orderbook 1.0.0 → 2.0.0
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- checksums.yaml +4 -4
- data/.gitignore +0 -1
- data/Gemfile +1 -1
- data/Gemfile.lock +49 -0
- data/lib/orderbook/book_analysis.rb +25 -15
- data/lib/orderbook/book_methods.rb +34 -38
- data/lib/orderbook/version.rb +1 -1
- data/lib/orderbook.rb +16 -4
- metadata +4 -4
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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1
1
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---
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2
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SHA1:
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3
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-
metadata.gz:
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-
data.tar.gz:
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3
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+
metadata.gz: b0aa666b1b552ce4631f31e03394c802fde18ce5
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4
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data.tar.gz: 6431182407c7cdffa5b47f8db7dac9b995edd73c
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SHA512:
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6
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-
metadata.gz:
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7
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data.tar.gz:
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6
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+
metadata.gz: c47317807dd3d9580218af90bd43b4f7d04ebc7d44ab543064f0ef0a2743ac89896ccce1a8f595635b66bd9d6d952e951e5db343798e79153ffb36ec0a0c8d73
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7
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+
data.tar.gz: b5417fbaa6ae780b2d8c6b917b29c3fab88c04d11f96b0e917b189d6b2a2fb785d623c44c694d688d805e825fa8ac699f7392a817af40d97b6a84826aeebc55a
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data/.gitignore
CHANGED
data/Gemfile
CHANGED
data/Gemfile.lock
ADDED
@@ -0,0 +1,49 @@
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1
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+
GIT
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2
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+
remote: https://github.com/mikerodrigues/coinbase-exchange-ruby.git
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3
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+
revision: 051b256d2d0e414d7aec5bdb9a69ad33bfcf7e20
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4
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branch: orderbook
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5
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+
specs:
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6
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+
coinbase-exchange (0.1.2)
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7
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+
bigdecimal
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8
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+
em-http-request
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9
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faye-websocket
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10
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11
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+
PATH
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remote: .
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specs:
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orderbook (2.0.0)
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+
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16
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+
GEM
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17
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+
remote: https://rubygems.org/
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specs:
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19
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+
addressable (2.3.8)
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20
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+
bigdecimal (1.2.7)
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21
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+
cookiejar (0.3.2)
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22
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+
em-http-request (1.1.2)
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23
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+
addressable (>= 2.3.4)
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24
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+
cookiejar
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25
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+
em-socksify (>= 0.3)
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26
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+
eventmachine (>= 1.0.3)
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27
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+
http_parser.rb (>= 0.6.0)
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28
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+
em-socksify (0.3.0)
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29
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+
eventmachine (>= 1.0.0.beta.4)
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30
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+
eventmachine (1.0.7)
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31
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+
faye-websocket (0.10.0)
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32
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+
eventmachine (>= 0.12.0)
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33
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+
websocket-driver (>= 0.5.1)
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34
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+
http_parser.rb (0.6.0)
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35
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+
json (1.8.3)
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36
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+
rake (10.4.2)
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37
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+
websocket-driver (0.6.2)
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38
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websocket-extensions (>= 0.1.0)
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39
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+
websocket-extensions (0.1.2)
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+
PLATFORMS
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+
ruby
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+
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44
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+
DEPENDENCIES
|
45
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+
bundler (~> 1.7)
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+
coinbase-exchange!
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+
json
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48
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orderbook!
