bitfinex-rb 0.1.0 → 1.0.0

data/lib/models/ledger_entry.rb

@@ -0,0 +1,33 @@
+require_relative './model'
+
+module Bitfinex
+  module Models
+    class LedgerEntry < Model
+      BOOL_FIELDS = []
+      FIELDS = {
+        :id => 0,
+        :currency => 1,
+        :mts => 3,
+        :amount => 5,
+        :balance => 6,
+        :description => 8,
+        :wallet => nil
+      }
+
+      FIELDS.each do |key, index|
+        attr_accessor key
+      end
+
+      def initialize (data)
+        super(data, FIELDS, BOOL_FIELDS)
+
+        spl = self.description.split('wallet')
+        self.wallet = (spl && spl[1]) ? spl[1].trim() : nil
+      end
+
+      def self.unserialize (data)
+        return Model.unserialize(data, FIELDS, BOOL_FIELDS)
+      end
+    end
+  end
+end

data/lib/models/margin_info.rb

@@ -0,0 +1,67 @@
+require_relative './model'
+
+module Bitfinex
+  module Models
+    class MarginInfo < Model
+      attr_accessor :user_pl, :user_swaps, :margin_balance, :margin_net, :type
+      attr_accessor :symbol, :tradable_balance, :gross_balance, :buy, :sell
+
+      def initialize (data)
+        super(data, {}, [])
+      end
+
+      def serialize ()
+        if self.type == 'base'
+          return [
+            self.type,
+            [
+              self.user_pl,
+              self.user_swaps,
+              self.margin_balance,
+              self.margin_net
+            ]
+          ]
+        else
+          return [
+            self.type,
+            self.symbol,
+            [
+              self.tradable_balance,
+              self.gross_balance,
+              self.buy,
+              self.sell
+            ]
+          ]
+        end
+      end
+
+      def self.unserialize (arr)
+        type = arr[0]
+
+        if type == 'base'
+          payload = arr[1]
+
+          return {
+            :type => type,
+            :user_pl => payload[0],
+            :user_swaps => payload[1],
+            :margin_balance => payload[2],
+            :margin_net => payload[3]
+          }
+        else
+          symbol = arr[1]
+          payload = arr[2]
+
+          return {
+            :type => type,
+            :symbol => symbol,
+            :tradable_balance => payload[0],
+            :gross_balance => payload[1],
+            :buy => payload[2],
+            :sell => payload[3]
+          }
+        end
+      end
+    end
+  end
+end

data/lib/models/model.rb

@@ -0,0 +1,56 @@
+module Bitfinex
+  module Models
+    class Model
+      def initialize (data, fields, boolFields)
+        @fields = fields
+        @boolFields = boolFields
+
+        if data.kind_of?(Array)
+          apply(self.class.unserialize(data))
+        elsif data.kind_of?(Hash)
+          apply(data)
+        end
+      end
+
+      def serialize
+        arr = []
+
+        @fields.each do |key, index|
+          return if index.nil?
+
+          if @boolFields.include?(key)
+            arr[index] = instance_variable_get("@#{key}") ? 1 : 0
+          else
+            arr[index] = instance_variable_get("@#{key}")
+          end
+        end
+
+        arr
+      end
+
+      def apply (obj)
+        @fields.each do |key, index|
+          return if index.nil?
+
+          instance_variable_set("@#{key}", obj[key])
+        end
+      end
+
+      def self.unserialize (data, fields, boolFields)
+        obj = {}
+
+        fields.each do |key, index|
+          return if index.nil?
+
+          if boolFields.include?(key)
+            obj[key] = data[index] == 1
+          else
+            obj[key] = data[index]
+          end
+        end
+
+        return obj
+      end
+    end
+  end
+end

data/lib/models/movement.rb

@@ -0,0 +1,33 @@
+require_relative './model'
+
+module Bitfinex
+  module Models
+    class Movement < Model
+      BOOL_FIELDS = []
+      FIELDS = {
+        :id => 0,
+        :currency => 1,
+        :currency_name => 2,
+        :mts_started => 5,
+        :mts_updated => 6,
+        :status => 9,
+        :amount => 12,
+        :fees => 13,
+        :destination_address => 16,
+        :transaction_id => 20
+      }
+
+      FIELDS.each do |key, index|
+        attr_accessor key
+      end
+
+      def initialize (data)
+        super(data, FIELDS, BOOL_FIELDS)
+      end
+
+      def self.unserialize (data)
+        return Model.unserialize(data, FIELDS, BOOL_FIELDS)
+      end
+    end
+  end
+end

