Class: MyTradeWizard::InteractiveBrokers

Inherits:
Object
  • Object
show all
Defined in:
lib/mytradewizard/interactive_brokers.rb

Instance Attribute Summary collapse

Instance Method Summary collapse

Instance Attribute Details

#accounts ⇒ Object (readonly)

Returns the value of attribute accounts.



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# File 'lib/mytradewizard/interactive_brokers.rb', line 6

def accounts
  @accounts
end

Instance Method Details

#buying_power(account) ⇒ Object 



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# File 'lib/mytradewizard/interactive_brokers.rb', line 101

def buying_power()
  buying_power = nil
  @ib_ruby.subscribe(:Alert, :AccountValue, :PortfolioValue, :AccountUpdateTime, :AccountDownloadEnd) do |msg|
    if msg.message_type == :AccountValue
      if msg.data[:key] == "BuyingPower"
        buying_power = msg.data[:value]
      end
    end
  end
  @ib_ruby.send_message :RequestAccountData, :subscribe => true, :account_code => 
  @ib_ruby.wait_for :AccountDownloadEnd
  @ib_ruby.send_message :RequestAccountData, :subscribe => false, :account_code => 
  @ib_ruby.received[:AccountDownloadEnd].clear
  buying_power.to_f
end

#connect(timeout = nil) ⇒ Object 



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# File 'lib/mytradewizard/interactive_brokers.rb', line 8

def connect(timeout = nil)
  puts "Connecting to IB..."
  start_time = Time.now
  exception = nil
  while (timeout.nil? || Time.now - start_time <= timeout)
    begin
      @ib_ruby = IB::Connection.new :host => MyTradeWizard::Configuration::InteractiveBrokers::HOST, :port => MyTradeWizard::Configuration::InteractiveBrokers::PORT
      subscribe_to_alerts
      sleep 0.1
      fetch_accounts
      return @ib_ruby
    rescue Exception => exception
      puts exception
      sleep 10
    end
  end
  raise exception
end

#daily_bars(contract, days, confirm = true) ⇒ Object 



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# File 'lib/mytradewizard/interactive_brokers.rb', line 27

def daily_bars(contract, days, confirm = true)
  puts "Fetching daily bars..."
  bars = nil   
  @ib_ruby.subscribe(IB::Messages::Incoming::HistoricalData) { |msg| bars = msg.results }
  @ib_ruby.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
                            :request_id => 123,
                            :contract => contract,
                            :end_date_time => Time.now.utc.to_ib,
                            :duration => "#{days} D",
                            :bar_size => '1 day',
                            :what_to_show => :trades,
                            :use_rth => 1,
                            :format_date => 1)
  while bars.nil?
    sleep 1
  end
  if confirm && bars.size < days
    raise "Invalid Data!  (#{bars.size}/#{days} valid bars.)"
  else
    bars.reverse!
    puts bars
    return bars
  end
end

#front_month(symbol) ⇒ Object 



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# File 'lib/mytradewizard/interactive_brokers.rb', line 198

def front_month(symbol)
  expiry = MyTradeWizard::CME.first_month(symbol)
  if invalid contract(symbol, expiry)
    expiry = MyTradeWizard::CME.second_month(symbol)
    if invalid contract(symbol, expiry)
      raise 'ErrorDeterminingFrontMonth'
    end
  end
  contract(symbol, expiry)
end

#hourly_bars(contract, hourly_range, confirm = true) ⇒ Object 



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# File 'lib/mytradewizard/interactive_brokers.rb', line 52

def hourly_bars(contract, hourly_range, confirm = true)
  range_size = hourly_range.last - hourly_range.first
  puts "Fetching hourly bars..."
  bars = nil
  @ib_ruby.subscribe(IB::Messages::Incoming::HistoricalData) { |msg| bars = msg.results }
  @ib_ruby.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
                        :request_id => 123,
                        :contract => contract,
                        :end_date_time => Time.now.utc.to_ib,
                        :duration => "#{60*60*range_size} S",
                        :bar_size => '1 hour',
                        :what_to_show => :trades,
                        :use_rth => 0,
                        :format_date => 1)
  while bars.nil?
    sleep 1
  end
  if confirm
    bars.keep_if { |bar| Time.parse(bar.time).wday == Time.now.utc.wday && hourly_range.include?(Time.parse(bar.time).hour) }
    if bars.size == range_size
      puts bars
      return bars
    else
      raise "Invalid Data!  (#{bars.size}/#{range_size} valid bars.)"
    end
  else
    puts bars
    return bars
  end   
end

#place_market_order(account, action, quantity, contract) ⇒ Object 



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# File 'lib/mytradewizard/interactive_brokers.rb', line 117

def place_market_order(, action, quantity, contract)
  order = IB::Order.new :total_quantity => quantity,
                        :action => action.to_s,
                        :order_type => 'MKT',
                        :tif => 'OPG',
                        :account => 
  @ib_ruby.wait_for :NextValidId
  @ib_ruby.place_order order, contract
  #puts "#{action} #{quantity} #{contract.symbol}"
end

