Module: IB
- Defined in:
- lib/models/ib/bag.rb,
lib/ib-api.rb,
lib/ib/base.rb,
lib/ib/errors.rb,
lib/ib/socket.rb,
lib/ib/version.rb,
lib/ib/messages.rb,
lib/ib/constants.rb,
lib/ib/connection.rb,
lib/models/ib/bar.rb,
lib/ib/raw_message.rb,
lib/models/ib/forex.rb,
lib/models/ib/index.rb,
lib/models/ib/order.rb,
lib/models/ib/stock.rb,
lib/models/ib/future.rb,
lib/models/ib/option.rb,
lib/models/ib/spread.rb,
lib/models/ib/account.rb,
lib/ib/base_properties.rb,
lib/models/ib/contract.rb,
lib/models/ib/vertical.rb,
lib/models/ib/combo_leg.rb,
lib/models/ib/condition.rb,
lib/models/ib/execution.rb,
lib/ib/messages/incoming.rb,
lib/ib/messages/outgoing.rb,
lib/models/ib/underlying.rb,
lib/models/ib/order_state.rb,
lib/models/ib/account_value.rb,
lib/models/ib/option_detail.rb,
lib/models/ib/contract_detail.rb,
lib/models/ib/portfolio_value.rb,
lib/ib/messages/incoming/alert.rb,
lib/ib/messages/incoming/ticks.rb,
lib/ib/messages/abstract_message.rb,
lib/ib/messages/incoming/open_order.rb,
lib/ib/messages/outgoing/place_order.rb,
lib/ib/messages/incoming/order_status.rb,
lib/ib/messages/incoming/scanner_data.rb,
lib/ib/messages/outgoing/bar_requests.rb,
lib/ib/messages/incoming/account_value.rb,
lib/ib/messages/incoming/contract_data.rb,
lib/ib/messages/incoming/market_depths.rb,
lib/ib/messages/incoming/next_valid_id.rb,
lib/ib/messages/incoming/real_time_bar.rb,
lib/ib/messages/incoming/execution_data.rb,
lib/ib/messages/incoming/historical_data.rb,
lib/ib/messages/incoming/portfolio_value.rb,
lib/ib/messages/incoming/abstract_message.rb,
lib/ib/messages/outgoing/abstract_message.rb,
lib/ib/messages/outgoing/account_requests.rb,
lib/ib/messages/outgoing/request_tick_data.rb,
lib/ib/messages/outgoing/request_marketdata.rb,
lib/ib/messages/incoming/delta_neutral_validation.rb
Overview
All message classes related to ticks located here
Defined Under Namespace
Modules: BaseProperties, Messages, PrepareData Classes: Account, AccountValue, ArgumentError, Bag, Bar, Base, ComboLeg, Connection, Contract, ContractDetail, Error, Execution, ExecutionCondition, FlexError, Forex, Future, FutureOption, IBSocket, Index, LoadError, MarginCondition, Option, OptionDetail, Order, OrderCondition, OrderState, PercentChangeCondition, PortfolioValue, PriceCondition, RawMessageParser, Spread, Stock, SymbolError, TimeCondition, TransmissionError, Underlying, Vertical, VolumeCondition
Constant Summary collapse
- Model =
IB::Base
- VERSION_FILE =
:nodoc:
Pathname.new(__FILE__).dirname + '../../VERSION'
- VERSION =
VERSION_FILE.exist? ? VERSION_FILE.read.strip : nil
- EOL =
Widely used TWS constants:
"\0"- TWS_MAX =
TWS_MAX is TWSMAX (transmitted from the TWS) minus the first digit (1) Anything bigger then TWS_MAX is considered as nil (in read_decimal @ messages/incomming/abstract_message.rb)
79769313486231570000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.0- TWSMAX =
179769313486231570000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000000.0- BAR_SIZES =
Enumeration of bar size types for convenience. Bar sizes less than 30 seconds do not work for some securities.
