gekko 0.3.1 → 0.5.0
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- checksums.yaml +4 -4
- data/lib/gekko/book.rb +51 -6
- data/lib/gekko/book_side.rb +12 -1
- data/lib/gekko/order.rb +30 -0
- data/lib/gekko/tape.rb +48 -42
- data/lib/gekko/version.rb +1 -1
- metadata +16 -2
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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|
1
1
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---
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2
2
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SHA1:
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3
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-
metadata.gz:
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4
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-
data.tar.gz:
|
3
|
+
metadata.gz: 6e807cf299a74840caedd3ab554af8b30c797d51
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4
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+
data.tar.gz: bce631e42323b43fd1864033a8e8bd6f4c97ffea
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5
5
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SHA512:
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6
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-
metadata.gz:
|
7
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-
data.tar.gz:
|
6
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+
metadata.gz: ce1211699c74fc7232ddfbbc83db30d71fa45445a78c2b54c6ba547cd62b6d18d8d93b11486642b4ed6e6dfc496e9ab8acb32f55c916c0ac139edc6a64e0b9df
|
7
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+
data.tar.gz: 31f755d6134b1650909bfb8860a28ab1a89e4732ee529fb87fb88161909acca8c6a51569bd7dbeb580997f76c11d33c8091a792b81c54f31eb6ab7eca74ce161
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data/lib/gekko/book.rb
CHANGED
@@ -1,3 +1,6 @@
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1
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+
require 'oj'
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2
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+
Oj.default_options = { mode: :compat }
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3
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+
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1
4
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require 'gekko/book_side'
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2
5
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require 'gekko/tape'
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3
6
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require 'gekko/errors'
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@@ -12,12 +15,12 @@ module Gekko
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12
15
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attr_accessor :pair, :bids, :asks, :tape, :received, :base_precision
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13
16
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14
17
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def initialize(pair, opts = {})
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15
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-
self.pair = pair
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16
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-
self.bids = BookSide.new(:bid)
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17
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-
self.asks = BookSide.new(:ask)
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18
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-
self.tape = Tape.new(opts[:logger])
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18
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+
self.pair = opts[:pair] || pair
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19
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+
self.bids = opts[:bids] || BookSide.new(:bid)
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20
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+
self.asks = opts[:asks] || BookSide.new(:ask)
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21
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+
self.tape = opts[:tape] || Tape.new({ logger: opts[:logger] })
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19
22
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self.base_precision = opts[:base_precision] || 8
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20
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-
self.received = {}
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23
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+
self.received = opts[:received] || {}
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21
24
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end
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22
25
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23
26
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#
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@@ -75,7 +78,6 @@ module Gekko
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75
78
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quote_size: quote_size,
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76
79
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maker_order_id: next_match.id.to_s,
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77
80
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taker_order_id: order.id.to_s,
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78
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-
time: Time.now.to_f,
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79
81
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tick: order.bid? ? :up : :down
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80
82
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}
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81
83
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@@ -187,6 +189,49 @@ module Gekko
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187
189
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}
|
188
190
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end
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189
191
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|
192
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+
#
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193
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+
# Dumps the book to a JSON string
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194
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+
#
|
195
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+
# @return [String] The serialized order book
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196
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+
#
|
197
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+
def dump
|
198
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+
Oj.dump({
|
199
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+
time: Time.now.to_f,
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200
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+
bids: bids.to_hash,
|
201
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+
asks: asks.to_hash,
|
202
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+
pair: pair,
|
203
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+
tape: tape.to_hash,
|
204
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+
received: received,
|
205
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+
base_precision: base_precision
|
206
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+
})
|
207
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+
end
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208
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+
|
209
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+
#
|
210
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+
# Loads the book from a JSON string
|
211
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+
#
|
212
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+
# @param serialized [String] A serialized book
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213
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+
# @return [Gekko::Book] The deserialized book instance
|
214
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+
#
|
215
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+
def self.load(serialized)
|
216
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+
hsh = symbolize_keys(Oj.load(serialized))
|
217
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+
|
218
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+
hsh[:tape] = Tape.new(symbolize_keys(hsh[:tape]))
|
219
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+
hsh[:bids] = BookSide.new(:bid, orders: hsh[:bids].map { |o| symbolize_keys(o) })
|
220
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+
hsh[:asks] = BookSide.new(:ask, orders: hsh[:asks].map { |o| symbolize_keys(o) })
|
221
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+
|
222
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+
Book.new(hsh[:pair], hsh)
|
223
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+
end
|
224
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+
|
225
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+
#
|
226
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+
# Symbolizes keys of a non-nested +Hash+
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227
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+
#
|
228
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+
# @param hsh [Hash] The +Hash+ for which we want to symbolize the keys
|
229
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+
# @return [Hash] A copy of the parameter with all first-level keys symbolized
|
230
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+
#
|
231
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+
def self.symbolize_keys(hsh)
|
232
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+
hsh.inject({}) { |mem, obj| mem[obj[0].to_sym] = obj[1]; mem }
|
233
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+
end
|
234
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+
|
190
235
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end
|
191
236
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end
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192
237
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data/lib/gekko/book_side.rb
CHANGED
@@ -9,9 +9,20 @@ module Gekko
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9
9
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|
10
10
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attr_accessor :side
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11
11
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|
12
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-
def initialize(side)
|
12
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+
def initialize(side, opts = {})
|
13
13
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raise "Incorrect side <#{side}>" unless [:bid, :ask].include?(side)
|
14
14
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@side = side
|
15
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+
|
16
