ib-technical-analysis 0.2

checksums.yaml

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+---
+SHA256:
+  metadata.gz: 89931b30ea1e6eb4f7c054d5b4a53cdb0ad310ef82d5d2c437ea2e51d2cfb748
+  data.tar.gz: c46db9983553e90e85d0e3b0f934337210375b4b83a1a63cb326f107f4a4d7a1
+SHA512:
+  metadata.gz: 4865a345bcd2b421f54b1482c1801980fc98876450f008e721df532776a3b1c5ab2c0e2d328df37f8e6906c803041fb3eb439f01958e94493a6ccb3f53e76a7f
+  data.tar.gz: 158a1d66691ebdb8fd2f8a7b248375b436e94bf48394174f2961e048069cfa7abe624eb3be215c96be99a96f9bf5415efb1bea849bdd11baf816199154c3f9ae

data/.gitignore

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+*.gem
+*.rbc
+/.config
+/coverage/
+/InstalledFiles
+/pkg/
+/spec/reports/
+/spec/examples.txt
+/test/tmp/
+/test/version_tmp/
+/tmp/
+
+# Used by dotenv library to load environment variables.
+# .env
+
+# Ignore Byebug command history file.
+.byebug_history
+
+## Specific to RubyMotion:
+.dat*
+.repl_history
+build/
+*.bridgesupport
+build-iPhoneOS/
+build-iPhoneSimulator/
+
+## Specific to RubyMotion (use of CocoaPods):
+#
+# We recommend against adding the Pods directory to your .gitignore. However
+# you should judge for yourself, the pros and cons are mentioned at:
+# https://guides.cocoapods.org/using/using-cocoapods.html#should-i-check-the-pods-directory-into-source-control
+#
+# vendor/Pods/
+
+## Documentation cache and generated files:
+/.yardoc/
+/_yardoc/
+/doc/
+/rdoc/
+
+## Environment normalization:
+/.bundle/
+/vendor/bundle
+/lib/bundler/man/
+
+# for a library or gem, you might want to ignore these files since the code is
+# intended to run in multiple environments; otherwise, check them in:
+# Gemfile.lock
+# .ruby-version
+# .ruby-gemset
+
+# unless supporting rvm < 1.11.0 or doing something fancy, ignore this:
+.rvmrc
+
+# Used by RuboCop. Remote config files pulled in from inherit_from directive.
+# .rubocop-https?--*

data/Gemfile

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+source "https://rubygems.org"
+
+# Specify your gem's dependencies in ib-technical-analysis.gemspec
+gemspec
+gem "ib-symbols"    #,   path: "../ib-symbols/"
+gem "rake", "~> 13.0"

data/Guardfile

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+# A sample Guardfile
+# More info at https://github.com/guard/guard#readme
+
+guard :rspec, cmd: "bundle exec rspec --format documentation" do
+  require "ostruct"
+
+  # Generic Ruby apps
+  rspec = OpenStruct.new
+  rspec.spec = ->(m) { "spec/#{m}_spec.rb" }
+  rspec.spec_dir = "spec"
+  rspec.spec_helper = "spec/spec_helper.rb"
+
+
+#  watch(%r{^lib/models/ib/(.+)\.rb$})     { |m| "spec/#{m[1]}_spec.rb" }
+#  watch(%r{^lib/ib/messages/(.+)\.rb$})     { |m| "spec/#{m[1]}_spec.rb" }
+#  watch(%r{^lib/ib/symbols/(.+)\.rb$})     { |m| "spec/#{m[1]}_spec.rb" }
+
+  watch(%r{^ib-technical-analysis/(.+)\.rb$})  { |m| "spec/ib-technical-analysis/#{m[1]}_spec.rb" }
+#  watch(%r{^models/(.+)\.rb$})  { |m| "spec/models/#{m[1]}_spec.rb" }
+  watch(%r{^spec/lib/.+_spec\.rb$})
+  watch('spec/spec_helper.rb')  { "spec" }
+#  watch(%r{^spec/support/(.+)\.rb$})                  { "spec" }
+end
+

data/LICENSE

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+MIT License
+
+Copyright (c) 2021 ib-ruby
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