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49
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+
rake (~> 10.0)
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@@ -8,40 +8,50 @@ class Orderbook
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8
8
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@asks.count
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9
9
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end
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10
10
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11
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+
def count
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12
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+
{ bid: bid_count, ask: ask_count }
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13
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+
end
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14
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+
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11
15
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def bid_volume
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12
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-
@bids.map {|x|
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16
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+
@bids.map {|x| x.fetch(:size)}.inject(:+)
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13
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end
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14
18
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def ask_volume
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16
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-
@asks.map {|x|
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20
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+
@asks.map {|x| x.fetch(:size)}.inject(:+)
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21
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+
end
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22
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+
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def volume
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24
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{ bid: bid_volume, ask: ask_volume }
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17
25
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end
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18
26
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27
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def average_bid
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20
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-
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-
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-
end
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23
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-
avg_bid = array.inject(:+) / array.count
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24
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-
avg_bid
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28
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bids = @bids.map {|x| x.fetch(:price)}
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bids.inject(:+) / bids.count
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25
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end
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def average_ask
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-
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-
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-
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-
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-
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+
asks = @asks.map {|x| x.fetch(:price)}
|
34
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+
asks.inject(:+) / asks.count
|
35
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+
end
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36
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+
|
37
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+
def average
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38
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+
{ bid: average_bid, ask: average_ask }
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33
39
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end
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34
40
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|
35
41
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def best_bid
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36
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-
|
42
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+
@bids.sort_by {|x| x.fetch(:price)}.last
|
37
43
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end
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38
44
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39
45
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def best_ask
|
40
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-
|
46
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+
@asks.sort_by {|x| x.fetch(:price)}.first
|
47
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+
end
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48
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+
|
49
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def best
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50
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{ bid: best_bid, ask: best_ask }
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41
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end
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def spread
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44
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-
best_ask - best_bid
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54
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+
best_ask.fetch(:price) - best_bid.fetch(:price)
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45
55
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end
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46
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def summarize
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@@ -1,10 +1,10 @@
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1
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-
require 'bigdecimal'
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2
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-
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1
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+
require 'bigdecimal'
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3
2
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class Orderbook
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4
3
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# This class provides methods to apply updates to the state of the orderbook
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5
4
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# as they come in as individual messages.
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6
5
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#
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7
6
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module BookMethods
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7
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+
BIGDECIMAL_KEYS = ['size', 'old_size', 'new_size', 'remaining_size', 'price', 'funds', 'old_funds', 'new_funds']
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8
8
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9
9
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# Applies a message to an Orderbook object by making relevant changes to
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# @bids, @asks, and @last_sequence.
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@@ -12,6 +12,11 @@ class Orderbook
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12
12
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def apply(msg)
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13
13
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unless msg.fetch('sequence') <= @first_sequence
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14
14
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@last_sequence = msg.fetch('sequence')
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15
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+
BIGDECIMAL_KEYS.each do |key|
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16
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if msg.fetch(key, false)
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17
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msg[key] = BigDecimal.new(msg.fetch(key))
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18
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+
end
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19
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end
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15
20
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__send__(msg.fetch('type'), msg)
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16
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end
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17
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end
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@@ -19,72 +24,63 @@ class Orderbook
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24
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private
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def open(msg)
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-
order =
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-
case msg.fetch(
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24
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-
when
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+
order = { price: msg.fetch('price'), size: msg.fetch('remaining_size'), order_id: msg.fetch('order_id') }
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28
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+
case msg.fetch('side')
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when 'buy'
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@bids << order
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26
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-
when
|
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+
when 'sell'
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@asks << order
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33
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end
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end
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def match(msg)
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32
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-
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-
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-
when "sell"
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case msg.fetch('side')
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when 'sell'
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35
39
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@asks.map do |ask|
|
36
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-
if ask.
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37
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-
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38
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-
new_size = old_size - match_size
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39
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-
ask[1] = new_size.to_s('F')
|
40
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+
if ask.fetch(:order_id) == msg.fetch('maker_order_id')
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+
ask[:size] = ask[:size] - msg.fetch('size')
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40
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end
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end
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@bids.map do |bid|
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-
if bid.
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-
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-
new_size = old_size - match_size
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46
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-
bid[1] = new_size.to_s('F')
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+
if bid.fetch(:order_id) == msg.fetch('taker_order_id')
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+
bid[:size] = bid[:size] - msg.fetch('size')
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47
47
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end
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48
48
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end
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49
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-
when
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when 'buy'
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@bids.map do |bid|
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-
if bid.
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-
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-
new_size = old_size - match_size
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-
bid[1] = new_size.to_s('F')
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if bid.fetch(:order_id) == msg.fetch('maker_order_id')
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+
bid[:size] = bid[:size] - msg.fetch('size')
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end
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end
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@asks.map do |ask|
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-
if ask.