data/lib/models/notification.rb

@@ -0,0 +1,30 @@
+require_relative './model'
+
+module Bitfinex
+  module Models
+    class Notification < Model
+      BOOL_FIELDS = []
+      FIELDS = {
+        :mts => 0,
+        :type => 1,
+        :message_id => 2,
+        :notify_info => 4,
+        :code => 5,
+        :status => 6,
+        :text => 7
+      }
+
+      FIELDS.each do |key, index|
+        attr_accessor key
+      end
+
+      def initialize (data)
+        super(data, FIELDS, BOOL_FIELDS)
+      end
+
+      def self.unserialize (data)
+        return Model.unserialize(data, FIELDS, BOOL_FIELDS)
+      end
+    end
+  end
+end

data/lib/models/order.rb

@@ -0,0 +1,197 @@
+require 'bigdecimal'
+require_relative './model'
+
+module Bitfinex
+  module Models
+    class Order < Model
+      BOOL_FIELDS = []
+      FIELDS = {
+        :id => 0,
+        :gid => 1,
+        :cid => 2,
+        :symbol => 3,
+        :mts_create => 4,
+        :mts_update => 5,
+        :amount => 6,
+        :amount_orig => 7,
+        :type => 8,
+        :type_prev => 9,
+        :flags => 12,
+        :status => 13,
+        :price => 16,
+        :price_avg => 17,
+        :price_trailing => 18,
+        :price_aux_limit => 19,
+        :notify => 23,
+        :placed_id => 25
+      }
+
+      FLAG_OCO = 2 ** 14         # 16384
+      FLAG_POSTONLY = 2 ** 12    # 4096
+      FLAG_HIDDEN = 2 ** 6       # 64
+      FLAG_NO_VR = 2 ** 19       # 524288
+      FLAG_POS_CLOSE = 2 ** 9    # 512
+      FLAG_REDUCE_ONLY = 2 ** 10 # 1024
+
+      @@last_cid = Time.now.to_i
+
+      FIELDS.each do |key, index|
+        attr_accessor key
+      end
+
+      attr_accessor :last_amount, :meta
+
+      def self.gen_cid
+        @@last_cid += 1
+        @@last_cid
+      end
+
+      def initialize (data)
+        super(data, FIELDS, BOOL_FIELDS)
+
+        @flags = 0 unless @flags.is_a?(Numeric)
+        @amount_orig = @amount if @amount_orig.nil? && !@amount.nil?
+        @last_amount = @amount
+
+        if data.kind_of?(Hash)
+          set_oco(data[:oco]) if data.has_key?(:oco)
+          set_hidden(data[:hidden]) if data.has_key?(:hidden)
+          set_post_only(data[:post_only]) if data.has_key?(:post_only)
+        end
+      end
+
+      def self.unserialize (data)
+        return Model.unserialize(data, FIELDS, BOOL_FIELDS)
+      end
+
+      def modify_flag (flag, active)
+        return if (@flags & flag != 0) == active
+
+        @flags += active ? flag : -flag
+      end
+
+      def set_oco (v, stop_price = @price_aux_limit)
+        @price_aux_limit = stop_price if v
+
+        modify_flag(FLAG_OCO, v)
+      end
+
+      def set_hidden (v)
+        modify_flag(FLAG_HIDDEN, v)
+      end
+
+      def set_post_only (v)
+        modify_flag(FLAG_POSTONLY, v)
+      end
+
+      def set_no_variable_rates (v)
+        modify_flag(FLAG_NO_VR, v)
+      end
+
+      def set_position_close (v)
+        modify_flag(FLAG_POS_CLOSE, v)
+      end
+
+      def set_reduce_only (v)
+        modify_flag(FLAG_REDUCE_ONLY, v)
+      end
+
+      def is_oco
+        return !!(@flags & FLAG_OCO)
+      end
+
+      def is_hidden
+        return !!(@flags & FLAG_HIDDEN)
+      end
+
+      def is_post_only
+        return !!(@flags & FLAG_POSTONLY)
+      end
+
+      def includes_variable_rates
+        return !!(@flags & FLAG_NO_VR)
+      end
+
+      def is_position_close
+        return !!(@flags & FLAG_POS_CLOSE)
+      end
+
+      def is_reduce_only
+        return !!(@flags & FLAG_REDUCE_ONLY)
+      end
+
+      def get_last_fill_amount
+        @last_amount - @amount
+      end
+
+      def reset_fill_amount
+        @last_amount = @amount
+      end
+
+      def get_base_currency
+        @symbol[1...4]
+      end
+
+      def get_quote_currency
+        @symbol[4..-1]
+      end
+
+      def get_notional_value
+        (@amount * @price).abs
+      end
+
+      def is_partially_filled
+        a = @amount.abs
+        a > 0 && a < @amount_orig.abs
+      end
+
+      def to_new_order_packet
+        if !@cid.nil?
+          cid = @cid
+        else
+          cid = Order.gen_cid
+        end
+
+        data = {
+          :gid => @gid,
+          :cid => cid,
+          :symbol => @symbol,
+          :type => @type,
+          :amount => BigDecimal.new(@amount, 8).to_s,
+          :flags => @flags || 0,
+          :meta => @meta
+        }
+
+        data[:price] = BigDecimal.new(@price, 5).to_s if !@price.nil?
+        data[:price_trailing] = BigDecimal.new(@price_trailing, 5).to_s if !@price_trailing.nil?
+
+        if !@price_aux_limit.nil?
+          if is_oco
+            data[:price_oco_stop] = BigDecimal.new(@price_aux_limit, 5).to_s
+          else
+            data[:price_aux_limit] = BigDecimal.new(@price_aux_limit, 5).to_s
+          end
+        end
+
+        data
+      end
+
+      def update (changes = {})
+        changes.each do |k, v|
+          return if k == 'id'
+
+          if FIELDS.has_key?(k)
+            instance_variable_set(k, v)
+          elsif k == 'price_trailing'
+            @price_trailing = v.to_f
+          elsif k == 'price_oco_stop' || k == 'price_aux_limit'
+            @price_aux_limit = v.to_f
+          elsif k == 'delta' && v.is_a?(Numeric) && @amount.is_a?(Numeric)
+            @amount += v.to_f
+            @last_amount = @amount
+          end
+        end
+      end
+    end
+  end
+end

