ib-ruby 0.7.12 → 0.8.0

data/spec/integration/contract_info_spec.rb

@@ -203,3 +203,9 @@ describe "Request Contract Info", :connected => true, :integration => true do
     end
   end # Request Forex data
 end # Contract Data
+
+
+__END__
+ContractData messages v.6 and 8 identical:
+10-8-500-GOOG-OPT-20130118-500-C-SMART-USD-GOOG  130119C00500000-GOOG-GOOG-81032967-0.05-100-ACTIVETIM,ADJUST,ALERT,ALGO,ALLOC,AON,AVGCOST,BASKET,COND,CONDORDER,DAY,DEACT,DEACTDIS,DEACTEOD,FOK,GAT,GTC,GTD,GTT,HID,ICE,IOC,LIT,LMT,MIT,MKT,MTL,NONALGO,OCA,PAON,POSTONLY,RELSTK,SCALE,SCALERST,SMARTSTG,STP,STPLMT,TRAIL,TRAILLIT,TRAILLMT,TRAILMIT,VOLAT,WHATIF,-SMART,AMEX,BATS,BOX,CBOE,CBOE2,IBSX,ISE,MIBSX,NASDAQOM,PHLX,PSE-1-30351181-GOOGLE INC-CL A--201301-Communications-Internet-Web Portals/ISP-EST-20120428:CLOSED;20120430:0930-1600-20120428:CLOSED;20120430:0930-1600-
+10-6-500-GOOG-OPT-20130118-500-C-SMART-USD-GOOG  130119C00500000-GOOG-GOOG-81032967-0.01-100-ACTIVETIM,ADJUST,ALERT,ALGO,ALLOC,AON,AVGCOST,BASKET,COND,CONDORDER,DAY,DEACT,DEACTDIS,DEACTEOD,FOK,GAT,GTC,GTD,GTT,HID,ICE,IOC,LIT,LMT,MIT,MKT,MTL,NONALGO,OCA,PAON,POSTONLY,RELSTK,SCALE,SCALERST,SMARTSTG,STP,STPLMT,TRAIL,TRAILLIT,TRAILLMT,TRAILMIT,VOLAT,WHATIF,-SMART,AMEX,BATS,BOX,CBOE,CBOE2,IBSX,ISE,MIBSX,NASDAQOM,PHLX,PSE-1-30351181-GOOGLE INC-CL A--201301-Communications-Internet-Web Portals/ISP-EST-20120428:CLOSED;20120430:0930-1600-20120428:CLOSED;20120430:0930-1600-

data/spec/integration/orders/attached_spec.rb

@@ -4,8 +4,8 @@ require 'combo_helper'
 def define_contracts
   @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
   @contracts = {
-      :stock => IB::Symbols::Stocks[:wfc],
-      :butterfly => butterfly('GOOG', '201301', 'CALL', 500, 510, 520)
+    :stock => IB::Symbols::Stocks[:wfc],
+    :butterfly => butterfly('GOOG', '201301', 'CALL', 500, 510, 520)
   }
   close_connection
 end
@@ -19,13 +19,12 @@ describe 'Attached Orders', :connected => true, :integration => true do
 
   # Testing different combinations of Parent + Attached Orders:
   [
-      [:stock, 100, 'DAY', 'LMT', 9.13, 20.0], # Parent + takeprofit target
-      #[:stock, 100, 'DAY', 'STP', 9.13, 0.0, 8.0], # Parent + stoploss
-      #[:stock, 100, 'GTC', 'LMT', 9.13, 20.0], # GTC Parent + target
-      [:butterfly, 10, 'DAY', 'LMT', 0.05, 1.0], # Combo Parent + target
-                                                 #[:butterfly, 10, 'GTC', 'LMT', 0.05, 1.0], # GTC Combo Parent + target
-                                                 #[:butterfly, 100, 'GTC', 'STPLMT', 0.05, 0.05, 1.0], # GTC Combo Parent + stoplimit target
-
+    [:stock, 100, 'DAY', 'LMT', 9.13, 20.0], # Parent + takeprofit target
+    #[:stock, 100, 'DAY', 'STP', 9.13, 0.0, 8.0], # Parent + stoploss
+    #[:stock, 100, 'GTC', 'LMT', 9.13, 20.0], # GTC Parent + target
+    [:butterfly, 10, 'DAY', 'LMT', 0.05, 1.0], # Combo Parent + target
+    #[:butterfly, 10, 'GTC', 'LMT', 0.05, 1.0], # GTC Combo Parent + target
+    #[:butterfly, 100, 'GTC', 'STPLMT', 0.05, 0.05, 1.0], # GTC Combo Parent + stoplimit target
   ].each do |(contract, qty, tif, attach_type, limit_price, attach_price, aux_price)|
     context "#{tif} BUY (#{contract}) limit order with attached #{attach_type} SELL" do
       let(:contract_type) { contract }
@@ -38,10 +37,10 @@ describe 'Attached Orders', :connected => true, :integration => true do
         #p [contract, qty, tif, attach_type, limit_price, attach_price, aux_price]
         @contract = @contracts[contract]
         place_order @contract,
-                    :total_quantity => qty,
-                    :limit_price => limit_price,
-                    :tif => tif,
-                    :transmit => false
+        :total_quantity => qty,
+        :limit_price => limit_price,
+        :tif => tif,
+        :transmit => false
 
