ib-ruby

Ruby Implementation of the Interactive Brokers Trader Workstation (TWS) API v.965-967.

Copyright (C) 2006-2012 Paul Legato, Wes Devauld, and Ar Vicco.

https://github.com/ib-ruby/ib-ruby

WARNING: This software is provided AS-IS with NO WARRANTY, express or implied. Your use of this software is at your own risk. It may contain any number of bugs, known or unknown, which might cause you to lose money if you use it. You've been warned.

This code is not sanctioned or supported by Interactive Brokers.

SUMMARY:

This is a pure Ruby implementation of Interactive Brokers API. It is NOT a wrapper for a Java or C++ API, but rather uses socket API directly. So it does not have any dependencies other than TWS/Gateway itself.

Why Ruby? Many people are put off by the amount of boilerplate code/plumbing required by Java, ActiveX or C++ API to do even the simplest of things, like getting account data and placing/monitoring orders. This library intends to keep all the fluff away and let you focus on writing your business logics, rather than useless boilerplate.

No more endless definitions of obligatory methods you'd never need, no spaghetti code to divide your execution flow between multiple callbacks and interfaces.

Instead, a very simple paradigm is offered: your code interacts with the server (TWS or Gateway) via exchange of messages. You subscribe to the server messages that you're interested in, and send messages to server that request specific data from it. You wait for specific messages being received, or other conditions you define. The execution flow is under your control, rather than delegated somewhere.

Using this clear paradigm, you can hack together a simple automation of your daily TWS-related routine in just a couple of minutes. Alternatively, you can create a mechanical trading system with complex order processing logics, that contains 1/10th of code and is 500% more maintaineable than it is possible with other API implementations. The choice is yours.

INSTALLATION:

From RubyGems

$ sudo gem install ib-ruby [-v version]

From Source

$ git clone https://github.com/ib-ruby/ib-ruby
$ cd ib-ruby; rake gem:install

PREREQUISITES:

1. Install Interactive Brokers connectivity software: either TWS or Gateway

2. Configure the software to allow API connections from the computer you plan to run ib-ruby on, which is typically localhost (127.0.0.1) if you're running ib-ruby on the same machine as TWS/Gateway. Here you can see how this is done for TWS.

3. Make sure sure your ib-ruby gem version is compatible with your software version. As a rule of thumb, most recent ib-ruby gem only supports latest versions of TWS/Gateway API. Older versions of API are supported by previous gem versions:

   ib-ruby gem	TWS version	API version
   0.5.21	918-920	965
   0.6.1	921-923	966
   0.7.1+	924+	967

4. Start Interactive Broker's Trader Work Station or Gateway before your code attempts to connect to it. Note that TWS and Gateway listen to different ports, this library assumes connection to Gateway on the same machine (localhost:4001) by default, this can be changed via :host and :port options given to IB::Connection.new.

SYNOPSIS:

This is an example of your script that requests and prints out account data, then places limit order to buy 100 lots of WFC and waits for execution. All in about ten lines of code - and without sacrificing code readability or flexibility.

require 'ib-ruby'

ib = IB::Connection.new :port => 7496
ib.subscribe(:Alert, :AccountValue) { |msg| puts msg.to_human }
ib.send_message :RequestAccountData
ib.wait_for :AccountDownloadEnd

ib.subscribe(:OpenOrder) { |msg| puts "Placed: #{msg.order}!" }
ib.subscribe(:ExecutionData) { |msg| puts "Filled: #{msg.execution}!" }
contract = IB::Contract.new :symbol => 'WFC', :exchange => 'NYSE',
                            :currency => 'USD', :sec_type => :stock
buy_order = IB::Order.new :total_quantity => 100, :limit_price => 21.00,
                            :action => :buy, :order_type => :limit
ib.place_order buy_order, contract
ib.wait_for :ExecutionData

Your code interacts with TWS via exchange of messages. Messages that you send to TWS are called 'Outgoing', messages your code receives from TWS - 'Incoming'.

First, you need to subscribe to incoming message types you're interested in using Connection#subscribe. The code block (or proc) given to #subscribe will be executed when an incoming message of the this type is received from TWS, with the received message as its argument.

Then, you request specific data from TWS using Connection#send_message or place your order using Connection#place_order. TWS will respond with messages that you should have subscribed for, and these messages will be processed in a code block given to #subscribe.

In order to give TWS time to respond, you either run a message processing loop or just wait until Connection receives the messages type you requested.

See lib/ib-ruby/messages for a full list of supported incoming/outgoing messages and their attributes. The original TWS docs and code samples can also be found in misc directory.

The sample scripts in bin directory provide examples of how common tasks can be achieved using ib-ruby. You may also want to look into spec/integration directory for more scenarios and examples of handling IB messages.

RUNNING TESTS:

The gem comes with a spec suit that may be used to test ib-ruby compatibility with your specific TWS/Gateway installation. The test suit should be run ONLY against your IB paper trading account. Running it against live account may result in financial losses.

In order to run tests, you should set up your IB paper trading connection parameters in 'spec/spec_helper' file. Modify account_name, host and port under section 'Your IB PAPER ACCOUNT'. Do not change the client_id.

Before running tests, you need to start your TWS/Gateway and allow API connection. You should not have any open/pending orders on your IB paper trading account prior to running tests, otherwise some tests will fail. Use 'bin/cancel_orders' script for bulk cancelling of open orders before running tests as needed.

You can easily create your own tests following the guide in 'spec/README'. Help the development! See 'spec/TODO' for the list of use cases/scenarios that still need to be tested.

DB BACKEND:

Latest versions of the gem added (optional and experimental) support for data persistance (ActiveRecord ORM). In order to use this support, you have to set up the database (SQLite recommended for simplicity) and run migrations located at 'db/migrate' folder.

You further need to:

require 'ib-ruby/db'

IB::DB.connect :adapter => 'sqlite3',
               :database => 'db/test.sqlite3'

require 'ib-ruby'

Only require 'ib-ruby' AFTER you connected to DB, otherwise your Models will not inherit from ActiveRecord::Base and won't be persistent. If you are using Rails, you don't need IB::DB.connect part, Rails will take care of it for you. So, just use:

require 'ib-ruby/db'
require 'ib-ruby'

Now, all your IB Models are just ActiveRecords and you can do whatever you want with them: persist to DB, use in Rails applications, develop controllers and views.

LICENSE:

This software is available under the LGPL.

This library is free software; you can redistribute it and/or modify it under the terms of the GNU Lesser General Public License as published by the Free Software Foundation; either version 2.1 of the License, or (at your option) any later version.

This library is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the file LICENSE for full licensing details of GNU Lesser General Public License.

You should have received a copy of the GNU Lesser General Public License along with this library; if not, write to the Free Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA