gekko 0.8.1 → 0.9.5

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: 981305466dff1fb589c97f96fb4be28ca1b4e2ce
-  data.tar.gz: 123b650f9b0774614710cec547990609786f1dc2
+  metadata.gz: d1b1e5234724a55544ac1f4bd8e1df4cf6574772
+  data.tar.gz: 434bf684cc8a837c568317340618c2b346f5471c
 SHA512:
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+  metadata.gz: 97a6e80692ed6b73878a07836b11e333072778f90d3ded6c99c69e696c87f5b1b21f4af37b066289f77f24ace61735bb481980e0bc80603d985ac15d7e806f4c
+  data.tar.gz: fce34e374fd353c296caf2723728b61a45e336d613149d68f983f740641f096cf2f2f8e0f9b69ed734905c664b252b6d7940bc13fcbde4cf2112b601159be3d2

data/lib/gekko/book.rb

@@ -9,10 +9,13 @@ module Gekko
   #
   class Book
 
+    extend Forwardable
     include Serialization
 
     attr_accessor :pair, :bids, :asks, :tape, :received, :base_precision, :multiplier
 
+    def_delegators :@tape, :logger, :logger=
+
     def initialize(pair, opts = {})
       self.pair           = opts[:pair] || pair
       self.bids           = opts[:bids] || BookSide.new(:bid)
@@ -53,45 +56,7 @@ module Gekko
             next_match = opposite_side.first
 
           else
-            trade_price     = next_match.price
-            max_quote_size  = nil
-
-            if order.is_a?(MarketOrder)
-              max_size_possible_with_quote_margin = order.remaining_quote_margin && (order.remaining_quote_margin * multiplier / trade_price).round
-            end
-
-            base_size = [
-              next_match.remaining,
-              order.remaining,
-              max_size_possible_with_quote_margin
-            ].compact.min
-
-            if order.is_a?(LimitOrder)
-              quote_size = (base_size * trade_price) / multiplier
-
-            elsif order.is_a?(MarketOrder)
-              if order.ask? || (order.remaining_quote_margin > (trade_price * base_size / multiplier))
-                quote_size = (trade_price * base_size / multiplier).round
-                order.remaining_quote_margin -= quote_size if order.quote_margin
-
-              elsif order.bid?
-                quote_size = order.remaining_quote_margin
-                order.remaining_quote_margin = 0
-              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,
-              tick:             order.bid? ? :up : :down
-            }
-
-            order.remaining       -= base_size if order.remaining
-            next_match.remaining  -= base_size
+            execute_trade(next_match, order)
 
             if next_match.filled?
               tape << opposite_side.shift.message(:done, reason: :filled)
@@ -113,6 +78,56 @@ module Gekko
       end
     end
 
+    #
+    # Executes a trade between two orders
+    #
+    # @param maker [Gekko::LimitOrder] The order in the book providing liquidity
+    # @param taker [Gekko::Order] The order being executed
+    #
+    def execute_trade(maker, taker)
+      trade_price     = maker.price
+      max_quote_size  = nil
+
+      # Rounding direction depends on the takers direction
+      rounding = (taker.bid? ? :floor : :ceil)
+
+      if taker.is_a?(MarketOrder)
+        max_size_with_quote_margin = taker.remaining_quote_margin &&
+          (taker.remaining_quote_margin * multiplier / trade_price).send(rounding)
+      end
+
+      base_size = [
+        maker.remaining,
+        taker.remaining,
+        max_size_with_quote_margin
+      ].compact.min
+
+      if taker.is_a?(LimitOrder)
+        quote_size = (base_size * trade_price) / multiplier
+
+      elsif taker.is_a?(MarketOrder)
+        if base_size == max_size_with_quote_margin
+          taker.max_precision = true
+        end
+
+        quote_size = [(trade_price * base_size / multiplier).round, taker.remaining_quote_margin].compact.min
+        taker.remaining_quote_margin -= quote_size if taker.quote_margin
+      end
+
+      tape << {
+        type:       :execution,
+        price:      trade_price,
+        base_size:  base_size,
+        quote_size: quote_size,
+        maker_id:   maker.id.to_s,
+        taker_id:   taker.id.to_s,
+        tick:       taker.bid? ? :up : :down
+      }
+
+      taker.remaining  -= base_size if taker.remaining
+      maker.remaining  -= base_size
+    end
+
     #
     # Cancels an order given an ID
     #
@@ -229,6 +244,7 @@ module Gekko
         asks: BookSide.new(:ask, orders: hsh[:asks].map { |o| symbolize_keys(o) }.sort { |a, b| a[:price] <=> b[:price] }),
       })
 
+      [:bids, :asks].each { |s| book.send(s).each { |ord| book.received[ord.id.to_s] = ord } }
       book.tape = Tape.from_hash(symbolize_keys(hsh[:tape])) if hsh[:tape]
 
       book

data/lib/gekko/market_order.rb

@@ -6,7 +6,7 @@ module Gekko
   #
   class MarketOrder < Order
 
-    attr_accessor :quote_margin, :remaining_quote_margin
+    attr_accessor :quote_margin, :remaining_quote_margin, :max_precision
 
     def initialize(side, id, size, quote_margin, expiration = nil)
       super(side, id, size, expiration)
@@ -15,11 +15,9 @@ module Gekko
       @remaining_quote_margin = @quote_margin
 
       if bid?
-        quote_margin.nil? && 
-          raise('Quote currency margin must be provided for a market bid')
+        quote_margin.nil? && raise('Quote currency margin must be provided for a market bid')
       elsif ask?
-        (quote_margin.nil? ^ size.nil?) ||
-          raise('Quote currency margin and size can not be both specified for a market ask')
+        size.nil? && raise('Size must be provided for a market ask')
       end
     end
 
@@ -27,8 +25,8 @@ module Gekko
     # Returns +true+ if the order is filled
     #
     def filled?
-      #binding.pry
-      (!size.nil? && remaining.zero?) ||
+      max_precision ||
+        (!size.nil? && remaining.zero?) ||
         (!quote_margin.nil? && remaining_quote_margin.zero?)
     end
 

data/lib/gekko/version.rb

@@ -1,6 +1,6 @@
 module Gekko
 
   # The Gekko version string
-  VERSION = '0.8.1'
+  VERSION = '0.9.5'
 
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: gekko
 version: !ruby/object:Gem::Version
-  version: 0.8.1
+  version: 0.9.5
 platform: ruby
 authors:
 - David FRANCOIS
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2016-02-05 00:00:00.000000000 Z
+date: 2016-02-08 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: uuidtools