ib - npm Package Compare versions

Comparing version 0.2.4 to 0.2.5

lib/constants.js

@@ -78,2 +78,6 @@ exports.VERSION = 'twsapi_macunix.970.01';
   HISTOGRAM_DATA            : 89,
+  HISTORICAL_TICKS          : 96,
+  HISTORICAL_TICKS_BID_ASK  : 97,
+  HISTORICAL_TICKS_LAST     : 98,
+  TICK_BY_TICK              : 99
 };
@@ -147,3 +151,6 @@
   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
 };
@@ -224,3 +231,4 @@
   NEWS_QUERY_ORIGINS     : 128,
-  SERVER_VER_UNREALIZED_PNL : 129
+  SERVER_VER_UNREALIZED_PNL : 129,
+  MIN_SERVER_VER_HISTORICAL_TICKS: 130
 };
@@ -227,0 +235,0 @@

lib/incoming.js

@@ -423,2 +423,124 @@ var _ = require('lodash');
 
+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() {
@@ -425,0 +547,0 @@ var reqId         = this.dequeueInt();

lib/index.js

@@ -316,2 +316,40 @@ var assert = require('assert');
 
+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) {
@@ -318,0 +356,0 @@ assert(_.isNumber(numIds), '"numIds" must be an integer - ' + numIds);

lib/order/market.js

@@ -7,3 +7,3 @@ var assert = require('assert');
   assert(_.isString(action), 'Action must be a string.');
-  assert(_.isNumber(quantity), 'Quantity must be a string.');
+  assert(_.isNumber(quantity), 'Quantity must be a number.');
 
@@ -10,0 +10,0 @@ if (transmitOrder === undefined) {

lib/order/marketClose.js

@@ -7,3 +7,3 @@ var assert = require('assert');
   assert(_.isString(action), 'Action must be a string.');
-  assert(_.isNumber(quantity), 'Quantity must be a string.');
+  assert(_.isNumber(quantity), 'Quantity must be a number.');
 
@@ -10,0 +10,0 @@ if (transmitOrder === undefined) {

lib/order/stopLimit.js

@@ -7,3 +7,3 @@ var assert = require('assert');
   assert(_.isString(action), 'Action must be a string.');
-  assert(_.isNumber(quantity), 'Quantity must be a string.');
+  assert(_.isNumber(quantity), 'Quantity must be a number.');
   assert(_.isNumber(stopPrice), 'Stop price must be a number.');
@@ -10,0 +10,0 @@ assert(_.isNumber(limitPrice), 'Limit price must be a number.');

lib/outgoing.js

@@ -1053,2 +1053,99 @@ var _ = require('lodash');
 
+Outgoing.prototype.reqHistoricalTicks = function (tickerId, contract, startDateTime, endDateTime,
+  numberOfTicks, whatToShow, useRTH, ignoreSize) {
+
+  if (this._controller._serverVersion < 73) {
+    return this._controller.emitError('It does not support historical tick data backfill.');
+  }
+
+  var args = [C.OUTGOING.REQ_HISTORICAL_TICKS, tickerId];
+
+  // send contract fields
+  if (this._controller._serverVersion >= C.MIN_SERVER_VER.TRADING_CLASS) {
+    args.push(contract.conId);
+  }
+
+  args.push(contract.symbol);
+  args.push(contract.secType);
+  args.push(contract.expiry);
+  args.push(contract.strike);
+  args.push(contract.right);
+  args.push(contract.multiplier);
+  args.push(contract.exchange);
+  args.push(contract.primaryExch);
+  args.push(contract.currency);
+  args.push(contract.localSymbol);
+  args.push(contract.tradingClass);
+  args.push(contract.includeExpired);
+  
+  args.push(startDateTime);
+  args.push(endDateTime);
+  
+  args.push(numberOfTicks);
+  args.push(whatToShow);
+  args.push(useRTH);
+
+  if (_.isString(contract.secType) &&
+      C.BAG_SEC_TYPE.toUpperCase() === contract.secType.toUpperCase()) {
+    if (!_.isArray(contract.comboLegs)) {
+      args.push(0);
+    } else {
+      args.push(contract.comboLegs.length);
+
+      contract.comboLegs.forEach(function (comboLeg) {
+        args.push(comboLeg.conId);
+        args.push(comboLeg.ratio);
+        args.push(comboLeg.action);
+        args.push(comboLeg.exchange);
+      });
+    }
+  }
+
+  args.push(ignoreSize);
+
+  if (this._controller._serverVersion >= C.MIN_SERVER_VER.LINKING) {
+    args.push('');
+  }
+
+  this._send(args);
+};
+
+Outgoing.prototype.reqTickByTickData = function (tickerId, contract, tickType, numberOfTicks, ignoreSize){
+  if (this._controller._serverVersion < 73) {
+    return this._controller.emitError('It does not support tick by tick data.');
+  }
+
+  var args = [C.OUTGOING.REQ_TICK_BY_TICK_DATA, tickerId];
+
+  // send contract fields
+  args.push(contract.conId);
+  args.push(contract.symbol);
+  args.push(contract.secType);
+  args.push(contract.expiry);
+  args.push(contract.strike);
+  args.push(contract.right);
+  args.push(contract.multiplier);
+  args.push(contract.exchange);
+  args.push(contract.primaryExch);
+  args.push(contract.currency);
+  args.push(contract.localSymbol);
+  args.push(contract.tradingClass);
+
+  args.push(tickType);
+  args.push(numberOfTicks);
+  args.push(ignoreSize);
+  
+  this._send(args);
+};
+
+Outgoing.prototype.cancelTickByTickData = function (tickerId) {
+   if (this._controller._serverVersion < 73) {
+    return this._controller.emitError('It does not support tick by tick data.');
+  }
+
+  var args = [C.OUTGOING.CANCEL_TICK_BY_TICK_DATA, tickerId];
+  
+  this._send(args);
+};
+
 Outgoing.prototype.reqIds = function (numIds) {
@@ -1055,0 +1152,0 @@ var version = 1;

package.json

 {
   "name": "ib",
   "description": "Interactive Brokers TWS (or IB Gateway) API client library for Node.js",
-  "version": "0.2.4",
+  "version": "0.2.5",
   "license": "MIT",
@@ -6,0 +6,0 @@ "author": {

README.md

@@ -72,2 +72,3 @@ [![Logo](https://raw.github.com/pilwon/node-ib/master/logo.jpg)](http://interactivebrokers.com/)
 .cancelScannerSubscription(tickerId)
+.cancelTickByTickData(tickerId)
 .exerciseOptions(tickerId, contract, exerciseAction, exerciseQuantity, account, override)
@@ -87,2 +88,4 @@ .placeOrder(id, contract, order)
 .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)
@@ -139,2 +142,8 @@ .reqManagedAccts()
 .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))
@@ -141,0 +150,0 @@ .on('marketDataType', function (reqId, marketDataType))

No alert changes

Improved metrics

Total package byte prevSize

139300

increased by6.75%

Lines of code

3533

increased by6.42%

Number of lines in readme file

239

increased by3.91%

No dependency changes