Contents

#!/usr/bin/env ruby
#
# This script connects to IB API and subscribes to market data for Forex symbols.
# It then prints out all trades that exceed certain size.

require 'rubygems'
require 'pathname'
require 'bundler/setup'
require 'ib-ruby'

# Define the symbols we're interested in.
@market = {
    123 => IB::Symbols::Futures[:gbp],
    234 => IB::Symbols::Futures[:jpy]
}

# To determine when the timeout has passed.
@last_msg_time = Time.now.to_i + 2

# First, connect to IB TWS. Arbitrary :client_id is used to identify your script
ib = IB::Connection.new :client_id => 1112 #, :port => 7496 # TWS

# Subscribe to TWS alerts/errors
ib.subscribe(:Alert) { |msg| puts msg.to_human }

# This method filters out non-:last type events, and filters out any sale < MIN_SIZE.
# Note that we have to look the ticker id of each incoming message
# up in local memory to figure out what it's for.
# (N.B. The description field is not from IB TWS. It is defined
#  locally in forex.rb, and is just arbitrary text.)
def show_sales_and_size(msg)
  #return if msg.type != :last_price || msg.data[:size] < MIN_SIZE
  puts @market[msg.data[:id]].description + ": " +
           (msg.is_a?(IB::Messages::Incoming::TickPrice) ?
               "#{msg.data[:size]} at #{msg.data[:price]}" : msg.to_human)
end

# Now, subscribe to TickerPrice and TickerSize events.  The code passed in the block
# will be executed when a message of that type is  received, with the received message
# as its argument. In this case, we just print out the tick.
ib.subscribe(:TickPrice, :TickSize, :TickString) { |msg| show_sales_and_size(msg) }

# Now we actually request market data for the symbols we're interested in.
@market.each_pair do |id, contract|
  ib.send_message :RequestMarketData, :id => id, :contract => contract
end

puts "\nSubscribed to TWS market data"
puts "\n******** Press <Enter> to cancel... *********\n\n"
STDIN.gets
puts "Unsubscribing from TWS market data.."

@market.each_pair { |id, contract| ib.send_message :CancelMarketData, :id => id }

Version data entries

1 entries across 1 versions & 1 rubygems

Version	Path
ib-ruby-0.7.4	bin/time_and_sales