-    {:client_id => 1111,
-     :host => '10.211.55.2', # localhost?
-     :port=> 4001
-    }
+# Top level metadata for test suite level hacking
+OPTS = {
+    :silent => false, #true, # Verbosity of test outputs
+    :brokertron => false, # Use mock (Brokertron) instead of paper account
+}
 
+if OPTS[:brokertron]
+  # Connection to mock (Brokertron) account
+  OPTS[:connection] =
+      {:client_id => 1111, # Just an arbitrary id
+       :host => 'free.brokertron.com',
+       :port=> 10501
+      }
+else
+  # Connection to IB PAPER ACCOUNT
+  OPTS[:connection] =
+      {:account_name => 'DU118180', # Your IB PAPER ACCOUNT, tests will only run against it
+       :client_id => 1111, # Just an arbitrary id
+       :host => '10.211.55.2', #  Where your TWS/gateway is located, likely 'localhost'
+       :port=> 4001 #             4001 for Gateway, 7496 for TWS GUI
+      }
+end

metadata

@@ -2,7 +2,7 @@
 name: ib-ruby
 version: !ruby/object:Gem::Version 
   prerelease: 
-  version: 0.5.19
+  version: 0.5.21
 platform: ruby
 authors: 
   - Paul Legato
@@ -11,7 +11,7 @@ autorequire:
 bindir: bin
 cert_chain: []
 
-date: 2012-02-23 00:00:00 Z
+date: 2012-03-06 00:00:00 Z
 dependencies: 
   - !ruby/object:Gem::Dependency 
     name: bundler
@@ -32,7 +32,7 @@ dependencies:
       requirements: 
         - - ">="
           - !ruby/object:Gem::Version 
-            version: 2.7.0
+            version: 2.8.0
     type: :development
     version_requirements: *id002
   - !ruby/object:Gem::Dependency 
@@ -83,12 +83,14 @@ files:
   - lib/ib-ruby.rb
   - lib/ib-ruby/connection.rb
   - lib/ib-ruby/constants.rb
+  - lib/ib-ruby/extensions.rb
   - lib/ib-ruby/logger.rb
   - lib/ib-ruby/messages.rb
   - lib/ib-ruby/models.rb
   - lib/ib-ruby/socket.rb
   - lib/ib-ruby/symbols.rb
   - lib/ib-ruby/version.rb
+  - lib/ib-ruby/messages/abstract_message.rb
   - lib/ib-ruby/messages/incoming.rb
   - lib/ib-ruby/messages/outgoing.rb
   - lib/ib-ruby/models/bar.rb
@@ -103,19 +105,26 @@ files:
   - lib/ib-ruby/symbols/futures.rb
   - lib/ib-ruby/symbols/options.rb
   - lib/ib-ruby/symbols/stocks.rb
-  - spec/ib-ruby_spec.rb
+  - spec/integration_helper.rb
   - spec/message_helper.rb
+  - spec/README.md
   - spec/spec_helper.rb
   - spec/ib-ruby/connection_spec.rb
-  - spec/ib-ruby/messages/account_info_spec.rb
-  - spec/ib-ruby/messages/just_connect_spec.rb
-  - spec/ib-ruby/messages/market_data_spec.rb
-  - spec/ib-ruby/messages/open_order
-  - spec/ib-ruby/messages/orders_spec.rb
-  - spec/ib-ruby/messages/README.md
+  - spec/ib-ruby/messages/incoming_spec.rb
+  - spec/ib-ruby/messages/outgoing_spec.rb
   - spec/ib-ruby/models/combo_leg_spec.rb
   - spec/ib-ruby/models/contract_spec.rb
   - spec/ib-ruby/models/order_spec.rb
+  - spec/integration/account_info_spec.rb
+  - spec/integration/contract_info_spec.rb
+  - spec/integration/depth_data_spec.rb
+  - spec/integration/historic_data_spec.rb
+  - spec/integration/market_data_spec.rb
+  - spec/integration/option_data_spec.rb
+  - spec/integration/orders/execution_spec.rb
+  - spec/integration/orders/open_order
+  - spec/integration/orders/placement_spec.rb
+  - spec/integration/orders/valid_ids_spec.rb
   - tasks/common.rake
   - tasks/doc.rake
   - tasks/gem.rake
@@ -157,17 +166,24 @@ signing_key:
 specification_version: 3
 summary: Ruby Implementation of the Interactive Brokers TWS API
 test_files: 
-  - spec/ib-ruby_spec.rb
+  - spec/integration_helper.rb
   - spec/message_helper.rb
+  - spec/README.md
   - spec/spec_helper.rb
   - spec/ib-ruby/connection_spec.rb
-  - spec/ib-ruby/messages/account_info_spec.rb
-  - spec/ib-ruby/messages/just_connect_spec.rb
-  - spec/ib-ruby/messages/market_data_spec.rb
-  - spec/ib-ruby/messages/open_order
-  - spec/ib-ruby/messages/orders_spec.rb
-  - spec/ib-ruby/messages/README.md
+  - spec/ib-ruby/messages/incoming_spec.rb
+  - spec/ib-ruby/messages/outgoing_spec.rb
   - spec/ib-ruby/models/combo_leg_spec.rb
   - spec/ib-ruby/models/contract_spec.rb
   - spec/ib-ruby/models/order_spec.rb
+  - spec/integration/account_info_spec.rb
+  - spec/integration/contract_info_spec.rb
+  - spec/integration/depth_data_spec.rb
+  - spec/integration/historic_data_spec.rb
+  - spec/integration/market_data_spec.rb
+  - spec/integration/option_data_spec.rb
+  - spec/integration/orders/execution_spec.rb
+  - spec/integration/orders/open_order
+  - spec/integration/orders/placement_spec.rb
+  - spec/integration/orders/valid_ids_spec.rb
 has_rdoc: 

