Contents

require 'integration_helper'

# Define butterfly
def butterfly symbol, expiry, right, *strikes
  unless @ib && @ib.connected?
    @ib = IB::Connection.new OPTS[:connection].merge(:logger => mock_logger)
  end

  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

Version data entries

1 entries across 1 versions & 1 rubygems

Version	Path
ib-ruby-0.7.4	spec/combo_helper.rb