my-ib-api 0.0.1

data/lib/models/ib/order.rb

@@ -0,0 +1,391 @@
+require 'models/ib/order_state'
+
+module IB
+  class Order < IB::Model
+    include BaseProperties
+
+    # General Notes:
+    # 1. Placing Orders by con_id - When you place an order by con_id, you must
+    # provide the con_id AND the exchange. If you provide extra fields when placing
+    # an order by conid, the order may not work.
+
+    # 2. Order IDs - Each order you place must have a unique Order ID. Increment
+    # your own Order IDs to avoid conflicts between orders placed from your API application.
+
+    # Main order fields
+    prop :local_id, #  int: Order id associated with client (volatile).
+      :client_id, # int: The id of the client that placed this order.
+      :perm_id, #   int: TWS permanent id, remains the same over TWS sessions.
+      [:quantity, :total_quantity], # int: The order quantity.
+
+      :order_type, #  String: Order type.
+      # Limit Risk: MTL / MKT PRT / QUOTE / STP / STP LMT / TRAIL / TRAIL LIMIT /  TRAIL LIT / TRAIL MIT
+      # Speed of Execution: MKT / MIT / MOC / MOO / PEG MKT / REL
+      # Price Improvement: BOX TOP / LOC / LOO / LIT / PEG MID / VWAP
+      # Advanced Trading: OCA / VOL / SCALE
+      # Other (no abbreviation): Bracket, Auction, Discretionary, Sweep-to-Fill,
+      # Price Improvement Auction,  Block, Hidden, Iceberg/Reserve, All-or-None, Fill-or-Kill
+      # See 'ib/constants.rb' ORDER_TYPES for a complete list of valid values.
+
+      :limit_price, # double: LIMIT price, used for limit, stop-limit and relative
+      #               orders. In all other cases specify zero. For relative
+      #               orders with no limit price, also specify zero.
+
+      :aux_price, #   double: STOP price for stop-limit orders, and the OFFSET amount
+      #               for relative orders. In all other cases, specify zero.
+
+      :oca_group, #   String: Identifies a member of a one-cancels-all group.
+      :oca_type, # int: Tells how to handle remaining orders in an OCA group
+      #            when one order or part of an order executes. Valid values:
+      #            - 1 = Cancel all remaining orders with block
+      #            - 2 = Remaining orders are reduced in size with block
+      #            - 3 = Remaining orders are reduced in size with no block
+      #             If you use a value "with block" your order has
+      #             overfill protection. This means that only one order in
+      #             the group will be routed at a time to remove the
+      #             possibility of an overfill.
+      :parent_id, # int: The order ID of the parent (original) order, used
+      #             for bracket (STP) and auto trailing stop (TRAIL) orders.
+      :display_size, #   int: publicly disclosed order size for Iceberg orders.
+
+      :trigger_method, # Specifies how Simulated Stop, Stop-Limit and Trailing
+      #                  Stop orders are triggered. Valid values are:
+      #      0 - Default, "double bid/ask" for OTC/US options, "last" otherswise.
+      #      1 - "double bid/ask" method, stop orders are triggered based on
+      #          two consecutive bid or ask prices.
+      #      2 - "last" method, stops are triggered based on the last price.
+      #      3 - double last method.
+      #      4 - bid/ask method. For a buy order, a single occurrence of the
+      #          bid price must be at or above the trigger price. For a sell
+      #          order, a single occurrence of the ask price must be at or
+      #          below the trigger price.
+      #      7 - last or bid/ask method. For a buy order, a single bid price
+      #          or the last price must be at or above the trigger price.
+      #          For a sell order, a single ask price or the last price
+      #          must be at or below the trigger price.
+      #      8 - mid-point method, where the midpoint must be at or above
+      #          (for a buy) or at or below (for a sell) the trigger price,
+      #          and the spread between the bid and ask must be less than
+      #          0.1% of the midpoint
+
+      :good_after_time, # Indicates that the trade should be submitted after the
+      #        time and date set, format YYYYMMDD HH:MM:SS (seconds are optional).
