Module: IB::Symbols::Futures

Extended by:
IB::Symbols
Defined in:
lib/ib/symbols/futures.rb

Class Method Summary collapse

Methods included from IB::Symbols

[]

Class Method Details

.contracts ⇒ Object 



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# File 'lib/ib/symbols/futures.rb', line 58

def self.contracts
  @contracts ||= {
    :ym => IB::Contract.new(:symbol => "YM",
                            :expiry => next_expiry,
                            :exchange => "ECBOT",
                            :currency => "USD",
                            :sec_type => :future,
                            :description => "Mini-DJIA future"),

    :es => IB::Contract.new(:symbol => "ES",
                            :expiry => next_expiry,
                            :exchange => "GLOBEX",
                            :currency => "USD",
                            :sec_type => :future,
                            :multiplier => 50,
                            :description => "E-Mini S&P 500 future"),

    :gbp => IB::Contract.new(:symbol => "GBP",
                             :expiry => next_expiry,
                             :exchange => "GLOBEX",
                             :currency => "USD",
                             :sec_type => :future,
                             :multiplier => 62500,
                             :description => "British Pounds future"),

    :eur => IB::Contract.new(:symbol => "EUR",
                             :expiry => next_expiry,
                             :exchange => "GLOBEX",
                             :currency => "USD",
                             :sec_type => :future,
                             :multiplier => 12500,
                             :description => "Euro FX future"),

    :jpy => IB::Contract.new(:symbol => "JPY",
                             :expiry => next_expiry,
                             :exchange => "GLOBEX",
                             :currency => "USD",
                             :sec_type => :future,
                             :multiplier => 12500000,
                             :description => "Japanese Yen future"),

    :hsi => IB::Contract.new(:symbol => "HSI",
                             :expiry => next_expiry,
                             :exchange => "HKFE",
                             :currency => "HKD",
                             :sec_type => :future,
                             :multiplier => 50,
                             :description => "Hang Seng Index future"),

    :vix => IB::Contract.new(:symbol => "VIX",
                             :expiry => next_expiry,
                             :exchange => "CFE", #"ECBOT",
                             # :currency => "USD",
                             :sec_type => :future,
                             :description => "CBOE Volatility Index future")
  }
end

.future(base_symbol, exchange, currency, description = "", expiry = nil) ⇒ Object

Convenience method; generates an IB::Contract instance for a futures contract with the given parameters.

If expiry is nil, it will use the end month of the current quarter. This will be wrong for most contracts most of the time, since most contracts have the majority of their volume in a nearby intraquarter month.

It is recommended that you specify an expiration date manually until next_expiry is fixed. Expiry should be a string in the format “YYYYMM”, where YYYY is the 4 digit year and MM is the 2 digit month. For example, November 2011 is “201111”.



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# File 'lib/ib/symbols/futures.rb', line 49

def self.future(base_symbol, exchange, currency, description="", expiry=nil)
  IB::Contract.new :symbol => base_symbol,
    :expiry => expiry || next_expiry,
    :exchange => exchange,
    :currency => currency,
    :sec_type => SECURITY_TYPES[:future],
    :description => description
end

.next_expiry(time = Time.now) ⇒ Object

WARNING: This is currently broken. It returns the next quarterly expiration month after the current month. Many futures instruments have monthly contracts for the near months. This method will not work for such contracts; it will return the next quarter after the current month, even though the present month has the majority of the trading volume.

For example, in early November of 2011, many contracts have the vast majority of their volume in the Nov 2011 contract, but this method will return the Dec 2011 contract instead.



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# File 'lib/ib/symbols/futures.rb', line 32

def self.next_expiry time=Time.now
  "#{ next_quarter_year(time) }#{ sprintf("%02d", next_quarter_month(time)) }"
end

.next_quarter_month(time = Time.now) ⇒ Object

Find the next front month of quarterly futures. N.B. This will not work as expected during the front month before expiration, as it will point to the next quarter even though the current month is still valid!



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# File 'lib/ib/symbols/futures.rb', line 13

def self.next_quarter_month time=Time.now
  [3, 6, 9, 12].find { |month| month > time.month } || 3 # for December, next March
end

.next_quarter_year(time = Time.now) ⇒ Object 



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# File 'lib/ib/symbols/futures.rb', line 17

def self.next_quarter_year time=Time.now
  next_quarter_month(time) < time.month ? time.year + 1 : time.year
end