orderbook 0.0.1 → 0.1.0
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- checksums.yaml +4 -4
- data/README.md +8 -0
- data/lib/orderbook/real_time_book.rb +89 -11
- data/lib/orderbook/version.rb +1 -1
- metadata +1 -1
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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---
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SHA1:
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-
metadata.gz:
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data.tar.gz:
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metadata.gz: 84269d46b54589bbc0b4ef3cc68427ea1f41160d
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data.tar.gz: 355f66f391af0c02d0eea84d9edbcff19c9761ae
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 978af2908c7c1c0be124d3fff39fb1f43cb0bb3d980b4252842e50d1059617c82ffeeab34997e3d30513eb14c1ddb89992d4730f98761d6660cd9608172634b5
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7
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data.tar.gz: 5540ecd2f5cd99f9d68648d934d8d4b226aa4f66f7646294b72d6673c9f41a71a3f3c536b3af364af4d22fa1020eb0840674f0fd2641eac03198ee189d1a28c9
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data/README.md
CHANGED
@@ -31,6 +31,14 @@ rtb = Orderbook::RealTimeBook.new
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31
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rtb.bids # Returns an array of bids.
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rtb.asks # Returns an array of asks.
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+
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# Setup a callback that runs after the message is applied to the book. Each
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message received on the WebSocket is passed to this block. Running this method
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again will redefine the callback.
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rtb.set_callback do |msg|
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puts msg.fetch('type')
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end
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```
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## Contributing
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@@ -3,36 +3,114 @@ require 'orderbook/book_analysis'
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3
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module Orderbook
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5
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class RealTimeBook
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include BookMethods
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include BookAnalysis
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9
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# Time to wait until considering skipped messages lost.
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#
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LOST_TIMEOUT = 5
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# Array of bids
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#
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attr_reader :bids
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# Array of asks
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#
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attr_reader :asks
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# Sequence number of snapshot
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#
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attr_reader :sequence
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24
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10
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-
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-
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-
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-
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# Most recently processed sequence
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#
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attr_reader :last_sequence
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# Hash of missing sequence numbers and their timeout threads.
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#
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attr_reader :missing
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# CoinbaseExchange::Feed object
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#
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attr_reader :feed
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# Queue of messages to be processed
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#
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attr_reader :queue
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|
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def initialize(&block)
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if block_given?
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@callback = block
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end
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subscribe
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snapshot
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process_queue
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end
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|
50
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def set_callback(&block)
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51
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@callback = block
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end
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53
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+
|
54
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def refresh_snapshot
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55
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@thread.kill
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snapshot
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process_queue
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end
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private
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61
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|
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def subscribe
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63
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@queue = Queue.new
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64
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@missing = {}
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65
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on_msg = lambda {|msg| @queue << msg}
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66
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on_close = lambda {|close| puts close}
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on_err = lambda {|err| puts err}
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@feed = ::CoinbaseExchange::Feed.new(on_msg, on_close, on_err)
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end
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+
|
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def snapshot
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@cb || @cb = ::CoinbaseExchange.new
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73
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@snapshot = @cb.orderbook(3, 'BTC-USD')
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-
@sequence = @snapshot.fetch('sequence').
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+
@sequence = @snapshot.fetch('sequence').to_i
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75
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@bids = @snapshot.fetch('bids')
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76
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@asks = @snapshot.fetch('asks')
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-
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end
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def timeout(sequence)
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warn "Missing sequence #{sequence} timed out. Refreshingn snapshot."
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refresh_snapshot
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end
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84
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def process_queue
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85
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@thread && @thread.kill
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86
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@thread = Thread.new do
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@last_sequence = 'start'
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24
88
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loop do
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25
89
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msg = @queue.shift
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26
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-
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sequence = msg.fetch('sequence').to_i
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if sequence > @sequence
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unless @last_sequence == 'start'
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expected_sequence = @last_sequence + 1
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if sequence != expected_sequence
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if @missing.keys.include? (expected_sequence)
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@missing.fetch(expected_sequence).kill
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@missing.delete(expected_sequence)
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else
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@missing[expected_sequence] = Thread.new do
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100
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sleep LOST_TIMEOUT
|
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timeout expected_sequence
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end
|
103
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end
|
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@missing < expected_sequence
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end
|
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end
|
27
107
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apply(msg)
|
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108
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@callback && @callback.call(msg)
|
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109
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end
|
110
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+
@last_sequence = sequence
|
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111
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end
|
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112
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end
|
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113
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end
|
33
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-
|
34
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-
def set_callback(&block)
|
35
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-
@callback = block
|
36
|
-
end
|
37
114
|
end
|
38
115
|
end
|
116
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+
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data/lib/orderbook/version.rb
CHANGED