Class: IB::Order

Inherits:
Object
  • Object
show all
Defined in:
lib/ib/gateway/order-handling.rb

Instance Method Summary collapse

Instance Method Details

#auto_adjust ⇒ Object

Auto Adjust implements a simple algotithm to ensure that an order is accepted

It reads ‘contract_detail.min_tick`.

If min_tick < 0.01, the real tick-increments differ fron the min_tick_value

For J36 (jardines) min tick is 0.001, but the minimal increment is 0.005 For Tui1 its the samme, min_tick is 0.00001 , minimal increment ist 0.00005

Thus, for min-tick smaller then 0.01, the value is rounded to the next higer digit.

| min-tick | round | |————–|————| | 10 | 110 | | 1 | 111 | | 0.1 | 111.1 | | 0.001 | 111.11 | | 0.0001 | 111.11 | | 0.00001 | 111.111 | |————–|————|



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# File 'lib/ib/gateway/order-handling.rb', line 154

def auto_adjust
  # lambda to perform the calculation
  adjust_price = ->(a,b) do
    count = -Math.log10(b).round.to_i
    count = count -1 if count > 2
    a.round count

  end


  error "No Contract provided to Auto adjust" unless contract.is_a? IB::Contract

  unless contract.is_a? IB::Bag
    # ensure that contract_details are present

    min_tick = contract.verify.first.contract_detail.min_tick
    # there are two attributes to consider: limit_price and aux_price
    # limit_price +  aux_price may be nil or an empty string. Then ".to_f.zero?" becomes true 
    self.limit_price= adjust_price.call(limit_price.to_f, min_tick) unless limit_price.to_f.zero?
    self.aux_price= adjust_price.call(aux_price.to_f, min_tick) unless aux_price.to_f.zero?
  end
end