ib-symbols 1.0

data/examples/depth_of_market

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+#!/usr/bin/env ruby
+#
+# This script connects to IB API and subscribes to L2 (depth of market) data for
+# specific symbols
+
+require 'bundler/setup'
+require 'ib/symbols'
+
+# 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: 4002 do | gw | #, :port => 7496 # TWS
+
+	# Subscribe to TWS alerts/errors
+	gw.subscribe(:Alert) { |msg| puts msg.to_human }
+
+	# Subscribe to MarketDepth events.
+	gw.subscribe(:MarketDepth) do |msg|
+		puts market[msg.request_id].description + ": " + msg.to_human
+	end
+
+	# Set log level
+	gw.logger.level = Logger::FATAL # DEBUG #FATAL
+
+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/examples/head_time_stamp

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+#!/usr/bin/env ruby
+#
+# The Head Time Stamp -Request returns the first available date for historical data requests
+
+require 'bundler/setup'
+require 'ib/symbols'
+
+# First, connect to IB TWS and subscribe for events. 
+ib = IB::Connection.new :client_id => 1112  do | gw | #, :port => 7497 # TWS
+
+	# Subscribe to TWS alerts/errors
+	gw.subscribe(:Alert, :HeadTimeStamp) { |msg| puts msg.to_human }
+	# Set log level
+	gw.logger.level = Logger::FATAL # DEBUG  -- INFO -- WARN -- ERROR  -- FATAL
+
+end
+# 
+# We demonstrate it with Apple
+#
+
+		ib.send_message :RequestHeadTimeStamp, contract: IB::Symbols::Stocks.aapl
+    ib.wait_for :HeadTimeStamp
+
+
+		puts " First datatset for  #{IB::Symbols::Stocks.aapl.description} : #{ib.received[:HeadTimeStamp].date.join( " " )} "
+ Thread.new do 
+	sleep 1
+	puts "\n******** Press <Enter> to quit *********\n\n"
+ end
+STDIN.gets
+ puts "\n *** canceling Reqest ..." 
+		ib.send_message :CancelHeadTimeStamp
+# ..
+puts "Printing all gathered data \n\n"
+pp ib.received[ :HeadTimeStamp ]

data/examples/historic_data

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+#!/usr/bin/env ruby
+#
+# This script downloads historic data for specific symbols from IB
+
+require 'bundler/setup'
+require 'ib/symbols'
+
+# 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.
+# Predefined Symbol-definitions -->  lib/ib/symbols
+contracts = {123 => IB::Symbols::Futures.mini_dax,	
+              456 => IB::Stock.new( symbol: 'BAS',  currency: 'EUR') ,  # BASF
+              789 => IB::Symbols::Forex.eurusd 
+}
+
+# Connect to IB TWS.
+#ib = IB::Connection.new( :client_id => 1102, port: 7496, host: '10.222.148.177'  ) do  | gw | 
+ib = IB::Connection.new :client_id => 1112, :port => 7496  do | gw | #, :port => 7497 # TWS
+
+	# Subscribe to TWS alerts/errors
+	gw.subscribe(:Alert, :ManagedAccounts) { |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.
+	gw.subscribe(IB::Messages::Incoming::HistoricalData) do |msg|
+		puts contracts[msg.request_id].description + ": #{msg.count} items:"
+		msg.results.each { |entry| puts "  #{entry}" }
+	end
+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.
+contracts.each_pair do |request_id, contract|
+  ib.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
+                      :request_id => request_id,
+                      :contract => contract,
+                      :end_date_time => Time.now.to_ib,
+                      :duration => '1 D', #    ?
+                      :bar_size => :hour1, #  IB::BAR_SIZES.key(:hour)?
+                      :what_to_show => :trades,
+                      :use_rth => 0,
+		      :keep_up_todate => 0)
+end
+
+# IB does not send any indication when all historic data is done being delivered.
+# So we need to interrupt manually when our request is answered.
+puts "\n******** Press <Enter> to exit... *********\n\n"
+STDIN.gets
+
+__END__
+## EXTRACTED FROM THE PYTHON IMPLEMENTATION  (Jan 2018)
+contract:Contract - This object contains a description of the contract for which
+		    market data is being requested.
+  endDateTime:str - Defines a query end date and time at any point during the past 6 mos.
+  Valid values include any date/time within the past six months in the format:
+  yyyymmdd HH:mm:ss ttt
+		    where "ttt" is the optional time zone.
+  durationStr:str - Set the query duration up to one week, using a time unit
+		    of seconds, days or weeks. Valid values include any integer followed by a space
+		    and then S (seconds), D (days) or W (week). If no unit is specified, seconds is used.
+  barSizeSetting:str - Specifies the size of the bars that will be returned (within IB/TWS listimits).
+  Valid values include:
+    1 sec
+    5 secs
+    15 secs
+    30 secs
+    1 min
+    2 mins
+    3 mins
+    5 mins
+    15 mins
+    30 mins
+    1 hour
+    1 day
+    whatToShow:str - Determines the nature of data beinging extracted. Valid values include:
+      TRADES
+      MIDPOINT
+      BID
+      ASK
+      BID_ASK
+      HISTORICAL_VOLATILITY
+      OPTION_IMPLIED_VOLATILITY
+     
+    useRTH:int - Determines whether to return all data available during the requested time span,
+		  or only data that falls within regular trading hours. Valid values include:
+
+	    0 - all data is returned even where the market in question was outside of its
+		regular trading hours.
+	    1 - only data within the regular trading hours is returned, even if the
+		requested time span falls partially or completely outside of the RTH.
+    formatDate: int - Determines the date format applied to returned bars. validd values include:
+	    1 - dates applying to bars returned in the format: yyyymmdd{space}{space}hh:mm:dd
+	    2 - dates are returned as a long integer specifying the number of seconds since
+		1/1/1970 GMT.
+    chartOptions:TagValueList - For internal use only. Use default value XYZ. """
+
+

