Update to API v156

tickOptionComputation() signature change

Project.toml

@@ -1,7 +1,7 @@
 name = "Jib"
 uuid = "f310f2d2-a263-11e8-3998-47bd686f18f7"
 authors = ["Luca Billi <[email protected]>"]
-version = "0.8.0"
+version = "0.9.0"
 
 [deps]
 DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0"

README.md

@@ -12,7 +12,7 @@ Currently, only API versions ~`v100`~ `v142+` are supported.
 The package design follows the official C++/Java
 [IB API](http://interactivebrokers.github.io/tws-api/),
 which is based on an asynchronous request-response communication model
-over a TCP socket.
+over TCP.
 
 ### Installation
 To install from GitHub:

data/wrapper_signatures.jl

@@ -2,7 +2,7 @@ tickPrice= function(tickerId::Int, field::String, price::Float64, size::Int, att
 
 tickSize= function(tickerId::Int, field::String, size::Int)
 
-tickOptionComputation= function(tickerId::Int, tickType::String, impliedVol::Union{Float64,Nothing}, delta::Union{Float64,Nothing}, optPrice::Union{Float64,Nothing}, pvDividend::Union{Float64,Nothing}, gamma::Union{Float64,Nothing}, vega::Union{Float64,Nothing}, theta::Union{Float64,Nothing}, undPrice::Union{Float64,Nothing})
+tickOptionComputation= function(tickerId::Int, tickType::String, tickAttrib::Union{Int,Nothing}, impliedVol::Union{Float64,Nothing}, delta::Union{Float64,Nothing}, optPrice::Union{Float64,Nothing}, pvDividend::Union{Float64,Nothing}, gamma::Union{Float64,Nothing}, vega::Union{Float64,Nothing}, theta::Union{Float64,Nothing}, undPrice::Union{Float64,Nothing})
 
 tickGeneric= function(tickerId::Int, tickType::String, value::Float64)
 

src/decoder.jl

@@ -18,10 +18,10 @@ function decode(msg, w, ver)
   # The first field is the message ID
   id::Int = pop(it)
 
-  # The second field (version) is ignored for id < 75 and != 3, 5, 11, 17
-  if id  < 75 && id ∉ [3, 5, 11, 17]           ||
-     id ==  5 && ver < Client.ORDER_CONTAINER
-
+  # The second field (version) is ignored for id < 75 and != 3, 5, 11, 17, 21
+  if id  < 75 && id ∉ [3, 5, 11, 17, 21]             ||
+     id ==  5 && ver < Client.ORDER_CONTAINER        ||
+     id == 21 && ver < Client.PRICE_BASED_VOLATILITY
     pop(it)
   end
 

src/process.jl

@@ -459,6 +459,10 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
           tickerId::Int,
           ticktype::Int = it
 
+          tickAttrib = if ver ≥ Client.PRICE_BASED_VOLATILITY
+                         slurp(Int, it)
+                       end
+
           v = collect(Union{Float64,Nothing}, take(it, 8))
 
           # (impliedVol, optPrice, pvDividend, undPrice) == -1 means NA
@@ -468,7 +472,7 @@ const process = Dict{Int,Function}(    # TODO Use a Tuple instead?
           v[filter(i -> v[i] == -2, [2, 5, 6, 7])] .= nothing
 
 
-          w.tickOptionComputation(tickerId, tickname(ticktype), v...)
+          w.tickOptionComputation(tickerId, tickname(ticktype), tickAttrib, v...)
         end,
 
   # TICK_GENERIC

src/versions.jl

@@ -14,5 +14,6 @@
   ENCODE_MSG_ASCII7        = 153
   SEND_ALL_FAMILY_CODES    = 154
   NO_DEFAULT_OPEN_CLOSE    = 155
+  PRICE_BASED_VOLATILITY   = 156
 
 end

src/wrapper.jl

@@ -103,8 +103,8 @@ function simple_wrap()
 
     tickSize= (tickerId::Int, field::String, size::Int) -> println("Size: $tickerId $field $size"),
 
-    tickOptionComputation= function(tickerId::Int, tickType::String, impliedVol::Union{Float64,Nothing}, delta::Union{Float64,Nothing}, optPrice::Union{Float64,Nothing}, pvDividend::Union{Float64,Nothing}, gamma::Union{Float64,Nothing}, vega::Union{Float64,Nothing}, theta::Union{Float64,Nothing}, undPrice::Union{Float64,Nothing})
-                             d[:option] = (tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice)
+    tickOptionComputation= function(tickerId::Int, tickType::String, tickAttrib::Union{Int,Nothing}, impliedVol::Union{Float64,Nothing}, delta::Union{Float64,Nothing}, optPrice::Union{Float64,Nothing}, pvDividend::Union{Float64,Nothing}, gamma::Union{Float64,Nothing}, vega::Union{Float64,Nothing}, theta::Union{Float64,Nothing}, undPrice::Union{Float64,Nothing})
+                             d[:option] = (tickType, tickAttrib, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice)
                              println("Option: $tickerId $tickType")
                            end,