mytradewizard 0.0.3 → 0.0.4

checksums.yaml

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data/lib/mytradewizard.rb

@@ -3,10 +3,12 @@ require 'mytradewizard/interactive_brokers'
 require 'mytradewizard/cme'
 require 'mytradewizard/yahoo'
 require 'mytradewizard/ohlc'
+require 'mytradewizard/date_time'
 require 'mytradewizard/stock'
 require 'mytradewizard/watch_list'
 require 'mytradewizard/technical_indicator'
 require 'mytradewizard/trading_system'
+require 'mytradewizard/action'
 
 module MyTradeWizard
 end

data/lib/mytradewizard/action.rb

@@ -0,0 +1,32 @@
+module MyTradeWizard
+  class Action
+
+    def initialize(signal)
+      @signal = signal
+    end
+
+    def to_s
+      if @signal > 0
+        return "BUY"
+      elsif @signal < 0
+        return "SELL"
+      else
+        return "None"
+      end
+    end
+
+    def reverse!
+      @signal = -@signal
+      return self
+    end
+
+    def reverse
+      return MyTradeWizard::Action.new(-@signal)
+    end
+
+    def nil?
+      @signal == 0
+    end
+
+  end
+end

data/lib/mytradewizard/cli.rb

@@ -34,14 +34,14 @@ module MyTradeWizard
     def CL
       ib = MyTradeWizard::InteractiveBrokers.new
       ib.connect
-      puts "Front month: " + ib.front_month(:CL)
+      puts "Front month: " + ib.front_month(:CL).expiry
     end
 
     desc "QM", "Determines the front month Mini-Crude future contract"
     def QM
       ib = MyTradeWizard::InteractiveBrokers.new
       ib.connect
-      puts "Front month: " + ib.front_month(:QM)
+      puts "Front month: " + ib.front_month(:QM).expiry
     end
 
   end

data/lib/mytradewizard/date_time.rb

@@ -0,0 +1,28 @@
+module MyTradeWizard
+  class DateTime
+    class << self
+
+      def WaitUntil(hour, minute)
+        print "Waiting until #{hour}:#{minute} ..."    
+        until time_is(hour, minute)
+          sleep 60
+          print '.'
+        end
+      end
+
+      private
+
+      def time_is(hour, minute)
+        if (1..5).include?(Time.now.utc.wday)
+          if Time.now.utc.hour == hour
+            if Time.now.utc.min >= minute
+              return true
+            end
+          end
+        end
+        false
+      end
+
+    end
+  end
+end

data/lib/mytradewizard/interactive_brokers.rb

@@ -1,17 +1,26 @@
 require 'ib'
-require_relative '../../config/interactive_brokers'
+begin
+  require "#{Dir.pwd}/config/interactive_brokers"
+rescue LoadError
+  puts "Please configure Interactive Brokers!"
+end
 
 module MyTradeWizard
   class InteractiveBrokers
 
+    attr_reader :accounts
+
     def connect(timeout = nil)
+      puts "Connecting to IB..."
       start_time = Time.now
       exception = nil
       while (timeout.nil? || Time.now - start_time <= timeout)
         begin
-          @ib = IB::Connection.new :host => self.class.host, :port => self.class.port
+          @ib_ruby = IB::Connection.new :host => self.class.host, :port => self.class.port
           subscribe_to_alerts
-          return @ib
+          sleep 0.1
+          fetch_accounts
+          return @ib_ruby
         rescue Exception => exception
           puts exception
           sleep 10
@@ -20,13 +29,87 @@ module MyTradeWizard
       raise exception
     end
 
