ib-ruby 0.8.1 → 0.8.3

data/db/schema.rb

@@ -0,0 +1,245 @@
+# This file is auto-generated from the current state of the database. Instead
+# of editing this file, please use the migrations feature of Active Record to
+# incrementally modify your database, and then regenerate this schema definition.
+#
+# Note that this schema.rb definition is the authoritative source for your
+# database schema. If you need to create the application database on another
+# system, you should be using db:schema:load, not running all the migrations
+# from scratch. The latter is a flawed and unsustainable approach (the more migrations
+# you'll amass, the slower it'll run and the greater likelihood for issues).
+#
+# It's strongly recommended to check this file into your version control system.
+
+ActiveRecord::Schema.define(:version => 171) do
+
+  create_table "ib_bars", :force => true do |t|
+    t.float    "open"
+    t.float    "high"
+    t.float    "low"
+    t.float    "close"
+    t.float    "wap"
+    t.integer  "volume"
+    t.integer  "trades"
+    t.boolean  "has_gaps",   :limit => 1
+    t.string   "time",       :limit => 18
+    t.datetime "created_at",               :null => false
+    t.datetime "updated_at",               :null => false
+  end
+
+  create_table "ib_combo_legs", :force => true do |t|
+    t.integer  "combo_id"
+    t.integer  "leg_contract_id"
+    t.integer  "con_id"
+    t.string   "side",                :limit => 1
+    t.integer  "ratio",               :limit => 2
+    t.string   "exchange"
+    t.integer  "exempt_code",         :limit => 2
+    t.integer  "short_sale_slot",     :limit => 2
+    t.integer  "open_close",          :limit => 2
+    t.string   "designated_location"
+    t.datetime "created_at",                       :null => false
+    t.datetime "updated_at",                       :null => false
+  end
+
+  create_table "ib_contract_details", :force => true do |t|
+    t.integer  "contract_id"
+    t.string   "market_name"
+    t.string   "trading_class"
+    t.float    "min_tick"
+    t.integer  "price_magnifier"
+    t.string   "order_types"
+    t.string   "valid_exchanges"
+    t.integer  "under_con_id"
+    t.string   "long_name"
+    t.string   "contract_month"
+    t.string   "industry"
+    t.string   "category"
+    t.string   "subcategory"
+    t.string   "time_zone"
+    t.string   "trading_hours"
+    t.string   "liquid_hours"
+    t.string   "cusip"
+    t.string   "ratings"
+    t.string   "desc_append"
+    t.string   "bond_type"
+    t.string   "coupon_type"
+    t.float    "coupon"
+    t.string   "maturity"
+    t.string   "issue_date"
+    t.string   "next_option_date"
+    t.string   "next_option_type"
+    t.string   "notes"
+    t.boolean  "callable",            :limit => 1
+    t.boolean  "puttable",            :limit => 1
+    t.boolean  "convertible",         :limit => 1
+    t.boolean  "next_option_partial", :limit => 1
+    t.datetime "created_at",                       :null => false
+    t.datetime "updated_at",                       :null => false
+  end
+
+  create_table "ib_contracts", :force => true do |t|
+    t.integer  "con_id"
+    t.string   "sec_type",         :limit => 5
+    t.float    "strike"
+    t.string   "currency",         :limit => 4
+    t.string   "sec_id_type",      :limit => 5
+    t.integer  "sec_id"
+    t.string   "legs_description"
+    t.string   "symbol"
+    t.string   "local_symbol"
+    t.integer  "multiplier"
+    t.string   "expiry"
+    t.string   "exchange"
+    t.string   "primary_exchange"
+    t.boolean  "include_expired",  :limit => 1
+    t.string   "right",            :limit => 1
+    t.string   "type"
+    t.datetime "created_at",                    :null => false
+    t.datetime "updated_at",                    :null => false
+  end
+
+  create_table "ib_executions", :force => true do |t|
+    t.integer  "order_id"
+    t.integer  "local_id"
+    t.integer  "client_id"
+    t.integer  "perm_id"
+    t.string   "order_ref"
+    t.string   "exec_id"
+    t.string   "side",                :limit => 1
+    t.integer  "quantity"
+    t.integer  "cumulative_quantity"
+    t.float    "price"
+    t.float    "average_price"
+    t.string   "exchange"
+    t.string   "account_name"
+    t.boolean  "liquidation",         :limit => 1
+    t.string   "time",                :limit => 18
+    t.datetime "created_at",                        :null => false
+    t.datetime "updated_at",                        :null => false
+  end
+
+  create_table "ib_order_states", :force => true do |t|