data/README.md

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+# IB-Technical-Analysis
+A library for performing technical analysis
+
+This Gem is inspired by the [intrinio package](https://github.com/intrinio/technical-analysis). However, `IB-Technical-Analysis` focusses on 
+calculation of indicators from a stream of data. 
+
+It fits perfectly into the **_IB-Ruby_** suite, but can be used isolated, too.
+
+### Indicator classes
+
+Indicators live in the `TechnicalAnalysis` namespace:
+```ruby
+TechnicalAnalysis::MovingAverage::SimpleMA
+TechnicalAnalysis::MovingAverage::EspMA
+TechnicalAnalysis::MovingAverage::Wma
+TechnicalAnalysis::MovingAverage::KaMA
+TechnicalAnalysis::Momentum::Rsi
+TechnicalAnalysis::Momentum::Tsi
+TechnicalAnalysis::Momentum::Lane
+```
+
+Additional calculations on single Bars are defined as extension of `IB::Bar`:
+ 
+* typical_price
+* pivot
+* true_range
+
+##### Common Interface
+The indicators are initialized by
+```ruby
+  indicator = TechnicalAnalysis::MovingAverage::KaMA.new period: 30, fast: 5, slow: 15, data: {an Array}
+```
+
+If an Array is passed, the indicator is calculated immediately.
+
+Subsequent data elements are passed by `indicator.add_item {value}`. 
+The calculated indicator is returned for further processing. 
+
+
+
+
+
+
+### Perform calculation on time-series
+
+
+`IB-Technical-Analysis` calculations are embedded in the `Enumerator`-class.
+
+The List is simply iterated. 
+
+Thus
+```ruby
+require 'bundler/setup'
+require 'ib-gateway'
+require 'ib/eod'
+require 'ib/symbols'
+require 'technical-analysis'
+
+using TASupport
+
+z = Symbols::Futures.mini_dax.eod( duration: '50 d').each
+zz= z.calculate( :ema, period: 15 , use: :close 
+zz.first
+=> #<struct TechnicalAnalysis::MovingAverage::EMA time=Wed, 10 Mar 2021, value=0.149524e5> 
+
+```
+calculates the _Exponential Moving Average_ on the _close_ property of each item in the 
+Enumerator returned by the [contract.eod](https://ib-ruby.github.io/ib-doc/Historical_data.html) method.
+
+The same using a conventional array:
+```ruby
+u =  z.map( &:close ).each
+uu=  u.calculate( :ema, period: 15 ) 
+uu.first
+=> 0.149524e5 
+```
+
+### Signals and Backtesting
+
+The `calculate`-method of Enumerator passes raw-data and calculated indicator-values to an optional block.
+This enables the formulation of signal generators.
+
+```ruby
+buffer=[]
+zz= z.calculate( :ema, period: 5, use: :typical_price ) do | raw, struct | 
+   buffer << struct.value
+   buffer.shift if buffer.size >2
+   momentum_indicator =  (buffer.first - buffer.last) <=> 0
+   crossing = case momentum_indicator
+        when +1
+          buffer.first > raw.close && buffer.last < raw.close
+        when -1
+          buffer.first < raw.close && buffer.last > raw.close
+        end
+   buy_or_sell =  momentum_indicator == 1 ? "buy" : "sell"
+   puts "#{buy_or_sell}-Signal: EMA-Indicator-Crossing @ #{struct.time}" if crossing
+end
+
+```
+
+
+### Implemented Indicators
+
+* Simple Moving Average                   
+```ruby
+zz = z.calculate :sma, period: 15, use: :close 
+```
+* Exponential Moving Average
+```ruby
+zz = z.calculate :ema, period: 15  
+```
+* Weighted Moving Average
+```ruby
+zz = z.calculate :wma, period: 15 
+```
+* Kaufman Moving Average
+```ruby
+zz = z.calculate :kama, period: 15, fast: 10, slow: 3 
+```
+* Relative Strength Index
+```ruby
+zz = z.calculate :rsi, period: 15 
+```
+* True Strength Index
+```ruby
+zz = z.calculate :tsi, high: 15, low: 7 
+```
+* Lane Stochastic  
+```ruby
+zz = z.calculate :lane, period: 10, fast: 3, slow: 3 , use: :wap 
+```
+
+
+
+
+
+(work in progress)
+
+
+

