heisencoin 0.0.4 → 0.0.5

checksums.yaml

@@ -1,7 +1,7 @@
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data/lib/heisencoin/arbitrage.rb

@@ -0,0 +1,100 @@
+module Heisencoin
+  class Arbitrage
+    attr_accessor :exchanges, :bids, :asks
+
+    def initialize
+      @exchanges = []
+      @asks = Market.new(:ask)
+      @bids = Market.new(:bid)
+    end
+
+    def add_exchanges(exchanges)
+      @exchanges += exchanges
+    end
+
+    def exchange(name)
+      exchanges.select{|e| e.name == name}.first
+    end
+
+    def add_depth(exchange, depth)
+      @asks.drop_offers(exchange)
+      @asks.import(exchange, depth["asks"])
+      @bids.drop_offers(exchange)
+      @bids.import(exchange, depth["bids"])
+    end
+
+    def best_price(market1, market2)
+      level = nil
+      market1.offers.each do |offer|
+        good = market2.offers.any?{|offer_other| yield offer.price, offer_other.price}
+        if good
+          level = offer.price
+          break
+        end
+      end
+      level
+    end
+
+    def profitable_asks(highwater=nil)
+      highwater ||= best_price(@bids, @asks){|offer, other| offer > other}
+      if highwater
+        @asks.offers_better_than(highwater)
+      else
+        []
+      end
+    end
+
+    def profitable_bids(lowwater=nil)
+      lowwater ||= best_price(@asks, @bids){|offer, other| offer < other}
+      if lowwater
+        @bids.offers_better_than(lowwater)
+      else
+        []
+      end
+    end
+
+    def trade_all(asks, bids)
+      working_bids = bids.dup
+      trades = []
+      asks.each do |ask|
+        step_trades = consume_ask(working_bids, ask, ask.price*(1-ask.exchange.fee))
+        trades += step_trades
+        qty_traded = step_trades.reduce(0){|memo, trade| memo += trade.quantity} #sum
+        break if qty_traded < ask.quantity #out of coins
+      end
+      trades
+    end
+
+    def consume_ask(bids, ask, price_limit)
+      trades = []
+      price = price_limit
+      quantity = ask.quantity
+      near_zero = 0.0001 #floats
+      bids.each do |bid|
+        if (bid.price*(1+bid.exchange.fee)) >= price
+          if bid.quantity > near_zero
+            trade_quantity = [bid.quantity, quantity].min
+            trades << Trade.new({'from_offer' => ask.to_simple,
+                                 'to_offer' => bid.to_simple,
+                                 'quantity' => trade_quantity})
+            bid.quantity -= trade_quantity
+            quantity -= trade_quantity
+          end
+        end
+        break if quantity < near_zero
+      end
+      trades
+    end
+
+    def plan
+      #buy sell plan
+      plan = Plan.new
+      plan << trade_all(profitable_asks, profitable_bids)
+    end
+
+    def spread
+      @asks.offers.first.price - @bids.offers.first.price
+    end
+
+  end
+end

data/lib/heisencoin/exchange.rb

@@ -0,0 +1,26 @@
+require 'time'
+
+module Heisencoin
+  class Exchange
+    attr_accessor :name, :fee, :time
+
+    def initialize(simple = nil)
+      from_simple(simple) if simple
+    end
+
+    def from_simple(simple)
+      @name = simple['name']
+      @fee = simple['fee']
+    end
+
+    def to_simple
+      {'name' => name,
+       'fee' => fee}
+    end
+
+    def ==(other)
+      self.name == other.name
+    end
+
+  end
+end

data/lib/heisencoin/market.rb

@@ -0,0 +1,56 @@
+module Heisencoin
+  class Market
+    attr_accessor :offers
+
+    def initialize(half)
+      @offers = []
+      if half == :bid || half == :ask
+        @half = half
+      else
+        raise "Bad market type parameter"
+      end
+    end
+
+    def import(exchange, offers)
+      offers.each do |raw_offer|
+        offer = Offer.from_array(exchange, [raw_offer.first, raw_offer.last])
+        sorted_insert(@offers, offer) {|offer| offer.price}
+      end
+    end
+
+    def drop_offers(exchange)
+      offers.reject!{|o| o.exchange == exchange}
+    end
+
+    def sorted_insert(array, element)
+      value = yield element
+      if array.length == 0 || better_than(value, (yield array[0]))
+        array.unshift(element)
+      else
+        last_index = array.length-1
+        for idx in 0..last_index
+          if not better_than((yield array[idx]), value)
+            array.insert(idx, element)
+            break
+          end
+          if idx == last_index
+            array.push(element)
+          end
+        end
+      end
+    end
+
+    def better_than(a,b)
+      if @half == :ask
+        a < b
+      elsif @half == :bid
+        a > b
+      end
+    end
+
+    def offers_better_than(price)
+      offers.select{|offer| better_than(offer.price, price)}
+    end
+
+  end
+end

