Module: IB::Eod

Included in:
Contract
Defined in:
lib/ib/eod.rb

Defined Under Namespace

Modules: BuisinesDays

Instance Method Summary collapse

Instance Method Details

#eod(start: nil, to: nil, duration: nil, what: :trades, polars: false) ⇒ Object

atility ) shape: (3, 8) ┌────────────┬──────────┬──────────┬──────────┬──────────┬────────┬──────────┬────────┐ │ time ┆ open ┆ high ┆ low ┆ close ┆ volume ┆ wap ┆ trades │ │ — ┆ — ┆ — ┆ — ┆ — ┆ — ┆ — ┆ — │ │ date ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ i64 ┆ f64 ┆ i64 │ ╞════════════╪══════════╪══════════╪══════════╪══════════╪════════╪══════════╪════════╡ │ 2019-12-31 ┆ 0.134933 ┆ 0.177794 ┆ 0.115884 ┆ 0.138108 ┆ 0 ┆ 0.178318 ┆ 0 │ │ 2020-01-31 ┆ 0.139696 ┆ 0.190494 ┆ 0.120646 ┆ 0.185732 ┆ 0 ┆ 0.19097 ┆ 0 │ │ 2020-02-28 ┆ 0.185732 ┆ 0.436549 ┆ 0.134933 ┆ 0.39845 ┆ 0 ┆ 0.435866 ┆ 0 │ └────────────┴──────────┴──────────┴──────────┴──────────┴────────┴──────────┴────────┘



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# File 'lib/ib/eod.rb', line 154

def eod start: nil, to: nil, duration: nil , what: :trades, polars: false

 # error "EOD:: Start-Date (parameter: to) must be a Date-Object" unless to.is_a? Date
  normalize_duration = ->(d) do
    if d.is_a?(Integer) || !["D","M","W","Y"].include?( d[-1].upcase )
      d.to_i.to_s + "D"
    else
      d.gsub(" ","")
    end.insert(-2, " ")
  end

  get_end_date = -> do
    d = normalize_duration.call(duration)
    case  d[-1]
    when "D"
      start + d.to_i - 1
    when 'W'
      Date.commercial( start.year, start.cweek + d.to_i - 1, 1)
    when 'M'
      Date.new( start.year, start.month + d.to_i - 1 , start.day )
    end
  end

  if to.nil?
  #  case   eod start= Date.new ...
    to =   if start.present? && duration.nil?
  # case    eod start= Date.new
             duration = BuisinesDays.business_days_between(start, to).to_s + "D"
             Date.today #  assign to var: to
           elsif start.present? && duration.present?
  # case    eod start= Date.new , duration: 'nN'
             get_end_date.call  # assign to var: to
           elsif duration.present?
  # case    start is not present, we are collecting until the present day
              Date.today         # assign to var: to
           else
             duration =  "1D"
             Date.today
           end
  end

  barsize = case normalize_duration.call(duration)[-1].upcase
            when "W"
              :week1
            when "M"
              :month1
            else
              :day1
            end


 get_bars(to.to_time.to_ib , normalize_duration[duration], barsize, what, polars)

end

#from_csv(file: nil) ⇒ Object

read csv-data into bars



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# File 'lib/ib/eod.rb', line 218

def from_csv file: nil
  file ||=  "#{symbol}.csv"
  self.bars = []
  CSV.foreach( file,  headers: true, header_converters: :symbol) do |row|
    self.bars << IB::Bar.new( **row.to_h )
  end
end

#get_bars(end_date_time, duration, bar_size, what_to_show, polars) ⇒ Object 



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# File 'lib/ib/eod.rb', line 226

def get_bars(end_date_time, duration, bar_size, what_to_show, polars)

  tws = IB::Connection.current
  received =  Queue.new
  r = nil
  # the hole response is transmitted at once!
  a = tws.subscribe(IB::Messages::Incoming::HistoricalData) do |msg|
    if msg.request_id == con_id
      self.bars = if polars
                    # msg.results.each { |entry| puts "  #{entry}" }
                    Polars::DataFrame.new  msg.results.map( &:invariant_attributes )
                  else
                    msg.results
                  end
    end
    received.push Time.now
  end
  b = tws.subscribe( IB::Messages::Incoming::Alert) do  |msg|
    if [321,162,200].include? msg.code
      tws.logger.info msg.message
      # TWS Error 200: No security definition has been found for the request
      # TWS Error 354: Requested market data is not subscribed.
      # TWS Error 162  # Historical Market Data Service error
      received.close
    elsif msg.code.to_i == 2174
      tws.logger.info "Please switch to the \"10-19\"-Branch of the git-repository"
    end
  end


  tws.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
    :request_id => con_id,
    :contract =>  self,
    :end_date_time => end_date_time, 
    :duration => duration, # see ib/messages/outgoing/bar_request.rb => max duration for 5sec bar lookback is 10 000 - i.e. will yield 2000 bars
    :bar_size =>  bar_size, #  IB::BAR_SIZES.key(:hour)
    :what_to_show => what_to_show,
    :use_rth => 0,
    :format_date => 2,
    :keep_up_todate => 0)

  received.pop # blocks until a message is ready on the queue or the queue is closed

  tws.unsubscribe a
  tws.unsubscribe b

  block_given? ?  bars.map{|y| yield y} : bars  # return bars or result of block

end

#to_csv(file: "#{symbol}.csv") ⇒ Object

creates (or overwrites) the specified file (or symbol.csv) and saves bar-data



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# File 'lib/ib/eod.rb', line 210

def to_csv file: "#{symbol}.csv"
  if bars.present?
    headers = bars.first.invariant_attributes.keys
    CSV.open( file, 'w' ) {|f| f << headers ; bars.each {|y| f << y.invariant_attributes.values } }
  end
end