my-ib-api 0.0.1

data/lib/ib/constants.rb

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+module IB
+  ### Widely used TWS constants:
+
+  EOL = "\0"
+
+  # Enumeration of bar size types for convenience.
+  # Bar sizes less than 30 seconds do not work for some securities.
+  BAR_SIZES = {'1 sec' => :sec1,
+               '5 secs' => :sec5,
+               '15 secs' =>:sec15,
+               '30 secs' =>:sec30,
+               '1 min' => :min1,
+               '2 mins' => :min2,
+               '3 mins' => :min3,
+               '5 mins' => :min5,
+               '15 mins' =>:min15,
+               '30 mins' =>:min30,
+               '1 hour' =>:hour1,
+               '1 day' => :day1
+  }.freeze
+
+  # Enumeration of data types.
+  # Determines the nature of data being extracted. Valid values:
+  DATA_TYPES = {'TRADES' => :trades,
+                'MIDPOINT' => :midpoint,
+                'BID' => :bid,
+                'ASK' => :ask,
+                'BID_ASK' => :bid_ask,
+                'HISTORICAL_VOLATILITY' => :historical_volatility,
+                'OPTION_IMPLIED_VOLATILITY' => :option_implied_volatility,
+                'OPTION_VOLUME' => :option_volume,
+                'OPTION_OPEN_INTEREST' => :option_open_interest
+  }.freeze
+
+  ### These values are typically received from TWS in incoming messages
+
+  # Tick types as received in TickPrice and TickSize messages (enumeration)
+  TICK_TYPES = {
+      # int id => :Description #  Corresponding API Event/Function/Method
+      0 => :bid_size, #               tickSize()
+      1 => :bid_price, #              tickPrice()
+      2 => :ask_price, #              tickPrice()
+      3 => :ask_size, #               tickSize()
+      4 => :last_price, #             tickPrice()
+      5 => :last_size, #              tickSize()
+      6 => :high, #                   tickPrice()
+      7 => :low, #                    tickPrice()
+      8 => :volume, #                 tickSize()
+      9 => :close_price, #            tickPrice()
+      10 => :bid_option, #            tickOptionComputation() See Note 1 below
+      11 => :ask_option, #            tickOptionComputation() See => :Note 1 below
+      12 => :last_option, #           tickOptionComputation()  See Note 1 below
+      13 => :model_option, #          tickOptionComputation() See Note 1 below
+      14 => :open_tick, #             tickPrice()
+      15 => :low_13_week, #           tickPrice()
+      16 => :high_13_week, #          tickPrice()
+      17 => :low_26_week, #           tickPrice()
+      18 => :high_26_week, #          tickPrice()
+      19 => :low_52_week, #           tickPrice()
+      20 => :high_52_week, #          tickPrice()
+      21 => :avg_volume, #            tickSize()
+      22 => :open_interest, #         tickSize()
+      23 => :option_historical_vol, # tickGeneric()
+      24 => :option_implied_vol, #    tickGeneric()
+      25 => :option_bid_exch, #   not USED
+      26 => :option_ask_exch, #   not USED
+      27 => :option_call_open_interest, # tickSize()
+      28 => :option_put_open_interest, #  tickSize()
+      29 => :option_call_volume, #        tickSize()
+      30 => :option_put_volume, #         tickSize()
+      31 => :index_future_premium, #      tickGeneric()
+      32 => :bid_exch, #                  tickString()
+      33 => :ask_exch, #                  tickString()
+      34 => :auction_volume, #    not USED
+      35 => :auction_price, #     not USED
+      36 => :auction_imbalance, # not USED
+      37 => :mark_price, #              tickPrice()
+      38 => :bid_efp_computation, #     tickEFP()
+      39 => :ask_efp_computation, #     tickEFP()
+      40 => :last_efp_computation, #    tickEFP()
