ib-ruby 0.8.4 → 0.8.5

data/bin/scaffold.rb

@@ -0,0 +1,29 @@
+#!/usr/bin/env ruby
+#
+# This script converts given migration file into rails scaffold command
+
+output = STDOUT
+ARGV.each do |file_name|
+  if File.exist? file_name
+    File.open(file_name) do |file|
+      puts "\nProcessing: #{file.inspect}"
+
+      model_name = nil
+      file.each do |line|
+        if line =~ /create_table.*:ib_(.*)s.* do \|t\|/
+          model_name = Regexp.last_match(1)
+          output.print "\nrails generate scaffold #{model_name} "
+        end
+
+        if line =~ /t\.(\w*) :(\w*)/
+          field, type = Regexp.last_match(2), Regexp.last_match(1)
+          if type == 'references'
+          	field, type = field + '_id', 'integer'
+          end	
+          output.print "#{field}:#{type} "
+        end
+      end
+    end
+    output.puts
+  end
+end

data/config/routes.rb

@@ -1,6 +1,13 @@
 IB::Engine.routes.draw do
+  # resources :bars, :module => "ib"
+  resources :bars
+  resources :combo_legs
+  resources :contracts
+  resources :contract_details
+  resources :executions
+  resources :orders
+  resources :order_states
   resources :underlyings
-  # resources :underlyings, :module => "ib"
 
   root :to => "underlyings#index"
 end

data/db/config.yml

@@ -12,6 +12,11 @@ test-mri:
   <<: *test
   :adapter:     sqlite3
 
+# Dev configurations (JRuby)
+development:
+  <<: *test
+  :database:      db/development.sqlite3
+
 # Battle configurations (JRuby)
 prod:
   <<: *test

data/db/migrate/101_add_ib_executions.rb

@@ -22,3 +22,6 @@ class AddIbExecutions < ActiveRecord::Migration
     end
   end
 end
+
+__END__
+rails generate scaffold execution order_id:integer local_id:integer client_id:integer perm_id:integer order_ref:string exec_id:string side:string quantity:integer cumulative_quantity:integer price:float average_price:float exchange:string account_name:string liquidation:boolean time:string 

data/db/migrate/111_add_ib_bars.rb

@@ -3,6 +3,7 @@ class AddIbBars < ActiveRecord::Migration
   def change
     # This is a single data point delivered by HistoricData or RealTimeBar messages.
     create_table(:ib_bars) do |t|
+      t.references :contract
       t.float :open #       double:
       t.float :high #       double:
       t.float :low #        double:
@@ -16,3 +17,8 @@ class AddIbBars < ActiveRecord::Migration
     end
   end
 end
+
+__END__
+rails generate scaffold bar contract_id:integer open:float high:float low:float close:float
+ wap:float volume:integer trades:integer has_gaps:boolean time:string 
+

data/db/migrate/121_add_ib_order_states.rb

@@ -26,3 +26,11 @@ class AddIbOrderStates < ActiveRecord::Migration
     end
   end
 end
+
+__END__
+rails generate scaffold order_state order_id:integer local_id:integer client_id:integer 
+perm_id:integer parent_id:integer status:string filled:integer remaining:integer 
+price:float average_price:float why_held:string warning_text:string
+commission_currency:string commission:float min_commission:float max_commission:float 
+init_margin:string maint_margin:float equity_with_loan:float
+

data/db/migrate/131_add_ib_orders.rb

@@ -104,3 +104,27 @@ class AddIbOrders < ActiveRecord::Migration
     end
   end
 end
+
+__END__
+rails generate scaffold order contract_id:integer local_id:integer client_id:integer 
+ perm_id:integer parent_id:integer order_ref:string order_type:string tif:string side:string 
+ quantity:integer limit_price:float aux_price:float open_close:integer oca_type:integer 
+ oca_group:string transmit:boolean what_if:boolean outside_rth:boolean not_held:boolean 
+ hidden:boolean block_order:boolean sweep_to_fill:boolean all_or_none:boolean etrade_only:boolean
+ firm_quote_only:boolean opt_out_smart_routing:boolean override_percentage_constraints:boolean 
+ min_quantity:integer display_size:integer trigger_method:integer origin:integer 
+ good_after_time:string good_till_date:string rule_80a:string percent_offset:float 
+ trail_stop_price:float trailing_percent:float fa_group:string fa_profile:string fa_method:string 
+ fa_percentage:string short_sale_slot:integer designated_location:string exempt_code:integer 
+ account:string settling_firm:string clearing_account:string clearing_intent:string 
+ discretionary_amount:float nbbo_price_cap:float auction_strategy:integer starting_price:float 
+ stock_ref_price:float delta:float stock_range_lower:float stock_range_upper:float 
+ volatility:float volatility_type:integer reference_price_type:integer continuous_update:integer 
+ delta_neutral_order_type:string delta_neutral_aux_price:string delta_neutral_con_id:integer 
+ delta_neutral_settling_firm:string delta_neutral_clearing_account:string 
+ delta_neutral_clearing_intent:string hedge_type:string hedge_param:string basis_points:float 
+ basis_points_type:float algo_strategy:string leg_prices:text algo_params:text 
+ combo_params:text scale_init_level_size:integer scale_subs_level_size:integer 
+ scale_price_increment:float scale_price_adjust_value:float scale_price_adjust_interval:integer 
+ scale_profit_offset:float scale_init_position:integer scale_init_fill_qty:integer 
+ scale_auto_reset:boolean scale_random_percent:boolean placed_at:timestamp modified_at:timestamp

