schwab_rb 0.9.2 → 1.0.0

data/lib/schwab_rb/stream/base.rb

@@ -0,0 +1,240 @@
+# frozen_string_literal: true
+
+require "async"
+require "async/websocket/client"
+require "json"
+require_relative "services"
+require_relative "fields"
+require_relative "message_builder"
+
+module SchwabRb
+  module Stream
+    class Base
+      INITIAL_BACKOFF = 2
+      MAX_BACKOFF = 120
+      MIN_CONNECTION_TIME = 90
+
+      attr_reader :client
+
+      def initialize(client)
+        @client = client
+        @handlers = {}
+        @subscriptions = {}
+        @connection = nil
+        @message_builder = nil
+        @streamer_info = nil
+        @connected = false
+        @connect_time = nil
+        @backoff_time = INITIAL_BACKOFF
+        @should_run = false
+      end
+
+      def on(service_symbol, symbols: nil, fields: nil, &block)
+        service_name = Services.lookup(service_symbol)
+        resolved_fields = fields ? Fields.resolve(service_name, fields) : nil
+
+        handler = { symbols: Array(symbols), fields: resolved_fields, callback: block }
+        @handlers[service_name] ||= []
+        @handlers[service_name] << handler
+
+        @subscriptions[service_name] = merge_subscription(
+          @subscriptions[service_name],
+          handler
+        )
+
+        send_subscription(service_name, handler) if @connected
+
+        self
+      end
+
+      def start
+        @should_run = true
+        Async do |task|
+          loop do
+            connect
+            run_receive_loop
+          rescue StandardError => e
+            handle_disconnect(e)
+            break unless should_reconnect?
+
+            wait_and_reconnect(task)
+          end
+        end
+      end
+
+      def stop
+        @should_run = false
+        disconnect
+      end
+
+      def connected?
+        @connected
+      end
+
+      private
+
+      def connect
+        fetch_streamer_info
+        open_websocket
+        login
+        send_pending_subscriptions
+        @connected = true
+        @connect_time = Time.now
+        @backoff_time = INITIAL_BACKOFF
+      end
+
+      def disconnect
+        return unless @connection
+
+        begin
+          logout_request = @message_builder.build_logout
+          send_message(@message_builder.wrap_requests(logout_request))
+        rescue StandardError
+          # best-effort logout
+        end
+
+        @connection.close
+        @connection = nil
+        @connected = false
+      end
+
+      def fetch_streamer_info
+        @client.refresh! if @client.session.expired?
+        prefs = @client.get_user_preferences
+        @streamer_info = prefs.streamer_info.first
+
+        raise "No streamer info available" unless @streamer_info
+
+        @message_builder = MessageBuilder.new(
+          @streamer_info.schwab_client_customer_id,
+          @streamer_info.schwab_client_correl_id
+        )
+      end
+
+      def open_websocket
+        url = @streamer_info.streamer_socket_url
+        endpoint = Async::HTTP::Endpoint.parse(url)
+        @connection = Async::WebSocket::Client.connect(endpoint)
+      end
+
+      def login
+        access_token = @client.token_manager.token.token
+        login_request = @message_builder.build_login(
+          access_token,
+          @streamer_info.schwab_client_channel,
+          @streamer_info.schwab_client_function_id
+        )
+
+        send_message(@message_builder.wrap_requests(login_request))
+
+        response = @connection.read
+        parsed = JSON.parse(response.to_str)
+
+        login_response = parsed.dig("response", 0) || parsed
+        code = login_response.dig("content", "code")
+
+        return if code.to_i.zero? || code == 0
+
+        raise "Login failed: #{login_response}"
+      end
+
+      def send_pending_subscriptions
+        @subscriptions.each do |service_name, sub|
+          request = @message_builder.build_request(
+            service_name, Commands::SUBS,
+            keys: sub[:symbols],
+            fields: sub[:fields]
+          )
+          send_message(@message_builder.wrap_requests(request))
+        end
+      end
+
+      def send_subscription(service_name, handler)
+        request = @message_builder.build_request(
+          service_name, Commands::ADD,
+          keys: handler[:symbols],
+          fields: handler[:fields]
+        )
+        send_message(@message_builder.wrap_requests(request))
+      end
+
+      def run_receive_loop
+        while @connected && @should_run
+          message = @connection.read
+          break if message.nil?
