Add support for reqHistoricalTicks & reqTickByTickData (#127)

* fix assert typos

* add reqHistoricalTicks (requires TWS build 968+)

https://interactivebrokers.github.io/tws-api/historical_time_and_sales.html

* adds support for reqTickByTickData (time & sales)

https://interactivebrokers.github.io/tws-api/tick_data.html

README.md

@@ -69,6 +69,7 @@ ib.connect()
 .cancelPositionsMulti(requestId)
 .cancelRealTimeBars(tickerId)
 .cancelScannerSubscription(tickerId)
+.cancelTickByTickData(tickerId)
 .exerciseOptions(tickerId, contract, exerciseAction, exerciseQuantity, account, override)
 .placeOrder(id, contract, order)
 .replaceFA(faDataType, xml)
@@ -83,6 +84,8 @@ ib.connect()
 .reqFundamentalData(reqId, contract, reportType)
 .reqGlobalCancel()
 .reqHistoricalData(tickerId, contract, endDateTime, durationStr, barSizeSetting, whatToShow, useRTH, formatDate, keepUpToDate)
+.reqHistoricalTicks(tickerId, contract, startDateTime, endDateTime, numberOfTicks, whatToShow, useRTH, ignoreSize)
+.reqTickByTickData(tickerId, contract, tickType, numberOfTicks, ignoreSize)
 .reqIds(numIds)
 .reqManagedAccts()
 .reqMarketDataType(marketDataType)
@@ -134,6 +137,12 @@ ib.connect()
 .on('execDetailsEnd', function (reqId))
 .on('fundamentalData', function (reqId, data))
 .on('historicalData', function (reqId, date, open, high, low, close, volume, count, WAP, hasGaps))
+.on('historicalTickTradeData', (reqId, timestamp, mask, price, size, exchange, specialConditions))
+.on('historicalTickBidAskData', (reqId, timestamp, mask, priceBid, priceAsk, sizeBid, sizeAsk))
+.on('historicalTickMidPointData', (reqId, timestamp, price, size))
+.on('tickByTickAllLast', reqId, tickType, time, price, size, { pastLimit, unreported }, exchange, specialConditions)
+.on('tickByTickBidAsk', reqId, time, bidPrice, askPrice, bidSize, askSize, { bidPastLow, askPastHigh })
+.on('tickByTickMidPoint', reqId, time, midPoint))
 .on('managedAccounts', function (accountsList))
 .on('marketDataType', function (reqId, marketDataType))
 .on('nextValidId', function (orderId))

examples/reqHistTickData.js

@@ -0,0 +1,60 @@
+var _ = require('lodash');
+var chalk = require('chalk');
+
+var ib = new(require('..'))({
+  // clientId: 0,
+  // host: '127.0.0.1',
+  // port: 4003
+}).on('error', (err) => {
+  console.error(chalk.red(err.message));
+}).on('historicalTickTradeData', (...data) => {
+  console.log(
+    '%s %s%d %s%s %s%d %s%d %s%d %s%s %s%s',
+    chalk.cyan('[historicalTickTradeData]'),
+    chalk.bold('reqId='), data[0],
+    chalk.bold('timestamp='), data[1],
+    chalk.bold('mask='), data[2],
+    chalk.bold('price='), data[3],
+    chalk.bold('size='), data[4],
+    chalk.bold('exchange='), data[5],
+    chalk.bold('specialConditions='), data[6],
+  );
+}).on('historicalTickBidAskData', (...data) => {
+  console.log(
+    '%s %s%d %s%s %s%d %s%d %s%d %s%d %s%d',
+    chalk.cyan('[historicalTickBidAskData]'),
+    chalk.bold('reqId='), data[0],
+    chalk.bold('timestamp='), data[1],
+    chalk.bold('mask='), data[2],
+    chalk.bold('priceBid='), data[3],
+    chalk.bold('priceAsk='), data[4],
+    chalk.bold('sizeBid='), data[5],
+    chalk.bold('sizeAsk='), data[6],
+  );
+}).on('historicalTickMidPointData', (...data) => {
+    console.log(
+      '%s %s%d %s%s %s%d %s%d',
+      chalk.cyan('[historicalTickMidPointData]'),
+      chalk.bold('reqId='), data[0],
+      chalk.bold('timestamp='), data[1],
+      chalk.bold('price='), data[2],
+      chalk.bold('size='), data[3]
+    );
+  });
+
+
+ib.connect();
+
+// tickerId, contract, startDateTime, endDateTime, numberOfTicks, whatToShow, useRTH, ignoreSize
+ib.reqHistoricalTicks(1, ib.contract.stock('SPY', 'SMART', 'USD'), '20180711 12:00:00', null, 10, 'TRADES', 1, false);
+ib.reqHistoricalTicks(2, ib.contract.stock('SPY', 'SMART', 'USD'), '20180711 12:00:00', null, 10, 'BID_ASK', 1, false);
+ib.reqHistoricalTicks(3, ib.contract.stock('SPY', 'SMART', 'USD'), '20180711 12:00:00', null, 10, 'MIDPOINT', 1, false);
+
+
+ib.on('historicalTickDataEnd', (reqId) => {
+  console.log(
+    '%s %s%d',
+    chalk.cyan('[historicalTickDataEnd]'),
+    chalk.bold('reqId='), reqId
+  );
+});