data/examples/market_data

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+#!/usr/bin/env ruby
+#
+# This script connects to IB API and subscribes to market data for specific symbols
+
+require 'bundler/setup'
+require 'ib-api'
+require 'ib/symbols'
+
+COUNT_OF_EVENTS =  20
+# 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.
+# (note: the forex symbols used here MUST be defined in lib/ib/symbols/forex.rb)
+market = {123 => IB::Symbols::Forex.gbpusd  ,
+           456 => IB::Symbols::Forex.eurusd ,
+           789 => IB::Symbols::Forex.usdcad }
+
+# connect to IB TWS.
+
+counter = 0
+
+ib = IB::Connection.new( :client_id => 1112) do | gw | #, :port => 7496 # TWS) 
+## Subcribe to forseable events before the connection is completed
+## Subscribe to TWS alerts/errors
+  gw.subscribe(:Alert) { |msg| puts msg.to_human }
+	gw.logger.level = Logger::FATAL
+
+# Subscribe to TickerPrice and TickerSize 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 tick. NB: The description field is not
+# from IB TWS. It is defined locally in forex.rb, and is just arbitrary text.
+
+  gw.subscribe(:TickRequestParameters, :TickPrice, :TickSize,  :TickGeneric) do |msg|
+    puts market[msg.ticker_id].description + ": " + msg.to_human
+    counter = counter + 1
+    if counter == COUNT_OF_EVENTS
+      puts "\nCancelling market data subscription.."
+      market.each_pair { |id, _| ib.send_message :CancelMarketData, :id => id }  
+      puts "Generally, the TWS sends additional TickEvents after the subscription is cancelled ... \n\n"
+      Thread.new do 
+				sleep 1
+				puts "\n******** Press <Enter> to quit *********\n\n"
+			end
+    end
+  end
+end
+# Now we actually request market data for the symbols we're interested in.
+ib.send_message :RequestMarketDataType, :market_data_type => :delayed
+market.each_pair do |id, contract|
+  ib.send_message :RequestMarketData, :id => id, :contract => contract
+end
+
+puts "\nSubscribed to market data"
+puts "\n********* Receiving #{COUNT_OF_EVENTS} TickEvents, then canceling the subscription ***** \n\n" 
+STDIN.gets
+
+#@market.each_pair { |id, _| ib.send_message :CancelMarketData, :id => id }

