mytradewizard 0.0.4 → 0.0.5

checksums.yaml

@@ -1,15 +1,15 @@
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data/lib/mytradewizard/daily_bars.rb

@@ -0,0 +1,29 @@
+module MyTradeWizard
+  class DailyBars
+
+    def initialize
+      @hash = Hash.new
+    end
+
+    def length
+      @hash.length
+    end
+
+    def add(day, bar)
+      @hash[day] = bar
+    end
+
+    def today
+      @hash.keys.max
+    end
+
+    def day(day)
+      @hash[day]
+    end
+
+    def days(daily_range)
+      @hash.select { |day, bar| daily_range.begin <= day && day <= daily_range.end }.values
+    end
+
+  end
+end

data/lib/mytradewizard/date_time.rb

@@ -1,28 +1,32 @@
 module MyTradeWizard
-  class DateTime
-    class << self
+  module DateTime
 
-      def WaitUntil(hour, minute)
-        print "Waiting until #{hour}:#{minute} ..."    
-        until time_is(hour, minute)
-          sleep 60
-          print '.'
-        end
+    HR = 360
+
+    def wait_until(hour, minute)
+      print "Waiting until #{hour}:#{minute} ..."    
+      until time_is(hour, minute)
+        sleep 60
+        print '.'
       end
+    end
 
-      private
+    def friday
+      Time.now.utc.wday == 5
+    end
 
-      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
+    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
-        false
       end
-
+      false
     end
+
   end
 end

data/lib/mytradewizard/future_trading_system.rb

@@ -0,0 +1,38 @@
+require 'mytradewizard'
+
+module MyTradeWizard
+  class FutureTradingSystem < MyTradeWizard::TradingSystem
+
+    attr_writer :quantity
+
+    def initialize
+      super
+      @quantity = 0
+      @action = nil
+    end
+
+    def symbol=(s)
+      @contract = @ib.front_month(s)
+      puts @contract
+    end
+
+    def hours(hourly_range)
+      @ib.hourly_bars(@contract, hourly_range, @live)
+    end
+
+    def place_opening_trade_between(good_after, good_till)
+      unless @action.nil?
+        print "Opening trade: "
+        @ib.place_market_order_between(@account, @action, @quantity, @contract, good_after, good_till)
+      end
+    end
+
+    def place_closing_trade_between(good_after, good_till)
+      unless @action.nil?
+        print "Closing trade: "
+        @ib.place_market_order_between(@account, @action.reverse, @quantity, @contract, good_after, good_till)
+      end
+    end
+
+  end
+end

data/lib/mytradewizard/interactive_brokers.rb

@@ -91,7 +91,8 @@ module MyTradeWizard
         if msg.message_type == :PortfolioValue
           if msg.contract.sec_type == :stock
             stock = MyTradeWizard::Stock.new(msg.contract.symbol)
-            p << stock
+            size = msg.position
+            p << MyTradeWizard::Position.new(stock, size)
           end
         end
       end
@@ -99,7 +100,17 @@ module MyTradeWizard
       p
     end
 
-    def place_market_order(account, action, quantity, contract, good_after, good_till)
+    def place_market_order(account, action, quantity, contract)
+      order = IB::Order.new :total_quantity => quantity,
+                            :action => action.to_s,
+                            :order_type => 'MKT',
+                            :account => account
+      @ib_ruby.wait_for :NextValidId
+      @ib_ruby.place_order order, contract
+      puts "#{action} #{quantity} #{contract.symbol}"
+    end
+
+    def place_market_order_between(account, action, quantity, contract, good_after, good_till)
       order = IB::Order.new :total_quantity => quantity,
                             :action => action.to_s,
                             :order_type => 'MKT',

data/lib/mytradewizard/ohlc.rb

@@ -15,5 +15,10 @@ module MyTradeWizard
     def close
       @hash['Close']
     end
+    #def sign
+    #  return 1 if close > open
+    #  return -1 if close < open
+    #  return 0 if close == open
+    #end
   end
 end

data/lib/mytradewizard/position.rb

@@ -0,0 +1,13 @@
+module MyTradeWizard
+  class Position
+
+    attr_reader :stock
+    attr_reader :size
+
+    def initialize(stock, size)
+      @stock = stock
+      @size = size
+    end
+
+  end
+end

data/lib/mytradewizard/stock_trading_system.rb

@@ -0,0 +1,47 @@
+require 'mytradewizard'
+
+module MyTradeWizard
+  class StockTradingSystem < MyTradeWizard::TradingSystem
+
+    include MyTradeWizard::WatchLists
+
+    attr_accessor :watch_list
+    attr_writer :position_size
+
+    def initialize
+      super
+      @watch_list = MyTradeWizard::WatchList.new
+      @position_size = 5000
+      @data = nil
+    end
+
+    def preload(days, stock)
+      @stock = stock
+      @data = MyTradeWizard::Yahoo.OHLC(stock.symbol, days)
+      if @data.length < days
+        puts "ERROR: Only #{@data.length}/#{days} days of data for #{stock.symbol}"
+      end
+    end
+
+    def t
+      @data.today
+    end
+
+    def days(daily_range)
+      @data.days(daily_range)
+    end
+
+    def close(day)
+      @data.day(day).close
+    end
+
+    def buy
+      place_market_order "BUY", @position_size/close(t).floor, @stock.contract
+    end
+
+    def sell(position)
+      place_market_order "SELL", position.size, @stock.contract
+    end
+
+  end
+end

data/lib/mytradewizard/technical_indicator.rb

@@ -1,6 +1,5 @@
 module MyTradeWizard
   module TechnicalIndicator
-    class << self
 
       def SMA(bars)
         x = 0
@@ -12,6 +11,5 @@ module MyTradeWizard
         return x / n
       end
 