+      :good_till_date, # Indicates that the trade should remain working until the
+      #        time and date set, format YYYYMMDD HH:MM:SS (seconds are optional).
+      #        You must set the :tif to GTD when using this string.
+      #        Use an empty String if not applicable.
+
+      :rule_80a, # Individual = 'I', Agency = 'A', AgentOtherMember = 'W',
+      #            IndividualPTIA = 'J', AgencyPTIA = 'U', AgentOtherMemberPTIA = 'M',
+      #            IndividualPT = 'K', AgencyPT = 'Y', AgentOtherMemberPT = 'N'
+      :min_quantity, #     int: Identifies a minimum quantity order type.
+      :percent_offset, #   double: percent offset amount for relative (REL)orders only
+      :trail_stop_price, # double: for TRAILLIMIT orders only
+      # As of client v.56, we receive trailing_percent in openOrder
+      :trailing_percent,
+
+      # Financial advisors only - use an empty String if not applicable.
+      :fa_group, :fa_profile, :fa_method, :fa_percentage,
+
+      # Institutional orders only!
+      :origin, #          0=Customer, 1=Firm
+      :order_ref, #       String: Order reference. Customer defined order ID tag.
+      :short_sale_slot, # 1 - you hold the shares,
+      #                   2 - they will be delivered from elsewhere.
+      #                   Only for Action="SSHORT
+      :designated_location, # String: set when slot==2 only
+      :exempt_code, #       int
+
+      #  Clearing info
+      :account, #  String: The account. For institutional customers only.
+      :settling_firm, #    String: Institutional only
+      :clearing_account, # String: For IBExecution customers: Specifies the
+      #                  true beneficiary of the order. This value is required
+      #                  for FUT/FOP orders for reporting to the exchange.
+      :clearing_intent, # IBExecution customers: "", IB, Away, PTA (post trade allocation).
+
+      # SMART routing only
+      :discretionary_amount, # double: The amount off the limit price
+      #                        allowed for discretionary orders.
+      :nbbo_price_cap, #  double: Maximum Smart order distance from the NBBO.
+
+      # BOX or VOL ORDERS ONLY
+      :auction_strategy, # For BOX exchange only. Valid values:
+      #      1=AUCTION_MATCH, 2=AUCTION_IMPROVEMENT, 3=AUCTION_TRANSPARENT
+      :starting_price, #   double: Starting price. Valid on BOX orders only.
+      :stock_ref_price, #  double: The stock reference price, used for VOL
+      # orders to compute the limit price sent to an exchange (whether or not
+      # Continuous Update is selected), and for price range monitoring.
+      :delta, #            double: Stock delta. Valid on BOX orders only.
+
+      # Pegged to stock or VOL orders. For price improvement option orders
+      # on BOX and VOL orders with dynamic management:
+      :stock_range_lower, #   double: The lower value for the acceptable
+      #                               underlying stock price range.
+      :stock_range_upper, #   double  The upper value for the acceptable
+      #                               underlying stock price range.
+
+      # VOLATILITY ORDERS ONLY:
+      # http://www.interactivebrokers.com/en/general/education/pdfnotes/PDF-VolTrader.php
+      :volatility, #  double: What the price is, computed via TWSs Options
+      #               Analytics. For VOL orders, the limit price sent to an
+      #               exchange is not editable, as it is the output of a
+      #               function. Volatility is expressed as a percentage.
+      :volatility_type, # int: How the volatility is calculated: 1=daily, 2=annual
+      :reference_price_type, # int: For dynamic management of volatility orders:
+      #     - 1 = Average of National Best Bid or Ask,
+      #     - 2 = National Best Bid when buying a call or selling a put;
+      #           and National Best Ask when selling a call or buying a put.
+      :continuous_update, # int: Used for dynamic management of volatility orders.
