ib-ruby 0.6.1 → 0.7.0

data/lib/ib-ruby/socket.rb

@@ -4,7 +4,12 @@ module IB
   class IBSocket < TCPSocket
 
     # send nice null terminated binary data into socket
-    def send data
+    def write_data data
+      # TWS wants to receive booleans as 1 or 0
+      data = "1" if data == true
+      data = "0" if data == false
+
+      #p data.to_s + EOL
       self.syswrite(data.to_s + EOL)
     end
 
@@ -26,11 +31,12 @@ module IB
 
     def read_int_max
       str = self.read_string
-      str.nil? || str.empty? ? nil : str.to_i
+      str.to_i unless str.nil? || str.empty?
     end
 
     def read_boolean
-      self.read_string.to_i != 0
+      str = self.read_string
+      str.nil? ? false : str.to_i != 0
     end
 
     def read_decimal
@@ -60,6 +66,21 @@ module IB
     def read_decimal_limit_2
       read_decimal_limit -2
     end
+
+    ### Complex operations
+
+    # Returns loaded Array or [] if count was 0
+    def read_array &block
+      count = read_int
+      count > 0 ? Array.new(count, &block) : []
+    end
+
+    # Returns loaded Hash
+    def read_hash
+      tags = read_array { |_| [read_string, read_string] }
+      tags.empty? ? Hash.new : Hash[*tags.flatten]
+    end
+
   end # class IBSocket
 
 end # module IB

data/spec/account_helper.rb

@@ -16,7 +16,8 @@ def verify_account
   @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
   @ib.send_message :RequestAccountData, :subscribe => true
 
-  @ib.wait_for 3, :AccountValue
+  @ib.wait_for :AccountDownloadEnd
+  @ib.send_message :RequestAccountData, :subscribe => false
   raise "Unable to verify IB PAPER ACCOUNT" unless @ib.received?(:AccountValue)
 
   received = @ib.received[:AccountValue].first.account_name

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

@@ -25,7 +25,7 @@ describe IB::Messages::Outgoing do
     end
 
     it 'encodes into Array' do
-      subject.encode.should == [6, 2, true, "DUH"]
+      subject.encode(:server_version => 60).should == [6, 2, true, "DUH"]
     end
 
   end

data/spec/ib-ruby/models/combo_leg_spec.rb

@@ -19,7 +19,6 @@ describe IB::Models::ComboLeg do
 
       it { should_not be_nil }
       its(:con_id) {should == 0}
-      its(:ratio) {should == 0}
       its(:open_close) {should == 0}
       its(:short_sale_slot) {should == 0}
       its(:designated_location) {should == ''}

data/spec/integration/account_info_spec.rb

@@ -12,7 +12,7 @@ describe "Request Account Data", :connected => true, :integration => true do
   context "with subscribe option set" do
     before(:all) do
       @ib.send_message :RequestAccountData, :subscribe => true
-      @ib.wait_for 5, :AccountDownloadEnd
+      @ib.wait_for :AccountDownloadEnd, 5 # sec
     end
     after(:all) do
       @ib.send_message :RequestAccountData, :subscribe => false
@@ -25,7 +25,7 @@ describe "Request Account Data", :connected => true, :integration => true do
   context "without subscribe option" do
     before(:all) do
       @ib.send_message :RequestAccountData
-      @ib.wait_for 5, :AccountDownloadEnd
+      @ib.wait_for :AccountDownloadEnd, 5 # sec
     end
 
     after(:all) do

data/spec/integration/contract_info_spec.rb

@@ -16,7 +16,7 @@ describe "Request Contract Info", :connected => true, :integration => true do
       @contract = IB::Models::Contract.new :symbol => 'AAPL',
                                            :sec_type => IB::SECURITY_TYPES[:stock]
       @ib.send_message :RequestContractData, :id => 111, :contract => @contract
-      @ib.wait_for 3, :ContractDataEnd
+      @ib.wait_for :ContractDataEnd, 3 # sec
     end
 
     after(:all) { clean_connection } # Clear logs and message collector
@@ -66,7 +66,7 @@ describe "Request Contract Info", :connected => true, :integration => true do
                                                    :right => "CALL",
                                                    :strike => 500
       @ib.send_message :RequestContractData, :id => 123, :contract => @contract
-      @ib.wait_for 3, :ContractDataEnd
+      @ib.wait_for :ContractDataEnd, 3 # sec
     end
 
