ib-ruby 0.6.1 → 0.7.0

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

@@ -34,12 +34,27 @@ module IB
            :exempt_code # int: ?
 
       DEFAULT_PROPS = {:con_id => 0,
-                       :ratio => 0,
                        :open_close => SAME,
                        :short_sale_slot => 0,
                        :designated_location => '',
                        :exempt_code => -1, }
 
+      #  Leg's weight is a combination of action and ratio
+      def weight
+        action == 'BUY' ? ratio : -ratio
+      end
+
+      def weight= value
+        value = value.to_i
+        if value > 0
+          self.action = 'BUY'
+          self.ratio = value
+        else
+          self.action = 'SELL'
+          self.ratio = -value
+        end
+      end
+
       # Some messages include open_close, some don't. wtf.
       def serialize *fields
         [con_id,

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

@@ -20,10 +20,11 @@ module IB
 
       # 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
+        keys = [:symbol, :sec_type, :expiry, :strike, :right, :multiplier,
+                :exchange, :primary_exchange, :currency, :local_symbol]
+        props = Hash[keys.zip(string.split(":"))]
+        props.delete_if { |k, v| v.nil? || v.empty? }
+        Contract.new props
       end
 
       # Fields are Strings unless noted otherwise
@@ -62,7 +63,7 @@ module IB
                # non-aggregate (ie not the SMART) exchange that the contract trades on.
                proc { |val|
                  val.upcase! if val.is_a?(String)
-                 raise(ArgumentError.new("Don't set primary_exchange to smart")) if val == 'SMART'
+                 error "Don't set primary_exchange to smart", :args if val == 'SMART'
                  self[:primary_exchange] = val
                },
 
@@ -77,7 +78,7 @@ module IB
                        when 'CALL', 'C'
                          'CALL'
                        else
-                         raise ArgumentError.new("Invalid right '#{val}' (must be one of PUT, CALL, P, C)")
+                         error "Right must be one of PUT, CALL, P, C - not '#{val}'", :args
                      end
                },
 
@@ -90,7 +91,7 @@ module IB
                        when nil, ''
                          nil
                        else
-                         raise ArgumentError.new("Invalid expiry '#{val}' (must be in format YYYYMM or YYYYMMDD)")
+                         error "Invalid expiry '#{val}' (must be in format YYYYMM or YYYYMMDD)", :args
                      end
                },
 
@@ -98,7 +99,7 @@ module IB
                proc { |val|
                  val = nil if !val.nil? && val.empty?
                  unless val.nil? || SECURITY_TYPES.values.include?(val)
-                   raise(ArgumentError.new("Invalid security type '#{val}' (must be one of #{SECURITY_TYPES.values}"))
+                   error "Invalid security type '#{val}' (must be one of #{SECURITY_TYPES.values}", :args
                  end
                  self[:sec_type] = val
                }
@@ -154,6 +155,13 @@ module IB
            :under_delta, # double: The underlying stock or future delta.
            :under_price #  double: The price of the underlying.
 
+      # Legs arriving via OpenOrder message, need to define them here
+      attr_accessor :legs # leg definitions for this contract.
+      alias combo_legs legs
+      alias combo_legs= legs=
+      alias combo_legs_description legs_description
+      alias combo_legs_description= legs_description=
+
       attr_accessor :description # NB: local to ib-ruby, not part of TWS.
 
       DEFAULT_PROPS = {:con_id => 0,
@@ -230,8 +238,8 @@ module IB
       # expiring in September, 2008, the string is:
       #
       #    GBP:FUT:200809:::62500:GLOBEX::USD:
-      def serialize_ib_ruby version
-        serialize.join(":")
+      def serialize_ib_ruby
+        serialize_long.join(":")
       end
 
       # Contract comparison

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

@@ -13,16 +13,10 @@ module IB
         # The exception is for a STK legs, which must specify the SMART exchange.
         # 2. :symbol => "USD" For combo Contract, this is an arbitrary value (like �USD�)
 