#place_market_order_between(account, action, quantity, contract, good_after, good_till) ⇒ Object 



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# File 'lib/mytradewizard/interactive_brokers.rb', line 128

def place_market_order_between(, action, quantity, contract, good_after, good_till)
  order = IB::Order.new :total_quantity => quantity,
                        :action => action.to_s,
                        :order_type => 'MKT',
                        :good_after_time => good_after,
                        :good_till_date => good_till,
                        :tif => 'GTD',
                        :account => 
  @ib_ruby.wait_for :NextValidId
  @ib_ruby.place_order order, contract
  puts "#{action} #{quantity} #{contract.symbol} @ #{good_after}"
end

#place_market_orders(account, action, quantity, contract, open_time, close_time) ⇒ Object 



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# File 'lib/mytradewizard/interactive_brokers.rb', line 141

def place_market_orders(, action, quantity, contract, open_time, close_time)
  good_after_open = Time.parse(open_time).strftime("%Y%m%d %H:%M:%S %Z")
  good_till_open = (Time.parse(open_time) + 60).strftime("%Y%m%d %H:%M:%S %Z")
  good_after_close = Time.parse(close_time).strftime("%Y%m%d %H:%M:%S %Z")
  good_till_close = (Time.parse(close_time) + 60).strftime("%Y%m%d %H:%M:%S %Z")
  if quantity.is_a? Fixnum
    place_market_order_between(, action, quantity, contract, good_after_open, good_till_open)
    @ib_ruby.subscribe(:OrderStatus, :OpenOrderEnd) do |msg|
      if msg.message_type == :OrderStatus
        if msg.status == 'Submitted'
          place_market_order_between(, action.reverse, quantity, contract, good_after_close, good_till_close)
        elsif msg.status == 'Cancelled'
          puts "CANCELLED: #{action} #{quantity} #{contract.symbol} @ #{open_time}"
        end
      end
    end
    @ib_ruby.send_message :RequestAllOpenOrders
    @ib_ruby.wait_for :OrderStatus
  elsif quantity.is_a? Range
    quantity.each do |q|
      if q == quantity.first
        place_market_order_between(, action, q, contract, good_after_open, good_till_open)
        @ib_ruby.subscribe(:OrderStatus, :OpenOrderEnd) do |msg|
          if msg.message_type == :OrderStatus
            if msg.status == 'Submitted'
              place_market_order_between(, action.reverse, q, contract, good_after_close, good_till_close)
            elsif msg.status == 'Cancelled'
              puts "CANCELLED: #{action} #{q} #{contract.symbol} @ #{open_time}"
              break
            end
          end
        end
        @ib_ruby.send_message :RequestAllOpenOrders, :subscribe => true, :account_code => 
        @ib_ruby.wait_for :OrderStatus
        @ib_ruby.send_message :RequestAllOpenOrders, :subscribe => false, :account_code => 
        @ib_ruby.received[:OrderStatus].clear
      else
        place_market_order_between(, action, 1, contract, good_after_open, good_till_open)
        @ib_ruby.subscribe(:OrderStatus, :OpenOrderEnd) do |msg|
          if msg.message_type == :OrderStatus
            if msg.status == 'Submitted'
              place_market_order_between(, action.reverse, 1, contract, good_after_close, good_till_close)
            elsif msg.status == 'Cancelled'
              puts "CANCELLED: #{action} 1 #{contract.symbol} @ #{open_time}"
              break
            end
          end
        end
        @ib_ruby.send_message :RequestAllOpenOrders, :subscribe => true, :account_code => 
        @ib_ruby.wait_for :OrderStatus
        @ib_ruby.send_message :RequestAllOpenOrders, :subscribe => false, :account_code => 
        @ib_ruby.received[:OrderStatus].clear
      end
    end
  end
end

#positions(account) ⇒ Object 



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# File 'lib/mytradewizard/interactive_brokers.rb', line 83

def positions()
  p = Array.new
  @ib_ruby.subscribe(:Alert, :AccountValue, :PortfolioValue, :AccountUpdateTime, :AccountDownloadEnd) do |msg|
    if msg.message_type == :PortfolioValue
      if msg.contract.sec_type == :stock
        stock = MyTradeWizard::Stock.new(msg.contract.symbol)
        size = msg.position
        p << MyTradeWizard::Position.new(stock, size)
      end
    end
  end
  @ib_ruby.send_message :RequestAccountData, :subscribe => true, :account_code => 
  @ib_ruby.wait_for :AccountDownloadEnd
  @ib_ruby.send_message :RequestAccountData, :subscribe => false, :account_code => 
  @ib_ruby.received[:AccountDownloadEnd].clear
  p
end