+      # Determines whether TWS is supposed to update the order price as the underlying
+      # moves. If selected, the limit price sent to an exchange is modified by TWS
+      # if the computed price of the option changes enough to warrant doing so. This
+      # is helpful in keeping the limit price up to date as the underlying price changes.
+      :delta_neutral_order_type, # String: Enter an order type to instruct TWS
+      #    to submit a delta neutral trade on full or partial execution of the
+      #    VOL order. For no hedge delta order to be sent, specify NONE.
+      #    Valid values - LMT, MKT, MTL, REL, MOC
+      :delta_neutral_aux_price, #  double: Use this field to enter a value if
+      #           the value in the deltaNeutralOrderType field is an order
+      #           type that requires an Aux price, such as a REL order.
+
+      # As of client v.52, we also receive delta... params in openOrder
+      :delta_neutral_con_id,
+      :delta_neutral_settling_firm,
+      :delta_neutral_clearing_account,
+      :delta_neutral_clearing_intent,
+
+      # HEDGE ORDERS ONLY:
+      # As of client v.49/50, we can now add hedge orders using the API.
+      # Hedge orders are child orders that take additional fields. There are four
+      # types of hedging orders supported by the API: Delta, Beta, FX, Pair.
+      # All hedge orders must have a parent order submitted first. The hedge order
+      # should set its :parent_id. If the hedgeType is Beta, the beta sent in the
+      # hedgeParm can be zero, which means it is not used. Delta is only valid
+      # if the parent order is an option and the child order is a stock.
+
+      :hedge_type, # String: D = Delta, B = Beta, F = FX or P = Pair
+      :hedge_param, # String; value depends on the hedgeType; sent from the API
+      # only if hedge_type is NOT null. It is required for Pair hedge order,
+      # optional for Beta hedge orders, and ignored for Delta and FX hedge orders.
+
+      # COMBO ORDERS ONLY:
+      :basis_points, #      double: EFP orders only
+      :basis_points_type, # double: EFP orders only
+
+      # ALGO ORDERS ONLY:
+      :algo_strategy, # String
+      :algo_params, # public Vector<TagValue> m_algoParams; ?!
+
+      # SCALE ORDERS ONLY:
+      :scale_init_level_size, # int: Size of the first (initial) order component.
+      :scale_subs_level_size, # int: Order size of the subsequent scale order
+      #             components. Used in conjunction with scaleInitLevelSize().
+      :scale_price_increment, # double: Price increment between scale components.
+      #                         This field is required for Scale orders.
+
+      # As of client v.54, we can receive additional scale order fields:
+      :scale_price_adjust_value,
+      :scale_price_adjust_interval,
+      :scale_profit_offset,
+      :scale_init_position,
+      :scale_init_fill_qty,
+      :scale_auto_reset => :bool,
+      :scale_random_percent => :bool
+
+    # Properties with complex processing logics
+    prop :tif, #  String: Time in Force (time to market): DAY/GAT/GTD/GTC/IOC
+      :what_if => :bool, # Only return pre-trade commissions and margin info, do not place
+      :not_held => :bool, # Not Held
+      :outside_rth => :bool, # Order may trigger or fill outside of regular hours. (WAS: ignore_rth)
+      :hidden => :bool, # Order will not be visible in market depth. ISLAND only.
+      :transmit => :bool, #  If false, order will be created but not transmitted.
+      :block_order => :bool, #   This is an ISE Block order.
+      :sweep_to_fill => :bool, # This is a Sweep-to-Fill order.
+      :override_percentage_constraints => :bool,
+      # TWS Presets page constraints ensure that your price and size order values
+      # are reasonable. Orders sent from the API are also validated against these
+      # safety constraints, unless this parameter is set to True.
+      :all_or_none => :bool, #     AON
+      :etrade_only => :bool, #     Trade with electronic quotes.
+      :firm_quote_only => :bool, # Trade with firm quotes.