+
+          parsed = JSON.parse(message.to_str)
+          dispatch_message(parsed)
+        end
+      end
+
+      def dispatch_message(parsed)
+        if parsed.key?("data")
+          parsed["data"].each do |data_entry|
+            service = data_entry["service"]
+            handlers = @handlers[service]
+            next unless handlers
+
+            handlers.each { |h| h[:callback]&.call(data_entry) }
+          end
+        end
+
+        return unless parsed.key?("response")
+
+        parsed["response"].each do |resp|
+          SchwabRb::Logger.logger.debug("Stream response: #{resp}")
+        end
+      end
+
+      def handle_disconnect(error)
+        @connected = false
+        begin
+          @connection&.close
+        rescue StandardError
+          nil
+        end
+        @connection = nil
+
+        SchwabRb::Logger.logger.warn("Stream disconnected: #{error.message}")
+      end
+
+      def should_reconnect?
+        return false unless @should_run
+        return false unless @connect_time
+
+        elapsed = Time.now - @connect_time
+        if elapsed < MIN_CONNECTION_TIME
+          SchwabRb::Logger.logger.error(
+            "Stream connection failed after #{elapsed.round(1)}s (< #{MIN_CONNECTION_TIME}s). " \
+            "This likely indicates a configuration error. Not reconnecting."
+          )
+          return false
+        end
+
+        true
+      end
+
+      def wait_and_reconnect(task)
+        SchwabRb::Logger.logger.info("Reconnecting in #{@backoff_time}s...")
+        task.sleep(@backoff_time)
+        @backoff_time = [@backoff_time * 2, MAX_BACKOFF].min
+      end
+
+      def send_message(json_string)
+        @connection.write(Protocol::WebSocket::TextMessage.generate(json_string))
+        @connection.flush
+      end
+
+      def merge_subscription(existing, handler)
+        if existing
+          {
+            symbols: (existing[:symbols] + handler[:symbols]).uniq,
+            fields: existing[:fields] && handler[:fields] ? (existing[:fields] + handler[:fields]).uniq : nil
+          }
+        else
+          { symbols: handler[:symbols].dup, fields: handler[:fields]&.dup }
+        end
+      end
+    end
+  end
+end

data/lib/schwab_rb/stream/client.rb

@@ -0,0 +1,44 @@
+# frozen_string_literal: true
+
+require "async"
+require_relative "base"
+
+module SchwabRb
+  module Stream
+    class Client
+      def initialize(client)
+        @stream = Base.new(client)
+        @thread = nil
+      end
+
+      def on(service_symbol, symbols: nil, fields: nil, &block)
+        @stream.on(service_symbol, symbols: symbols, fields: fields, &block)
+        self
+      end
+
+      def start
+        @thread = Thread.new do
+          @stream.start
+        end
+        @thread.join
+      end
+
+      def start_async
+        @thread = Thread.new do
+          @stream.start
+        end
+        self
+      end
+
+      def stop
+        @stream.stop
+        @thread&.join(5)
+        @thread = nil
+      end
+
+      def connected?
+        @stream.connected?
