ib-ruby 0.5.9 → 0.5.10

data/HISTORY

@@ -81,3 +81,7 @@
 == 0.5.9 / 2011-12-16
 
 * Sample scripts to place and cancel orders added
+
+== 0.5.10 / 2011-12-19
+
+* Bag Contract subclass added

data/VERSION

@@ -1 +1 @@
-0.5.9
+0.5.10

data/bin/depth_of_market

@@ -15,7 +15,7 @@ require 'ib-ruby'
 # 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],
-           456 => IB::Symbols::Futures[:ym],
+           456 => IB::Symbols::Futures[:es],
            789 => IB::Symbols::Forex[:gbpusd]
 }
 

data/bin/global_cancel

@@ -14,8 +14,7 @@ require 'ib-ruby'
 # First, connect to IB TWS.
 ib = IB::Connection.new
 
-# Subscribe to TWS alerts/errors and account-related messages
-# that TWS sends in response to account data request
+# Subscribe to TWS alerts/errors and order-related messages
 ib.subscribe(:Alert, :OpenOrder, :OrderStatus) { |msg| puts msg.to_human }
 
 ib.send_message :RequestGlobalCancel

data/bin/list_orders

@@ -0,0 +1,23 @@
+#!/usr/bin/env ruby
+#
+# This script connects to IB API, subscribes to account info and prints out
+# messages received from IB (update every 3 minute or so)
+
+require 'pathname'
+LIB_DIR = (Pathname.new(__FILE__).dirname + '../lib/').realpath.to_s
+$LOAD_PATH.unshift LIB_DIR unless $LOAD_PATH.include?(LIB_DIR)
+
+require 'rubygems'
+require 'bundler/setup'
+require 'ib-ruby'
+
+# First, connect to IB TWS.
+ib = IB::Connection.new :client_id => 0
+
+# Subscribe to TWS alerts/errors and order-related messages
+ib.subscribe(:Alert, :OpenOrder, :OrderStatus) { |msg| puts msg.to_human }
+
+ib.send_message :RequestAllOpenOrders
+
+puts "\n******** Press <Enter> to cancel... *********\n\n"
+gets

data/bin/place_order

@@ -14,8 +14,7 @@ require 'ib-ruby'
 # First, connect to IB TWS.
 ib = IB::Connection.new
 
-# Subscribe to TWS alerts/errors and account-related messages
-# that TWS sends in response to account data request
+# Subscribe to TWS alerts/errors and order-related messages
 ib.subscribe(:Alert, :OpenOrder, :OrderStatus) { |msg| puts msg.to_human }
 
 wfc = IB::Symbols::Stocks[:wfc]

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

@@ -108,7 +108,14 @@ module IB
                                 [:parent_id, :int],
                                 [:last_fill_price, :decimal],
                                 [:client_id, :int],
-                                [:why_held, :string]
+                                [:why_held, :string] do
+        "<OrderStatus: #{@data[:status]} filled: #{@data[:filled]}/#{@data[:remaining]+@data[:filled]}" +
+            " @ last/avg: #{@data[:last_fill_price]}/#{@data[:average_fill_price]}" +
+            (@data[:parent_id] > 0 ? "parent_id: #{@data[:parent_id]}" : "") +
+            (@data[:why_held] != "" ? "why_held: #{@data[:why_held]}" : "") +
+            " id/perm: #{@data[:id]}/#{@data[:perm_id]}>"
+      end
+
 
       AccountValue = def_message(6, [:key, :string],
                                  [:value, :string],
@@ -364,15 +371,15 @@ module IB
 
           @order = Models::Order.new :id => @socket.read_int
 
-          @contract = Models::Contract.new :con_id => @socket.read_string,
-                                           :symbol => @socket.read_string,
-                                           :sec_type => @socket.read_string,
-                                           :expiry => @socket.read_string,
-                                           :strike => @socket.read_decimal,
-                                           :right => @socket.read_string,
-                                           :exchange => @socket.read_string,
-                                           :currency => @socket.read_string,
-                                           :local_symbol => @socket.read_string
+          @contract = Models::Contract.build :con_id => @socket.read_string,
+                                             :symbol => @socket.read_string,
+                                             :sec_type => @socket.read_string,
+                                             :expiry => @socket.read_string,
+                                             :strike => @socket.read_decimal,
+                                             :right => @socket.read_string,
+                                             :exchange => @socket.read_string,
+                                             :currency => @socket.read_string,
+                                             :local_symbol => @socket.read_string
 
