gekko 1.0.0 → 1.1.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: c6a62cd6a603df96f06b4d067339fd3099fa7210
-  data.tar.gz: 89b432fea332373c19f364503f978bd48e36acb6
+  metadata.gz: b6a24e973cb010d9b1f8067d9bea9cb30a1c3bc4
+  data.tar.gz: f120b77ebf50b3a973a886dc4b8561249c395169
 SHA512:
-  metadata.gz: 5bafd1be42f260eb676f90c849d32bd862a70001bd1cd46d89dc609bd125235618d59cc69299bfd489bf15270e26c442cc29a2f75cf7918f8d0008085a1049ae
-  data.tar.gz: 487cf829c967a2737ce01ad0caaf53a415de0bc1106a442f90df1643d08dd4291d109385a59b1e23fc29fb3ccb9ec83f68f874f5a0748637eeb99a956de2b063
+  metadata.gz: 0d14739c0de58e63f2ce1039018911f3689a59c833f1871e136ef6076730337493d709b2efe9e43ff4883228ae795a76a8a66c7c89a3d68dad0c0229132e29ea
+  data.tar.gz: 396fb3177eb9c2fbcdf289fe36ee1cb6abb1658aa4db4eda8b7f3bcbf5e08ec60ee799f487cc3793f8f57f740f06b147d50680208438b4007f8bbd399d672cef

data/lib/gekko/book.rb

@@ -34,12 +34,18 @@ module Gekko
     def receive_order(order)
       raise 'Order must be a Gekko::LimitOrder or a Gekko::MarketOrder' unless [LimitOrder, MarketOrder].include?(order.class)
 
+      # The side from which we'll pop orders
+      opposite_side = order.bid? ? asks : bids
+
       if received.has_key?(order.id.to_s)
         tape << order.message(:reject, reason: :duplicate_id)
 
       elsif order.expired?
         tape << order.message(:reject, reason: :expired)
 
+      elsif order.post_only && order.crosses?(opposite_side.first)
+        tape << order.message(:reject, reason: :would_execute)
+
       else
         old_ticker = ticker
 
@@ -47,7 +53,6 @@ module Gekko
         tape << order.message(:received)
 
         order_side    = order.bid? ? bids : asks
-        opposite_side = order.bid? ? asks : bids
         next_match    = opposite_side.first
         prev_match_id = nil
 

data/lib/gekko/limit_order.rb

@@ -7,8 +7,8 @@ module Gekko
 
     attr_accessor :price
 
-    def initialize(side, id, uid, size, price, expiration = nil)
-      super(side, id, uid, size, expiration)
+    def initialize(side, id, uid, size, price, opts = {})
+      super(side, id, uid, size, opts)
       @price = price
 
       raise 'Price must be a positive integer' if @price.nil? || (!@price.is_a?(Fixnum) || (@price <= 0))
@@ -45,7 +45,7 @@ module Gekko
     # @return [Gekko::LimitOrder] A limit order
     #
     def self.from_hash(hsh)
-      order = LimitOrder.new(hsh[:side], UUID.parse(hsh[:id]), UUID.parse(hsh[:uid]), hsh[:size], hsh[:price], hsh[:expiration])
+      order = LimitOrder.new(hsh[:side], UUID.parse(hsh[:id]), UUID.parse(hsh[:uid]), hsh[:size], hsh[:price], expiration: hsh[:expiration])
       order.remaining   = hsh[:remaining] || hsh[:size]
       order.created_at  = hsh[:created_at] if hsh[:created_at]
       order

data/lib/gekko/market_order.rb

@@ -8,8 +8,8 @@ module Gekko
 
     attr_accessor :quote_margin, :remaining_quote_margin, :max_precision
 
-    def initialize(side, id, uid, size, quote_margin, expiration = nil)
-      super(side, id, uid, size, expiration)
+    def initialize(side, id, uid, size, quote_margin, opts = {})
+      super(side, id, uid, size, opts)
 
       @quote_margin           = quote_margin
       @remaining_quote_margin = @quote_margin
@@ -46,7 +46,7 @@ module Gekko
     # @return [Gekko::MarketOrder] A market order
     #
     def self.from_hash(hsh)
-      order = MarketOrder.new(hsh[:side], UUID.parse(hsh[:id]), UUID.parse(hsh[:uid]), hsh[:size], hsh[:quote_margin], hsh[:expiration])
+      order = MarketOrder.new(hsh[:side], UUID.parse(hsh[:id]), UUID.parse(hsh[:uid]), hsh[:size], hsh[:quote_margin], expiration: hsh[:expiration])
       order.created_at  = hsh[:created_at] if hsh[:created_at]
       order
     end

data/lib/gekko/order.rb

@@ -9,16 +9,17 @@ module Gekko
 
     include Serialization
 
-    attr_accessor :id, :uid, :side, :size, :remaining, :price, :expiration, :created_at
+    attr_accessor :id, :uid, :side, :size, :remaining, :price, :expiration, :created_at, :post_only
 
-    def initialize(side, id, uid, size, expiration = nil)
+    def initialize(side, id, uid, size, opts = {})
       @id         = id
       @uid        = uid
       @side       = side && side.to_sym
       @size       = size
       @remaining  = @size
-      @expiration = expiration
+      @expiration = opts[:expiration]
       @created_at = Time.now.to_f
+      @post_only  = opts[:post_only]
 
       raise 'Orders must have an UUID'                    unless @id && @id.is_a?(UUID)
       raise 'Orders must have a user ID'                  unless @uid && @uid.is_a?(UUID)

data/lib/gekko/version.rb

@@ -1,6 +1,6 @@
 module Gekko
 
   # The Gekko version string
-  VERSION = '1.0.0'
+  VERSION = '1.1.0'
 
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: gekko
 version: !ruby/object:Gem::Version
-  version: 1.0.0
+  version: 1.1.0
 platform: ruby
 authors:
 - David FRANCOIS
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2016-02-15 00:00:00.000000000 Z
+date: 2016-02-17 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: uuidtools