ib-ruby 0.8.4 → 0.8.5

data/app/models/ib/underlying.rb

@@ -1,5 +0,0 @@
-module Ib
-  class Underlying < ActiveRecord::Base
-    attr_accessible :con_id, :contract_id, :delta, :price
-  end
-end

data/bin/account_info

@@ -1,29 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script connects to IB API, subscribes to account info and prints out
-# messages received from IB (update every 3 minute or so)
-
-require 'rubygems'
-require 'bundler/setup'
-$LOAD_PATH.unshift File.expand_path(File.dirname(__FILE__) + '/../lib')
-require 'ib-ruby'
-
-# First, connect to IB TWS.
-ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
-
-# Set log level
-log.level = Logger::FATAL
-
-# Subscribe to TWS alerts/errors and account-related messages
-# that TWS sends in response to account data request
-ib.subscribe(:Alert, :AccountValue,
-             :PortfolioValue, :AccountUpdateTime) { |msg| puts msg.to_human }
-
-ib.send_message :RequestAccountData, :subscribe => true
-
-puts "\nSubscribing to IB account data"
-puts "\n******** Press <Enter> to cancel... *********\n\n"
-STDIN.gets
-puts "Cancelling account data subscription.."
-
-ib.send_message :RequestAccountData, :subscribe => false

data/bin/cancel_orders

@@ -1,27 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script allows you to cancel either a set of open Orders by their ids,
-# or ALL Orders opened via IB API at once. The latter is useful when your
-# robot goes crazy and opens gazillions of wrong limit orders.
-
-require 'rubygems'
-require 'bundler/setup'
-$LOAD_PATH.unshift File.expand_path(File.dirname(__FILE__) + '/../lib')
-require 'ib-ruby'
-
-# First, connect to IB TWS.
-ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
-
-# Subscribe to TWS alerts/errors and order-related messages
-ib.subscribe(:Alert, :OpenOrder, :OrderStatus, :OpenOrderEnd) { |msg| puts msg.to_human }
-
-if ARGV.empty?
-  ib.send_message :RequestGlobalCancel
-else
-  # Will only work for Orders placed under the same :client_id
-  ib.cancel_order *ARGV
-end
-
-ib.send_message :RequestAllOpenOrders
-
-sleep 3

data/bin/contract_details

@@ -1,35 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script gets details for specific contract from IB
-
-require 'rubygems'
-require 'bundler/setup'
-$LOAD_PATH.unshift File.expand_path(File.dirname(__FILE__) + '/../lib')
-require 'ib-ruby'
-
-# Definition of what we want market data for.  We have to keep track of what ticker id
-# corresponds to what symbol ourselves, because the ticks don't include any other
-# identifying information. The choice of ticker ids is, as far as I can tell, arbitrary.
-@market = {122 => IB::Symbols::Stocks[:wfc],
-           133 => IB::Symbols::Options[:wfc20],
-           144 => IB::Symbols::Stocks[:wrong]}
-
-# Connect to IB TWS.
-ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
-
-# Subscribe to TWS alerts/errors
-ib.subscribe(IB::Messages::Incoming::Alert) { |msg| puts msg.to_human }
-
-# Now, subscribe to ContractData incoming events.  The code passed in the block
-# will be executed when a message of that type is received, with the received
-# message as its argument. In this case, we just print out the data.
-ib.subscribe(:ContractData) { |msg| puts msg.contract.inspect }
-
-# Now we actually request Contract details for the symbols we're interested in. TWS will
-# respond with ContractData messages, which will be processed by the code above.
-@market.each_pair do |id, contract|
-  ib.send_message :RequestContractData, :id => id, :contract => contract
-end
-
-# Wait for IB to respond to our request
-ib.wait_for :ContractDataEnd

