tradingrobotdsl 0.0.1

data/History.txt

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+== 0.0.1 / 2007-11-18
+
+* Birthday!
+  * order placement doesn't work, only quotes
+

data/Manifest.txt

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+History.txt
+Manifest.txt
+README.txt
+Rakefile
+lib/dsl.rb
+spec/contract_spec.rb
+spec/helper.rb
+spec/robot_spec.rb

data/README.txt

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+tradingrobotdsl: Domain specific language for automated trading (robot)
+    Copyright (C) 2007 by Timur Adigamov (timur at adigamov dot com)
+    http://www.tradeindexfuture.com
+
+== DESCRIPTION:
+  
+Domain specific language library for programming trading robots.
+Quotes get from opentick server (through opentick-ruby module)
+Order place to Trader Workstation socket API (through ib-ruby module)
+
+This is an alpha test quality release. I specifically DO NOT recommend
+that it be used for live trading under any circumstances. It has not
+been tested. I am releasing it in the hopes that the many eyes of the
+community will help with enhancing it, so that we all will have a
+robust and reliable library to use.
+
+== FEATURES/PROBLEMS:
+  
+* get quotes from opentick servers
+* simple average indicator realized :)
+* order placement (buy/sell) doesn't work
+
+== SYNOPSIS:
+
+ robot do  
+   login 'test_opentick', '123123'
+   history :duration => 300, :from => Time.now-10*24*3600, :to => Time.now
+   query MSFT do  
+     if (avg MSFT, 9)/(avg MSFT, 25) - 1 > 0.5  
+       puts "buy MSFT"
+     end  
+     if (avg MSFT, 9)/(avg MSFT, 25) - 1 < - 0.5  
+       puts "sell MSFT"
+     end  
+   end # query  
+ end # robot  
+
+== REQUIREMENTS:
+
+* ib-ruby
+* opentick-ruby
+
+== INSTALL:
+
+* sudo gem install ib-ruby
+* sudo gem install opentick-ruby
+* sudo gem install tradingrobotdsl
+
+== LICENSE:
+
+This library is free software; you can redistribute it and/or modify
+it under the terms of the GNU Lesser General Public License as
+published by the Free Software Foundation; either version 2.1 of the
+License, or (at your option) any later version.
+
+This library is distributed in the hope that it will be useful, but
+WITHOUT ANY WARRANTY; without even the implied warranty of
+MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
+Lesser General Public License for more details.
+
+You should have received a copy of the GNU Lesser General Public
+License along with this library; if not, write to the Free Software
+Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
+02110-1301 USA
+
+
+== Use At Your Own Risk 
+
+As the license indicates, this code is provided AS IS, WITH NO
+WARRANTY WHATSOEVER, not even an implied warranty of merchantability
+or fitness for a particular purpose. 
+
+*ANY USE YOU MAKE OF THIS CODE IS ENTIRELY AT YOUR OWN RISK.* 
+
+This code may contain any number of errors or bugs, both known and
+unknown. Use of this code may result in monetary loss due to known or
+unknown bugs and errors. In no event shall the author be liable or
+responsible for any loss whatsoever, direct or indirect, that may
+occur as a result of your use of this code.

data/Rakefile

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+# -*- ruby -*-
+
+require 'rubygems'
+require 'hoe'
+require './lib/dsl.rb'
+
+Hoe.new('tradingrobotdsl', DSL::VERSION) do |p|
+  p.rubyforge_name = 'tradingrobotdsl'
+  p.author = 'Timur Adigamov'
+  p.email = 'timur at adigamov dot com'
+  p.summary = 'Domain specific language for automated trading (robots)'
+  p.description = p.paragraphs_of('README.txt', 2..5).join("\n\n")
+  p.url = "http://www.tradeindexfuture.com"
+  p.changes = p.paragraphs_of('History.txt', 0..1).join("\n\n")
+  p.remote_rdoc_dir = ''
+end
+
+# vim: syntax=Ruby

data/lib/dsl.rb

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+=begin
+  Trading robot Domain specific language implementation
+=end
+
+$:.push(File.dirname(__FILE__) + "/../../opentick-ruby/lib/")
+
+require 'opentick.rb'
+require 'thread'
+#add_stubs(@user, :password= => nil, :password_confirmation= => nil, :new_password= => nil)
+module DSL	
+
+    VERSION='0.0.1'
+	class NoDataException < RuntimeError
+		attr :deep_level
+		def initialize(deep_level)
+			@deep_level = deep_level
+		end
+	end # class NoDataException
+
+  class Contract        
+    @@list_by_name={}
+    @@list_by_id=[]
+    attr_reader :name, :exchange, :queue
+		attr_accessor :request_id
+    
+    def initialize(contract_name, exchange=nil)
+      @name = contract_name
+      @exchange = exchange
+      @request_id = 0
+			@queue = []
+    end    
+    
+    def self.list_by_name
+      @@list_by_name
+    end
+    
+    def self.list_by_id
+      @@list_by_id
+    end
+    
+    def self.find(contract_name)
+      @@list_by_name[contract_name]=Contract.new(contract_name) unless @@list_by_name.key?(contract_name)
+      @@list_by_name[contract_name]
+    end
+    
+    def method_missing(m, *args)
+      @exchange = m
+      self
+    end
+		
+		def price
+			@queue.first[:closePrice] unless @queue.first.nil?
+		end
+    
+    def subscribe_history(ot, robot)
+      msg = OpenTick::OutgoingMessages::HistoryStreamRequest.new(:exchange => @exchange.to_s, 
+          :ticker => @name.to_s, :from => robot.from.to_i, :to => robot.to.to_i, :type => 4, :interval => 1)
+      ot.dispatch(msg)
+      @request_id = msg.reqId       
+			@@list_by_id[@request_id] = self
+    end
+  end # class Contract
+	
+	############################### class Robot ##################################
+
+  class Robot
+    attr_accessor :duration, :from, :to, :deep
+    
+    def initialize(opentick_connection)
+      @ot = opentick_connection
+      @logged = false
+			@mutex = Mutex.new
+			@condition = ConditionVariable.new
+			@deep = 1
+    end
+    
+    def login(username, password)
+      @ot.login(username, password)
+      @logged = true
+    end # login
+    
+    def login?
+      @logged
+    end
+    
+    def history(options)
+      raise "parameters absence" unless options.key?(:duration) && options.key?(:from) && options.key?(:to)
+      raise "duration > to - from" unless options[:duration] < options[:to] - options[:from]
+      @duration = options[:duration]      
+      @from = options[:from]
+      @to = options[:to]
+      class << self
+        alias_method :query, :query_history
+      end  
+      DSL::Contract.class_eval {
+        alias_method :subscribe, :subscribe_history
+      }
+    end # history
+    
+    def on_history_quote(msg)			
+			contract = Contract.list_by_id[msg.reqId]
+			cond =Contract.list_by_name.values.inject(true) {|s,x| s &&= (x.queue.size >= @deep)}
+			@mutex.synchronize do
+				msg.data.each {|q|								
+					if q[:type]==0 && q[:time].nil?
+						contract.request_id = 0	
+					else
+						contract.queue.push q
+					end					
+				}
+				@condition.signal if !cond && Contract.list_by_name.values.inject(true) {|s,x| s &&= (x.queue.size >= @deep)}
+			end
+    end
+    
+    def query_history(*args)
+      @ot.subscribe(OpenTick::IncomingMessages::HistoryStreamResponse, lambda {|msg| on_history_quote(msg)})      
+      args.each do |contract| 
+        contract.subscribe(@ot, self)        
+      end								
+			begin
+				while (Contract.list_by_name.values.inject(0) {|s,x| s+=x.request_id } > 0) || 
+					(args.inject(true) {|s,x| s &&= (x.queue.size >= @deep)}) do	
+						@mutex.synchronize do 
+							begin
+								@condition.wait(@mutex) unless args.inject(true) {|s,x| s &&= (x.queue.size >= @deep)}
+								yield
+							rescue NoDataException => e
+								@deep = e.deep_level
+								retry 
+							end
+							args.each {|contract|						
+								contract.queue.shift
+							}													
+						end # synchronize
+				end	# while		
+			end # begin
+    end # query_history
+		
+		def avg(contract, period)
+			raise unless contract.is_a?(DSL::Contract)
+			raise unless period.is_a?(Fixnum)
+			raise NoDataException.new(period) if @deep < period
+			contract.queue[0..period-1].inject(0) {|s,x| s+=x[:closePrice]} / period
+		end
+  end # class Robot
+
+end # module DSL
+
+############################### module Kernel ################################
+
+module Kernel
+  # change context
+  def robot(*args, &blk)
+   DSL::Robot.new(*args).instance_eval(&blk)
+  end
+end # Kernel
+
+############################### class Object #################################
+
+def Object.const_missing(m)    
+  DSL::Contract::find(m)
+end # Object.const_missing
+
+if $0 == __FILE__  
+  robot OpenTick::OpenTick.new("feed1.opentick.com", 10010) do
+    login 'test_opentick', '123123'
+    history :duration => 300, :from => Time.now-10*24*3600, :to => Time.now
+    query GOOG.Q,CSCO.Q do						
+			p avg GOOG.Q, 3
+			p avg CSCO.Q, 3
+    end # query
+  end # robot
+end