+      end
+    end
+  end
+end

data/lib/schwab_rb/stream/fields.rb

@@ -0,0 +1,339 @@
+# frozen_string_literal: true
+
+module SchwabRb
+  module Stream
+    module Fields
+      module LevelOneEquity
+        SYMBOL = 0
+        BID_PRICE = 1
+        ASK_PRICE = 2
+        LAST_PRICE = 3
+        BID_SIZE = 4
+        ASK_SIZE = 5
+        ASK_ID = 6
+        BID_ID = 7
+        TOTAL_VOLUME = 8
+        LAST_SIZE = 9
+        HIGH_PRICE = 10
+        LOW_PRICE = 11
+        CLOSE_PRICE = 12
+        EXCHANGE_ID = 13
+        MARGINABLE = 14
+        DESCRIPTION = 15
+        LAST_ID = 16
+        OPEN_PRICE = 17
+        NET_CHANGE = 18
+        HIGH_PRICE_52_WEEK = 19
+        LOW_PRICE_52_WEEK = 20
+        PE_RATIO = 21
+        DIVIDEND_AMOUNT = 22
+        DIVIDEND_YIELD = 23
+        NAV = 24
+        EXCHANGE_NAME = 25
+        DIVIDEND_DATE = 26
+        REGULAR_MARKET_QUOTE = 27
+        REGULAR_MARKET_TRADE = 28
+        REGULAR_MARKET_LAST_PRICE = 29
+        REGULAR_MARKET_LAST_SIZE = 30
+        REGULAR_MARKET_NET_CHANGE = 31
+        SECURITY_STATUS = 32
+        MARK = 33
+        QUOTE_TIME_MILLIS = 34
+        TRADE_TIME_MILLIS = 35
+        REGULAR_MARKET_TRADE_MILLIS = 36
+        BID_TIME_MILLIS = 37
+        ASK_TIME_MILLIS = 38
+        ASK_MIC_ID = 39
+        BID_MIC_ID = 40
+        LAST_MIC_ID = 41
+        NET_CHANGE_PERCENT = 42
+        REGULAR_MARKET_CHANGE_PERCENT = 43
+        MARK_CHANGE = 44
+        MARK_CHANGE_PERCENT = 45
+        HTB_QUANTITY = 46
+        HTB_RATE = 47
+        HARD_TO_BORROW = 48
+        IS_SHORTABLE = 49
+        POST_MARKET_NET_CHANGE = 50
+        POST_MARKET_NET_CHANGE_PERCENT = 51
+
+        ALL = (0..51).to_a.freeze
+      end
+
+      module LevelOneOption
+        SYMBOL = 0
+        DESCRIPTION = 1
+        BID_PRICE = 2
+        ASK_PRICE = 3
+        LAST_PRICE = 4
+        HIGH_PRICE = 5
+        LOW_PRICE = 6
+        CLOSE_PRICE = 7
+        TOTAL_VOLUME = 8
+        OPEN_INTEREST = 9
+        VOLATILITY = 10
+        MONEY_INTRINSIC_VALUE = 11
+        EXPIRATION_YEAR = 12
+        MULTIPLIER = 13
+        DIGITS = 14
+        OPEN_PRICE = 15
+        BID_SIZE = 16
+        ASK_SIZE = 17
+        LAST_SIZE = 18
+        NET_CHANGE = 19
+        STRIKE_TYPE = 20
+        CONTRACT_TYPE = 21
+        UNDERLYING = 22
+        EXPIRATION_MONTH = 23
+        DELIVERABLES = 24
+        TIME_VALUE = 25
+        EXPIRATION_DAY = 26
+        DAYS_TO_EXPIRATION = 27
+        DELTA = 28
+        GAMMA = 29
+        THETA = 30
+        VEGA = 31
+        RHO = 32
+        SECURITY_STATUS = 33
+        THEORETICAL_OPTION_VALUE = 34
+        UNDERLYING_PRICE = 35
+        UV_EXPIRATION_TYPE = 36
+        MARK = 37
+        QUOTE_TIME_MILLIS = 38
+        TRADE_TIME_MILLIS = 39
+        EXCHANGE_ID = 40
+        EXCHANGE_NAME = 41
+        LAST_TRADING_DAY = 42
+        SETTLEMENT_TYPE = 43
+        NET_PERCENT_CHANGE = 44
+        MARK_CHANGE = 45
+        MARK_CHANGE_PERCENT = 46
+        IMPLIED_YIELD = 47
+        IS_PENNY = 48
+        OPTION_ROOT = 49
+        HIGH_PRICE_52_WEEK = 50
+        LOW_PRICE_52_WEEK = 51
+        INDICATIVE_ASKING_PRICE = 52
+        INDICATIVE_BID_PRICE = 53
+        INDICATIVE_QUOTE_TIME = 54
+        EXERCISE_TYPE = 55
+
+        ALL = (0..55).to_a.freeze
+      end
+
+      module LevelOneFutures
+        SYMBOL = 0
+        BID_PRICE = 1
+        ASK_PRICE = 2