data/lib/heisencoin/offer.rb

@@ -0,0 +1,37 @@
+module Heisencoin
+  class Offer
+    attr_accessor :exchange, :price, :quantity
+
+    def initialize(simple = nil)
+      from_simple(simple) if simple
+    end
+
+    def from_simple(simple)
+      @exchange = Exchange.new(simple['exchange'])
+      @price = simple['price']
+      @quantity = simple['quantity']
+    end
+
+    def to_simple
+      {'exchange' => exchange.to_simple,
+       'price' => price,
+       'quantity' => quantity}
+    end
+
+    def ==(other)
+      exchange.name == other.exchange.name
+      price == other.price
+      quantity = other.quantity
+    end
+
+    def cost(quantity)
+      quantity * price
+    end
+
+    def self.from_array(exchange, raw_offer)
+      Offer.new({'exchange' => exchange.to_simple,
+                 'price' => raw_offer[0],
+                 'quantity' => raw_offer[1]})
+    end
+  end
+end

data/lib/heisencoin/plan.rb

@@ -0,0 +1,44 @@
+module Heisencoin
+  class Plan
+    attr_accessor :steps, :state, :purse, :spent
+
+    @@states = ["planning", "buying", "moving-in", "selling", "moving-out"]
+
+    def initialize(simple = nil)
+      @steps = []
+      @state = @@states.first
+      from_simple(simple) if simple
+    end
+
+    def from_simple(simple)
+      @state = simple["state"]
+      @purse = simple["purse"]
+      @spent = simple["spent"]
+      @steps = simple["steps"].map{|trade_simple| Trade.new(trade_simple)}
+    end
+
+    def to_simple
+      {"state" => @state,
+       "purse" => @purse,
+       "spent" => @spent,
+       "steps" => @steps.map{|step| step.to_simple}}
+    end
+
+    def <<(trades)
+      @steps += trades
+      self
+    end
+
+    def quantity
+      @steps.reduce(0){|sum,trade|sum+trade.quantity}
+    end
+
+    def profit
+      @steps.reduce(0){|total, trade| total+trade.profit}
+    end
+
+    def cost
+      @steps.reduce(0){|total, trade| total+trade.cost}
+    end
+  end
+end

data/lib/heisencoin/trade.rb

@@ -0,0 +1,37 @@
+module Heisencoin
+  class Trade
+    attr_accessor :from_offer, :to_offer, :quantity
+
+    def initialize(simple = nil)
+      from_simple(simple) if simple
+    end
+
+    def from_simple(simple)
+      @from_offer = Offer.new(simple['from_offer'])
+      @to_offer = Offer.new(simple['to_offer'])
+      @quantity = simple['quantity']
+    end
+
+    def to_simple
+      {'from_offer' => @from_offer.to_simple,
+       'to_offer' => @to_offer.to_simple,
+       'quantity' => @quantity}
+    end
+
+    def ==(other)
+      @from_offer == other.from_offer
+      @to_offer == other.to_offer
+      @quantity == other.quantity
+    end
+
+    def cost
+      from_offer.cost(@quantity)
+    end
+
+    def profit
+      earned = to_offer.cost(@quantity)
+      earned - cost
+    end
+
+  end
+end

data/tests/arbitrage.rb

@@ -52,8 +52,8 @@ class TestMeme < Minitest::Test
     before do
       # full setup
       @arby = Heisencoin::Arbitrage.new
-      @ex1 = Heisencoin::Exchange.new({'name' =>'btcx'})
-      @ex2 = Heisencoin::Exchange.new({'name' =>'crytpsy'})
+      @ex1 = Heisencoin::Exchange.new({'name' =>'btcx', 'fee' => 0.2})
+      @ex2 = Heisencoin::Exchange.new({'name' =>'crytpsy', 'fee' => 0.3})
       @arby.add_exchanges([@ex1, @ex2])
       # ex1 has a 14.1 and 14.2 bid above ex2's 14 ask
       depth = {"asks" => [ [16,1],

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: heisencoin
 version: !ruby/object:Gem::Version
-  version: 0.0.4
+  version: 0.0.5
 platform: ruby
 authors:
 - Don Park
@@ -17,6 +17,12 @@ extensions: []
 extra_rdoc_files: []
 files:
 - lib/heisencoin.rb
+- lib/heisencoin/trade.rb
+- lib/heisencoin/market.rb
+- lib/heisencoin/exchange.rb
+- lib/heisencoin/plan.rb
+- lib/heisencoin/offer.rb
+- lib/heisencoin/arbitrage.rb
 - tests/trade.rb
 - tests/offer.rb
 - tests/arbitrage.rb