Module: IB
- Defined in:
- lib/ib-ruby/symbols/forex.rb,
lib/ib-ruby.rb,
lib/ib-ruby/errors.rb,
lib/ib-ruby/models.rb,
lib/ib-ruby/socket.rb,
lib/ib-ruby/symbols.rb,
lib/ib-ruby/version.rb,
lib/ib-ruby/messages.rb,
lib/ib-ruby/constants.rb,
lib/ib-ruby/connection.rb,
lib/ib-ruby/models/bar.rb,
lib/ib-ruby/models/model.rb,
lib/ib-ruby/symbols/stocks.rb,
lib/ib-ruby/models/contract.rb,
lib/ib-ruby/symbols/futures.rb,
lib/ib-ruby/symbols/options.rb,
lib/ib-ruby/models/combo_leg.rb,
lib/ib-ruby/models/execution.rb,
lib/ib-ruby/models/contract/option.rb,
lib/ib-ruby/models/model_properties.rb,
lib/ib-ruby/messages/abstract_message.rb,
lib/ib-ruby/messages/incoming/open_order.rb
Overview
OpenOrder is the longest message with complex processing logics, it is isolated here
Defined Under Namespace
Modules: Messages, Models, Symbols Classes: ArgumentError, Connection, Error, IBSocket, LoadError
Constant Summary collapse
- Datatypes =
Legacy alias
Models- VERSION_FILE =
:nodoc:
Pathname.new(__FILE__).dirname + '../../VERSION'
- VERSION =
VERSION_FILE.exist? ? VERSION_FILE.read.strip : nil
- IncomingMessages =
Legacy alias
Messages::Incoming
- OutgoingMessages =
Legacy alias
Messages::Outgoing
- EOL =
Widely used TWS constants:
"\0"- BAR_SIZES =
Enumeration of bar size types for convenience. Bar sizes less than 30 seconds do not work for some securities.
{:sec1 => '1 sec', :sec5 => '5 secs', :sec15 => '15 secs', :sec30 => '30 secs', :min1 => '1 min', :min2 => '2 mins', :min3 => '3 mins', :min5 => '5 mins', :min15 => '15 mins', :min30 => '30 mins', :hour1 => '1 hour', :day1 => '1 day'}
- DATA_TYPES =
Enumeration of data types. Determines the nature of data being extracted. Valid values:
{:trades => 'TRADES', :midpoint => 'MIDPOINT', :bid => 'BID', :ask => 'ASK', :bid_ask => 'BID_ASK', :historical_volatility => 'HISTORICAL_VOLATILITY', :option_implied_volatility => 'OPTION_IMPLIED_VOLATILITY', :option_volume => 'OPTION_VOLUME', :option_open_interest => 'OPTION_OPEN_INTEREST', }
- SECURITY_TYPES =
Valid security types (sec_type attribute of IB::Contract)
{:stock => "STK", :option => "OPT", :future => "FUT", :index => "IND", :futures_option => "FOP", :forex => "CASH", :bond => "BOND", :bag => "BAG"}
- TICK_TYPES =
Tick types as received in TickPrice and TickSize messages (enumeration)
{ # int id => :Description # Corresponding API Event/Function/Method 0 => :bid_size, # tickSize() 1 => :bid_price, # tickPrice() 2 => :ask_price, # tickPrice() 3 => :ask_size, # tickSize() 4 => :last_price, # tickPrice() 5 => :last_size, # tickSize() 6 => :high, # tickPrice() 7 => :low, # tickPrice() 8 => :volume, # tickSize() 9 => :close_price, # tickPrice() 10 => :bid_option, # tickOptionComputation() See Note 1 below 11 => :ask_option, # tickOptionComputation() See => :Note 1 below 12 => :last_option, # tickOptionComputation() See Note 1 below 13 => :model_option, # tickOptionComputation() See Note 1 below 14 => :open_tick, # tickPrice() 15 => :low_13_week, # tickPrice() 16 => :high_13_week, # tickPrice() 17 => :low_26_week, # tickPrice() 18 => :high_26_week, # tickPrice() 19 => :low_52_week, # tickPrice() 20 => :high_52_week, # tickPrice() 21 => :avg_volume, # tickSize() 22 => :open_interest, # tickSize() 23 => :option_historical_vol, # tickGeneric() 24 => :option_implied_vol, # tickGeneric() 25 => :option_bid_exch, # not USED 26 => :option_ask_exch, # not USED 27 => :option_call_open_interest, # tickSize() 28 => :option_put_open_interest, # tickSize() 29 => :option_call_volume, # tickSize() 30 => :option_put_volume, # tickSize() 31 => :index_future_premium, # tickGeneric() 32 => :bid_exch, # tickString() 33 => :ask_exch, # tickString() 34 => :auction_volume, # not USED 35 => :auction_price, # not USED 36 => :auction_imbalance, # not USED 37 => :mark_price, # tickPrice() 38 => :bid_efp_computation, # tickEFP() 39 => :ask_efp_computation, # tickEFP() 40 => :last_efp_computation, # tickEFP() 41 => :open_efp_computation, # tickEFP() 42 => :high_efp_computation, # tickEFP() 43 => :low_efp_computation, # tickEFP() 44 => :close_efp_computation, # tickEFP() 45 => :last_timestamp, # tickString() 46 => :shortable, # tickGeneric() 47 => :fundamental_ratios, # tickString() 48 => :rt_volume, # tickGeneric() 49 => :halted, # see Note 2 below. 50 => :bid_yield, # tickPrice() See Note 3 below 51 => :ask_yield, # tickPrice() See Note 3 below 52 => :last_yield, # tickPrice() See Note 3 below 53 => :cust_option_computation, # tickOptionComputation() 54 => :trade_count, # tickGeneric() 55 => :trade_rate, # tickGeneric() 56 => :volume_rate, # tickGeneric() 57 => :last_rth_trade, # ? # Note 1: Tick types BID_OPTION, ASK_OPTION, LAST_OPTION, and MODEL_OPTION return # all Greeks (delta, gamma, vega, theta), the underlying price and the # stock and option reference price when requested. # MODEL_OPTION also returns model implied volatility. # Note 2: When trading is halted for a contract, TWS receives a special tick: # haltedLast=1. When trading is resumed, TWS receives haltedLast=0. # A tick type, HALTED, tick ID= 49, is now available in regular market # data via the API to indicate this halted state. Possible values for # this new tick type are: 0 = Not halted, 1 = Halted. # Note 3: Applies to bond contracts only. }
- FA_TYPES =
Financial Advisor types (FaMsgTypeName)
{1 => 'GROUPS', 2 => 'PROFILES', 3 =>'ALIASES'}
- MARKET_DEPTH_OPERATIONS =
Market depth messages contain these “operation” codes to tell you what to do with the data. See also www.interactivebrokers.com/php/apiUsersGuide/apiguide/java/updatemktdepth.htm
{ 0 => :insert, # New order, insert into the row identified by :position 1 => :update, # Update the existing order at the row identified by :position 2 => :delete # Delete the existing order at the row identified by :position }
- MARKET_DEPTH_SIDES =
{ 0 => :ask, 1 => :bid }