#!/usr/bin/env ruby
#
# This script downloads historic data for specific symbols from IB

require 'pathname'
LIB_DIR = (Pathname.new(__FILE__).dirname + '../lib/').realpath.to_s
$LOAD_PATH.unshift LIB_DIR unless $LOAD_PATH.include?(LIB_DIR)

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

# Definition of what we want data for.  We have to keep track of what ticker id
# corresponds to what symbol ourselves, because the ticks don't include any other
# identifying information. The choice of ticker ids is, as far as I can tell, arbitrary.
@market = {123 => IB::Symbols::Stocks[:wfc],
           456 => IB::Symbols::Futures[:ym],
           789 => IB::Symbols::Forex[:gbpusd] # No historical data for GBP/CASH@IDEALPRO
}

# Connect to IB TWS.
ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS

# Subscribe to TWS alerts/errors
ib.subscribe(:Alert) { |msg| puts msg.to_human }

# Subscribe to HistoricalData incoming events.  The code passed in the block
# will be executed when a message of that type is received, with the received
# message as its argument. In this case, we just print out the data.
#
# Note that we have to look the ticker id of each incoming message
# up in local memory to figure out what it's for.
ib.subscribe(IB::Messages::Incoming::HistoricalData) do |msg|
  puts @market[msg.request_id].description + ": #{msg.count} items:"
  msg.results.each { |entry| puts "  #{entry}" }
  @last_msg_time = Time.now.to_i
end

# Now we actually request historical data for the symbols we're interested in. TWS will
# respond with a HistoricalData message, which will be processed by the code above.
@market.each_pair do |id, contract|
  ib.send_message IB::Messages::Outgoing::RequestHistoricalData.new(
                      :request_id => id,
                      :contract => contract,
                      :end_date_time => Time.now.to_ib,
                      :duration => '2 D', #    ?
                      :bar_size => '1 min', #  IB::BAR_SIZES.key(:hour)?
                      :what_to_show => :trades,
                      :use_rth => 1,
                      :format_date => 1)
end

# Wait for IB to respond to our request
sleep 0.1 until @last_msg_time && @last_msg_time < Time.now.to_i + 0.5