ib-ruby 0.6.1 → 0.7.0

data/HISTORY

@@ -133,3 +133,7 @@
 == 0.6.1 / 2012-03-14
 
 * Version bump
+
+== 0.7.0 / 2012-03-22
+
+* Support for API v.967

data/README.md

@@ -1,27 +1,33 @@
 # ib-ruby
 
-Ruby Implementation of the Interactive Brokers Trader Workstation (TWS) API v.965.
+Ruby Implementation of the Interactive Brokers Trader Workstation (TWS) API v.965-967.
 
-Copyright (C) 2006-2011 Paul Legato, Wes Devauld, and Ar Vicco.
+Copyright (C) 2006-2012 Paul Legato, Wes Devauld, and Ar Vicco.
 
 https://github.com/ib-ruby/ib-ruby
 
 __WARNING:__ This software is provided __AS-IS__ with __NO WARRANTY__, express or
-implied. Your use of this software is at your own risk. It may contain
-any number of bugs, known or unknown, which might cause you to lose
-money if you use it. You've been warned.
+implied. Your use of this software is at your own risk. It may contain any number
+of bugs, known or unknown, which might cause you to lose money if you use it.
+You've been warned.
 
-This code is not sanctioned or supported by Interactive Brokers
-This software is available under the LGPL. See the file LICENSE for full licensing details.
+This code is not sanctioned or supported by Interactive Brokers.
 
 ## REQUIREMENTS:
 
-Either the Interactive Brokers
-[TWS](http://www.interactivebrokers.com/en/p.php?f=tws) or
-[IB Gateway](http://www.interactivebrokers.com/en/control/systemstandalone-ibGateway.php?os=unix&ib_entity=llc)
-software must be installed and configured to allow API connections
-from the computer you plan to run ib-ruby on, which is typically
-localhost if you're running ib-ruby on the same machine as TWS.
+Either the Interactive Brokers [TWS](http://www.interactivebrokers.com/en/p.php?f=tws) or
+[Gateway](http://www.interactivebrokers.com/en/p.php?f=programInterface&ib_entity=llc)
+software must be installed and configured to allow API connections from the computer
+you plan to run ib-ruby on, which is typically localhost if you're running ib-ruby on
+the same machine as TWS.
+
+As a rule of thumb, most recent version of ib-ruby gem only supports latest versions
+of TWS/Gateway API. Older versions of API are supported by previous gem versions:
+
+ib-ruby gem     TWS version     API version
+0.5.21          918-920         965
+0.6.1           921-923         966
+0.7.1           924+            967
 
 ## INSTALLATION:
 
@@ -44,7 +50,7 @@ and :port options given to IB::Connection.new.
 
     require 'ib-ruby'
 
-    ib = IB::Connection.new
+    ib = IB::Connection.new :port => 7496 # TWS on localhost
     ib.subscribe(:Alert, :AccountValue) { |msg| puts msg.to_human }
     ib.send_message :RequestAccountData
     ib.wait_for :AccountDownloadEnd
@@ -72,7 +78,7 @@ from TWS, with the received message as its argument.
 
 Then, you request specific data from TWS using `Connection#send_message` or place
 your order using `Connection#place_order`. TWS will respond with messages that you
-should have subscribed for, and these messages are be processed in a code block
+should have subscribed for, and these messages will be processed in a code block
 given to `#subscribe`.
 
 In order to give TWS time to respond, you either run a message processing loop or
@@ -88,6 +94,8 @@ directory for more scenarios and examples of handling IB messages.
 
 ## LICENSE:
 
+This software is available under the LGPL.
+
 This library is free software; you can redistribute it and/or modify
 it under the terms of the GNU Lesser General Public License as
 published by the Free Software Foundation; either version 2.1 of the
@@ -95,8 +103,8 @@ License, or (at your option) any later version.
 
 This library is distributed in the hope that it will be useful, but
 WITHOUT ANY WARRANTY; without even the implied warranty of
-MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
-Lesser General Public License for more details.
+MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the file LICENSE
+for full licensing details of GNU Lesser General Public License.
 
 You should have received a copy of the GNU Lesser General Public
 License along with this library; if not, write to the Free Software

data/VERSION

@@ -1 +1 @@
-0.6.1
+0.7.0

data/bin/account_info

@@ -12,7 +12,7 @@ require 'bundler/setup'
 require 'ib-ruby'
 
 # First, connect to IB TWS.
-ib = IB::Connection.new
+ib = IB::Connection.new :client_id => 1112 # Arbitrary id to identify your script
 
 # Set log level
 log.level = Logger::FATAL

data/bin/cancel_orders

@@ -13,7 +13,7 @@ require 'bundler/setup'
 require 'ib-ruby'
 
 # First, connect to IB TWS.
-ib = IB::Connection.new
+ib = IB::Connection.new :client_id => 1112 # Arbitrary id to identify your script
 
 # Subscribe to TWS alerts/errors and order-related messages
 ib.subscribe(:Alert, :OpenOrder, :OrderStatus, :OpenOrderEnd) { |msg| puts msg.to_human }
@@ -21,6 +21,7 @@ ib.subscribe(:Alert, :OpenOrder, :OrderStatus, :OpenOrderEnd) { |msg| puts msg.t
 if ARGV.empty?
   ib.send_message :RequestGlobalCancel
 else
+  # Will only work for Orders placed under the same :client_id
   ib.cancel_order *ARGV
 end
 

data/bin/contract_details

@@ -18,7 +18,7 @@ require 'ib-ruby'
            144 => IB::Symbols::Stocks[:wrong]}
 
 # Connect to IB TWS.
-ib = IB::Connection.new
+ib = IB::Connection.new :client_id => 1112 # Arbitrary id to identify your script
 
 # Subscribe to TWS alerts/errors
 ib.subscribe(IB::Messages::Incoming::Alert) { |msg| puts msg.to_human }
@@ -34,4 +34,5 @@ ib.subscribe(:ContractData) { |msg| puts msg.contract.inspect }
   ib.send_message :RequestContractData, :id => id, :contract => contract
 end
 
-sleep 2 # Wait for IB to respond to our request
+# Wait for IB to respond to our request
+ib.wait_for :ContractDataEnd

data/bin/depth_of_market

@@ -20,7 +20,7 @@ require 'ib-ruby'
 }
 
 # First, connect to IB TWS.
-ib = IB::Connection.new
+ib = IB::Connection.new :client_id => 1112 # Arbitrary id to identify your script
 
 # Subscribe to TWS alerts/errors
 ib.subscribe(:Alert) { |msg| puts msg.to_human }

data/bin/historic_data

@@ -19,7 +19,7 @@ require 'ib-ruby'
 }
 
 # Connect to IB TWS.
-ib = IB::Connection.new
+ib = IB::Connection.new :client_id => 1112 # Arbitrary id to identify your script
 
 # Subscribe to TWS alerts/errors
 ib.subscribe(:Alert) { |msg| puts msg.to_human }

data/bin/historic_data_cli

@@ -1,11 +1,8 @@
 #!/usr/bin/env ruby
-#
 # This script connects to IB API, and downloads historic data
-# TODO: Fix the Historical command line client
 
 require 'rubygems'
 require 'time'
-require 'duration'
 require 'pathname'
 require 'getopt/long'
 require 'bundler/setup'
@@ -20,22 +17,19 @@ include Getopt
 opt = Getopt::Long.getopts(
     ["--help", BOOLEAN],
     ["--end", REQUIRED],
+    ["--port", REQUIRED],
     ["--security", REQUIRED],
     ["--duration", REQUIRED],
     ["--barsize", REQUIRED],
-    ["--header", BOOLEAN],
+    ["--csv", BOOLEAN],
     ["--dateformat", REQUIRED],
-    ["--nonregularhours", BOOLEAN],
+    ["--nonregularhours", BOOLEAN]
 )
 
 if opt["help"] || opt["security"].nil? || opt["security"].empty?
   puts <<ENDHELP
 
-***
-
-This program requires a TWS running on localhost on the standard port
-that uses API protocol version 15 or higher. Any modern TWS should
-work. (Patches to make it work on an arbitrary host/port are welcome.)
+This program requires a TWS or Gateway running on localhost.
 
 ----------
 
@@ -46,82 +40,65 @@ One argument is required: --security, the security specification you want, in
 
 Fields not needed for a particular security should be left blank (e.g. strike and right are only relevant for options.)
 
-For example, to query the British pound futures contract trading on Globex expiring in September, 2008,
-the correct command line is:
+For example, to query the Apple 500 Strike Call expiring in January 2013, use:
 
-  ./RequestHistoricData.rb --security GBP:FUT:200809:::62500:GLOBEX::USD:
+  $ historic_data_cli --security AAPL:OPT:201301:500:CALL::SMART::USD:
 
-Consult datatypes.rb for allowed values, and see also the examples in the symbols/ directory (load them in
-irb and run security#serialize_ib_ruby(ib_version) to see the appropriate string.)
+Consult contract.rb for allowed values, and see also the examples in the symbols/ directory
+(load them in irb and run security#serialize_ib_ruby to see the appropriate string.)
 
-***
+----------
 
 Options:
 
 --end is is the last time we want data for. The default is now.
   This is eval'ed by Ruby, so you can use a Ruby expression, which must return a Time object.
 
