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Contents
require 'integration_helper'
# Define butterfly
def butterfly symbol, expiry, right, *strikes
raise 'Unable to create butterfly, no connection' unless @ib && @ib.connected?
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
# Return butterfly Combo
IB::Bag.new :symbol => symbol,
:currency => "USD", # Only US options in combo Contracts
:exchange => "SMART",
:legs => legs
end
Version data entries
14 entries across 14 versions & 1 rubygems