gekko 0.8.1 → 0.9.5
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- checksums.yaml +4 -4
- data/lib/gekko/book.rb +55 -39
- data/lib/gekko/market_order.rb +5 -7
- data/lib/gekko/version.rb +1 -1
- metadata +2 -2
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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---
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SHA1:
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metadata.gz:
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data.tar.gz:
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metadata.gz: d1b1e5234724a55544ac1f4bd8e1df4cf6574772
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4
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data.tar.gz: 434bf684cc8a837c568317340618c2b346f5471c
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SHA512:
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metadata.gz:
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7
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data.tar.gz:
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metadata.gz: 97a6e80692ed6b73878a07836b11e333072778f90d3ded6c99c69e696c87f5b1b21f4af37b066289f77f24ace61735bb481980e0bc80603d985ac15d7e806f4c
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7
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data.tar.gz: fce34e374fd353c296caf2723728b61a45e336d613149d68f983f740641f096cf2f2f8e0f9b69ed734905c664b252b6d7940bc13fcbde4cf2112b601159be3d2
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data/lib/gekko/book.rb
CHANGED
@@ -9,10 +9,13 @@ module Gekko
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#
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class Book
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extend Forwardable
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include Serialization
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attr_accessor :pair, :bids, :asks, :tape, :received, :base_precision, :multiplier
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def_delegators :@tape, :logger, :logger=
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def initialize(pair, opts = {})
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self.pair = opts[:pair] || pair
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self.bids = opts[:bids] || BookSide.new(:bid)
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@@ -53,45 +56,7 @@ module Gekko
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next_match = opposite_side.first
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else
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-
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max_quote_size = nil
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-
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if order.is_a?(MarketOrder)
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-
max_size_possible_with_quote_margin = order.remaining_quote_margin && (order.remaining_quote_margin * multiplier / trade_price).round
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end
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base_size = [
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next_match.remaining,
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order.remaining,
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max_size_possible_with_quote_margin
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].compact.min
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if order.is_a?(LimitOrder)
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quote_size = (base_size * trade_price) / multiplier
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elsif order.is_a?(MarketOrder)
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if order.ask? || (order.remaining_quote_margin > (trade_price * base_size / multiplier))
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-
quote_size = (trade_price * base_size / multiplier).round
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-
order.remaining_quote_margin -= quote_size if order.quote_margin
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-
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elsif order.bid?
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quote_size = order.remaining_quote_margin
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order.remaining_quote_margin = 0
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-
end
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-
end
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-
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tape << {
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type: :execution,
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-
price: trade_price,
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base_size: base_size,
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quote_size: quote_size,
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maker_order_id: next_match.id.to_s,
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taker_order_id: order.id.to_s,
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tick: order.bid? ? :up : :down
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}
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-
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order.remaining -= base_size if order.remaining
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94
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next_match.remaining -= base_size
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execute_trade(next_match, order)
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if next_match.filled?
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tape << opposite_side.shift.message(:done, reason: :filled)
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@@ -113,6 +78,56 @@ module Gekko
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end
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end
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#
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# Executes a trade between two orders
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#
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# @param maker [Gekko::LimitOrder] The order in the book providing liquidity
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# @param taker [Gekko::Order] The order being executed
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#
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def execute_trade(maker, taker)
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trade_price = maker.price
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max_quote_size = nil
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# Rounding direction depends on the takers direction
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rounding = (taker.bid? ? :floor : :ceil)
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if taker.is_a?(MarketOrder)
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max_size_with_quote_margin = taker.remaining_quote_margin &&
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(taker.remaining_quote_margin * multiplier / trade_price).send(rounding)
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end
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base_size = [
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maker.remaining,
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taker.remaining,
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max_size_with_quote_margin
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].compact.min
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if taker.is_a?(LimitOrder)
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quote_size = (base_size * trade_price) / multiplier
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elsif taker.is_a?(MarketOrder)
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if base_size == max_size_with_quote_margin
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taker.max_precision = true
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end
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quote_size = [(trade_price * base_size / multiplier).round, taker.remaining_quote_margin].compact.min
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taker.remaining_quote_margin -= quote_size if taker.quote_margin
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end
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tape << {
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type: :execution,
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price: trade_price,
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base_size: base_size,
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quote_size: quote_size,
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maker_id: maker.id.to_s,
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taker_id: taker.id.to_s,
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tick: taker.bid? ? :up : :down
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}
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taker.remaining -= base_size if taker.remaining
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maker.remaining -= base_size
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end
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#
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# Cancels an order given an ID
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#
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@@ -229,6 +244,7 @@ module Gekko
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asks: BookSide.new(:ask, orders: hsh[:asks].map { |o| symbolize_keys(o) }.sort { |a, b| a[:price] <=> b[:price] }),
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})
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[:bids, :asks].each { |s| book.send(s).each { |ord| book.received[ord.id.to_s] = ord } }
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book.tape = Tape.from_hash(symbolize_keys(hsh[:tape])) if hsh[:tape]
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book
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data/lib/gekko/market_order.rb
CHANGED
@@ -6,7 +6,7 @@ module Gekko
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#
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class MarketOrder < Order
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-
attr_accessor :quote_margin, :remaining_quote_margin
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attr_accessor :quote_margin, :remaining_quote_margin, :max_precision
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def initialize(side, id, size, quote_margin, expiration = nil)
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super(side, id, size, expiration)
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@@ -15,11 +15,9 @@ module Gekko
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@remaining_quote_margin = @quote_margin
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if bid?
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quote_margin.nil? &&
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raise('Quote currency margin must be provided for a market bid')
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quote_margin.nil? && raise('Quote currency margin must be provided for a market bid')
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elsif ask?
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raise('Quote currency margin and size can not be both specified for a market ask')
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size.nil? && raise('Size must be provided for a market ask')
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end
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end
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@@ -27,8 +25,8 @@ module Gekko
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# Returns +true+ if the order is filled
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#
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def filled?
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max_precision ||
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(!size.nil? && remaining.zero?) ||
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(!quote_margin.nil? && remaining_quote_margin.zero?)
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end
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data/lib/gekko/version.rb
CHANGED
metadata
CHANGED
@@ -1,14 +1,14 @@
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1
1
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--- !ruby/object:Gem::Specification
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2
2
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name: gekko
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3
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version: !ruby/object:Gem::Version
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version: 0.
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version: 0.9.5
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5
5
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platform: ruby
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authors:
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- David FRANCOIS
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autorequire:
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bindir: bin
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cert_chain: []
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-
date: 2016-02-
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+
date: 2016-02-08 00:00:00.000000000 Z
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dependencies:
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- !ruby/object:Gem::Dependency
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name: uuidtools
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