irix 2.4.2 → 2.4.5

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
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-  data.tar.gz: 79e6e7f4d815726d6624e4d79c0a0d8db2ebed9bda2534645c29b40bbffbf7d4
+  metadata.gz: f657a9eb4e3dfc49657b176fafc409ef49511836fffe48cfaa13d80b0d39368c
+  data.tar.gz: 00baaa01a84aafd3ff46ec00752fbd99705edf206a5e2c76483926555b1065e5
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+  metadata.gz: d506765d1553093958e4597267bc0c3588648af480de6fb56ca9767c023ef17583a75da2c6806344e0732dd72a15fcd5ab650e0bb5a6d0bf6e469d699ef2709c
+  data.tar.gz: aafdb928c1c213c7685600a45812d0d1d630694c731b173ffdf2fe62155b4cf9de1fce67d039f5239590f670e004d3f86415375fbe786e3b7bcf0d206f1e81fa

data/.drone.yml

@@ -9,6 +9,21 @@ steps:
       - gem install bundler:2.0.2
       - bundle install --jobs=$(nproc) --retry=3 --path vendor/bundle
       - bundle exec rspec
+  
+  - name: Release gem
+    image: ruby:2.6
+    environment:
+      GEM_CREDENTIALS:
+        from_secret: gem_credentials
+    commands:
+      - mkdir -p ~/.gem
+      - echo $GEM_CREDENTIALS | base64 -d > ~/.gem/credentials
+      - chmod 0600 ~/.gem/credentials
+      - gem build irix.gemspec
+      - gem push irix-*.gem
+    when:
+      branch:
+        - master
 
 trigger:
   event:

data/Gemfile.lock

@@ -1,7 +1,7 @@
 PATH
   remote: .
   specs:
-    irix (2.4.2)
+    irix (2.4.5)
       em-synchrony (~> 1.0)
       em-websocket
       eventmachine
@@ -22,13 +22,13 @@ GEM
       zeitwerk (~> 2.1, >= 2.1.8)
     addressable (2.7.0)
       public_suffix (>= 2.0.2, < 5.0)
-    amq-protocol (2.3.0)
+    amq-protocol (2.3.1)
     amqp (1.8.0)
       amq-protocol (>= 2.2.0)
       eventmachine
     ast (2.4.0)
-    bunny (2.14.4)
-      amq-protocol (~> 2.3, >= 2.3.0)
+    bunny (2.15.0)
+      amq-protocol (~> 2.3, >= 2.3.1)
     byebug (11.1.1)
     clamp (1.3.1)
     coderay (1.1.2)
@@ -60,7 +60,7 @@ GEM
       multipart-post (>= 1.2, < 3)
     faraday_middleware (0.13.1)
       faraday (>= 0.7.4, < 1.0)
-    faye (1.2.4)
+    faye (1.2.5)
       cookiejar (>= 0.3.0)
       em-http-request (>= 0.3.0)
       eventmachine (>= 0.12.0)
@@ -85,7 +85,7 @@ GEM
     parallel (1.19.0)
     parser (2.6.5.0)
       ast (~> 2.4.0)
-    peatio (2.4.2)
+    peatio (2.4.4)
       activemodel (> 5.2, <= 6.0.0)
       amqp
       bunny
@@ -106,7 +106,7 @@ GEM
     pry-byebug (3.8.0)
       byebug (~> 11.0)
       pry (~> 0.10)
-    public_suffix (4.0.3)
+    public_suffix (4.0.5)
     rack (2.2.2)
     rainbow (3.0.0)
     rake (13.0.1)
@@ -151,7 +151,7 @@ GEM
       eventmachine (~> 1.0, >= 1.0.4)
       rack (>= 1, < 3)
     thread_safe (0.3.6)
-    tzinfo (1.2.6)
+    tzinfo (1.2.7)
       thread_safe (~> 0.1)
     unicode-display_width (1.6.0)
     websocket (1.2.8)
@@ -177,4 +177,4 @@ DEPENDENCIES
   simplecov-json
 
 BUNDLED WITH
-   2.0.2
+   2.1.4

data/lib/irix/bitfinex.rb

@@ -2,6 +2,15 @@
 
 module Irix
   class Bitfinex < Peatio::Upstream::Base
+    require 'time'
+
+    MIN_INCREMENT_COUNT_TO_SNAPSHOT = 100
+    MIN_PERIOD_TO_SNAPSHOT = 5
+    MAX_PERIOD_TO_SNAPSHOT = 60
+
+    attr_accessor :snap, :snapshot_time, :increment_count, :sequence_number,
+                  :open_channels, :asks, :bids
+
     def initialize(config)
       super
       @connection = Faraday.new(url: (config['rest']).to_s) do |builder|
@@ -12,15 +21,22 @@ module Irix
           builder.ssl[:verify] = config['verify_ssl']
         end
       end
+      @open_channels = {}
       @ping_set = false
       @rest = (config['rest']).to_s
-      @ws_url = "#{config['websocket']}"
+      @ws_url = (config['websocket']).to_s
     end
 
