ib-symbols 1.0

data/examples/time_and_sales

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+#!/usr/bin/env ruby
+#
+# This script connects to IB API and subscribes to market data for Forex symbols.
+# It then prints out all trades that exceed certain size.
+
+require 'bundler/setup'
+require 'ib/symbols'
+
+# Define the symbols we're interested in.
+@market = {
+    123 => IB::Symbols::Futures[:gbp],
+    234 => IB::Symbols::Futures[:jpy],
+    444 => IB::Symbols::Forex[:usdjpy]
+}
+
+# First, connect to IB TWS. Arbitrary :client_id is used to identify your script
+ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
+
+# Subscribe to TWS alerts/errors
+ib.subscribe(:Alert, :ManagedAccounts) { |msg| puts msg.to_human }
+
+# This method filters out non-:last type events, and filters out any sale < MIN_SIZE.
+# Note that we have to look the ticker id of each incoming message
+# up in local memory to figure out what it's for.
+# (N.B. The description field is not from IB TWS. It is defined
+#  locally in symbols/futures.rb symbols/forex.rb, and is just arbitrary text.)
+def show_sales_and_size(msg)
+  #return if msg.type != :last_price || msg.data[:size] < MIN_SIZE
+  puts @market[msg.ticker_id].description + ": " +
+           (msg.is_a?(IB::Messages::Incoming::TickPrice) ?
+               "#{msg.data[:size]} at #{msg.data[:price]}" : msg.to_human)
+end
+
+# Now, 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.
+ib.subscribe(:TickPrice, :TickSize, :TickString) { |msg| show_sales_and_size(msg) }
+
+# Now we actually request market data for the symbols we're interested in.
+@market.each_pair do |id, contract|
+  ib.send_message :RequestMarketData, :ticker_id => id, :contract => contract
+end
+
+puts "\nSubscribed to TWS market data"
+puts "\n******** Press <Enter> to cancel... *********\n\n"
+STDIN.gets
+puts "Unsubscribing from TWS market data.."
+
+@market.each_pair { |id, contract| ib.send_message :CancelMarketData, :ticker_id => id }
+
+sleep 2

data/ib-symbols.gemspec

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+require_relative 'lib/ib/symbols/version'
+
+Gem::Specification.new do |spec|
+  spec.name          = "ib-symbols"
+  spec.version       = IB::Symbols::VERSION
+  spec.authors       = ["Hartmut Bischoff"]
+  spec.email         = ["topofocus@gmail.com"]
+
+  spec.summary       = %q{Predefined symbols and watchlist, part of ib-ruby}
+  spec.description   = %q{Easy access to most common contracts through templates, define watchlists to perfrom bulk operations}
+  spec.homepage      = "https://ib-ruby.github.io/ib-doc/"
+  spec.required_ruby_version = Gem::Requirement.new(">= 2.6.0")
+
+#  spec.metadata["allowed_push_host"] = "TODO: Set to 'http://mygemserver.com'"
+
+  spec.metadata["homepage_uri"] = spec.homepage
+  spec.metadata["source_code_uri"] = "https://github.com/ib-ruby/ib-symbols"
+#  spec.metadata["changelog_uri"] =  "https://github.com/ib-ruby/ib-symbols/changelog.md"
+
+  # Specify which files should be added to the gem when it is released.
+  # The `git ls-files -z` loads the files in the RubyGem that have been added into git.
+  spec.files         = Dir.chdir(File.expand_path('..', __FILE__)) do
+    `git ls-files -z`.split("\x0").reject { |f| f.match(%r{^(test|spec|features)/}) }
+  end
+  spec.bindir        = "exe"
+  spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
+  spec.require_paths = ["lib"]
+
+  spec.add_dependency "ib-api"
+  spec.add_dependency "ox"
+  spec.add_development_dependency "bundler", "~> 2.0"
+  spec.add_development_dependency "rspec", "~> 3.0"
+  spec.add_development_dependency 'rspec-collection_matchers'
+  spec.add_development_dependency 'rspec-its' 
+
+  spec.add_development_dependency "guard"
+  spec.add_development_dependency "guard-rspec"
+end

