Class: IB::Future

Inherits:
Object
  • Object
show all
Defined in:
lib/ib/models/future.rb

Instance Method Summary collapse

Instance Method Details

#roll(**args) ⇒ Object

helper method to roll an existing future

Argument is the expiry of the target-future.



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# File 'lib/ib/models/future.rb', line 8

def roll **args
  error "specify expiry to roll a future" if args.empty?
  args[:to] = args[:expiry] if args[:expiry].present?  && args[:expiry] =~ /[mwMW]$/
  args[:expiry]= IB::Spread.transform_distance( expiry, args.delete(:to  )) if args[:to].present?
  
  new_future =  merge( **args ).verify.first
  error "Cannot roll future; target is no IB::Contract" unless new_future.is_a? IB::Future
  target = IB::Spread.new exchange: exchange, symbol: symbol, currency: currency
  target.add_leg self, action:  :buy
  target.add_leg new_future, action: :sell
end