         @ib.wait_for :OpenOrder, :OrderStatus, 2
       end
@@ -56,12 +55,12 @@ describe 'Attached Orders', :connected => true, :integration => true do
       context "Attaching #{attach_type} order" do
         before(:all) do
           @attached_order = IB::Order.new :limit_price => attach_price,
-                                          :aux_price => aux_price || 0,
-                                          :total_quantity => qty,
-                                          :side => :sell,
-                                          :tif => tif,
-                                          :order_type => attach_type,
-                                          :parent_id => @local_id_placed
+          :aux_price => aux_price || 0,
+          :total_quantity => qty,
+          :side => :sell,
+          :tif => tif,
+          :order_type => attach_type,
+          :parent_id => @local_id_placed
 
           @local_id_attached = @ib.place_order @attached_order, @contract
           @local_id_after = @ib.next_local_id

data/spec/integration/orders/combo_spec.rb

@@ -82,3 +82,4 @@ describe "Combo Order", :connected => true, :integration => true, :slow => true
   end # Limit
 end # Combo Orders
 
+__END__

data/spec/integration/orders/trades_spec.rb

@@ -1,5 +1,48 @@
 require 'order_helper'
 
+def commission_report_should_be status=:with_pnl, exec=@ib.received[:ExecutionData].last.execution
+  msg = @ib.received[:CommissionReport].find { |msg| msg.exec_id == exec.exec_id }
+  msg.should_not be_nil
+  msg.should be_an IB::Messages::Incoming::CommissionReport
+
+  msg.exec_id.should == exec.exec_id
+  msg.commission.should == 2.5 # Fixed commission for Forex
+  msg.currency.should == 'USD'
+  msg.yield.should be_nil
+  msg.yield_redemption_date.should == 0 # no date, YYYYMMDD format for bonds
+
+  if status == :with_pnl
+    msg.realized_pnl.should be_a Float
+    msg.realized_pnl.should be < 10000 # Not Double.MAX_VALUE
+  else
+    msg.realized_pnl.should be_nil
+  end
+end
+
+def execution_should_be side, opts={}
+  msg = @ib.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 == @ib.received[:OpenOrder].last.order.perm_id if @ib.received?(:OpenOrder)
+  exec.client_id.should == OPTS[:connection][:client_id]
+  exec.local_id.should be_an Integer
+  exec.local_id.should == @order.local_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.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 == false
+end
+
 describe "Trades", :connected => true, :integration => true, :slow => true do
 
   before(:all) { verify_account }
@@ -21,7 +64,7 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
                     :total_quantity => 20000,
                     :limit_price => 2,
                     :action => 'BUY'
-                    #:what_if => true
+        #:what_if => true
 