           @order.action = @socket.read_string
           @order.total_quantity = @socket.read_int
@@ -474,6 +481,10 @@ module IB
           @order.commission_currency = @socket.read_string
           @order.warning_text = @socket.read_string
         end
+
+        def to_human
+          "<OpenOrder: #{@contract.to_human} #{@order.to_human}>"
+        end
       end # OpenOrder
 
       class PortfolioValue < AbstractMessage
@@ -484,16 +495,16 @@ module IB
         def load
           super
 
-          @contract = Models::Contract.new :con_id => @socket.read_int,
-                                           :symbol => @socket.read_string,
-                                           :sec_type => @socket.read_string,
-                                           :expiry => @socket.read_string,
-                                           :strike => @socket.read_decimal,
-                                           :right => @socket.read_string,
-                                           :multiplier => @socket.read_string,
-                                           :primary_exchange => @socket.read_string,
-                                           :currency => @socket.read_string,
-                                           :local_symbol => @socket.read_string
+          @contract = Models::Contract.build :con_id => @socket.read_int,
+                                             :symbol => @socket.read_string,
+                                             :sec_type => @socket.read_string,
+                                             :expiry => @socket.read_string,
+                                             :strike => @socket.read_decimal,
+                                             :right => @socket.read_string,
+                                             :multiplier => @socket.read_string,
+                                             :primary_exchange => @socket.read_string,
+                                             :currency => @socket.read_string,
+                                             :local_symbol => @socket.read_string
           load_map [:position, :int],
                    [:market_price, :decimal],
                    [:market_value, :decimal],
@@ -521,34 +532,34 @@ module IB
           load_map [:id, :int] # request id
 
           @contract =
-              Models::Contract.new :symbol => @socket.read_string,
-                                   :sec_type => @socket.read_string,
-                                   :expiry => @socket.read_string,
-                                   :strike => @socket.read_decimal,
-                                   :right => @socket.read_string,
-                                   :exchange => @socket.read_string,
-                                   :currency => @socket.read_string,
-                                   :local_symbol => @socket.read_string,
-
-                                   :market_name => @socket.read_string,
-                                   :trading_class => @socket.read_string,
-                                   :con_id => @socket.read_int,
-                                   :min_tick => @socket.read_decimal,
-                                   :multiplier => @socket.read_string,
-                                   :order_types => @socket.read_string,
-                                   :valid_exchanges => @socket.read_string,
-                                   :price_magnifier => @socket.read_int,
-
-                                   :under_con_id => @socket.read_int,
-                                   :long_name => @socket.read_string,
-                                   :primary_exchange => @socket.read_string,
-                                   :contract_month => @socket.read_string,
-                                   :industry => @socket.read_string,
-                                   :category => @socket.read_string,
-                                   :subcategory => @socket.read_string,
-                                   :time_zone => @socket.read_string,
-                                   :trading_hours => @socket.read_string,
-                                   :liquid_hours => @socket.read_string
+              Models::Contract.build :symbol => @socket.read_string,
+                                     :sec_type => @socket.read_string,
+                                     :expiry => @socket.read_string,
+                                     :strike => @socket.read_decimal,
+                                     :right => @socket.read_string,
+                                     :exchange => @socket.read_string,
+                                     :currency => @socket.read_string,
+                                     :local_symbol => @socket.read_string,
+
+                                     :market_name => @socket.read_string,
+                                     :trading_class => @socket.read_string,
+                                     :con_id => @socket.read_int,
+                                     :min_tick => @socket.read_decimal,
+                                     :multiplier => @socket.read_string,
+                                     :order_types => @socket.read_string,
+                                     :valid_exchanges => @socket.read_string,
+                                     :price_magnifier => @socket.read_int,
+
+                                     :under_con_id => @socket.read_int,
+                                     :long_name => @socket.read_string,
+                                     :primary_exchange => @socket.read_string,
+                                     :contract_month => @socket.read_string,
+                                     :industry => @socket.read_string,
+                                     :category => @socket.read_string,
+                                     :subcategory => @socket.read_string,
+                                     :time_zone => @socket.read_string,
+                                     :trading_hours => @socket.read_string,
+                                     :liquid_hours => @socket.read_string
         end
       end # ContractData
       ContractDetails = ContractData
@@ -564,15 +575,15 @@ module IB
                    [:order_id, :int]
 
