require 'ib-ruby/models/model'
# TODO: Implement equals() according to the criteria in IB's Java client.
module IB
module Models
class Order < Model
# General Notes:
# 1. Placing Orders by con_id - When you place an order by con_id, you must
# provide the con_id AND the exchange. If you provide extra fields when placing
# an order by conid, the order may not work.
# 2. Order IDs - Each order you place must have a unique Order ID. We recommend
# that you increment your own Order IDs to avoid conflicts between orders placed
# from your API application.
# Constants used in Order objects. Drawn from Order.java
Origin_Customer = 0
Origin_Firm = 1
Opt_Unknown = '?'
Opt_Broker_Dealer = 'b'
Opt_Customer = 'c'
Opt_Firm = 'f'
Opt_Isemm = 'm'
Opt_Farmm = 'n'
Opt_Specialist = 'y'
OCA_Cancel_with_block = 1
OCA_Reduce_with_block = 2
OCA_Reduce_non_block = 3
# Box orders consts:
Box_Auction_Match = 1
Box_Auction_Improvement = 2
Box_Auction_Transparent = 3
# Volatility orders consts:
Volatility_Type_Daily = 1
Volatility_Type_Annual = 2
Volatility_Ref_Price_Average = 1
Volatility_Ref_Price_BidOrAsk = 2
# No idea why IB uses a large number as the default for some fields
Max_Value = 99999999
# Main order fields
attr_accessor :id, # int: m_orderId? The id for this order.
:client_id, # int: The id of the client that placed this order.
:perm_id, # int: TWS id used to identify orders, remains
# the same over TWS sessions.
:action, # String: Identifies the side: BUY/SELL/SSHORT
:total_quantity, # int: The order quantity.
:order_type, # String: Identifies the order type. Valid values are:
# Limit Risk:
# MTL Market-to-Limit
# MKT PRT Market with Protection
# QUOTE Request for Quote
# STP Stop
# STP LMT Stop Limit
# TRAIL Trailing Stop
# TRAIL LIMIT Trailing Stop Limit
# TRAIL LIT Trailing Limit if Touched
# TRAIL MIT Trailing Market If Touched
# Speed of Execution:
# MKT Market
# MIT Market-if-Touched
# MOC Market-on-Close MKTCLSL ?
# MOO Market-on-Open
# PEG MKT Pegged-to-Market
# REL Relative
# Price Improvement:
# BOX TOP Box Top
# LOC Limit-on-Close LMTCLS ?
# LOO Limit-on-Open
# LIT Limit if Touched
# PEG MID Pegged-to-Midpoint
# VWAP VWAP-Guaranteed
# Advanced Trading:
# OCA One-Cancels-All
# VOL Volatility
# SCALE Scale
# Other (no abbreviation):
# Bracket
# At Auction
# Discretionary
# Sweep-to-Fill
# Price Improvement Auction
# Block
# Hidden
# Iceberg/Reserve
# All-or-None
# Fill-or-Kill
:limit_price, # double: This is the LIMIT price, used for limit,
# stop-limit and relative orders. In all other cases
# specify zero. For relative orders with no limit price,
# also specify zero.
:aux_price, # double: This is the STOP price for stop-limit orders,
# and the offset amount for relative orders. In all other
# cases, specify zero.
#:shares_allocation, # deprecated sharesAllocation field
# Extended order fields
:tif, # String: Time to Market:
# DAY
# GAT Good-after-Time/Date
# GTD Good-till-Date/Time
# GTC Good-till-Canceled
# IOC Immediate-or-Cancel
:oca_group, # String: one cancels all group name
:oca_type, # int: Tells how to handle remaining orders in an OCA group
# when one order or part of an order executes. Valid values:
# - 1 = Cancel all remaining orders with block
# - 2 = Remaining orders are reduced in size with block
# - 3 = Remaining orders are reduced in size with no block
# If you use a value "with block" your order has
# overfill protection. This means that only one order in
# the group will be routed at a time to remove the
# possibility of an overfill.
:transmit, # bool:if false, order will be created but not transmitted.
:parent_id, # int: The order ID of the parent (original) order, used
# for bracket (STP) and auto trailing stop (TRAIL) orders.
:block_order, # bool: the order is an ISE Block order.
:sweep_to_fill, # bool: the order is a Sweep-to-Fill order.
:display_size, # int: publicly disclosed order size for Iceberg orders.
