gekko 0.2.1 → 0.3.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- checksums.yaml +4 -4
- data/lib/gekko/book.rb +61 -33
- data/lib/gekko/order.rb +8 -1
- data/lib/gekko/version.rb +1 -1
- metadata +2 -2
checksums.yaml
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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: 4aa84d5ef89d634ca0486aada06125be7d6b82dd
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data.tar.gz: b99d3bb758325ff8fedb867ccb61959e1002f024
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: f82104b6dae8bb86079fce21996b6eccaa5c024703888b553e85a06451693e7380e158b88fdb6f19e3d113ae6a2e67d454a4550ce32326b7a97ed4064916a53f
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data.tar.gz: 94bcc19c7d06bf532bf1da8984788395df44d4f38dcdaec8ac61e2f4814c27f53b275c8b19819cf424aef0645d3e0c79243ea74beedf21fefc517039943499bb
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data/lib/gekko/book.rb
CHANGED
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@@ -30,7 +30,10 @@ module Gekko
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raise 'Order must be a Gekko::LimitOrder or a Gekko::MarketOrder' unless [LimitOrder, MarketOrder].include?(order.class)
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if received.has_key?(order.id.to_s)
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tape << order.message(:reject, reason:
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tape << order.message(:reject, reason: :duplicate_id)
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elsif order.expired?
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tape << order.message(:reject, reason: :expired)
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else
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old_ticker = ticker
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@@ -43,40 +46,46 @@ module Gekko
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next_match = opposite_side.first
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while !order.done? && order.crosses?(next_match)
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if next_match.expired?
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tape << opposite_side.shift.message(:done, reason: :expired)
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next_match = opposite_side.first
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else
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trade_price = next_match.price
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base_size = [next_match.remaining, order.remaining].min
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if order.is_a?(LimitOrder)
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quote_size = (base_size * trade_price) / (10 ** base_precision)
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elsif order.is_a?(MarketOrder)
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if order.ask? || (order.remaining_quote_margin > ((trade_price * base_size) / (10 ** base_precision)))
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quote_size = ((trade_price * base_size) / (10 ** base_precision))
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order.remaining_quote_margin -= quote_size if order.bid?
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elsif order.bid?
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quote_size = order.remaining_quote_margin
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base_size = (order.remaining_quote_margin * (10 ** base_precision)) / trade_price
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order.remaining_quote_margin -= quote_size
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end
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end
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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_order_id: next_match.id.to_s,
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taker_order_id: order.id.to_s,
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time: Time.now.to_f,
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tick: order.bid? ? :up : :down
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}
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order.remaining -= base_size
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next_match.remaining -= base_size
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if next_match.filled?
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tape << opposite_side.shift.message(:done, reason: :filled)
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next_match = opposite_side.first
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end
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end
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end
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@@ -109,6 +118,25 @@ module Gekko
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tick! if (prev_bid != bid) || (prev_ask != ask)
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end
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#
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# Removes all expired orders from the book
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#
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def remove_expired!
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prev_bid = bid
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prev_ask = ask
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[bids, asks].each do |bs|
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bs.reject! do |order|
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if order.expired?
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tape << order.message(:done, reason: :expired)
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true
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end
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end
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end
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tick! if (prev_bid != bid) || (prev_ask != ask)
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end
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#
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# Returns the current best ask price or +nil+ if there
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# are currently no asks
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data/lib/gekko/order.rb
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@@ -9,7 +9,7 @@ module Gekko
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attr_accessor :id, :side, :size, :remaining, :price, :expiration, :created_at
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def initialize(side, id, size,
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def initialize(side, id, size, expiration = nil)
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@id = id
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@side = side && side.to_sym
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@size = size
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is_a?(Gekko::MarketOrder)
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end
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#
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# Returns +true+ if this order is expired
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#
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def expired?
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expiration && (expiration <= Time.now.to_i)
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end
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end
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end
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data/lib/gekko/version.rb
CHANGED
metadata
CHANGED
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@@ -1,14 +1,14 @@
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--- !ruby/object:Gem::Specification
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name: gekko
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version: !ruby/object:Gem::Version
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version: 0.
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version: 0.3.0
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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: 2015-
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date: 2015-03-03 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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