           @contract =
-              Models::Contract.new :con_id => @socket.read_int,
-                                   :symbol => @socket.read_string,
-                                   :sec_type => @socket.read_string,
-                                   :expiry => @socket.read_string,
-                                   :strike => @socket.read_decimal,
-                                   :right => @socket.read_string,
-                                   :exchange => @socket.read_string,
-                                   :currency => @socket.read_string,
-                                   :local_symbol => @socket.read_string
+              Models::Contract.build :con_id => @socket.read_int,
+                                     :symbol => @socket.read_string,
+                                     :sec_type => @socket.read_string,
+                                     :expiry => @socket.read_string,
+                                     :strike => @socket.read_decimal,
+                                     :right => @socket.read_string,
+                                     :exchange => @socket.read_string,
+                                     :currency => @socket.read_string,
+                                     :local_symbol => @socket.read_string
           @execution =
               Models::Execution.new :order_id => @data[:order_id],
                                     :exec_id => @socket.read_string,
@@ -648,32 +659,32 @@ module IB
           load_map [:id, :int] # request id
 
           @contract =
-              Models::Contract.new :symbol => @socket.read_string,
-                                   :sec_type => @socket.read_string,
-                                   :cusip => @socket.read_string,
-                                   :coupon => @socket.read_decimal,
-                                   :maturity => @socket.read_string,
-                                   :issue_date => @socket.read_string,
-                                   :ratings => @socket.read_string,
-                                   :bond_type => @socket.read_string,
-                                   :coupon_type => @socket.read_string,
-                                   :convertible => @socket.read_boolean,
-                                   :callable => @socket.read_boolean,
-                                   :puttable => @socket.read_boolean,
-                                   :desc_append => @socket.read_string,
-                                   :exchange => @socket.read_string,
-                                   :currency => @socket.read_string,
-                                   :market_name => @socket.read_string,
-                                   :trading_class => @socket.read_string,
-                                   :con_id => @socket.read_int,
-                                   :min_tick => @socket.read_decimal,
-                                   :order_types => @socket.read_string,
-                                   :valid_exchanges => @socket.read_string,
-                                   :valid_next_option_date => @socket.read_string,
-                                   :valid_next_option_type => @socket.read_string,
-                                   :valid_next_option_partial => @socket.read_string,
-                                   :notes => @socket.read_string,
-                                   :long_name => @socket.read_string
+              Models::Contract.build :symbol => @socket.read_string,
+                                     :sec_type => @socket.read_string,
+                                     :cusip => @socket.read_string,
+                                     :coupon => @socket.read_decimal,
+                                     :maturity => @socket.read_string,
+                                     :issue_date => @socket.read_string,
+                                     :ratings => @socket.read_string,
+                                     :bond_type => @socket.read_string,
+                                     :coupon_type => @socket.read_string,
+                                     :convertible => @socket.read_boolean,
+                                     :callable => @socket.read_boolean,
+                                     :puttable => @socket.read_boolean,
+                                     :desc_append => @socket.read_string,
+                                     :exchange => @socket.read_string,
+                                     :currency => @socket.read_string,
+                                     :market_name => @socket.read_string,
+                                     :trading_class => @socket.read_string,
+                                     :con_id => @socket.read_int,
+                                     :min_tick => @socket.read_decimal,
+                                     :order_types => @socket.read_string,
+                                     :valid_exchanges => @socket.read_string,
+                                     :valid_next_option_date => @socket.read_string,
+                                     :valid_next_option_type => @socket.read_string,
+                                     :valid_next_option_partial => @socket.read_string,
+                                     :notes => @socket.read_string,
+                                     :long_name => @socket.read_string
         end
       end # BondContractData
 
@@ -698,17 +709,17 @@ module IB
 
           @data[:results] = Array.new(@data[:count]) do |index|
             {:rank => @socket.read_int,
-             :contract => Contract.new(:con_id => @socket.read_int,
-                                       :symbol => @socket.read_str,
-                                       :sec_type => @socket.read_str,
-                                       :expiry => @socket.read_str,
-                                       :strike => @socket.read_decimal,
-                                       :right => @socket.read_str,
-                                       :exchange => @socket.read_str,
-                                       :currency => @socket.read_str,
-                                       :local_symbol => @socket.read_str,
-                                       :market_name => @socket.read_str,
-                                       :trading_class => @socket.read_str),
+             :contract => Contract.build(:con_id => @socket.read_int,
+                                         :symbol => @socket.read_str,
+                                         :sec_type => @socket.read_str,
+                                         :expiry => @socket.read_str,
+                                         :strike => @socket.read_decimal,
+                                         :right => @socket.read_str,
+                                         :exchange => @socket.read_str,
+                                         :currency => @socket.read_str,
+                                         :local_symbol => @socket.read_str,
+                                         :market_name => @socket.read_str,
+                                         :trading_class => @socket.read_str),
              :distance => @socket.read_str,
              :benchmark => @socket.read_str,
              :projection => @socket.read_str,
@@ -765,10 +776,10 @@ module IB
           super
           load_map [:id, :int] # request id
 
