Class: IB::Spread

Inherits:
Bag
  • Object
show all
Defined in:
lib/ib/models/spread.rb

Class Method Summary collapse

Instance Method Summary collapse

Class Method Details

.build_from_json(container) ⇒ Object 



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# File 'lib/ib/models/spread.rb', line 141

def self.build_from_json container
	read_leg = ->(a) do 
		  IB::ComboLeg.new :con_id => a.read_int,
                         :ratio => a.read_int,
                         :action => a.read_string,
                         :exchange => a.read_string

	end
	object= self.new  container['Spread'].read_contract
	object.legs = container['legs'].map{|x| IB::Contract.build x.read_contract}
	object.combo_legs = container['combo_legs'].map{ |x| read_leg[ x ] } 
	object.description = container['misc'].read_string
	object

end

Instance Method Details

#add_leg(contract, **leg_params) ⇒ Object

adds a leg to any spread

Parameter: contract: Will be verified. Contract.essential is added to legs-array action: :buy or :sell weight: ratio: Default: action: :buy, weight: 1



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# File 'lib/ib/models/spread.rb', line 84

def add_leg contract,  **leg_params
	evaluated_contracts =  []
	nc =	contract.verify.first.essential
	#			weigth = 1 --> sets Combo.side to buy and overwrites the action statement
#			leg_params[:weight] = 1 unless leg_params.key?(:weight) || leg_params.key?(:ratio)
	if nc.is_a?( IB::Contract) && nc.con_id.present?
			the_leg= ComboLeg.new( nc.attributes.slice( :con_id, :exchange )
																			.merge( leg_params ))
			self.combo_legs << the_leg 
			self.description = description + " added #{nc.to_human}" rescue "Spread: #{nc.to_human}"
			self.legs << nc
	end
	self  # return value to enable chaining


end

#calculate_spread_value(array_of_portfolio_values) ⇒ Object 



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# File 'lib/ib/models/spread.rb', line 46

def calculate_spread_value( array_of_portfolio_values )
	array_of_portfolio_values.map{|x| x.send yield }.sum if block_given?
end

#con_id ⇒ Object

provide a negative con_id



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# File 'lib/ib/models/spread.rb', line 122

def con_id
	-legs.map(&:con_id).sum
end

#essential ⇒ Object 



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# File 'lib/ib/models/spread.rb', line 113

def essential
		legs.each{ |x| x.essential }
		self
end

#fake_portfolio_position(array_of_portfolio_values) ⇒ Object 



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# File 'lib/ib/models/spread.rb', line 50

def fake_portfolio_position(  array_of_portfolio_values )
		calculate_spread_value= ->( a_o_p_v, attribute ) do
					a_o_p_v.map{|x| x.send attribute }.sum 
		end
		ar=array_of_portfolio_values
		IB::PortfolioValue.new  contract: self, 
			average_cost: 	calculate_spread_value[ar, :average_cost],
			market_price: 	calculate_spread_value[ar, :market_price],
			market_value: 	calculate_spread_value[ar, :market_value],
			unrealized_pnl: 	calculate_spread_value[ar, :unrealized_pnl],
			realized_pnl: 	calculate_spread_value[ar, :realized_pnl],
			position: 0

end

#multiplier ⇒ Object 



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# File 'lib/ib/models/spread.rb', line 117

def  multiplier
	(legs.map(&:multiplier).sum/legs.size).to_i
end

#non_guaranteed ⇒ Object 



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# File 'lib/ib/models/spread.rb', line 132

def non_guaranteed
   	combo_params['NonGuaranteed']
end

#non_guaranteed=(x) ⇒ Object 



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# File 'lib/ib/models/spread.rb', line 127

def non_guaranteed= x
    super.merge		combo_params: [ ['NonGuaranteed', x] ]
end

#remove_leg(contract) ⇒ Object

removes the contract from the spread definition



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# File 'lib/ib/models/spread.rb', line 103

def remove_leg contract
	contract.verify do |c|
		legs.delete_if { |x| x.con_id == c.con_id }
		combo_legs.delete_if { |x| x.con_id == c.con_id }
		self.description = description + " removed #{c.to_human}"
	end
	self
end

#serialize_rabbit ⇒ Object 



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# File 'lib/ib/models/spread.rb', line 67

def serialize_rabbit
	{ "Spread" => serialize( :option, :trading_class ),
		'legs' => legs.map{ |y| y.serialize :option, :trading_class }, 'combo_legs' => combo_legs.map(&:serialize),
		'misc' => [description]
	}	
end

#to_human ⇒ Object

def



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# File 'lib/ib/models/spread.rb', line 42

def to_human
	self.description
end

#transform_distance(front, back) ⇒ Object

Parameters: front: YYYMM(DD) back: nw, nd or YYYYMM(DD)

Adds (or substracts) relative (back) measures to the front month, just passes absolute YYYYMM(DD) value front: 201809 back: 2m (-1m) –> 201811 (201808) front: 20180908 back: 1w (-1w) –> 20180918 (20180902)



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# File 'lib/ib/models/spread.rb', line 18

def transform_distance front, back
	# Check Format of back: 201809 --> > 200.000
	#	                      20180989 ---> 20.000.000
	start_date = front.to_i < 20000000 ?  Date.strptime(front.to_s,"%Y%m") :  Date.strptime(front.to_s,"%Y%m%d") 
	nb = if back.to_i > 200000 
				 back.to_i
			 elsif back[-1] == "w" && front.to_i > 20000000
				 start_date + (back.to_i * 7)
			 elsif back[-1] == "m" && front.to_i > 200000
				 start_date >> back.to_i
			 else
				 error "Wrong date #{back} required format YYYMM, YYYYMMDD ord {n}w or {n}m"
			 end
	if nb.is_a?(Date)	
		if back[-1]=='w'
			nb.strftime("%Y%m%d")
		else
			nb.strftime("%Y%m")
		end
	else
		nb
	end 
end