-    end
   end
 end

data/lib/mytradewizard/trading_system.rb

@@ -1,9 +1,29 @@
 module MyTradeWizard
   class TradingSystem
 
+    include MyTradeWizard::DateTime
+    include MyTradeWizard::TechnicalIndicator
+
     def initialize
       @ib = MyTradeWizard::InteractiveBrokers.new
       @ib_ruby = @ib.connect
+      @live = false
+      @account = @ib.accounts.first
+      fetch_positions
+    end
+
+    def account=(a)
+      @live = true
+      @account = a
+      fetch_positions
+    end
+
+    def fetch_positions
+      @positions = @ib.positions(@account)
+    end
+
+    def place_market_order(action, quantity, contract)
+      @ib.place_market_order(@account, action, quantity, contract)
     end
 
   end

data/lib/mytradewizard/version.rb

@@ -1,3 +1,3 @@
 module MyTradeWizard
-  VERSION = "0.0.4"
+  VERSION = "0.0.5"
 end

data/lib/mytradewizard/watch_list.rb

@@ -3,8 +3,9 @@ module MyTradeWizard
 
     attr_accessor :stocks
 
-    def initialize
+    def initialize(stocks = [])
       @stocks = []
+      self << stocks
     end
 
     def <<(x)

data/lib/mytradewizard/watch_lists.rb

@@ -0,0 +1,9 @@
+module MyTradeWizard
+  module WatchLists
+
+    DOW30 = MyTradeWizard::WatchList.new %w(MMM AXP T BA CAT CVX CSCO KO DD XOM GE GS HD INTC IBM JNJ JPM MCD MRK MSFT NKE PFE PG TRV UNH UTX VZ V WMT DIS)
+    NAZ100 = MyTradeWizard::WatchList.new %w(FOXA ATVI ADBE AKAM ALXN ALTR AMZN AMGN ADI AAPL AMAT ADSK ADP AVGO BIDU BBBY BIIB BRCM CHRW CA CTRX CELG CERN CHTR CHKP CSCO CTXS CTSH CMCSA COST DELL XRAY DTV DISCA DLTR EBAY EQIX EXPE EXPD ESRX FFIV FB FAST FISV FOSL GRMN GILD GOOG GMCR HSIC INTC INTU ISRG KLAC KRFT LBTYA LINTA LMCA LLTC MAT MXIM MCHP MU MSFT MDLZ MNST MYL NTAP NFLX NUAN NVDA ORLY PCAR PAYX PCLN QCOM GOLD REGN ROST SNDK SBAC STX SHLD SIAL SIRI SPLS SBUX SRCL SYMC TSLA TXN VRSK VRTX VIAB VOD WDC WFM WYNN XLNX YHOO)
+    SP500 = MyTradeWizard::WatchList.new %w(MMM ABT ABBV ANF ACE ACN ACT ADBE ADT AMD AES AET AFL A GAS APD ARG AKAM AA ALXN ATI AGN ALL ALTR MO AMZN AEE AEP AXP AIG AMT AMP ABC AMGN APH APC ADI AON APA AIV AAPL AMAT ADM AIZ T ADSK ADP AN AZO AVB AVY AVP BHI BLL BAC BK BCR BAX BBT BEAM BDX BBBY BMS BRK.B BBY BIIB BLK HRB BA BWA BXP BSX BMY BRCM BF.B CHRW CA CVC COG CAM CPB COF CAH CFN KMX CCL CAT CBG CBS CELG CNP CTL CERN CF SCHW CHK CVX CMG CB CI CINF CTAS CSCO C CTXS CLF CLX CME CMS COH KO CCE CTSH CL CMCSA CMA CSC CAG COP CNX ED STZ GLW COST COV CCI CSX CMI CVS DHI DHR DRI DVA DE DELL DLPH DAL DNR XRAY DVN DO DTV DFS DISCA DG DLTR D DOV DOW DPS DTE DD DUK DNB ETFC EMN ETN EBAY ECL EIX EW EA EMC EMR ESV ETR EOG EQT EFX EQR EL EXC EXPE EXPD ESRX XOM FFIV FDO FAST FDX FIS FITB FSLR FE FISV FLIR FLS FLR FMC FTI F FRX FOSL BEN FCX FTR GME GCI GPS GRMN GD GE GIS GM GPC GNW GILD GS GT GOOG GWW HAL HOG HAR HRS HIG HAS HCP HCN HP HES HPQ HD HON HRL HSP HST HCBK HUM HBAN ITW IR TEG INTC ICE IBM IGT IP IPG IFF INTU ISRG IVZ IRM JBL JEC JDSU JNJ JCI JOY JPM JNPR KSU K KEY KMB KIM KMI KLAC KSS KRFT KR LTD LLL LH LRCX LM LEG LEN LUK LIFE LLY LNC LLTC LMT L LO LOW LSI LYB MTB MAC M MRO MPC MAR MMC MAS MA MAT MKC MCD MHFI MCK MJN MWV MDT MRK MET MCHP MU MSFT MOLX TAP MDLZ MON MNST MCO MS MOS MSI MUR MYL NBR NDAQ NOV NTAP NFLX NWL NFX NEM NWSA NEE NLSN NKE NI NE NBL JWN NSC NTRS NOC NU NRG NUE NVDA NYX ORLY OXY OMC OKE ORCL OI PCG PCAR PLL PH PDCO PAYX BTU JCP PNR PBCT POM PEP PKI PRGO PETM PFE PM PSX PNW PXD PBI PCL PNC RL PPG PPL PX PCP PCLN PFG PG PGR PLD PRU PEG PSA PHM PVH QEP PWR QCOM DGX RRC RTN RHT REGN RF RSG RAI RHI ROK COL ROP ROST RDC R SWY SAI CRM SNDK SCG SLB SNI STX SEE SRE SHW SIAL SPG SLM SJM SNA SO LUV SWN SE STJ SWK SPLS SBUX HOT STT SRCL SYK STI SYMC SYY TROW TGT TEL TE THC TDC TER TSO TXN TXT HSY TRV TMO TIF TWX TWC TJX TMK TSS TRIP FOXA TSN TYC USB UNP UNH UPS X UTX UNM URBN VFC VLO VAR VTR VRSN VZ VIAB V VNO VMC WMT WAG DIS WPO WM WAT WLP WFC WDC WU WY WHR WFM WMB WIN WEC WPX WYN WYNN XEL XRX XLNX XL XYL YHOO YUM ZMH ZION ZTS)
+
+  end
+end

