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<h1 class="post-title-main">Request Market-Data</h1>
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<p>The API offers the <code class="language-plaintext highlighter-rouge">:RequestMarketData</code> message to address the gathering of market-related information</p>
<div class="language-ruby highlighter-rouge"><div class="highlight"><pre class="highlight"><code><span class="o">></span> <span class="n">ib</span> <span class="o">=</span> <span class="no">IB</span><span class="o">::</span><span class="no">Connection</span><span class="p">.</span><span class="nf">current</span>
<span class="o">></span> <span class="n">ib</span><span class="p">.</span><span class="nf">send_message</span> <span class="ss">:RequestMarketData</span><span class="p">,</span> <span class="ss">contract: </span><span class="no">IB</span><span class="o">::</span><span class="no">Symbols</span><span class="o">::</span><span class="no">Stocks</span><span class="p">.</span><span class="nf">wfc</span><span class="p">,</span> <span class="ss">snapshot: </span><span class="kp">true</span>
<span class="c1"># or</span>
<span class="o">></span> <span class="n">ib</span><span class="p">.</span><span class="nf">send_message</span> <span class="ss">:RequestMarketData</span><span class="p">,</span> <span class="ss">contract: </span><span class="no">IB</span><span class="o">::</span><span class="no">Symbols</span><span class="o">::</span><span class="no">Stocks</span><span class="p">.</span><span class="nf">wfc</span><span class="p">,</span> <span class="ss">ticklist: </span><span class="p">[</span><span class="mi">106</span><span class="p">,</span><span class="mi">107</span><span class="p">]</span>
</code></pre></div></div>
<p>where items in <code class="language-plaintext highlighter-rouge">:ticklist</code> further specify the request (details in <a href="https://github.com/ib-ruby/ib-api/blob/master/lib/ib/messages/outgoing/request_marketdata.rb">messages/outgoing/request_marketdata</a>). Most significant are:</p>
<div class="language-plaintext highlighter-rouge"><div class="highlight"><pre class="highlight"><code> 100 - Option Volume (stocks) -> returned Tick-IDs: 29, 30
101 - Option Open Interest (stocks) -> 27, 28
104 - Historical Volatility -> 23
105 - Average Opt Volume
106 - Option Implied Volatility (impvolat) -> 24
107 (climpvlt)
411 - Realtime Historical Volatility -> 58
</code></pre></div></div>
<p>The <a href="https://github.com/ib-ruby/ib-examples/">example dir</a> contains a simple <a href="https://github.com/ib-ruby/ib-examples/blob/main/contract/market_data">market-data script</a>.</p>
<p>A more condensed approach using the gateway:</p>
<div class="language-ruby highlighter-rouge"><div class="highlight"><pre class="highlight"><code><span class="nb">require</span> <span class="s1">'bundler/setup'</span>
<span class="nb">require</span> <span class="s1">'ib-gateway'</span>
<span class="no">IB</span><span class="o">::</span><span class="no">Gateway</span><span class="p">.</span><span class="nf">new</span> <span class="n">client_id</span><span class="p">:</span><span class="mi">1134</span>
<span class="k">if</span> <span class="p">(</span> <span class="n">ib</span> <span class="o">=</span> <span class="no">IB</span><span class="o">::</span><span class="no">Gateway</span><span class="p">.</span><span class="nf">tws</span> <span class="p">).</span><span class="nf">present?</span>
<span class="n">contracts</span> <span class="o">=</span> <span class="p">[</span> <span class="no">IB</span><span class="o">::</span><span class="no">Symbols</span><span class="o">::</span><span class="no">Futures</span><span class="p">.</span><span class="nf">es</span><span class="p">,</span> <span class="no">IB</span><span class="o">::</span><span class="no">Symbols</span><span class="o">::</span><span class="no">Forex</span><span class="p">.</span><span class="nf">gbpusd</span> <span class="p">]</span>
<span class="n">ib</span><span class="p">.</span><span class="nf">subscribe</span><span class="p">(</span><span class="ss">:TickPrice</span><span class="p">,</span> <span class="ss">:TickSize</span><span class="p">,</span> <span class="ss">:TickString</span><span class="p">)</span> <span class="k">do</span> <span class="o">|</span><span class="n">msg</span><span class="o">|</span>
<span class="nb">puts</span> <span class="n">contracts</span><span class="p">.</span><span class="nf">find</span><span class="p">{</span><span class="o">|</span><span class="n">x</span><span class="o">|</span> <span class="n">x</span><span class="p">.</span><span class="nf">con_id</span> <span class="o">==</span> <span class="n">msg</span><span class="p">.</span><span class="nf">ticker_id</span><span class="p">}.</span><span class="nf">symbol</span> <span class="o">+</span> <span class="s2">": "</span> <span class="o">+</span> <span class="n">msg</span><span class="p">.</span><span class="nf">to_human</span> <span class="o">+</span> <span class="s2">"</span><span class="se">\t</span><span class="s2"> (press enter to cancel)"</span>
<span class="k">end</span>
<span class="n">contracts</span><span class="p">.</span><span class="nf">each</span> <span class="k">do</span> <span class="o">|</span> <span class="n">contract</span><span class="o">|</span>
<span class="n">c</span><span class="o">=</span> <span class="n">contract</span><span class="p">.</span><span class="nf">verify</span><span class="p">.</span><span class="nf">first</span> <span class="c1"># ensure presence of con_id </span>
<span class="n">ib</span><span class="p">.</span><span class="nf">send_message</span> <span class="ss">:RequestMarketData</span><span class="p">,</span> <span class="ss">:id</span> <span class="o">=></span> <span class="n">c</span><span class="p">.</span><span class="nf">con_id</span><span class="p">,</span> <span class="ss">:contract</span> <span class="o">=></span> <span class="n">c</span>
<span class="k">end</span>
<span class="no">STDIN</span><span class="p">.</span><span class="nf">gets</span>
<span class="k">else</span>
<span class="nb">puts</span> <span class="s1">'No TWS'</span>
<span class="k">end</span>
</code></pre></div></div>
<p>This small script follows exact the paradigm of <strong><em>IB-Ruby</em></strong>. It sends messages and allocates the received information accordingly. Its not very <em>rubish</em>, though.</p>
<p>The data gathered through <code class="language-plaintext highlighter-rouge">send_message :RequestMarketData</code> are related to <code class="language-plaintext highlighter-rouge">IB::Contract</code>. It seems natural to assign them directly. <br />
<code class="language-plaintext highlighter-rouge">IB::Contract</code> offers two link-possibilities: <code class="language-plaintext highlighter-rouge">:bars</code> and <code class="language-plaintext highlighter-rouge">misc</code>, which offers a more sophisticated, object orientated solution.</p>
<p>More Details in <a href="market_price">Contracts/Market-Data</a></p>
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