data/examples/option_data

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+#!/usr/bin/env ruby
+#
+# This script subscribes to market data for a list of Options
+
+require 'bundler/setup'
+require 'ib/symbols'
+COUNT_OF_EVENTS =  20
+# 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.
+contracts = [ IB::Symbols::Options.ge,  IB::Symbols::Options.spy,
+							IB::Symbols::Options.aapl]
+list_of_ids =[]
+
+counter = 0
+
+#contracts = [ IB::Option.new( symbol: 'ESTX50', exchange:'DTB', multiplier: 10, currency: 'EUR', strike: 3200, expiry: '202012', right: :put) ,IB::Symbols::Options.ge ]
+# First, connect to IB TWS. Arbitrary :client_id is used to identify your script
+ib = IB::Connection.new( client_id: 1116, port: 7496)  do | gw| #, :port => 7496 # TWS
+
+  ## Subscribe to TWS alerts/errors
+  gw.subscribe(:Alert, :ManagedAccounts) { |msg| puts msg.to_human }
+	#  set the log level
+	gw.logger.level = Logger::FATAL
+  # Subscribe to Ticker... events.  The code passed in the block will be executed when
+  # any message of that type is received, with the received message as its argument.
+  # In this case, we just print out the tick.
+  #
+  # (N.B. The description field is not from IB TWS. It is defined
+  #  locally in forex.rb, and is just arbitrary text.)
+  gw.subscribe(:TickPrice, :TickSize, :TickOption, :TickString, :TickRequestParameters) do |msg|
+    counter =  counter + 1
+    if counter == COUNT_OF_EVENTS
+      puts "Cancelling market data subscription.."
+      list_of_ids.each { |id| ib.send_message :CancelMarketData, :id => id }  
+      puts "Generally, the TWS sends additional TickEvents after the subscription is cancelled ... \n\n"
+      Thread.new do 
+				sleep 1
+				puts "\n******** Press <Enter> to quit *********\n\n"
+			end
+    end
+  end
+end
+
+# Now we actually request market data for the symbols we're interested in.
+#
+# ### ticklist-values :  lib/ib/messages/outgoing/request_marketdata.rb 
+ib.send_message :RequestMarketDataType, :market_data_type => :delayed
+list_of_ids = contracts.map do |contract|
+  ib.send_message :RequestMarketData, :contract => contract ,  tick_list: [100,101,106]
+end
+# we modify contracts: { ticker_id => Contract } ( Will be used in the subscrption thread )
+contracts =  list_of_ids.zip( contracts ).to_h
+puts "Contracts: \n\t  #{contracts.map{|x,y| "#{x} :: #{y.to_human}"}.join("\n\t")} "
+puts "\nSubscribed to market data"
+puts "\n******** Press <Enter> to cancel subscriptions  *********\n\n"
+STDIN.gets
+puts "Cancelling market data subscription.."
+
+contracts.each_with_index { | contract, i| ib.send_message :CancelMarketData, :id => i+1 }
+
+puts "\n******** Press <Enter> to quit.. *********\n\n"
+STDIN.gets

data/examples/real_time_data

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+#!/usr/bin/env ruby
+#
+# Subscribe to real time data for specific symbol from IB
+
+require 'bundler/setup'
+require 'ib/symbols'
+
+contracts = {1 => IB::Symbols::Stocks[:vxx], 
+              9 => IB::Symbols::Forex[:gbpusd] 
+	     }
+
+# Connect to IB TWS.
+ib = IB::Connection.new :client_id => 1112 do | gw | #, :port => 7497 # TWS
+
+	# Subscribe to TWS alerts/errors
+	gw.subscribe(:Alert) { |msg| puts msg.to_human }
+
+	# Subscribe to RealTimeBar incoming events. We have to use message request_id
+	# to figure out what contract it's for.
+	gw.subscribe(IB::Messages::Incoming::RealTimeBar) do |msg|
+		puts contracts[msg.request_id].description + ": #{msg.to_human}"
+	end
+end
+contracts.each_pair do |request_id, contract|
+  ib.send_message IB::Messages::Outgoing::RequestRealTimeBars.new(
+                        :request_id => request_id,
+                        :contract => contract,
+                  #      :bar_size => 5, # Only 5 secs bars supported  (hard coded in messages/outgoing/bar_requests)
+                        :data_type => :trades,	# possible values: :trades, :bid, :ask , :midpoint
+                        :use_rth => false)
+end
+
+# So we need to interrupt manually when we do not want any more quotes.
+puts "\n******** Press <Enter> to exit... *********\n\n"
+STDIN.gets

