Class: IB::Account

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

Instance Method Summary collapse

Instance Method Details

#account_data_scan(search_key, search_currency = nil) ⇒ Object 



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# File 'lib/ib/models/account.rb', line 6

def  search_key, search_currency=nil
	if .is_a? Array
		if search_currency.present?
			.find_all{|x| x.key.match( search_key )  && x.currency == search_currency.upcase }
		else
			.find_all{|x| x.key.match( search_key ) }
		end

	else  # not tested!!
		if search_currency.present?
			.where( ['key like %', search_key] ).where( currency: search_currency )
		else  # any currency
			.where( ['key like %', search_key] )
		end
	end
end

#cancel(order:) ⇒ Object

just a wrapper to the Gateway-cancel-order method



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# File 'lib/ib/models/account.rb', line 275

def cancel order: 
	Gateway.current.cancel_order order 
end

#close(order:, contract: nil, reverse: false, **args_which_are_ignored) ⇒ Object

the action- and total_amount attributes of the assigned order are overwritten.

if a ratio-value (0 ..1) is specified in order.total_quantity only a fraction of the position is closed. Other values are silently ignored

if reverse is specified, the opposide position is established. Any value in total_quantity is overwritten

returns the order transmitted

raises an IB::Error if no PortfolioValues have been loaded to the IB::Acoount



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# File 'lib/ib/models/account.rb', line 242

def close order:, contract: nil, reverse: false,  **args_which_are_ignored
	error "must only be called after initializing portfolio_values "  if portfolio_values.blank?
	contract_size = ->(c) do			# note: portfolio_value.position is either positiv or negativ
		if c.con_id <0 # Spread
			p = portfolio_values.detect{|p| p.contract.con_id ==c.legs.first.con_id} &.position.to_i
			p/ c.combo_legs.first.weight  unless p.to_i.zero?
		else
			portfolio_values.detect{|x| x.contract.con_id == c.con_id} &.position.to_i   # nil.to_i -->0
		end
	end

	contract &.verify{|c| order.contract = c}   # if contract is specified: don't touch the parameter, get a new object . 
	error "Cannot transmit the order – No Contract given " unless order.contract.is_a?(IB::Contract)

	the_quantity = if reverse
													 -contract_size[order.contract] * 2 
												 elsif order.total_quantity.abs < 1 && !order.total_quantity.zero? 
													-contract_size[order.contract] *  order.total_quantity.abs 
												 else
													 -contract_size[order.contract] 
												 end
	if the_quantity.zero?
		logger.info{ "Cannot close #{order.contract.to_human} - no position detected"}
	else
		order.total_quantity = the_quantity
		order.action =  nil
		order.local_id =  nil  # in any case, close is a new order
		logger.info { "Order modified to close, reduce or revese position: #{order.to_human}" }
		place order: order, convert_size: true
	end
end

#complex_position(con_id) ⇒ Object

returns the contract definition of an complex portfolio-position detected in the account



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# File 'lib/ib/models/account.rb', line 306

def complex_position con_id
	con_id = con_id.con_id	if con_id.is_a?(IB::Contract)
	focuses.map{|x,y| y.detect{|x,y| x.con_id.to_i==  con_id.to_i} }.compact.flatten.first
end

#locate_contract(con_id) ⇒ Object 



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# File 'lib/ib/models/account.rb', line 301

def locate_contract con_id
	contracts.detect{|x| x.con_id.to_i == con_id.to_i }
end

#locate_order(local_id: nil, perm_id: nil, order_ref: nil, status: /ubmitted/, contract: nil, con_id: nil) ⇒ Object

given any key of local_id, perm_id or order_ref and an optional status, which can be a string or a regexp ( status: /mitted/ matches Submitted and Presubmitted) the last associated Orderrecord is returned.

