gekko 0.0.1 → 0.1.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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+  metadata.gz: c22a43388f516eb29f65b1c7439018b7d0b62b2d
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data/lib/gekko.rb

@@ -4,6 +4,8 @@ require 'uuidtools'
 UUID = UUIDTools::UUID
 
 require 'gekko/order'
+require 'gekko/limit_order'
+require 'gekko/market_order'
 require 'gekko/book'
 
 # The Gekko top-level module

data/lib/gekko/book.rb

@@ -16,13 +16,15 @@ module Gekko
     # The default minimum price increment accepted for placed orders
     DEFAULT_TICK_SIZE = 1000
 
-    attr_accessor :pair, :bids, :asks, :tape, :tick_size
+    attr_accessor :pair, :bids, :asks, :tape, :tick_size, :received, :base_precision
 
     def initialize(pair, opts = {})
-      self.pair       = pair
-      self.bids       = BookSide.new(:bid)
-      self.asks       = BookSide.new(:ask)
-      self.tape       = Tape.new(opts[:logger])
+      self.pair           = pair
+      self.bids           = BookSide.new(:bid)
+      self.asks           = BookSide.new(:ask)
+      self.tape           = Tape.new(opts[:logger])
+      self.base_precision = 8
+      self.received       = {}
 
       self.tick_size  = opts[:tick_size] || DEFAULT_TICK_SIZE
       raise "Tick size must be a positive integer if provided" if tick_size && (!tick_size.is_a?(Fixnum) || tick_size <= 0)
@@ -35,44 +37,68 @@ module Gekko
     #
     def receive_order(order)
 
-      raise Gekko::TickSizeMismatch unless (order.price % tick_size).zero?
+      raise 'Order must be a Gekko::LimitOrder or a Gekko::MarketOrder' unless [LimitOrder, MarketOrder].include?(order.class)
 
-      order_side    = order.bid? ? bids : asks
-      opposite_side = order.bid? ? asks : bids
-      next_match    = opposite_side.first
+      raise Gekko::TickSizeMismatch unless (order.is_a?(MarketOrder) || (order.price % tick_size).zero?)
 
-      while !order.filled? && order.crosses?(next_match)
+      if received.has_key?(order.id.to_s)
+        tape << order.message(:reject, reason: "Duplicate ID <#{order.id.to_s}>")
 
-        trade_price   = next_match.price
-        base_size   = [next_match.remaining, order.remaining].min
-
-        quoted_size = base_size / trade_price
-
-        tape << {
-          type:             :execution,
-          price:            trade_price,
-          base_size:        base_size,
-          quoted_size:      quoted_size,
-          maker_order_id:   next_match.id,
-          taker_order_id:   order.id,
-          time:             Time.now.to_f,
-          tick:             order.bid? ? :up : :down
-        }
-
-        order.remaining       -= base_size
-        next_match.remaining  -= base_size
-
-        if next_match.filled?
-          tape << opposite_side.shift.message(:done, reason: :filled)
-          next_match = opposite_side.first
+      else
+        self.received[order.id.to_s] = order
+        tape << order.message(:received)
+
+        order_side    = order.bid? ? bids : asks
+        opposite_side = order.bid? ? asks : bids
+        next_match    = opposite_side.first
+
+        while !order.done? && order.crosses?(next_match)
+          trade_price   = next_match.price
+          base_size   = [next_match.remaining, order.remaining].min
+
+          if order.is_a?(LimitOrder)
+            quote_size = (base_size * trade_price) / (10 ** base_precision)
+
+          elsif order.is_a?(MarketOrder)
+            if order.ask? || (order.remaining_quote_margin > ((trade_price * base_size) / (10 ** base_precision)))
+              quote_size = ((trade_price * base_size) / (10 ** base_precision))
+              order.remaining_quote_margin -= quote_size if order.bid?
+            elsif order.bid?
+              quote_size = order.remaining_quote_margin
+              base_size = (order.remaining_quote_margin * (10 ** base_precision)) / trade_price
+              order.remaining_quote_margin -= quote_size
+            end
+          end
+
+
+          tape << {
+            type:             :execution,
+            price:            trade_price,
+            base_size:        base_size,
+            quote_size:       quote_size,
+            maker_order_id:   next_match.id.to_s,
+            taker_order_id:   order.id.to_s,
+            time:             Time.now.to_f,
+            tick:             order.bid? ? :up : :down
+          }
+
+          order.remaining       -= base_size
+          next_match.remaining  -= base_size
+
+          if next_match.filled?
+            tape << opposite_side.shift.message(:done, reason: :filled)
+            next_match = opposite_side.first
+          end
         end
-      end
 
-      if order.filled?
-        tape << order.message(:done, reason: :filled)
-      else
-        order_side.insert_order(order)
-        tape << order.message(:open)
+        if order.filled?
+          tape << order.message(:done, reason: :filled)
+        elsif order.fill_or_kill?
+          tape << order.message(:done, reason: :killed)
+        else
+          order_side.insert_order(order)
+          tape << order.message(:open)
+        end
       end
     end
 
