require 'ib/messages/outgoing/abstract_message'
# TODO: Don't instantiate messages, use their classes as just namespace for .encode/decode
module IB
module Messages
# Outgoing IB messages (sent to TWS/Gateway)
module Outgoing
extend Messages # def_message macros
### Defining (short) Outgoing Message classes for IB:
## Empty messages (no data)
# Request the open orders that were placed from THIS client. Each open order
# will be fed back through the OpenOrder and OrderStatus messages ONCE.
# NB: Client with a client_id of 0 will also receive the TWS-owned open orders.
# These orders will be associated with the client and a new orderId will be
# generated. This association will persist over multiple API and TWS sessions.
RequestOpenOrders = def_message 5
# Request the open orders placed from all clients and also from TWS. Each open
# order will be fed back through the OpenOrder and OrderStatus messages ONCE.
# Note this does not re-bind those Orders to requesting Client!
# Use RequestAutoOpenOrders to request such re-binding.
RequestAllOpenOrders = def_message 16
# Request that newly created TWS orders be implicitly associated with this client.
# When a new TWS order is created, the order will be associated with this client
# and automatically fed back through the OpenOrder and OrderStatus messages.
# It is a 'continuous' request such that it gets turned 'on' when called with a
# TRUE auto_bind parameter. When it's called with FALSE auto_bind, new TWS orders
# will not bind to this client going forward. Note that TWS orders can only be
# bound to clients with a client_id of 0. TODO: how to properly test this?
# data = { :auto_bind => boolean }
RequestAutoOpenOrders = def_message 15, :auto_bind
# Requests an XML document that describes the valid parameters that a scanner
# subscription can have (for outgoing RequestScannerSubscription message).
RequestScannerParameters = def_message 24
RequestNewsArticle = def_message 84,
:request_id , # autogenerated
:provider_code,
:article_id,
:options # taglist
RequestNewsProviders = def_message 85 # no further parameters
RequestHistoricalNews = def_message 86,
:request_id , # autogenerated
:con_id,
:provider_code,
:start, # date
:total_results,
:options # taglist
CancelNewsBulletins = def_message 13
RequestCurrentTime = def_message 49
RequestGlobalCancel = def_message 58
## Data format is: @data = { :id => ticker_id}
CancelMarketData = def_message [2, 2]
CancelMarketDepth = def_message 11
CancelScannerSubscription = def_message 23
CancelHistoricalData = def_message 25
CancelRealTimeBars = def_message 51
## Data format is: @data = { :id => request_id }
CancelFundamentalData = def_message 53
CancelCalculateImpliedVolatility = CancelImpliedVolatility = def_message 56
CancelCalculateOptionPrice = CancelOptionPrice = def_message 57
## Data format is: @data ={ :id => local_id of order to cancel }
CancelOrder = def_message 4
# Request the next valid ID that can be used when placing an order. Responds with
# NextValidId message, and the id returned is that next valid Id for orders.
# That ID will reflect any autobinding that has occurred (which generates new
# IDs and increments the next valid ID therein).
# @data = { :number of ids requested => int } NB: :number option is ignored by TWS!
RequestIds = def_message 8, [:number, 1]
# data = { :all_messages => boolean }
RequestNewsBulletins = def_message 12, :all_messages
# data = { :log_level => int }
SetServerLoglevel = def_message 14, :log_level
# data = { :fa_data_type => int } 1 -> groups, 2 -> Profiles, 3 -> Account Aliases
RequestFA = def_message 18, :fa_data_type
# data = { :fa_data_type => int, :xml => String }
ReplaceFA = def_message 19, :fa_data_type, :xml
# data = { :market_data_type => int }
# data => { :id => request_id (int), :contract => Contract }
#
# Special case for options: "wildcards" in the Contract fields retrieve Option chains
# strike = 0 means all strikes
# right = "" meanns both call and put
# expiry = "" means all expiries
# expiry = "2013" means all expiries in 2013
# expiry = "201311" means all expiries in Nov 2013
# You'll get several ContractData (10) messages back if there is more than one match.
# When all the matches are delivered you'll get ContractDataEnd (52) message.
RequestContractDetails = RequestContractData =
def_message([9, 8], :request_id , # autogenerated
[:contract, :serialize_long, [:sec_id_type]])