+      41 => :open_efp_computation, #    tickEFP()
+      42 => :high_efp_computation, #    tickEFP()
+      43 => :low_efp_computation, #     tickEFP()
+      44 => :close_efp_computation, #   tickEFP()
+      45 => :last_timestamp, #          tickString()
+      46 => :shortable, #               tickGeneric()
+      47 => :fundamental_ratios, #      tickString()
+      48 => :rt_volume, #               tickGeneric()
+      49 => :halted, #           see Note 2 below.
+      50 => :bid_yield, #               tickPrice() See Note 3 below
+      51 => :ask_yield, #               tickPrice() See Note 3 below
+      52 => :last_yield, #              tickPrice() See Note 3 below
+      53 => :cust_option_computation, # tickOptionComputation()
+      54 => :trade_count, #             tickGeneric()
+      55 => :trade_rate, #              tickGeneric()
+      56 => :volume_rate, #             tickGeneric()
+      57 => :last_rth_trade, #            ?
+      #   Note 1: Tick types BID_OPTION, ASK_OPTION, LAST_OPTION, and MODEL_OPTION return
+      #           all Greeks (delta, gamma, vega, theta), the underlying price and the
+      #           stock and option reference price when requested.
+      #           MODEL_OPTION also returns model implied volatility.
+      #   Note 2: When trading is halted for a contract, TWS receives a special tick:
+      #           haltedLast=1. When trading is resumed, TWS receives haltedLast=0.
+      #           A tick type, HALTED, tick ID= 49, is now available in regular market
+      #           data via the API to indicate this halted state. Possible values for
+      #           this new tick type are: 0 = Not halted, 1 = Halted.
+      #   Note 3: Applies to bond contracts only.
+  }
+
+  # Financial Advisor types (FaMsgTypeName)
+  FA_TYPES = {
+      1 => :groups,
+      2 => :profiles,
+      3 => :aliases}.freeze
+
+  # Received in new MarketDataType (58 incoming) message
+  MARKET_DATA_TYPES = {
+      0 => :unknown,
+      1 => :real_time,
+      2 => :frozen,
+  }
+
+  # Market depth messages contain these "operation" codes to tell you what to do with the data.
+  # See also http://www.interactivebrokers.com/php/apiUsersGuide/apiguide/java/updatemktdepth.htm
+  MARKET_DEPTH_OPERATIONS = {
+      0 => :insert, # New order, insert into the row identified by :position
+      1 => :update, # Update the existing order at the row identified by :position
+      2 => :delete # Delete the existing order at the row identified by :position
+  }.freeze
+
+  MARKET_DEPTH_SIDES = {
+      0 => :ask,
+      1 => :bid
+  }.freeze
+
+  ORDER_TYPES =
+      {'LMT' => :limit, #                  Limit Order
+       'LIT' => :limit_if_touched, #       Limit if Touched
+       'LOC' => :limit_on_close, #         Limit-on-Close      LMTCLS ?
+       'LOO' => :limit_on_open, #          Limit-on-Open
+       'MKT' => :market, #                 Market
+       'MIT' => :market_if_touched, #      Market-if-Touched
+       'MOC' => :market_on_close, #        Market-on-Close     MKTCLSL ?
+       'MOO' => :market_on_open, #         Market-on-Open
+       'MTL' => :market_to_limit, #        Market-to-Limit
+       'MKTPRT' => :market_protected, #   Market with Protection
+       'QUOTE' => :request_for_quote, #    Request for Quote
+       'STP' => :stop, #                   Stop
+       'STPLMT' => :stop_limit, #         Stop Limit
+       'TRAIL' => :trailing_stop, #        Trailing Stop
+       'TRAIL LIMIT' => :trailing_limit, # Trailing Stop Limit
+       'TRAIL LIT' => :trailing_limit_if_touched, #  Trailing Limit if Touched
+       'TRAIL MIT' => :trailing_market_if_touched, # Trailing Market If Touched
+       'PEG MKT' => :pegged_to_market, #   Pegged-to-Market