data/bin/console

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+#!/usr/bin/env ruby
+### loads the active-orient environment 
+### and starts an interactive shell
+###
+### Parameter: t)ws | g)ateway (or number of port ) Default: Gateway ,
+###							client_id , Default 2000
+###
+### Define Parameter in  file console.yml
+###
+require 'bundler/setup'
+require 'yaml'
+
+require 'logger'
+require "ib-api"
+require 'ib/extensions'
+require 'ib/symbols'
+require 'technical-analysis'
+
+class Array
+  # enables calling members of an array. which are hashes  by it name
+  # i.e
+  #
+  #  2.5.0 :006 > C.received[:OpenOrder].local_id
+  #   => [16, 17, 21, 20, 19, 8, 7] 
+  #   2.5.0 :007 > C.received[:OpenOrder].contract.to_human
+  #    => ["<Bag: IECombo SMART USD legs:  >", "<Stock: GE USD>", "<Stock: GE USD>", "<Stock: GE USD>", "<Stock: GE USD>", "<Stock: WFC USD>", "<Stock: WFC USD>"] 
+  #
+  # its included only in the console, for inspection purposes
+
+  def method_missing(method, *key)
+    unless method == :to_hash || method == :to_str #|| method == :to_int
+      return self.map{|x| x.public_send(method, *key)}
+    end
+
+  end
+end # Array
+
+
+# read items from console.yml 
+read_yml = -> (key) do
+		YAML::load_file( File.expand_path('../console.yml',__FILE__))[key]
+	end
+
+
+  puts 
+  puts ">> IB-Ruby Interactive Console <<" 
+  puts '-'* 45
+  puts 
+  puts "Namespace is IB ! "
+  puts
+  puts '-'* 45
+	include LogDev
+  include IB
+  require 'irb'
+  client_id = ARGV[1] || read_yml[:client_id]
+  specified_port = ARGV[0] || 'Gateway'
+	port =  case specified_port
+					when Integer
+						specified_port  # just use the number
+					when /^[gG]/ 
+						read_yml[:gateway]
+					when /^[Tt]/
+						read_yml[:tws]
+					end
+
+  ARGV.clear
+  logger = default_logger #  Logger.new  STDOUT
+	
+  ## The Block takes instructions which are executed  after initializing all instance-variables
+  ## and prior to the connection-process
+  ## Here we just subscribe to some events  
+  C =  Connection.new  client_id: client_id, port: port  do |c|  # future use__ , optional_capacities: "+PACEAPI"  do |c|
+
+    c.subscribe( :ContractData, :BondContractData) { |msg| logger.info { msg.contract.to_human } }
+    c.subscribe( :Alert, :ContractDataEnd, :ManagedAccounts, :OrderStatus ) {| m| logger.info { m.to_human } }
+    c.subscribe( :PortfolioValue, :AccountValue, :OrderStatus, :OpenOrderEnd, :ExecutionData ) {| m| logger.info { m.to_human }}
+#    c.subscribe :ManagedAccounts do  |msg|
+#        puts "------------------------------- Managed Accounts ----------------------------------"
+#				puts "Detected Accounts: #{msg.accounts.account.join(' -- ')} " 
+#				puts
+#    end
+
+    c.subscribe( :OpenOrder){ |msg|  "Open Order detected and stored: C.received[:OpenOrders] " }
+		c.logger.level = Logger::INFO 
+	end 
+  unless  C.received[:OpenOrder].blank?
+        puts "------------------------------- OpenOrders ----------------------------------"
+    puts C.received[:OpenOrder].to_human.join "\n"
+  end
+  puts  "Connection established on Port  #{port}, client_id #{client_id} used"
+  puts
+  puts  "----> C    points to the connection-instance"
+  puts
+  puts  "some basic Messages are subscribed and accordingly displayed"
+  puts
+  puts  "Technical Analysis Indicators are included"
+  puts '-'* 45
+
+  using TASupport
+  IRB.start(__FILE__)

data/bin/console.yml

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+:gateway:  4002
+:tws: 7496
+:client_id: 2000