     after(:all) { clean_connection } # Clear logs and message collector
@@ -112,7 +112,7 @@ describe "Request Contract Info", :connected => true, :integration => true do
                                            :exchange => "IDEALPRO",
                                            :sec_type => IB::SECURITY_TYPES[:forex]
       @ib.send_message :RequestContractData, :id => 135, :contract => @contract
-      @ib.wait_for 3, :ContractDataEnd
+      @ib.wait_for :ContractDataEnd, 3 # sec
     end
 
     after(:all) { clean_connection } # Clear logs and message collector
@@ -155,7 +155,7 @@ describe "Request Contract Info", :connected => true, :integration => true do
     before(:all) do
       @contract = IB::Symbols::Futures[:ym] # Mini Dow Jones Industrial
       @ib.send_message :RequestContractData, :id => 147, :contract => @contract
-      @ib.wait_for 3, :ContractDataEnd
+      @ib.wait_for :ContractDataEnd, 3 # sec
     end
 
     after(:all) { clean_connection } # Clear logs and message collector

data/spec/integration/depth_data_spec.rb

@@ -10,7 +10,7 @@ describe 'Request Depth of Market Data', :connected => true,
     @ib.send_message :RequestMarketDepth, :id => 456, :num_rows => 3,
                      :contract => IB::Symbols::Forex[:eurusd]
 
-    @ib.wait_for 10, [:MarketDepth, 8]
+    @ib.wait_for [:MarketDepth, 4], 6 # sec
   end
 
   after(:all) do
@@ -20,7 +20,7 @@ describe 'Request Depth of Market Data', :connected => true,
 
   subject { @ib.received[:MarketDepth].last }
 
-  it { @ib.received[:MarketDepth].should have_at_least(8).depth_data }
+  it { @ib.received[:MarketDepth].should have_at_least(4).depth_data }
 
   it { should be_an IB::Messages::Incoming::MarketDepth }
   its(:request_id) { should == 456 }
@@ -30,7 +30,7 @@ describe 'Request Depth of Market Data', :connected => true,
 
   it 'has position field reflecting the row Id of this market depth entry' do
     subject.position.should be_an Integer
-    subject.position.should be >= 1
+    subject.position.should be >= 0
     subject.position.should be <= 3
   end
 

data/spec/integration/historic_data_spec.rb

@@ -37,7 +37,7 @@ describe 'Request Historic Data', :connected => true, :integration => true do
     before(:all) do
       # No historical data for GBP/CASH@IDEALPRO
       @ib.send_message :RequestHistoricalData, CORRECT_OPTS
-      @ib.wait_for 5, :HistoricalData
+      @ib.wait_for :HistoricalData, 5 # sec
     end
 
     subject { @ib.received[:HistoricalData].last }

data/spec/integration/market_data_spec.rb

@@ -19,7 +19,7 @@ describe 'Request Market Data', :connected => true, :integration => true do
                                            :description => "Apple"
       )
       @ib.send_message :RequestMarketData, :id => 456, :contract => @contract
-      @ib.wait_for 5, :TickSize, :TickString
+      @ib.wait_for :TickSize, :TickString, 3 # sec
     end
 
     after(:all) do
@@ -48,12 +48,12 @@ describe 'Request Market Data', :connected => true, :integration => true do
       before(:all) do
         @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
 
-        ##TODO consider a follow the sun market lookup for windening the types tested
+        ##TODO consider a follow the sun market lookup for widening the types tested
         @ib.subscribe(:Alert, :TickPrice, :TickSize) {}
         @ib.send_message :RequestMarketData, :id => 456,
                          :contract => IB::Symbols::Forex[:eurusd]
 
-        @ib.wait_for 3, :TickPrice, :TickSize
+        @ib.wait_for :TickPrice, :TickSize, 3 # sec
       end
 
       after(:all) do
@@ -84,7 +84,7 @@ describe 'Request Market Data', :connected => true, :integration => true do
 
         @ib.send_message :RequestMarketData, :id => 456,
                          :contract => IB::Symbols::Forex[:eurusd]
-        @ib.wait_for 3, :TickPrice, :TickSize
+        @ib.wait_for :TickPrice, :TickSize, 3 # sec
       end
 
       after(:all) do

data/spec/integration/option_data_spec.rb

@@ -9,7 +9,7 @@ describe 'Request Market Data for Options', :if => :us_trading_hours,
 
     @ib.send_message :RequestMarketData, :id => 456,
                      :contract => IB::Symbols::Options[:aapl500]
-    @ib.wait_for 5, :TickPrice, :TickSize, :TickString, :TickOption
+    @ib.wait_for :TickPrice, :TickSize, :TickString, :TickOption, 5 # sec
   end
 
   after(:all) do

data/spec/integration/orders/combo_spec.rb

@@ -0,0 +1,51 @@
+require 'order_helper'
+
+#OPTS[:silent] = false
+
+def butterfly symbol, expiry, right, *strikes
+  raise 'No Connection!' unless @ib && @ib.connected?
+
+  legs = strikes.zip([1, -2, 1]).map do |strike, weight|
+    # Create contract
+    contract = IB::Models::Contract::Option.new :symbol => symbol,
+                                                :expiry => expiry,
+                                                :right => right,
+                                                :strike => strike
+    # Find out contract's con_id
+    @ib.clear_received :ContractData, :ContractDataEnd
+    @ib.send_message :RequestContractData, :id => strike, :contract => contract
+    @ib.wait_for :ContractDataEnd, 3
+    con_id = @ib.received[:ContractData].last.contract.con_id
+
+    # Create Comboleg from con_id and weight
+    IB::Models::ComboLeg.new :con_id => con_id, :weight => weight
+  end
+
+  # Create new Combo contract
+  IB::Models::Contract::Bag.new :symbol => symbol,
+                                :currency => "USD", # Only US options in combo Contracts
+                                :exchange => "SMART",
+                                :legs => legs
+end
+
+describe "Combo Order", :connected => true, :integration => true do
+
+  before(:all) { verify_account }
+
+  context "Limit" do # , :if => :us_trading_hours
+    before(:all) do
+      @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
+      @ib.wait_for :NextValidId
+      @ib.clear_received # to avoid conflict with pre-existing Orders
+
+      @combo = butterfly 'GOOG', '201301', 'CALL', 500, 510, 520
+
+      place_order @combo, :limit_price => 0.01 #, :what_if => true
+      @ib.wait_for [:OpenOrder, 3], [:OrderStatus, 2], 5
+    end
+
+    after(:all) { close_connection }
+
+    it_behaves_like 'Placed Order'
+  end # Limit
+end # Combo Orders

data/spec/integration/orders/execution_spec.rb

@@ -1,5 +1,6 @@
-require 'integration_helper'
+require 'order_helper'
 
+#OPTS[:silent] = false
 describe "Trades", :connected => true, :integration => true, :slow => true do
 
   before(:all) { verify_account }
@@ -21,9 +22,15 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
                     :total_quantity => 20000,
                     :limit_price => 2,
                     :action => 'BUY'
+                    #:all_or_none => 1,
+                    #:fa_profile => 2,
+                    #:percent_offset => 3,
+                    #:clearing_account => 'z',
+                    #:what_if => true
 
         @ib.wait_for(5, :ExecutionData, :OpenOrder) do
-          @ib.received[:OpenOrder].last.order.commission
+          @ib.received[:OpenOrder].last &&
+              @ib.received[:OpenOrder].last.order.commission
         end
       end
 
@@ -43,7 +50,7 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
       it { @ib.received[:ExecutionDataEnd].should be_empty }
 
       it 'receives filled OpenOrder' do
-        open_order_should_be 'Filled', -1
+        order_should_be 'Filled', -1
         msg = @ib.received[:OpenOrder].last
         msg.order.commission.should == 2.5
       end
@@ -53,7 +60,7 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
       end
 
       it 'receives OrderStatus with fill details' do
-        order_status_should_be 'Filled', -1
+        status_should_be 'Filled', -1
       end
     end # Placing BUY
 
@@ -65,7 +72,7 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
                     :limit_price => 1,
                     :action => 'SELL'
 
-        @ib.wait_for(5, :ExecutionData, :OpenOrder) do
+        @ib.wait_for(:ExecutionData, :OpenOrder, 5) do
           @ib.received[:OpenOrder].last.order.commission
         end
       end
@@ -85,7 +92,7 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
       it { @ib.received[:ExecutionData].should have_exactly(1).execution_data }
 
       it 'receives filled OpenOrder' do
-        open_order_should_be 'Filled', -1
+        order_should_be 'Filled', -1
         msg = @ib.received[:OpenOrder].last
         msg.order.commission.should == 2.5
       end
@@ -95,7 +102,7 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
       end
 
       it 'receives OrderStatus with fill details' do
-        order_status_should_be 'Filled', -1
+        status_should_be 'Filled', -1
       end
     end # Placing SELL
 