# Requests security definition option parameters for viewing a contract's option chain
# request_id: The ID chosen for the request
# underlyingSymbol
# futFopExchange: The exchange on which the returned options are trading.
# Can be set to the empty string "" for all exchanges.
# underlyingSecType: The type of the underlying security, i.e. STK
# underlyingConId: the contract ID of the underlying security.
# con_id:
# Responses via Messages::Incoming::SecurityDefinitionOptionParameter
RequestSecurityDefinitionOptionParameters = ReqSecDefOptParams = RequestOptionChainDefinition = def_message [78,0],
:request_id, # autogenerated if not specified
:symbol, # underlyingSymbol
[:exchange, ""], # futOptExchange
:sec_type, # underlyingSecType
:con_id # underlyingConId (required)
# data = { :id => ticker_id (int), :contract => Contract, :num_rows => int }
# Requests venues for which market data is returned to updateMktDepthL2
# returns MarketDepthExchanges-Message
#
RequestMarketDepthExchanges = # requires ServerVersion >= 112
def_message 82
## actual Version supported is: 137
## changes: MIN_SERVER_VER_SMART_DEPTH: 146 --> insert 'is_smarth_depth' after 'num_rows'
## then: 'is_smart_depth' (bool) has to be specified in CancelMarketDepth, too
#
RequestMarketDepth = def_message([10, 5],
:request_id, # autogenerated if not specified
[:contract, :serialize_supershort ],
:num_rows,
"") # mktDataOptionsStr. ## not supported by api
# When this message is sent, TWS responds with ExecutionData messages, each
# containing the execution report that meets the specified criteria.
# @data={:id => int: :request_id,
# :client_id => int: Filter the results based on the clientId.
# :account => Filter the results based on based on account code.
# Note: this is only relevant for Financial Advisor accts.
# :sec_type => Filter the results based on the order security type.
# :time => Filter the results based on execution reports received
# after the specified time - format "yyyymmdd-hh:mm:ss"
# :symbol => Filter the results based on the order symbol.
# :exchange => Filter the results based on the order exchange
# :side => Filter the results based on the order action: BUY/SELL/SSHORT
RequestExecutions = def_message([7, 3],
:request_id, # autogenerated if not specified
:client_id,
:account,
:time, # Format "yyyymmdd-hh:mm:ss"
:symbol,
:sec_type,
:exchange,
:side)
# data = { :id => ticker_id (int),
# :contract => IB::Contract,
# :exercise_action => int, 1 = exercise, 2 = lapse
# :exercise_quantity => int, The number of contracts to be exercised
# :account => string,
# :override => int: Specifies whether your setting will override the
# system's natural action. For example, if your action
# is "exercise" and the option is not in-the-money, by
# natural action the option would not exercise. If you
# have override set to "yes" the natural action would be
# overridden and the out-of-the money option would be
# exercised. Values are:
# - 0 = do not override
# - 1 = override
ExerciseOptions = def_message([ 21, 2 ],
# :request_id, # id -> required # todo : TEST
[:contract, :serialize_short],
:exercise_action,
:exercise_quantity,
:account,
:override)
# The API can receive frozen market data from Trader Workstation. Frozen market
# data is the last data recorded in our system. During normal trading hours,
# the API receives real-time market data. If you use this function, you are
# telling TWS to automatically switch to frozen market data AFTER the close.
# Then, before the opening of the next trading day, market data will automatically
# switch back to real-time market data.
# :market_data_type = 1 (:real_time) for real-time streaming, 2 (:frozen) for frozen market data
# = 3 (:delayed) for delayed streaming , 4 (:frozen_delayed) for frozen delayed
RequestMarketDataType =
def_message 59, [:market_data_type,
lambda { |type| MARKET_DATA_TYPES.invert[type] || type }, []]
# Send this message to receive Reuters global fundamental data. There must be
# a subscription to Reuters Fundamental set up in Account Management before
# you can receive this data.
# data = { :id => int: :request_id,
# :contract => Contract,
# :report_type => String: one of the following:
# 'estimates' - Estimates
# 'finstat' - Financial statements
# 'snapshot' - Summary }a
# ReportsFinSummary Financial summary
#ReportsOwnership Company's ownership (Can be large in size)
#ReportSnapshot Company's financial overview
#ReportsFinStatements Financial Statements
#RESC Analyst Estimates
#CalendarReport Company's calendar
RequestFundamentalData =
def_message([52,2],
:request_id, # autogenerated if not specified
[:contract, :serialize, :primary_exchange],
:report_type,
"" )
# Returns the timestamp of earliest available historical data for a contract and data type.
# :what_to_show: type of data for head timestamp - "BID", "ASK", "TRADES", etc
# :use_rth : use regular trading hours only, 1 for yes or 0 for no
# format_data : set to 2 to obtain it like system time format in second ---> don't change
RequestHeadTimeStamp =
def_message( [87,0], :request_id, # autogenerated
[:contract, :serialize_short, [:primary_exchange,:include_expired] ],
[:use_rth, 1 ],
[:what_to_show, 'Trades' ],
[:format_date, 2 ] ) ## don't change!
