gekko 0.2.1 → 0.3.0
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- 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
CHANGED
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@@ -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:
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3
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+
metadata.gz: 4aa84d5ef89d634ca0486aada06125be7d6b82dd
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4
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+
data.tar.gz: b99d3bb758325ff8fedb867ccb61959e1002f024
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5
5
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SHA512:
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6
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-
metadata.gz:
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7
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-
data.tar.gz:
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6
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+
metadata.gz: f82104b6dae8bb86079fce21996b6eccaa5c024703888b553e85a06451693e7380e158b88fdb6f19e3d113ae6a2e67d454a4550ce32326b7a97ed4064916a53f
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7
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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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30
30
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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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31
31
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32
32
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if received.has_key?(order.id.to_s)
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33
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-
tape << order.message(:reject, reason:
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33
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+
tape << order.message(:reject, reason: :duplicate_id)
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34
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+
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35
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elsif order.expired?
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36
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tape << order.message(:reject, reason: :expired)
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34
37
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35
38
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else
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36
39
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old_ticker = ticker
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@@ -43,40 +46,46 @@ module Gekko
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43
46
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next_match = opposite_side.first
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44
47
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45
48
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while !order.done? && order.crosses?(next_match)
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46
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-
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-
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-
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-
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-
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58
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-
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59
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-
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49
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+
if next_match.expired?
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50
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+
tape << opposite_side.shift.message(:done, reason: :expired)
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51
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+
next_match = opposite_side.first
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52
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+
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53
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else
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54
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+
trade_price = next_match.price
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55
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+
base_size = [next_match.remaining, order.remaining].min
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56
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+
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57
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+
if order.is_a?(LimitOrder)
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58
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+
quote_size = (base_size * trade_price) / (10 ** base_precision)
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59
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+
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60
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elsif order.is_a?(MarketOrder)
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61
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if order.ask? || (order.remaining_quote_margin > ((trade_price * base_size) / (10 ** base_precision)))
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62
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quote_size = ((trade_price * base_size) / (10 ** base_precision))
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63
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order.remaining_quote_margin -= quote_size if order.bid?
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64
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elsif order.bid?
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65
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+
quote_size = order.remaining_quote_margin
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66
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base_size = (order.remaining_quote_margin * (10 ** base_precision)) / trade_price
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67
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+
order.remaining_quote_margin -= quote_size
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68
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+
end
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60
69
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end
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61
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-
end
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62
70
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63
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-
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64
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-
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-
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-
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-
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71
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+
tape << {
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72
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type: :execution,
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73
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price: trade_price,
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74
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+
base_size: base_size,
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75
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quote_size: quote_size,
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76
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+
maker_order_id: next_match.id.to_s,
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77
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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
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+
tick: order.bid? ? :up : :down
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80
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}
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81
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+
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82
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order.remaining -= base_size
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83
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+
next_match.remaining -= base_size
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84
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+
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85
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if next_match.filled?
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86
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tape << opposite_side.shift.message(:done, reason: :filled)
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87
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next_match = opposite_side.first
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88
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end
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80
89
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end
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81
90
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end
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82
91
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@@ -109,6 +118,25 @@ module Gekko
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109
118
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tick! if (prev_bid != bid) || (prev_ask != ask)
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110
119
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end
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111
120
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121
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+
#
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122
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# Removes all expired orders from the book
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123
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#
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124
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+
def remove_expired!
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125
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+
prev_bid = bid
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126
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+
prev_ask = ask
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127
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+
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128
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+
[bids, asks].each do |bs|
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129
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+
bs.reject! do |order|
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130
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+
if order.expired?
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131
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+
tape << order.message(:done, reason: :expired)
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132
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true
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133
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end
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134
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+
end
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135
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+
end
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136
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+
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137
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+
tick! if (prev_bid != bid) || (prev_ask != ask)
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138
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end
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139
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+
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112
140
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#
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113
141
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# Returns the current best ask price or +nil+ if there
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114
142
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# are currently no asks
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data/lib/gekko/order.rb
CHANGED
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@@ -9,7 +9,7 @@ module Gekko
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9
9
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10
10
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attr_accessor :id, :side, :size, :remaining, :price, :expiration, :created_at
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11
11
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12
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-
def initialize(side, id, size,
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12
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+
def initialize(side, id, size, expiration = nil)
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13
13
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@id = id
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14
14
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@side = side && side.to_sym
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15
15
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@size = size
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@@ -82,5 +82,12 @@ module Gekko
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82
82
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is_a?(Gekko::MarketOrder)
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83
83
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end
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84
84
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85
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+
#
|
|
86
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+
# Returns +true+ if this order is expired
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|
87
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+
#
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|
88
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+
def expired?
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|
89
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expiration && (expiration <= Time.now.to_i)
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|
90
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+
end
|
|
91
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+
|
|
85
92
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end
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86
93
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end
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data/lib/gekko/version.rb
CHANGED
metadata
CHANGED
|
@@ -1,14 +1,14 @@
|
|
|
1
1
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--- !ruby/object:Gem::Specification
|
|
2
2
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name: gekko
|
|
3
3
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version: !ruby/object:Gem::Version
|
|
4
|
-
version: 0.
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4
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+
version: 0.3.0
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|
5
5
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platform: ruby
|
|
6
6
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authors:
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|
7
7
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- David FRANCOIS
|
|
8
8
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autorequire:
|
|
9
9
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bindir: bin
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|
10
10
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cert_chain: []
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|
11
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-
date: 2015-
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|
11
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+
date: 2015-03-03 00:00:00.000000000 Z
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|
12
12
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dependencies:
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|
13
13
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- !ruby/object:Gem::Dependency
|
|
14
14
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name: uuidtools
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