gekko 0.10.2 → 1.0.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: 3f28f56742a5ee69c7d6db9b87c4338bd2554759
-  data.tar.gz: 033bbef23597f476a7aa6059b06d08efe3b7e39e
+  metadata.gz: c6a62cd6a603df96f06b4d067339fd3099fa7210
+  data.tar.gz: 89b432fea332373c19f364503f978bd48e36acb6
 SHA512:
-  metadata.gz: 89df5a4cc597bc21747139e6da8b78b056f49aebd2ca439a67342b4d5eb1f94c6fa3cf10d2611155006314f6f563f53a67e2b67a4c75b5e3633d2373dc5f08f7
-  data.tar.gz: b0110b9d5460fc84d806e0adf5b31cb1cba3ade2337aa3975f4437144a0d1399e26f8de9856a4d060f06845b39daa7c733fac71ffda973131c7381bb4f6878ae
+  metadata.gz: 5bafd1be42f260eb676f90c849d32bd862a70001bd1cd46d89dc609bd125235618d59cc69299bfd489bf15270e26c442cc29a2f75cf7918f8d0008085a1049ae
+  data.tar.gz: 487cf829c967a2737ce01ad0caaf53a415de0bc1106a442f90df1643d08dd4291d109385a59b1e23fc29fb3ccb9ec83f68f874f5a0748637eeb99a956de2b063

data/README.md

@@ -2,14 +2,8 @@ Gekko [![Build Status](https://secure.travis-ci.org/Paymium/gekko.png?branch=mas
 =
 
 ## What Gekko is
-Gekko is intended to become a high-performance in-memory trade order matching engine.
+Gekko is an in-memory trade order matching engine. It supports limit and market orders.
 
 ## What Gekko is not
-Gekko is not intended to maintain an accounting database, it just matches trade orders associated to accounts, and returns the necessary data for an accounting system to record the trades (usually against some sort of RDBMS).
-
-## Left to do
-The following items are left to do and will need to be implemented before gekko is considered production-ready.
-
- - Add and enforce minimum and maximum order sizes
- - Correctly handle order expiration
+Gekko is not intended to maintain an accounting database, it just matches trade orders associated to accounts, and returns the necessary data for an accounting system to record the trades.
 

data/lib/gekko/book.rb

@@ -49,12 +49,23 @@ module Gekko
         order_side    = order.bid? ? bids : asks
         opposite_side = order.bid? ? asks : bids
         next_match    = opposite_side.first
+        prev_match_id = nil
 
         while !order.done? && order.crosses?(next_match)
+          # If we match against the same order twice in a row, something went seriously
+          # wrong, we'd rather noisily die at this point.
+          raise 'Infinite matching loop detected !!' if (prev_match_id == next_match.id)
+          prev_match_id = next_match.id
+
           if next_match.expired?
             tape << opposite_side.shift.message(:done, reason: :expired)
             next_match = opposite_side.first
 
+          elsif order.uid == next_match.uid
+            # Same user/account associated to order, we cancel the next match
+            tape << opposite_side.shift.message(:done, reason: :canceled)
+            next_match = opposite_side.first
+
           else
             execute_trade(next_match, order)
 

data/lib/gekko/limit_order.rb

@@ -7,8 +7,8 @@ module Gekko
 
     attr_accessor :price
 
-    def initialize(side, id, size, price, expiration = nil)
-      super(side, id, size, expiration)
+    def initialize(side, id, uid, size, price, expiration = nil)
+      super(side, id, uid, size, expiration)
       @price = price
 
       raise 'Price must be a positive integer' if @price.nil? || (!@price.is_a?(Fixnum) || (@price <= 0))
@@ -45,7 +45,7 @@ module Gekko
     # @return [Gekko::LimitOrder] A limit order
     #
     def self.from_hash(hsh)
-      order = LimitOrder.new(hsh[:side], UUID.parse(hsh[:id]), hsh[:size], hsh[:price], hsh[:expiration])
+      order = LimitOrder.new(hsh[:side], UUID.parse(hsh[:id]), UUID.parse(hsh[:uid]), hsh[:size], hsh[:price], hsh[:expiration])
       order.remaining   = hsh[:remaining] || hsh[:size]
       order.created_at  = hsh[:created_at] if hsh[:created_at]
       order

data/lib/gekko/market_order.rb

@@ -8,8 +8,8 @@ module Gekko
 
     attr_accessor :quote_margin, :remaining_quote_margin, :max_precision
 
-    def initialize(side, id, size, quote_margin, expiration = nil)
-      super(side, id, size, expiration)
+    def initialize(side, id, uid, size, quote_margin, expiration = nil)
+      super(side, id, uid, size, expiration)
 
       @quote_margin           = quote_margin
       @remaining_quote_margin = @quote_margin
@@ -46,7 +46,7 @@ module Gekko
     # @return [Gekko::MarketOrder] A market order
     #
     def self.from_hash(hsh)
-      order = MarketOrder.new(hsh[:side], UUID.parse(hsh[:id]), hsh[:size], hsh[:quote_margin], hsh[:expiration])
+      order = MarketOrder.new(hsh[:side], UUID.parse(hsh[:id]), UUID.parse(hsh[:uid]), hsh[:size], hsh[:quote_margin], hsh[:expiration])
       order.created_at  = hsh[:created_at] if hsh[:created_at]
       order
     end

data/lib/gekko/order.rb

@@ -9,10 +9,11 @@ module Gekko
 
     include Serialization
 
-    attr_accessor :id, :side, :size, :remaining, :price, :expiration, :created_at
+    attr_accessor :id, :uid, :side, :size, :remaining, :price, :expiration, :created_at
 
-    def initialize(side, id, size, expiration = nil)
+    def initialize(side, id, uid, size, expiration = nil)
       @id         = id
+      @uid        = uid
       @side       = side && side.to_sym
       @size       = size
       @remaining  = @size
@@ -20,6 +21,7 @@ module Gekko
       @created_at = Time.now.to_f
 
       raise 'Orders must have an UUID'                    unless @id && @id.is_a?(UUID)
+      raise 'Orders must have a user ID'                  unless @uid && @uid.is_a?(UUID)
       raise 'Side must be either :bid or :ask'            unless [:bid, :ask].include?(@side)
       raise 'Size must be a positive integer'             if (@size && (!@size.is_a?(Fixnum) || @size <= 0))
       raise 'Expiration must be omitted or be an integer' unless (@expiration.nil? || (@expiration.is_a?(Fixnum) && @expiration > 0))
@@ -108,6 +110,7 @@ module Gekko
     def to_hash
       hsh = {
         id:           id.to_s,
+        uid:          uid.to_s,
         side:         side,
         size:         size,
         price:        price,

data/lib/gekko/version.rb

@@ -1,6 +1,6 @@
 module Gekko
 
   # The Gekko version string
-  VERSION = '0.10.2'
+  VERSION = '1.0.0'
 
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: gekko
 version: !ruby/object:Gem::Version
-  version: 0.10.2
+  version: 1.0.0
 platform: ruby
 authors:
 - David FRANCOIS
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2016-02-11 00:00:00.000000000 Z
+date: 2016-02-15 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: uuidtools