{'1 sec' => :sec1, '5 secs' => :sec5, '15 secs' =>:sec15, '30 secs' =>:sec30, '1 min' => :min1, '2 mins' => :min2, '3 mins' => :min3, '5 mins' => :min5, '15 mins' =>:min15, '30 mins' =>:min30, '1 hour' =>:hour1, '4 hours' =>:hour4, '8 hours' =>:hour8, '1 day' => :day1, '1 week' => :week1, '1 month' => :month1, }.freeze
- DATA_TYPES =
Enumeration of data types. Determines the nature of data being extracted. Valid values:
{'TRADES' => :trades, 'MIDPOINT' => :midpoint, 'BID' => :bid, 'ASK' => :ask, 'BID_ASK' => :bid_ask, 'HISTORICAL_VOLATILITY' => :historical_volatility, 'OPTION_IMPLIED_VOLATILITY' => :option_implied_volatility, 'OPTION_VOLUME' => :option_volume, 'OPTION_OPEN_INTEREST' => :option_open_interest }.freeze
- TICK_TYPES =
Tick types as received in TickPrice and TickSize messages (enumeration)
{ # int id => :Description # Corresponding API Event/Function/Method 0 => :bid_size, # tickSize() 1 => :bid_price, # tickPrice() 2 => :ask_price, # tickPrice() 3 => :ask_size, # tickSize() 4 => :last_price, # tickPrice() 5 => :last_size, # tickSize() 6 => :high, # tickPrice() 7 => :low, # tickPrice() 8 => :volume, # tickSize() 9 => :close_price, # tickPrice() 10 => :bid_option, # tickOptionComputation() See Note 1 below 11 => :ask_option, # tickOptionComputation() See => :Note 1 below 12 => :last_option, # tickOptionComputation() See Note 1 below 13 => :model_option, # tickOptionComputation() See Note 1 below 14 => :open_tick, # tickPrice() 15 => :low_13_week, # tickPrice() 16 => :high_13_week, # tickPrice() 17 => :low_26_week, # tickPrice() 18 => :high_26_week, # tickPrice() 19 => :low_52_week, # tickPrice() 20 => :high_52_week, # tickPrice() 21 => :avg_volume, # tickSize() 22 => :open_interest, # tickSize() 23 => :option_historical_vol, # tickGeneric() 24 => :option_implied_vol, # tickGeneric() 25 => :option_bid_exch, # not USED 26 => :option_ask_exch, # not USED 27 => :option_call_open_interest, # tickSize() 28 => :option_put_open_interest, # tickSize() 29 => :option_call_volume, # tickSize() 30 => :option_put_volume, # tickSize() 31 => :index_future_premium, # tickGeneric() 32 => :bid_exch, # tickString() 33 => :ask_exch, # tickString() 34 => :auction_volume, # not USED 35 => :auction_price, # not USED 36 => :auction_imbalance, # not USED 37 => :mark_price, # tickPrice() 38 => :bid_efp_computation, # tickEFP() 39 => :ask_efp_computation, # tickEFP() 40 => :last_efp_computation, # tickEFP() 41 => :open_efp_computation, # tickEFP() 42 => :high_efp_computation, # tickEFP() 43 => :low_efp_computation, # tickEFP() 44 => :close_efp_computation, # tickEFP() 45 => :last_timestamp, # tickString() 46 => :shortable, # tickGeneric() 47 => :fundamental_ratios, # tickString() 48 => :rt_volume, # tickGeneric() 49 => :halted, # see Note 2 below. 50 => :bid_yield, # tickPrice() See Note 3 below 51 => :ask_yield, # tickPrice() See Note 3 below 52 => :last_yield, # tickPrice() See Note 3 below 53 => :cust_option_computation, # tickOptionComputation() 54 => :trade_count, # tickGeneric() 55 => :trade_rate, # tickGeneric() 56 => :volume_rate, # tickGeneric() 57 => :last_rth_trade, # 58 => :rt_historical_vol, 59 => :ib_dividends, 60 => :bond_factor_multiplier, 61 => :regulatory_imbalance, 62 => :news_tick, 63 => :short_term_volume_3_min, 64 => :short_term_volume_5_min, 65 => :short_term_volume_10_min, 66 => :delayed_bid, 67 => :delayed_ask, 68 => :delayed_last, 69 => :delayed_bid_size, 70 => :delayed_ask_size, 71 => :delayed_last_size, 72 => :delayed_high, 73 => :delayed_low, 74 => :delayed_volume, 75 => :delayed_close, 76 => :delayed_open, 77 => :rt_trd_volume, 78 => :creditman_mark_price, 79 => :creditman_slow_mark_price, 80 => :delayed_bid_option, 81 => :delayed_ask_option, 82 => :delayed_last_option, 83 => :delayed_model_option, 84 => :last_exch, 85 => :last_reg_time, 86 => :futures_open_interest, 87 => :avg_opt_volume, 88 => :not_set, 105 => :average_option_volume #(for Stocks) tickGeneric() # Note 