orderbook 0.0.1 → 0.1.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: 4d48c6675dc85211b04b4387110bf495e5636a5f
-  data.tar.gz: 86ac1793072aeed4649702743695292ca281e553
+  metadata.gz: 84269d46b54589bbc0b4ef3cc68427ea1f41160d
+  data.tar.gz: 355f66f391af0c02d0eea84d9edbcff19c9761ae
 SHA512:
-  metadata.gz: 1fa8666c2db60b162c798ce35caa47d409eda86652d9110912de86ada6f7e8787db5e348c489674909c5907dc2943c57351d7c82fba7b18ed5685b6e685fb17e
-  data.tar.gz: f2fa544dfb48aac647e4d0a1e1314821927c6546c5ed718bf50504ec657c1f1ac7f2b8afe44874c30d23113cdd1cf55660045bb7031d865bbaca862ed952447f
+  metadata.gz: 978af2908c7c1c0be124d3fff39fb1f43cb0bb3d980b4252842e50d1059617c82ffeeab34997e3d30513eb14c1ddb89992d4730f98761d6660cd9608172634b5
+  data.tar.gz: 5540ecd2f5cd99f9d68648d934d8d4b226aa4f66f7646294b72d6673c9f41a71a3f3c536b3af364af4d22fa1020eb0840674f0fd2641eac03198ee189d1a28c9

data/README.md

@@ -31,6 +31,14 @@ rtb = Orderbook::RealTimeBook.new
 rtb.bids # Returns an array of bids.
 
 rtb.asks # Returns an array of asks.
+
+# Setup a callback that runs after the message is applied to the book. Each
+message received on the WebSocket is passed to this block. Running this method
+again will redefine the callback.
+
+rtb.set_callback do |msg|
+  puts msg.fetch('type')
+end
 ```
 
 ## Contributing

data/lib/orderbook/real_time_book.rb

@@ -3,36 +3,114 @@ require 'orderbook/book_analysis'
 
 module Orderbook
   class RealTimeBook
+    include BookMethods
+    include BookAnalysis
+
+    # Time to wait until considering skipped messages lost.
+    #
+    LOST_TIMEOUT = 5
+
+    # Array of bids
+    #
     attr_reader :bids
+
+    # Array of asks
+    #
     attr_reader :asks
+
+    # Sequence number of snapshot
+    #
     attr_reader :sequence
 
-    include BookMethods
-    include BookAnalysis
-    def initialize()
-      @cb = ::CoinbaseExchange.new
+    # Most recently processed sequence
+    #
+    attr_reader :last_sequence
+
+    # Hash of missing sequence numbers and their timeout threads.
+    #
+    attr_reader :missing
+
+    # CoinbaseExchange::Feed object
+    #
+    attr_reader :feed
+
+    # Queue of messages to be processed
+    #
+    attr_reader :queue
+
+    def initialize(&block)
+      if block_given?
+        @callback = block
+      end
+      subscribe
+      snapshot
+      process_queue
+    end
+
+    def set_callback(&block)
+      @callback = block
+    end
+
+    def refresh_snapshot
+      @thread.kill
+      snapshot
+      process_queue
+    end
+
+    private
+
+    def subscribe
       @queue = Queue.new
+      @missing = {}
       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)
+    end
+
+    def snapshot
+      @cb || @cb = ::CoinbaseExchange.new
       @snapshot = @cb.orderbook(3, 'BTC-USD')
-      @sequence = @snapshot.fetch('sequence').to_f
+      @sequence = @snapshot.fetch('sequence').to_i
       @bids = @snapshot.fetch('bids')
       @asks = @snapshot.fetch('asks')
-      @update_thread = Thread.new do
+    end
+
+    def timeout(sequence)
+      warn "Missing sequence #{sequence} timed out. Refreshingn snapshot."
+      refresh_snapshot
+    end
+
+    def process_queue
+      @thread && @thread.kill
+      @thread = Thread.new do
+        @last_sequence = 'start'
         loop do
           msg = @queue.shift
-          unless msg.fetch("sequence").to_f <= @sequence
+          sequence = msg.fetch('sequence').to_i
+          if sequence > @sequence
+            unless @last_sequence == 'start'
+              expected_sequence = @last_sequence + 1
+              if sequence != expected_sequence
+                if @missing.keys.include? (expected_sequence)
+                  @missing.fetch(expected_sequence).kill
+                  @missing.delete(expected_sequence)
+                else
+                  @missing[expected_sequence] = Thread.new do
+                    sleep LOST_TIMEOUT
+                    timeout expected_sequence
+                  end
+                end
+                @missing < expected_sequence
+              end
+            end
             apply(msg)
             @callback && @callback.call(msg)
           end
+          @last_sequence = sequence
         end
       end
     end
-
-    def set_callback(&block)
-      @callback = block
-    end
   end
 end
+

data/lib/orderbook/version.rb

@@ -1,3 +1,3 @@
 module Orderbook
-  VERSION = "0.0.1"
+  VERSION = "0.1.0"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: orderbook
 version: !ruby/object:Gem::Version
-  version: 0.0.1
+  version: 0.1.0
 platform: ruby
 authors:
 - Michael Rodrigues