-        attr_reader :legs # leg definitions for this contract.
-
-        alias combo_legs legs
-        alias combo_legs_description legs_description
-        alias combo_legs_description= legs_description=
-
         def initialize opts = {}
-          super opts
           @legs = Array.new
           self[:sec_type] = IB::SECURITY_TYPES[:bag]
+          super opts
         end
 
         def description

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

@@ -20,6 +20,7 @@ module IB
            :cumulative_quantity, # int: Cumulative quantity. Used in regular
            #                            trades, combo trades and legs of the combo
            :liquidation, #  int: This position is liquidated last should the need arise.
+           :order_ref, #  int: Same order_ref as in corresponding Order
            [:account_name, :account_number], # String: The customer account number.
            :side => #     String: Was the transaction a buy or a sale: BOT|SLD
                {:set => proc { |val| self[:side] = val.to_s.upcase[0..0] == 'B' ? :buy : :sell }}
@@ -34,7 +35,7 @@ module IB
       def to_s
         "<Execution #{time}: #{side} #{shares} @ #{price} on #{exchange}, " +
             "cumulative: #{cumulative_quantity} @ #{average_price}, " +
-            "ids: #{order_id} order, #{perm_id} perm, #{exec_id} exec>"
+            "ids: #{exec_id} exec #{perm_id} perm #{order_id} order #{order_ref} ref>"
       end
     end # Execution
   end # module Models

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

@@ -14,7 +14,7 @@ module IB
       # If a opts hash is given, keys are taken as attribute names, values as data.
       # The model instance fields are then set automatically from the opts Hash.
       def initialize(opts={})
-        raise ArgumentError.new("Argument must be a Hash") unless opts.is_a?(Hash)
+        error "Argument must be a Hash", :args unless opts.is_a?(Hash)
         @created_at = Time.now
 
         props = self.class::DEFAULT_PROPS.merge(opts)

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

@@ -42,9 +42,6 @@ module IB
       Volatility_Ref_Price_Average = 1
       Volatility_Ref_Price_BidOrAsk = 2
 
-      # No idea why IB uses a large number as the default for some fields
-      Max_Value = 99999999
-
       # Main order fields
       prop :order_id, #  int: Order id associated with client (volatile).
            :client_id, # int: The id of the client that placed this order.
@@ -106,7 +103,7 @@ module IB
            #          GTD          Good-till-Date/Time
            #          GTC          Good-till-Canceled
            #          IOC          Immediate-or-Cancel
-           :oca_group, #   String: one cancels all group name
+           :oca_group, #   String: Identifies a member of a one-cancels-all group.
            :oca_type, # int: Tells how to handle remaining orders in an OCA group
            #            when one order or part of an order executes. Valid values:
            #            - 1 = Cancel all remaining orders with block
@@ -144,14 +141,20 @@ module IB
            #          and the spread between the bid and ask must be less than
            #          0.1% of the midpoint
 
+           :what_if, # bool: Use to request pre-trade commissions and margin
+           # information. If set to true, margin and commissions data is received
+           # back via the OrderState() object for the openOrder() callback.
+           :not_held, # public boolean  m_notHeld; // Not Held
            :outside_rth, # bool: allows orders to also trigger or fill outside
            #               of regular trading hours. (WAS: ignore_rth)
            :hidden, #      bool: the order will not be visible when viewing
            #               the market depth. Only for ISLAND exchange.
-           :good_after_time, # FORMAT: 20060505 08:00:00 {time zone}
-           #                  Use an empty String if not applicable.
-           :good_till_date, #  FORMAT: 20060505 08:00:00 {time zone}
-           #                  Use an empty String if not applicable.
+           :good_after_time, # Indicates that the trade should be submitted after the
+           #        time and date set, format YYYYMMDD HH:MM:SS (seconds are optional).
+           :good_till_date, # Indicates that the trade should remain working until the
+           #        time and date set, format YYYYMMDD HH:MM:SS (seconds are optional).
+           #        You must set the :tif to GTD when using this string.
+           #        Use an empty String if not applicable.
            :override_percentage_constraints, # bool: Precautionary constraints defined on
            # the TWS Presets page ensure that your price and size order values are reasonable.
            # Orders sent from the API are also validated against these safety constraints,
@@ -164,6 +167,8 @@ module IB
            :min_quantity, #     int: Identifies a minimum quantity order type.
            :percent_offset, #   double: percent offset amount for relative (REL)orders only
            :trail_stop_price, # double: for TRAILLIMIT orders only
+           # As of client v.56, we receive trailing_percent in openOrder
+           :trailing_percent,
 