     def ws_connect
       super
       return if @ping_set
 
+      @ws.on(:open) do |_e|
+        subscribe_trades(@target, @ws)
+        subscribe_orderbook(@target, @ws)
+        logger.info { 'Websocket connected' }
+      end
+
       Fiber.new do
         EM::Synchrony.add_periodic_timer(80) do
           @ws.send('{"event":"ping"}')
@@ -30,6 +46,8 @@ module Irix
     end
 
     def subscribe_trades(market, ws)
+      return unless @config['trade_proxy']
+
       sub = {
         event: 'subscribe',
         channel: 'trades',
@@ -42,9 +60,40 @@ module Irix
       end
     end
 
+    def subscribe_orderbook(market, ws)
+      return unless @config['orderbook_proxy']
+
+      @sequence_number = 0
+      @increment_count = 0
+      @bids = []
+      @asks = []
+      @snap = { 'asks' => [], 'bids' => [] }
+      sub = {
+        event: 'subscribe',
+        channel: 'book',
+        symbol: market.upcase,
+        len: 25
+      }
+      Rails.logger.info 'Open event' + sub.to_s
+      EM.next_tick do
+        ws.send(JSON.generate(sub))
+      end
+      Fiber.new do
+        EM::Synchrony.add_periodic_timer(0.2) do
+          publish_increment
+        end
+      end.resume
+    end
+
     def ws_read_public_message(msg)
       if msg.is_a?(Array)
-        detect_trade(msg)
+        if msg[1] == 'hb'
+          @ws.send('{"event":"ping"}')
+        elsif @open_channels[msg[0]] == 'trades'
+          detect_trade(msg)
+        elsif @open_channels[msg[0]] == 'book'
+          detect_order(msg)
+        end
       elsif msg.is_a?(Hash)
         message_event(msg)
       end
@@ -65,10 +114,85 @@ module Irix
       end
     end
 
+    # [
+    #   CHANNEL_ID,
+    #   [
+    #     PRICE,
+    #     COUNT,
+    #     AMOUNT
+    #   ]
+    # ]
+    def detect_order(msg)
+      if msg[1][0].is_a?(Array)
+        msg[1].each do |point|
+          if point[2] > 0
+            @snap['bids'] << [point[0].to_s, point[2].to_s]
+          else
+            @snap['asks'] << [point[0].to_s, point[2].abs.to_s]
+          end
+        end
+        publish_snapshot
+      else
+        if @increment_count < MIN_INCREMENT_COUNT_TO_SNAPSHOT && @snapshot_time <= Time.now - MAX_PERIOD_TO_SNAPSHOT
+          publish_snapshot
+          @increment_count = 0
+        elsif @increment_count >= MIN_INCREMENT_COUNT_TO_SNAPSHOT && @snapshot_time < Time.now - MIN_PERIOD_TO_SNAPSHOT
+          publish_snapshot
+          @increment_count = 0
+        end
+
+        fill_increment(msg[1])
+      end
+    end
+
+    def fill_increment(order)
+      side = order[2].positive? ? 'bid' : 'ask'
+      price = order[0].to_s
+      if order[1].zero?
+        amount = 0
+        @snap["#{side}s"].delete_if { |point| point[0] == price }
+      else
+        amount = order[2].abs.to_s
+        @snap["#{side}s"].delete_if { |point| point[0] == price }
+        @snap["#{side}s"] << [price.to_s, amount.to_s]
+      end
+      if side == 'bid'
+        @bids.delete_if { |point| point[0] == price }
+        @bids << [price.to_s, amount.to_s]
+      elsif side == 'ask'
+        @asks.delete_if { |point| point[0] == price }
+        @asks << [price.to_s, amount.to_s]
+      end
+      @increment_count += 1
+    end
+
+    def publish_increment
+      inc = {}
+      inc['bids'] = @bids.sort.reverse if @bids.present?
+      inc['asks'] = @asks.sort if @asks.present?
+      if inc.present?
+        @sequence_number += 1
+        @peatio_mq.enqueue_event('public', @market, 'ob-inc',
+                                 'bids' => inc['bids'], 'asks' => inc['asks'],
+                                 'sequence' => @sequence_number)
+      end
+      @bids = []
+      @asks = []
+    end
+
+    def publish_snapshot
+      @snapshot_time = Time.now
+      @peatio_mq.enqueue_event('public', @market, 'ob-snap',
+                               'bids' => @snap['bids'].sort.reverse,
+                               'asks' => @snap['asks'].sort,
+                               'sequence' => @sequence_number)
+    end
+
     def message_event(msg)
       case msg['event']
       when 'subscribed'
         Rails.logger.info "Event: #{msg}"
+        @open_channels[msg['chanId']] = msg['channel']
       when 'error'
         Rails.logger.info "Event: #{msg} ignored"
       end