+        LAST_PRICE = 3
+        BID_SIZE = 4
+        ASK_SIZE = 5
+        ASK_ID = 6
+        BID_ID = 7
+        TOTAL_VOLUME = 8
+        LAST_SIZE = 9
+        QUOTE_TIME_MILLIS = 10
+        TRADE_TIME_MILLIS = 11
+        HIGH_PRICE = 12
+        LOW_PRICE = 13
+        CLOSE_PRICE = 14
+        EXCHANGE_ID = 15
+        DESCRIPTION = 16
+        LAST_ID = 17
+        OPEN_PRICE = 18
+        NET_CHANGE = 19
+        FUTURE_PERCENT_CHANGE = 20
+        EXCHANGE_NAME = 21
+        SECURITY_STATUS = 22
+        OPEN_INTEREST = 23
+        MARK = 24
+        TICK = 25
+        TICK_AMOUNT = 26
+        PRODUCT = 27
+        FUTURE_PRICE_FORMAT = 28
+        FUTURE_TRADING_HOURS = 29
+        FUTURE_IS_TRADABLE = 30
+        FUTURE_MULTIPLIER = 31
+        FUTURE_IS_ACTIVE = 32
+        FUTURE_SETTLEMENT_PRICE = 33
+        FUTURE_ACTIVE_SYMBOL = 34
+        FUTURE_EXPIRATION_DATE = 35
+        EXPIRATION_STYLE = 36
+        ASK_MIC_ID = 37
+        BID_MIC_ID = 38
+        LAST_MIC_ID = 39
+        SETTLEMENT_DATE = 40
+
+        ALL = (0..40).to_a.freeze
+      end
+
+      module LevelOneFuturesOptions
+        SYMBOL = 0
+        BID_PRICE = 1
+        ASK_PRICE = 2
+        LAST_PRICE = 3
+        BID_SIZE = 4
+        ASK_SIZE = 5
+        BID_ID = 6
+        ASK_ID = 7
+        TOTAL_VOLUME = 8
+        LAST_SIZE = 9
+        QUOTE_TIME_MILLIS = 10
+        TRADE_TIME_MILLIS = 11
+        HIGH_PRICE = 12
+        LOW_PRICE = 13
+        CLOSE_PRICE = 14
+        LAST_ID = 15
+        DESCRIPTION = 16
+        OPEN_PRICE = 17
+        OPEN_INTEREST = 18
+        MARK = 19
+        TICK = 20
+        TICK_AMOUNT = 21
+        FUTURE_MULTIPLIER = 22
+        FUTURE_SETTLEMENT_PRICE = 23
+        UNDERLYING_SYMBOL = 24
+        STRIKE_PRICE = 25
+        FUTURE_EXPIRATION_DATE = 26
+        EXPIRATION_STYLE = 27
+        CONTRACT_TYPE = 28
+        SECURITY_STATUS = 29
+        EXCHANGE_ID = 30
+        EXCHANGE_NAME = 31
+
+        ALL = (0..31).to_a.freeze
+      end
+
+      module LevelOneForex
+        SYMBOL = 0
+        BID_PRICE = 1
+        ASK_PRICE = 2
+        LAST_PRICE = 3
+        BID_SIZE = 4
+        ASK_SIZE = 5
+        TOTAL_VOLUME = 6
+        LAST_SIZE = 7
+        QUOTE_TIME_MILLIS = 8
+        TRADE_TIME_MILLIS = 9
+        HIGH_PRICE = 10
+        LOW_PRICE = 11
+        CLOSE_PRICE = 12
+        EXCHANGE_ID = 13
+        DESCRIPTION = 14
+        OPEN_PRICE = 15
+        NET_CHANGE = 16
+        CHANGE_PERCENT = 17
+        EXCHANGE_NAME = 18
+        DIGITS = 19
+        SECURITY_STATUS = 20
+        TICK = 21
+        TICK_AMOUNT = 22
+        PRODUCT = 23
+        TRADING_HOURS = 24
+        IS_TRADABLE = 25
+        MARKET_MAKER = 26
+        HIGH_PRICE_52_WEEK = 27
+        LOW_PRICE_52_WEEK = 28
+        MARK = 29
+
+        ALL = (0..29).to_a.freeze
+      end
+
+      module Book
+        SYMBOL = 0
+        BOOK_TIME = 1
+        BIDS = 2
+        ASKS = 3
+
+        ALL = (0..3).to_a.freeze
+      end
+
+      module BookBid
+        BID_PRICE = 0
+        TOTAL_VOLUME = 1
+        NUM_BIDS = 2
+        BIDS = 3
+      end
+
+      module BookAsk
+        ASK_PRICE = 0
+        TOTAL_VOLUME = 1
+        NUM_ASKS = 2
+        ASKS = 3
+      end
+
+      module BookExchange
+        EXCHANGE = 0
+        VOLUME = 1
+        SEQUENCE = 2
+      end
+
+      module ChartEquity
+        SYMBOL = 0
+        SEQUENCE = 1
+        OPEN_PRICE = 2
+        HIGH_PRICE = 3
+        LOW_PRICE = 4
+        CLOSE_PRICE = 5
+        VOLUME = 6
+        CHART_TIME_MILLIS = 7
+        CHART_DAY = 8
+
+        ALL = (0..8).to_a.freeze
+      end
+
+      module ChartFutures
+        SYMBOL = 0
+        CHART_TIME_MILLIS = 1
+        OPEN_PRICE = 2
+        HIGH_PRICE = 3
+        LOW_PRICE = 4
+        CLOSE_PRICE = 5
+        VOLUME = 6
+
+        ALL = (0..6).to_a.freeze
+      end
+
+      module Screener
+        SYMBOL = 0
+        TIMESTAMP = 1
+        SORT_FIELD = 2
+        FREQUENCY = 3
+        ITEMS = 4
+
+        ALL = (0..4).to_a.freeze
+      end
+
+      module AccountActivity
+        SUBSCRIPTION_KEY = 0
+        ACCOUNT = 1
+        MESSAGE_TYPE = 2
+        MESSAGE_DATA = 3
+
+        ALL = (0..3).to_a.freeze
+      end
+
+      SERVICE_FIELDS = {
+        "LEVELONE_EQUITIES" => LevelOneEquity,
+        "LEVELONE_OPTIONS" => LevelOneOption,
+        "LEVELONE_FUTURES" => LevelOneFutures,
+        "LEVELONE_FUTURES_OPTIONS" => LevelOneFuturesOptions,
+        "LEVELONE_FOREX" => LevelOneForex,
+        "NYSE_BOOK" => Book,
+        "NASDAQ_BOOK" => Book,
+        "OPTIONS_BOOK" => Book,
+        "CHART_EQUITY" => ChartEquity,
+        "CHART_FUTURES" => ChartFutures,
+        "SCREENER_EQUITY" => Screener,
+        "SCREENER_OPTION" => Screener,
+        "ACCT_ACTIVITY" => AccountActivity
+      }.freeze
+
+      def self.resolve(service, fields)
+        return SERVICE_FIELDS[service]::ALL if fields == :all
+
+        Array(fields).map(&:to_i)
+      end
+    end
+  end
+end

data/lib/schwab_rb/stream/message_builder.rb

@@ -0,0 +1,66 @@
+# frozen_string_literal: true
+
+require "json"
+
+module SchwabRb
+  module Stream
+    class MessageBuilder
+      def initialize(customer_id, correl_id)
+        @customer_id = customer_id
+        @correl_id = correl_id
+        @request_id = 0
+      end
+
+      def build_login(access_token, channel, function_id)
+        {
+          "service" => "ADMIN",
+          "command" => Commands::LOGIN,
+          "requestid" => next_request_id,
+          "SchwabClientCustomerId" => @customer_id,
+          "SchwabClientCorrelId" => @correl_id,
+          "parameters" => {
+            "Authorization" => "Bearer #{access_token}",
+            "SchwabClientChannel" => channel,
+            "SchwabClientFunctionId" => function_id
+          }
+        }
+      end
+
+      def build_logout
+        {
+          "service" => "ADMIN",
+          "command" => Commands::LOGOUT,
+          "requestid" => next_request_id,
+          "SchwabClientCustomerId" => @customer_id,
+          "SchwabClientCorrelId" => @correl_id
+        }
+      end
+
+      def build_request(service, command, keys: nil, fields: nil)
+        request = {
+          "service" => service,
+          "command" => command,
+          "requestid" => next_request_id,
+          "SchwabClientCustomerId" => @customer_id,
+          "SchwabClientCorrelId" => @correl_id,
+          "parameters" => {}
+        }
+
+        request["parameters"]["keys"] = Array(keys).join(",") if keys
+        request["parameters"]["fields"] = Fields.resolve(service, fields).join(",") if fields
+
+        request
+      end
+
+      def wrap_requests(*requests)
+        { "requests" => requests.flatten }.to_json
+      end
+
+      private
+
+      def next_request_id
+        @request_id += 1
+      end
+    end
+  end
+end