            # Financial advisors only - use an empty String if not applicable.
            :fa_group, :fa_profile, :fa_method, :fa_percentage,
@@ -171,7 +176,7 @@ module IB
            # Institutional orders only!
            :open_close, #      String: O=Open, C=Close
            :origin, #          0=Customer, 1=Firm
-           :order_ref, #       String: The order reference. For institutional customers only.
+           :order_ref, #       String: Order reference. Customer defined order ID tag.
            :short_sale_slot, # 1 - you hold the shares,
            #                   2 - they will be delivered from elsewhere.
            #                   Only for Action="SSHORT
@@ -192,6 +197,7 @@ module IB
            :etrade_only, #     bool: Trade with electronic quotes.
            :firm_quote_only, # bool: Trade with firm quotes.
            :nbbo_price_cap, #  double: Maximum Smart order distance from the NBBO.
+           :opt_out_smart_routing, # Australian exchange only, default false
 
            # BOX or VOL ORDERS ONLY
            :auction_strategy, # For BOX exchange only. Valid values:
@@ -219,38 +225,61 @@ module IB
            #     - 1 = Average of National Best Bid or Ask,
            #     - 2 = National Best Bid when buying a call or selling a put;
            #           and National Best Ask when selling a call or buying a put.
+           :continuous_update, # int: Used for dynamic management of volatility orders.
+           # Determines whether TWS is supposed to update the order price as the underlying
+           # moves. If selected, the limit price sent to an exchange is modified by TWS
+           # if the computed price of the option changes enough to warrant doing so. This
+           # is helpful in keeping the limit price up to date as the underlying price changes.
            :delta_neutral_order_type, # String: Enter an order type to instruct TWS
            #    to submit a delta neutral trade on full or partial execution of the
            #    VOL order. For no hedge delta order to be sent, specify NONE.
            :delta_neutral_aux_price, #  double: Use this field to enter a value if
            #           the value in the deltaNeutralOrderType field is an order
            #           type that requires an Aux price, such as a REL order.
-           :continuous_update, # int: Used for dynamic management of volatility orders.
-           # Determines whether TWS is supposed to update the order price as the underlying
-           # moves. If selected, the limit price sent to an exchange is modified by TWS
-           # if the computed price of the option changes enough to warrant doing so. This
-           # is helpful in keeping the limit price up to date as the underlying price changes.
+
+           # As of client v.52, we also receive delta... params in openOrder
+           :delta_neutral_con_id,
+           :delta_neutral_settling_firm,
+           :delta_neutral_clearing_account,
+           :delta_neutral_clearing_intent,
+
+           # HEDGE ORDERS ONLY:
+           # As of client v.49/50, we can now add hedge orders using the API.
+           # Hedge orders are child orders that take additional fields. There are four
+           # types of hedging orders supported by the API: Delta, Beta, FX, Pair.
+           # All hedge orders must have a parent order submitted first. The hedge order
+           # should set its :parent_id. If the hedgeType is Beta, the beta sent in the
+           # hedgeParm can be zero, which means it is not used. Delta is only valid
+           # if the parent order is an option and the child order is a stock.
+
+           :hedge_type, # String: D = Delta, B = Beta, F = FX or P = Pair
+           :hedge_param, # String; value depends on the hedgeType; sent from the API
+           # only if hedge_type is NOT null. It is required for Pair hedge order,
+           # optional for Beta hedge orders, and ignored for Delta and FX hedge orders.
 