+       'REL' => :relative, #               Relative
+       'BOX TOP' => :box_top, #            Box Top
+       'PEG MID' => :pegged_to_midpoint, # Pegged-to-Midpoint
+       'VWAP' => :vwap, #                  VWAP-Guaranteed
+       'OCA' => :one_cancels_all, #        One-Cancels-All
+       'VOL' => :volatility, #             Volatility
+       'SCALE' => :scale, #                Scale
+       'NONE' => :none, # Used to indicate no hedge in :delta_neutral_order_type
+       'None' => :none, # Used to indicate no hedge in :delta_neutral_order_type
+      }.freeze
+
+  # Valid security types (sec_type attribute of IB::Contract)
+  SECURITY_TYPES =
+      {'STK' => :stock,
+       'OPT' => :option,
+       'FUT' => :future,
+       'IND' => :index,
+       'FOP' => :futures_option,
+       'CASH' => :forex,
+       'BOND' => :bond,
+       'WAR' => :warrant,
+       'FUND' => :fund, # ETF?
+       'BAG' => :bag}.freeze
+
+  # Obtain symbolic value from given property code:
+  # VALUES[:side]['B'] -> :buy
+  VALUES = {
+      :sec_type => SECURITY_TYPES,
+      :order_type => ORDER_TYPES,
+      :delta_neutral_order_type => ORDER_TYPES,
+
+      :origin => {0 => :customer, 1 => :firm},
+      :volatility_type => {1 => :daily, 2 => :annual},
+      :reference_price_type => {1 => :average, 2 => :bid_or_ask},
+
+      # This property encodes differently for ComboLeg and Order objects,
+      # we use ComboLeg codes and transcode for Order codes as needed
+      :open_close =>
+          {0 => :same, # Default for Legs, same as the parent (combo) security.
+           1 => :open, #  Open. For Legs, this value is only used by institutions.
+           2 => :close, # Close. For Legs, this value is only used by institutions.
+           3 => :unknown}, # WTF
+
+      :right =>
+          {'' => :none, # Not an option
+           'P' => :put,
+           'C' => :call},
+
+      :side => # AKA action
+          {'B' => :buy, # or BOT
+           'S' => :sell, # or SLD
+           'T' => :short, # short
+           'X' => :short_exempt # Short Sale Exempt action. This allows some orders
+           # to be exempt from the SEC recent changes to Regulation SHO, which
+           # eliminated the old uptick rule and replaced it with a new "circuit breaker"
+           # rule, and allows some orders to be exempt from the new rule.
+          },
+
+      :short_sale_slot =>
+          {0 => :default, #      The only valid option for retail customers
+           1 => :broker, #       Shares are at your clearing broker, institutions
+           2 => :third_party}, # Shares will be delivered from elsewhere, institutions
+
+      :oca_type =>
+          {0 => :none, # Not a member of OCA group
+           1 => :cancel_with_block, # Cancel all remaining orders with block
+           2 => :reduce_with_block, # Remaining orders are reduced in size with block
+           3 => :reduce_no_block}, # Remaining orders are reduced in size with no block
+
+      :auction_strategy =>
+          {0 => :none, # Not a BOX order
+           1 => :match,
+           2 => :improvement,
+           3 => :transparent},
+
+      :trigger_method =>
+          {0 => :default, # "double bid/ask" used for OTC/US options, "last" otherswise.
+           1 => :double_bid_ask, # stops are triggered by 2 consecutive bid or ask prices.
+           2 => :last, # stops are triggered based on the last price.
+           3 => :double_last,
+           4 => :bid_ask, # bid >= trigger price for buy orders, ask <= trigger for sell orders
+           7 => :last_or_bid_ask, # bid OR last price >= trigger price for buy orders
+           8 => :mid_point}, # midpoint >= trigger price for buy orders and the
