iqfeed 0.0.1

checksums.yaml

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+---
+SHA1:
+  metadata.gz: ab00bbc36a39e1ba9ae4380e9b8350d4efe7f4a2
+  data.tar.gz: 0b21acd28f6586eb632fa9ac4cb7d112d87a0525
+SHA512:
+  metadata.gz: 3b71dcce8162cd538433502c2960431863aab7dea2c2aa7920b487f9eacde9bc739822b2eb1d0db06d6d2cb5c865d95d81b144d620eb5303d6215f00eee45389
+  data.tar.gz: 4f3d054e0c6d8facb36bcbad5512109ee5e2f4158d977eaf89407252d10a09631b174fefc66884472da93ae554132d9649cbc3313759ef75693f0e487ca60993

data/.gitignore

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+/.bundle/
+/.yardoc
+/Gemfile.lock
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/
+*.bundle
+*.so
+*.o
+*.a
+mkmf.log
+*.gem
+*.rbc
+/.config
+/coverage/
+/InstalledFiles
+/pkg/
+/spec/reports/
+/test/tmp/
+/test/version_tmp/
+/tmp/
+
+## Specific to RubyMotion:
+.dat*
+.repl_history
+build/

data/Gemfile

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+source 'https://rubygems.org'
+
+# Specify your gem's dependencies in iqfeed.gemspec
+gemspec

data/LICENSE.txt

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+Copyright (c) 2014 Tim
+
+MIT License
+
+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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+<<<<<<< HEAD
+# Iqfeed
+
+TODO: Write a gem description
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'iqfeed'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install iqfeed
+
+## Usage
+
+TODO: Write usage instructions here
+
+## Contributing
+
+1. Fork it ( https://github.com/[my-github-username]/iqfeed/fork )
+2. Create your feature branch (`git checkout -b my-new-feature`)
+3. Commit your changes (`git commit -am 'Add some feature'`)
+4. Push to the branch (`git push origin my-new-feature`)
+5. Create a new Pull Request
+=======
+ruby-iqfeed
+===========
+
+Ruby IQfeed client
+
+Requirements:
+- Install iqfeed-client
+- Start IQLink-launcher
+>>>>>>> origin/master

data/Rakefile

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+require "bundler/gem_tasks"
+

data/TODO

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+-- refactor design to enable multiple plugins
+-- create gem
+-- create project page
+

data/iqfeed.gemspec

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+# coding: utf-8
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'iqfeed/version'
+
+Gem::Specification.new do |spec|
+  spec.name          = "iqfeed"
+  spec.version       = Iqfeed::VERSION
+  spec.authors       = ["Tim"]
+  spec.email         = ["dev@adigamov.ca"]
+  spec.summary       = %q{IQfeed client for ruby}
+  spec.description   = %q{IQfeed client for ruby. Supports history and online (level1) mode.}
+  spec.homepage      = ""
+  spec.license       = "MIT"
+
+  spec.files         = `git ls-files -z`.split("\x0")
+  spec.executables   = spec.files.grep(%r{^bin/}) { |f| File.basename(f) }
+  spec.test_files    = spec.files.grep(%r{^(test|spec|features)/})
+  spec.require_paths = ["lib"]
+
+  spec.add_development_dependency "bundler", "~> 1.7"
+  spec.add_development_dependency "rake", "~> 10.0"
+end

data/lib/iqfeed.rb

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+require 'iqfeed/version'
+require 'iqfeed/level1_client'
+require 'iqfeed/history_client'
+

data/lib/iqfeed/history_client.rb

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+require 'socket'
+require 'observer'
+
+module Iqfeed
+	class NoDataError < StandardError
+		attr_reader :object
+
+		def initialize(object)
+			@object = object
+		end
+	end
+
+	class HistoryObserver
+		def initialize()			
+		end
+
+		def update(tick)
+			puts tick.to_s
+		end
+	end
+	
+	class Tick
+		attr_accessor :time_stamp, :last_price, :last_size, :total_volume, :bid, :ask, :tick_id
+		
+		def self.parse(line)
+			tick = Tick.new
+			fields = line.split(',')
+			tick.time_stamp = fields[0].to_s
+			tick.last_price = fields[1].to_f
+			tick.last_size = fields[2].to_i
+			tick.total_volume = fields[3].to_i
+			tick.bid = fields[4].to_f
+			tick.ask = fields[5].to_f
+			tick			
+		end 
+
+		def to_s
+			"Timestamp:#{@time_stamp} LastPrice:#{@last_price} LastSize:#{@last_size} TotalVolume:#{@total_volume} Bid:#{@bid} Ask:#{@ask}"
+		end
+
+		def to_csv
+			[@time_stamp, @last_price, @last_size, @total_volume, @bid, @ask].join(';')
+		end
+	end
+
+	class OHLC
+		attr_accessor :time_stamp, :high, :low, :open, :close, :total_volume, :period_volume
+		
+		def self.parse(line)
+			ohlc = OHLC.new
+			fields = line.split(',')
+			ohlc.time_stamp = fields[0]
+			ohlc.high = fields[1]
+			ohlc.low = fields[2]
+			ohlc.open = fields[3]
+			ohlc.close = fields[4]
+			ohlc.total_volume = fields[5]
+			ohlc.period_volume = fields[6]
+			ohlc			
+		end 
+
+		def to_s
+			"Timestamp:#{@time_stamp} High:#{@high} Low:#{@low} Open:#{@open} Close:#{@close} TotalVolume:#{@total_volume} PeriodVolume:#{@period_volume}"
+		end
+
+		def to_csv
+			[@time_stamp, @open, @high, @low, @close, @total_volume, @period_volume].join(';')
+		end
+	end
+
+	class DWM # day, week, month
+		attr_accessor :time_stamp, :high, :low, :open, :close, :period_volume, :open_interest
+		
+		def self.parse(line)
+			dwm = DWM.new
+			fields = line.split(',')
+			dwm.time_stamp = fields[0]
+			dwm.high = fields[1]
+			dwm.low = fields[2]
+			dwm.open = fields[3]
+			dwm.close = fields[4]
+			dwm.period_volume = fields[5]
+			dwm.open_interest = fields[6]
+			dwm			
+		end 
+
+		def to_s
+			"Timestamp:#{@time_stamp} High:#{@high} Low:#{@low} Open:#{@open} Close:#{@close} PeriodVolume:#{@period_volume} OpenInterest:#{@open_interest}"
+		end
+
+		def to_csv
+			[@time_stamp, @high, @low, @open, @close, @period_volume, @open_interest].join(';')
+		end
+	end
+
+	class HistoryClient
+		include Observable
+		attr_accessor :max_tick_number, :start_session, :end_session, :old_to_new, :ticks_per_send
+
+		def initialize(options = {})
+			parse_options(options)
+			@request_id = 0
+		end
+
+		def parse_options(options)
+			@host = options[:host] || 'localhost'
+			@port = options[:port] || 9100
+			@name = options[:name] || 'DEMO'
+			@max_tick_number = options[:max_tick_number] || 5000000
+			@start_session = options[:start_session] || '000000'
+			@end_session = options[:end_session] || '235959'
+			@old_to_new = options[:old_to_new] || 1 		
+			@ticks_per_send = options[:ticks_per_send] || 500
+		end
+
+		def open
+			@socket = TCPSocket.open @host, @port
+			@socket.puts "S,SET CLIENT NAME," + @name
+		end
+
+		def process_request
+			procs = []
+			exception = nil			
+
+			procs[0] = Proc.new{|line| IQ::Tick.parse(line)}
+			procs[1] = Proc.new{|line| IQ::OHLC.parse(line)}
+			procs[2] = Proc.new{|line| IQ::DWM.parse(line)}
+
+			while line = @socket.gets
+				fields = line.match(/^([^,]+),(.*)/) 
+				line = fields[2]
+				if line =~ /^E,/
+					exception = 'No Data'
+				elsif line =~ /!ENDMSG!,/
+					break
+				end
+				yield procs[fields[1][0].to_i].call(line)
+			end
+			if exception
+				raise NoDataError.new("No Data")
+			end
+		end
+
+		def format_request_id(type)
+			type.to_s + @request_id.to_s.rjust(7, '0')
+		end
+		
+		def run
+			process_request do |line|
+				changed
+				notify_observers(line)
+			end
+			@request_id = @request_id + 1
+		end
+
+		def get_tick_range(options, observer)
+			printf "HTT,%s,%s,%s,%07d,%s,%s,%d,0%07d,%07d\r\n", 
+				options[:symbol], options[:from].strftime("%Y%m%d %H%M%S"), options[:to].strftime("%Y%m%d %H%M%S"), 
+				@max_tick_number, @start_session, @end_session, @old_to_new, @request_id, @ticks_per_send
+			@socket.printf "HTT,%s,%s,%s,%07d,%s,%s,%d,0%07d,%07d\r\n", 
+				options[:symbol], options[:from].strftime("%Y%m%d %H%M%S"), options[:to].strftime("%Y%m%d %H%M%S"), 
+				@max_tick_number, @start_session, @end_session, @old_to_new, @request_id, @ticks_per_send
+			add_observer(observer)			
+		end
+
+		def get_daily_range(options, observer)
+			@socket.printf "HDT,%s,%s,%s,%07d,%d,2%07d,%07d\r\n", 
+				options[:symbol], options[:from].strftime("%Y%m%d %H%M%S"), options[:to].strftime("%Y%m%d %H%M%S"), 
+				@max_tick_number, @old_to_new, @request_id, @ticks_per_send
+			add_observer(observer)			
+		end
+
+		def get_ohlc_range(options, observer)
+			printf "HIT,%s,%07d,%s,%s,%07d,%s,%s,%d,1%07d,%07d\r\n", 
+				options[:symbol], options[:duration], options[:from].strftime("%Y%m%d %H%M%S"), options[:to].strftime("%Y%m%d %H%M%S"), 
+				@max_tick_number, @start_session, @end_session, @old_to_new, @request_id, @ticks_per_send
+			@socket.printf "HIT,%s,%07d,%s,%s,%07d,%s,%s,%d,1%07d,%07d\r\n", 
+				options[:symbol], options[:duration], options[:from].strftime("%Y%m%d %H%M%S"), options[:to].strftime("%Y%m%d %H%M%S"), 
+				@max_tick_number, @start_session, @end_session, @old_to_new, @request_id, @ticks_per_send
+			add_observer(observer)			
+		end
+
+		def close
+			@socket.close
+		end
+	end
+end