            # COMBO ORDERS ONLY:
            :basis_points, #      double: EFP orders only
            :basis_points_type, # double: EFP orders only
 
-           # SCALE ORDERS ONLY
-           :scale_init_level_size, # int: Size of the first (initial) order component.
-           :scale_subs_level_size, # int: Order size of the subsequent scale order
-           #             components. Used in conjunction with scaleInitLevelSize().
-           :scale_price_increment, # double: Defines the price increment between
-           # scale components. This field is required for Scale orders.
-
-           # ALGO ORDERS ONLY
+           # ALGO ORDERS ONLY:
            :algo_strategy, # String
            :algo_params, # public Vector<TagValue> m_algoParams; ?!
 
-           # WTF?!
-           :what_if, # bool: Use to request pre-trade commissions and margin
-           # information. If set to true, margin and commissions data is received
-           # back via the OrderState() object for the openOrder() callback.
-           :not_held # public boolean  m_notHeld; // Not Held
+           # SCALE ORDERS ONLY:
+           :scale_init_level_size, # int: Size of the first (initial) order component.
+           :scale_subs_level_size, # int: Order size of the subsequent scale order
+           #             components. Used in conjunction with scaleInitLevelSize().
+           :scale_price_increment, # double: Price increment between scale components.
+           #                         This field is required for Scale orders.
+
+           # As of client v.54, we can receive additional scale order fields:
+           :scale_price_adjust_value,
+           :scale_price_adjust_interval,
+           :scale_profit_offset,
+           :scale_auto_reset,
+           :scale_init_position,
+           :scale_init_fill_qty,
+           :scale_random_percent
 
       # Some Order properties (received back from IB) are separated into
       # OrderState object. Here, they are lumped into Order proper: see OrderState.java
@@ -283,11 +312,9 @@ module IB
            #   the order is inactive due to system, exchange or other issues.
            :commission, # double: Shows the commission amount on the order.
            :commission_currency, # String: Shows the currency of the commission.
-
            #The possible range of the actual order commission:
            :min_commission,
            :max_commission,
-
            :warning_text, # String: Displays a warning message if warranted.
 
            # String: Shows the impact the order would have on your initial margin.
@@ -299,6 +326,13 @@ module IB
            # String: Shows the impact the order would have on your equity with loan value.
            :equity_with_loan => proc { |val| self[:equity_with_loan] = filter_max val }
 
+
+      # Returned in OpenOrder for Bag Contracts
+      # public Vector<OrderComboLeg> m_orderComboLegs
+      attr_accessor :leg_prices, :combo_params
+      alias order_combo_legs leg_prices
+      alias smart_combo_routing_params combo_params
+
       # IB uses weird String with Java Double.MAX_VALUE to indicate no value here
       def filter_max val
         val == "1.7976931348623157E308" ? nil : val.to_f
@@ -308,31 +342,41 @@ module IB
                        :parent_id => 0,
                        :tif => 'DAY',
                        :outside_rth => false,
-                       :open_close => "O",
+                       :open_close => 'O',
                        :origin => Origin_Customer,
                        :transmit => true,
                        :designated_location => '',
                        :exempt_code => -1,
                        :delta_neutral_order_type => '',
+                       :delta_neutral_con_id => 0,
+                       :delta_neutral_settling_firm => '',
+                       :delta_neutral_clearing_account => '',
+                       :delta_neutral_clearing_intent => '',
+                       :algo_strategy => '',
                        :what_if => false,
                        :not_held => false,
-                       :algo_strategy => '', }
+                       :scale_auto_reset => false,
+                       :scale_random_percent => false,
+                       :opt_out_smart_routing => false,
+      }
 
       def initialize opts = {}
-        @algo_params = []
+        @leg_prices = []
+        @algo_params = {}
+        @combo_params = {}
         super opts
       end
 