+      #      spread between the bid and ask must be less than 0.1% of the midpoint
+
+      :hedge_type =>
+          {'D' => :delta, # parent order is an option and the child order is a stock
+           'B' => :beta, # offset market risk by entering into a position with
+           #               another contract based on the system or user-defined beta
+           'F' => :forex, # offset risk with currency different from your base currency
+           'P' => :pair}, # trade a mis-valued pair of contracts and provide the
+      #                     ratio between the parent and hedging child order
+
+      :clearing_intent =>
+          {'' => :none,
+           'IB' => :ib,
+           'AWAY' => :away,
+           'PTA' => :post_trade_allocation},
+
+      :delta_neutral_clearing_intent =>
+          {'' => :none,
+           'IB' => :ib,
+           'AWAY' => :away,
+           'PTA' => :post_trade_allocation},
+
+      :tif =>
+          {'DAY' => :day,
+           'GAT' => :good_after_time,
+           'GTD' => :good_till_date,
+           'GTC' => :good_till_cancelled,
+           'IOC' => :immediate_or_cancel},
+
+      :rule_80a =>
+          {'I' => :individual,
+           'A' => :agency,
+           'W' => :agent_other_member,
+           'J' => :individual_ptia,
+           'U' => :agency_ptia,
+           'M' => :agent_other_member_ptia,
+           'K' => :individual_pt,
+           'Y' => :agency_pt,
+           'N' => :agent_other_member_pt},
+
+      :opt? => # TODO: unknown Order property, like OPT_BROKER_DEALER... in Order.java
+          {'?' => :unknown,
+           'b' => :broker_dealer,
+           'c' => :customer,
+           'f' => :firm,
+           'm' => :isemm,
+           'n' => :farmm,
+           'y' => :specialist},
+
+  }.freeze
+
+  # Obtain property code from given symbolic value:
+  # CODES[:side][:buy] -> 'B'
+  CODES = Hash[VALUES.map { |property, hash| [property, hash.invert] }].freeze
+
+  # Most common property processors
+  PROPS = {:side =>
+               {:set => proc { |val| # BUY(BOT)/SELL(SLD)/SSHORT/SSHORTX
+                 self[:side] = case val.to_s.upcase
+                                 when /SHORT.*X|\AX\z/
+                                   'X'
+                                 when /SHORT|\AT\z/
+                                   'T'
+                                 when /\AB/
+                                   'B'
+                                 when /\AS/
+                                   'S'
+                               end },
+                :validate =>
+                    {:format =>
+                         {:with => /\Abuy\z|\Asell\z|\Ashort\z|\Ashort_exempt\z/,
+                          :message => "should be buy/sell/short"}
+                    }
+               },
+
+           :open_close =>
+               {:set => proc { |val|
+                 self[:open_close] = case val.to_s.upcase[0..0]
+                                       when 'S', '0' # SAME
+                                         0
+                                       when 'O', '1' # OPEN
+                                         1
+                                       when 'C', '2' # CLOSE
+                                         2
+                                       when 'U', '3' # Unknown
+                                         3
+                                     end
+               },
+                :validate =>
+                    {:format =>
+                         {:with => /\Asame\z|\Aopen\z|\Aclose\z|\Aunknown\z/,
+                          :message => "should be same/open/close/unknown"}
+                    },
+               }
+  }.freeze
+
+end # module IB