Thus if several Orders are placed with the same order_ref, the active one is returned

(If multible keys are specified, local_id preceeds perm_id)



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# File 'lib/ib/models/account.rb', line 36

def locate_order local_id: nil, perm_id: nil, order_ref: nil, status: /ubmitted/, contract: nil, con_id: nil
	search_option= [ local_id.present? ? [:local_id , local_id] : nil ,
								perm_id.present? ? [:perm_id, perm_id] : nil,
								order_ref.present? ? [:order_ref , order_ref ] : nil ].compact.first
	matched_items = if search_option.nil?
										orders
									else
										orders.find_all{|x| x[search_option.first].to_i == search_option.last.to_i }
									end
    if contract.present?
      if contract.con_id.nil? || contract.con_id =="" || contract.con_id.zero? 
        contract =  contract.verify.first unless contract.is_a? IB::Bag
      end
      matched_items = matched_items.find_all{|o| o.contract.essential == contract.essential } 
    elsif con_id.present?
      matched_items = matched_items.find_all{|o| o.contract.con_id == con_id } 
    end

	if status.present?
		status = Regexp.new(status) unless status.is_a? Regexp
		matched_items.detect{|x| x.order_state.status =~ status }
	else
		matched_items.last  # return the last item
	end
end

#modify_order(local_id: nil, order_ref: nil, order: nil) ⇒ Object Also known as: modify

Account#ModifyOrder operates in two modi:

First: The order is specified via local_id, perm_id or order_ref. It is checked, whether the order is still modificable. Then the Order ist provided through the block. Any modification is done there. Important: The Block has to return the modified IB::Order

Second: The order can be provided as parameter as well. This will be used without further checking. The block is now optional. Important: The OrderRecord must provide a valid Contract.

The simple version does not adjust the given prices to tick-limits. This has to be done manualy in the provided block



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# File 'lib/ib/models/account.rb', line 193

def modify_order  local_id: nil, order_ref: nil, order:nil

	result = ->(l){ orders.detect{|x| x.local_id == l  && x.submitted? } }
	order ||= locate_order( local_id: local_id, 
												 status: /ubmitted/ ,
												 order_ref: order_ref ) 
	if order.is_a? IB::Order
		order.modify
	else
		error "No suitable IB::Order provided/detected. Instead: #{order.inspect}" 
	end  
end

#organize_portfolio_positions(the_watchlists) ⇒ Object

returns an hash where portfolio_positions are grouped into Watchlists.

Watchlist => [ contract => [ portfoliopositon] , … ] ]



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# File 'lib/ib/models/account.rb', line 283

def organize_portfolio_positions   the_watchlists
  the_watchlists = [ the_watchlists ] unless the_watchlists.is_a?(Array)
	self.focuses = portfolio_values.map do | pw |
									z=	the_watchlists.map do | w |		
										ref_con_id = pw.contract.con_id
										watchlist_contract = w.find do |c| 
											c.is_a?(IB::Bag) ? c.combo_legs.map(&:con_id).include?(ref_con_id) : c.con_id == ref_con_id 
										end rescue nil	
										watchlist_contract.present? ? [w,watchlist_contract] : nil
									end.compact

									z.empty? ? [ IB::Symbols::Unspecified, pw.contract, pw ] : z.first << pw
	end.group_by{|a,_,_| a }.map{|x,y|[x, y.map{|_,d,e|[d,e]}.group_by{|e,_| e}.map{|f,z| [f, z.map(&:last)]} ] }.to_h
	# group:by --> [a,b,c] .group_by {|_g,_| g} --->{ a => [a,b,c] }
	# group_by+map --> removes "a" from the resulting array
end

#place_order(order:, contract: nil, auto_adjust: true, convert_size: false, enable_error: false) ⇒ Object Also known as: place

requires an IB::Order as parameter.

If attached, the associated IB::Contract is used to specify the tws-command

The associated Contract overtakes the specified (as parameter)

auto_adjust: Limit- and Aux-Prices are adjusted to Min-Tick

convert_size: The action-attribute (:buy :sell) is associated according the content of :total_quantity.

The parameter «order» is modified!

It can be used to modify and eventually cancel

The method raises an IB::TransmissionError if the transmitted order ist not acknowledged by the tws after one second.

