mytradewizard 0.0.5 → 0.0.6

checksums.yaml

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

@@ -14,6 +14,7 @@ require 'mytradewizard/stock_trading_system'
 require 'mytradewizard/future_trading_system'
 require 'mytradewizard/action'
 require 'mytradewizard/position'
+require 'mytradewizard/order'
 
 module MyTradeWizard
 end

data/lib/mytradewizard/action.rb

@@ -2,7 +2,14 @@ module MyTradeWizard
   class Action
 
     def initialize(signal)
-      @signal = signal
+      case signal
+      when "BUY"
+        @signal = 1
+      when "SELL"
+        @signal = -1
+      else
+        @signal = signal
+      end
     end
 
     def to_s

data/lib/mytradewizard/daily_bars.rb

@@ -17,6 +17,10 @@ module MyTradeWizard
       @hash.keys.max
     end
 
+    def most_recent
+      @hash[today]
+    end
+
     def day(day)
       @hash[day]
     end

data/lib/mytradewizard/future_trading_system.rb

@@ -20,17 +20,17 @@ module MyTradeWizard
       @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
+    def actionize(signal)
+      @action = MyTradeWizard::Action.new(signal)
+    end
+
+    def action
+      @action
     end
 
-    def place_closing_trade_between(good_after, good_till)
+    def place_orders(open_time, close_time)
       unless @action.nil?
-        print "Closing trade: "
-        @ib.place_market_order_between(@account, @action.reverse, @quantity, @contract, good_after, good_till)
+        @ib.place_market_orders(@account, @action, @quantity, @contract, open_time, close_time)
       end
     end
 

data/lib/mytradewizard/interactive_brokers.rb

@@ -87,7 +87,7 @@ module MyTradeWizard
 
     def positions(account)
       p = Array.new
-      @ib_ruby.subscribe(:AccountValue, :PortfolioValue, :AccountUpdateTime, :AccountDownloadEnd) do |msg|
+      @ib_ruby.subscribe(:Alert, :AccountValue, :PortfolioValue, :AccountUpdateTime, :AccountDownloadEnd) do |msg|
         if msg.message_type == :PortfolioValue
           if msg.contract.sec_type == :stock
             stock = MyTradeWizard::Stock.new(msg.contract.symbol)
@@ -96,26 +96,46 @@ module MyTradeWizard
           end
         end
       end
-      @ib_ruby.send_message :RequestAccountData, :account_code => account
+      @ib_ruby.send_message :RequestAccountData, :subscribe => true, :account_code => account
+      @ib_ruby.wait_for :AccountDownloadEnd
+      @ib_ruby.send_message :RequestAccountData, :subscribe => false, :account_code => account
+      @ib_ruby.received[:AccountDownloadEnd].clear
       p
     end
 
+    def buying_power(account)
+      buying_power = nil
+      @ib_ruby.subscribe(:Alert, :AccountValue, :PortfolioValue, :AccountUpdateTime, :AccountDownloadEnd) do |msg|
+        if msg.message_type == :AccountValue
+          if msg.data[:key] == "BuyingPower"
+            buying_power = msg.data[:value]
+          end
+        end
+      end
+      @ib_ruby.send_message :RequestAccountData, :subscribe => true, :account_code => account
+      @ib_ruby.wait_for :AccountDownloadEnd
+      @ib_ruby.send_message :RequestAccountData, :subscribe => false, :account_code => account
+      @ib_ruby.received[:AccountDownloadEnd].clear
+      buying_power.to_f
+    end
+
     def place_market_order(account, action, quantity, contract)
       order = IB::Order.new :total_quantity => quantity,
                             :action => action.to_s,
                             :order_type => 'MKT',
+                            :tif => 'OPG',
                             :account => account
       @ib_ruby.wait_for :NextValidId
       @ib_ruby.place_order order, contract
-      puts "#{action} #{quantity} #{contract.symbol}"
+      #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',
-                            :good_after_time => "#{Time.now.utc.strftime('%Y%m%d')} #{good_after}",
-                            :good_till_date => "#{Time.now.utc.strftime('%Y%m%d')} #{good_till}",
+                            :good_after_time => good_after,
+                            :good_till_date => good_till,
                             :tif => 'GTD',
                             :account => account
       @ib_ruby.wait_for :NextValidId
@@ -123,12 +143,69 @@ module MyTradeWizard
       puts "#{action} #{quantity} #{contract.symbol} @ #{good_after}"
     end
 