data/lib/iqfeed/level1_client.rb

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+require 'socket'
+require 'observer'
+
+module Iqfeed
+	class Level1Observer
+		attr_accessor :symbol
+
+		def initialize(symbol)
+			@symbol = symbol
+		end
+
+		def update(tick)
+			puts tick.to_s
+		end
+	end
+
+	class Level1Tick
+		attr_accessor :type, :time_stamp, :last_price, :total_volume, :last_size, :bid, :ask
+		def self.parse(line)
+			fields = line.split(',')
+			tick = Level1Tick.new
+			tick.type = fields[17]
+			tick.bid = fields[10]
+			tick.ask = fields[11]
+			tick.last_price = fields[3]
+			tick.last_size = fields[7]
+			tick.total_volume = fields[6]
+			tick.time_stamp = fields[65]
+			tick.type =~ /t/ ? tick : nil
+		end
+
+		def to_s
+#			if (@type =~ /b/)
+#				"Bid: #{@bid_size}@#{@bid}"
+#			elsif (@type =~ /a/)
+#				"Ask: #{@ask_size}@#{@ask}"
+			if (@type =~ /t/)
+				"Timestamp:#{@time_stamp} LastPrice:#{@last_price} LastSize:#{@last_size} TotalVolume:#{@total_volume} Bid:#{@bid} Ask:#{@ask}"			
+#			elsif (@type =~ /T/)
+#				"extendedTrade"
+#			elsif !@type.nil?
+#				"other"
+#			else
+#				nil
+			end			
+		end
+	end
+
+	class Level1Client
+		include Observable
+
+		def initialize(options = {})
+			parse_options(options)			
+		end
+
+		def parse_options(options)
+			@host = options[:host] || 'localhost'
+			@port = options[:port] || 5009
+			@name = options[:name] || 'DEMO'
+		end
+
+		def open
+			@socket = TCPSocket.open @host, @port
+			@socket.puts "S,CONNECT"
+			@socket.puts "S,SET CLIENT NAME," + @name
+		end
+
+		def add(observer)
+			@socket.puts "w" + observer.symbol
+			add_observer(observer)
+		end
+
+		def remove(symbol)
+			@socket.puts "r" + symbol;
+		end
+
+		def run
+			exception = nil
+			while line = @socket.gets
+				if line =~ /^E,/
+					exception = 'No Data'
+				elsif line =~ /!ENDMSG!,/
+					break
+				end
+				tick = Level1Tick.parse(line)
+				next if tick.nil?
+				changed
+				notify_observers(tick)
+			end
+			if exception
+				raise exception
+			end
+		end
+	end
+end