data/lib/mytradewizard/yahoo.rb

@@ -17,8 +17,8 @@ module MyTradeWizard
           day = -1
         end
         row = 1
-        bars = Hash.new
-        while (bars.length < days)
+        daily_bars = MyTradeWizard::DailyBars.new
+        while (daily_bars.length < days)
           bar = Hash.new
           csv[row].each_with_index do |col, i|
             name = header[i]
@@ -32,11 +32,11 @@ module MyTradeWizard
             end
             bar[name] = value
           end
-          bars[day] = MyTradeWizard::OHLC.new(bar)
+          daily_bars.add(day, MyTradeWizard::OHLC.new(bar))
           row += 1
           day -= 1
         end
-        bars
+        daily_bars
       end
 
     private

data/lib/mytradewizard.rb

@@ -3,12 +3,17 @@ require 'mytradewizard/interactive_brokers'
 require 'mytradewizard/cme'
 require 'mytradewizard/yahoo'
 require 'mytradewizard/ohlc'
+require 'mytradewizard/daily_bars'
 require 'mytradewizard/date_time'
 require 'mytradewizard/stock'
 require 'mytradewizard/watch_list'
+require 'mytradewizard/watch_lists'
 require 'mytradewizard/technical_indicator'
 require 'mytradewizard/trading_system'
+require 'mytradewizard/stock_trading_system'
+require 'mytradewizard/future_trading_system'
 require 'mytradewizard/action'
+require 'mytradewizard/position'
 
 module MyTradeWizard
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: mytradewizard
 version: !ruby/object:Gem::Version
-  version: 0.0.4
+  version: 0.0.5
 platform: ruby
 authors:
 - mytradewizard
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2013-09-11 00:00:00.000000000 Z
+date: 2013-10-01 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: rspec
@@ -189,16 +189,21 @@ files:
 - lib/mytradewizard/action.rb
 - lib/mytradewizard/cli.rb
 - lib/mytradewizard/cme.rb
+- lib/mytradewizard/daily_bars.rb
 - lib/mytradewizard/date_time.rb
+- lib/mytradewizard/future_trading_system.rb
 - lib/mytradewizard/generators/config/interactive_brokers.rb
 - lib/mytradewizard/generators/interactive_brokers.rb
 - lib/mytradewizard/interactive_brokers.rb
 - lib/mytradewizard/ohlc.rb
+- lib/mytradewizard/position.rb
 - lib/mytradewizard/stock.rb
+- lib/mytradewizard/stock_trading_system.rb
 - lib/mytradewizard/technical_indicator.rb
 - lib/mytradewizard/trading_system.rb
 - lib/mytradewizard/version.rb
 - lib/mytradewizard/watch_list.rb
+- lib/mytradewizard/watch_lists.rb
 - lib/mytradewizard/yahoo.rb
 - mytradewizard.gemspec
 - spec/cme_spec.rb