examples/reqTickByTickData.js

@@ -0,0 +1,68 @@
+var _ = require('lodash');
+var chalk = require('chalk');
+
+var ib = new(require('..'))({
+  // clientId: 0,
+  // host: '127.0.0.1',
+  // port: 4003
+}).on('error', (err) => {
+  console.error(chalk.red(err.message));
+}).on('tickByTickAllLast', (...data) => {
+  console.log(
+    '%s %s%d %s%d %s%d %s%d %s%s %s%s %s%s',
+    chalk.cyan('[tickByTickAllLast]'),
+    chalk.bold('reqId='), data[0],
+    chalk.bold('tickType='), data[1],
+    chalk.bold('timestamp='), data[2],
+    chalk.bold('price='), data[3],
+    chalk.bold('size='), data[4],
+    chalk.bold('attributes='), JSON.stringify(data[5]),
+    chalk.bold('exchange='), data[6],
+    chalk.bold('specialConditions='), data[7],
+  );
+}).on('tickByTickBidAsk', (...data) => {
+  console.log(
+    '%s %s%d %s%s %s%d %s%d %s%d %s%d %s%s',
+    chalk.cyan('[tickByTickBidAsk]'),
+    chalk.bold('reqId='), data[0],
+    chalk.bold('timestamp='), data[1],
+    chalk.bold('priceBid='), data[2],
+    chalk.bold('priceAsk='), data[3],
+    chalk.bold('sizeBid='), data[4],
+    chalk.bold('sizeAsk='), data[5],
+    chalk.bold('attributes='), JSON.stringify(data[6]),
+  );
+}).on('tickByTickMidPoint', (...data) => {
+  console.log(
+    '%s %s%d %s%s %s%d',
+    chalk.cyan('[tickByTickMidPoint]'),
+    chalk.bold('reqId='), data[0],
+    chalk.bold('timestamp='), data[1],
+    chalk.bold('midpoint='), data[2],
+  );
+});
+
+ib.connect();
+
+// tickerId, contract, tick type (BidAsk, Last, AllLast, MidPoint), numberOfTicks, ignoreSize
+ib.reqTickByTickData(1, ib.contract.stock('SPY', 'SMART', 'USD'), 'BidAsk', 0, false)
+//ib.reqTickByTickData(1, ib.contract.stock('SPY', 'SMART', 'USD'), 'AllLast', 0, false)
+//ib.reqTickByTickData(1, ib.contract.stock('SPY', 'SMART', 'USD'), 'Last', 0, false)
+//ib.reqTickByTickData(1, ib.contract.stock('SPY', 'SMART', 'USD'), 'MidPoint', 0, false)
+
+setTimeout(() => {
+  console.log(
+    '%s %s%d',
+    chalk.cyan('sending [cancelTickByTickData]'),
+    chalk.bold('reqId='), 1);
+
+  ib.cancelTickByTickData(1);
+  ib.disconnect();
+}, 5000);
+
+//
+// [tickByTickBidAsk]   reqId=1 timestamp=1531426792 priceBid=279.15 priceAsk=279.18 sizeBid=200 sizeAsk=3100 attributes={"bidPastLow":false,"askPastHigh":false}
+// [tickByTickAllLast]  reqId=1 tickType=2 timestamp=1531426753 price=279.15 size=200 attributes={"pastLimit":false,"unreported":false} exchange=BATS specialConditions= T
+// [tickByTickAllLast]  reqId=1 tickType=1 timestamp=1531426672 price=279.15 size=213 attributes={"pastLimit":false,"unreported":false} exchange=BATS specialConditions= FT
+// [tickByTickMidPoint] reqId=1 timestamp=1531426697 midpoint=279.16
+//