data/examples/snapshot_market_data

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+#!/usr/bin/env ruby
+##
+## This script connects to IB API and collects snaphot Data for given Contracts
+##
+#
+class Snapshot
+	def initialize 
+		@contracts = Array.new
+		@prices = Hash.new
+	end
+
+
+	def add_contract  *contract
+		contract.each do |c|
+			@contracts << c
+		end
+	end
+
+	def print_results
+	#	@prices.each do |x,y|
+	#		STDOUT.print "	#{@contracts[x][:display_text] } \t" +
+	#			y.collect{|x,y| "#{x}: #{y}"}.join(" \n\t\t\t ") +" \n"
+	#	enda
+		 @prices.each do |a,b|
+			  contract = b.delete :contract
+				if contract.present?
+					puts  contract.to_human
+					print b.inspect  # [:bid_price], b[:ask_price], b[:high], b[:low], b[:close_price]
+					print"\n"
+				end
+		 end
+	end
+
+
+	def process
+		ib =  IB::Connection.current
+
+		count =  @contracts.size
+		ib.subscribe(:Alert)  do |msg|
+			if msg.code == 354										# Requested market data is not subscribed
+				count -=1														# wir zählen den Counter runter, so dass
+				puts "No Marketdata Subscription"		# am Ende die Orderantwort ausgelöst wird
+			else
+				puts msg.message										# unhandled Alert
+			end
+		end
+		#  we collect price-events in @prices-Hash
+		ib.subscribe( :TickPrice){ |msg| @prices[msg.ticker_id][msg.type]=msg.price }
+		# When finished, print the results
+		ib.subscribe( :TickSnapshotEnd){ count -=1; print_results if count.zero? }
+		# fire the request
+		ib.send_message :RequestMarketDataType, :market_data_type => :delayed
+
+		@contracts.each do | contract |
+			request_id = 	ib.send_message :RequestMarketData, :contract => contract, :snapshot => 1
+			# connect contracts to prices
+			@prices[request_id] = {:contract => contract}
+		end
+	end
+
+end # class
+
+####  here it starts #######
+
+require 'bundler/setup'
+require 'ib/symbols'
+
+# # Connect to IB TWS
+IB::Connection.new client_id: 1112, port: 7496  do | gw | # , :port => 7497  do |gw|
+
+	# Set log level
+	gw.logger.level = Logger::FATAL
+end
+
+s = Snapshot.new
+s.add_contract  IB::Stock.new symbol: 'FAST', :con_id => 269120, :exchange => 'SMART'
+s.add_contract  IB::Stock.new :symbol => 'IBM'
+s.add_contract  IB::Symbols::Forex.eurusd
+s.process
+
+ Thread.new do 
+	sleep 3
+	puts "\n******** Press <Enter> to quit *********\n\n"
+ end
+STDIN.gets
+puts "done."
+
+
+=begin
+Expected Output
+
+Market data farm is connecting:usfarm
+Market data farm connection is OK:cashfarm
+Market data farm is connecting:usfarm
+Market data farm connection is OK:usfarm
+Requested market data is not subscribed. Displaying delayed market data...
+Requested market data is not subscribed. Displaying delayed market data...
+<Stock: FAST USD>
+{:delayed_bid=>0.578e2, :delayed_ask=>0.5784e2, :delayed_last=>0.5781e2, :delayed_high=>0.584e2, :delayed_low=>0.573e2, :delayed_close=>0.5737e2, :delayed_open=>0.0}
+<Stock: IBM USD>
+{:delayed_bid=>0.16083e3, :delayed_ask=>0.16085e3, :delayed_last=>0.16085e3, :delayed_high=>0.16125e3, :delayed_low=>0.15852e3, :delayed_close=>0.15812e3, :delayed_open=>0.0}
+<Contract: EUR forex IDEALPRO USD>
+{:high=>0.123835e1, :low=>0.12316e1, :close_price=>0.12368e1, :bid_price=>0.123218e1, :ask_price=>0.123219e1}
+
+=end