data/lib/irix/huobi.rb

@@ -2,6 +2,14 @@
 
 module Irix
   class Huobi < Peatio::Upstream::Base
+    require 'time'
+
+    MIN_INCREMENT_COUNT_TO_SNAPSHOT = 100
+    MIN_PERIOD_TO_SNAPSHOT = 5
+    MAX_PERIOD_TO_SNAPSHOT = 60
+
+    attr_accessor :snap, :snapshot_time, :increment_count, :sequence_number,
+                  :asks, :bids
     # WS huobi global
     # websocket: "wss://api.huobi.pro/ws/"
     # WS for krw markets
@@ -37,11 +45,72 @@ module Irix
       end
 
       case msg['ch']
-      when /market\.([^.]+)\.trade\.detail/
+      when /market\.#{@target}\.trade\.detail/
         detect_trade(msg.dig('tick', 'data'))
+      when /market\.#{@target}\.mbp\.150/
+        detect_order(msg.dig('tick'))
+      end
+    end
+
+    def detect_order(msg)
+      if @increment_count < MIN_INCREMENT_COUNT_TO_SNAPSHOT && @snapshot_time <= Time.now - MAX_PERIOD_TO_SNAPSHOT
+        publish_snapshot
+        @increment_count = 0
+      elsif @increment_count >= MIN_INCREMENT_COUNT_TO_SNAPSHOT && @snapshot_time < Time.now - MIN_PERIOD_TO_SNAPSHOT
+        publish_snapshot
+        @increment_count = 0
+      end
+      fill_increment(msg)
+    end
+
+    def fill_increment(inc)
+      fill_side(inc, "bids")
+      fill_side(inc, "asks")
+      @increment_count += 1
+    end
+
+    def fill_side(inc, side)
+      inc[side].each do |price_point|
+        price = price_point[0]
+        amount = price_point[1]
+        if amount.zero?
+          @snap[side].delete_if { |point| point[0] == price.to_s }
+        else
+          @snap[side].delete_if { |point| point[0] == price.to_s }
+          @snap[side] << [price.to_s, amount.to_s]
+        end
+        if side == "bids"
+          @bids.delete_if { |point| point[0] == price }
+          @bids << [price.to_s, amount.to_s]
+        elsif side == "asks"
+          @asks.delete_if { |point| point[0] == price }
+          @asks << [price.to_s, amount.to_s]
+        end
       end
     end
 
+    def publish_increment
+      inc = {}
+      inc['bids'] = @bids.sort.reverse if @bids.present?
+      inc['asks'] = @asks.sort if @asks.present?
+      if inc.present?
+        @sequence_number += 1
+        @peatio_mq.enqueue_event('public', @market, 'ob-inc',
+                                 'bids' => inc['bids'], 'asks' => inc['asks'],
+                                 'sequence' => @sequence_number)
+      end
+      @bids = []
+      @asks = []
+    end
+
+    def publish_snapshot
+      @snapshot_time = Time.now
+      @peatio_mq.enqueue_event('public', @market, 'ob-snap',
+                               'bids' => @snap['bids'].sort.reverse,
+                               'asks' => @snap['asks'].sort,
+                               'sequence' => @sequence_number)
+    end
+
     def detect_trade(msg)
       msg.map do |t|
         trade =
@@ -69,6 +138,8 @@ module Irix
     end
 
     def subscribe_trades(market, ws)
+      return unless @config['trade_proxy']
+
       sub = {
         'sub' => "market.#{market}.trade.detail"
       }
@@ -78,5 +149,29 @@ module Irix
         ws.send(JSON.generate(sub))
       end
     end
+
+    def subscribe_orderbook(market, ws)
+      return unless @config['orderbook_proxy']
+
+      @sequence_number = 0
+      @increment_count = 0
+      @snapshot_time = Time.now
+      @bids = []
+      @asks = []
+      @snap = { 'asks' => [], 'bids' => [] }
+      sub = {
+        'sub' => "market.#{market}.mbp.150"
+      }
+
+      Rails.logger.info 'Open event' + sub.to_s
+      EM.next_tick do
+        ws.send(JSON.generate(sub))
+      end
+      Fiber.new do
+        EM::Synchrony.add_periodic_timer(0.2) do
+          publish_increment
+        end
+      end.resume
+    end
   end
 end

data/lib/irix/version.rb

@@ -1,3 +1,3 @@
 module Irix
-  VERSION = "2.4.2"
+  VERSION = "2.4.5"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: irix
 version: !ruby/object:Gem::Version
-  version: 2.4.2
+  version: 2.4.5
 platform: ruby
 authors:
 - Naichuk M.
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2020-03-24 00:00:00.000000000 Z
+date: 2020-05-19 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: em-synchrony