ib-symbols 1.0 → 1.1

data/examples/depth_of_market

@@ -1,45 +0,0 @@
-#!/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

@@ -1,35 +0,0 @@
-#!/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

@@ -1,102 +0,0 @@
-#!/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

@@ -1,57 +0,0 @@
-#!/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

@@ -1,63 +0,0 @@
-#!/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

@@ -1,35 +0,0 @@
-#!/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

@@ -1,105 +0,0 @@
-#!/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