orderbook 0.0.1

checksums.yaml

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data/.gitignore

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+/.bundle/
+/.yardoc
+/Gemfile.lock
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/
+*.bundle
+*.so
+*.o
+*.a
+mkmf.log
+*config.yml
+*config.yaml
+*config.rb
+*.gem

data/Gemfile

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+source 'https://rubygems.org'
+
+# Specify your gem's dependencies in orderbook.gemspec
+gemspec
+gem 'coinbase_exchange', :git=> 'git://github.com/mikerodrigues/coinbase_exchange.git'
+gem 'json'
+gem 'websocket-client-simple'

data/LICENSE.txt

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+Copyright (c) 2015 Michael Rodrigues
+
+MIT License
+
+Permission is hereby granted, free of charge, to any person obtaining
+a copy of this software and associated documentation files (the
+"Software"), to deal in the Software without restriction, including
+without limitation the rights to use, copy, modify, merge, publish,
+distribute, sublicense, and/or sell copies of the Software, and to
+permit persons to whom the Software is furnished to do so, subject to
+the following conditions:
+
+The above copyright notice and this permission notice shall be
+included in all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
+EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
+MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
+NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
+LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
+OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
+WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.

data/README.md

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+# Orderbook
+
+A gem for creating a realtime order book for the Coinbase Exchange.
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'orderbook'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install orderbook
+
+## Usage
+
+```ruby
+require 'orderbook'
+```
+
+* To create a RealTimeBook:
+```
+rtb = Orderbook::RealTimeBook.new
+
+rtb.bids # Returns an array of bids.
+
+rtb.asks # Returns an array of asks.
+```
+
+## Contributing
+
+1. Fork it ( https://github.com/[my-github-username]/orderbook/fork )
+2. Create your feature branch (`git checkout -b my-new-feature`)
+3. Commit your changes (`git commit -am 'Add some feature'`)
+4. Push to the branch (`git push origin my-new-feature`)
+5. Create a new Pull Request

data/Rakefile

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+require "bundler/gem_tasks"
+

data/lib/orderbook.rb

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+require 'coinbase_exchange'
+require 'orderbook/real_time_book'
+require 'orderbook/book_methods'
+require 'orderbook/version'
+
+module Orderbook
+  # Your code goes here...
+end

data/lib/orderbook/book_analysis.rb

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+module Orderbook
+  module BookAnalysis
+    def size
+      puts "Bids: #{@bids.count}"
+      puts "Asks: #{@asks.count}"
+    end
+
+    def volume
+      puts "Bid volume: #{@bids.map {|x| x.fetch(1).to_f}.inject(:+)}"
+      puts "Ask volume: #{@asks.map {|x| x.fetch(1).to_f}.inject(:+)}"
+    end
+
+    def average
+      array = @bids.map do |price, amount, id|
+        price.to_f
+      end
+      avg_bid = array.inject(:+) / array.count
+      puts "Avg. Bid: #{avg_bid}"
+
+      array = @asks.map do |price, amount, id|
+        price.to_f
+      end
+      avg_ask = array.inject(:+) / array.count
+      puts "Avg. Asks: #{avg_ask}"
+    end
+
+    def best
+      puts "Best Bid: #{(@bids.sort_by {|x| x.fetch(0).to_f}).last}"
+      puts "Best Ask: #{@asks.sort_by {|x| x.fetch(0).to_f}.first}"
+    end
+
+  end
+end

