gekko 0.3.1 → 0.5.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: 724b1a6b9a228d238ffdcb74a84e2460a09df83e
-  data.tar.gz: 3c9ce015f90c21e9b43780dddae3b7581d865299
+  metadata.gz: 6e807cf299a74840caedd3ab554af8b30c797d51
+  data.tar.gz: bce631e42323b43fd1864033a8e8bd6f4c97ffea
 SHA512:
-  metadata.gz: 1956c91a15816852444d39cb70aa3f62c43ded976493d7dd54c474e3c4e64716c65985479ba1b9d63e9a5beeece308d7d3904f7c8ecbe2dbc5596c5bc5b777d4
-  data.tar.gz: 3d54b6d4daae77ac190ca2fc4a95f5fe2f9238e9275ca91a0d72d33f77b28578cc149e2cb95bec053cc679bf5c41bdae995adef22f957ad3349f02cbdf84cc00
+  metadata.gz: ce1211699c74fc7232ddfbbc83db30d71fa45445a78c2b54c6ba547cd62b6d18d8d93b11486642b4ed6e6dfc496e9ab8acb32f55c916c0ac139edc6a64e0b9df
+  data.tar.gz: 31f755d6134b1650909bfb8860a28ab1a89e4732ee529fb87fb88161909acca8c6a51569bd7dbeb580997f76c11d33c8091a792b81c54f31eb6ab7eca74ce161

data/lib/gekko/book.rb

@@ -1,3 +1,6 @@
+require 'oj'
+Oj.default_options = { mode: :compat }
+
 require 'gekko/book_side'
 require 'gekko/tape'
 require 'gekko/errors'
@@ -12,12 +15,12 @@ module Gekko
     attr_accessor :pair, :bids, :asks, :tape, :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           = opts[:pair] || pair
+      self.bids           = opts[:bids] || BookSide.new(:bid)
+      self.asks           = opts[:asks] || BookSide.new(:ask)
+      self.tape           = opts[:tape] || Tape.new({ logger: opts[:logger] })
       self.base_precision = opts[:base_precision] || 8
-      self.received       = {}
+      self.received       = opts[:received] || {}
     end
 
     #
@@ -75,7 +78,6 @@ module Gekko
               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
             }
 
@@ -187,6 +189,49 @@ module Gekko
       }
     end
 
+    #
+    # Dumps the book to a JSON string
+    #
+    # @return [String] The serialized order book
+    #
+    def dump
+      Oj.dump({
+        time:             Time.now.to_f,
+        bids:             bids.to_hash,
+        asks:             asks.to_hash,
+        pair:             pair,
+        tape:             tape.to_hash,
+        received:         received,
+        base_precision:   base_precision
+      })
+    end
+
+    #
+    # Loads the book from a JSON string
+    #
+    # @param serialized [String] A serialized book
+    # @return [Gekko::Book] The deserialized book instance
+    #
+    def self.load(serialized)
+      hsh  = symbolize_keys(Oj.load(serialized))
+
+      hsh[:tape] = Tape.new(symbolize_keys(hsh[:tape]))
+      hsh[:bids] = BookSide.new(:bid, orders: hsh[:bids].map { |o| symbolize_keys(o) })
+      hsh[:asks] = BookSide.new(:ask, orders: hsh[:asks].map { |o| symbolize_keys(o) })
+
+      Book.new(hsh[:pair], hsh)
+    end
+
+    #
+    # Symbolizes keys of a non-nested +Hash+
+    #
+    # @param hsh [Hash] The +Hash+ for which we want to symbolize the keys
+    # @return [Hash] A copy of the parameter with all first-level keys symbolized
+    #
+    def self.symbolize_keys(hsh)
+      hsh.inject({}) { |mem, obj| mem[obj[0].to_sym] = obj[1]; mem }
+    end
+
   end
 end
 

data/lib/gekko/book_side.rb

@@ -9,9 +9,20 @@ module Gekko
 
     attr_accessor :side
 
-    def initialize(side)
+    def initialize(side, opts = {})
       raise "Incorrect side <#{side}>" unless [:bid, :ask].include?(side)
       @side = side
+
+      opts[:orders] && opts[:orders].each_with_index { |obj, idx| self[idx] = Order.load(obj) }
+    end
+
+    #
+    # Returns a +Hash+ representation of this +BookSide+ instance
+    #
+    # @return [Hash] The serializable representation
+    #
+    def to_hash
+      map(&:to_hash)
     end
 
     #

data/lib/gekko/order.rb

@@ -24,6 +24,36 @@ module Gekko
       raise 'The order creation timestamp can''t be nil'  if !@created_at
     end
 