+      :opt_out_smart_routing => :bool, # Australian exchange only, default false
+      :open_close => PROPS[:open_close], # Originally String: O=Open, C=Close ()
+      # for ComboLeg compatibility: SAME = 0; OPEN = 1; CLOSE = 2; UNKNOWN = 3;
+      [:side, :action] => PROPS[:side] # String: Action/side: BUY/SELL/SSHORT/SSHORTX
+
+    prop :placed_at,
+      :modified_at,
+      :leg_prices,
+      :algo_params,
+      :combo_params
+
+    alias order_combo_legs leg_prices
+    alias smart_combo_routing_params combo_params
+
+    serialize :leg_prices
+    serialize :algo_params, HashWithIndifferentAccess
+    serialize :combo_params, HashWithIndifferentAccess
+
+    # Order is always placed for a contract. Here, we explicitly set this link.
+    belongs_to :contract
+
+    # Order has a collection of Executions if it was filled
+    has_many :executions
+
+    # Order has a collection of OrderStates, last one is always current
+    has_many :order_states
+
+    def order_state
+      order_states.last
+    end
+
+    def order_state= state
+      self.order_states.push case state
+      when IB::OrderState
+        state
+      when Symbol, String
+        IB::OrderState.new :status => state
+      end
+    end
+
+    # Some properties received from IB are separated into OrderState object,
+    # but they are still readable as Order properties through delegation:
+    # Properties arriving via OpenOrder message:
+    [:commission, # double: Shows the commission amount on the order.
+     :commission_currency, # String: Shows the currency of the commission.
+     :min_commission, # The possible min range of the actual order commission.
+     :max_commission, # The possible max range of the actual order commission.
+     :warning_text, # String: Displays a warning message if warranted.
+     :init_margin, # Float: The impact the order would have on your initial margin.
+     :maint_margin, # Float: The impact the order would have on your maintenance margin.
+     :equity_with_loan, # Float: The impact the order would have on your equity
+     :status, # String: Displays the order status. See OrderState for values
+     # Properties arriving via OrderStatus message:
+     :filled, #    int
+     :remaining, # int
+     :price, #    double
+     :last_fill_price, #    double
+     :average_price, # double
+     :average_fill_price, # double
+     :why_held, # String: comma-separated list of reasons for order to be held.
+     # Testing Order state:
+     :new?,
+     :submitted?,
+     :pending?,
+     :active?,
+     :inactive?,
+     :complete_fill?
+     ].each { |property| define_method(property) { order_state.send(property) } }
+
+    # Order is not valid without correct :local_id
+    validates_numericality_of :local_id, :perm_id, :client_id, :parent_id,
+      :quantity, :min_quantity, :display_size,
+      :only_integer => true, :allow_nil => true
+
+    validates_numericality_of :limit_price, :aux_price, :allow_nil => true
+
+
+    def default_attributes
+      super.merge :aux_price => 0.0,
+        :discretionary_amount => 0.0,
+        :parent_id => 0,
+        :tif => :day,
+        :order_type => :limit,
+        :open_close => :open,
+        :origin => :customer,
+        :short_sale_slot => :default,
+        :trigger_method => :default,
+        :oca_type => :none,
+        :auction_strategy => :none,
+        :designated_location => '',
+        :exempt_code => -1,
+        :display_size => 0,
+        :continuous_update => 0,
+        :delta_neutral_con_id => 0,
+        :algo_strategy => '',
+        :transmit => true,
+        :what_if => false,
+        :leg_prices => [],
+        :algo_params => HashWithIndifferentAccess.new, #{},
+        :combo_params => HashWithIndifferentAccess.new, #{},
+        :order_state => IB::OrderState.new(:status => 'New',
+                                           :filled => 0,
+                                           :remaining => 0,
+                                           :price => 0,
+                                           :average_price => 0)
+        end
+
+    def serialize_algo
+      if algo_strategy.nil? || algo_strategy.empty?