CancelHeadTimeStamp =
def_message [90,0 ] # , :(request_)id #required
RequestHistogramData =
def_message( [88, 0], :request_id, # autogenerated
[:contract, :serialize_short, [:primary_exchange,:include_expired] ],
[:use_rth, 1 ],
[:time_period ] )
CancelHistogramData =
def_message [89,0 ] # , :(request_)id required
## Attention: If not reasonable data are used, simply nothing is returned.
## There is no error message either.
RequestCalculateImpliedVolatility = CalculateImpliedVolatility =
RequestImpliedVolatility =
def_message([ 54,3 ],:request_id, # autogenerated
[:contract, :serialize_short],
:option_price,
:under_price,
[:implied_volatility_options_count, 0],
[:implied_volatility_options_conditions, ''])
# data = { :request_id => int, :contract => Contract,
# :volatility => double, :under_price => double }
RequestCalculateOptionPrice = CalculateOptionPrice = RequestOptionPrice =
def_message([ 55, 3], :request_id, #autogenerated if not specified
[:contract, :serialize_short],
:volatility,
:under_price,
[:implied_volatility_options_count, 0],
[:implied_volatility_options_conditions, ''])
# Start receiving market scanner results through the ScannerData messages.
# @data = { :id => ticker_id (int),
# :number_of_rows => int: number of rows of data to return for a query.
# :instrument => The instrument type for the scan. Values include
# 'STK', - US stocks
# 'STOCK.HK' - Asian stocks
# 'STOCK.EU' - European stocks
# :location_code => Legal Values include:
# - STK.US - US stocks
# - STK.US.MAJOR - US stocks (without pink sheet)
# - STK.US.MINOR - US stocks (only pink sheet)
# - STK.HK.SEHK - Hong Kong stocks
# - STK.HK.ASX - Australian Stocks
# - STK.EU - European stocks
# :scan_code => The type of the scan, such as HIGH_OPT_VOLUME_PUT_CALL_RATIO.
# :above_price => double: Only contracts with a price above this value.
# :below_price => double: Only contracts with a price below this value.
# :above_volume => int: Only contracts with a volume above this value.
# :market_cap_above => double: Only contracts with a market cap above this
# :market_cap_below => double: Only contracts with a market cap below this value.
# :moody_rating_above => Only contracts with a Moody rating above this value.
# :moody_rating_below => Only contracts with a Moody rating below this value.
# :sp_rating_above => Only contracts with an S&P rating above this value.
# :sp_rating_below => Only contracts with an S&P rating below this value.
# :maturity_date_above => Only contracts with a maturity date later than this
# :maturity_date_below => Only contracts with a maturity date earlier than this
# :coupon_rate_above => double: Only contracts with a coupon rate above this
# :coupon_rate_below => double: Only contracts with a coupon rate below this
# :exclude_convertible => Exclude convertible bonds.
# :scanner_setting_pairs => Used with the scan_code to help further narrow your query.
# Scanner Setting Pairs are delimited by slashes, making
# this parameter open ended. Example is "Annual,true" -
# when used with 'Top Option Implied Vol % Gainers' scan
# would return annualized volatilities.
# :average_option_volume_above => int: Only contracts with average volume above this
# :stock_type_filter => Valid values are:
# 'ALL' (excludes nothing)
# 'STOCK' (excludes ETFs)
# 'ETF' (includes ETFs) }
# ------------
# To learn all valid parameter values that a scanner subscription can have,
# first subscribe to ScannerParameters and send RequestScannerParameters message.
# Available scanner parameters values will be listed in received XML document.
RequestScannerSubscription =
def_message([22, 3], :request_id ,
[:number_of_rows, -1], # was: EOL,
:instrument,
:location_code,
:scan_code,
:above_price,
:below_price,
:above_volume,
:market_cap_above,
:market_cap_below,
:moody_rating_above,
:moody_rating_below,
:sp_rating_above,
:sp_rating_below,
:maturity_date_above,
:maturity_date_below,
:coupon_rate_above,
:coupon_rate_below,
:exclude_convertible,
:average_option_volume_above, # ?