data/spec/contract_spec.rb

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+require File.join(File.expand_path(File.dirname(__FILE__)),"helper")
+require "#{LIB_DIR}/dsl"
+
+describe DSL::Contract, "before created" do  
+  it "contract list_by_name should be empty" do    
+    DSL::Contract.list_by_name.should be_empty    
+  end
+  it "contract list_by_id should be empty" do    
+    DSL::Contract.list_by_id.should be_empty
+  end
+end
+
+describe DSL::Contract, "when created" do
+  before :each do
+    @contract = robot(nil) do 
+      MSFT.Q 
+    end
+  end
+  
+  it "should exists" do
+    @contract.should_not be_nil    
+  end 
+	
+	it "should be instance of DSL::Contract" do
+		@contract.should be_an_instance_of(DSL::Contract)
+  end 
+	
+  it "should set contract name" do
+    @contract.name.should eql(:MSFT)    
+  end  
+	
+	it "should set exchange" do
+		@contract.exchange.should eql(:Q)
+	end
+	
+	it "should not have subscribe method alias" do
+		pending "ror2ru question" do
+			@contract.public_methods.should_not include("subscribe")
+		end
+	end
+  
+  after :each do
+    DSL::Contract.list_by_name.clear
+    DSL::Contract.list_by_id.clear
+  end
+end
+
+describe DSL::Contract, "in history mode" do
+  it "should create method alias subscribe->subscribe_query" do
+    @robot = DSL::Robot.new(nil)
+    @robot.history :duration => 1, :from => Time.now - 2, :to => Time.now
+    DSL::Contract.new("MSFT").public_methods.should include("subscribe")
+  end
+  
+  it "should subscribe to history quotes" do
+    @robot = DSL::Robot.new(nil)
+    @ot = mock("OpenTick")
+  end
+end

data/spec/helper.rb

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+require "rubygems" 
+require "spec" 
+
+LIB_DIR = File.join(File.expand_path(File.dirname(__FILE__)), *%w[.. lib])

