HistoricToCSV

#!/usr/bin/env ruby -w
#
# Copyright (C) 2009 Wes Devauld 
#
# 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 GNU
# Lesser General Public License for more details.
#
# 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
#
# TODO Fix the Historical command line client
#

require File.expand_path(
    File.join(File.dirname(__FILE__), '..', 'lib', 'ib-ruby'))

### Configurable Options

# if Quiet == false, status data will be printed to STDERR
Quiet = false

# How long to wait when no messages are received from TWS before
# exiting, in seconds
Timeout = 10 

SymbolToRequest = IB::Symbols::Forex[:gbpusd]

### end options


#
# Definition of what we want market 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.
#
# Note that as of 4/07 there is no historical data available for forex spot.
#
@market =
  {
    123 => SymbolToRequest 
  }

# To determine when the timeout has passed.
@last_msg_time = Time.now.to_i + 2

# Connect to IB TWS.
ib = IB::IB.new

# Uncomment this for verbose debug messages:
# IB::IBLogger.level = Logger::Severity::DEBUG

#
# Now, subscribe to HistoricalData incoming events.  The code
# passed in the block will be executed when a message of that type is
# received, with the received message as its argument. In this case,
# we just print out the data.
#
# Note that we have to look the ticker id of each incoming message
# up in local memory to figure out what it's for.
#
# (N.B. The description field is not from IB TWS. It is defined
#  locally in forex.rb, and is just arbitrary text.)


ib.subscribe(IB::IncomingMessages::HistoricalData, lambda {|msg|

               STDERR.puts @market[msg.data[:req_id]].description + ": " + msg.data[:item_count].to_s("F") + " items:" unless Quiet

               msg.data[:history].each { |datum|

                 @last_msg_time = Time.now.to_i

                 STDERR.puts "   " + datum.to_s("F") unless Quiet
                 STDOUT.puts "#{datum.date},#{datum.open.to_s("F")},#{datum.high.to_s("F")},#{datum.low.to_s("F")},#{datum.close.to_s("F")},#{datum.volume}"
               }
             })

# Now we actually request historical data for the symbols we're
# interested in.  TWS will respond with a HistoricalData message,
# which will be received by the code above.

@market.each_pair {|id, contract|
  msg = IB::OutgoingMessages::RequestHistoricalData.new({
                                                          :ticker_id => id,
                                                          :contract => contract,
                                                          :end_date_time => Time.now.to_ib,
                                                          :duration => (360).to_s, # how long before end_date_time to request in seconds - this means 1 day
                                                          :bar_size => IB::OutgoingMessages::RequestHistoricalData::BarSizes.index(:hour),
                                                          :what_to_show => :trades,
                                                          :use_RTH => 0,
                                                          :format_date => 2
                                                        })
  ib.dispatch(msg)
}


while true
  exit(0) if Time.now.to_i > @last_msg_time + Timeout
  sleep 1
end