ib-ruby 0.7.4 → 0.7.6

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

@@ -0,0 +1,99 @@
+module IB
+  module Models
+
+    # OrderState represents dynamic (changeable) info about a single Order,
+    # isolating these changes and making Order essentially immutable
+    class OrderState < Model.for(:order_state)
+      include ModelProperties
+
+      #p column_names
+      # has_one :order
+
+      # Properties arriving via OpenOrder message
+      prop :init_margin, # Float: The impact the order would have on your initial margin.
+           :maint_margin, # Float: The impact the order would have on your maintenance margin.
+           :equity_with_loan, # Float: The impact the order would have on your equity
+           :commission, # double: Shows the commission amount on the order.
+           :min_commission, # The possible min range of the actual order commission.
+           :max_commission, # The possible max range of the actual order commission.
+           :commission_currency, # String: Shows the currency of the commission.
+           :warning_text # String: Displays a warning message if warranted.
+
+      # Properties arriving via OrderStatus message:
+      prop :filled, #    int
+           :remaining, # int
+           :average_fill_price, # double
+           :last_fill_price, #    double
+           :why_held # String: comma-separated list of reasons for order to be held.
+
+      # Properties arriving in both messages:
+      prop :order_id, #  int: Order id associated with client (volatile).
+           :perm_id, #   int: TWS permanent id, remains the same over TWS sessions.
+           :client_id, # int: The id of the client that placed this order.
+           :parent_id, # int: The order ID of the parent (original) order, used
+           :status # String: Displays the order status. Possible values include:
+      # - PendingSubmit - indicates that you have transmitted the order, but
+      #   have not yet received confirmation that it has been accepted by the
+      #   order destination. NOTE: This order status is NOT sent back by TWS
+      #   and should be explicitly set by YOU when an order is submitted.
+      # - PendingCancel - indicates that you have sent a request to cancel
+      #   the order but have not yet received cancel confirmation from the
+      #   order destination. At this point, your order cancel is not confirmed.
+      #   You may still receive an execution while your cancellation request
+      #   is pending. NOTE: This order status is not sent back by TWS and
+      #   should be explicitly set by YOU when an order is canceled.
+      # - PreSubmitted - indicates that a simulated order type has been
+      #   accepted by the IB system and that this order has yet to be elected.
+      #   The order is held in the IB system until the election criteria are
+      #   met. At that time the order is transmitted to the order destination
+      #   as specified.
+      # - Submitted - indicates that your order has been accepted at the order
+      #   destination and is working.
+      # - Cancelled - indicates that the balance of your order has been
+      #   confirmed canceled by the IB system. This could occur unexpectedly
+      #   when IB or the destination has rejected your order.
+      # - ApiCancelled - canceled via API
+      # - Filled - indicates that the order has been completely filled.
+      # - Inactive - indicates that the order has been accepted by the system
+      #   (simulated orders) or an exchange (native orders) but that currently
+      #   the order is inactive due to system, exchange or other issues.
+
+      prop :tester
+
+      validates_numericality_of :order_id, :perm_id, :client_id, :only_integer => true
+
+      DEFAULT_PROPS = {:status => 'New'} # Starting new Orders with this status
+
+      # Comparison
+      def == other
+        other && other.is_a?(OrderState) &&
+            status == other.status &&
+            order_id == other.order_id &&
+            perm_id == other.perm_id &&
+            client_id == other.client_id &&
+            filled == other.filled &&
+            remaining == other.remaining &&
+            last_fill_price == other.last_fill_price &&
+            init_margin == other.init_margin &&
+            maint_margin == other.maint_margin &&
+            equity_with_loan == other.equity_with_loan &&
+            why_held == other.why_held &&
+            warning_text == other.warning_text &&
+            commission == other.commission
+      end
+
+      def to_human
+        "<OrderState: #{status} ##{order_id}/#{perm_id} from #{client_id}" +
+            (filled ? " filled #{filled}/#{remaining}" : '') +
+            (last_fill_price ? " at #{last_fill_price}/#{average_fill_price}" : '') +
+            (init_margin ? " margin #{init_margin}/#{maint_margin}" : '') +
+            (equity_with_loan ? " equity #{equity_with_loan}" : '') +
+            (commission && commission > 0 ? " fee #{commission}" : "") +
+            (why_held ? " why_held #{why_held}" : '') +
+            ((warning_text && warning_text != '') ? " warning #{warning_text}" : '') + ">"
+      end
+
+      alias to_s to_human
+    end # class Order
+  end # module Models
+end # module IB