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+
opts[:orders] && opts[:orders].each_with_index { |obj, idx| self[idx] = Order.load(obj) }
|
17
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+
end
|
18
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+
|
19
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+
#
|
20
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+
# Returns a +Hash+ representation of this +BookSide+ instance
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21
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+
#
|
22
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+
# @return [Hash] The serializable representation
|
23
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+
#
|
24
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+
def to_hash
|
25
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+
map(&:to_hash)
|
15
26
|
end
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16
27
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|
17
28
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#
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data/lib/gekko/order.rb
CHANGED
@@ -24,6 +24,36 @@ module Gekko
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|
24
24
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raise 'The order creation timestamp can''t be nil' if !@created_at
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25
25
|
end
|
26
26
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|
27
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+
|
28
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+
#
|
29
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+
# Loads an +Order+ from a +Hash+. Only limit orders are supported as market
|
30
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+
# orders should never need to get serialized
|
31
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+
#
|
32
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+
# @return [LimitOrder] The unserialized order
|
33
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+
#
|
34
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+
def self.load(hsh)
|
35
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+
order = LimitOrder.new(hsh[:side], UUID.parse(hsh[:id]), hsh[:size], hsh[:price], hsh[:expiration])
|
36
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+
order.created_at = hsh[:created_at]
|
37
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+
order
|
38
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+
end
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39
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+
|
40
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+
#
|
41
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+
# Returns a +Hash+ representation of this +Order+ instance
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42
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+
#
|
43
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+
# @return [Hash] The serializable representation
|
44
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+
#
|
45
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+
def to_hash
|
46
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+
{
|
47
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+
id: @id,
|
48
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+
side: @side,
|
49
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+
size: @size,
|
50
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+
price: @price,
|
51
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+
remaining: @remaining,
|
52
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+
expiration: @expiration,
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53
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+
created_at: @created_at
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54
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+
}
|
55
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+
end
|
56
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+
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27
57
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#
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28
58
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# Returns +true+ if this order can execute against +limit_order+
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29
59
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#
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data/lib/gekko/tape.rb
CHANGED
@@ -5,23 +5,57 @@ module Gekko
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|
5
5
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#
|
6
6
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class Tape < Array
|
7
7
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|
8
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+
# The number of seconds in 24h
|
9
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+
SECONDS_IN_24H = 60 * 60 * 24
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10
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+
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8
11
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attr_accessor :logger, :last_trade_price
|
12
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+
attr_reader :volume_24h, :high_24h, :low_24h
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13
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+
|
14
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+
def initialize(opts = {})
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15
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+
@logger = opts[:logger]
|
16
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+
|
17
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+
@cursor = opts[:cursor] || 0
|
18
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+
@cursor_24h = opts[:cursor_24h] || 0
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19
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+
@volume_24h = opts[:volume_24h] || 0
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20
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+
@quote_volume_24h = opts[:quote_volume_24h] || 0
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21
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+
|
22
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+
@low_24h = opts[:low_24h]
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23
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+
@high_24h = opts[:high_24h]
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24
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+
@last_trade_price = opts[:last_trade_price]
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9
25
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10
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-
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11
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-
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12
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-
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13
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-
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14
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-
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15
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-
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26
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+
opts[:events] && opts[:events].each_with_index { |obj, idx| self[idx] = obj }
|
27
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+
end
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28
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+
|
29
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+
#
|
30
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+
# Returns this +Tape+ object as a +Hash+ for the purpose of serialization
|
31
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+
#
|
32
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+
# @return [Hash] The JSON-friendly +Hash+ representation
|
33
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+
#
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34
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+
def to_hash
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35
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+
{
|
36
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+
cursor: @cursor,
|
37
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+
cursor_24h: @cursor_24h,
|
38
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+
volume_24h: @volume_24h,
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39
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+
high_24h: @high_24h,
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40
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+
low_24h: @low_24h,
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41
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+
quote_volume_24h: @quote_volume_24h,
|
42
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+
last_trade_price: @last_trade_price,
|
43
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+
events: self
|
44
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+
}
|
16
45
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end
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17
46
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|
47
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+
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18
48
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#
|
19
49
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# Prints a message on the tape
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20
50
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#
|
21
51
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# @param message [Hash] The message to record
|
22
52
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#
|
23
53
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def <<(message)
|
24
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-
message
|
54
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+
message.merge!({
|
55
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+
sequence: length,
|
56
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+
time: Time.now.to_f
|
57
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+
})
|
58
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+
|
25
59
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logger && logger.info(message)
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26
60
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|
27
61
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super(message)
|
@@ -44,36 +78,6 @@ module Gekko
|
|
44
78
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end
|
45
79
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end
|
46
80
|
|
47
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-
#
|
48
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-
# Returns the traded volume for the last 24h
|
49
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-
#
|
50
|
-
# @return [Fixnum] The last 24h volume
|
51
|
-
#
|
52
|
-
def volume_24h
|
53
|
-
move_24h_cursor!