Example

j36 =  IB::Stock.new symbol: 'J36', exchange: 'SGX'
order =  IB::Limit.order size: 100, price: 65.5
g =  IB::Gateway.current.clients.last

g.preview contract: j36, order: order

=> {:init_margin=>0.10864874e6,

:maint_margin=>0.9704137e5, :equity_with_loan=>0.97877973e6, :commission=>0.524e1, :commission_currency=>“USD”, :warning=>“”}

the_local_id = g.place order: order

=> 67 # returns local_id order.contract # updated contract-record

=> #<IB::Contract:0x00000000013c94b0 @attributes={:con_id=>95346693,

:exchange=>“SGX”, :right=>“”, :include_expired=>false}>

order.limit_price = 65 # set new price g.modify order: order # and transmit => 67 # returns local_id

g.locate_order( local_id: the_local_id ) => returns the assigned order-record for inspection

g.cancel order: order # logger output: 05:17:11 Cancelling 65 New #250/ from 3000/DU167349>

Raises:

  • (IB::TransmissionError) 


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# File 'lib/ib/models/account.rb', line 115

def place_order  order:, contract: nil, auto_adjust: true, convert_size:  false,  enable_error: false
	# adjust the orderprice to  min-tick
	result = ->(l){ orders.detect{|x| x.local_id == l  && x.submitted? } }
	#·IB::Symbols are always qualified. They carry a description-field
    qualified_contract = ->(c) { c.is_a?(IB::Contract) && ( c.description.present? || (c.con_id.present?  &&  !c.con_id.to_i.zero?) || (c.con_id.to_i <0  && c.sec_type == :bag )) }

	order.contract ||=  if qualified_contract[ contract ]
                      contract
                       else
                         contract.verify.first
                       end

    if order.contract.nil?
     error "No valid contract given" if enable_error
     return 0
    end 
	## sending of plain vanilla IB::Bags will fail using account.place, unless a (negative) con-id is provided!
#			error "place order: ContractVerification failed. No con_id assigned"  unless qualified_contract[order.contract]
	ib = IB::Connection.current
	wrong_order = nil
	the_local_id =  nil

	### Handle Error messages
	### Default action:  raise IB::Transmission Error
	sa = ib.subscribe( :Alert ) do | msg |
#      puts "local_id: #{the_local_id}"
		if msg.error_id == the_local_id
		 if [ 110, #  The price does not confirm to the minimum price variation for this contract
			   388,  # Order size x is smaller than the minimum required size of yy.
			  ].include? msg.code
         error msg.message if enable_error
         wrong_order =  msg.error_id.to_i
			 ib.logger.error msg.message
		 end
		end
	end
	order. =    # assign the account_id to the account-field of IB::Order
    self.orders.update_or_create order, :order_ref
    order.auto_adjust # if auto_adjust  /defined in lib/order_handling
	if convert_size
		order.action = order.total_quantity.to_i > 0  ?	:buy : :sell
      logger.info{ "Converted ordesize to #{order.total_quantity} and triggered a #{order.action}  order"} if  order.total_quantity.to_i < 0
		order.total_quantity  = order.total_quantity.to_i.abs
	end
		# apply non_guarenteed and other stuff bound to the contract to order.
	order.attributes.merge! order.contract.order_requirements unless order.contract.order_requirements.blank?
		#  con_id and exchange fully qualify a contract, no need to transmit other data
	the_contract = order.contract.con_id >0 ? Contract.new( con_id: order.contract.con_id, exchange: order.contract.exchange) : nil
	the_local_id = order.place the_contract # return the local_id
    i=0;	loop{i+=1; sleep(0.01); break if locate_order( local_id: the_local_id, status: nil ).present? || i> 1000  }

	ib.unsubscribe sa
    raise IB::TransmissionError," #{order.to_human} is not transmitted properly" if i >=1000
    the_local_id  # return_value
end

#preview(order:, contract: nil, **args_which_are_ignored) ⇒ Object

Submits a “WhatIf” Order

Returns the order_state.forcast

The order received from the TWS is kept in account.orders

Raises IB::TransmissionError if the Order could not be placed properly

Raises:

  • (IB::TransmissionError) 


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# File 'lib/ib/models/account.rb', line 218

def preview order:, contract: nil, **args_which_are_ignored
	# to_do:  use a copy of order instead of temporary setting order.what_if
	result = ->(l){ orders.detect{|x| x.local_id == l  && x.submitted? } }
	order.what_if = true
	the_local_id = place_order order: order, contract: contract
	i=0; loop{ i= i+1;  break if result[the_local_id] || i > 1000; sleep 0.01 }
   raise IB::TransmissionError,"(Preview-) #{order.to_human} is not transmitted properly" if i >=1000
	order.what_if = false # reset what_if flag
	order.local_id = nil  # reset local_id to enable re-using the order-object for placing
	result[the_local_id].order_state.forcast  #  return_value
end