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

@@ -10,61 +10,61 @@ module IB
         :audusd => IB::Contract.new(:symbol => "AUD",
                                     :exchange => "IDEALPRO",
                                     :currency => "USD",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "AUDUSD"),
 
         :gbpusd => IB::Contract.new(:symbol => "GBP",
                                     :exchange => "IDEALPRO",
                                     :currency => "USD",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "GBPUSD"),
 
         :euraud => IB::Contract.new(:symbol => "EUR",
                                     :exchange => "IDEALPRO",
                                     :currency => "AUD",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "EURAUD"),
 
         :eurgbp => IB::Contract.new(:symbol => "EUR",
                                     :exchange => "IDEALPRO",
                                     :currency => "GBP",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "EURGBP"),
 
         :eurjpy => IB::Contract.new(:symbol => "EUR",
                                     :exchange => "IDEALPRO",
                                     :currency => "JPY",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "EURJPY"),
 
         :eurusd => IB::Contract.new(:symbol => "EUR",
                                     :exchange => "IDEALPRO",
                                     :currency => "USD",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "EURUSD"),
 
         :eurcad => IB::Contract.new(:symbol => "EUR",
                                     :exchange => "IDEALPRO",
                                     :currency => "CAD",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "EURCAD"),
 
         :usdchf => IB::Contract.new(:symbol => "USD",
                                     :exchange => "IDEALPRO",
                                     :currency => "CHF",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "USDCHF"),
 
         :usdcad => IB::Contract.new(:symbol => "USD",
                                     :exchange => "IDEALPRO",
                                     :currency => "CAD",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "USDCAD"),
 
         :usdjpy => IB::Contract.new(:symbol => "USD",
                                     :exchange => "IDEALPRO",
                                     :currency => "JPY",
-                                    :sec_type => SECURITY_TYPES[:forex],
+                                    :sec_type => :forex,
                                     :description => "USDJPY")
     }
   end

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

@@ -66,14 +66,14 @@ module IB
                                 :expiry => next_expiry,
                                 :exchange => "ECBOT",
                                 :currency => "USD",
-                                :sec_type => SECURITY_TYPES[:future],
+                                :sec_type => :future,
                                 :description => "Mini Dow Jones Industrial"),
 
         :es => IB::Contract.new(:symbol => "ES",
                                 :expiry => next_expiry,
                                 :exchange => "GLOBEX",
                                 :currency => "USD",
-                                :sec_type => SECURITY_TYPES[:future],
+                                :sec_type => :future,
                                 :multiplier => 50,
                                 :description => "E-Mini S&P 500"),
 
@@ -81,7 +81,7 @@ module IB
                                  :expiry => next_expiry,
                                  :exchange => "GLOBEX",
                                  :currency => "USD",
-                                 :sec_type => SECURITY_TYPES[:future],
+                                 :sec_type => :future,
                                  :multiplier => 62500,
                                  :description => "British Pounds"),
 
@@ -89,7 +89,7 @@ module IB
                                  :expiry => next_expiry,
                                  :exchange => "GLOBEX",
                                  :currency => "USD",
-                                 :sec_type => SECURITY_TYPES[:future],
+                                 :sec_type => :future,
                                  :multiplier => 12500,
                                  :description => "Euro FX"),
 
@@ -97,7 +97,7 @@ module IB
                                  :expiry => next_expiry,
                                  :exchange => "GLOBEX",
                                  :currency => "USD",
-                                 :sec_type => SECURITY_TYPES[:future],
+                                 :sec_type => :future,
                                  :multiplier => 12500000,
                                  :description => "Japanese Yen"),
 
@@ -105,7 +105,7 @@ module IB
                                  :expiry => next_expiry,
                                  :exchange => "HKFE",
                                  :currency => "HKD",
-                                 :sec_type => SECURITY_TYPES[:future],
+                                 :sec_type => :future,
                                  :multiplier => 50,
                                  :description => "Hang Seng Index")
     }

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

@@ -11,18 +11,18 @@ module IB
         {:wfc => IB::Contract.new(:symbol => "WFC",
                                   :exchange => "NYSE",
                                   :currency => "USD",
-                                  :sec_type => SECURITY_TYPES[:stock],
+                                  :sec_type => :stock,
                                   :description => "Wells Fargo"),
 
          :aapl => IB::Contract.new(:symbol => "AAPL",
                                    :currency => "USD",
-                                   :sec_type => SECURITY_TYPES[:stock],
+                                   :sec_type => :stock,
                                    :description => "Apple Inc."),
 
          :wrong => IB::Contract.new(:symbol => "QEEUUE",
                                     :exchange => "NYSE",
                                     :currency => "USD",
-                                    :sec_type => SECURITY_TYPES[:stock],
+                                    :sec_type => :stock,
                                     :description => "Non-existent stock"),
         }
   end

data/spec/account_helper.rb

@@ -14,13 +14,12 @@ def verify_account
   raise "Please configure IB PAPER ACCOUNT in spec/spec_helper.rb" unless account
 
   @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
-  @ib.send_message :RequestAccountData, :subscribe => true
 
-  @ib.wait_for :AccountDownloadEnd
-  @ib.send_message :RequestAccountData, :subscribe => false
-  raise "Unable to verify IB PAPER ACCOUNT" unless @ib.received?(:AccountValue)
+  @ib.wait_for :ManagedAccounts, 5
+  puts @ib.received.map { |type, msg| [" #{type}:", msg.map(&:to_human)] }
+  raise "Unable to verify IB PAPER ACCOUNT" unless @ib.received?(:ManagedAccounts)
 
-  received = @ib.received[:AccountValue].first.account_name
+  received = @ib.received[:ManagedAccounts].first.accounts_list
   raise "Connected to wrong account #{received}, expected #{account}" if account != received
 
   close_connection

data/spec/combo_helper.rb

@@ -2,16 +2,16 @@ require 'integration_helper'
 
 # Define butterfly
 def butterfly symbol, expiry, right, *strikes
-  unless @ib && @ib.connected?
-    @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
-  end
+  raise 'Unable to create butterfly, no connection' unless @ib && @ib.connected?
 
   legs = strikes.zip([1, -2, 1]).map do |strike, weight|
+
     # Create contract
     contract = IB::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
@@ -22,7 +22,7 @@ def butterfly symbol, expiry, right, *strikes
     IB::ComboLeg.new :con_id => con_id, :weight => weight
   end
 
-  # Create new Combo contract
+  # Return butterfly Combo
   IB::Bag.new :symbol => symbol,
               :currency => "USD", # Only US options in combo Contracts
               :exchange => "SMART",

data/spec/db.rb

@@ -0,0 +1,18 @@
+puts 'To run specs with database backend (ActiveRecord), use:'
+puts '$ rspec -rdb spec'
+
+require 'yaml'
+require 'pathname'
+require 'ib-ruby/db'
+require 'database_cleaner'
+
+# Load DB config, determine correct environment
+db_file = Pathname.new(__FILE__).realpath.dirname + '../db/config.yml'
+raise "Unable to find DB config file: #{db_file}" unless db_file.exist?
+
+env = RUBY_PLATFORM =~ /java/ ? 'test-jruby' : 'test'
+db_config = YAML::load_file(db_file)[env]
+
+# Establish connection to test DB
+IB::DB.connect db_config
+

data/spec/ib-ruby/messages/{incoming_spec.rb → incoming/alert_spec.rb}

@@ -39,6 +39,7 @@ describe IB::Messages::Incoming do
     before(:all) do
       @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
       @ib.wait_for :Alert
+      pending 'No Alert received upon connect!' unless @ib.received? :Alert
     end
 