-          @contract = Models::Contract.new :under_comp => true,
-                                           :under_con_id => @socket.read_int,
-                                           :under_delta => @socket.read_decimal,
-                                           :under_price => @socket.read_decimal
+          @contract = Models::Contract.build :under_comp => true,
+                                             :under_con_id => @socket.read_int,
+                                             :under_delta => @socket.read_decimal,
+                                             :under_price => @socket.read_decimal
         end
       end # DeltaNeutralValidation
 

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

@@ -0,0 +1,32 @@
+require 'ib-ruby/models/contract'
+
+module IB
+  module Models
+    class Contract
+      # "BAG" is not really a contract, but a combination (combo) of securities.
+      # AKA basket or bag of securities. Individual securities in combo are represented
+      # by ComboLeg objects.
+      class Bag < Contract
+
+        def initialize opts = {}
+          super opts
+          @sec_type = IB::SECURITY_TYPES[:bag]
+        end
+
+        def description
+          @description || to_human
+        end
+
+        def to_human
+          "<Bag: " + [symbol, exchange, currency].join(" ") + " legs: " +
+              (@combo_legs_description ||
+                  @combo_legs.map do |leg|
+                    "#{leg.action} #{leg.ratio} * #{leg.con_id}"
+                  end.join('|')) + ">"
+        end
+
+      end # class Bag
+      TYPES[IB::SECURITY_TYPES[:bag]] = Bag
+    end # class Contract
+  end # module Models
+end # module IB

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

@@ -13,12 +13,6 @@ module IB
           self.local_symbol = value.sub(/ /, ' '*(22-value.size))
         end
 
-        def initialize opts = {}
-          super opts
-          @sec_type = IB::SECURITY_TYPES[:option]
-          @description ||= osi ? osi : "#{symbol} #{strike} #{right} #{expiry}"
-        end
-
         # Make valid IB Contract definition from OSI (Option Symbology Initiative) code.
         # NB: Simply making a new Contract with *local_symbol* (osi) property set to a
         # valid OSI code works just as well, just do NOT set *expiry*, *right* or
@@ -48,7 +42,18 @@ module IB
               :strike => strike
         end
 
+        def initialize opts = {}
+          super opts
+          @sec_type = IB::SECURITY_TYPES[:option]
+          @description ||= osi ? osi : "#{symbol} #{strike} #{right} #{expiry}"
+        end
+
+        def to_human
+          "<Option: " + [symbol, expiry, right, strike, exchange, currency].join("-") + ">"
+        end
       end # class Option
+
+      TYPES[IB::SECURITY_TYPES[:option]] = Option
     end # class Contract
   end # module Models
 end # module IB

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

@@ -6,7 +6,27 @@ module IB
   module Models
     class Contract < Model
 
-      BAG_SEC_TYPE = "BAG"
+      # Specialized Contract subclasses representing different security types
+      TYPES = {}
+      #BAG_SEC_TYPE = "BAG"
+
+      # This returns a Contract initialized from the serialize_ib_ruby format string.
+      def self.build opts = {}
+        type = opts[:sec_type]
+        if TYPES[type]
+          TYPES[type].new opts
+        else
+          Contract.new opts
+        end
+      end
+
+      # This returns a Contract initialized from the serialize_ib_ruby format string.
+      def self.from_ib_ruby string
+        c = Contract.new
+        c.symbol, c.sec_type, c.expiry, c.strike, c.right, c.multiplier,
+            c.exchange, c.primary_exchange, c.currency, c.local_symbol = string.split(":")
+        c
+      end
 
       # Fields are Strings unless noted otherwise
       attr_accessor :con_id, # int: The unique contract identifier.
@@ -206,14 +226,6 @@ module IB
         serialize.join(":")
       end
 
-      # This returns a Contract initialized from the serialize_ib_ruby format string.
-      def self.from_ib_ruby string
-        c = Contract.new
-        c.symbol, c.sec_type, c.expiry, c.strike, c.right, c.multiplier,
-            c.exchange, c.primary_exchange, c.currency, c.local_symbol = string.split(":")
-        c
-      end
-
       # Serialize under_comp parameters
       def serialize_under_comp *args
         # EClientSocket.java, line 471:
@@ -238,18 +250,28 @@ module IB
          combo_legs.map { |leg| leg.serialize *fields }]
       end
 
