Add support for reqHistoricalTicks & reqTickByTickData #127
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,60 @@ | ||
| var _ = require('lodash'); | ||
| var chalk = require('chalk'); | ||
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| 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] | ||
| ); | ||
| }); | ||
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| ib.connect(); | ||
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| // 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); | ||
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| ib.on('historicalTickDataEnd', (reqId) => { | ||
| console.log( | ||
| '%s %s%d', | ||
| chalk.cyan('[historicalTickDataEnd]'), | ||
| chalk.bold('reqId='), reqId | ||
| ); | ||
| }); |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,68 @@ | ||
| var _ = require('lodash'); | ||
| var chalk = require('chalk'); | ||
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| 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], | ||
| ); | ||
| }); | ||
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| ib.connect(); | ||
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| // 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) | ||
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| setTimeout(() => { | ||
| console.log( | ||
| '%s %s%d', | ||
| chalk.cyan('sending [cancelTickByTickData]'), | ||
| chalk.bold('reqId='), 1); | ||
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| ib.cancelTickByTickData(1); | ||
| ib.disconnect(); | ||
| }, 5000); | ||
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| // | ||
| // [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 | ||
| // |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
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@@ -420,6 +420,128 @@ Incoming.prototype._HISTORICAL_DATA = function () { | |
| this._emit('historicalData', reqId, completedIndicator, -1, -1, -1, -1, -1, -1, -1, false); | ||
| }; | ||
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| Incoming.prototype._HISTORICAL_TICKS_LAST = function() { | ||
| var reqId = this.dequeueInt(); | ||
| var tickCount = this.dequeueInt(); | ||
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| var date; | ||
| var mask; | ||
| var price; | ||
| var size; | ||
| var exchange; | ||
| var specialConditions; | ||
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| while (tickCount--) { | ||
| date = this.dequeue(); | ||
| mask = this.dequeueInt(); | ||
| price = this.dequeueFloat(); | ||
| size = this.dequeueInt(); | ||
| exchange = this.dequeue(); | ||
| specialConditions = this.dequeue(); | ||
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| this._emit('historicalTickTradeData', reqId, date, mask, price, size, exchange, specialConditions); | ||
| } | ||
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| var done = this.dequeueBool(); | ||
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| if (done) { | ||
| this._emit('historicalTickDataEnd', reqId); | ||
|
There was a problem hiding this comment. Useful event but no correspondence with the IB API. By reading the documentation, I expected two parameters - an array of ticks, and a Boolean |
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| } | ||
| }; | ||
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| Incoming.prototype._HISTORICAL_TICKS_BID_ASK = function() { | ||
| var reqId = this.dequeueInt(); | ||
| var tickCount = this.dequeueInt(); | ||
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| var date; | ||
| var mask; | ||
| var priceBid; | ||
| var sizeBid; | ||
| var priceAsk; | ||
| var sizeAsk; | ||
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| 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); | ||
|
There was a problem hiding this comment. This should be |
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| } | ||
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| var done = this.dequeueBool(); | ||
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| if (done) { | ||
| this._emit('historicalTickDataEnd', reqId); | ||
| } | ||
| }; | ||
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| Incoming.prototype._HISTORICAL_TICKS = function() { // MIDPOINT (size appears to always be zero) | ||
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| var reqId = this.dequeueInt(); | ||
| var tickCount = this.dequeueInt(); | ||
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| var date; | ||
| var price; | ||
| var size; | ||
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| while (tickCount--) { | ||
| date = this.dequeue(); | ||
| this.dequeueInt();//for consistency | ||
| price = this.dequeueFloat(); | ||
| size = this.dequeueInt(); | ||
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| this._emit('historicalTickMidPointData', reqId, date, price, size); | ||
|
There was a problem hiding this comment. This should be |
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| } | ||
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| var done = this.dequeueBool(); | ||
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| if (done) { | ||
| this._emit('historicalTickDataEnd', reqId); | ||
| } | ||
| }; | ||
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| Incoming.prototype._TICK_BY_TICK = function () { | ||
| var reqId = this.dequeueInt(); | ||
| var tickType = this.dequeueInt(); | ||
| var time = this.dequeue(); | ||
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| var mask; | ||
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| 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(); | ||
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| 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; | ||
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| this._emit('tickByTickBidAsk', reqId, time, bidPrice, askPrice, bidSize, askSize, { bidPastLow, askPastHigh }); | ||
| break; | ||
| case 4: // MidPoint | ||
| var midPoint = this.dequeueFloat(); | ||
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| this._emit('tickByTickMidPoint', reqId, time, midPoint); | ||
| break; | ||
| } | ||
| }; | ||
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| Incoming.prototype._HEAD_TIMESTAMP = function() { | ||
| var reqId = this.dequeueInt(); | ||
| var headTimestamp = this.dequeue(); | ||
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The name
historicalTickTradeDatadoesn't match the IB API documentation for TRADE data ticks. It should behistoricalTicksLast. I've spent quite a bit of time trying to figure out this mismatch, because node-ib doesn't have documentation and points at the official IB API docs.