     after(:all) { close_connection }

data/spec/ib-ruby/messages/incoming/open_order_spec.rb

@@ -0,0 +1,100 @@
+require 'order_helper'
+
+shared_examples_for 'OpenOrder message' do
+  it { should be_an IB::Messages::Incoming::OpenOrder }
+  its(:message_type) { should == :OpenOrder }
+  its(:message_id) { should == 5 }
+  its(:version) { should == 28 }
+  its(:data) { should_not be_empty }
+  its(:order_id) { should be_an Integer }
+  its(:status) { should =~ /Submit/ }
+  its(:to_human) { should =~
+      /<OpenOrder: <Contract: WFC stock NYSE USD> <Order: LMT DAY buy 100 .*Submit.* 9.13 #\d+\/\d+ from 1111/ }
+
+  it 'has proper contract accessor' do
+    c = subject.contract
+    c.should be_an IB::Contract
+    c.symbol.should == 'WFC'
+    c.exchange.should == 'NYSE'
+  end
+
+  it 'has proper order accessor' do
+    o = subject.order
+    o.should be_an IB::Order
+    o.client_id.should == 1111
+    o.parent_id.should == 0
+    o.order_id.should be_an Integer
+    o.perm_id.should be_an Integer
+    o.order_type.should == :limit
+    o.tif.should == :day
+    o.status.should =~ /Submit/
+  end
+
+  it 'has proper order_state accessor' do
+    os = subject.order_state
+    os.order_id.should be_an Integer
+    os.perm_id.should be_an Integer
+    os.client_id.should == 1111
+    os.parent_id.should == 0
+    os.status.should =~ /Submit/
+  end
+
+  it 'has class accessors as well' do
+    subject.class.message_id.should == 5
+    subject.class.version.should == [23, 28] # Two message versions supported
+    subject.class.message_type.should == :OpenOrder
+  end
+
+end
+
+describe IB::Messages::Incoming::OpenOrder do
+
+  context 'Instantiated with data Hash' do
+    subject do
+      IB::Messages::Incoming::OpenOrder.new :version => 28,
+                                            :order =>
+                                                {:order_id => 1313,
+                                                 :perm_id => 172323928,
+                                                 :client_id => 1111,
+                                                 :parent_id => 0,
+                                                 :side => :buy,
+                                                 :order_type => :limit,
+                                                 :limit_price => 9.13,
+                                                 :total_quantity => 100,
+                                                },
+                                            :order_state =>
+                                                {:order_id => 1313,
+                                                 :perm_id => 172323928,
+                                                 :client_id => 1111,
+                                                 :parent_id => 0,
+                                                 :status => 'PreSubmitted',
+                                                },
+                                            :contract =>
+                                                {:symbol => 'WFC',
+                                                 :exchange => 'NYSE',
+                                                 :currency => 'USD',
+                                                 :sec_type => :stock
+                                                }
+    end
+
+    it_behaves_like 'OpenOrder message'
+  end
+
+  context 'received from IB' do
+    before(:all) do
+      verify_account
+      @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
+      @ib.wait_for :NextValidId
+      place_order IB::Symbols::Stocks[:wfc]
+      @ib.wait_for :OpenOrder
+    end
+
+    after(:all) { close_connection } # implicitly cancels order
+
+    subject { @ib.received[:OpenOrder].first }
+
+    it_behaves_like 'OpenOrder message'
+
+    #it 'has extended order_state attributes' do
+  end
+end # describe IB::Messages:Incoming

data/spec/ib-ruby/messages/incoming/order_status_spec.rb

@@ -0,0 +1,74 @@
+require 'order_helper'
+
+shared_examples_for 'OrderStatus message' do
+  it { should be_an IB::Messages::Incoming::OrderStatus }
+  its(:message_type) { should == :OrderStatus }
+  its(:message_id) { should == 3 }
+  its(:version) { should == 6 }
+  its(:data) { should_not be_empty }
+  its(:order_id) { should be_an Integer }
+  its(:status) { should =~ /Submit/ }
+  its(:to_human) { should =~
+      /<OrderStatus: <OrderState: .*Submit.* #\d+\/\d+ from 1111 filled 0\/100/ }
+
+  it 'has proper order_state accessor' do
+    os = subject.order_state
+    os.order_id.should be_an Integer
+    os.perm_id.should be_an Integer
+    os.client_id.should == 1111
+    os.parent_id.should == 0
+    os.filled.should == 0
+    os.remaining.should == 100
+    os.average_fill_price.should == 0.0
+    os.last_fill_price.should == 0.0
+    os.status.should =~ /Submit/
+    os.why_held.should =~ /child|/
+  end
+
+  it 'has class accessors as well' do
+    subject.class.message_id.should == 3
+    subject.class.version.should == 6
+    subject.class.message_type.should == :OrderStatus
+  end
+
+end
+
+describe IB::Messages::Incoming::OrderStatus do
+
+  context 'Instantiated with data Hash' do
+    subject do
+      IB::Messages::Incoming::OrderStatus.new :version => 6,
+                                              :order_state =>
+                                                  {:order_id => 1313,
+                                                   :perm_id => 172323928,
+                                                   :client_id => 1111,
+                                                   :parent_id => 0,
+                                                   :status => 'PreSubmitted',
+                                                   :filled => 0,
+                                                   :remaining => 100,
+                                                   :average_fill_price => 0.0,
+                                                   :last_fill_price => 0.0,
+                                                   :why_held => 'child'}
+    end
+
+    it_behaves_like 'OrderStatus message'
+  end
+
+  context 'received from IB' do
+    before(:all) do
+      verify_account
+      @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
+      @ib.wait_for :NextValidId
+      clean_connection
+      place_order IB::Symbols::Stocks[:wfc]
+      @ib.wait_for :OrderStatus, 6
+    end
+
+    after(:all) { close_connection } # implicitly cancels order
+
+    subject { @ib.received[:OrderStatus].first }
+
+    it_behaves_like 'OrderStatus message'
+  end
+
+end # describe IB::Messages:Incoming