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Order#serialize_with added
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@arvicco
arvicco committed Oct 31, 2011
1 parent 69ca248 commit dc938c0
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Showing 3 changed files with 77 additions and 107 deletions.
112 changes: 7 additions & 105 deletions lib/ib-ruby/messages/outgoing.rb
View file
Original file line number Diff line number Diff line change
Expand Up @@ -83,11 +83,11 @@ def self.def_message message_id, version=1, *keys
RequestGlobalCancel = def_message 58

# Data format is: @data = { :id => ticker_id}
CancelScannerSubscription = def_message 23
CancelMarketData = def_message 2
CancelMarketDepth = def_message 11
CancelScannerSubscription = def_message 23
CancelHistoricalData = def_message 25
CancelRealTimeBars = def_message 51
CancelMarketDepth = def_message 11

# Data format is: @data = { :id => request_id }
CancelFundamentalData = def_message 53
Expand All @@ -114,7 +114,7 @@ def self.def_message message_id, version=1, *keys
ReplaceFA = def_message 19, 1, :fa_data_type, :xml

# Data is { :subscribe => boolean,
# :account_code => String: only necessary for advisor accounts. Set it
# :account_code => String: Advisor accounts only. Set it
# to empty ('') for a standard account. }
class RequestAccountData < AbstractMessage
@message_id = 6
Expand Down Expand Up @@ -341,10 +341,7 @@ class RequestContractData < AbstractMessage

def encode
[super,
@data[:contract].serialize_short(:con_id),
@data[:contract].include_expired,
@data[:contract].sec_id_type,
@data[:contract].sec_id]
@data[:contract].serialize_short(:con_id, :include_expired, :sec_id)]
end
end # RequestContractData
RequestContractDetails = RequestContractData # alias
Expand Down Expand Up @@ -395,74 +392,10 @@ def encode
class PlaceOrder < AbstractMessage
@message_id = 3
@version = 31
# int VERSION = (m_serverVersion < MIN_SERVER_VER_NOT_HELD) ? 27 : 31;

def encode
[super,
@data[:contract].serialize_long(:sec_id),
@data[:order].action, # send main order fields
@data[:order].total_quantity,
@data[:order].order_type,
@data[:order].limit_price,
@data[:order].aux_price,
@data[:order].tif, # send extended order fields
@data[:order].oca_group,
@data[:order].account,
@data[:order].open_close,
@data[:order].origin,
@data[:order].order_ref,
@data[:order].transmit,
@data[:order].parent_id,
@data[:order].block_order,
@data[:order].sweep_to_fill,
@data[:order].display_size,
@data[:order].trigger_method,
@data[:order].outside_rth, # was: ignore_rth
@data[:order].hidden,
@data[:contract].serialize_combo_legs(:long),
'', # send deprecated shares_allocation field
@data[:order].discretionary_amount,
@data[:order].good_after_time,
@data[:order].good_till_date,
@data[:order].fa_group,
@data[:order].fa_method,
@data[:order].fa_percentage,
@data[:order].fa_profile,
# Institutional short sale slot fields:
@data[:order].short_sale_slot, # 0 only for retail, 1 or 2 for institution
@data[:order].designated_location, # only populate when short_sale_slot == 2
@data[:order].oca_type,
@data[:order].rule_80a,
@data[:order].settling_firm,
@data[:order].all_or_none,
@data[:order].min_quantity || EOL,
@data[:order].percent_offset || EOL,
@data[:order].etrade_only,
@data[:order].firm_quote_only,
@data[:order].nbbo_price_cap || EOL,
@data[:order].auction_strategy || EOL,
@data[:order].starting_price || EOL,
@data[:order].stock_ref_price || EOL,
@data[:order].delta || EOL,
@data[:order].stock_range_lower || EOL,
@data[:order].stock_range_upper || EOL,
@data[:order].override_percentage_constraints,
@data[:order].volatility || EOL, # Volatility orders
@data[:order].volatility_type || EOL, # Volatility orders
@data[:order].delta_neutral_order_type, # Volatility orders
@data[:order].delta_neutral_aux_price || EOL, # Volatility orders
@data[:order].continuous_update, # Volatility orders
@data[:order].reference_price_type || EOL, # Volatility orders
@data[:order].trail_stop_price || EOL, # TRAIL_STOP_LIMIT stop price
@data[:order].scale_init_level_size || EOL, # Scale Orders
@data[:order].scale_subs_level_size || EOL, # Scale Orders
@data[:order].scale_price_increment || EOL, # Scale Orders
@data[:order].clearing_account,
@data[:order].clearing_intent,
@data[:order].not_held,
@data[:contract].serialize_under_comp,
@data[:order].serialize_algo,
@data[:order].what_if]
@data[:order].serialize_with(@data[:contract])]
end
end # PlaceOrder

