Contents

#!/usr/bin/env ruby
#
# This script connects to IB API and subscribes to L2 (depth of market) data for
# specific symbols

require 'pathname'
LIB_DIR = (Pathname.new(__FILE__).dirname + '../lib/').realpath.to_s
$LOAD_PATH.unshift LIB_DIR unless $LOAD_PATH.include?(LIB_DIR)

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

# Definition of what we want L2 data for.  We have to keep track of what ticker id
# corresponds to what symbol ourselves, because the ticks don't include any other
# identifying information. The choice of ticker ids is, as far as I can tell, arbitrary.
@market = {123 => IB::Symbols::Stocks[:wfc],
           456 => IB::Symbols::Futures[:ym],
           789 => IB::Symbols::Forex[:gbpusd]
}

# First, connect to IB TWS.
ib = IB::Connection.new

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

# Subscribe to MarketDepth events.
ib.subscribe(:MarketDepth) do |msg|
  puts @market[msg.data[:id]].description + ": " + msg.to_human
end

# Now we actually request L2 market data for the symbols we're interested in.
@market.each_pair do |id, contract|
  ib.send_message :RequestMarketDepth,
                  :id => id,
                  :contract => contract,
                  :num_rows => 5
end

puts "\nSubscribed to market data"
puts "\n******** Press <Enter> to cancel... *********\n\n"
gets
puts "Cancelling market data subscription.."

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

Version data entries

3 entries across 3 versions & 1 rubygems

Version	Path
ib-ruby-0.5.9	bin/depth_of_market
ib-ruby-0.5.7	bin/depth_of_market
ib-ruby-0.5.2	bin/depth_of_market