data/bin/depth_of_market

@@ -1,43 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script connects to IB API and subscribes to L2 (depth of market) data for
-# specific symbols
-
-require 'rubygems'
-require 'bundler/setup'
-$LOAD_PATH.unshift File.expand_path(File.dirname(__FILE__) + '/../lib')
-require 'ib-ruby'
-
-# Definition of what we want L2 data for.  We have to keep track of what ticker id
-# corresponds to what symbol ourselves, because the ticks don't include any other
-# identifying information. The choice of ticker ids is, as far as I can tell, arbitrary.
-@market = {123 => IB::Symbols::Stocks[:wfc],
-           456 => IB::Symbols::Futures[:es],
-           789 => IB::Symbols::Forex[:gbpusd]
-}
-
-# First, connect to IB TWS.
-ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
-
-# Subscribe to TWS alerts/errors
-ib.subscribe(:Alert) { |msg| puts msg.to_human }
-
-# Subscribe to MarketDepth events.
-ib.subscribe(:MarketDepth) do |msg|
-  puts @market[msg.request_id].description + ": " + msg.to_human
-end
-
-# Now we actually request L2 market data for the symbols we're interested in.
-@market.each_pair do |id, contract|
-  ib.send_message :RequestMarketDepth,
-                  :id => id,
-                  :contract => contract,
-                  :num_rows => 5
-end
-
-puts "\nSubscribed to market data"
-puts "\n******** Press <Enter> to cancel... *********\n\n"
-STDIN.gets
-puts "Cancelling market data subscription.."
-
-@market.each_pair { |id, contract| ib.send_message :CancelMarketDepth, :id => id }

data/bin/fa_accounts

@@ -1,22 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script receives Financial Adviser and Managed Accounts info
-
-require 'rubygems'
-require 'bundler/setup'
-$LOAD_PATH.unshift File.expand_path(File.dirname(__FILE__) + '/../lib')
-require 'ib-ruby'
-
-# First, connect to IB TWS.
-ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
-
-# Subscribe to TWS alerts/errors and FA/managed account info
-ib.subscribe(:Alert, :ManagedAccounts, :ReceiveFA) { |msg| puts msg.to_human }
-
-ib.send_message :RequestFA
-ib.send_message :RequestManagedAccounts
-
-ib.wait_for :Alert
-
-puts "\n******** Press <Enter> to cancel... *********\n\n"
-STDIN.gets

data/bin/fundamental_data

@@ -1,39 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script downloads Fundamental data for specific symbols from IB
-# This only works IF you have Reuters data subscription!
-
-require 'rubygems'
-require 'bundler/setup'
-$LOAD_PATH.unshift File.expand_path(File.dirname(__FILE__) + '/../lib')
-
-require 'ib-ruby'
-require 'xmlsimple'
-require 'pp'
-
-
-ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
-
-ib.subscribe(:Alert) { |msg| puts msg.to_human }
-
-# Fundamental Data will arrive as XML, parse it
-ib.subscribe(:FundamentalData) { |msg| @xml = XmlSimple.xml_in(msg.data) }
-
-ibm = IB::Contract.new :symbol => 'IBM',
-                       :exchange => 'NYSE',
-                       :currency => 'USD',
-                       :sec_type => 'STK'
-
-# Request Fundamental Data for IBM. Possible report types:
-#     'estimates' - Estimates
-#     'finstat'   - Financial statements
-#     'snapshot' - Summary
-ib.send_message :RequestFundamentalData,
-                :id => 10,
-                :contract => ibm,
-                :report_type => 'snapshot'
-
-# Needs some time to receive and parse XML. Standard timeout of 1 sec is just too low.
-ib.wait_for(30) { @xml}
-
-pp @xml

data/bin/historic_data

@@ -1,51 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script downloads historic data for specific symbols from IB
-
-require 'rubygems'
-require 'bundler/setup'
-$LOAD_PATH.unshift File.expand_path(File.dirname(__FILE__) + '/../lib')
-require 'ib-ruby'
-
-# Definition of what we want data for.  We have to keep track of what ticker id
-# corresponds to what symbol ourselves, because the ticks don't include any other
-# identifying information. The choice of ticker ids is, as far as I can tell, arbitrary.
-@market = {123 => IB::Symbols::Stocks[:wfc],
-           456 => IB::Symbols::Futures[:ym],
-           789 => IB::Symbols::Forex[:gbpusd] # No historical data for GBP/CASH@IDEALPRO
-}
-
-# Connect to IB TWS.
-ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
-
-# Subscribe to TWS alerts/errors
-ib.subscribe(:Alert) { |msg| puts msg.to_human }
-
-# Subscribe to HistoricalData incoming events.  The code passed in the block
-# will be executed when a message of that type is received, with the received
-# message as its argument. In this case, we just print out the data.
-#
-# Note that we have to look the ticker id of each incoming message
-# up in local memory to figure out what it's for.
-ib.subscribe(IB::Messages::Incoming::HistoricalData) do |msg|
-  puts @market[msg.request_id].description + ": #{msg.count} items:"
-  msg.results.each { |entry| puts "  #{entry}" }
-  @last_msg_time = Time.now.to_i
-end
-
-# Now we actually request historical data for the symbols we're interested in. TWS will
-# respond with a HistoricalData message, which will be processed by the code above.
-@market.each_pair do |id, contract|
-  ib.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
-                      :request_id => id,
-                      :contract => contract,
-                      :end_date_time => Time.now.to_ib,
-                      :duration => '2 D', #    ?
-                      :bar_size => '1 min', #  IB::BAR_SIZES.key(:hour)?
-                      :what_to_show => :trades,
-                      :use_rth => 1,
-                      :format_date => 1)
-end
-
-# Wait for IB to respond to our request
-sleep 0.1 until @last_msg_time && @last_msg_time < Time.now.to_i + 0.5

data/bin/historic_data_cli

@@ -1,182 +0,0 @@
-#!/usr/bin/env ruby
-# This script connects to IB API, and downloads historic data
-
-require 'rubygems'
-require 'time'
-require 'getopt/long'
-require 'bundler/setup'
-$LOAD_PATH.unshift File.expand_path(File.dirname(__FILE__) + '/../lib')
-require 'ib-ruby'
-
-include Getopt
-
-opt = Getopt::Long.getopts(
-    ["--help", BOOLEAN],
-    ["--end", REQUIRED],
-    ["--port", REQUIRED],
-    ["--security", REQUIRED],
-    ["--duration", REQUIRED],
-    ["--barsize", REQUIRED],
-    ["--csv", BOOLEAN],
-    ["--dateformat", REQUIRED],
-    ["--nonregularhours", BOOLEAN]
-)
-
-if opt["help"] || opt["security"].nil? || opt["security"].empty?
-  puts <<ENDHELP
-
-This program requires a TWS or Gateway running on localhost.
-
-----------
-
-One argument is required: --security, the security specification you want, in
-"long serialized IB-Ruby" format. This is a colon-separated string of the format:
-
-   symbol:security_type:expiry:strike:right:multiplier:exchange:primary_exchange:currency:local_symbol
-
-Fields not needed for a particular security should be left blank (e.g. strike and right are only relevant for options.)
-
-For example, to query the Apple 500 Strike Call expiring in January 2013, use:
-
-  $ historic_data_cli --security AAPL:OPT:201301:500:CALL::SMART::USD:
-
-Consult contract.rb for allowed values, and see also the examples in the symbols/ directory
-(load them in irb and run security#serialize_ib_ruby to see the appropriate string.)
-
-----------
-
-Options:
-
---end is is the last time we want data for. The default is now.
-  This is eval'ed by Ruby, so you can use a Ruby expression, which must return a Time object.
-
---duration is time period before --end, in seconds. The default is 86400 sec (1 day).
-  TWS imposes limit of 86400 sec (1 day) worth of historic data per request.
-
---what determines what the data will be comprised of. This can be
-  "trades", "midpoint", "bid", or "ask". The default is "trades".
-
---barsize determines how long each bar will be.
-
-  Possible bar values (from the IB documentation):
-  Values less than 30 sec do not appear to work for some securities.
-
-  sec1 = 1 sec
-  sec5 = 5 sec
-  sec15 = 15 sec
-  sec30 = 30 sec
-  min1 = 1 minute
-  min2 = 2 minutes
-  min5 = 5 minutes
-  min15 = 15 minutes (default)
-  min30 = 30 minutes
-  hour1 = 1 hour
-  day1 = 1 day
-
---nonregularhours : Normally, only data from the instrument's regular trading
- hours is returned. If --nonregularhours is given, all data available during the time
- span requested is returned, even for time intervals when the market was illiquid.
-
---dateformat : 1 (default) human-readable time/date format, like "20050307 11:32:16".
- If you set it to 2 instead, you will get UNIX epoch offsets (seconds since Jan 1, 1970).
-
---csv : print out the historic data in CSV format, with header.
-
---port : 4001 for Gateway (default), 7496 for TWS, or your custom port
-
-ENDHELP
-  exit
-end
-
-### Parameters
-
-# DURATION is how much historic data we want, in seconds, before END_DATE_TIME.
-DURATION = (opt["duration"] && opt["duration"].to_i) || 86400
-
-if DURATION > 86400
-  STDERR.puts("\nTWS rejects --duration longer than 86400 seconds (1 day).\n")
-  exit(1)
-end
-
-# This is the last time we want data for.
-END_DATE_TIME = (opt["end"] && eval(opt["end"]).to_ib) || Time.now.to_ib
-
-# This can be :trades, :midpoint, :bid, or :asked
-WHAT = (opt["what"] && opt["what"].to_sym) || :trades
-
-
-# Values less than 4 do not appear to actually work; they are rejected by the server.
-#
-BAR_SIZE = (opt["barsize"] && opt["barsize"].to_sym) || :min15
-
-# If REGULAR_HOURS_ONLY is set to 0, all data available during the time
-# span requested is returned, even data bars covering time
-# intervals where the market in question was illiquid. If useRTH
-# has a non-zero value, only data within the "Regular Trading
-# Hours" of the product in question is returned, even if the time
-# span requested falls partially or completely outside of them.
-
-REGULAR_HOURS_ONLY = opt["nonregularhours"] ? 0 : 1
-
-# Using a DATE_FORMAT of 1 will cause the dates in the returned
-# messages with the historic data to be in a text format, like
-# "20050307 11:32:16". If you set :format_date to 2 instead, you
-# will get an offset in seconds from the beginning of 1970, which
-# is the same format as the UNIX epoch time.
-
-DATE_FORMAT = (opt["dateformat"] && opt["dateformat"].to_i) || 1
-
-PORT = (opt["port"] && opt["port"]) || '4001'
-
-# First, connect to IB TWS.
-ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
-
-# Subscribe to TWS alerts/errors
-ib.subscribe(:Alert) { |msg| puts msg.to_human }
-
-lastMessageTime = Queue.new # for communicating with the reader thread.
-
-# Subscribe to incoming HistoricalData events. The code passed in the
-# block will be executed when a message of the subscribed type is
-# received, with the received message as its argument. In this case,
-# we just print out the data.
-#
-# Note that we have to look the ticker id of each incoming message
-# up in local memory to figure out what security it relates to.
-# The incoming message packet from TWS just identifies it by ticker id.
-#
-ib.subscribe(:HistoricalData) do |msg|
-  if opt["csv"]
-    puts "date,time,open,high,low,close,volume,wap,has_gaps"
-    msg.results.each do |datum|
-      puts "#{datum.time},#{datum.open},#{datum.high},#{datum.low}," +
-               "#{datum.close},#{datum.volume},#{datum.wap},#{datum.has_gaps}"
-    end
-  else
-    STDERR.puts "Received #{msg.count} items:"
-    msg.results.each { |datum| puts datum.to_s }
-  end
-  lastMessageTime.push(Time.now)
-end
-
-# Now we actually request historical data for the symbols we're
-# interested in.  TWS will respond with a HistoricalData message,
-# which will be received by the code above.
-ib.send_message :RequestHistoricalData,
-                :request_id => 123,
-                :contract => opt["security"],
-                :end_date_time => END_DATE_TIME,
-                :duration => DURATION, # seconds == 1 hour
-                :bar_size => BAR_SIZE, # 1 minute bars
-                :what_to_show => WHAT,
-                :use_RTH => REGULAR_HOURS_ONLY,
-                :format_date => DATE_FORMAT
-
-# A complication here is that IB does not send any indication when all historic data is done being delivered.
-# So we have to guess - when there is no more new data for some period, we interpret that as "end of data" and exit.
-while true
-  lastTime = lastMessageTime.pop # blocks until a message is ready on the queue
-  sleep 2 # .. wait ..
-  exit if lastMessageTime.empty? # if still no more messages after 2 more seconds, exit.
-end
-

data/bin/list_orders

@@ -1,28 +0,0 @@
-#!/usr/bin/env ruby
-#
-# This script retrieves list of all Orders from TWS
-
-require 'rubygems'
-require 'bundler/setup'
-$LOAD_PATH.unshift File.expand_path(File.dirname(__FILE__) + '/../lib')
-require 'ib-ruby'
-
-# Connect to IB as 0 (TWS) to retrieve all Orders, including TWS-generated ones
-ib = IB::Connection.new :client_id => 0 #, :port => 7496 # TWS
-
-# Subscribe to TWS alerts/errors and order-related messages
-@counter = 0
-
-ib.subscribe(:Alert, :OrderStatus, :OpenOrderEnd) { |msg| puts msg.to_human }
-
-ib.subscribe(:OpenOrder) do |msg|
-  @counter += 1
-  puts "#{@counter}: #{msg.to_human}"
-  #pp msg.order
-end
-
-ib.send_message :RequestAllOpenOrders
-
-# Wait for IB to respond to our request
-ib.wait_for :OpenOrderEnd
-sleep 1 # Let printer do the job