wdevauld-ib-ruby 0.2

data/lib/ib-ruby/symbols/forex.rb

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+#
+# Copyright (C) 2006 Blue Voodoo Magic LLC.
+# 
+# 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
+#
+
+#
+# Note that the :description field is particular to ib-ruby, and is NOT part of the standard TWS API.
+# It is never transmitted to IB. It's purely used clientside, and you can store any arbitrary string that
+# you may find useful there.
+#
+
+$:.push(File.dirname(__FILE__) + "/../")
+
+require 'ib'
+require 'datatypes'
+
+module IB
+  module Symbols
+    Forex = 
+     {
+      :gbpusd => Datatypes::Contract.new({
+                                           :symbol => "GBP",
+                                           :exchange => "IDEALPRO",
+                                           :currency => "USD",
+                                           :sec_type => Datatypes::Contract::SECURITY_TYPES[:forex],
+                                           :description => "GBPUSD"
+                                           
+                                         }),
+      :eurusd => Datatypes::Contract.new({
+                                           :symbol => "EUR",
+                                           :exchange => "IDEALPRO",
+                                           :currency => "USD",
+                                           :sec_type => Datatypes::Contract::SECURITY_TYPES[:forex],
+                                           :description => "EURUSD"
+
+                                         }),
+      :usdjpy => Datatypes::Contract.new({
+                                           :symbol => "USD",
+                                           :exchange => "IDEALPRO",
+                                           :currency => "JPY",
+                                           :sec_type => Datatypes::Contract::SECURITY_TYPES[:forex],
+                                           :description => "USDJPY"
+
+                                         })
+
+     } 
+  end # Contracts
+end

data/lib/ib-ruby/symbols/futures.rb

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+#
+# Copyright (C) 2006 Blue Voodoo Magic LLC.
+#
+# 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
+#
+
+
+# The Futures constant is currently for testing purposes. It guesses the front month
+# currency future using a crude algorithm that does not take into account expiry/rollover day.
+# This will be valid most of the time, but near/after expiry day the next quarter's contract
+# takes over as the volume leader.
+#
+#
+# Note that the :description field is particular to ib-ruby, and is NOT part of the standard TWS API.
+# It is never transmitted to IB. It's purely used clientside, and you can store any arbitrary string that
+# you may find useful there.
+#
+
+$:.push(File.dirname(__FILE__) + "/../")
+
+require 'ib'
+require 'datatypes'
+
+module IB
+  module Symbols
+
+    # Get the next valid quarter month >= today, for finding the
+    # front month of quarterly futures.
+    #
+    # N.B. This will not work as expected near/after expiration during that month, as
+    # volume rolls over to the next quarter even though the current month is still valid!
+    #
+
+
+    def self.next_quarter_month(time)
+      sprintf("%02d", [3, 6, 9, 12].find{|month| month >= time.month })
+    end
+
+    def self.next_quarter_year(time)
+      if self.next_quarter_month(time).to_i < time.month
+        time.year + 1
+      else
+        time.year
+      end
+    end
+
+    def self.next_expiry(time)
+      "#{ self.next_quarter_year(time) }#{ self.next_quarter_month(time) }"
+    end
+
+    Futures =
+     {
+      :es => Datatypes::Contract.new({
+                                       :symbol => "ES",
+                                       :expiry => self.next_expiry(Time.now),
+                                       :exchange => "GLOBEX",
+                                       :currency => "USD",
+                                       :sec_type => Datatypes::Contract::SECURITY_TYPES[:future],
+                                       :multiplier => 50,
+                                       :description => "E-Mini S&P 500"
+                                     }),
+
+      :gbp => Datatypes::Contract.new({
+                                       :symbol => "GBP",
+                                       :expiry => self.next_expiry(Time.now),
+                                       :exchange => "GLOBEX",
+                                       :currency => "USD",
+                                       :sec_type => Datatypes::Contract::SECURITY_TYPES[:future],
+                                       :multiplier => 62500,
+                                       :description => "British Pounds"
+                                     }),
+      :eur => Datatypes::Contract.new({
+                                       :symbol => "EUR",
+                                       :expiry => self.next_expiry(Time.now),
+                                       :exchange => "GLOBEX",
+                                       :currency => "USD",
+                                       :sec_type => Datatypes::Contract::SECURITY_TYPES[:future],
+                                       :multiplier => 12500,
+                                       :description => "Euro FX"
+                                     }),
+      :jpy => Datatypes::Contract.new({
+                                       :symbol => "JPY",
+                                       :expiry => self.next_expiry(Time.now),
+                                       :exchange => "GLOBEX",
+                                       :currency => "USD",
+                                       :sec_type => Datatypes::Contract::SECURITY_TYPES[:future],
+                                       :multiplier => 12500000,
+                                       :description => "Japanese Yen"
+                                     }),
+      :hsi => Datatypes::Contract.new({
+                                       :symbol => "HSI",
+                                       :expiry => self.next_expiry(Time.now),
+                                       :exchange => "HKFE",
+                                       :currency => "HKD",
+                                       :sec_type => Datatypes::Contract::SECURITY_TYPES[:future],
+                                       :multiplier => 50,
+                                       :description => "Hang Seng Index"
+                                     })
+    }
+  end
+end