data/lib/ib/symbols.rb

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+require "ib/symbols/version"
+require "ib-api"
+
+# These modules are used to facilitate referencing of most popular IB Contracts.
+# Like pages in the TWS-GUI, they can be utilised to organise trading and research.
+#
+# Symbol Allocations are organized as modules. They represent the contents of yaml files in
+#
+#		/lib/symbols/
+#
+#	Any collection is represented as simple Hash, with  __key__ as qualifier and an __IB::Contract__ as value.
+#	The Value is either a fully prequalified Contract  (Stock, Option, Future, Forex, CFD, BAG) or
+#	a lazy qualified Contract acting as base für further calucaltions and requests.
+#
+#		IB::Symbols.allocate_collection :Name
+#
+# creates the Module and file. If a previously created file is found, its contents are read and
+# the vcollection ist reestablished.
+#
+#		IB::Symbols::Name.add_contract :wfc, IB::Stock.new( symbol: 'WFC' )
+#
+#	adds the contract and stores it in the yaml file
+#
+#	  IB::Symbols::Name.wfc   # or  IB::Symbols::Name[:wfc]
+#
+#	retrieves the contract
+#
+#		IB::Symbols::Name.all 
+#
+#	returns an Array of stored contracts
+#
+#		IB::Symbols::Name.remove_contract :wfc
+#
+# deletes the contract from the list (and the file)
+#
+# To finish the cycle
+#
+#		IB::Symbols::Name.purge_collection
+#
+#	deletes the file and erases the collection in memory.
+#
+#	Additional methods can be introduced 
+#		* for individual contracts on the module-level or
+#		* to organize the list as methods of Array in  Module IB::SymbolExtention
+#
+#
+# Contracts can be hardcoded in the required standard-collections as well.
+# 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
+# string that you may find useful there.
+
+module IB
+  module Symbols
+    class Error < StandardError; end
+
+
+
+		def hardcoded?
+			!self.methods.include? :yml_file
+		end
+		def method_missing(method, *key)
+			if key.empty? 
+				if contracts.has_key?(method)
+					contracts[method]
+					elsif methods.include?(:each) && each.methods.include?(method)
+							self.each.send method  				
+					else
+					error "contract #{method} not defined. Try »all« for a list of defined Contracts.", :symbol
+				end
+			else
+				error "method missing"
+			end
+		end
+
+		def all
+			contracts.keys.sort rescue contracts.keys
+		end
+		def print_all
+			puts contracts.sort.map{|x,y| [x,y.description].join(" -> ")}.join "\n"
+		end
+		def contracts
+			if @contracts.present?
+				@contracts
+			else
+				@contracts = Hash.new
+			end
+		end
+		def [] symbol
+			if c=contracts[symbol]
+				return c
+			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
+
+
+require 'ib/symbols/forex'
+require 'ib/symbols/futures'
+require 'ib/symbols/stocks'
+require 'ib/symbols/index'
+require 'ib/symbols/cfd'
+require 'ib/symbols/commodity'
+require 'ib/symbols/options'
+require 'ib/symbols/combo'
+require 'ib/symbols/bonds'
+require 'ib/symbols/abstract'
+