-    def accounts
-      a = nil
-      @ib.subscribe(:ManagedAccounts) { |msg| a = msg.accounts_list.split(',') }
-      while a.nil?
+    def daily_bars(contract, days, confirm = true)
+      puts "Fetching daily bars..."
+      bars = nil   
+      @ib_ruby.subscribe(IB::Messages::Incoming::HistoricalData) { |msg| bars = msg.results }
+      @ib_ruby.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
+                                :request_id => 123,
+                                :contract => contract,
+                                :end_date_time => Time.now.utc.to_ib,
+                                :duration => "#{days} D",
+                                :bar_size => '1 day',
+                                :what_to_show => :trades,
+                                :use_rth => 1,
+                                :format_date => 1)
+      while bars.nil?
         sleep 1
       end
-      a
+      if confirm && bars.size < days
+        raise "Invalid Data!  (#{bars.size}/#{days} valid bars.)"
+      else
+        bars.reverse!
+        puts bars
+        return bars
+      end
+    end
+
+    def hourly_bars(contract, hourly_range, confirm = true)
+      range_size = hourly_range.last - hourly_range.first
+      puts "Fetching hourly bars..."
+      bars = nil
+      @ib_ruby.subscribe(IB::Messages::Incoming::HistoricalData) { |msg| bars = msg.results }
+      @ib_ruby.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
+                            :request_id => 123,
+                            :contract => contract,
+                            :end_date_time => Time.now.utc.to_ib,
+                            :duration => "#{60*60*range_size} S",
+                            :bar_size => '1 hour',
+                            :what_to_show => :trades,
+                            :use_rth => 0,
+                            :format_date => 1)
+      while bars.nil?
+        sleep 1
+      end
+      if confirm
+        bars.keep_if { |bar| Time.parse(bar.time).wday == Time.now.utc.wday && hourly_range.include?(Time.parse(bar.time).hour) }
+        if bars.size == range_size
+          puts bars
+          return bars
+        else
+          raise "Invalid Data!  (#{bars.size}/#{range_size} valid bars.)"
+        end
+      else
+        puts bars
+        return bars
+      end   
+    end
+
+    def positions(account)
+      p = Array.new
+      @ib_ruby.subscribe(:AccountValue, :PortfolioValue, :AccountUpdateTime, :AccountDownloadEnd) do |msg|
+        if msg.message_type == :PortfolioValue
+          if msg.contract.sec_type == :stock
+            stock = MyTradeWizard::Stock.new(msg.contract.symbol)
+            p << stock
+          end
+        end
+      end
+      @ib_ruby.send_message :RequestAccountData, :account_code => account
+      p
+    end
+
+    def place_market_order(account, action, quantity, contract, good_after, good_till)
+      order = IB::Order.new :total_quantity => quantity,
+                            :action => action.to_s,
+                            :order_type => 'MKT',
+                            :good_after_time => "#{Time.now.utc.strftime('%Y%m%d')} #{good_after}",
+                            :good_till_date => "#{Time.now.utc.strftime('%Y%m%d')} #{good_till}",
+                            :tif => 'GTD',
+                            :account => account
+      @ib_ruby.wait_for :NextValidId
+      @ib_ruby.place_order order, contract
+      puts "#{action} #{quantity} #{contract.symbol} @ #{good_after}"
     end
 
     def front_month(symbol)
@@ -37,14 +120,28 @@ module MyTradeWizard
           raise ErrorDeterminingFrontMonth
         end
       end
-      expiry
+      contract(symbol, expiry)
     end
 
   private
 
     def subscribe_to_alerts
-      @ib.subscribe(:Alert, :ReceiveFA, :OpenOrder, :OrderStatus, :ExecutionData, :CommissionReport, :ManagedAccounts) do |msg|
-        #puts msg.to_human unless msg.to_human.include?("No security definition has been found for the request")
+      @ib_ruby.subscribe(:Alert, :ReceiveFA, :OpenOrder, :OrderStatus, :ExecutionData, :CommissionReport, :ManagedAccounts) do |msg|
+        unless [:Alert, :ManagedAccounts].include? msg.message_type
+          unless msg.to_human.include?("No security definition has been found for the request")
+            puts msg.to_human
+          end
+        end
+      end
+    end
+
+    def fetch_accounts
+      puts "Fetching accounts...  "
+      @accounts = nil
+      @ib_ruby.subscribe(:ManagedAccounts) { |msg| @accounts = msg.accounts_list.split(',') }
+      @ib_ruby.send_message :RequestManagedAccounts
+      while @accounts.nil?
+        sleep 1
       end
     end
 
@@ -66,10 +163,10 @@ module MyTradeWizard
 
     def valid(contract)
       valid = false
-      @ib.subscribe(:ContractData, :ContractDataEnd) { |msg| valid = true }
-      @ib.send_message :RequestContractData, :id => 1, :contract => contract
-      @ib.wait_for :ContractDataEnd, 5
-      @ib.clear_received :ContractDataEnd
+      @ib_ruby.subscribe(:ContractData, :ContractDataEnd) { |msg| valid = true }
+      @ib_ruby.send_message :RequestContractData, :id => 1, :contract => contract
+      @ib_ruby.wait_for :ContractDataEnd, 5
+      @ib_ruby.clear_received :ContractDataEnd
       valid
     end
 

data/lib/mytradewizard/trading_system.rb

@@ -1,4 +1,10 @@
 module MyTradeWizard
   class TradingSystem
+
+    def initialize
+      @ib = MyTradeWizard::InteractiveBrokers.new
+      @ib_ruby = @ib.connect
+    end
+
   end
 end

data/lib/mytradewizard/version.rb

@@ -1,3 +1,3 @@
 module MyTradeWizard
-  VERSION = "0.0.3"
+  VERSION = "0.0.4"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: mytradewizard
 version: !ruby/object:Gem::Version
-  version: 0.0.3
+  version: 0.0.4
 platform: ruby
 authors:
 - mytradewizard
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2013-08-28 00:00:00.000000000 Z
+date: 2013-09-11 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: rspec
@@ -186,8 +186,10 @@ files:
 - features/interactive_brokers.feature
 - features/support/setup.rb
 - lib/mytradewizard.rb
+- lib/mytradewizard/action.rb
 - lib/mytradewizard/cli.rb
 - lib/mytradewizard/cme.rb
+- lib/mytradewizard/date_time.rb
 - lib/mytradewizard/generators/config/interactive_brokers.rb
 - lib/mytradewizard/generators/interactive_brokers.rb
 - lib/mytradewizard/interactive_brokers.rb