data/lib/iqfeed/version.rb

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+module Iqfeed
+  VERSION = "0.0.1"
+end

data/sample/fileclient.rb

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+require '../lib/file_client'
+
+o = IQ::FileObserver.new("")
+c = IQ::FileClient.new
+
+c.open
+c.add(o)
+c.run

data/sample/history_daily_range.rb

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+require '../lib/history_client'
+
+o = IQ::HistoryObserver.new
+c = IQ::HistoryClient.new
+c.open
+# 2 hours of tick history
+c.get_daily_range({:symbol => '@EU#', :from => Time.now - 3600*24, :to => Time.now}, o)
+c.run

data/sample/history_ohlc_range.rb

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+require '../lib/history_client'
+
+o = IQ::HistoryObserver.new
+c = IQ::HistoryClient.new
+c.open
+c.get_ohlc_range({:symbol => '@EU#', :duration => 300, :from => Time.now - 200 * 3600, :to => Time.now}, o) 
+c.run

data/sample/history_tick_range.rb

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+require '../lib/history_client'
+
+o = IQ::HistoryObserver.new
+c = IQ::HistoryClient.new
+c.open
+# 2 hours of tick history
+c.get_tick_range({:symbol => '@EU#', :from => Time.now - 10 * 3600, :to => Time.now}, o)
+c.run

data/sample/level1_online.rb

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+require '../lib/level1_client'
+
+o = IQ::Level1Observer.new("@EU#")
+c = IQ::Level1Client.new
+
+c.open
+c.add(o)
+c.run

data/sample/range_bar.rb

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+require '../lib/file_client'
+require '../lib/range_bar'
+
+o = IQ::RangeBarObserver.new(0.0010)
+c = IQ::FileClient.new
+c.open
+c.add(o)
+c.run

data/sample/volume_bar.rb

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+require '../lib/file_client'
+require '../lib/volume_bar'
+
+o = IQ::VolumeBarObserver.new(10)
+c = IQ::FileClient.new
+c.open
+c.add(o)
+c.run