data/lib/models/order_book.rb

@@ -0,0 +1,265 @@
+require 'zlib'
+
+module Bitfinex
+  module Models
+    class OrderBook
+      attr_reader :raw, :bids, :asks
+
+      def initialize (snap = [], raw = false)
+        @raw = raw
+
+        if snap.instance_of?(OrderBook)
+          @bids = snap.bids.dup
+          @asks = snap.asks.dup
+        elsif snap.kind_of?(Array)
+          update_from_snapshot(snap)
+        elsif snap.kind_of?(Hash)
+          @bids = snap[:bids].dup
+          @asks = snap[:asks].dup
+        else
+          @bids = []
+          @asks = []
+        end
+      end
+
+      def update_from_snapshot (snap = [])
+        @bids = []
+        @asks = []
+
+        snap = [snap] if !snap[0].kind_of?(Array)
+
+        snap.each do |entry|
+          if entry.size == 4
+            if entry[3] < 0
+              @bids.push(entry)
+            else
+              @asks.push(entry)
+            end
+          else
+            if entry[2] < 0
+              @asks.push(entry)
+            else
+              @bids.push(entry)
+            end
+          end
+        end
+
+        if self.raw
+          priceI = snap[0].size == 4 ? 2 : 1
+        else
+          priceI = 0
+        end
+
+        @bids.sort! { |a, b| b[priceI] <=> a[priceI]}
+        @asks.sort! { |a, b| a[priceI] <=> b[priceI]}
+      end
+
+      def top_bid_level
+        @bids[0] || nil
+      end
+
+      def top_bid
+        if self.raw
+          priceI = (@bids[0].size == 4 || @asks[0].size == 4) ? 2 : 1
+        else
+          priceI = 0
+        end
+        
+        (top_bid_level || [])[priceI] || nil
+      end
+
+      def top_ask_level
+        @asks[0] || nil
+      end
+
+      def top_ask
+        if self.raw
+          priceI = (@bids[0].size == 4 || @asks[0].size == 4) ? 2 : 1
+        else
+          priceI = 0
+        end
+       
+        (top_ask_level || [])[priceI] || nil
+      end
+
+      def mid_price
+        ask = top_ask || 0
+        bid = top_bid || 0
+
+        return bid if ask == 0
+        return ask if bid == 0
+
+        return (bid + ask) / 2
+      end
+
+      def spread
+        ask = top_ask || 0
+        bid = top_bid || 0
+
+        return 0 if ask == 0 || bid == 0
+
+        return ask - bid
+      end
+
+      def bid_amount
+        amount = 0
+
+        @bids.each do |entry|
+          amount += entry.size == 4 ? entry[3] : entry[2]
+        end
+
+        amount.abs
+      end
+
+      def ask_amount
+        amount = 0
+
+        @asks.each do |entry|
+          amount += entry.size == 4 ? entry[3] : entry[2]
+        end
+
+        amount.abs
+      end
+
+      def serialize
+        @asks + @bids
+      end
+
+      def checksum
+        data = []
+
+        for i in 0...25
+          bid = @bids[i]
+          ask = @asks[i]
+
+          if !bid.nil?
+            price = bid[0]
+            data.push(price)
+            data.push(bid.size == 4 ? bid[3] : bid[2])
+          end
+
+          if !ask.nil?
+            price = ask[0]
+            data.push(price)
+            data.push(ask.size == 4 ? ask[3] : ask[2])
+          end
+        end
+
+        [Zlib::crc32(data.join(':'))].pack("I").unpack("i")[0]