data/db/migrate/141_add_ib_combo_legs.rb

@@ -17,3 +17,9 @@ class AddIbComboLegs < ActiveRecord::Migration
     end
   end
 end
+
+__END__
+rails generate scaffold combo_leg combo_id:integer leg_contract_id:integer con_id:integer 
+ side:string ratio:integer exchange:string exempt_code:integer short_sale_slot:integer 
+ open_close:integer designated_location:string 
+

data/db/migrate/151_add_ib_underlyings.rb

@@ -11,3 +11,6 @@ class AddIbUnderlyings < ActiveRecord::Migration
     end
   end
 end
+
+__END__
+rails generate scaffold underlying contract_id:integer con_id:integer delta:float price:float 

data/db/migrate/161_add_ib_contract_details.rb

@@ -38,3 +38,14 @@ class AddIbContractDetails < ActiveRecord::Migration
     end
   end
 end
+
+__END__
+rails generate scaffold contract_detail contract_id:integer market_name:string 
+ trading_class:string min_tick:float price_magnifier:integer order_types:string 
+ valid_exchanges:string under_con_id:integer long_name:string contract_month:string 
+ industry:string category:string subcategory:string time_zone:string trading_hours:string 
+ liquid_hours:string cusip:string ratings:string desc_append:string bond_type:string 
+ coupon_type:string coupon:float maturity:string issue_date:string next_option_date:string 
+ next_option_type:string notes:string callable:boolean puttable:boolean convertible:boolean 
+ next_option_partial:boolean
+

data/db/migrate/171_add_ib_contracts.rb

@@ -8,7 +8,7 @@ class AddIbContracts < ActiveRecord::Migration
       t.float :strike # double: The strike price.
       t.string :currency, :limit => 4 # Only needed if there is an ambiguity e.g. when SMART exchange
       t.string :sec_id_type, :limit => 5 # Security identifier when querying contract details or
-      t.integer :sec_id # Unique identifier of the given secIdType.
+      t.string :sec_id # Unique identifier of the given secIdType.
       t.string :legs_description # received in OpenOrder for all combos
       t.string :symbol # This is the symbol of the underlying asset.
       t.string :local_symbol # Local exchange symbol of the underlying asset
@@ -24,3 +24,10 @@ class AddIbContracts < ActiveRecord::Migration
     end
   end
 end
+
+__END__
+rails generate scaffold contract con_id:integer sec_type:string strike:float currency:string 
+ sec_id:string sec_id_type:string legs_description:string symbol:string local_symbol:string 
+ multiplier:integer expiry:string exchange:string primary_exchange:string 
+ include_expired:boolean right:string type:string 
+

data/db/schema.rb

@@ -13,6 +13,7 @@
 ActiveRecord::Schema.define(:version => 171) do
 
   create_table "ib_bars", :force => true do |t|
+    t.integer  "contract_id"
     t.float    "open"
     t.float    "high"
     t.float    "low"
@@ -20,10 +21,10 @@ ActiveRecord::Schema.define(:version => 171) do
     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
+    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|
@@ -83,7 +84,7 @@ ActiveRecord::Schema.define(:version => 171) do
     t.float    "strike"
     t.string   "currency",         :limit => 4
     t.string   "sec_id_type",      :limit => 5
-    t.integer  "sec_id"
+    t.string   "sec_id"
     t.string   "legs_description"
     t.string   "symbol"
     t.string   "local_symbol"

data/lib/ib/base.rb

@@ -9,13 +9,15 @@ module IB
     include ActiveModel::Serializers::Xml
     include ActiveModel::Serializers::JSON
 