data/spec/robot_spec.rb

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+# robot_spec.rb
+
+require File.join(File.expand_path(File.dirname(__FILE__)),"helper")
+require "#{LIB_DIR}/dsl"
+
+describe Kernel, "robot method" do
+	it "should change context" do		
+		robot(nil) {self}.should be_a_kind_of(DSL::Robot)
+	end
+end # robot method
+
+describe DSL::Robot, "when created" do
+	before :each do
+		@ot = mock("OpenTick")
+		@robot = DSL::Robot.new(@ot)
+	end
+
+	it "should exists" do
+		@robot.should_not be_nil		    
+	end
+
+	it "should be instance of DSL::Robot" do		
+		@robot.should be_an_instance_of(DSL::Robot)    
+	end
+	
+	it "should not be logged in" do				
+		@robot.login?.should be_false
+	end	
+	
+	it "should not have query method alias" do
+		@robot.public_methods.should_not include("query")
+	end
+
+	it "should connect to opentick server on login" do
+		@ot.should_receive(:login).
+			once.
+			with(an_instance_of(String), an_instance_of(String))			
+
+		@robot.login("test_opentick", "123123")
+		
+    @robot.login?.should be_true
+	end   
+end # when created
+
+describe DSL::Robot, "in history mode" do
+  before :each do
+    @robot = DSL::Robot.new(nil)
+  end
+
+  it "should set @duration, @from and @to" do
+    now = Time.now
+    @robot.history :duration => 300, :from => now-24*3600, :to => now
+    @robot.duration.should eql(300)
+    @robot.from.should eql(now-24*3600)
+    @robot.to.should eql(now)  
+  end  
+  
+  it "should raise exception on parameter absence" do
+    lambda { @robot.history({}) }.should raise_error
+  end
+  
+  it "should check @to - @from > @duration" do
+    lambda {@robot.history :duration => 300, :from => 1, :to => 2 }.should raise_error
+  end
+  
+  it "should create method alias query->query_history" do    
+    @robot.history :duration => 300, :from => Time.now-24*3600, :to => Time.now
+    @robot.public_methods.should include("query")
+  end
+end # in history mode
+
+describe DSL::Robot, "on query command" do
+  before :each do
+    @ot = mock("OpenTick")
+		@contract = mock("DSL::Contract")
+    @robot = robot(@ot) do
+      history :duration => 1, :from => 2, :to => 5
+      query @contract do        
+      end
+    end
+  end
+  
+  it "should subscribe history quotes" do
+    @ot.should_receive(:subscribe).once
+    #with(OpenTick::IncomingMessages::HistoryStreamResponse, an_instance_of(Proc))		
+  end
+	
+	it "should send subscribe message to contracts" do
+    @contract.should_receive(:subscribe)
+    #once
+    #with(an_instance_of(OpenTick::IncomingMessages::HistoryStreamResponse), an_instance_of(Proc))		
+  end
+  
+  after :each do
+    DSL::Contract.list_by_name.clear
+    DSL::Contract.list_by_id.clear
+  end
+end # on query command
+
+
+  
+

metadata

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+--- !ruby/object:Gem::Specification 
+rubygems_version: 0.9.4
+specification_version: 1
+name: tradingrobotdsl
+version: !ruby/object:Gem::Version 
+  version: 0.0.1
+date: 2007-11-19 00:00:00 +03:00
+summary: Domain specific language for automated trading (robots)
+require_paths: 
+- lib
+email: timur at adigamov dot com
+homepage: http://www.tradeindexfuture.com
+rubyforge_project: tradingrobotdsl
+description: "This is an alpha test quality release. I specifically DO NOT recommend that it be used for live trading under any circumstances. It has not been tested. I am releasing it in the hopes that the many eyes of the community will help with enhancing it, so that we all will have a robust and reliable library to use.  == FEATURES/PROBLEMS:  * get quotes from opentick servers * simple average indicator realized :) * order placement (buy/sell) doesn't work  == SYNOPSIS:  robot do   login 'test_opentick', '123123' history :duration => 300, :from => Time.now-10*24*3600, :to => Time.now query MSFT do   if (avg MSFT, 9)/(avg MSFT, 25) - 1 > 0.5   puts \"buy MSFT\" end   if (avg MSFT, 9)/(avg MSFT, 25) - 1 < - 0.5   puts \"sell MSFT\" end   end # query   end # robot"
+autorequire: 
+default_executable: 
+bindir: bin
+has_rdoc: true
+required_ruby_version: !ruby/object:Gem::Version::Requirement 
+  requirements: 
+  - - ">"
+    - !ruby/object:Gem::Version 
+      version: 0.0.0
+  version: 
+platform: ruby
+signing_key: 
+cert_chain: 
+post_install_message: 
+authors: 
+- Timur Adigamov
+files: 
+- History.txt
+- Manifest.txt
+- README.txt
+- Rakefile
+- lib/dsl.rb
+- spec/contract_spec.rb
+- spec/helper.rb
+- spec/robot_spec.rb
+test_files: []
+
+rdoc_options: 
+- --main
+- README.txt
+extra_rdoc_files: 
+- History.txt
+- Manifest.txt
+- README.txt
+executables: []
+
+extensions: []
+
+requirements: []
+
+dependencies: 
+- !ruby/object:Gem::Dependency 
+  name: hoe
+  version_requirement: 
+  version_requirements: !ruby/object:Gem::Version::Requirement 
+    requirements: 
+    - - ">="
+      - !ruby/object:Gem::Version 
+        version: 1.3.0
+    version: