Class: IB::Option

Inherits:
Object
  • Object
show all
Defined in:
lib/ib/models/option.rb,
lib/ib/option-greeks.rb

Instance Method Summary collapse

Instance Method Details

#request_greeks(delayed: true, what: :model, thread: false) ⇒ Object

Possible values for Parameter :what –> :all :model, :bid, :ask, :bidask, :last



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# File 'lib/ib/option-greeks.rb', line 14

def request_greeks delayed:  true, what: :model, thread: false

tws = Connection.current 		 # get the initialized ib-ruby instance
# define requested tick-attributes
request_data_type = IB::MARKET_DATA_TYPES.rassoc( delayed ? :frozen_delayed : :frozen ).first
# possible types = 	[ [ :delayed_model_option , :model_option ] , [:delayed_last_option , :last_option ],
# [ :delayed_bid_option , :bid_option ], [ :delayed_ask_option , :ask_option ]]
tws.send_message :RequestMarketDataType, :market_data_type =>  request_data_type
tickdata = []

self.greek = OptionDetail.new if greek.nil?
  greek.updated_at = Time.now
  greek.option = self
  queue =  Queue.new

#keep the method-call running until the request finished
#and cancel subscriptions to the message handler
# method returns the (running) thread
th = Thread.new do
 the_id  =  nil
 # subscribe to TickPrices
    s_id = tws.subscribe(:TickSnapshotEnd) { |msg|	queue.push(true)	if msg.ticker_id == the_id  }
    e_id = tws.subscribe(:Alert){|x| queue.push(false)  if [200,353].include?( x.code) && x.error_id == the_id }
    t_id = tws.subscribe( :TickSnapshotEnd, :TickPrice, :TickString, :TickSize, :TickGeneric, :MarketDataType, :TickRequestParameters  ) {|msg| msg }
 # TWS Error 200: No security definition has been found for the request
 # TWS Error 354: Requested market data is not subscribed.

 sub_id = tws.subscribe(:TickOption ) do |msg| #, :TickSize,  :TickGeneric  do |msg|
	 if  msg.ticker_id == the_id # && tickdata.is_a?(Array) # do nothing if tickdata have already gathered
		 case msg.type
		 when /ask/
			 greek.ask_price = msg.option_price unless msg.option_price.nil?
			 tickdata << msg  if [ :all, :ask, :bidask ].include?( what	)

		 when /bid/
			 greek.bid_price = msg.option_price unless msg.option_price.nil?
			 tickdata << msg  if [ :all, :bid, :bidask ].include?( what	)
		 when /last/
			 tickdata << msg  if msg.type =~ /last/
		 when /model/
			 #  transfer attributs from TickOption to OptionDetail
			 bf =[ :option_price, :implied_volatility, :under_price, :pv_dividend ]
			 (bf + msg.greeks.keys).each{ |a| greek.send( a.to_s+"=", msg.send( a)) }
			 tickdata << msg  if [ :all, :model ].include?( what	)
		 end
        # fast entry abortion ---> daiabled for now
      #  queue.push(true) if tickdata.is_a?(IB::Messages::Incoming::TickOption) || (tickdata.size == 2 && what== :bidask) || (tickdata.size == 4 && what == :all)
	 end
 end  # if sub_id

 # initialize »the_id« that is used to identify the received tick messages
 # by firing the market data request
    iji = 0
    loop do
      the_id = tws.send_message :RequestMarketData,  contract: self , snapshot: true

      result = queue.pop
      # reduce :close_price delayed_close  to close a.s.o
      if result == false
        Connection.logger.info{ "#{to_human} --> No Marketdata received " }
      else
        self.misc =  tickdata if thread  # store internally if in thread modus
      end
      break if  !tickdata.empty?  ||  iji > 10
      iji =  iji + 1
      Connection.logger.info{ "OptionGreeks::#{to_human} --> delayed processing. Trying again (#{iji}) " }
    end
 tws.unsubscribe sub_id, s_id, e_id, t_id
end  # thread
if thread
 th		# return thread
else
 th.join
    greek
end
end

#roll(**args) ⇒ Object

rolls the Option to another strike



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# File 'lib/ib/models/option.rb', line 13

def roll **args
  error "specify strike and expiry to roll option" 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_option =  merge( **args ).verify.first
  myself =  con_id.to_i.zero? ? self.verify.first  : self
  error "Cannot roll option; target is no IB::Contract" unless new_option.is_a? IB::Option
  error "Cannot roll option; Option cannot be verified" unless myself.is_a? IB::Option
  target = IB::Spread.new exchange: exchange, symbol: symbol, currency: currency
  target.add_leg myself, action:  :buy
  target.add_leg new_option, action: :sell
end