+    define_model_callbacks :initialize
+
     # 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)
+        self.attributes = attributes # set_attribute_defaults is now after_init callback
       end
     end
 

data/lib/ib/base_properties.rb

@@ -8,12 +8,6 @@ module IB
   module BaseProperties
     extend ActiveSupport::Concern
 
-    def default_attributes
-      {:created_at => Time.now,
-       :updated_at => Time.now,
-       }
-    end
-
     ### Instance methods
 
     # Default presentation
@@ -42,12 +36,34 @@ module IB
 
     # 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 }
+      case other
+      when String # Probably a Rails URI, delegate to AR::Base
+        super(other)
+      else
+        content_attributes.keys.inject(true) { |res, key| 
+          res && (send(key) == other.send(key)) }
+      end
+    end
+
+    ### Default attributes support
+
+    def default_attributes
+      {:created_at => Time.now,
+       :updated_at => Time.now,
+       }
+    end
+
+    def set_attribute_defaults
+      default_attributes.each do |key, val|
+        self.send("#{key}=", val) if self.send(key).nil?
+        # self.send("#{key}=", val) if self[key].nil? # Problems with association defaults
+      end
     end
 
     included do
 
+      after_initialize :set_attribute_defaults
+
       ### Class macros
 
       def self.prop *properties
@@ -125,13 +141,8 @@ module IB
         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
+      # Timestamps in lightweight models
+      unless defined?(ActiveRecord::Base) && ancestors.include?(ActiveRecord::Base)
         prop :created_at, :updated_at
       end
 

data/lib/ib/connection.rb

@@ -1,3 +1,4 @@
+require 'thread'
 require 'ib/socket'
 require 'ib/logger'
 
@@ -11,10 +12,10 @@ module IB
 
     DEFAULT_OPTIONS = {:host =>'127.0.0.1',
                        :port => '4001', # IB Gateway connection (default)
-                       #:port => '7496', # TWS connection, with annoying pop-ups
+                       #:port => '7496', # TWS connection 
                        :connect => true, # Connect at initialization
                        :reader => true, # Start a separate reader Thread
-                       :received => true, # Keep all received messages in a Hash
+                       :received => true, # Keep all received messages in a @received Hash
                        :logger => nil,
                        :client_id => nil, # Will be randomly assigned
                        :client_version => 57, # 48, # 57 = can receive commissionReport message

data/lib/ib/errors.rb

@@ -7,22 +7,29 @@ module IB
   class ArgumentError < ArgumentError
   end
 
+  class SymbolError < ArgumentError
+  end
+
   class LoadError < LoadError
   end
 
 end # module IB
 
-### Patching Object with universally accessible top level error method
+# Patching Object with universally accessible top level error method. 
+# The method is used throughout the lib instead of plainly raising exceptions. 
+# This allows lib user to easily inject user-specific error handling into the lib 
+# by just replacing Object#error method.
 def error message, type=:standard, backtrace=nil
   e = case type
-        when :standard
-          IB::Error.new message
-        when :args
-          IB::ArgumentError.new message
-        when :load
-          IB::LoadError.new message
-      end
+  when :standard
+    IB::Error.new message
+  when :args
+    IB::ArgumentError.new message
+  when :symbol
+    IB::SymbolError.new message
+  when :load
+    IB::LoadError.new message
+  end
   e.set_backtrace(backtrace) if backtrace
   raise e
 end
-

data/lib/ib/extensions.rb

@@ -28,9 +28,9 @@ end
 class String
   def to_bool
     case self.chomp.upcase
-      when 'TRUE', 'T'
+      when 'TRUE', 'T', '1'
         true
-      when 'FALSE', 'F', ''
+      when 'FALSE', 'F', '0', ''
         false
       else
         error "Unable to convert #{self} to bool"
@@ -39,8 +39,9 @@ class String
 end
 
 class NilClass
+  # We still need to pass on nil, meaning: no value
   def to_bool
-    false
+    self
   end
 end
 
@@ -56,8 +57,9 @@ class Symbol
 end
 
 class Object
+  # We still need to pass on nil, meaning: no value
   def to_sup
-    self.to_s.upcase
+    self.to_s.upcase unless self.nil?
   end
 end
 

data/lib/ib/symbols.rb

@@ -1,5 +1,5 @@
 # These modules are used to facilitate referencing of most popular IB Contracts.
-# For example, suppose you're explicitely creating such Contract in all your scripts:
+# For example, suppose you're explicitly creating such Contract in all your scripts:
 #    wfc = IB::Contract.new(:symbol => "WFC",
 #                           :exchange => "NYSE",
 #                           :currency => "USD",
@@ -10,13 +10,20 @@
 # it as IB::Symbols::Stock[:wfc] anywhere you need it.
 #
 # Note that the :description field is local to ib-ruby, and is NOT part of the standard TWS API.
-# It is never transmitted to IB. It's purely used clientside, and you can store any arbitrary 
+# It is never transmitted to IB. It's purely used clientside, and you can store any arbitrary
 # string that you may find useful there.
 