+      def to_s
+        "<Contract: " + instance_variables.map do |key|
+          unless key == :@summary
+            value = send(key[1..-1])
+            " #{key}=#{value}" unless value.nil? || value == '' || value == 0
+          end
+        end.compact.join(',') + " >"
+      end
+
       def to_human
-        "<Contract: " + [symbol, expiry, sec_type, strike, right, exchange, currency].join("-") + ">"
+        "<Contract: " + [symbol, sec_type, expiry, strike, right, exchange, currency].join("-") + ">"
       end
 
       def to_short
         "#{symbol}#{expiry}#{strike}#{right}#{exchange}#{currency}"
       end
 
-      def to_s
-        to_human
-      end
-
     end # class Contract
   end # module Models
 end # module IB
+
+# TODO Where should we require this?
+require 'ib-ruby/models/contract/option'
+require 'ib-ruby/models/contract/bag'
+

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

@@ -337,13 +337,16 @@ module IB
       end
 
       def to_s #human
-        "<Order::" +  #self.class.
-            instance_variables.map do |key|
-              value = instance_variable_get(key)
-              " #{key}=#{value}" unless value.nil? || value == '' || value == 0
-            end.compact.join(',') + " >"
+        "<Order:" + instance_variables.map do |key|
+          value = instance_variable_get(key)
+          " #{key}=#{value}" unless value.nil? || value == '' || value == 0
+        end.compact.join(',') + " >"
       end
 
+      def to_human
+        "<Order: #{@status} #{@order_type} #{@action} #{@total_quantity} @ #{@limit_price}" +
+        " #{@tif} id/perm: #{@id}/#{@perm_id}>"
+      end
     end # class Order
   end # module Models
 end # module IB

data/lib/ib-ruby/symbols/futures.rb

@@ -12,8 +12,7 @@
 module IB
   module Symbols
 
-    # Get the next valid quarter month >= today, for finding the
-    # front month of quarterly futures.
+    # Get the next valid quarter month >= today, for finding the front month of quarterly futures.
     #
     # N.B. This will not work as expected near/after expiration during that month, as
     # volume rolls over to the next quarter even though the current month is still valid!
@@ -29,7 +28,6 @@ module IB
       end
     end
 
-    #
     # WARNING: This is currently broken. It returns the next
     # quarterly expiration month after the current month. Many futures
     # instruments have monthly contracts for the near months. This
@@ -45,14 +43,13 @@ module IB
       "#{ self.next_quarter_year(time) }#{ self.next_quarter_month(time) }"
     end
 
-    #
     # Convenience method; generates a Models::Contract instance for a futures
     # contract with the given parameters.
     #
     # If expiry is nil, it will use the end month of the current
     # quarter. This will be wrong for most contracts most of the time,
     # since most contracts have the majority of their volume in a
-    # nearby intraquarter month. 
+    # nearby intraquarter month.
     #
     # It is recommended that you specify an expiration date manually
     # until next_expiry is fixed. Expiry should be a string in the
@@ -68,7 +65,6 @@ module IB
                            :description => description)
     end
 
-
     Futures ={
         :ym => Models::Contract.new(:symbol => "YM",
                                     :expiry => self.next_expiry(Time.now),

data/lib/ib-ruby.rb

@@ -7,8 +7,4 @@ require 'ib-ruby/constants'
 require 'ib-ruby/connection'
 require 'ib-ruby/models'
 require 'ib-ruby/messages'
-
-# TODO Where should we require this?
-require 'ib-ruby/models/contract/option'
-
 require 'ib-ruby/symbols'

metadata

@@ -2,7 +2,7 @@
 name: ib-ruby
 version: !ruby/object:Gem::Version 
   prerelease: 
-  version: 0.5.9
+  version: 0.5.10
 platform: ruby
 authors: 
 - Paul Legato
@@ -11,7 +11,7 @@ autorequire:
 bindir: bin
 cert_chain: []
 
-date: 2011-12-16 00:00:00 -08:00
+date: 2011-12-19 00:00:00 -08:00
 default_executable: 
 dependencies: 
 - !ruby/object:Gem::Dependency 
@@ -47,6 +47,7 @@ executables:
 - global_cancel
 - historic_data
 - historic_data_cli
+- list_orders
 - market_data
 - option_data
 - place_order
@@ -63,6 +64,7 @@ files:
 - bin/global_cancel
 - bin/historic_data
 - bin/historic_data_cli
+- bin/list_orders
 - bin/market_data
 - bin/option_data
 - bin/place_order
@@ -75,6 +77,7 @@ files:
 - lib/ib-ruby/messages.rb
 - lib/ib-ruby/models/bar.rb
 - lib/ib-ruby/models/combo_leg.rb
+- lib/ib-ruby/models/contract/bag.rb
 - lib/ib-ruby/models/contract/option.rb
 - lib/ib-ruby/models/contract.rb
 - lib/ib-ruby/models/execution.rb