:scanner_setting_pairs,
:stock_type_filter)
require 'ib/messages/outgoing/place_order'
require 'ib/messages/outgoing/bar_requests'
require 'ib/messages/outgoing/account_requests'
require 'ib/messages/outgoing/request_marketdata'
require 'ib/messages/outgoing/request_tick_data'
end # module Outgoing
end # module Messages
end # module IB
__END__
## python: message.py
REQ_MKT_DATA = 1
CANCEL_MKT_DATA = 2
PLACE_ORDER = 3
CANCEL_ORDER = 4
REQ_OPEN_ORDERS = 5
REQ_ACCT_DATA = 6
REQ_EXECUTIONS = 7
REQ_IDS = 8
REQ_CONTRACT_DATA = 9
REQ_MKT_DEPTH = 10
CANCEL_MKT_DEPTH = 11
REQ_NEWS_BULLETINS = 12
CANCEL_NEWS_BULLETINS = 13
SET_SERVER_LOGLEVEL = 14
REQ_AUTO_OPEN_ORDERS = 15
REQ_ALL_OPEN_ORDERS = 16
REQ_MANAGED_ACCTS = 17
REQ_FA = 18
REPLACE_FA = 19
REQ_HISTORICAL_DATA = 20
EXERCISE_OPTIONS = 21
REQ_SCANNER_SUBSCRIPTION = 22
CANCEL_SCANNER_SUBSCRIPTION = 23
REQ_SCANNER_PARAMETERS = 24
CANCEL_HISTORICAL_DATA = 25
REQ_CURRENT_TIME = 49
REQ_REAL_TIME_BARS = 50
CANCEL_REAL_TIME_BARS = 51
REQ_FUNDAMENTAL_DATA = 52
CANCEL_FUNDAMENTAL_DATA = 53
REQ_CALC_IMPLIED_VOLAT = 54
REQ_CALC_OPTION_PRICE = 55
CANCEL_CALC_IMPLIED_VOLAT = 56
CANCEL_CALC_OPTION_PRICE = 57
REQ_GLOBAL_CANCEL = 58
REQ_MARKET_DATA_TYPE = 59 --> supported by ib-ruby 0.94
REQ_POSITIONS = 61 supported now
REQ_ACCOUNT_SUMMARY = 62 supported now
CANCEL_ACCOUNT_SUMMARY = 63 supported now
CANCEL_POSITIONS = 64 supported now
VERIFY_REQUEST = 65
VERIFY_MESSAGE = 66
QUERY_DISPLAY_GROUPS = 67
SUBSCRIBE_TO_GROUP_EVENTS = 68
UPDATE_DISPLAY_GROUP = 69
UNSUBSCRIBE_FROM_GROUP_EVENTS = 70
START_API = 71
VERIFY_AND_AUTH_REQUEST = 72
VERIFY_AND_AUTH_MESSAGE = 73
REQ_POSITIONS_MULTI = 74 supported now
CANCEL_POSITIONS_MULTI = 75 supported now
REQ_ACCOUNT_UPDATES_MULTI = 76 supported now
CANCEL_ACCOUNT_UPDATES_MULTI = 77 supported now
REQ_SEC_DEF_OPT_PARAMS = 78 supported now
REQ_SOFT_DOLLAR_TIERS = 79
REQ_FAMILY_CODES = 80
REQ_MATCHING_SYMBOLS = 81
REQ_MKT_DEPTH_EXCHANGES = 82
REQ_SMART_COMPONENTS = 83
REQ_NEWS_ARTICLE = 84 in preparation
REQ_NEWS_PROVIDERS = 85 in preparatino
REQ_HISTORICAL_NEWS = 86 in preparation
REQ_HEAD_TIMESTAMP = 87 supported now
REQ_HISTOGRAM_DATA = 88 supported now
CANCEL_HISTOGRAM_DATA = 89 supported now
CANCEL_HEAD_TIMESTAMP = 90 supported now
REQ_MARKET_RULE = 91
REQ_PNL = 92
CANCEL_PNL = 93
REQ_PNL_SINGLE = 94
CANCEL_PNL_SINGLE = 95
REQ_HISTORICAL_TICKS = 96
REQ_TICK_BY_TICK_DATA = 97
CANCEL_TICK_BY_TICK_DATA = 98