Expand All @@ -483,7 +416,6 @@ class RequestExecutions < AbstractMessage
@version = 3

def encode

[super,
@data[:client_id],
@data[:acct_code],
Expand All @@ -492,7 +424,7 @@ def encode
@data[:sec_type],
@data[:exchange],
@data[:side]]
end # encode
end
end # RequestExecutions

# Send this message to receive Reuters global fundamental data. There must be
Expand All @@ -503,8 +435,7 @@ def encode
# :report_type => String: one of the following:
# Estimates
# Financial Statements
# Summary
# }
# Summary }
class RequestFundamentalData < AbstractMessage
@message_id = 52

Expand Down Expand Up @@ -589,32 +520,3 @@ def encode
private static final int CANCEL_CALC_IMPLIED_VOLAT = 56;
private static final int CANCEL_CALC_OPTION_PRICE = 57;
private static final int REQ_GLOBAL_CANCEL = 58;


3 @data[:contract].con_id, # part of serialize?
@data[:contract].serialize,

no_expiry
1 @data[:contract].symbol, # Yet another Contract serialization!
@data[:contract].sec_type,
@data[:contract].exchange,
@data[:contract].primary_exchange,
@data[:contract].currency,
@data[:contract].local_symbol,

sec_id
1 @data[:contract].serialize,
@data[:contract].sec_id_type,
@data[:contract].sec_id,

no_primary_exchange
2 @data[:contract].serialize(:short),

1 @data[:contract].con_id, # part of serialize?
@data[:contract].serialize(:short),

1 contract.serialize,

include_expired
1 contract.serialize,
contract.include_expired,
2 changes: 1 addition & 1 deletion lib/ib-ruby/models/contract.rb
View file
Original file line number Diff line number Diff line change
Expand Up @@ -165,7 +165,7 @@ def reset
@strike = 0
end

# This returns an Array of data from the given contract, in standard format.
# This returns an Array of data from the given contract.
# Different messages serialize contracts differently. Go figure.
# Note that it does NOT include the combo legs.
def serialize(*fields)
Expand Down
70 changes: 69 additions & 1 deletion lib/ib-ruby/models/order.rb
View file
Original file line number Diff line number Diff line change
Expand Up @@ -258,7 +258,75 @@ def initialize opts = {}
super opts
end

def serialize_algo(*args)
# This returns an Array of data from the given order,
# mixed with data from associated contract. Ugly mix, indeed.
def serialize_with contract
[contract.serialize_long(:sec_id),
action, # main order fields
total_quantity,
order_type,
limit_price,
aux_price,
tif, # xtended order fields
oca_group,
account,
open_close,
origin,
order_ref,
transmit,
parent_id,
block_order,
sweep_to_fill,
display_size,
trigger_method,
outside_rth, # was: ignore_rth
hidden,
contract.serialize_combo_legs(:long),
'', # deprecated shares_allocation field
discretionary_amount,
good_after_time,
good_till_date,
fa_group,
fa_method,
fa_percentage,
fa_profile,
short_sale_slot, # 0 only for retail, 1 or 2 for institution (Institutional)
designated_location, # only populate when short_sale_slot == 2 (Institutional)
oca_type,
rule_80a,
settling_firm,
all_or_none,
min_quantity || EOL,
percent_offset || EOL,
etrade_only,
firm_quote_only,
nbbo_price_cap || EOL,
auction_strategy || EOL,
starting_price || EOL,
stock_ref_price || EOL,
delta || EOL,
stock_range_lower || EOL,
stock_range_upper || EOL,
override_percentage_constraints,
volatility || EOL, # Volatility orders
volatility_type || EOL, # Volatility orders
delta_neutral_order_type, # Volatility orders
delta_neutral_aux_price || EOL, # Volatility orders
continuous_update, # Volatility orders
reference_price_type || EOL, # Volatility orders
trail_stop_price || EOL, # TRAIL_STOP_LIMIT stop price
scale_init_level_size || EOL, # Scale Orders
scale_subs_level_size || EOL, # Scale Orders
scale_price_increment || EOL, # Scale Orders
clearing_account,
clearing_intent,
not_held,
contract.serialize_under_comp,
serialize_algo,
what_if]
end

def serialize_algo
if algo_strategy.empty? || algo_strategy.nil?
['']
else
Expand Down

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