data/spec/ib-ruby/messages/README.md

@@ -1,16 +0,0 @@
-# WRITING MESSAGE SPECS
-
-Pattern for writing message specs is like this:
-
-1. You indicate your interest in some message types by calling 'connect_and_receive'
-   in a top-level before(:all) block. All messages of given types will be caught
-   and placed into @received Hash, keyed by message type
-
-2. You send request messages to IB and then wait for specific conditions (or timeout)
-   by calling 'wait_for' in a context before(:all) block.
-
-3. Once the condition is satisfied, you can test the content of @received Hash
-   to see what messages were received, or log_entries Array to see what was logged
-
-4. When done, you call 'close_connection' in a top-level  after(:all) block.
-

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

@@ -1,84 +0,0 @@
-require 'message_helper'
-
-describe IB::Messages do
-
-  # Pattern for writing message specs is like this:
-  #
-  # 1. You indicate your interest in some message types by calling 'connect_and_receive'
-  #    in a top-level before(:all) block. All messages of given types will be caught
-  #    and placed into @received Hash, keyed by message type
-  #
-  # 2. You send request messages to IB and then wait for specific conditions (or timeout)
-  #    by calling 'wait_for' in a context before(:all) block.
-  #
-  # 3. Once the condition is satisfied, you can test the content of @received Hash
-  #    to see what messages were received, or log_entries Array to see what was logged
-  #
-  # 4. When done, you call 'close_connection' in a top-level  after(:all) block.
-
-  context "Request Account Data", :connected => true do
-
-    before(:all) do
-      connect_and_receive(:Alert, :AccountValue, :AccountDownloadEnd,
-                          :PortfolioValue, :AccountUpdateTime)
-
-      @ib.send_message :RequestAccountData, :subscribe => true
-
-      wait_for(5) { received? :AccountDownloadEnd }
-    end
-
-    after(:all) do
-      @ib.send_message :RequestAccountData, :subscribe => false
-      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_a Integer }
-      its(:message) { should =~ /Market data farm connection is OK/ }
-      its(:to_human) { should =~ /TWS Warning Message/ }
-    end
-
-    context "received :AccountValue message" do
-      subject { @received[:AccountValue].first }
-
-      #ps
-      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 }
-      its(:value) { should be_a String }
-      its(:currency) { should be_a String }
-      its(:to_human) { should =~ /AccountValue/ }
-    end
-
-    context "received :AccountDownloadEnd message" do
-      subject { @received[:AccountDownloadEnd].first }
-
-      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/ }
-    end
-
-    context "received :PortfolioValue message" do
-      subject { @received[:PortfolioValue].first }
-
-      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 }
-      its(:market_price) { should be_a Float }
-      its(:market_value) { should be_a Float }
-      its(:average_cost) { should be_a Float }
-      its(:unrealized_pnl) { should be_a Float }
-      its(:realized_pnl) { should be_a Float }
-      its(:account_name) { should =~ /\w\d/ }
-      its(:to_human) { should =~ /PortfolioValue/ }
-    end
-  end # Request Account Data
-end # describe IB::Messages::Incomming

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

@@ -1,33 +0,0 @@
-require 'message_helper'
-
-describe IB::Messages do
-
-  context 'Normal message exchange at any connection', :connected => true do
-
-    before(:all) do
-      connect_and_receive :NextValidID, :OpenOrderEnd, :Alert
-      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
-      should_log /Connected to server, version: 53, connection time/
-    end
-
-    it 'logs next valid order id' do
-      should_log /Got next valid order id/
-    end
-
-  end # Normal message exchange at any connection
-end # describe IB::Messages

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

@@ -1,92 +0,0 @@
-require 'message_helper'
-
-describe IB::Messages do
-
-  context 'Request Market Data', :connected => true do
-
-    context 'when subscribed to :Tick... messages' do
-
-      before(:all) do
-        connect_and_receive :Alert, :TickPrice, :TickSize
-
-        ##TODO consider a follow the sun market lookup for windening the types tested
-        @ib.send_message :RequestMarketData, :id => 456,
-                         :contract => IB::Symbols::Forex[:eurusd]
-        wait_for(5) { @received[:TickPrice].size > 3 && @received[:TickSize].size > 1 }
-      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 Message/ }
-      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(:data) { should be_a Hash }
-        its(: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(:id) { should == 456 }
-        its(:to_human) { should =~ /TickSize/ }
-      end
-    end # when subscribed to :Tick... messages
-
-    context 'when NOT subscribed to :Tick... messages' do
-
-      before(:all) do
-        connect_and_receive :NextValidID
-
-        @ib.send_message :RequestMarketData, :id => 456,
-                         :contract => IB::Symbols::Forex[:eurusd]
-        wait_for(2)
-      end
-
-      after(:all) do
-        @ib.send_message :CancelMarketData, :id => 456
-        close_connection
-      end
-
-      it "logs warning about unhandled :OpenOrderEnd message" do
-        should_log /No subscribers for message IB::Messages::Incoming::OpenOrderEnd/
-      end
-
-      it "logs warning about unhandled :Alert message" do
-        should_log /No subscribers for message IB::Messages::Incoming::Alert/
-      end
-
-      it "logs warning about unhandled :Tick... messages" do
-        should_log /No subscribers for message IB::Messages::Incoming::TickPrice/,
-                   /No subscribers for message IB::Messages::Incoming::TickSize/
-      end
-
-    end # NOT subscribed to :Tick... messages
-
-  end # Request Market Data
-end # describe IB::Messages