data/lib/ib/symbols/abstract.rb

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+module IB
+
+	# reopen the contract-class and add yml_file
+	class Contract
+
+	# Reading Contract-Defaults
+		#
+	# by default, the yml-file in the base-directory (ib-ruby) is used.
+	# This method can be overloaded to include a file from a different location
+		#
+	#  IB::Symbols::Stocks.wfc.yml_file
+	#   => "/home/ubuntu/workspace/ib-ruby/contract_config.yml" 
+	# 
+			def yml_file
+      File.expand_path('../../../../contract_config.yml',__FILE__ )
+    end
+	end
+
+
+	module Symbols
+
+=begin
+Creates a Class and associates it with a filename
+
+raises an IB::Error in case of a conflict with existing class-names 
+=end
+	
+# set the Pathname to "ib-api/symbols" by default
+		@@dir= Pathname.new File.expand_path("../../../../symbols/", __FILE__ ) 
+		def self.set_origin directory
+			p = Pathname.new directory
+			@@dir = p if p.directory? 
+		rescue Errno::ENOENT
+			error "Setting up origin for symbol-files --> Directory (#{directory}) does not exist" 
+		end
+
+		def self.allocate_collection name  # name might be a string or a symbol
+			symbol_table = Module.new do
+				extend Symbols
+				extend Enumerable
+				def self.yml_file
+					@@dir + name.to_s.downcase.split("::").last.concat( ".yml" )
+				end
+
+				def self.each &b
+					contracts.values.each &b
+				end
+			end   # module new
+			name =  name.to_s.camelize.to_sym
+			the_collection = if	Symbols.send  :const_defined?, name  
+												 Symbols.send :const_get, name
+											 else
+												 Symbols.const_set  name, symbol_table   	
+											 end
+			if the_collection.is_a? Symbols
+				the_collection.send :read_collection if the_collection.all.empty?
+				the_collection # return_value
+			else
+				error "#{the_collection} is already a Class" 
+				nil
+			end
+		end
+
+		def purge_collection
+				yml_file.delete
+				@contracts =  nil
+		end
+
+=begin
+cuts the Collection in `bunch_count` pieces. Each bunch is delivered to the block.
+
+Sleeps for `sleeping time` between processing bunches
+
+Returns count of created bunches
+=end
+		def bunch( bunch_count = 50 , sleeping_time = 1)
+			en = self.each
+			the_size =  en.size
+			i =  0 
+			loop do
+				the_start = i * bunch_count
+				the_end =  the_start + bunch_count
+				the_end = the_size -1 if the_end >= the_size
+				it  = the_start .. the_end
+				yield it.map{|x| en.next rescue nil}.compact
+				break if  the_end == the_size -1 
+				i+=1
+				sleep sleeping_time
+			end 
+			 i -1  # return counts of bunches
+		end
+
+		def read_collection
+			if  yml_file.exist?
+				contracts.merge! YAML.load_file yml_file rescue contracts
+			else
+			 yml_file.open( "w"){}
+			end
+		end
+
+		def store_collection
+			 yml_file.open( 'w' ){|f| f.write @contracts.to_yaml}
+		end
+
+		def add_contract symbol, contract
+			if symbol.is_a? String
+				symbol.to_sym
+			elsif symbol.is_a? Symbol
+				symbol
+			else
+				symbol.to_i
+			end
+			# ensure that evey Sybmol::xxx.yyy entry has a description
+			contract.description =  contract.to_human[1..-2] if contract.description.nil?
+			# overwrite contract if existing
+			contracts[ symbol ] = contract.essential
+			store_collection
+		end
+
+		def remove_contract symbol
+			@contracts.delete  symbol 
+			store_collection
+		end
+
+
+		def to_human
+			self.to_s.split("::").last
+		end
+
+
+
+		module Unspecified
+			extend Symbols
+		end
+
+	end # module Symbols
+end #  module IB

data/lib/ib/symbols/bonds.rb

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+# Sample bond contract definitions
+module IB
+  module Symbols
+    module Bonds
+      extend Symbols
+
+      def self.contracts
+        @contracts ||= {
+          :abbey  => IB::Contract.new(:symbol => "ABBEY",
+                                   :currency => "USD",
+                                   :sec_type => :bond,
+                                   :description => "Any ABBEY bond"),
+
+          :ms => IB::Contract.new(:symbol => "MS",
+                                   :currency => "USD",
+                                   :sec_type => :bond,
+                                   :description => "Any Morgan Stanley bond"),
+
+          :wag => IB::Contract.new(:symbol => "WAG",
+                                   :currency => "USD",
+                                   :sec_type => :bond,
+                                   :description => "Any Wallgreens bond"),
+        }
+      end
+
+    end
+  end
+end

data/lib/ib/symbols/cfd.rb

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+# Frequently used stock contracts definitions
+# TODO: auto-request :ContractDetails from IB if unknown symbol is requested?
+module IB
+  module Symbols
+    module CFD
+      extend Symbols
+
+      def self.contracts
+	@contracts.presence || super.merge(
+          :dax => IB::Contract.new(:symbol => "IBDE30", sec_type: :cfd,
+                                    :currency => "EUR",
+                                    :description => "DAX  CFD."),
+
+ )
+      end
+
+    end
+  end
+end