@@ -100,6 +126,23 @@ module Gekko
       ask && bid && (ask - bid)
     end
 
+    #
+    # Returns the current ticker
+    #
+    # @return [Hash] The current ticker
+    #
+    def ticker
+      v24h = tape.volume_24h
+      {
+        last:       tape.last_trade_price,
+        bid:        bid,
+        ask:        ask,
+        spread:     spread,
+        volume_24h: v24h,
+        vwap_24h:   (v24h > 0) && (tape.quote_volume_24h * (10 ** base_precision)/ v24h)
+      }
+    end
+
   end
 end
 

data/lib/gekko/limit_order.rb

@@ -0,0 +1,29 @@
+module Gekko
+
+  #
+  # Represents a limit order. These order must specify a price.
+  #
+  class LimitOrder < Order
+
+    attr_accessor :price
+
+    def initialize(side, id, size, price, expiration = nil)
+      super(side, id, size, expiration)
+      @price = price
+      raise 'Price must be a positive integer' if @price.nil? || (!@price.is_a?(Fixnum) || (@price <= 0))
+    end
+
+    #
+    # Returns +true+ if the order is filled
+    #
+    def filled?
+      remaining.zero?
+    end
+
+    def done?
+      filled?
+    end
+
+  end
+end
+

data/lib/gekko/market_order.rb

@@ -0,0 +1,36 @@
+module Gekko
+
+  #
+  # Represents a market order. If a bid, it must specify the maximum spendable quote
+  # currency as remaining quote margin
+  #
+  class MarketOrder < Order
+
+    attr_accessor :quote_margin, :remaining_quote_margin
+
+    def initialize(side, id, size, quote_margin, expiration = nil)
+      super(side, id, size, expiration)
+      @quote_margin           = quote_margin
+      @remaining_quote_margin = @quote_margin
+      raise 'Quote currency margin must be provided for a market bid'     if quote_margin.nil? && bid?
+      raise 'Quote currency margin can not be specified for a market ask' if quote_margin && ask?
+    end
+
+    #
+    # Returns +true+ if the order is filled
+    #
+    def filled?
+      remaining.zero?
+    end
+
+    #
+    # Returns +true+ if the order has been filled or can not keep
+    # executing further due to quote currency margin constraints
+    #
+    def done?
+      filled? || (bid? && remaining_quote_margin.zero?)
+    end
+
+  end
+end
+

data/lib/gekko/order.rb

@@ -2,7 +2,7 @@ module Gekko
 
   #
   # Represents a trade order. Trade orders can be either buy (bid) or sell (ask) orders.
-  # All orders are identified by an UUID, must specify a size, a price, and an optional
+  # All orders are identified by an UUID, and must specify a size, and an optional
   # expiration timestamp.
   #
   class Order
@@ -11,38 +11,33 @@ module Gekko
 
     def initialize(side, id, size, price, expiration = nil)
       @id         = id
-      @side       = side
-      @size     = size
+      @side       = side && side.to_sym
+      @size       = size
       @remaining  = @size
-      @price      = price
       @expiration = expiration
       @created_at = Time.now.to_f
 
-      raise 'Orders must have an UUID'                        unless @id && @id.is_a?(UUID)
-      raise 'Side must be either :bid or :ask'                unless [:bid, :ask].include?(side)
-      raise 'Price must be a positive integer or be omitted'  if (@price && (!@price.is_a?(Fixnum) || (@price <= 0)))
-      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))
-      raise 'The order creation timestamp can''t be nil'      if !@created_at
+      raise 'Orders must have an UUID'                    unless @id && @id.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))
+      raise 'The order creation timestamp can''t be nil'  if !@created_at
     end
 
     #
-    # Returns +true+ if this order can execute against +other_order+
+    # Returns +true+ if this order can execute against +limit_order+
     #
-    # @param other [Order] The other order against which we want 
+    # @param limit_order [LimitOrder] The limit order against which we want 
     #   to know if an execution is possible
     #
-    def crosses?(other)
-      if other && (bid? ^ other.bid?)
-        (bid? && (price >= other.price)) || (ask? && (price <= other.price))
-      end
-    end
+    def crosses?(limit_order)
+      if limit_order
+        raise 'Can not test againt a market order' unless limit_order.is_a?(LimitOrder)
 
-    #
-    # Returns +true+ if the order is filled
-    #
-    def filled?
-      remaining.zero?
+        if bid? ^ limit_order.bid?
+          is_a?(MarketOrder) || (bid? && (price >= limit_order.price)) || (ask? && (price <= limit_order.price))
+        end
+      end
     end
 
     #
@@ -57,7 +52,7 @@ module Gekko
     def message(type, extra_attrs = {})
       {
         type:       type,
-        order_id:   id,
+        order_id:   id.to_s,
         side:       side,
         size:       size,
         remaining:  remaining,
@@ -79,5 +74,13 @@ module Gekko
       !bid?
     end
 
+    #
+    # Returns +true+ if this order isn't supposed to stick around in
+    # the order book
+    #
+    def fill_or_kill?
+      is_a?(Gekko::MarketOrder)
+    end
+
   end
 end

data/lib/gekko/tape.rb

@@ -3,13 +3,16 @@ module Gekko
   #
   # Records the trading engine messages sequentially
   #
-  class Tape
+  class Tape < Array
 
-    attr_accessor :events, :logger
+    attr_accessor :logger, :last_trade_price
 
     def initialize(logger = nil)
-      @events = []
-      @logger = logger
+      @logger           = logger
+      @cursor           = 0
+      @cursor_24h       = 0
+      @volume_24h       = 0
+      @quote_volume_24h = 0
     end
 
     #
@@ -18,10 +21,71 @@ module Gekko
     # @param message [Hash] The message to record
     #
     def <<(message)
-      message[:sequence] = events.length
+      message[:sequence] = length
       logger && logger.info(message)
-      events << message
+
+      if message[:type] == :execution
+        # Keep last price up to date
+        @last_trade_price = message[:price]
+
+        # Keep 24h volume up to date
+        @volume_24h       += message[:base_size]
+        @quote_volume_24h += message[:quote_size]
+        move_24h_cursor!
+      end
+
+      super(message)
+    end
+
+    #
+    # Returns the next unread element from the tape
+    #
+    # @return [Hash] The next unread element
+    #
+    def next
+      if @cursor < length
+        n = self[@cursor]
+        @cursor += 1
+        n
+      end
+    end
+
+    #
+    # Returns the traded volume for the last 24h
+    #
+    # @return [Fixnum] The last 24h volume
+    #
+    def volume_24h
+      move_24h_cursor!
+      @volume_24h
+    end
+
+    #
+    # Returns the traded amount of quote currency in the last 24h
+    #
+    # @return [Fixnum] The last 24h quote currency volume
+    #
+    def quote_volume_24h
+      move_24h_cursor!
+      @quote_volume_24h
     end
 
+    #
+    # Moves the cursor pointing to the first trade that happened during
+    # the last 24h and updates the volume along the way
+    #
+    def move_24h_cursor!
+      time_24h_ago = Time.now.to_f - 24*3600
+
+      while(self[@cursor_24h] && ((self[@cursor_24h][:type] != :execution) || (self[@cursor_24h][:time] < time_24h_ago)))
+        if self[@cursor_24h] && self[@cursor_24h][:type] == :execution
+          @volume_24h       -= self[@cursor_24h][:base_size]
+          @quote_volume_24h -= self[@cursor_24h][:quote_size]
+        end
+
+        @cursor_24h += 1
+      end
+    end
   end
 end
+

data/lib/gekko/version.rb

@@ -1,6 +1,6 @@
 module Gekko
   
   # The Gekko version string
-  VERSION = '0.0.1'
+  VERSION = '0.1.0'
 
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: gekko
 version: !ruby/object:Gem::Version
-  version: 0.0.1
+  version: 0.1.0
 platform: ruby
 authors:
 - David FRANCOIS
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2015-01-30 00:00:00.000000000 Z
+date: 2015-02-03 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: uuidtools
@@ -24,48 +24,118 @@ dependencies:
     - - ~>
       - !ruby/object:Gem::Version
         version: '2.1'
+- !ruby/object:Gem::Dependency
+  name: pry
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '0.10'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '0.10'
 - !ruby/object:Gem::Dependency
   name: rspec
   requirement: !ruby/object:Gem::Requirement
     requirements:
     - - ~>
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '3.1'
   type: :development
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
     - - ~>
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '3.1'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '10.3'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '10.3'
+- !ruby/object:Gem::Dependency
+  name: yard
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '0.8'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '0.8'
+- !ruby/object:Gem::Dependency
+  name: timecop
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '0.7'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '0.7'
+- !ruby/object:Gem::Dependency
+  name: redcarpet
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '3.1'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '3.1'
 - !ruby/object:Gem::Dependency
   name: simplecov
   requirement: !ruby/object:Gem::Requirement
     requirements:
     - - ~>
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.9'
   type: :development
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
     - - ~>
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.9'
 - !ruby/object:Gem::Dependency
-  name: pry
+  name: coveralls
   requirement: !ruby/object:Gem::Requirement
     requirements:
     - - ~>
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.7'
   type: :development
   prerelease: false
   version_requirements: !ruby/object:Gem::Requirement
     requirements:
     - - ~>
       - !ruby/object:Gem::Version
-        version: '0'
+        version: '0.7'
 description: Gekko is a bare-bones order matcher whose task is to accept orders and
   maintain an order book.
 email:
@@ -80,6 +150,8 @@ files:
 - lib/gekko/book.rb
 - lib/gekko/book_side.rb
 - lib/gekko/errors.rb
+- lib/gekko/limit_order.rb
+- lib/gekko/market_order.rb
 - lib/gekko/order.rb
 - lib/gekko/tape.rb
 - lib/gekko/version.rb