data/bin/gateway

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+#!/usr/bin/env ruby
+### loads the active-orient environment 
+### and starts an interactive shell
+###
+### Parameter: t)ws | g)ateway (or number of port ) Default: Gateway ,
+###							client_id , Default 2000
+require 'bundler/setup'
+require 'yaml'
+
+require 'logger'
+LogLevel = Logger::DEBUG  ##INFO # DEBUG # ERROR 
+#require File.expand_path(File.dirname(__FILE__) + "/../config/boot")
+
+require 'ib-gateway'
+require 'ib/market-price'
+require 'ib/option-chain'
+require 'ib/eod'
+require 'ib/symbols'
+require 'technical-analysis'
+class Array
+  # enables calling members of an array. which are hashes  by it name
+  # i.e
+  #
+  #  2.5.0 :006 > C.received[:OpenOrder].local_id
+  #   => [16, 17, 21, 20, 19, 8, 7] 
+  #   2.5.0 :007 > C.received[:OpenOrder].contract.to_human
+  #    => ["<Bag: IECombo SMART USD legs:  >", "<Stock: GE USD>", "<Stock: GE USD>", "<Stock: GE USD>", "<Stock: GE USD>", "<Stock: WFC USD>", "<Stock: WFC USD>"] 
+  #
+  # its included only in the console, for inspection purposes
+
+  def method_missing(method, *key)
+    unless method == :to_hash || method == :to_str #|| method == :to_int
+      return self.map{|x| x.public_send(method, *key)}
+    end
+
+  end
+end # Array
+
+# read items from console.yml 
+read_yml = -> (key) do
+		YAML::load_file( File.expand_path('../console.yml',__FILE__))[key]
+	end
+
+# History-file für IRB-Sitzung setzen
+pwd = `pwd`[0..-2]
+`sed -i '/HISTORY_FILE]/ c\
+IRB.conf[:HISTORY_FILE] = "#{pwd}/history.irb"\
+  ' ~/.irbrc`
+
+
+  puts 
+  puts ">> I B – G A T E W A Y  Interactive Console <<" 
+  puts '-'* 45
+  puts 
+  puts "Namespace is IB ! "
+  puts
+  puts '-'* 45
+ 
+  include IB
+  require 'irb'
+  client_id = ARGV[1] || read_yml[:client_id]
+  specified_port = ARGV[0] || 'Gateway'
+	port =  case specified_port
+					when Integer
+						specified_port  # just use the number
+					when /^[gG]/ 
+						read_yml[:gateway]
+					when /^[Tt]/
+						read_yml[:tws]
+					end
+
+  ARGV.clear
+  logger = Logger.new  STDOUT
+  logger.formatter = proc do |level, time, prog, msg|
+      "#{time.strftime('%H:%M:%S')} #{msg}\n"
+	end
+			logger.level = Logger::INFO 
+	
+  ## The Block takes instructions which are executed  after initializing all instance-variables
+  ## and prior to the connection-process
+  ## Here we just subscribe to some events  
+	begin
+		G =  Gateway.new  get_account_data: true, serial_array: true,
+			client_id: client_id, port: port, logger: logger,
+			watchlists: [:Spreads, :BuyAndHold]
+	rescue IB::TransmissionError => e
+		puts "E: #{e.inspect}"
+	end
+
+	C =  G.tws
+  unless  C.received[:OpenOrder].blank?
+        puts "------------------------------- OpenOrders ----------------------------------"
+    puts C.received[:OpenOrder].to_human.join "\n"
+    puts  " ---------------- Open Orders are present in G.clients.orders --------------"
+    puts ""
+  end
+  puts  "Connection established on Port  #{port}, client_id #{client_id} used"
+  puts
+  puts  "----> G    points to the Gateway-Instance"
+	puts  "----> C    points to the Connection-Instance"
+  puts
+  puts  "some basic Messages are subscribed and accordingly displayed"
+  puts ""
+  puts  "Technical Analysis Indicators are included"
+  puts '-'* 45
+
+  using TASupport
+  begin
+  IRB.start(__FILE__)
+  rescue  IB::OrderAttributeError => e
+    puts "OrderAtttributeerror"
+  end
+