@@ -107,7 +114,7 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
                          :request_id => 456,
                          :client_id => OPTS[:connection][:client_id],
                          :time => (Time.now-10).to_ib # Time zone problems possible
-        @ib.wait_for 3, :ExecutionData
+        @ib.wait_for :ExecutionData, 3 # sec
       end
 
       #after(:all) { clean_connection }

data/spec/integration/orders/placement_spec.rb

@@ -1,19 +1,19 @@
-require 'integration_helper'
+require 'order_helper'
 
-describe "Orders", :connected => true, :integration => true do
+#OPTS[:silent] = false
+describe 'Orders', :connected => true, :integration => true do
 
   before(:all) { verify_account }
 
-  context "Placing wrong order", :slow => true do
+  context 'Placing wrong order', :slow => true do
 
     before(:all) do
       @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
-
       @ib.wait_for :NextValidId
 
       place_order IB::Symbols::Stocks[:wfc],
                   :limit_price => 9.131313 # Weird non-acceptable price
-      @ib.wait_for 1
+      @ib.wait_for 1 # sec
     end
 
     after(:all) { close_connection }
@@ -39,88 +39,62 @@ describe "Orders", :connected => true, :integration => true do
 
   end # Placing wrong order
 
-  context "Off-market stock order" do
+  context 'What-if order' do
     before(:all) do
       @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
       @ib.wait_for :NextValidId
 
       place_order IB::Symbols::Stocks[:wfc],
-                  :limit_price => 9.13 # Set acceptable price
-      @ib.wait_for [:OpenOrder, 3], [:OrderStatus, 2]
+                  :limit_price => 9.13, # Set acceptable price
+                  :what_if => true # Hypothetical
+      @ib.wait_for 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 { @ib.received[:OpenOrder].should have_at_least(1).open_order_message }
-      it { @ib.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 :RequestOpenOrders
-        @ib.wait_for :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 { @ib.received[:OpenOrder].should have_exactly(1).open_order_message }
-      it { @ib.received[:OrderStatus].should have_exactly(1).status_message }
-      it { @ib.received[:OpenOrderEnd].should have_exactly(1).order_end_message }
-      it { @ib.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
-
-        @ib.wait_for :OrderStatus, :Alert
-      end
+    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
 
-      after(:all) { clean_connection } # Clear logs and message collector
+    it { @ib.received[:OpenOrder].should have_at_least(1).open_order_message }
+    it { @ib.received[:OrderStatus].should have_exactly(0).status_messages }
+
+    it 'returns as what-if Order with margin and commission info' do
+      order_should_be /PreSubmitted/
+      order = @ib.received[:OpenOrder].first.order
+      order.what_if.should == true
+      order.equity_with_loan.should be_a Float
+      order.init_margin.should be_a Float
+      order.maint_margin.should be_a Float
+      order.commission.should be_a Float
+      order.equity_with_loan.should be > 0
+      order.init_margin.should be > 0
+      order.maint_margin.should be > 0
+      order.commission.should be > 1
+    end
 
-      it 'does not increase client`s next_order_id further' do
-        @ib.next_order_id.should == @order_id_after
-      end
+    it 'is not actually opened though' do
+      @ib.clear_received
+      @ib.send_message :RequestOpenOrders
+      @ib.wait_for :OpenOrderEnd
+      @ib.received[:OpenOrder].should have_exactly(0).order_message
+    end
+  end
 
-      it 'does not receive OpenOrder message' do
-        @ib.received?(:OpenOrder).should be_false
-      end
+  context 'Off-market stock order' do
+    before(:all) do
+      @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
+      @ib.wait_for :NextValidId
 
-      it { @ib.received[:OrderStatus].should have_exactly(1).status_message }
-      it { @ib.received[:Alert].should have_exactly(1).alert_message }
+      place_order IB::Symbols::Stocks[:wfc],
+                  :limit_price => 9.13 # Set acceptable price
+      @ib.wait_for [:OpenOrder, 3], [:OrderStatus, 2]
+    end
 
-      it 'receives cancellation Order Status' do
-        order_status_should_be /Cancel/ # Cancelled / PendingCancel
-      end
+    after(:all) { close_connection }
 
-      it 'receives Order cancelled Alert' do
-        alert = @ib.received[:Alert].first
-        alert.should be_an IB::Messages::Incoming::Alert
-        alert.message.should =~ /Order Canceled - reason:/
-      end
-    end # Cancelling
+    it_behaves_like 'Placed Order'
 
     context "Cancelling wrong order" do
       before(:all) do