+--duration is time period before --end, in seconds. The default is 86400 sec (1 day).
+  TWS imposes limit of 86400 sec (1 day) worth of historic data per request.
 
---duration is how much historic data we want, in seconds, before --end's time.
-  The default is 86400 (seconds, which is 1 day.)
-  The TWS-imposed limit is 86400 (1 day per request.) Requests for more than 86400 seconds worth of historic data will fail.
-
---what determines what the data will be comprised of. This can be "trades", "midpoint", "bid", or "asked".
-  The default is "trades".
+--what determines what the data will be comprised of. This can be
+  "trades", "midpoint", "bid", or "ask". The default is "trades".
 
 --barsize determines how long each bar will be.
 
-Possible values (from the IB documentation):
-
- 1 = 1 sec
- 2 = 5 sec
- 3 = 15 sec
- 4 = 30 sec
- 5 = 1 minute
- 6 = 2 minutes
- 7 = 5 minutes
- 8 = 15 minutes
- 9 = 30 minutes
- 10 = 1 hour
- 11 = 1 day
+  Possible bar values (from the IB documentation):
+  Values less than 30 sec do not appear to work for some securities.
 
- Values less than 4 do not appear to work for some securities.
- The default is 8, 15 minutes.
+  sec1 = 1 sec
+  sec5 = 5 sec
+  sec15 = 15 sec
+  sec30 = 30 sec
+  min1 = 1 minute
+  min2 = 2 minutes
+  min5 = 5 minutes
+  min15 = 15 minutes (default)
+  min30 = 30 minutes
+  hour1 = 1 hour
+  day1 = 1 day
 
---nonregularhours :
- Normally, only data from the instrument's regular trading hours is returned.
- If --nonregularhours is given, all data available during the time
- span requested is returned, even data bars covering time
- intervals where the market in question was illiquid. If
+--nonregularhours : Normally, only data from the instrument's regular trading
+ hours is returned. If --nonregularhours is given, all data available during the time
+ span requested is returned, even for time intervals when the market was illiquid.
 
+--dateformat : 1 (default) human-readable time/date format, like "20050307 11:32:16".
+ If you set it to 2 instead, you will get UNIX epoch offsets (seconds since Jan 1, 1970).
 
---dateformat : a --dateformat of 1 will cause the dates in the returned
- messages with the historic data to be in a text format, like
- "20050307 11:32:16". If you set it to 2 instead, you
- will get an offset in seconds from the beginning of 1970, which
- is the same format as the UNIX epoch time.
+--csv : print out the historic data in CSV format, with header.
 
- The default is 1 (human-readable time.)
-
---header : if present, prints a 1 line CSV header describing the fields in the CSV.
-
- Otherwise, in the default mode, prints only the historic data (and any errors),
- and prints the data in CSV format.
+--port : 4001 for Gateway (default), 7496 for TWS, or your custom port
 
 ENDHELP
-
   exit
-
 end
 
 ### Parameters
 
 # DURATION is how much historic data we want, in seconds, before END_DATE_TIME.
-# (The 'duration' gem gives us methods like #hour on integers.)
-DURATION = (opt["duration"] && opt["duration"].to_i) || 1.day
+DURATION = (opt["duration"] && opt["duration"].to_i) || 86400
 
 if DURATION > 86400
-  STDERR.puts("\nTWS does not accept a --duration longer than 86400 seconds (1 day.) Please try again with a smaller duration.\n\n")
+  STDERR.puts("\nTWS rejects --duration longer than 86400 seconds (1 day).\n")
   exit(1)
 end
 
@@ -131,22 +108,10 @@ END_DATE_TIME = (opt["end"] && eval(opt["end"]).to_ib) || Time.now.to_ib
 # This can be :trades, :midpoint, :bid, or :asked
 WHAT = (opt["what"] && opt["what"].to_sym) || :trades
 
-# Possible bar size values:
-# 1 = 1 sec
-# 2 = 5 sec
-# 3 = 15 sec
-# 4 = 30 sec
-# 5 = 1 minute
-# 6 = 2 minutes
-# 7 = 5 minutes
-# 8 = 15 minutes
-# 9 = 30 minutes
-# 10 = 1 hour
-# 11 = 1 day
-#
+
 # Values less than 4 do not appear to actually work; they are rejected by the server.
 #
-BAR_SIZE = (opt["barsize"] && opt["barsize"].to_i) || 8
+BAR_SIZE = (opt["barsize"] && opt["barsize"].to_sym) || :min15
 
 # If REGULAR_HOURS_ONLY is set to 0, all data available during the time
 # span requested is returned, even data bars covering time
@@ -165,25 +130,16 @@ REGULAR_HOURS_ONLY = opt["nonregularhours"] ? 0 : 1
 