         @ib.wait_for(5, :ExecutionData, :OpenOrder) do
           @ib.received[:OpenOrder].last &&
@@ -57,6 +100,12 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
       it 'receives OrderStatus with fill details' do
         status_should_be 'Filled'
       end
+
+      it 'also receives Commission Reports' do
+        @ib.received[:CommissionReport].should have_exactly(1).report
+
+        commission_report_should_be :no_pnl, @ib.received[:ExecutionData].last.execution
+      end
     end # Placing BUY
 
     context "Placing SELL order" do
@@ -99,6 +148,12 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
       it 'receives OrderStatus with fill details' do
         status_should_be 'Filled'
       end
+
+      it 'also receives Commission Reports' do
+        @ib.received[:CommissionReport].should have_exactly(1).report
+
+        commission_report_should_be :with_pnl, @ib.received[:ExecutionData].last.execution
+      end
     end # Placing SELL
 
     context "Request executions" do
@@ -124,9 +179,34 @@ describe "Trades", :connected => true, :integration => true, :slow => true do
       end
 
       it 'receives Execution Data' do
+        execution_should_be :buy, :index => 0, :request_id => 456
         execution_should_be :sell, :request_id => 456
       end
+
+      it 'also receives Commission Reports' do
+        @ib.received[:CommissionReport].should have_exactly(2).reports
+
+        commission_report_should_be :no_pnl, @ib.received[:ExecutionData].first.execution
+        commission_report_should_be :with_pnl, @ib.received[:ExecutionData].last.execution
+      end
+
     end # Request executions
   end # Forex order
 
 end # Trades
+
+__END__
+
+Actual message exchange for "Request executions" (TWS 925):
+10:57:41:348 <- 7-3-456-1111--20120430 10:57:31-----
+10:57:41:349 -> 11-9-456-1-12087792-EUR-CASH--0.0--IDEALPRO-USD-EUR.USD-0001f4e8.4f9dbb0b.01.01-20120430  10:57:36-DU118180-IDEALPRO-BOT-20000-1.32540-474073463-1111-0-20000-1.32540--
+10:57:41:350 -> 11-9-456-2-12087792-EUR-CASH--0.0--IDEALPRO-USD-EUR.USD-0001f4e8.4f9dbb0c.01.01-20120430  10:57:36-DU118180-IDEALPRO-SLD-20000-1.32540-474073464-1111-0-20000-1.32540--
+10:57:41:350 -> 59-1-0001f4e8.4f9dbb0b.01.01-2.5-USD-1.7976931348623157E308-1.7976931348623157E308--
+10:57:41:350 -> 59-1-0001f4e8.4f9dbb0c.01.01-2.5-USD-27.7984-1.7976931348623157E308--
+10:57:41:351 -> 55-1-456-
+
+Actual message exchange for "Request executions" (TWS 923):
+11:11:45:436 <- 7-3-456-1111--20120430 11:11:36-----
+11:11:45:439 -> 11-8-456-1-12087792-EUR-CASH--0.0--IDEALPRO-USD-EUR.USD-0001f4e8.4f9dbc96.01.01-20120430  11:11:43-DU118180-IDEALPRO-BOT-20000-1.32485-308397342-1111-0-20000-1.32485--
+11:11:45:439 -> 11-8-456-2-12087792-EUR-CASH--0.0--IDEALPRO-USD-EUR.USD-0001f4e8.4f9dbc9a.01.01-20120430  11:11:45-DU118180-IDEALPRO-SLD-20000-1.32480-308397343-1111-0-20000-1.32480--
+11:11:45:439 -> 55-1-456-

data/spec/order_helper.rb

@@ -219,26 +219,3 @@ def order_should_be status, order=@order
   msg.contract.should == @contract
 end
 
-def execution_should_be side, opts={}
-  msg = @ib.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 == @ib.received[:OpenOrder].last.order.perm_id if @ib.received?(:OpenOrder)
-  exec.client_id.should == OPTS[:connection][:client_id]
-  exec.local_id.should be_an Integer
-  exec.local_id.should == @order.local_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.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 == false
-end

data/spec/spec_helper.rb

@@ -1,7 +1,9 @@
 require 'rspec'
 require 'ib-ruby'
 
-# Top level metadata for test suite level hacking
+PORT ||= 4001 #           4001 for Gateway, 7496 for TWS GUI
+
+# Top (test suite) level metadata
 OPTS ||= {
     :verbose => false, #true, # Verbosity of test outputs
     :brokertron => false, # Use mock (Brokertron) instead of paper account
@@ -20,7 +22,7 @@ else
       {: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 '127.0.0.1'
-       :port => 4001, #           4001 for Gateway, 7496 for TWS GUI
+       :port => PORT,
        :reuters => true #         Subscription to Reuters data enabled ?
       }
 end

data/spec/tws.rb

@@ -0,0 +1,4 @@
+puts 'To run specs against TWS (not default Gateway) port, use:'
+puts '$ rspec -rtws spec'
+
+PORT = 7496