Contents

#!/usr/bin/env ruby
#
# This script places GOOG option butterfly combo order

require 'rubygems'
require 'pathname'
require 'bundler/setup'
require 'ib-ruby'

# Utility method that helps us build multi-legged (BAG) Orders
def butterfly symbol, expiry, right, *strikes
  raise 'No Connection!' unless @ib && @ib.connected?

  legs = strikes.zip([1, -2, 1]).map do |strike, weight|
    # Create contract
    contract = IB::Option.new :symbol => symbol,
                              :expiry => expiry,
                              :right => right,
                              :strike => strike
    # Find out contract's con_id
    @ib.clear_received :ContractData, :ContractDataEnd
    @ib.send_message :RequestContractData, :id => strike, :contract => contract
    @ib.wait_for :ContractDataEnd, 3
    con_id = @ib.received[:ContractData].last.contract.con_id

    # Create Comboleg from con_id and weight
    IB::ComboLeg.new :con_id => con_id, :weight => weight
  end

  # Create new Combo contract
  IB::Bag.new :symbol => symbol,
              :currency => "USD", # Only US options in combo Contracts
              :exchange => "SMART",
              :legs => legs
end

# First, connect to IB TWS. Arbitrary :client_id is used to identify your script
@ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS

# Subscribe to TWS alerts/errors and order-related messages
@ib.subscribe(:Alert, :OpenOrder, :OrderStatus) { |msg| puts msg.to_human }
@ib.wait_for :NextValidId

# Create multi-legged option Combo using utility method above
combo = butterfly 'GOOG', '201301', 'CALL', 500, 510, 520

# Create Order stub
order = IB::Order.new :total_quantity => 10, # 10 butterflies
                      :limit_price => 0.01, # at 0.01 x 100 USD per contract
                      :action => 'BUY',
                      :order_type => 'LMT'

@ib.place_order order, combo

@ib.wait_for [:OpenOrder, 3], [:OrderStatus, 2]

puts "\n******** Press <Enter> to cancel... *********\n\n"
gets

Version data entries

1 entries across 1 versions & 1 rubygems

Version	Path
ib-ruby-0.7.4	bin/place_combo_order