+    def place_market_orders(account, action, quantity, contract, open_time, close_time)
+      good_after_open = Time.parse(open_time).strftime("%Y%m%d %H:%M:%S %Z")
+      good_till_open = (Time.parse(open_time) + 60).strftime("%Y%m%d %H:%M:%S %Z")
+      good_after_close = Time.parse(close_time).strftime("%Y%m%d %H:%M:%S %Z")
+      good_till_close = (Time.parse(close_time) + 60).strftime("%Y%m%d %H:%M:%S %Z")
+      if quantity.is_a? Fixnum
+        place_market_order_between(account, action, quantity, contract, good_after_open, good_till_open)
+        @ib_ruby.subscribe(:OrderStatus, :OpenOrderEnd) do |msg|
+          if msg.message_type == :OrderStatus
+            if msg.status == 'Submitted'
+              place_market_order_between(account, action.reverse, quantity, contract, good_after_close, good_till_close)
+            elsif msg.status == 'Cancelled'
+              puts "CANCELLED: #{action} #{quantity} #{contract.symbol} @ #{open_time}"
+            end
+          end
+        end
+        @ib_ruby.send_message :RequestAllOpenOrders
+        @ib_ruby.wait_for :OrderStatus
+      elsif quantity.is_a? Range
+        quantity.each do |q|
+          if q == quantity.first
+            place_market_order_between(account, action, q, contract, good_after_open, good_till_open)
+            @ib_ruby.subscribe(:OrderStatus, :OpenOrderEnd) do |msg|
+              if msg.message_type == :OrderStatus
+                if msg.status == 'Submitted'
+                  place_market_order_between(account, action.reverse, q, contract, good_after_close, good_till_close)
+                elsif msg.status == 'Cancelled'
+                  puts "CANCELLED: #{action} #{q} #{contract.symbol} @ #{open_time}"
+                  break
+                end
+              end
+            end
+            @ib_ruby.send_message :RequestAllOpenOrders, :subscribe => true, :account_code => account
+            @ib_ruby.wait_for :OrderStatus
+            @ib_ruby.send_message :RequestAllOpenOrders, :subscribe => false, :account_code => account
+            @ib_ruby.received[:OrderStatus].clear
+          else
+            place_market_order_between(account, action, 1, contract, good_after_open, good_till_open)
+            @ib_ruby.subscribe(:OrderStatus, :OpenOrderEnd) do |msg|
+              if msg.message_type == :OrderStatus
+                if msg.status == 'Submitted'
+                  place_market_order_between(account, action.reverse, 1, contract, good_after_close, good_till_close)
+                elsif msg.status == 'Cancelled'
+                  puts "CANCELLED: #{action} 1 #{contract.symbol} @ #{open_time}"
+                  break
+                end
+              end
+            end
+            @ib_ruby.send_message :RequestAllOpenOrders, :subscribe => true, :account_code => account
+            @ib_ruby.wait_for :OrderStatus
+            @ib_ruby.send_message :RequestAllOpenOrders, :subscribe => false, :account_code => account
+            @ib_ruby.received[:OrderStatus].clear
+          end
+        end
+      end
+    end
+
     def front_month(symbol)
       expiry = MyTradeWizard::CME.first_month(symbol)
       if invalid contract(symbol, expiry)
         expiry = MyTradeWizard::CME.second_month(symbol)
         if invalid contract(symbol, expiry)
-          raise ErrorDeterminingFrontMonth
+          raise 'ErrorDeterminingFrontMonth'
         end
       end
       contract(symbol, expiry)

data/lib/mytradewizard/order.rb

@@ -0,0 +1,9 @@
+module MyTradeWizard
+  class Order
+
+    attr_accessor :action
+    attr_accessor :quantity
+    attr_accessor :stock
+
+  end
+end

data/lib/mytradewizard/stock.rb

@@ -11,5 +11,13 @@ module MyTradeWizard
       @contract = IB::Contract.new(:sec_type => :stock, :symbol => symbol, :currency => "USD")
     end
 