data/lib/ib/symbols/combo.rb

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+# Frequently used stock contracts definitions
+# TODO: auto-request :ContractDetails from IB if unknown symbol is requested?
+module IB
+  module Symbols
+    module  Combo
+      extend Symbols
+
+			def self.contracts
+
+				@contracts ||= { #super.merge(
+					stoxx_straddle: IB::Straddle.build( from: IB::Symbols::Index.stoxx, strike: 3000, 
+																					expiry: IB::Symbols::Futures.next_expiry, trading_class: 'OESX') ,
+				 stoxx_calendar: IB::Calendar.build( from: IB::Symbols::Index.stoxx, strike: 3000, back: '2m' ,
+																					 	front: IB::Symbols::Futures.next_expiry, trading_class: 'OESX'),															 
+				 stoxx_butterfly: IB::Butterfly.fabricate( Symbols::Options.stoxx.merge( strike: 3300), front: 3250, back: 3350 ),
+				 stoxx_vertical: IB::Vertical.build( from: IB::Symbols::Index.stoxx, sell: 3000, buy: 3500, right: :put, 
+																							expiry: IB::Symbols::Futures.next_expiry, trading_class: 'OESX'),
+					zn_calendar: IB::Calendar.fabricate( IB::Symbols::Futures.zn, '3m') ,
+
+				 dbk_straddle: Bag.new( symbol: 'DBK', currency: 'EUR', exchange: 'DTB', combo_legs:
+												 [  ComboLeg.new( con_id: 270581032 , action: :buy, exchange: 'DTB', ratio: 1),   #DBK Dez20 2018 C 
+													ComboLeg.new( con_id: 270580382,  action: :buy, exchange: 'DTB', ratio: 1 ) ], #DBK Dez 20 2018 P
+													 description: 'Option Straddle: Deutsche Bank(20)[Dez 2018]'
+																														),
+					ib_mcd: Bag.new( symbol: 'IBKR,MCD', currency: 'USD', combo_legs:
+											[  ComboLeg.new( con_id: 43645865, action: :buy, ratio: 1), # IKBR STK
+												ComboLeg.new( con_id: 9408,	  action: :sell,ratio: 1 ) ], # MCD STK
+												description: 'Stock Spread: Buy Interactive Brokers, sell Mc Donalds'
+																													 ),
+
+				 vix_calendar:  Bag.new( symbol: 'VIX', currency: 'USD', exchange: 'CFE', combo_legs:
+											[  ComboLeg.new( con_id: 256038899, action: :buy, exchange: 'CFE', ratio: 1), #  VIX FUT 201708
+												 ComboLeg.new( con_id: 260564703,  action: :sell, exchange: 'CFE', ratio: 1 ) ], # VIX FUT 201709
+												description: 'VixFuture  Calendar-Spread August - September 2017'
+																													 ),
+				 wti_coil: Bag.new( symbol: 'WTI', currency: 'USD', exchange: 'SMART', combo_legs:
+										 [  ComboLeg.new( con_id: 55928698, action: :buy, exchange: 'IPE', ratio: 1), #  WTI future June 2017 
+												ComboLeg.new( con_id: 55850663,  action: :sell, exchange: 'IPE', ratio: 1 ) ], # COIL future June 2017
+											 description: 'Smart Future Spread WTI - COIL (June 2017) '
+																													),
+				wti_brent:  Bag.new( symbol: 'CL.BZ', currency: 'USD', exchange: 'NYMEX', combo_legs:
+										[ ComboLeg.new( con_id: 47207310, action: :buy, exchange: 'NYMEX', ratio: 1), #  CL Dec'16 @NYMEX
+											ComboLeg.new( con_id: 47195961,  action: :sell, exchange: 'NYMEX', ratio: 1 ) ],  #BZ Dec'16 @NYMEX
+											description: ' WTI - Brent Spread (Dez. 2016)'
+																												 )
+				}
+			#	)
+			end
+
+		end
+	end
+end

data/lib/ib/symbols/commodity.rb

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+# Frequently used stock contracts definitions
+# TODO: auto-request :ContractDetails from IB if unknown symbol is requested?
+module IB
+  module Symbols
+    module Commodity
+      extend Symbols
+
+      def self.contracts
+	  @contracts.presence || super.merge(
+          :xau => IB::Contract.new( symbol: 'XAUUSD', sec_type: :commodity, currency: 'USD',
+                                    :description => "London Gold ")
+	   )
+      end
+
+    end
+  end
+end