|
54
|
-
@volume_24h
|
55
|
-
end
|
56
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-
|
57
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-
#
|
58
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-
# Returns the highest trade price that occurred during the last 24h
|
59
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-
#
|
60
|
-
# @return [Fixnum] The last 24h high
|
61
|
-
#
|
62
|
-
def high_24h
|
63
|
-
move_24h_cursor!
|
64
|
-
@high_24h
|
65
|
-
end
|
66
|
-
|
67
|
-
#
|
68
|
-
# Returns the lowest trade price that occurred during the last 24h
|
69
|
-
#
|
70
|
-
# @return [Fixnum] The last 24h low
|
71
|
-
#
|
72
|
-
def low_24h
|
73
|
-
move_24h_cursor!
|
74
|
-
@low_24h
|
75
|
-
end
|
76
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-
|
77
81
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#
|
78
82
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# Recalculates the previous 24h high and low
|
79
83
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#
|
@@ -87,8 +91,10 @@ module Gekko
|
|
87
91
|
evt = self[tmp_cursor]
|
88
92
|
|
89
93
|
while (evt && (evt[:time] >= time_24h_ago)) do
|
90
|
-
|
91
|
-
|
94
|
+
if evt[:type] == :execution
|
95
|
+
@high_24h = ((@high_24h.nil? || (evt[:price] > @high_24h)) && evt[:price]) || @high_24h
|
96
|
+
@low_24h = ((@low_24h.nil? || (evt[:price] < @low_24h)) && evt[:price]) || @low_24h
|
97
|
+
end
|
92
98
|
|
93
99
|
tmp_cursor -= 1
|
94
100
|
evt = (tmp_cursor >= 0) && self[tmp_cursor]
|
@@ -101,7 +107,7 @@ module Gekko
|
|
101
107
|
# @return [Fixnum] The last 24h quote currency volume
|
102
108
|
#
|
103
109
|
def quote_volume_24h
|
104
|
-
move_24h_cursor!
|
110
|
+
#move_24h_cursor!
|
105
111
|
@quote_volume_24h
|
106
112
|
end
|
107
113
|
|
@@ -136,7 +142,7 @@ module Gekko
|
|
136
142
|
# @return [Float] Yesterday's cut-off timestamp
|
137
143
|
#
|
138
144
|
def time_24h_ago
|
139
|
-
Time.now.to_f -
|
145
|
+
Time.now.to_f - SECONDS_IN_24H
|
140
146
|
end
|
141
147
|
|
142
148
|
#
|
@@ -145,7 +151,7 @@ module Gekko
|
|
145
151
|
# passed to Tape#fall_out_of_24h_window
|
146
152
|
#
|
147
153
|
def move_24h_cursor!
|
148
|
-
while(self[@cursor_24h] && (
|
154
|
+
while(self[@cursor_24h] && (self[@cursor_24h][:time] < time_24h_ago))
|
149
155
|
if self[@cursor_24h][:type] == :execution
|
150
156
|
fall_out_of_24h_window(self[@cursor_24h])
|
151
157
|
end
|
data/lib/gekko/version.rb
CHANGED
metadata
CHANGED
@@ -1,14 +1,14 @@
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
2
2
|
name: gekko
|
3
3
|
version: !ruby/object:Gem::Version
|
4
|
-
version: 0.
|
4
|
+
version: 0.5.0
|
5
5
|
platform: ruby
|
6
6
|
authors:
|
7
7
|
- David FRANCOIS
|
8
8
|
autorequire:
|
9
9
|
bindir: bin
|
10
10
|
cert_chain: []
|
11
|
-
date: 2015-03-
|
11
|
+
date: 2015-03-19 00:00:00.000000000 Z
|
12
12
|
dependencies:
|
13
13
|
- !ruby/object:Gem::Dependency
|
14
14
|
name: uuidtools
|
@@ -24,6 +24,20 @@ dependencies:
|
|
24
24
|
- - ~>
|
25
25
|
- !ruby/object:Gem::Version
|
26
26
|
version: '2.1'
|
27
|
+
- !ruby/object:Gem::Dependency
|
28
|
+
name: oj
|
29
|
+
requirement: !ruby/object:Gem::Requirement
|
30
|
+
requirements:
|
31
|
+
- - ~>
|
32
|
+
- !ruby/object:Gem::Version
|
33
|
+
version: '2.0'
|
34
|
+
type: :runtime
|
35
|
+
prerelease: false
|
36
|
+
version_requirements: !ruby/object:Gem::Requirement
|
37
|
+
requirements:
|
38
|
+
- - ~>
|
39
|
+
- !ruby/object:Gem::Version
|
40
|
+
version: '2.0'
|
27
41
|
- !ruby/object:Gem::Dependency
|
28
42
|
name: pry
|
29
43
|
requirement: !ruby/object:Gem::Requirement
|