require 'ib-ruby/socket' require 'logger' # Add method to_ib to render datetime in IB format (zero padded "yyyymmdd HH:mm:ss") class Time def to_ib "#{self.year}#{sprintf("%02d", self.month)}#{sprintf("%02d", self.day)} " + "#{sprintf("%02d", self.hour)}:#{sprintf("%02d", self.min)}:#{sprintf("%02d", self.sec)}" end end # Time module IB # Encapsulates API connection to TWS or Gateway class Connection # Please note, we are realizing only the most current TWS protocol versions, # thus improving performance at the expense of backwards compatibility. # Older protocol versions support can be found in older gem versions. CLIENT_VERSION = 48 # Was 27 in original Ruby code SERVER_VERSION = 53 # Minimal server version. Latest, was 38 in current Java code. DEFAULT_OPTIONS = {:host =>"127.0.0.1", :port => '4001', # IB Gateway connection (default) #:port => '7496', # TWS connection, with annoying pop-ups :client_id => nil, # Will be randomly assigned :connect => true, :reader => true } attr_reader :server # Info about IB server and server connection state attr_accessor :next_order_id # Next valid order id def initialize(opts = {}) @options = DEFAULT_OPTIONS.merge(opts) @connected = false @next_order_id = nil @server = Hash.new connect if @options[:connect] start_reader if @options[:reader] end # Message subscribers. Key is the message class to listen for. # Value is a Hash of subscriber Procs, keyed by their subscription id. # All subscriber Procs will be called with the message instance # as an argument when a message of that type is received. def subscribers @subscribers ||= Hash.new { |hash, key| hash[key] = Hash.new } end def connect raise Exception.new("Already connected!") if @connected # TWS always sends NextValidID message at connect - save this id self.subscribe(:NextValidID) do |msg| @next_order_id = msg.data[:id] puts "Got next valid order id: #{@next_order_id}." end @server[:socket] = IBSocket.open(@options[:host], @options[:port]) # Secret handshake @server[:socket].send(CLIENT_VERSION) @server[:version] = @server[:socket].read_int raise(Exception.new("TWS version >= #{SERVER_VERSION} required.")) if @server[:version] < SERVER_VERSION @server[:local_connect_time] = Time.now() @server[:remote_connect_time] = @server[:socket].read_string # Sending (arbitrary) client ID to identify subsequent communications. # The client with a client_id of 0 can manage the TWS-owned open orders. # Other clients can only manage their own open orders. @server[:client_id] = @options[:client_id] || random_id @server[:socket].send(@server[:client_id]) @connected = true puts "Connected to server, version: #{@server[:version]}, connection time: " + "#{@server[:local_connect_time]} local, " + "#{@server[:remote_connect_time]} remote." end alias open connect # Legacy alias def disconnect if @server[:reader] @reader_running = false @server[:reader].join end @server[:socket].close @server = Hash.new @connected = false end alias close disconnect # Legacy alias def connected? @connected end # Subscribe Proc or block to specific type(s) of incoming message events. # Listener will be called later with received message instance as its argument. # Returns subscriber id to allow unsubscribing def subscribe(*args, &block) subscriber = args.last.respond_to?(:call) ? args.pop : block subscriber_id = random_id raise ArgumentError.new "Need subscriber proc or block" unless subscriber.is_a? Proc args.each do |what| message_class = case when what.is_a?(Class) && what < Messages::Incoming::AbstractMessage what when what.is_a?(Symbol) Messages::Incoming.const_get(what) else raise ArgumentError.new "#{what} must represent incoming IB message class" end subscribers[message_class][subscriber_id] = subscriber end subscriber_id end # Remove all subscribers with specific subscriber id def unsubscribe(subscriber_id) subscribers.each do |message_class, message_subscribers| message_subscribers.delete subscriber_id end end # Send an outgoing message. def send_message(what, *args) message = case when what.is_a?(Messages::Outgoing::AbstractMessage) what when what.is_a?(Class) && what < Messages::Outgoing::AbstractMessage what.new *args when what.is_a?(Symbol) Messages::Outgoing.const_get(what).new *args else raise ArgumentError.new "Only able to send outgoing IB messages" end message.send_to(@server) end alias dispatch send_message # Legacy alias # Process incoming messages during *poll_time* (200) msecs def process_messages poll_time = 200 # in msec time_out = Time.now + poll_time/1000.0 while (time_left = time_out - Time.now) > 0 # If server socket is readable, process single incoming message process_message if select [@server[:socket]], nil, nil, time_left end end # Process single incoming message (blocking) def process_message # This read blocks! msg_id = @server[:socket].read_int # Debug: unless [1, 2, 4, 6, 7, 8, 9, 12, 21, 53].include? msg_id puts "Got message #{msg_id} (#{Messages::Incoming::Table[msg_id]})" end # Create new instance of the appropriate message type, and have it read the message. # NB: Failure here usually means unsupported message type received msg = Messages::Incoming::Table[msg_id].new(@server[:socket]) subscribers[msg.class].each { |_, subscriber| subscriber.call(msg) } puts "No subscribers for message #{msg.class}!" if subscribers[msg.class].empty? end # Place Order (convenience wrapper for message :PlaceOrder) def place_order order, contract send_message :PlaceOrder, :order => order, :contract => contract, :id => @next_order_id @next_order_id += 1 end protected def random_id rand 999999999 end # Start reader thread that continuously reads messages from server in background. # If you don't start reader, you should manually poll @server[:socket] for messages # or use #process_messages(msec) API. def start_reader Thread.abort_on_exception = true @reader_running = true @server[:reader] = Thread.new do process_messages while @reader_running end end end # class Connection #IB = Connection # Legacy alias end # module IB