lib/constants.js

@@ -75,6 +75,10 @@ exports.INCOMING = {
   HISTORICAL_NEWS_END       : 87,
   HEAD_TIMESTAMP            : 88,
   HISTOGRAM_DATA            : 89,
+  HISTORICAL_TICKS          : 96,
+  HISTORICAL_TICKS_BID_ASK  : 97,
+  HISTORICAL_TICKS_LAST     : 98,
+  TICK_BY_TICK              : 99
 };
 
 // outgoing msg id's
@@ -143,7 +147,10 @@ exports.OUTGOING = {
   REQ_HISTORICAL_NEWS           : 86,
   REQ_HEAD_TIMESTAMP            : 87,
   REQ_HISTOGRAM_DATA            : 88,
-  CANCEL_HISTOGRAM_DATA         : 89
+  CANCEL_HISTOGRAM_DATA         : 89,
+  REQ_HISTORICAL_TICKS          : 96,
+  REQ_TICK_BY_TICK_DATA         : 97,
+  CANCEL_TICK_BY_TICK_DATA      : 98
 };
 
 exports.MIN_SERVER_VER = {
@@ -219,7 +226,8 @@ exports.MIN_SERVER_VER = {
   MARKET_RULES           : 126,
   PNL                    : 127,
   NEWS_QUERY_ORIGINS     : 128,
-  SERVER_VER_UNREALIZED_PNL : 129
+  SERVER_VER_UNREALIZED_PNL : 129,
+  MIN_SERVER_VER_HISTORICAL_TICKS: 130
 };
 
 

lib/incoming.js

@@ -420,6 +420,128 @@ Incoming.prototype._HISTORICAL_DATA = function () {
   this._emit('historicalData', reqId, completedIndicator, -1, -1, -1, -1, -1, -1, -1, false);
 };
 
+Incoming.prototype._HISTORICAL_TICKS_LAST = function() {
+  var reqId = this.dequeueInt();
+  var tickCount = this.dequeueInt();
+
+  var date;
+  var mask;
+  var price;
+  var size;
+  var exchange;
+  var specialConditions;
+
+  while (tickCount--) {
+    date = this.dequeue();
+    mask = this.dequeueInt();
+    price = this.dequeueFloat();
+    size = this.dequeueInt();
+    exchange = this.dequeue();
+    specialConditions = this.dequeue();
+
+    this._emit('historicalTickTradeData', reqId, date, mask, price, size, exchange, specialConditions);
+  }
+
+  var done = this.dequeueBool();
+
+  if (done) {
+    this._emit('historicalTickDataEnd', reqId);
+  }
+};
+
+Incoming.prototype._HISTORICAL_TICKS_BID_ASK = function() {
+  var reqId = this.dequeueInt();
+  var tickCount = this.dequeueInt();
+
+  var date;
+  var mask;
+  var priceBid;
+  var sizeBid;
+  var priceAsk;
+  var sizeAsk;
+
+  while (tickCount--) {
+    date = this.dequeue();
+    mask = this.dequeueInt();
+    priceBid = this.dequeueFloat();
+    sizeBid = this.dequeueInt();
+    priceAsk = this.dequeueFloat();
+    sizeAsk = this.dequeueInt();
+    this._emit('historicalTickBidAskData', reqId, date, mask, priceBid, priceAsk, sizeBid, sizeAsk);
+  }
+
+  var done = this.dequeueBool();
+
+  if (done) {
+    this._emit('historicalTickDataEnd', reqId);
+  }
+};
+
+Incoming.prototype._HISTORICAL_TICKS = function() { // MIDPOINT (size appears to always be zero)
+  var reqId = this.dequeueInt();
+  var tickCount = this.dequeueInt();
+
+  var date;
+  var price;
+  var size;
+
+  while (tickCount--) {
+    date = this.dequeue();
+    this.dequeueInt();//for consistency
+    price = this.dequeueFloat();
+    size = this.dequeueInt();
+
+    this._emit('historicalTickMidPointData', reqId, date, price, size);
+  }
+
+  var done = this.dequeueBool();
+
+  if (done) {
+    this._emit('historicalTickDataEnd', reqId);
+  }
+};
+
+Incoming.prototype._TICK_BY_TICK = function () {
+  var reqId = this.dequeueInt();
+  var tickType = this.dequeueInt();
+  var time = this.dequeue();
+
+  var mask;
+
+  switch (tickType){
+    case 0: // None
+      break;
+    case 1: // Last
+    case 2: // Alllast
+      var price = this.dequeueFloat();
+      var size = this.dequeueInt();
+      mask = this.dequeueInt();
+      var pastLimit = (mask & (1 << 0)) !== 0;
+      var unreported = (mask & (1 << 1)) !== 0;
+      var exchange = this.dequeue();
+      var specialConditions = this.dequeue();
+
+      this._emit('tickByTickAllLast', reqId, tickType, time, price, size, { pastLimit, unreported }, exchange, specialConditions);
+      break;
+    case 3: // BidAsk
+      var bidPrice = this.dequeueFloat();
+      var askPrice = this.dequeueFloat();
+      var bidSize = this.dequeueInt();
+      var askSize = this.dequeueInt();
+      mask = this.dequeueInt();
+      var bidPastLow = (mask & (1 << 0)) !== 0;
+      var askPastHigh = (mask & (1 << 1)) !== 0;
+
+      this._emit('tickByTickBidAsk', reqId, time, bidPrice, askPrice, bidSize, askSize, { bidPastLow, askPastHigh });
+      break;
+    case 4: // MidPoint
+      var midPoint = this.dequeueFloat();
+
+      this._emit('tickByTickMidPoint', reqId, time, midPoint);
+      break;
+  }
+};
+
 Incoming.prototype._HEAD_TIMESTAMP = function() {
   var reqId         = this.dequeueInt();
   var headTimestamp = this.dequeue();