+        ''
+      else
+        [algo_strategy,
+         algo_params.size,
+         algo_params.to_a]
+      end
+    end
+
+    # Placement
+    def place contract, connection
+      error "Unable to place order, next_local_id not known" unless connection.next_local_id
+      self.client_id = connection.client_id
+      self.local_id = connection.next_local_id
+      connection.next_local_id += 1
+      self.placed_at = Time.now
+      modify contract, connection, self.placed_at
+    end
+
+    # Modify Order (convenience wrapper for send_message :PlaceOrder). Returns local_id.
+    def modify contract, connection, time=Time.now
+      self.modified_at = time
+      connection.send_message :PlaceOrder,
+        :order => self,
+        :contract => contract,
+        :local_id => local_id
+      local_id
+    end
+
+    # Order comparison
+    def == other
+      super(other) ||
+        other.is_a?(self.class) &&
+        (perm_id && other.perm_id && perm_id == other.perm_id ||
+         local_id == other.local_id && # ((p __LINE__)||true) &&
+         (client_id == other.client_id || client_id == 0 || other.client_id == 0) &&
+         parent_id == other.parent_id &&
+         tif == other.tif &&
+         action == other.action &&
+         order_type == other.order_type &&
+         quantity == other.quantity &&
+         (limit_price == other.limit_price || # TODO Floats should be Decimals!
+          (limit_price - other.limit_price).abs < 0.00001) &&
+         aux_price == other.aux_price &&
+         origin == other.origin &&
+         designated_location == other.designated_location &&
+         exempt_code == other.exempt_code &&
+         what_if == other.what_if &&
+         algo_strategy == other.algo_strategy &&
+         algo_params == other.algo_params)
+
+        # TODO: compare more attributes!
+        end
+
+    def to_s #human
+      "<Order:" + instance_variables.map do |key|
+        value = instance_variable_get(key)
+        " #{key}=#{value}" unless value.nil? || value == '' || value == 0
+      end.compact.join(',') + " >"
+    end
+
+    def to_human
+      "<Order: " + ((order_ref && order_ref != '') ? "#{order_ref} " : '') +
+        "#{self[:order_type]} #{self[:tif]} #{side} #{quantity} " +
+        (limit_price ? "#{limit_price} " : '') + "#{status} " +
+        ((aux_price && aux_price != 0) ? "/#{aux_price}" : '') +
+        "##{local_id}/#{perm_id} from #{client_id}" +
+        (account ? "/#{account}" : '') +
+        (commission ? " fee #{commission}" : '') + ">"
+    end
+  end # class Order
+end # module IB

data/lib/models/ib/order_state.rb

@@ -0,0 +1,128 @@
+module IB
+
+  # OrderState represents dynamic (changeable) info about a single Order,
+  # isolating these changes and making Order essentially immutable
+  class OrderState < IB::Model
+    include BaseProperties
+
+    #p column_names
+    belongs_to :order
+
+    # Properties arriving via OpenOrder message
+    prop :init_margin, # Float: The impact the order would have on your initial margin.
+      :maint_margin, # Float: The impact the order would have on your maintenance margin.
+      :equity_with_loan, # Float: The impact the order would have on your equity
+      :commission, # double: Shows the commission amount on the order.
+      :min_commission, # The possible min range of the actual order commission.
+      :max_commission, # The possible max range of the actual order commission.
+      :commission_currency, # String: Shows the currency of the commission.
+      :warning_text # String: Displays a warning message if warranted.
+
+      # Properties arriving via OrderStatus message:
+      prop :filled, #    int
+      :remaining, # int
+      [:price, :last_fill_price,], #    double
+      [:average_price, :average_fill_price], # double
+      :why_held # String: comma-separated list of reasons for order to be held.
+
+      # Properties arriving in both messages:
+      prop :local_id, #  int: Order id associated with client (volatile).
+      :perm_id, #   int: TWS permanent id, remains the same over TWS sessions.
+      :client_id, # int: The id of the client that placed this order.
+      :parent_id, # int: The order ID of the parent (original) order, used
+      :status => :s # String: Displays the order status. Possible values include:
+      # - PendingSubmit - indicates that you have transmitted the order, but
+      #   have not yet received confirmation that it has been accepted by the
+      #   order destination. NOTE: This order status is NOT sent back by TWS
+      #   and should be explicitly set by YOU when an order is submitted.
+      # - PendingCancel - indicates that you have sent a request to cancel
+      #   the order but have not yet received cancel confirmation from the
+      #   order destination. At this point, your order cancel is not confirmed.
+      #   You may still receive an execution while your cancellation request
+      #   is pending. NOTE: This order status is not sent back by TWS and
+      #   should be explicitly set by YOU when an order is canceled.
+      # - PreSubmitted - indicates that a simulated order type has been
+      #   accepted by the IB system and that this order has yet to be elected.
+      #   The order is held in the IB system until the election criteria are
+      #   met. At that time the order is transmitted to the order destination
+      #   as specified.
+      # - Submitted - indicates that your order has been accepted at the order
+      #   destination and is working.
+      # - Cancelled - indicates that the balance of your order has been
+      #   confirmed canceled by the IB system. This could occur unexpectedly
+      #   when IB or the destination has rejected your order.
+      # - ApiCancelled - canceled via API
+      # - Filled - indicates that the order has been completely filled.
+      # - Inactive - indicates that the order has been accepted by the system
+      #   (simulated orders) or an exchange (native orders) but that currently
+      #   the order is inactive due to system, exchange or other issues.
+
+      validates_format_of :status, :without => /\A\z/, :message => 'must not be empty'
+    validates_numericality_of :price, :average_price, :allow_nil => true
+    validates_numericality_of :local_id, :perm_id, :client_id, :parent_id, :filled,
+      :remaining, :only_integer => true, :allow_nil => true
+
+    ## Testing Order state:
+
+    def new?
+      status.empty? || status == 'New'
+    end
+
+    # Order is in a valid, working state on TWS side
+    def submitted?
+      status == 'PreSubmitted' || status == 'Submitted'
+    end
+
+    # Order is in a valid, working state on TWS side
+    def pending?
+      submitted? || status == 'PendingSubmit'
+    end
+
+    # Order is in invalid state
+    def active?
+      new? || pending?
+    end
+
+    # Order is in invalid state
+    def inactive?
+      !active? # status == 'Inactive'
+    end
+
+    def complete_fill?
+      status == 'Filled' && remaining == 0 # filled >= total_quantity # Manually corrected
+    end
+
+    # Comparison
+    def == other
+
+      super(other) ||
+        other.is_a?(self.class) &&
+        status == other.status &&
+        local_id == other.local_id &&
+        perm_id == other.perm_id &&
+        client_id == other.client_id &&
+        filled == other.filled &&
+        remaining == other.remaining &&
+        last_fill_price == other.last_fill_price &&
+        init_margin == other.init_margin &&
+        maint_margin == other.maint_margin &&
+        equity_with_loan == other.equity_with_loan &&
+        why_held == other.why_held &&
+        warning_text == other.warning_text &&
+        commission == other.commission
+    end
+
+    def to_human
+      "<OrderState: #{status} ##{local_id}/#{perm_id} from #{client_id}" +
+        (filled ? " filled #{filled}/#{remaining}" : '') +
+        (last_fill_price ? " at #{last_fill_price}/#{average_fill_price}" : '') +
+        (init_margin ? " margin #{init_margin}/#{maint_margin}" : '') +
+        (equity_with_loan ? " equity #{equity_with_loan}" : '') +
+        (commission && commission > 0 ? " fee #{commission}" : "") +
+        (why_held ? " why_held #{why_held}" : '') +
+        ((warning_text && warning_text != '') ? " warning #{warning_text}" : '') + ">"
+    end
+
+    alias to_s to_human
+  end # class Order
+end # module IB