require 'ib-ruby/models/model' # TODO: Implement equals() according to the criteria in IB's Java client. module IB module Models class Order < Model # 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. Valid values: BUY/SELL/SSHORT :total_quantity, # int: The order quantity. :order_type, # String: Identifies the order type. Valid values are: # MKT / MKTCLS / LMT / LMTCLS / PEGMKT / SCALE # STP / STPLMT / TRAIL / REL / VWAP / TRAILLIMIT :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 in Force - DAY / GTC / IOC / GTD :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. # 7 - last or bid/ask method. # 8 - mid-point method. :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 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. :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. 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_combo_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.empty? || algo_strategy.nil? [''] else [algo_strategy, algo_params.size, algo_params.to_a] end end def to_s #human "" end end # class Order end # module Models end # module IB