lib/index.js

@@ -313,6 +313,44 @@ IB.prototype.reqHistoricalData = function (tickerId, contract, endDateTime, dura
   return this;
 };
 
+IB.prototype.reqHistoricalTicks = function (tickerId, contract, startDateTime, endDateTime, numberOfTicks,
+                                whatToShow, useRTH, ignoreSize){
+  assert(_.isNumber(tickerId), '"tickerId" must be an integer - ' + tickerId);
+  assert(_.isPlainObject(contract), '"contract" must be a plain object - ' + contract);
+  if (startDateTime && endDateTime || !startDateTime && !endDateTime) {
+    assert.fail('specify one of "startDateTime" or "endDateTime" (as a string) but not both - ' + startDateTime + ':' + endDateTime);
+  }
+  assert(_.isNumber(numberOfTicks), '"numberOfTicks" must be a number - ' + numberOfTicks);
+  assert(_.isString(whatToShow), '"whatToShow" must be a string - ' + whatToShow);
+  assert(_.isNumber(useRTH), '"useRTH" must be an integer - ' + useRTH);
+  assert(_.isBoolean(ignoreSize), '"ignoreSize" must be an boolean - ' + ignoreSize);
+
+  this._send('reqHistoricalTicks', tickerId, contract, startDateTime, endDateTime, numberOfTicks, 
+                                    whatToShow, useRTH, ignoreSize);
+
+  return this;
+};
+
+IB.prototype.reqTickByTickData = function (tickerId, contract, tickType, numberOfTicks, ignoreSize) {
+  assert(_.isNumber(tickerId), '"tickerId" must be an integer - ' + tickerId);
+  assert(_.isPlainObject(contract), '"contract" must be a plain object - ' + contract);
+  assert(_.isString(tickType), '"tickType" must be a string - ' + tickType);
+  assert(_.isNumber(numberOfTicks), '"numberOfTicks" must be a number - ' + numberOfTicks);
+  assert(_.isBoolean(ignoreSize), '"ignoreSize" must be an boolean - ' + ignoreSize);
+
+  this._send('reqTickByTickData', tickerId, contract, tickType, numberOfTicks, ignoreSize);
+
+  return this;
+};
+
+IB.prototype.cancelTickByTickData = function (tickerId) {
+  assert(_.isNumber(tickerId), '"tickerId" must be an integer - ' + tickerId);
+
+  this._send('cancelTickByTickData', tickerId);
+
+  return this;
+};
+
 IB.prototype.reqIds = function (numIds) {
   assert(_.isNumber(numIds), '"numIds" must be an integer - ' + numIds);