:trigger_method, # Specifies how Simulated Stop, Stop-Limit and Trailing
# Stop orders are triggered. Valid values are:
# 0 - Default, "double bid/ask" method will be used for OTC stocks
# and US options orders, "last" method will be used all others.
# 1 - "double bid/ask" method, stop orders are triggered based on
# two consecutive bid or ask prices.
# 2 - "last" method, stops are triggered based on the last price.
# 3 - double last method.
# 4 - bid/ask method. For a buy order, a single occurrence of the
# bid price must be at or above the trigger price. For a sell
# order, a single occurrence of the ask price must be at or
# below the trigger price.
# 7 - last or bid/ask method. For a buy order, a single bid price
# or the last price must be at or above the trigger price.
# For a sell order, a single ask price or the last price
# must be at or below the trigger price.
# 8 - mid-point method, where the midpoint must be at or above
# (for a buy) or at or below (for a sell) the trigger price,
# and the spread between the bid and ask must be less than
# 0.1% of the midpoint
:outside_rth, # bool: allows orders to also trigger or fill outside
# of regular trading hours. (WAS: ignore_rth)
:hidden, # bool: the order will not be visible when viewing
# the market depth. Only for ISLAND exchange.
:good_after_time, # FORMAT: 20060505 08:00:00 {time zone}
# Use an empty String if not applicable.
:good_till_date, # FORMAT: 20060505 08:00:00 {time zone}
# Use an empty String if not applicable.
:override_percentage_constraints, # bool: Precautionary constraints
# are defined on the TWS Presets page, and help ensure that your
# price and size order values are reasonable. Orders sent from the API
# are also validated against these safety constraints, and may be
# rejected if any constraint is violated. To override validation,
# set this parameter�s value to True.
:rule_80a, # Individual = 'I', Agency = 'A', AgentOtherMember = 'W',
# IndividualPTIA = 'J', AgencyPTIA = 'U', AgentOtherMemberPTIA = 'M',
# IndividualPT = 'K', AgencyPT = 'Y', AgentOtherMemberPT = 'N'
:all_or_none, # bool: yes=1, no=0
:min_quantity, # int: Identifies a minimum quantity order type.
:percent_offset, # double: percent offset amount for relative (REL)orders only
:trail_stop_price, # double: for TRAILLIMIT orders only
# Financial advisors only - use an empty String if not applicable.
:fa_group, :fa_profile, :fa_method, :fa_percentage,
# Institutional orders only!
:open_close, # String: O=Open, C=Close
:origin, # 0=Customer, 1=Firm
:order_ref, # String: The order reference. For institutional customers only.
:short_sale_slot, # 1 - you hold the shares,
# 2 - they will be delivered from elsewhere.
# Only for Action="SSHORT
:designated_location, # String: set when slot==2 only
:exempt_code, # int
# Clearing info
:account, # String: The account. For institutional customers only.
:settling_firm, # String: Institutional only
:clearing_account, # String: For IBExecution customers: Specifies the
# true beneficiary of the order. This value is required
# for FUT/FOP orders for reporting to the exchange.
:clearing_intent, # For IBExecution customers: "", IB, Away,
# and PTA (post trade allocation).
# SMART routing only
:discretionary_amount, # double: The amount off the limit price
# allowed for discretionary orders.
:etrade_only, # bool: Trade with electronic quotes.
:firm_quote_only, # bool: Trade with firm quotes.
:nbbo_price_cap, # double: Maximum Smart order distance from the NBBO.
# BOX or VOL ORDERS ONLY
:auction_strategy, # For BOX exchange only. Valid values:
# 1=AUCTION_MATCH, 2=AUCTION_IMPROVEMENT, 3=AUCTION_TRANSPARENT
:starting_price, # double: Starting price. Valid on BOX orders only.
:stock_ref_price, # double: The stock reference price, used for VOL
# orders to compute the limit price sent to an exchange (whether or not
# Continuous Update is selected), and for price range monitoring.
:delta, # double: Stock delta. Valid on BOX orders only.
# Pegged to stock or VOL orders. For price improvement option orders
# on BOX and VOL orders with dynamic management:
:stock_range_lower, # double: The lower value for the acceptable
# underlying stock price range.
:stock_range_upper, # double The upper value for the acceptable
# underlying stock price range.
# VOLATILITY ORDERS ONLY:
:volatility, # double: What the price is, computed via TWSs Options
# Analytics. For VOL orders, the limit price sent to an
# exchange is not editable, as it is the output of a
# function. Volatility is expressed as a percentage.
:volatility_type, # int: How the volatility is calculated: 1=daily, 2=annual
:reference_price_type, # int: For dynamic management of volatility orders:
# - 1 = Average of National Best Bid or Ask,
# - 2 = National Best Bid when buying a call or selling a put;
# and National Best Ask when selling a call or buying a put.
:delta_neutral_order_type, # String: Enter an order type to instruct TWS
# to submit a delta neutral trade on full or partial execution of the
# VOL order. For no hedge delta order to be sent, specify NONE.
:delta_neutral_aux_price, # double: Use this field to enter a value if
# the value in the deltaNeutralOrderType field is an order
# type that requires an Aux price, such as a REL order.
:continuous_update, # int: Used for dynamic management of volatility
# orders. Determines whether TWS is supposed to update the order price
# as the underlying moves. If selected, the limit price sent to an
# exchange is modified by TWS if the computed price of the option
# changes enough to warrant doing so. This is very helpful in keeping
# the limit price sent to the exchange up to date as the underlying price changes.
# COMBO ORDERS ONLY:
:basis_points, # double: EFP orders only
:basis_points_type, # double: EFP orders only
# SCALE ORDERS ONLY
:scale_init_level_size, # int: Size of the first (initial) order component.
:scale_subs_level_size, # int: Order size of the subsequent scale order
# components. Used in conjunction with scaleInitLevelSize().
:scale_price_increment, # double: Defines the price increment between
# scale components. This field is required for Scale orders.
# ALGO ORDERS ONLY
:algo_strategy, # String
:algo_params, # public Vector<TagValue> m_algoParams; ?!
# WTF?!
:what_if, # bool: Use to request pre-trade commissions and margin
# information. If set to true, margin and commissions data is received
# back via the OrderState() object for the openOrder() callback.
:not_held # public boolean m_notHeld; // Not Held
# Some Order properties (received back from IB) are separated into
# OrderState object. Here, they are lumped into Order proper: see OrderState.java
attr_accessor :status, # String: Displays the order status.Possible values include:
# � PendingSubmit - indicates that you have transmitted the order, but
# have not yet received confirmation that it has been accepted by the
# order destination. NOTE: This order status is NOT sent back by TWS
# and should be explicitly set by YOU when an order is submitted.
# � PendingCancel - indicates that you have sent a request to cancel
# the order but have not yet received cancel confirmation from the
# order destination. At this point, your order cancel is not confirmed.
# You may still receive an execution while your cancellation request
# is pending. NOTE: This order status is not sent back by TWS and
# should be explicitly set by YOU when an order is canceled.
# � PreSubmitted - indicates that a simulated order type has been
# accepted by the IB system and that this order has yet to be elected.
# The order is held in the IB system until the election criteria are
# met. At that time the order is transmitted to the order destination
# as specified.
# � Submitted - indicates that your order has been accepted at the order
# destination and is working.
# � Cancelled - indicates that the balance of your order has been
# confirmed canceled by the IB system. This could occur unexpectedly
# when IB or the destination has rejected your order.
# � ApiCancelled - canceled via API
# � Filled - indicates that the order has been completely filled.
# � Inactive - indicates that the order has been accepted by the system
# (simulated orders) or an exchange (native orders) but that currently
# the order is inactive due to system, exchange or other issues.
:init_margin, # String: Shows the impact the order would have on your
# initial margin.
:maint_margin, # String: Shows the impact the order would have on your
# maintenance margin.
:equity_with_loan, # String: Shows the impact the order would have on
# your equity with loan value.
:commission, # double: Shows the commission amount on the order.
:commission_currency, # String: Shows the currency of the commission.
#The possible range of the actual order commission:
:min_commission,
:max_commission,
:warning_text # String: Displays a warning message if warranted.
# IB uses weird String with Java Double.MAX_VALUE to indicate no value here
def init_margin= val
@init_margin = val == "1.7976931348623157E308" ? nil : val
end
# IB uses weird String with Java Double.MAX_VALUE to indicate no value here
def maint_margin= val
@maint_margin = val == "1.7976931348623157E308" ? nil : val
end
# IB uses weird String with Java Double.MAX_VALUE to indicate no value here
def equity_with_loan= val
@equity_with_loan = val == "1.7976931348623157E308" ? nil : val
end
def initialize opts = {}
# Assign defaults first!
@outside_rth = false
@open_close = "O"
@origin = Origin_Customer
@transmit = true
@designated_location = ''
@exempt_code = -1
@delta_neutral_order_type = ''
@what_if = false
@not_held = false
@algo_strategy = ''
@algo_params = []
# TODO: Initialize with nil instead of Max_Value, or change
# Order sending code in IB::Messages::Outgoing::PlaceOrder
#@min_quantity = Max_Value
#@percent_offset = Max_Value # -"-
#@nbbo_price_cap = Max_Value # -"-
#@starting_price = Max_Value # -"-
#@stock_ref_price = Max_Value # -"-
#@delta = Max_Value
#@stock_range_lower = Max_Value # -"-
#@stock_range_upper = Max_Value # -"-
#@volatility = Max_Value # -"-
#@volatility_type = Max_Value # -"-
#@delta_neutral_aux_price = Max_Value # -"-
#@reference_price_type = Max_Value # -"-
#@trail_stop_price = Max_Value # -"-
#@basis_points = Max_Value # -"-
#@basis_points_type = Max_Value # -"-
#@scale_init_level_size = Max_Value # -"-
#@scale_subs_level_size = Max_Value # -"-
#@scale_price_increment = Max_Value # -"-
#@reference_price_type = Max_Value # -"-
#@reference_price_type = Max_Value # -"-
#@reference_price_type = Max_Value # -"-
#@reference_price_type = Max_Value # -"-
super opts
end
# 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(:con_id, :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_legs(:extended),
'', # 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.nil? || algo_strategy.empty?
['']
else
[algo_strategy,
algo_params.size,
algo_params.to_a]
end
end
def to_s #human
"<Order:" + instance_variables.map do |key|
value = instance_variable_get(key)
" #{key}=#{value}" unless value.nil? || value == '' || value == 0
end.compact.join(',') + " >"
end
def to_human
"<Order: #{order_type} #{tif} #{action} #{total_quantity} #{status} #{limit_price}" +
" id: #{id}/#{perm_id} from: #{client_id}/#{account}>"
end
end # class Order
end # module Models
end # module IB