data/tools/history.rb

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+require 'optparse'
+require 'ostruct'
+require 'pp'
+require 'date'
+require '../lib/history_client'
+
+MONTHS=['F','G','H','J','K','M','N','Q','U','V','X','Z']
+
+class FileObserver
+	def initialize(file)
+		@file = file
+	end
+	def update(tick)    
+		@file.puts tick.to_csv		
+	end
+end
+
+def client_proxy(iq_client, options, o)
+  iq_client.send(options[:method], options, o)
+end
+
+def get_valid_codes(today, months)
+  current_month = today.month
+  valid_months = months.map{|m| MONTHS.index(m) + 1}.select{|m| m >= current_month}.map{|m| "#{MONTHS[m-1]}#{today.year-2000}"}.slice(0,2)
+  valid_months = valid_months + months.slice(0, 2 - valid_months.length).map{|m| m + "#{today.year-2000+1}"} if valid_months.length < 2    
+  valid_months
+end
+
+options = {}
+
+opts = OptionParser.new do |opts|
+  opts.banner = "Usage: history.rb [options]"
+
+  opts.on("-s", "--symbol SYMBOL", "Symbol for history request") do |s|
+    options[:symbol] = s 
+  end
+
+  opts.on("-f", "--from DATE", "Start date for history request") do |from|
+    options[:from] = DateTime.parse(from) #Time.new(d.year, d.month, d.day, 0, 0, 0)
+  end
+
+  opts.on("-t", "--to DATE", "End date for history request") do |to|
+    options[:to] = DateTime.parse(to) #Time.new(d.year, d.month, d.day, 23, 59, 59)
+  end
+
+  opts.on("-o", "--output FILE", "Output file for history data") do |output|
+    options[:output] = output
+  end
+
+  opts.on("-i", "--input FILE", "Input file with list of future contracts") do |input|
+    options[:input] = input
+  end
+
+  opts.on("-t", "--type [TYPE]", [:tick, :ohlc, :dwm], "Select data type (tick, ohlc, dwm)") do |type|    
+    if type == :ohlc
+      options[:method] = :get_ohlc_range 
+    elsif type == :dwm
+      options[:method] = :get_daily_range
+    else
+      
+    end
+  end
+
+  opts.on("-d", "--duration [SECONDS]", "Candle duration in seconds for OHLC type") do |duration|
+    options[:duration] = duration
+  end
+end
+
+begin
+  opts.parse!
+  mandatory = [:from, :to]                                         
+  missing = mandatory.select{ |param| options[param].nil? }
+#TODO fix
+  if not missing.empty? || (options[:input].nil? && options[:symbol].nil?)
+    puts "Missing options: #{missing.join(', ')}"                  
+    puts opts
+    exit                                                           
+  end                                                              
+rescue OptionParser::InvalidOption, OptionParser::MissingArgument      
+  puts $!.to_s
+  puts optparse                                                          
+  exit                                                                   
+end 
+
+options[:method] ||= :get_tick_range 
+options[:duration] ||= 300 if options[:type] == :ohlc
+
+contracts = {}
+if options[:input].nil?  
+	contracts[options[:symbol]] = nil
+else
+	contracts_file = File.open(options[:input])
+	contracts_file.each do |line|
+		line.chomp!
+		f = line.split(';')
+		contracts[f[0]] = f[3].split(',')
+	end
+end
+from_date = options[:from]
+to_date = options[:to]  
+while from_date <= to_date
+  contracts.keys.each do |contract|
+    codes = []    
+    if contracts[contract].nil?
+      codes = [contract]      
+    else
+      codes = get_valid_codes(from_date, contracts[contract]).map{|c| "#{contract}#{c}"}      
+    end
+    codes.each do |code|
+      output_file = File.new(code.gsub("@","")+"_" + ("%04d" % from_date.year) + ("%02d" % from_date.month) + ("%02d" % from_date.day) + ".csv", "w")
+      options[:symbol] = code
+      options[:from] = Time.new(from_date.year, from_date.month, from_date.day, 0, 0, 0)
+      options[:to] = Time.new(from_date.year, from_date.month, from_date.day, 23, 59, 59)
+      o = FileObserver.new(output_file)
+      iq_client = IQ::HistoryClient.new
+      iq_client.open
+      client_proxy(iq_client, options, o) 
+      begin        
+        iq_client.run
+      rescue IQ::NoDataError => e
+        output_file.close
+        File.delete(output_file)
+      end      
+    end
+  end
+  from_date = from_date.next  
+end
+
+# options[:output] ||= options[:symbol].gsub(/[@\$\^#]/,'') + '.csv'

metadata

@@ -0,0 +1,91 @@
+--- !ruby/object:Gem::Specification
+name: iqfeed
+version: !ruby/object:Gem::Version
+  version: 0.0.1
+platform: ruby
+authors:
+- Tim
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2014-11-15 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.7'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.7'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+description: IQfeed client for ruby. Supports history and online (level1) mode.
+email:
+- dev@adigamov.ca
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- TODO
+- iqfeed.gemspec
+- lib/iqfeed.rb
+- lib/iqfeed/history_client.rb
+- lib/iqfeed/level1_client.rb
+- lib/iqfeed/version.rb
+- sample/fileclient.rb
+- sample/history_daily_range.rb
+- sample/history_ohlc_range.rb
+- sample/history_tick_range.rb
+- sample/level1_online.rb
+- sample/range_bar.rb
+- sample/volume_bar.rb
+- tools/history.rb
+homepage: ''
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.2.2
+signing_key: 
+specification_version: 4
+summary: IQfeed client for ruby
+test_files: []