+    def ==(other)
+      other.class == self.class && other.symbol == symbol
+    end
+
+    def price
+      MyTradeWizard::Yahoo.OHLC(symbol, 1).most_recent.close
+    end
+
   end
 end

data/lib/mytradewizard/stock_trading_system.rb

@@ -5,13 +5,13 @@ module MyTradeWizard
 
     include MyTradeWizard::WatchLists
 
-    attr_accessor :watch_list
+    attr_accessor :watchlist
     attr_writer :position_size
 
     def initialize
       super
-      @watch_list = MyTradeWizard::WatchList.new
-      @position_size = 5000
+      @watchlist = MyTradeWizard::WatchList.new
+      #@position_size = 5000
       @data = nil
     end
 
@@ -35,12 +35,26 @@ module MyTradeWizard
       @data.day(day).close
     end
 
-    def buy
-      place_market_order "BUY", @position_size/close(t).floor, @stock.contract
+    def buy(stock)
+      order = MyTradeWizard::Order.new
+      order.action = MyTradeWizard::Action.new("BUY")
+      order.stock = stock
+      return order
     end
 
     def sell(position)
-      place_market_order "SELL", position.size, @stock.contract
+      output "SELL #{position.size} #{position.stock.symbol}"
+      place_market_order "SELL", position.size, position.stock.contract
+    end
+
+    def place(orders)
+      total_buying_power = @ib.buying_power(@account)
+      buying_power_per_order = total_buying_power / orders.length
+      orders.each do |order|
+        order.quantity = (buying_power_per_order / order.stock.price).floor
+        output "#{order.action} #{order.quantity} #{order.stock.symbol}"
+        place_market_order order.action.to_s, order.quantity, order.stock.contract
+      end
     end
 
   end

data/lib/mytradewizard/trading_system.rb

@@ -9,16 +9,16 @@ module MyTradeWizard
       @ib_ruby = @ib.connect
       @live = false
       @account = @ib.accounts.first
-      fetch_positions
+      #fetch_positions
+      @orders = []
     end
 
     def account=(a)
-      @live = true
       @account = a
-      fetch_positions
+      make_live
     end
 
-    def fetch_positions
+    def positions
       @positions = @ib.positions(@account)
     end
 
@@ -26,5 +26,31 @@ module MyTradeWizard
       @ib.place_market_order(@account, action, quantity, contract)
     end
 
+    def make_live
+      @live = true
+      @logger = Logger.new("/mtw/log/#{self.class}/#{Time.now.strftime('%Y%m%d-%H%M')}.log")
+      #fetch_positions
+    end
+
+    def at(hour, minute)
+      wait_until(hour, minute) if @live
+    end
+
+    def idle(seconds)
+      sleep(seconds) if @live
+    end
+
+    def output(msg)
+      if @logger.present?
+        @logger.info msg
+      else
+        puts msg
+      end
+    end
+
+    def test?
+      !@live
+    end
+
   end
 end

data/lib/mytradewizard/version.rb

@@ -1,3 +1,3 @@
 module MyTradeWizard
-  VERSION = "0.0.5"
+  VERSION = "0.0.6"
 end

data/lib/mytradewizard/watch_list.rb

@@ -20,5 +20,13 @@ module MyTradeWizard
       end
     end
 
+    def each(&block)
+      @stocks.each(&block)
+    end
+
+    def remove(positions)
+      @stocks.reject { |stock| positions.any? { |position| position.stock == stock } }
+    end
+
   end
 end

data/lib/mytradewizard/yahoo.rb

@@ -46,6 +46,7 @@ module MyTradeWizard
       end
       
       def url(symbol, start_month, start_day, start_year, end_month, end_day, end_year, frequency)
+        symbol = symbol.gsub(" ", "-")
         query_string = "?s=#{symbol}&a=#{start_month}&b#{start_day}&c=#{start_year}&d=#{end_month}&e=#{end_day}&f=#{end_year}&g=#{frequency}"
         url = 'http://ichart.finance.yahoo.com/table.csv' + query_string
       end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: mytradewizard
 version: !ruby/object:Gem::Version
-  version: 0.0.5
+  version: 0.0.6
 platform: ruby
 authors:
 - mytradewizard
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2013-10-01 00:00:00.000000000 Z
+date: 2013-10-09 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: rspec
@@ -196,6 +196,7 @@ files:
 - lib/mytradewizard/generators/interactive_brokers.rb
 - lib/mytradewizard/interactive_brokers.rb
 - lib/mytradewizard/ohlc.rb
+- lib/mytradewizard/order.rb
 - lib/mytradewizard/position.rb
 - lib/mytradewizard/stock.rb
 - lib/mytradewizard/stock_trading_system.rb