+      end
+
+      def update_with (entry)
+        if @raw
+          priceI = entry.size == 4 ? 2 : 1
+          count = -1
+        else
+          priceI = 0
+          count = entry.size == 4 ? entry[2] : entry[1]
+        end
+
+        price = entry[priceI]
+        oID = entry[0] # only for raw books
+        amount = entry.size == 4 ? entry[3] : entry[2]
+
+        if entry.size == 4
+          dir = amount < 0 ? 1 : -1
+          side = amount < 0 ? @bids : @asks
+        else
+          dir = amount < 0 ? -1 : 1
+          side = amount < 0 ? @asks : @bids
+        end
+
+        insertIndex = -1
+
+        # apply insert directly if empty
+        if (side.size == 0 && (@raw || count > 0))
+          side.push(entry)
+          return true
+        end
+
+        # match by price level, or order ID for raw books
+        side.each_with_index do |pl, i|
+          if (!@raw && pl[priceI] == price) || (@raw && pl[0] == oID)
+            if (!@raw && count == 0) || (@raw && price == 0)
+              side.slice!(i, 1)
+              return true
+            elsif !@raw || (@raw && price > 0)
+              side.slice!(i, 1)
+              break
+            end
+          end
+        end
+
+        if (@raw && price == 0) || (!@raw && count == 0)
+          return false
+        end
+
+        side.each_with_index do |pl, i|
+          if (insertIndex == -1 && (
+            (dir == -1 && price < pl[priceI]) || # by price
+            (dir == -1 && price == pl[priceI] && (raw && entry[0] < pl[0])) || # by order ID
+            (dir == 1 && price > pl[priceI]) ||
+            (dir == 1 && price == pl[priceI] && (raw && entry[0] < pl[0]))
+          ))
+            insertIndex = i
+            break
+          end
+        end
+
+        # add
+        if (insertIndex == -1)
+          side.push(entry)
+        else
+          side.insert(insertIndex, entry)
+        end
+
+        return true
+      end
+
+      def self.unserialize (arr, raw = false)
+        if arr[0].kind_of?(Array)
+          entries = arr.map { |e| OrderBook.unserialize(e, raw) }
+          bids = entries.select { |e| (e[:rate] ? -e[:amount] : e[:amount]) > 0 }
+          asks = entries.select { |e| (e[:rate] ? -e[:amount] : e[:amount]) < 0 }
+
+          return {
+            :bids => bids,
+            :asks => asks
+          }
+        end
+
+        if arr.size == 4
+          if raw
+            return {
+              :order_id => arr[0],
+              :period => arr[1],
+              :rate => arr[2],
+              :amount => arr[3]
+            }
+          else
+            return {
+              :rate => arr[0],
+              :period => arr[1],
+              :count => arr[2],
+              :amount => arr[3]
+            }
+          end
+        else
+          if raw
+            return {
+              :order_id => arr[0],
+              :price => arr[1],
+              :amount => arr[2]
+            }
+          else
+            return {
+              :price => arr[0],
+              :count => arr[1],
+              :amount => arr[2]
+            }
+          end
+        end
+      end
+    end
+  end
+end