Class: IB::Option

Inherits:
Object
  • Object
show all
Defined in:
lib/ib/models/option.rb,
lib/ib/option-greeks.rb

Instance Method Summary collapse

Instance Method Details

#request_greeks(delayed: true, what: :model, thread: false) ⇒ Object

Possible values for Parameter :what –> :all :model, :bid, :ask, :bidask, :last



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# File 'lib/ib/option-greeks.rb', line 15

def request_greeks delayed:  true, what: :model, thread: false

tws = Connection.current     # get the initialized ib-ruby instance
# define requested tick-attributes
request_data_type = IB::MARKET_DATA_TYPES.rassoc( delayed ? :frozen_delayed : :frozen ).first
# possible types =  [ [ :delayed_model_option , :model_option ] , [:delayed_last_option , :last_option ],
# [ :delayed_bid_option , :bid_option ], [ :delayed_ask_option , :ask_option ]  ]                                 
tws.send_message :RequestMarketDataType, :market_data_type =>  request_data_type
tickdata = []

self.greek = OptionDetail.new if greek.nil?
  greek.updated_at = Time.now
  queue =  Queue.new

#keep the method-call running until the request finished
#and cancel subscriptions to the message handler
# method returns the (running) thread
th = Thread.new do
 the_id  =  nil
 # subscribe to TickPrices
    s_id = tws.subscribe(:TickSnapshotEnd) { |msg|  queue.push(true)   if msg.ticker_id == the_id  }
    e_id = tws.subscribe(:Alert){|x| queue.push(false)  if [200,353].include?( x.code) && x.error_id == the_id } 
    t_id = tws.subscribe( :TickSnapshotEnd, :TickPrice, :TickString, :TickSize, :TickGeneric, :MarketDataType  ) {|msg| msg }
 # TWS Error 200: No security definition has been found for the request
 # TWS Error 354: Requested market data is not subscribed.

 sub_id = tws.subscribe(:TickOption ) do |msg| #, :TickSize,  :TickGeneric  do |msg|
   if  msg.ticker_id == the_id # && tickdata.is_a?(Array) # do nothing if tickdata have already gathered
     case msg.type
     when /ask/
       greek.ask_price = msg.option_price unless msg.option_price.nil?
       tickdata << msg  if [ :all, :ask, :bidask ].include?( what  )

     when /bid/
       greek.bid_price = msg.option_price unless msg.option_price.nil?
       tickdata << msg  if [ :all, :bid, :bidask ].include?( what  )
     when /last/
       tickdata << msg  if msg.type =~ /last/
     when /model/
       #  transfer attributs from TickOption to OptionDetail
       bf =[ :option_price, :implied_volatility, :under_price, :pv_dividend ]
       (bf + msg.greeks.keys).each{ |a| greek.send( a.to_s+"=", msg.send( a)) }
       tickdata << msg  if [ :all, :model ].include?( what )
     end
        queue.push(true) if tickdata.is_a?(IB::Messages::Incoming::TickOption) || (tickdata.size == 2 && what== :bidask) || (tickdata.size == 4 && what == :all)
   end
 end  # if sub_id

 # initialize »the_id« that is used to identify the received tick messages
 # by firing the market data request
 the_id = tws.send_message :RequestMarketData,  contract: self , snapshot: true 

    result = queue.pop
     # reduce :close_price delayed_close  to close a.s.o 
    if result == false
      Connection.logger.info{ "#{to_human} --> No Marketdata received " } 
    else
      self.misc =  tickdata if thread  # store internally if in thread modus
    end

 tws.unsubscribe sub_id, s_id, e_id, t_id
end  # thread
if thread
 th   # return thread
else
 th.join
    greek
end
end

#roll(expiry, strike) ⇒ Object 



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# File 'lib/ib/models/option.rb', line 3

def roll expiry, strike
  if strike.to_i > 2000
    expiry, strike =  strike, expiry  # exchange values if input occurs in wrong direction
  end
  new_option =  Option.new( invariant_attributes.merge( con_id: nil, trading_class: '', last_trading_day: nil,
                                                        local_symbol: "",
                                                        expiry: expiry,  strike: strike ))
  n_o = new_option.verify.first   # get con_id

  target = IB::Spread.new exchange: exchange, symbol: symbol, currency: currency
  target.add_leg self, action:  :buy
  target.add_leg n_o, action: :sell
rescue NoMethodError
  Connection.logger.error "Rolling not possible. #{new_option.to_human} could not be verified"
  nil
end