data/lib/ib/db.rb

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+# By requiring this file, we make all IB:Models database-backed ActiveRecord subclasses
+
+require 'active_record'
+
+module IB
+  module DB
+
+    def self.logger= logger
+      ActiveRecord::Base.logger = logger
+    end
+
+    # Use this method to establish DB connection unless you're running on Rails
+    def self.connect config
+
+      # Use ib prefix for all DB tables
+      ActiveRecord::Base.table_name_prefix = "ib_"
+
+      # Get rid of nasty conversion issues
+      ActiveRecord::Base.default_timezone = :utc
+      Time.zone = 'UTC'
+
+      ActiveRecord::Base.establish_connection(config)
+      #ActiveRecord.colorize_logging = false
+    end
+
+  end # module DB
+end
+
+

data/lib/ib/engine.rb

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+module IB
+  class Engine < ::Rails::Engine
+    isolate_namespace Ib
+
+    #paths["app"]                 # => ["app"]
+    #paths["app/controllers"]     # => ["app/controllers"]
+    #paths["app/helpers"]         # => ["app/helpers"]
+    paths["app/models"] = "lib/models"
+    #paths["app/views"]           # => ["app/views"]
+    #paths["lib"]                 # => ["lib"]
+    #paths["lib/tasks"]           # => ["lib/tasks"]
+    #paths["config"]              # => ["config"]
+    #paths["config/initializers"] # => ["config/initializers"]
+    #paths["config/locales"]      # => ["config/locales"]
+    #paths["config/routes"]       # => ["config/routes.rb"]
+
+    config.generators do |gen|
+      gen.integration_tool :rspec
+      gen.test_framework :rspec
+      gen.helper_specs false
+      # gen.view_specs false
+    end
+
+    config.to_prepare do
+    end
+
+    initializer "ib.active_record" do |app|
+      ActiveSupport.on_load :active_record do
+        require 'ib/db'
+        require 'ib/requires'
+      end
+    end
+
+  end
+end

data/lib/ib/errors.rb

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+module IB
+
+  # Error handling
+  class Error < RuntimeError
+  end
+
+  class ArgumentError < ArgumentError
+  end
+
+  class SymbolError < ArgumentError
+  end
+
+  class LoadError < LoadError
+  end
+
+  class FlexError < RuntimeError
+  end
+
+end # module IB
+
+# Patching Object with universally accessible top level error method. 
+# The method is used throughout the lib instead of plainly raising exceptions. 
+# This allows lib user to easily inject user-specific error handling into the lib 
+# by just replacing Object#error method.
+def error message, type=:standard, backtrace=nil
+  e = case type
+  when :standard
+    IB::Error.new message
+  when :args
+    IB::ArgumentError.new message
+  when :symbol
+    IB::SymbolError.new message
+  when :load
+    IB::LoadError.new message
+  when :flex
+    IB::FlexError.new message
+  end
+  e.set_backtrace(backtrace) if backtrace
+  raise e
+end

data/lib/ib/extensions.rb

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+class Time
+  # Render datetime in IB format (zero padded "yyyymmdd HH:mm:ss")
+  def to_ib
+    "#{year}#{sprintf("%02d", month)}#{sprintf("%02d", day)} " +
+        "#{sprintf("%02d", hour)}:#{sprintf("%02d", min)}:#{sprintf("%02d", sec)}"
+  end
+end # Time
+
+class Numeric
+  # Conversion 0/1 into true/false
+  def to_bool
+    self == 0 ? false : true
+  end
+end
+
+class TrueClass
+  def to_bool
+    self
+  end
+end
+
+class FalseClass
+  def to_bool
+    self
+  end
+end
+
+class String
+  def to_bool
+    case self.chomp.upcase
+      when 'TRUE', 'T', '1'
+        true
+      when 'FALSE', 'F', '0', ''
+        false
+      else
+        error "Unable to convert #{self} to bool"
+    end
+  end
+end
+
+class NilClass
+  # We still need to pass on nil, meaning: no value
+  def to_bool
+    self
+  end
+end
+
+class Symbol
+  def to_f
+    0
+  end
+
+  # ActiveModel serialization depends on this method
+  def <=> other
+    to_s <=> other.to_s
+  end
+end
+
+class Object
+  # We still need to pass on nil, meaning: no value
+  def to_sup
+    self.to_s.upcase unless self.nil?
+  end
+end
+
+### Patching Object#error in ib/errors
+#  def error message, type=:standard
+
+### Patching Object#log, #default_logger= in ib/logger
+#  def default_logger
+#  def default_logger= logger
+#  def log *args