 DATE_FORMAT = (opt["dateformat"] && opt["dateformat"].to_i) || 1
 
-#
-# 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.
-#
-# Note that as of 4/07 there is no historical data available for forex spot.
-#
-@market = {123 => opt["security"]}
+PORT = (opt["port"] && opt["port"]) || '4001'
 
 # First, connect to IB TWS.
-ib = IB::Connection.new
+ib = IB::Connection.new :client_id => 1112 # Arbitrary id to identify your script
 
-puts "datetime,open,high,low,close,volume,wap,has_gaps" if !opt["header"].nil?
+# Subscribe to TWS alerts/errors
+ib.subscribe(:Alert) { |msg| puts msg.to_human }
 
 lastMessageTime = Queue.new # for communicating with the reader thread.
 
-#
 # Subscribe to incoming HistoricalData events. The code passed in the
 # block will be executed when a message of the subscribed type is
 # received, with the received message as its argument. In this case,
@@ -194,15 +150,15 @@ lastMessageTime = Queue.new # for communicating with the reader thread.
 # The incoming message packet from TWS just identifies it by ticker id.
 #
 ib.subscribe(:HistoricalData) do |msg|
-  STDERR.puts @market[msg.data[:req_id]].description + ": " + msg.data[:item_count].to_s("F") + " items:" if VERBOSE
-
-  msg.data[:results].each do |datum|
-    if VERBOSE
-      puts datum.to_s
-    else
-      puts "#{datum.date},#{datum.open},#{datum.high},#{datum.low}," +
+  if opt["csv"]
+    puts "date,time,open,high,low,close,volume,wap,has_gaps"
+    msg.results.each do |datum|
+      puts "#{datum.time},#{datum.open},#{datum.high},#{datum.low}," +
                "#{datum.close},#{datum.volume},#{datum.wap},#{datum.has_gaps}"
     end
+  else
+    STDERR.puts "Received #{msg.count} items:"
+    msg.results.each { |datum| puts datum.to_s }
   end
   lastMessageTime.push(Time.now)
 end
@@ -210,18 +166,15 @@ end
 # Now we actually request historical data for the symbols we're
 # interested in.  TWS will respond with a HistoricalData message,
 # which will be received by the code above.
-@market.each_pair { |id, contract|
-  ib.send_message :RequestHistoricalData,
-                  :id => id,
-                  :contract => contract,
-                  :end_date_time => END_DATE_TIME,
-                  :duration => DURATION, # seconds == 1 hour
-                  :bar_size => BAR_SIZE, # 1 minute bars
-                  :what_to_show => WHAT,
-                  :use_RTH => REGULAR_HOURS_ONLY,
-                  :format_date => DATE_FORMAT
-
-}
+ib.send_message :RequestHistoricalData,
+                :request_id => 123,
+                :contract => opt["security"],
+                :end_date_time => END_DATE_TIME,
+                :duration => DURATION, # seconds == 1 hour
+                :bar_size => BAR_SIZE, # 1 minute bars
+                :what_to_show => WHAT,
+                :use_RTH => REGULAR_HOURS_ONLY,
+                :format_date => DATE_FORMAT
 
 # A complication here is that IB does not send any indication when all historic data is done being delivered.
 # So we have to guess - when there is no more new data for some period, we interpret that as "end of data" and exit.

data/bin/list_orders

@@ -12,12 +12,12 @@ require 'bundler/setup'
 require 'ib-ruby'
 
 # First, connect to IB TWS.
-ib = IB::Connection.new :client_id => 0
+ib = IB::Connection.new :client_id => 0 # All Orders, including TWS-generated ones
 
 # Subscribe to TWS alerts/errors and order-related messages
 @counter = 0
 
-ib.subscribe(:Alert, :OrderStatus) { |msg| puts msg.to_human }
+ib.subscribe(:Alert, :OrderStatus, :OpenOrderEnd) { |msg| puts msg.to_human }
 
 ib.subscribe(:OpenOrder) do |msg|
   @counter += 1
@@ -26,4 +26,5 @@ end
 
 ib.send_message :RequestAllOpenOrders
 
-sleep 2
+# Wait for IB to respond to our request
+ib.wait_for :OpenOrderEnd

data/bin/market_data

@@ -18,7 +18,7 @@ require 'ib-ruby'
            789 => IB::Symbols::Forex[:usdcad]}
 
 # First, connect to IB TWS.
-ib = IB::Connection.new
+ib = IB::Connection.new :client_id => 1112 # Arbitrary id to identify your script
 
 ## Subscribe to TWS alerts/errors
 ib.subscribe(:Alert) { |msg| puts msg.to_human }