data/lib/orderbook/book_methods.rb

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+module Orderbook
+  module BookMethods
+
+    def apply(msg)
+      unless msg.fetch('sequence') <= @sequence
+        __send__(msg.fetch('type'), msg)
+      end
+    end
+
+    private
+
+    def open(msg)
+      order = [ msg.fetch("price"), msg.fetch("remaining_size"), msg.fetch("order_id") ]
+      case msg.fetch("side")
+      when "buy"
+        @bids << order
+      when "sell"
+        @asks << order
+      end
+    end
+
+    def match(msg)
+      match_size = msg.fetch("size").to_f
+      case msg.fetch("side")
+      when "sell"
+        @asks.map do |ask|
+          if ask.include? msg.fetch("maker_order_id")
+            old_size = ask.fetch(1).to_f
+            new_size = old_size - match_size
+            ask[1] = new_size.to_s
+          end
+        end
+        @bids.map do |bid|
+          if bid.include? msg.fetch("taker_order_id")
+            old_size = bid.fetch(1).to_f
+            new_size = old_size - match_size
+            bid[1] = new_size.to_s
+          end
+        end
+      when "buy"
+        @bids.map do |bid|
+          if bid.include? msg.fetch("maker_order_id")
+            old_size = bid.fetch(1).to_f
+            new_size = old_size - match_size
+            bid[1] = new_size.to_s
+          end
+        end
+        @asks.map do |ask|
+          if ask.include? msg.fetch("taker_order_id")
+            old_size = ask.fetch(1).to_f
+            new_size = old_size - match_size
+            ask[1] = new_size.to_s
+          end
+        end
+      end
+    end
+
+    def done(msg)
+      case msg.fetch("side")
+      when "sell"
+        @asks.reject! {|a| a.include? msg.fetch("order_id")}
+      when "buy"
+        @bids.reject! {|a| a.include? msg.fetch("order_id")}
+      end
+    end
+
+    def change(msg)
+      case msg.fetch("side")
+      when "sell"
+        @asks.map do |a|
+          if a.include? msg.fetch("order_id")
+            a[1] = msg.fetch("new_size")
+          end
+        end
+      when "buy"
+        @bids.map do |b|
+          if b.include? msg.fetch("order_id")
+            b[1] = msg.fetch("new_size")
+          end
+        end
+      end
+    end
+
+    def received(msg)
+    end
+
+  end
+end

data/lib/orderbook/real_time_book.rb

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+require 'orderbook/book_methods'
+require 'orderbook/book_analysis'
+
+module Orderbook
+  class RealTimeBook
+    attr_reader :bids
+    attr_reader :asks
+    attr_reader :sequence
+
+    include BookMethods
+    include BookAnalysis
+    def initialize()
+      @cb = ::CoinbaseExchange.new
+      @queue = Queue.new
+      on_msg = lambda {|msg| @queue << msg}
+      on_close = lambda {|close| puts close}
+      on_err = lambda {|err| puts err}
+      @feed = ::CoinbaseExchange::Feed.new(on_msg, on_close, on_err)
+      @snapshot = @cb.orderbook(3, 'BTC-USD')
+      @sequence = @snapshot.fetch('sequence').to_f
+      @bids = @snapshot.fetch('bids')
+      @asks = @snapshot.fetch('asks')
+      @update_thread = Thread.new do
+        loop do
+          msg = @queue.shift
+          unless msg.fetch("sequence").to_f <= @sequence
+            apply(msg)
+            @callback && @callback.call(msg)
+          end
+        end
+      end
+    end
+
+    def set_callback(&block)
+      @callback = block
+    end
+  end
+end

data/lib/orderbook/version.rb

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+module Orderbook
+  VERSION = "0.0.1"
+end

data/orderbook.gemspec

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+# coding: utf-8
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'orderbook/version'
+
+Gem::Specification.new do |spec|
+  spec.name          = "orderbook"
+  spec.version       = Orderbook::VERSION
+  spec.authors       = ["Michael Rodrigues"]
+  spec.email         = ["mikebrodrigues@gmail.com"]
+  spec.summary       = %q{Maintains an real-time copy of the Coinbase Exchange order book.}
+  spec.description   = %q{Orderbook uses the Coinbase Exchange Websocket stream
+                          to maintain a real-time copy of the order book. Use it
+                          in your BTC trading bot.}
+  spec.homepage      = "https://github.com/mikerodrigues/orderbook"
+  spec.license       = "MIT"
+
+  spec.files         = `git ls-files -z`.split("\x0")
+  spec.executables   = spec.files.grep(%r{^bin/}) { |f| File.basename(f) }
+  spec.test_files    = spec.files.grep(%r{^(test|spec|features)/})
+  spec.require_paths = ["lib"]
+
+  spec.add_development_dependency "bundler", "~> 1.7"
+  spec.add_development_dependency "rake", "~> 10.0"
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: orderbook
+version: !ruby/object:Gem::Version
+  version: 0.0.1
+platform: ruby
+authors:
+- Michael Rodrigues
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2015-03-15 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.7'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.7'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+description: |-
+  Orderbook uses the Coinbase Exchange Websocket stream
+                            to maintain a real-time copy of the order book. Use it
+                            in your BTC trading bot.
+email:
+- mikebrodrigues@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- lib/orderbook.rb
+- lib/orderbook/book_analysis.rb
+- lib/orderbook/book_methods.rb
+- lib/orderbook/real_time_book.rb
+- lib/orderbook/version.rb
+- orderbook.gemspec
+homepage: https://github.com/mikerodrigues/orderbook
+licenses:
+- MIT
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.4.5
+signing_key: 
+specification_version: 4
+summary: Maintains an real-time copy of the Coinbase Exchange order book.
+test_files: []