ib-symbols 1.0 → 1.1
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- checksums.yaml +4 -4
- data/README.md +11 -4
- data/ib-symbols.gemspec +1 -1
- data/lib/ib/symbols/abstract.rb +91 -92
- data/lib/ib/symbols/futures.rb +12 -0
- data/lib/ib/symbols/version.rb +1 -1
- metadata +3 -28
- data/examples/contract_details +0 -71
- data/examples/contract_sample_details +0 -50
- data/examples/contract_samples.rb +0 -716
- data/examples/depth_of_market +0 -45
- data/examples/head_time_stamp +0 -35
- data/examples/historic_data +0 -102
- data/examples/market_data +0 -57
- data/examples/option_data +0 -63
- data/examples/real_time_data +0 -35
- data/examples/snapshot_market_data +0 -105
- data/examples/time_and_sales +0 -51
data/examples/time_and_sales
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#!/usr/bin/env ruby
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#
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# This script connects to IB API and subscribes to market data for Forex symbols.
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# It then prints out all trades that exceed certain size.
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require 'bundler/setup'
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require 'ib/symbols'
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# Define the symbols we're interested in.
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@market = {
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123 => IB::Symbols::Futures[:gbp],
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234 => IB::Symbols::Futures[:jpy],
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444 => IB::Symbols::Forex[:usdjpy]
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}
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# First, connect to IB TWS. Arbitrary :client_id is used to identify your script
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ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS
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# Subscribe to TWS alerts/errors
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ib.subscribe(:Alert, :ManagedAccounts) { |msg| puts msg.to_human }
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# This method filters out non-:last type events, and filters out any sale < MIN_SIZE.
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# Note that we have to look the ticker id of each incoming message
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# up in local memory to figure out what it's for.
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# (N.B. The description field is not from IB TWS. It is defined
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# locally in symbols/futures.rb symbols/forex.rb, and is just arbitrary text.)
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def show_sales_and_size(msg)
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#return if msg.type != :last_price || msg.data[:size] < MIN_SIZE
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puts @market[msg.ticker_id].description + ": " +
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(msg.is_a?(IB::Messages::Incoming::TickPrice) ?
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"#{msg.data[:size]} at #{msg.data[:price]}" : msg.to_human)
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end
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# Now, subscribe to TickerPrice and TickerSize events. The code passed in the block
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# will be executed when a message of that type is received, with the received message
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# as its argument. In this case, we just print out the tick.
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ib.subscribe(:TickPrice, :TickSize, :TickString) { |msg| show_sales_and_size(msg) }
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# Now we actually request market data for the symbols we're interested in.
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@market.each_pair do |id, contract|
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ib.send_message :RequestMarketData, :ticker_id => id, :contract => contract
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end
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puts "\nSubscribed to TWS market data"
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puts "\n******** Press <Enter> to cancel... *********\n\n"
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STDIN.gets
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puts "Unsubscribing from TWS market data.."
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@market.each_pair { |id, contract| ib.send_message :CancelMarketData, :ticker_id => id }
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sleep 2
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