       # This returns an Array of data from the given order,
       # mixed with data from associated contract. Ugly mix, indeed.
-      def serialize_with contract
+      def serialize_with server, contract
         [contract.serialize_long(:con_id, :sec_id),
          action, # main order fields
          total_quantity,
          order_type,
          limit_price,
          aux_price,
-         tif, # xtended order fields
+         tif, # extended order fields
          oca_group,
          account,
          open_close,
@@ -347,6 +391,21 @@ module IB
          outside_rth, # was: ignore_rth
          hidden,
          contract.serialize_legs(:extended),
+
+         # Support for per-leg prices in Order
+         if server[:server_version] >= 61
+           leg_prices.empty? ? 0 : [leg_prices.size] + leg_prices
+         else
+           []
+         end,
+
+         # Support for combo routing params in Order
+         if server[:server_version] >= 57 && contract.sec_type == 'BAG'
+           combo_params.empty? ? 0 : [combo_params.size] + combo_params.to_a
+         else
+           []
+         end,
+
          '', # deprecated shares_allocation field
          discretionary_amount,
          good_after_time,
@@ -357,32 +416,33 @@ module IB
          fa_profile,
          short_sale_slot, #     0 only for retail, 1 or 2 for institution  (Institutional)
          designated_location, # only populate when short_sale_slot == 2    (Institutional)
+         exempt_code,
          oca_type,
          rule_80a,
          settling_firm,
          all_or_none,
-         min_quantity || EOL,
-         percent_offset || EOL,
+         min_quantity,
+         percent_offset,
          etrade_only,
          firm_quote_only,
-         nbbo_price_cap || EOL,
-         auction_strategy || EOL,
-         starting_price || EOL,
-         stock_ref_price || EOL,
-         delta || EOL,
-         stock_range_lower || EOL,
-         stock_range_upper || EOL,
+         nbbo_price_cap,
+         auction_strategy,
+         starting_price,
+         stock_ref_price,
+         delta,
+         stock_range_lower,
+         stock_range_upper,
          override_percentage_constraints,
-         volatility || EOL, #              Volatility orders
-         volatility_type || EOL, #         Volatility orders
-         delta_neutral_order_type, #       Volatility orders
-         delta_neutral_aux_price || EOL, # Volatility orders
-         continuous_update, #              Volatility orders
-         reference_price_type || EOL, #    Volatility orders
-         trail_stop_price || EOL, #        TRAIL_STOP_LIMIT stop price
-         scale_init_level_size || EOL, #   Scale Orders
-         scale_subs_level_size || EOL, #   Scale Orders
-         scale_price_increment || EOL, #   Scale Orders
+         volatility, #               Volatility orders
+         volatility_type, #          Volatility orders
+         delta_neutral_order_type, # Volatility orders
+         delta_neutral_aux_price, #  Volatility orders
+         continuous_update, #        Volatility orders
+         reference_price_type, #     Volatility orders
+         trail_stop_price, #         TRAIL_STOP_LIMIT stop price
+         scale_init_level_size, #    Scale Orders
+         scale_subs_level_size, #    Scale Orders
+         scale_price_increment, #    Scale Orders
          clearing_account,
          clearing_intent,
          not_held,
@@ -393,7 +453,7 @@ module IB
 
       def serialize_algo
         if algo_strategy.nil? || algo_strategy.empty?
-          ['']
+          ''
         else
           [algo_strategy,
            algo_params.size,
@@ -403,9 +463,9 @@ module IB
 
       # Order comparison
       def == other
-        perm_id && perm_id == other.perm_id ||
+        perm_id && other.perm_id && perm_id == other.perm_id ||
             order_id == other.order_id && #   ((p __LINE__)||true) &&
-                client_id == other.client_id &&
+                (client_id == other.client_id || client_id == 0 || other.client_id == 0) &&
                 parent_id == other.parent_id &&
                 tif == other.tif &&
                 action == other.action &&