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-
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-
new_size = old_size - match_size
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-
ask[1] = new_size.to_s('F')
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if ask.fetch(:order_id) == msg.fetch('taker_order_id')
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ask[:size] = ask[:size] - msg.fetch('size')
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end
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59
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end
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end
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end
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63
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def done(msg)
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68
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-
case msg.fetch(
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69
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-
when
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-
@asks.reject! {|a| a.
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-
when
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-
@bids.reject! {|
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64
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case msg.fetch('side')
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when 'sell'
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@asks.reject! {|a| a.fetch(:order_id) == msg['order_id']}
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when 'buy'
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@bids.reject! {|b| b.fetch(:order_id) == msg['order_id']}
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69
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end
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74
70
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end
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def change(msg)
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-
case msg.fetch(
|
78
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-
when
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case msg.fetch('side')
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when 'sell'
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75
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@asks.map do |a|
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-
if a.
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81
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-
a[
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76
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if a.fetch(:order_id) == msg.fetch('order_id')
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a[:size] = msg.fetch('new_size')
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78
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end
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79
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end
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84
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-
when
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when 'buy'
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@bids.map do |b|
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86
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-
if b.
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-
b[
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if b.fetch(:order_id) == msg.fetch('order_id')
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b[:size] = msg.fetch('new_size')
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end
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end
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end
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data/lib/orderbook/version.rb
CHANGED
data/lib/orderbook.rb
CHANGED
@@ -55,8 +55,8 @@ class Orderbook
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55
55
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# If a +block+ is given it is passed each message as it is received.
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56
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#
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def initialize(live = true, &block)
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-
@bids = [
|
59
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-
@asks = [
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58
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+
@bids = [{price: nil, size: nil, order_id: nil}]
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+
@asks = [{price: nil, size: nil, order_id: nil}]
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@first_sequence = 0
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@last_sequence = 0
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@websocket = Coinbase::Exchange::Websocket.new(keepalive: true)
|
@@ -84,8 +84,20 @@ class Orderbook
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84
84
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85
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def fetch_current_orderbook
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@client.orderbook(level: 3) do |resp|
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-
@bids = resp['bids']
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-
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+
@bids = resp['bids'].map do |price, size, order_id|
|
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+
{
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+
price: BigDecimal.new(price),
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+
size: BigDecimal.new(size),
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+
order_id: order_id
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+
}
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+
end
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+
@asks = resp['asks'].map do |price, size, order_id|
|
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+
{
|
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+
price: BigDecimal.new(price),
|
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+
size: BigDecimal.new(size),
|
98
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+
order_id: order_id
|
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+
}
|
100
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+
end
|
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@first_sequence = resp['sequence']
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end
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end
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metadata
CHANGED
@@ -1,14 +1,14 @@
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1
1
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--- !ruby/object:Gem::Specification
|
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2
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name: orderbook
|
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3
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version: !ruby/object:Gem::Version
|
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-
version:
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4
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+
version: 2.0.0
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5
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platform: ruby
|
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6
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authors:
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7
7
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- Michael Rodrigues
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8
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autorequire:
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9
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bindir: bin
|
10
10
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cert_chain: []
|
11
|
-
date: 2015-
|
11
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+
date: 2015-08-02 00:00:00.000000000 Z
|
12
12
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dependencies:
|
13
13
|
- !ruby/object:Gem::Dependency
|
14
14
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name: bundler
|
@@ -50,6 +50,7 @@ extra_rdoc_files: []
|
|
50
50
|
files:
|
51
51
|
- ".gitignore"
|
52
52
|
- Gemfile
|
53
|
+
- Gemfile.lock
|
53
54
|
- LICENSE.txt
|
54
55
|
- README.md
|
55
56
|
- Rakefile
|
@@ -79,9 +80,8 @@ required_rubygems_version: !ruby/object:Gem::Requirement
|
|
79
80
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version: '0'
|
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requirements: []
|
81
82
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rubyforge_project:
|
82
|
-
rubygems_version: 2.
|
83
|
+
rubygems_version: 2.4.6
|
83
84
|
signing_key:
|
84
85
|
specification_version: 4
|
85
86
|
summary: Maintains an real-time copy of the Coinbase Exchange order book.
|
86
87
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test_files: []
|
87
|
-
has_rdoc:
|