data/spec/ib-ruby_spec.rb

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+
+require File.join(File.dirname(__FILE__), %w[spec_helper])
+
+describe IbRuby do
+end
+
+# EOF

data/spec/spec_helper.rb

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+
+require File.expand_path(
+    File.join(File.dirname(__FILE__), %w[.. lib ib-ruby]))
+
+Spec::Runner.configure do |config|
+  # == Mock Framework
+  #
+  # RSpec uses it's own mocking framework by default. If you prefer to
+  # use mocha, flexmock or RR, uncomment the appropriate line:
+  #
+  # config.mock_with :mocha
+  # config.mock_with :flexmock
+  # config.mock_with :rr
+end
+
+# EOF

data/test/test_ib-ruby.rb

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+#!/usr/bin/env ruby -w
+#
+# Copyright (C) 2006 Blue Voodoo Magic LLC.
+# 
+# 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
+#
+
+$:.push(File.dirname(__FILE__) + "/../")
+
+require 'test/unit'
+require 'ib'
+require 'datatypes'
+
+class ContractTests < Test::Unit::TestCase
+  def test_plain_instantiation
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new
+      assert_not_nil(x)
+    }
+  end
+  
+  def test_sec_type_filter
+    assert_raise(ArgumentError) {
+      x = IB::Datatypes::Contract.new({:sec_type => "asdf"})
+    }
+    
+    assert_raise(ArgumentError) {
+      x = IB::Datatypes::Contract.new
+      x.sec_type = "asdf"
+    }
+    
+    IB::Datatypes::Contract::SECURITY_TYPES.values.each {|type|
+      assert_nothing_raised {
+        x = IB::Datatypes::Contract.new({:sec_type => type })
+      }
+      assert_nothing_raised {
+        x = IB::Datatypes::Contract.new
+        x.sec_type = type
+      }
+    }
+  end
+  
+  def test_expiry
+    assert_raise(ArgumentError) {
+      x = IB::Datatypes::Contract.new({:expiry => "foo" })
+    }
+    assert_raise(ArgumentError) {
+      x = IB::Datatypes::Contract.new
+      x.expiry = "foo"
+    }
+    
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:expiry => "200607" })
+    }
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new
+      x.expiry = "200607"
+    }    
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:expiry => 200607 })
+    }
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new
+      x.expiry = 200607
+      assert_equal(x.expiry, "200607") # converted to a string
+    }    
+
+  end
+
+  def test_right
+    assert_raise(ArgumentError) {
+      x = IB::Datatypes::Contract.new({:right => "foo" })
+    }
+    assert_raise(ArgumentError) {
+      x = IB::Datatypes::Contract.new
+      x.right = "foo"
+    }
+    
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:right => "PUT"})
+    }
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:right => "put"})
+    }
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:right => "call"})
+    }
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:right => "CALL"})
+    }
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:right => "P"})
+    }
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:right => "p"})
+    }
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:right => "c"})
+    }
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new({:right => "C"})
+    }
+
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new
+      x.right = "put"
+    }    
+
+  end
+  
+  def test_serialize_long
+    x = nil
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new
+      x.symbol = "TEST"
+      x.sec_type = IB::Datatypes::Contract::SECURITY_TYPES[:stock]
+      x.expiry = 200609
+      x.strike = 1234
+      x.right = "put"
+      x.multiplier = 123
+      x.exchange = "SMART"
+      x.currency = "USD"
+      x.local_symbol = "baz"
+    }
+    
+    assert_equal(["TEST", IB::Datatypes::Contract::SECURITY_TYPES[:stock], "200609", 1234, "PUT", 123, "SMART", nil, "USD", "baz"], 
+                 x.serialize_long(20))
+  end # test_serialize_long
+  
+  def test_serialize_short
+    x = nil
+    assert_nothing_raised {
+      x = IB::Datatypes::Contract.new
+      x.symbol = "TEST"
+      x.sec_type = IB::Datatypes::Contract::SECURITY_TYPES[:stock]
+      x.expiry = 200609
+      x.strike = 1234
+      x.right = "put"
+      x.multiplier = 123
+      x.exchange = "SMART"
+      x.currency = "USD"
+      x.local_symbol = "baz"
+    }
+    
+    assert_equal(["TEST", IB::Datatypes::Contract::SECURITY_TYPES[:stock], "200609", 1234, "PUT", 123, "SMART", "USD", "baz"], 
+                 x.serialize_short(20))
+  end # test_serialize_short
+
+end # ContractTests

metadata

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+--- !ruby/object:Gem::Specification 
+name: wdevauld-ib-ruby
+version: !ruby/object:Gem::Version 
+  version: "0.2"
+platform: ruby
+authors: 
+- Wes Devauld
+autorequire: 
+bindir: bin
+cert_chain: []
+
+date: 2009-06-17 00:00:00 -07:00
+default_executable: 
+dependencies: 
+- !ruby/object:Gem::Dependency 
+  name: bones
+  type: :development
+  version_requirement: 
+  version_requirements: !ruby/object:Gem::Requirement 
+    requirements: 
+    - - ">="
+      - !ruby/object:Gem::Version 
+        version: 2.2.0
+    version: 
+description: "* Ruby Implementation of the Interactive Broker' TWS API"
+email: wes@devauld.ca
+executables: 
+- AccountInfo
+- HistoricToCSV
+- RequestHistoricData
+- RequestMarketData
+- SimpleTimeAndSales
+- ib-ruby
+extensions: []
+
+extra_rdoc_files: 
+- History.txt
+- README.txt
+- bin/AccountInfo
+- bin/HistoricToCSV
+- bin/RequestHistoricData
+- bin/RequestMarketData
+- bin/SimpleTimeAndSales
+- bin/ib-ruby
+files: 
+- History.txt
+- LICENSE
+- Manifest.txt
+- README.txt
+- Rakefile
+- bin/AccountInfo
+- bin/HistoricToCSV
+- bin/RequestHistoricData
+- bin/RequestMarketData
+- bin/SimpleTimeAndSales
+- bin/ib-ruby
+- lib/ib-ruby.rb
+- lib/ib-ruby/datatypes.rb
+- lib/ib-ruby/ib.rb
+- lib/ib-ruby/messages.rb
+- lib/ib-ruby/symbols/forex.rb
+- lib/ib-ruby/symbols/futures.rb
+- spec/ib-ruby_spec.rb
+- spec/spec_helper.rb
+- test/test_ib-ruby.rb
+has_rdoc: true
+homepage: http://github.com/wdevauld/ib-ruby/tree/master
+post_install_message: 
+rdoc_options: 
+- --main
+- README.txt
+require_paths: 
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement 
+  requirements: 
+  - - ">="
+    - !ruby/object:Gem::Version 
+      version: "0"
+  version: 
+required_rubygems_version: !ruby/object:Gem::Requirement 
+  requirements: 
+  - - ">="
+    - !ruby/object:Gem::Version 
+      version: "0"
+  version: 
+requirements: []
+
+rubyforge_project: !binary |
+  AA==
+
+rubygems_version: 1.2.0
+signing_key: 
+specification_version: 2
+summary: "* Ruby Implementation of the Interactive Broker' TWS API"
+test_files: 
+- test/test_ib-ruby.rb