+    t.integer  "order_id"
+    t.integer  "local_id"
+    t.integer  "client_id"
+    t.integer  "perm_id"
+    t.integer  "parent_id"
+    t.string   "status"
+    t.integer  "filled"
+    t.integer  "remaining"
+    t.float    "price"
+    t.float    "average_price"
+    t.string   "why_held"
+    t.string   "warning_text"
+    t.string   "commission_currency", :limit => 4
+    t.float    "commission"
+    t.float    "min_commission"
+    t.float    "max_commission"
+    t.float    "init_margin"
+    t.float    "maint_margin"
+    t.float    "equity_with_loan"
+    t.datetime "created_at",                       :null => false
+    t.datetime "updated_at",                       :null => false
+  end
+
+  create_table "ib_orders", :force => true do |t|
+    t.integer  "contract_id"
+    t.integer  "local_id"
+    t.integer  "client_id"
+    t.integer  "perm_id"
+    t.integer  "parent_id"
+    t.string   "order_ref"
+    t.string   "order_type",                      :limit => 20
+    t.string   "tif",                             :limit => 3
+    t.string   "side",                            :limit => 1
+    t.integer  "quantity"
+    t.float    "limit_price"
+    t.float    "aux_price"
+    t.integer  "open_close"
+    t.integer  "oca_type"
+    t.string   "oca_group"
+    t.boolean  "transmit",                        :limit => 1
+    t.boolean  "what_if",                         :limit => 1
+    t.boolean  "outside_rth",                     :limit => 1
+    t.boolean  "not_held",                        :limit => 1
+    t.boolean  "hidden",                          :limit => 1
+    t.boolean  "block_order",                     :limit => 1
+    t.boolean  "sweep_to_fill",                   :limit => 1
+    t.boolean  "all_or_none",                     :limit => 1
+    t.boolean  "etrade_only",                     :limit => 1
+    t.boolean  "firm_quote_only",                 :limit => 1
+    t.boolean  "opt_out_smart_routing",           :limit => 1
+    t.boolean  "override_percentage_constraints", :limit => 1
+    t.integer  "min_quantity"
+    t.integer  "display_size"
+    t.integer  "trigger_method"
+    t.integer  "origin"
+    t.string   "good_after_time"
+    t.string   "good_till_date"
+    t.string   "rule_80a"
+    t.float    "percent_offset"
+    t.float    "trail_stop_price"
+    t.float    "trailing_percent"
+    t.string   "fa_group"
+    t.string   "fa_profile"
+    t.string   "fa_method"
+    t.string   "fa_percentage"
+    t.integer  "short_sale_slot"
+    t.string   "designated_location"
+    t.integer  "exempt_code"
+    t.string   "account"
+    t.string   "settling_firm"
+    t.string   "clearing_account"
+    t.string   "clearing_intent"
+    t.float    "discretionary_amount"
+    t.float    "nbbo_price_cap"
+    t.integer  "auction_strategy"
+    t.float    "starting_price"
+    t.float    "stock_ref_price"
+    t.float    "delta"
+    t.float    "stock_range_lower"
+    t.float    "stock_range_upper"
+    t.float    "volatility"
+    t.integer  "volatility_type"
+    t.integer  "reference_price_type"
+    t.integer  "continuous_update"
+    t.string   "delta_neutral_order_type"
+    t.string   "delta_neutral_aux_price"
+    t.integer  "delta_neutral_con_id"
+    t.string   "delta_neutral_settling_firm"
+    t.string   "delta_neutral_clearing_account"
+    t.string   "delta_neutral_clearing_intent"
+    t.string   "hedge_type"
+    t.string   "hedge_param"
+    t.float    "basis_points"
+    t.float    "basis_points_type"
+    t.string   "algo_strategy"
+    t.text     "leg_prices"
+    t.text     "algo_params"
+    t.text     "combo_params"
+    t.integer  "scale_init_level_size"
+    t.integer  "scale_subs_level_size"
+    t.float    "scale_price_increment"
+    t.float    "scale_price_adjust_value"
+    t.integer  "scale_price_adjust_interval"
+    t.float    "scale_profit_offset"
+    t.integer  "scale_init_position"
+    t.integer  "scale_init_fill_qty"
+    t.boolean  "scale_auto_reset",                :limit => 1
+    t.boolean  "scale_random_percent",            :limit => 1
+    t.datetime "placed_at"
+    t.datetime "modified_at"
+    t.datetime "created_at",                                    :null => false
+    t.datetime "updated_at",                                    :null => false
+  end
+
+  create_table "ib_underlyings", :force => true do |t|
+    t.integer  "contract_id"
+    t.integer  "con_id"
+    t.float    "delta"
+    t.float    "price"
+    t.datetime "created_at",  :null => false
+    t.datetime "updated_at",  :null => false
+  end
+
+end

data/lib/ib/base.rb

@@ -0,0 +1,97 @@
+module IB
+
+  # Base class for tableless IB data Models, extends ActiveModel API
+  class Base
+    extend ActiveModel::Naming
+    extend ActiveModel::Callbacks
+    include ActiveModel::Validations
+    include ActiveModel::Serialization
+    include ActiveModel::Serializers::Xml
+    include ActiveModel::Serializers::JSON
+
+    # 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 attributes={}, opts={}
+      run_callbacks :initialize do
+        error "Argument must be a Hash", :args unless attributes.is_a?(Hash)
+
+        self.attributes = default_attributes.merge(attributes)
+      end
+    end
+
+    # ActiveModel API (for serialization)
+
+    def attributes
+      @attributes ||= HashWithIndifferentAccess.new
+    end
+
+    def attributes= attrs
+      attrs.keys.each { |key| self.send("#{key}=", attrs[key]) }
+    end
+
+    # ActiveModel-style read/write_attribute accessors
+    def [] key
+      attributes[key.to_sym]
+    end
+
+    def []= key, val
+      # p key, val
+      attributes[key.to_sym] = val
+    end
+
+    def to_model
+      self
+    end
+
+    def new_record?
+      true
+    end
+
+    def save
+      valid?
+    end
+
+    alias save! save
+
+    ### Noop methods mocking ActiveRecord::Base macros
+    
+    def self.attr_protected *args
+    end
+
+    def self.attr_accessible *args
+    end
+
+    ### ActiveRecord::Base association API mocks
+
+    def self.belongs_to model, *args
+      attr_accessor model
+    end
+
+    def self.has_one model, *args
+      attr_accessor model
+    end
+
+    def self.has_many models, *args
+      attr_accessor models
+
+      define_method(models) do
+        self.instance_variable_get("@#{models}") ||
+          self.instance_variable_set("@#{models}", [])
+      end
+    end
+
+    def self.find *args
+      []
+    end
+
+    ### ActiveRecord::Base callback API mocks
+
+    define_model_callbacks :initialize, :only => :after
+
+    ### ActiveRecord::Base misc
+
+    def self.serialize *properties
+    end
+
+  end # Model
+end # module IB

data/lib/ib/base_properties.rb

@@ -0,0 +1,140 @@
+require 'active_model'
+require 'active_support/concern'
+require 'active_support/hash_with_indifferent_access'
+
+module IB
+
+  # Module adds prop Macro and
+  module BaseProperties
+    extend ActiveSupport::Concern
+
+    def default_attributes
+      {:created_at => Time.now,
+       :updated_at => Time.now,
+       }
+    end
+
+    ### Instance methods
+
+    # Default presentation
+    def to_human
+      "<#{self.class.to_s.demodulize}: " + attributes.map do |attr, value|
+        "#{attr}: #{value}" unless value.nil?
+      end.compact.sort.join(' ') + ">"
+    end
+
+    # Comparison support
+    def content_attributes
+      HashWithIndifferentAccess[attributes.reject do |(attr, _)|
+                                  attr.to_s =~ /(_count)$/ ||
+                                    [:created_at, :updated_at, :type,
+                                     :id, :order_id, :contract_id].include?(attr.to_sym)
+      end]
+    end
+
+    # Update nil attributes from given Hash or model
+    def update_missing attrs
+      attrs = attrs.content_attributes unless attrs.kind_of?(Hash)
+
+      attrs.each { |attr, val| send "#{attr}=", val if send(attr).blank? }
+      self # for chaining
+    end
+
+    # Default Model comparison
+    def == other
+      content_attributes.inject(true) { |res, (attr, value)| res && other.send(attr) == value } &&
+        other.content_attributes.inject(true) { |res, (attr, value)| res && send(attr) == value }
+    end
+
+    included do
+
+      ### Class macros
+
+      def self.prop *properties
+        prop_hash = properties.last.is_a?(Hash) ? properties.pop : {}
+
+        properties.each { |names| define_property names, nil }
+        prop_hash.each { |names, type| define_property names, type }
+      end
+
+      def self.define_property names, body
+        aliases = [names].flatten
+        name = aliases.shift
+        instance_eval do
+
+          define_property_methods name, body
+
+          aliases.each do |ali|
+            alias_method "#{ali}", name
+            alias_method "#{ali}=", "#{name}="
+          end
+        end
+      end
+
+      def self.define_property_methods name, body={}
+        #p name, body
+        case body
+        when '' # default getter and setter
+          define_property_methods name
+
+        when Array # [setter, getter, validators]
+          define_property_methods name,
+            :get => body[0],
+            :set => body[1],
+            :validate => body[2]
+
+        when Hash # recursion base case
+          getter = case # Define getter
+          when body[:get].respond_to?(:call)
+            body[:get]
+          when body[:get]
+            proc { self[name].send "to_#{body[:get]}" }
+          when VALUES[name] # property is encoded
+            proc { VALUES[name][self[name]] }
+          else
+            proc { self[name] }
+          end
+          define_method name, &getter if getter
+
+          setter = case # Define setter
+          when body[:set].respond_to?(:call)
+            body[:set]
+          when body[:set]
+            proc { |value| self[name] = value.send "to_#{body[:set]}" }
+          when CODES[name] # property is encoded
+            proc { |value| self[name] = CODES[name][value] || value }
+          else
+            proc { |value| self[name] = value } # p name, value;
+          end
+          define_method "#{name}=", &setter if setter
+
+          # Define validator(s)
+          [body[:validate]].flatten.compact.each do |validator|
+            case validator
+            when Proc
+              validates_each name, &validator
+            when Hash
+              validates name, validator.dup
+            end
+          end
+
+          # TODO define self[:name] accessors for :virtual and :flag properties
+
+        else # setter given
+          define_property_methods name, :set => body, :get => body
+        end
+      end
+
+      # Extending AR-backed Model class with attribute defaults
+      if defined?(ActiveRecord::Base) && ancestors.include?(ActiveRecord::Base)
+        def initialize attributes={}, opts={}
+          super default_attributes.merge(attributes), opts
+        end
+      else
+        # Timestamps
+        prop :created_at, :updated_at
+      end
+
+    end # included
+  end # module BaseProperties
+end

data/lib/{ib-ruby → ib}/connection.rb

@@ -1,5 +1,5 @@
-require 'ib-ruby/socket'
-require 'ib-ruby/logger'
+require 'ib/socket'
+require 'ib/logger'
 
 module IB
   # Encapsulates API connection to TWS or Gateway

data/lib/{ib-ruby → ib}/db.rb

@@ -9,17 +9,21 @@ module IB
       ActiveRecord::Base.logger = logger
     end
 
-    # Establish DB connection and do other plumbing here
+    # Use this method to establish DB connection unless you're running on Rails
     def self.connect config
-      #log.warn "Starting Database connection"
-      ActiveRecord::Base.establish_connection(config)
-      #ActiveRecord.colorize_logging = false
+
+      # Use ib prefix for all DB tables
+      ActiveRecord::Base.table_name_prefix = "ib_"
 
       # Get rid of nasty conversion issues
       ActiveRecord::Base.default_timezone = :utc
       Time.zone = 'UTC'
+
+      ActiveRecord::Base.establish_connection(config)
+      #ActiveRecord.colorize_logging = false
     end
 
-     # Load ActiveRecord::Schema ? where from ?
   end # module DB
 end
+
+

data/lib/ib/engine.rb

@@ -0,0 +1,35 @@
+module IB
+  class Engine < ::Rails::Engine
+    isolate_namespace Ib
+
+    #paths["app"]                 # => ["app"]
+    #paths["app/controllers"]     # => ["app/controllers"]
+    #paths["app/helpers"]         # => ["app/helpers"]
+    paths["app/models"] = "lib/models"
+    #paths["app/views"]           # => ["app/views"]
+    #paths["lib"]                 # => ["lib"]
+    #paths["lib/tasks"]           # => ["lib/tasks"]
+    #paths["config"]              # => ["config"]
+    #paths["config/initializers"] # => ["config/initializers"]
+    #paths["config/locales"]      # => ["config/locales"]
+    #paths["config/routes"]       # => ["config/routes.rb"]
+
+    config.generators do |gen|
+      gen.integration_tool :rspec
+      gen.test_framework :rspec
+      gen.helper_specs false
+      # gen.view_specs false
+    end
+
+    config.to_prepare do
+    end
+
+    initializer "ib.active_record" do |app|
+      ActiveSupport.on_load :active_record do
+        require 'ib/db'
+        require 'ib/requires'
+      end
+    end
+
+  end
+end

data/lib/{ib-ruby → ib}/extensions.rb

@@ -61,10 +61,10 @@ class Object
   end
 end
 
-### Patching Object#error in ib-ruby/errors
+### Patching Object#error in ib/errors
 #  def error message, type=:standard
 
-### Patching Object#log, #default_logger= in ib-ruby/logger
+### Patching Object#log, #default_logger= in ib/logger
 #  def default_logger
 #  def default_logger= logger
 #  def log *args

data/lib/{ib-ruby → ib}/messages/incoming/abstract_message.rb

@@ -1,4 +1,4 @@
-require 'ib-ruby/messages/abstract_message'
+require 'ib/messages/abstract_message'
 
 module IB
   module Messages

data/lib/{ib-ruby → ib}/messages/incoming.rb

@@ -1,4 +1,4 @@
-require 'ib-ruby/messages/incoming/abstract_message'
+require 'ib/messages/incoming/abstract_message'
 
 # EClientSocket.java uses sendMax() rather than send() for a number of these.
 # It sends an EOL rather than a number if the value == Integer.MAX_VALUE (or Double.MAX_VALUE).
@@ -76,19 +76,19 @@ module IB
 
       ### Require standalone source files for more complex message classes:
 
-      require 'ib-ruby/messages/incoming/alert'
-      require 'ib-ruby/messages/incoming/contract_data'
-      require 'ib-ruby/messages/incoming/delta_neutral_validation'
-      require 'ib-ruby/messages/incoming/execution_data'
-      require 'ib-ruby/messages/incoming/historical_data'
-      require 'ib-ruby/messages/incoming/market_depths'
-      require 'ib-ruby/messages/incoming/next_valid_id'
-      require 'ib-ruby/messages/incoming/open_order'
-      require 'ib-ruby/messages/incoming/order_status'
-      require 'ib-ruby/messages/incoming/portfolio_value'
-      require 'ib-ruby/messages/incoming/real_time_bar'
-      require 'ib-ruby/messages/incoming/scanner_data'
-      require 'ib-ruby/messages/incoming/ticks'
+      require 'ib/messages/incoming/alert'
+      require 'ib/messages/incoming/contract_data'
+      require 'ib/messages/incoming/delta_neutral_validation'
+      require 'ib/messages/incoming/execution_data'
+      require 'ib/messages/incoming/historical_data'
+      require 'ib/messages/incoming/market_depths'
+      require 'ib/messages/incoming/next_valid_id'
+      require 'ib/messages/incoming/open_order'
+      require 'ib/messages/incoming/order_status'
+      require 'ib/messages/incoming/portfolio_value'
+      require 'ib/messages/incoming/real_time_bar'
+      require 'ib/messages/incoming/scanner_data'
+      require 'ib/messages/incoming/ticks'
 
     end # module Incoming
   end # module Messages

data/lib/{ib-ruby → ib}/messages/outgoing/abstract_message.rb

@@ -1,4 +1,4 @@
-require 'ib-ruby/messages/abstract_message'
+require 'ib/messages/abstract_message'
 
 module IB
   module Messages