require 'ib-api' require 'ib/spread-prototypes'in your scripts.
As for Order-Prototypes Spread-Prototypes are provided to ease the definition of complex-positions. Spread-Prototypesautomate the creation of IB::Spread-Contracts.
Spreads
IB-Spread provides :add_legand :remove_leg methods, to be used, for example, to roll an option:
#( in perfom in the gateway-console )
> account = G.active_accounts.first
> o1 = Option.new( symbol: 'DAI', exchange: 'DTB',
strike: 50, expiry: 20181221, right: :put )
> o2 = o1.merge expiry: 201902 ## use o1 as template
> s = IB::Spread.new
> s.add_leg o1, action: :buy
> s.add_leg o2, action: :sell
> s.legs.to_human
=> ["<Option: DAI 20181221 put 50.0 DTB EUR>", "<Option: DAI 20190215 put 50.0 DTB EUR>"]
> s.combo_legs.to_human
=> ["<ComboLeg: buy 1 con_id 299669864 at DTB>", "<ComboLeg: sell 1 con_id 342146619 at DTB>"]
> s.currency = 'EUR'; s.symbol = 'DAI'; s.exchange = 'DTB'
> account.preview order: Limit.order( action: :buy, size: 10, price: 3.5 ), contract: s
=> {:init_margin=>0.993409e5, :maint_margin=>0.9620193e5, :equity_with_loan=>0.95495394e6, :commission=>0.22e2, :commission_currency=>"EUR", :warning=>""}
Straddle
IB::Straddle simplifies the construction of this Combo
> spx= IB::Straddle.fabricate IB::Option.new( symbol: 'SPX', exchange: 'CBOE', strike: 2400, expiry: 201903, trading_class: 'SPX', right: :put )
> spx.to_human
=> "<Straddle SPX(2400.0)[Mar 2019]>"
> spx.legs.to_human
=> ["<Option: SPX 20190314 put 2400.0 CBOE USD>", "<Option: SPX 20190314 call 2400.0 CBOE USD>"]
# or
> spy = IB::Straddle.build from: IB::Symbols::Index.spx,
strike: 2400,
expiry: 201903,
trading_class: 'SPX'
> spx == spy => true
IB::Straddle.fabricate and IB::Straddle.build create IB::Spread-Contract Objects which can be used in Watchlists orplace_order
> the_order = Limit.order size: 3, action: :sell, price: 245
> G.active_accounts.first.place order: the_order, contract: spy
Strangle
IB::Strangle simplifies the definition of Strangles. An Underlying is required (Index, Future, Stock).
Compared to IB::Straddles the strike is split to :p and :c
the_strangle = IB::Strangle.build from: IB::Symbols::Index.stoxx,
c: 3000, p: 3200,
expiry: 201903
the_strangle.to_human
=> "<Strangle Estx50(3200.0,3000.0)[Mar 2019]>
Calendar
As for straddles, Calendar-Spreads are build either form a sample or »in situ« using underlying, strike, front- + back-month. To buy a Calendar-Spread means: The front month is sold!
> calendar = IB::Calendar.build from: IB::Symbols::Index.stoxx, strike: 3000,
front: 201812, back: 201903,
trading_class: 'OESX'
> calendar.to_human
=> "<Calendar Estx50 put(3000.0)[-1 :Dec 2018 |+|1 :Mar 2019 >"
builds a put Calendar-Spread, selling the front-month and buying the back-month.
Alternatively the Spread may be defined relative to a master-option:
> master = calendar.legs.first # front-option
> m_calendar = IB::Calendar.fabricate master, back: 201903
> m_calendar.to_human
=> "<Calendar ESTX50 put(3000.0)[-1 :Dec 2018 |+|1 :Mar 2019 >"
> m_calendar.combo_legs == calendar.combo_legs => true
Rolling of Futures
In Fabricate-Mode the Calendar-Spread can be used to roll Futures:
> calendar = IB::Calendar.fabricate IB::Symbols::Futures.es, '3m'
> calendar.to_human
=> "<Calendar ES none(0.0)[1 :Dec 2020 |+|-1 :Mar 2021 >"
> calendar.market_price ==> 9.75
# or to roll a short future
> es = IB::Calendar.fabricate IB::Symbols::Futures.es.merge(expiry: 202106), '-3m'
> es.to_human
=> "<Calendar ES none(0.0)[1 :Jun 2021 |+|-1 :Mar 2021 >"
> es.market_price ==> -10.0
Vertical
Verticals are defined straightforward
# using build
> the_v = IB::Vertical.build from: IB::Symbols::Index.stoxx, buy: 3200, sell: 3000
> the_v.to_human
=> "<Vertical Estx50 put(1 :3200.0 |+|-1 :3000.0 )[Dec 2018]>"
# or in fabricate-mode
> new_v = IB::Vertical.fabricate sell: the_v.legs.first, buy: 2400
> new_v.to_human
=> "<Vertical ESTX50 put(-1 :3200.0 |+|1 :2400.0 )[Dec 2018]>"
Stock Spreads
Stock Spreads are combined buy and sell orders with us-stocks as unterlyings.
They can only be fabricated:
> the_bag = IB::StockSpread.fabricate 'MSFT', 'WFC', ratio: [1, -8]
#or
> msft = IB::Stock.new( symbol: :msft )
> wfc = IB::Stock.new( symbol: :wfc )
> the_bag = IB::StockSpread.fabricate ', msft, wfc ratio: [1, -8]
> the_bag.to_human
"<StockSpread MSFT:1 , WFC:-8 (USD )>"
> the_bag.market_price => 21.56
> the_bag.symbol => "MSFT,WFC"
Additional attributes can be added through the fabrication process. Thus, IB::StockSpread.fabricate 'MSFT', 'WFC', ratio: [1, -8], exchange: 'NYSE' sets the exchange for the combo.
Stock-Spreads must be ordered with the NonGuaranteed flag set. Use the IB::Combo prototype for this
purpose.