1: Tick types BID_OPTION, ASK_OPTION, LAST_OPTION, and MODEL_OPTION return # all Greeks (delta, gamma, vega, theta), the underlying price and the # stock and option reference price when requested. # MODEL_OPTION also returns model implied volatility. # Note 2: When trading is halted for a contract, TWS receives a special tick: # haltedLast=1. When trading is resumed, TWS receives haltedLast=0. # A tick type, HALTED, tick ID= 49, is now available in regular market # data via the API to indicate this halted state. Possible values for # this new tick type are: 0 = Not halted, 1 = Halted. # Note 3: Applies to bond contracts only. }
- FA_TYPES =
Financial Advisor types (FaMsgTypeName)
{ 1 => :groups, 2 => :profiles, 3 => :aliases}.freeze
- MARKET_DATA_TYPES =
Received in new MarketDataType (58 incoming) message
{ 0 => :unknown, 1 => :real_time, 2 => :frozen, 3 => :delayed, 4 => :frozen_delayed }.freeze
- MARKET_DEPTH_OPERATIONS =
Market depth messages contain these “operation” codes to tell you what to do with the data. See also www.interactivebrokers.com/php/apiUsersGuide/apiguide/java/updatemktdepth.htm
{ 0 => :insert, # New order, insert into the row identified by :position 1 => :update, # Update the existing order at the row identified by :position 2 => :delete # Delete the existing order at the row identified by :position }.freeze
- MARKET_DEPTH_SIDES =
{ 0 => :ask, 1 => :bid }.freeze
- ORDER_TYPES =
{'LMT' => :limit, # Limit Order 'LIT' => :limit_if_touched, # Limit if Touched 'LOC' => :limit_on_close, # Limit-on-Close LMTCLS ? 'LOO' => :limit_on_open, # Limit-on-Open 'MKT' => :market, # Market 'MIT' => :market_if_touched, # Market-if-Touched 'MOC' => :market_on_close, # Market-on-Close MKTCLSL ? 'MOO' => :market_on_open, # Market-on-Open 'MTL' => :market_to_limit, # Market-to-Limit 'MKT PRT' => :market_protected, # Market with Protection 'QUOTE' => :request_for_quote, # Request for Quote 'STP' => :stop, # Stop 'STP LMT' => :stop_limit, # Stop Limit 'STP PRT' => :stop_protected, # Stop with Protection 'TRAIL' => :trailing_stop, # Trailing Stop 'TRAIL LIMIT' => :trailing_limit, # Trailing Stop Limit 'TRAIL LIT' => :trailing_limit_if_touched, # Trailing Limit if Touched 'TRAIL MIT' => :trailing_market_if_touched, # Trailing Market If Touched 'REL' => :relative, # Relative 'BOX TOP' => :box_top, # Box Top 'PEG MKT' => :pegged_to_market, # Pegged-to-Market 'PEG STK' => :pegged_to_market, # Pegged-to-Stock 'PEG MID' => :pegged_to_midpoint, # Pegged-to-Midpoint 'PEG BENCH' => :pegged_to_benchmark, # Pegged-to-Benmchmark # Vers. 102 'VWAP' => :vwap, # VWAP-Guaranted 'VOL' => :volatility, # Volatility 'SCALE' => :scale, # Scale 'NONE' => :none, # Used to indicate no hedge in :delta_neutral_order_type 'None' => :none, # Used to indicate no hedge in :delta_neutral_order_type }.freeze
- SECURITY_TYPES =
Valid security types (sec_type attribute of IB::Contract)
{ 'BAG' => :bag, 'BOND' => :bond, 'CASH' => :forex, 'CMDTY'=> :commodity, 'CFD' => :cfd, 'FUT' => :future, 'CONTFUT' => :continous_future, 'FUT+CONTFUT' => :all_futures, 'FOP' => :futures_option, 'FUND' => :fund, # ETF? 'IND' => :index, 'NEWS' => :news, 'OPT' => :option, 'IOPT' => :dutch_option, 'STK' => :stock, 'WAR' => :warrant, 'ICU' => :icu, 'ICS' => :ics, 'BILL' => :bill, 'BSK' => :basket, 'FWD' => :forward, 'FIXED' => :fixed }.freeze
- VALUES =
Obtain symbolic value from given property code: VALUES[‘B’] -> :buy
{ :sec_type => SECURITY_TYPES, :order_type => ORDER_TYPES, :delta_neutral_order_type => ORDER_TYPES, :origin => {0 => :customer, 1 => :firm}, :volatility_type => {1 => :daily, 2 => :annual}, :reference_price_type => {1 => :average, 2 => :bid_or_ask}, # This property encodes differently for ComboLeg and Order objects, # we use ComboLeg codes and transcode for Order codes as needed :open_close => {0 => :same, # Default for Legs, same as the parent (combo) security. 1 => :open, # Open. For Legs, this value is only used by institutions. 2 => :close, # Close. For Legs, this value is only used by institutions. 3 => :unknown}, # WTF :right => {'' => :none, # Not an option 'P' => :put, 'C' => :call}, :side => # AKA action {'B' => :buy, # or BOT 'S' => :sell, # or SLD 'T' => :short, # short 'X' => :short_exempt # Short Sale Exempt action. This allows some orders # to be exempt from the SEC recent changes to Regulation SHO, which # eliminated the old uptick rule and replaced it with a new "circuit breaker" # rule, and allows some orders to be exempt from the new rule. }, :short_sale_slot => {0 => :default, # The only valid option for retail customers 1 => :broker, # Shares are at your clearing broker, institutions 2 => :third_party}, # Shares will be delivered from elsewhere, institutions :oca_type => {0 => :none, # Not a member of OCA group 1 => :cancel_with_block, # Cancel all remaining orders with block 2 => :reduce_with_block, # Remaining orders are reduced in size with block 3 => :reduce_no_block}, # Remaining orders are reduced in size with no block :auction_strategy => {0 => :none, # Not a BOX order 1 => :match, 2 => :improvement, 3 => :transparent}, :trigger_method => {0 => :default, # "double bid/ask" used for OTC/US options, "last" otherswise. 1 => :double_bid_ask, # stops are triggered by 2 consecutive bid or ask prices. 2 => :last, # stops are triggered based on the last price. 3 => :double_last, 4 => :bid_ask, # bid >= trigger price for buy orders, ask <= trigger for sell orders 7 => :last_or_bid_ask, # bid OR last price >= trigger price for buy orders 8 => :mid_point}, # midpoint >= trigger price for buy orders and the # spread between the bid and ask must be less than 0.1% of the midpoint :hedge_type => {'D' => :delta, # parent order is an option and the child order is a stock 'B' => :beta, # offset market risk by entering into a position with # another contract based on the system or user-defined beta 'F' => :forex, # offset risk with currency different from your base currency 'P' => :pair}, # trade a mis-valued pair of contracts and provide the # ratio between the parent and hedging child order :clearing_intent => {'' => :none, 'IB' => :ib, 'AWAY' => :away, 'PTA' => :post_trade_allocation}, :delta_neutral_clearing_intent => {'' => :none, 'IB' => :ib, 'AWAY' => :away, 'PTA' => :post_trade_allocation}, :tif => {'DAY' => :day, 'GAT' => :good_after_time, 'GTD' => :good_till_date, 'GTC' => :good_till_cancelled, 'IOC' => :immediate_or_cancel, 'OPG' => :opening_price, 'AUC' => :at_auction}, :rule_80a => {'I' => :individual, 'A' => :agency, 'W' => :agent_other_member, 'J' => :individual_ptia, 'U' => :agency_ptia, 'M' => :agent_other_member_ptia, 'K' => :individual_pt, 'Y' => :agency_pt, 'N' => :agent_other_member_pt}, :opt? => # TODO: unknown Order property, like OPT_BROKER_DEALER... in Order.java {'?' => :unknown, 'b' => :broker_dealer, 'c' => :customer, 'f' => :firm, 'm' => :isemm, 'n' => :farmm, 'y' => :specialist}, # conditions :conjunction_connection => { 'o' => :or, 'a' => :and }, :operator => { 1 => '>=' , 0 => '<=' } }.freeze
- CODES =
Obtain property code from given symbolic value: CODES[:buy] -> ‘B’
Hash[VALUES.map { |property, hash| [property, hash.invert] }].freeze
- PROPS =
Most common property processors
{:side => {:set => proc { |val| # BUY(BOT)/SELL(SLD)/SSHORT/SSHORTX self[:side] = case val.to_s.upcase when /SHORT.*X|\AX\z/ 'X' when /SHORT|\AT\z/ 'T' when /\AB/ 'B' when /\AS/ 'S' end }, :validate => {:format => {:with => /\Abuy\z|\Asell\z|\Ashort\z|\Ashort_exempt\z/, :message => "should be buy/sell/short"} } }, :open_close => {:set => proc { |val| self[:open_close] = case val.to_s.upcase[0..0] when 'S', '0' # SAME 0 when 'O', '1' # OPEN 1 when 'C', '2' # CLOSE 2 when 'U', '3' # Unknown 3 end }, :validate => {:format => {:with => /\Asame\z|\Aopen\z|\Aclose\z|\Aunknown\z/, :message => "should be same/open/close/unknown"} }, } }.freeze
- UnderComp =
class Underlying
Underlying