+
+    #
+    # Loads an +Order+ from a +Hash+. Only limit orders are supported as market
+    # orders should never need to get serialized
+    #
+    # @return [LimitOrder] The unserialized order
+    #
+    def self.load(hsh)
+      order = LimitOrder.new(hsh[:side], UUID.parse(hsh[:id]), hsh[:size], hsh[:price], hsh[:expiration])
+      order.created_at = hsh[:created_at]
+      order
+    end
+
+    #
+    # Returns a +Hash+ representation of this +Order+ instance
+    #
+    # @return [Hash] The serializable representation
+    #
+    def to_hash
+      {
+        id:           @id,
+        side:         @side,
+        size:         @size,
+        price:        @price,
+        remaining:    @remaining,
+        expiration:   @expiration,
+        created_at:   @created_at
+      }
+    end
+
     #
     # Returns +true+ if this order can execute against +limit_order+
     #

data/lib/gekko/tape.rb

@@ -5,23 +5,57 @@ module Gekko
   #
   class Tape < Array
 
+    # The number of seconds in 24h
+    SECONDS_IN_24H = 60 * 60 * 24
+
     attr_accessor :logger, :last_trade_price
+    attr_reader :volume_24h, :high_24h, :low_24h
+
+    def initialize(opts = {})
+      @logger           = opts[:logger]
+
+      @cursor           = opts[:cursor]           || 0
+      @cursor_24h       = opts[:cursor_24h]       || 0
+      @volume_24h       = opts[:volume_24h]       || 0
+      @quote_volume_24h = opts[:quote_volume_24h] || 0
+
+      @low_24h          = opts[:low_24h]
+      @high_24h         = opts[:high_24h]
+      @last_trade_price = opts[:last_trade_price]
 
-    def initialize(logger = nil)
-      @logger           = logger
-      @cursor           = 0
-      @cursor_24h       = 0
-      @volume_24h       = 0
-      @quote_volume_24h = 0
+      opts[:events] && opts[:events].each_with_index { |obj, idx| self[idx] = obj }
+    end
+
+    #
+    # Returns this +Tape+ object as a +Hash+ for the purpose of serialization
+    #
+    # @return [Hash] The JSON-friendly +Hash+ representation
+    #
+    def to_hash
+      {
+        cursor:             @cursor,
+        cursor_24h:         @cursor_24h,
+        volume_24h:         @volume_24h,
+        high_24h:           @high_24h,
+        low_24h:            @low_24h,
+        quote_volume_24h:   @quote_volume_24h,
+        last_trade_price:   @last_trade_price,
+        events:             self
+      }
     end
 
+
     #
     # Prints a message on the tape
     #
     # @param message [Hash] The message to record
     #
     def <<(message)
-      message[:sequence] = length
+      message.merge!({
+        sequence: length,
+        time:     Time.now.to_f
+      })
+
       logger && logger.info(message)
 
       super(message)
@@ -44,36 +78,6 @@ module Gekko
       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 highest trade price that occurred during the last 24h
-    #
-    # @return [Fixnum] The last 24h high
-    #
-    def high_24h
-      move_24h_cursor!
-      @high_24h
-    end
-
-    #
-    # Returns the lowest trade price that occurred during the last 24h
-    #
-    # @return [Fixnum] The last 24h low
-    #
-    def low_24h
-      move_24h_cursor!
-      @low_24h
-    end
-
     #
     # Recalculates the previous 24h high and low
     #
@@ -87,8 +91,10 @@ module Gekko
       evt         = self[tmp_cursor]
 
       while (evt && (evt[:time] >= time_24h_ago)) do
-        @high_24h = ((@high_24h.nil? || (evt[:price] > @high_24h)) && evt[:price]) || @high_24h
-        @low_24h  = ((@low_24h.nil?  || (evt[:price] < @low_24h))  && evt[:price]) || @low_24h
+        if evt[:type] == :execution
+          @high_24h = ((@high_24h.nil? || (evt[:price] > @high_24h)) && evt[:price]) || @high_24h
+          @low_24h  = ((@low_24h.nil?  || (evt[:price] < @low_24h))  && evt[:price]) || @low_24h
+        end
 
         tmp_cursor -= 1
         evt = (tmp_cursor >= 0) && self[tmp_cursor]
@@ -101,7 +107,7 @@ module Gekko
     # @return [Fixnum] The last 24h quote currency volume
     #
     def quote_volume_24h
-      move_24h_cursor!
+      #move_24h_cursor!
       @quote_volume_24h
     end
 
@@ -136,7 +142,7 @@ module Gekko
     # @return [Float] Yesterday's cut-off timestamp
     #
     def time_24h_ago
-      Time.now.to_f - 24*3600
+      Time.now.to_f - SECONDS_IN_24H
     end
 
     #
@@ -145,7 +151,7 @@ module Gekko
     # passed to Tape#fall_out_of_24h_window  
     #
     def move_24h_cursor!
-      while(self[@cursor_24h] && ((self[@cursor_24h][:type] != :execution) || (self[@cursor_24h][:time] < time_24h_ago)))
+      while(self[@cursor_24h] && (self[@cursor_24h][:time] < time_24h_ago))
         if self[@cursor_24h][:type] == :execution
           fall_out_of_24h_window(self[@cursor_24h])
         end

data/lib/gekko/version.rb

@@ -1,6 +1,6 @@
 module Gekko
   
   # The Gekko version string
-  VERSION = '0.3.1'
+  VERSION = '0.5.0'
 
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: gekko
 version: !ruby/object:Gem::Version
-  version: 0.3.1
+  version: 0.5.0
 platform: ruby
 authors:
 - David FRANCOIS
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2015-03-12 00:00:00.000000000 Z
+date: 2015-03-19 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: uuidtools
@@ -24,6 +24,20 @@ dependencies:
     - - ~>
       - !ruby/object:Gem::Version
         version: '2.1'
+- !ruby/object:Gem::Dependency
+  name: oj
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '2.0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '2.0'
 - !ruby/object:Gem::Dependency
   name: pry
   requirement: !ruby/object:Gem::Requirement