Class: IB::Vertical

Inherits:
Spread show all
Defined in:
lib/models/ib/vertical.rb

Constant Summary

Constants inherited from Contract

Contract::Subclasses

Instance Attribute Summary

Attributes inherited from Contract

#description

Instance Method Summary collapse

Methods inherited from Spread

#add_leg, #as_table, build_from_json, #calculate_spread_value, #con_id, #essential, #fake_portfolio_position, #multiplier, #non_guaranteed, #non_guaranteed=, #remove_leg, transform_distance

Methods inherited from Bag

#==, #con_id=, #default_attributes, #legs_description, #same_legs?

Methods inherited from Contract

#==, #bag?, #bond?, build, #default_attributes, #essential, #expiry, #index?, #merge, #option?, #order_requirements, #serialize, #serialize_ib_ruby, #serialize_legs, #serialize_long, #serialize_short, #serialize_supershort, #serialize_under_comp, #stock?, #table_header, #table_row, #to_s, #to_short, #verify

Methods included from BaseProperties

#==, #as_table, #content_attributes, #default_attributes, #invariant_attributes, #set_attribute_defaults, #table_header, #table_row, #update_missing

Constructor Details

#initialize(master = nil, underlying: nil, right: :put, expiry: IB::Symbols::Futures.next_expiry, buy: 0, sell: 0, **args) ⇒ Vertical

provides strike, front-month, right, trading-class



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# File 'lib/models/ib/vertical.rb', line 25

def initialize  master=nil,   # provides strike, front-month, right, trading-class
								underlying: nil, 
								right: :put,
								expiry: IB::Symbols::Futures.next_expiry, 
								buy: 0 ,   # has to be specified
								sell: 0,
					#			trading_class: nil,
								**args  # trading-class and others

	master_option, side, msg = if master.present? 
													if master.is_a?(IB::Option) 
														[ master.essential,-1, nil ]
													else
														[ nil, 0,"First Argument is no IB::Option" ]
													end
												elsif  buy.is_a?(IB::Option) && !sell.zero?  
													 [ buy.essentail,1, nil ]
												elsif  sell.is_a?(IB::Option) && !buy.zero? 
													 [ sell.essential, -1, nil  ]
												elsif	underlying.present?
													if underlying.is_a?(IB::Contract)
														master = IB::Option.new underlying.attributes.slice( :currency, :symbol, :exchange ).merge(args) 
														master.sec_type = 'FOP' if underlying.is_a?(IB::Future)
														master.strike, master.expiry, master.right = buy, expiry, right
														[master, 1, buy.to_i >0 && sell.to_i >0 ? nil : "buy and sell strikes have to be specified"]
													else
														[nil, 0, "Underlying has to be an IB::Contract"]
													end
												else
													[ nil, 0,  "Required parameters: Master-Option or Underlying, buy and sell-strikes" ]  
												end

	error msg, :args, nil  if msg.present?
	master_option.trading_class = args[:trading_class] if args[:trading_class].present?
	l=[] ; master_option.verify{|x| x.contract_detail = nil; l << x }
	if l.empty?
		error "Invalid Parameters. No Contract found #{master_option.to_human}"
	elsif l.size > 2
		Connection.logger.error "ambigous contract-specification: #{l.map(&:to_human).join(';')}"
		available_trading_classes = l.map( &:trading_class ).uniq
		if available_trading_classes.size >1
			error "Refine Specification with trading_class: #{available_trading_classes.join('; ')}  (details in log)"
		else
			error "Respecify expiry, verification reveals #{l.size} contracts  (only 2 are allowed) #{master_option.to_human}"
		end
	end

	master_option.strike =  side ==1 ?  sell : buy
	master_option.verify{|x| x.contract_detail =  nil; l << x }
	error "Two legs are required, \n Verifiying the master-option exposed #{l.size} legs" unless l.size ==2

	master_option.exchange ||= l.first.exchange
	master_option.currency ||= l.first.currency

	# i=0 + side = -1 --> -1   sell
	# i=0 + side =  1 -->  1   buy
	# i=1 + side = -1 -->  0   buy
	# i.1 + side =  1 -->  2   sell
	c_l = l.map.with_index{ |l,i| ComboLeg.new con_id: l.con_id, action: i+side ==2 || i+side <0  ? :sell : :buy , exchange: l.exchange, ratio:  1 }

	super  exchange: master_option.exchange, 
					 symbol: master_option.symbol.to_s,
				 currency: master_option.currency,
				 legs: l,
				 combo_legs: c_l
end

Instance Method Details

#to_human ⇒ Object 



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# File 'lib/models/ib/vertical.rb', line 91

def to_human
	x= [ combo_legs.map(&:weight) , legs.map( &:strike )].transpose
	 "<Vertical #{symbol} #{legs.first.right}(#{x.map{|w,strike| "#{w} :#{strike} "}.join( '|+|' )} )[#{Date.parse(legs.first.last_trading_day).strftime("%b %Y")}]>"
end