Class: IB::IncomingMessages::TickPrice

Inherits:
AbstractMessage show all
Defined in:
lib/ib-ruby/messages.rb

Overview

The IB code seems to dispatch up to two wrapped objects for this message, a tickPrice and sometimes a tickSize, which seems to be identical to the TICK_SIZE object.

Important note from chuckcaplan.com/twsapi/index.php/void%20tickPrice%28%29 :

“The low you get is NOT the low for the day as you’d expect it to be. It appears IB calculates the low based on all transactions after 4pm the previous day. The most inaccurate results occur when the stock moves up in the 4-6pm aftermarket on the previous day and then gaps open upward in the morning. The low you receive from TWS can be easily be several points different from the actual 9:30am-4pm low for the day in cases like this. If you require a correct traded low for the day, you can’t get it from the TWS API. One possible source to help build the right data would be to compare against what Yahoo lists on finance.yahoo.com/q?s=ticker under the ”Day’s Range“ statistics (be careful here, because Yahoo will use anti-Denial of Service techniques to hang your connection if you try to request too many bytes in a short period of time from them). For most purposes, a good enough approach would start by replacing the TWS low for the day with Yahoo’s day low when you first start watching a stock ticker; let’s call this time T. Then, update your internal low if the bid or ask tick you receive is lower than that for the remainder of the day. You should check against Yahoo again at time T+20min to handle the occasional case where the stock set a new low for the day in between T-20min (the real time your original quote was from, taking into account the delay) and time T. After that you should have a correct enough low for the rest of the day as long as you keep updating based on the bid/ask. It could still get slightly off in a case where a short transaction setting a new low appears in between ticks of data that TWS sends you. The high is probably distorted in the same way the low is, which would throw your results off if the stock traded after-hours and gapped down. It should be corrected in a similar way as described above if this is important to you.”

Instance Attribute Summary

Attributes inherited from AbstractMessage

#data

Attributes inherited from ExtremelyAbstractMessage

#created_at

Class Method Summary collapse

Instance Method Summary collapse

Methods inherited from AbstractMessage

inherited, #initialize

Constructor Details

This class inherits a constructor from IB::IncomingMessages::AbstractMessage

Class Method Details

.message_id ⇒ Object 



912
913
914
 
# File 'lib/ib-ruby/messages.rb', line 912

def self.message_id
  1
end

Instance Method Details

#inspect ⇒ Object

load



944
945
946
 
# File 'lib/ib-ruby/messages.rb', line 944

def inspect
  "Tick (" + @data[:type].to_s + " at "  + @data[:price].to_digits + ") " + super.inspect
end

#load ⇒ Object 



916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
 
# File 'lib/ib-ruby/messages.rb', line 916

def load
  autoload([:version, :int], [:ticker_id, :int], [:tick_type, :int], [:price, :decimal])

  version_load(2, [:size, :int])
  version_load(3, [:can_auto_execute, :int])

  if @data[:version] >= 2
    # the IB code translates these into 0, 3, and 5, respectively, and wraps them in a TICK_SIZE-type wrapper.
    @data[:type] = case @data[:tick_type]
                   when 1
                     :bid
                   when 2
                     :ask
                   when 4
                     :last
                   when 6
                     :high
                   when 7
                     :low
                   when 9
                     :close
                   else
                     nil
                   end
  end

end

#to_human ⇒ Object 



948
949
950
 
# File 'lib/ib-ruby/messages.rb', line 948

def to_human
  @data[:size].to_s + " " + @data[:type].to_s + " at " + @data[:price].to_digits
end