 module IB
   module Symbols
     def [] symbol
-      contracts[symbol]
+      if contracts[symbol]
+        return contracts[symbol]
+      else
+        # symbol probably has not been predefined, tell user about it
+        file = self.to_s.split(/::/).last.downcase
+        msg = "Unknown symbol :#{symbol}, please pre-define it in lib/ib/symbols/#{file}.rb"
+        error msg, :symbol
+      end
     end
   end
 end

data/lib/ib/symbols/forex.rb

@@ -3,72 +3,57 @@ module IB
     module Forex
       extend Symbols
 
-      # IDEALPRO is for orders over 25,000 and routes to the interbank quote stream.
-      # IDEAL is for smaller orders, and has wider spreads/slower execution... generally
-      # used for smaller currency conversions.
       def self.contracts
-        @contracts ||= {
-          :audusd => IB::Contract.new(:symbol => "AUD",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "USD",
-                                      :sec_type => :forex,
-                                      :description => "AUDUSD"),
-
-          :gbpusd => IB::Contract.new(:symbol => "GBP",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "USD",
-                                      :sec_type => :forex,
-                                      :description => "GBPUSD"),
-
-          :euraud => IB::Contract.new(:symbol => "EUR",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "AUD",
-                                      :sec_type => :forex,
-                                      :description => "EURAUD"),
-
-          :eurgbp => IB::Contract.new(:symbol => "EUR",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "GBP",
-                                      :sec_type => :forex,
-                                      :description => "EURGBP"),
-
-          :eurjpy => IB::Contract.new(:symbol => "EUR",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "JPY",
-                                      :sec_type => :forex,
-                                      :description => "EURJPY"),
-
-          :eurusd => IB::Contract.new(:symbol => "EUR",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "USD",
-                                      :sec_type => :forex,
-                                      :description => "EURUSD"),
-
-          :eurcad => IB::Contract.new(:symbol => "EUR",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "CAD",
-                                      :sec_type => :forex,
-                                      :description => "EURCAD"),
-
-          :usdchf => IB::Contract.new(:symbol => "USD",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "CHF",
-                                      :sec_type => :forex,
-                                      :description => "USDCHF"),
-
-          :usdcad => IB::Contract.new(:symbol => "USD",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "CAD",
-                                      :sec_type => :forex,
-                                      :description => "USDCAD"),
-
-          :usdjpy => IB::Contract.new(:symbol => "USD",
-                                      :exchange => "IDEALPRO",
-                                      :currency => "JPY",
-                                      :sec_type => :forex,
-                                      :description => "USDJPY")
-        }
+        @contracts ||= define_contracts
+      end
+      
+      private
+      
+      # IDEALPRO is for orders over 20,000 and routes to the interbank quote stream.
+      # IDEAL is for smaller orders, and has wider spreads/slower execution... generally
+      # used for smaller currency conversions. IB::Symbols::Forex contracts are pre-defined 
+      # on IDEALPRO, if you need something else please define forex contracts manually.
+      def self.define_contracts
+        @contracts = {}
+        
+        # use combinations of these currencies for pre-defined forex contracts
+        recognized_currencies = [
+          "aud",
+          "cad",
+          "chf",
+          "eur",
+          "gbp",
+          "hkd",
+          "jpy",
+          "nzd",
+          "usd"
+          ]
+
+        # create fx symbol list from currency list
+        fx_symbol_list = []
+        all_pairs = recognized_currencies.product(recognized_currencies)
+        all_pairs.each_index do |i|
+          fx_symbol_list[i] = (all_pairs[i][0] + all_pairs[i][1]).downcase.to_sym unless all_pairs[i][0] == all_pairs[i][1]
+        end
+        # delete nil entries in fx_symbol_list array
+        fx_symbol_list.compact!
+
+        # now define each contract
+        fx_symbol_list.each do |fx_sym|
+          @contracts[fx_sym] = IB::Contract.new(
+              :symbol => fx_sym.to_s[0..2].upcase,
+              :exchange => "IDEALPRO",
+              :currency => fx_sym.to_s[3..5].upcase,
+              :sec_type => :forex,
+              :description => fx_sym.to_s.upcase
+          )
+        end  
+        return @contracts      
       end
     end
   end
 end
+                                    
+                                      
+                                      
+