orderbook 0.1.0 → 1.0.0

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA1:
-  metadata.gz: 84269d46b54589bbc0b4ef3cc68427ea1f41160d
-  data.tar.gz: 355f66f391af0c02d0eea84d9edbcff19c9761ae
+  metadata.gz: cf56caee6a0354c98d4db2a50d4b19c0d31f6ca7
+  data.tar.gz: 3da66fed2eeeb1c3e9b0171ded4bdd58d805caa1
 SHA512:
-  metadata.gz: 978af2908c7c1c0be124d3fff39fb1f43cb0bb3d980b4252842e50d1059617c82ffeeab34997e3d30513eb14c1ddb89992d4730f98761d6660cd9608172634b5
-  data.tar.gz: 5540ecd2f5cd99f9d68648d934d8d4b226aa4f66f7646294b72d6673c9f41a71a3f3c536b3af364af4d22fa1020eb0840674f0fd2641eac03198ee189d1a28c9
+  metadata.gz: 424e6bd0efea8a60866f2688d58b5578a698415708277c88a8091f9391bedcec4bee7344d467a977f9a625ed9d5542c5a95f5351934d92cdd5975342a03ddeec
+  data.tar.gz: 92594ee583a883d8a116701fbef362ab785e8d0f47d9768041c410acb3b5c53f4df72185d2408971f78ac0492b397de95c1ae0a1402b806da5ae26a3c11e9dc1

data/.gitignore

@@ -16,3 +16,4 @@ mkmf.log
 *config.yaml
 *config.rb
 *.gem
+bin

data/Gemfile

@@ -2,6 +2,5 @@ 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 'coinbase/exchange'
 gem 'json'
-gem 'websocket-client-simple'

data/README.md

@@ -2,6 +2,13 @@
 
 A gem for creating a realtime order book for the Coinbase Exchange.
 
+Version 1.0.0 and greater now use the official Coinbase Exchange Ruby Gem's
+EventMachine-driven client. It should be more reliable than the previous socket
+code.
+
+Also, the gem now uses BigDecimal in place of Float when dealing with sizes and
+prices.
+
 ## Installation
 
 Add this line to your application's Gemfile:
@@ -24,26 +31,69 @@ Or install it yourself as:
 require 'orderbook'
 ```
 
-* To create a RealTimeBook:
+* Create a live updating Orderbook:
+```ruby
+ob = Orderbook.new
 ```
-rtb = Orderbook::RealTimeBook.new
 
-rtb.bids # Returns an array of bids.
+* Create an Orderbook object but don't fetch an orderbook or start live
+  updating.
+```ruby
+ob = Orderbook.new(false)
 
-rtb.asks # Returns an array of asks.
+# When you want it to go live:
 
-# 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.
+ob.live!
+```
 
-rtb.set_callback do |msg|
-  puts msg.fetch('type')
+* Create a live Orderbook with a callback to fire on each message:
+```ruby
+ob = Orderbook.new do |message|
+  puts message.fetch 'type'
 end
 ```
 
+* Create or reset the callback:
+```ruby
+ob.callback = lambda do |message|
+  puts message.fetch 'callback'
+end
+```
+
+* The old class name is still supported and is equivalent to an Orderbook:
+```ruby
+rtb = Orderbook::RealTimeBook.new
+```
+
+* List current bids:
+```ruby
+ob.bids
+```
+
+* List current asks:
+```ruby
+ob.asks
+```
+
+* Show sequence number for initial level 3 snapshot:
+```ruby
+ob.first_sequence
+```
+
+* Show sequence number for the last message received
+```ruby
+ob.last_sequence
+```
+
+* Show the last Time a pong was received after a ping (ensures the connection is
+  still alive):
+```ruby
+ob.last_pong
+```
+
 ## Contributing
 
-1. Fork it ( https://github.com/[my-github-username]/orderbook/fork )
+1. Fork it ( https://github.com/mikerodrigues/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`)

data/Rakefile

@@ -1,2 +1,36 @@
-require "bundler/gem_tasks"
+require 'rake/testtask'
+require 'bundler'
+require_relative './lib/orderbook/version.rb'
 
+task :build do
+  begin
+    puts 'building gem...'
+    `gem build orderbook.gemspec`
+  rescue
+    puts 'build failed.'
+  end
+end
+
+task :install do
+  begin
+    puts 'installing gem...'
+    `gem install --local orderbook`
+  rescue
+    puts 'install failed.'
+  end
+end
+
+task :console do
+  require 'rubygems'
+  require 'pry'
+  ARGV.clear
+  PRY.start
+end
+
+task :default => ['build', 'install']
+
+Rake::TestTask.new do |t|
+  t.libs << 'test'
+  t.test_files = FileList['test/tc*.rb']
+  t.verbose = true
+end

data/lib/orderbook.rb

@@ -1,8 +1,117 @@
-require 'coinbase_exchange'
-require 'orderbook/real_time_book'
+require 'coinbase/exchange'
 require 'orderbook/book_methods'
+require 'orderbook/book_analysis'
+require 'orderbook/real_time_book'
 require 'orderbook/version'
 
-module Orderbook
-  # Your code goes here...
+# This class represents the current state of the CoinBase Exchange orderbook.
+#
+class Orderbook
+  include BookMethods
+  include BookAnalysis
+
+  PING_INTERVAL = 15 # seconds in between pinging the connection.
+
+  # Array of bids
+  #
+  attr_reader :bids
+
+  # Array of asks
+  #
+  attr_reader :asks
+
+  # Sequence number from the initial level 3 snapshot
+  #
+  attr_reader :first_sequence
+
+  # Sequence number of most recently received message
+  #
+  attr_reader :last_sequence
+
+  # Coinbase::Exchange::Websocket object
+  #
+  attr_reader :websocket
+
+  # Coinbase::Exchange::AsyncClient object
+  #
+  attr_reader :client
+
+  # Thread running the EM loop
+  #
+  attr_reader :thread
+
+  # Last time a pong was received after a ping
+  #
+  attr_reader :last_pong
+
+  # Callback to pass each received message to
+  #
+  attr_accessor :callback
+
+  # Creates a new live copy of the orderbook.
+  #
+  # If +live+ is set to false, the orderbook will not start automatically.
+  #
+  # If a +block+ is given it is passed each message as it is received.
+  #
+  def initialize(live = true, &block)
+    @bids = [[nil, nil]]
+    @asks = [[nil, nil]]
+    @first_sequence = 0
+    @last_sequence = 0
+    @websocket = Coinbase::Exchange::Websocket.new(keepalive: true)
+    @client = Coinbase::Exchange::AsyncClient.new
+    @callback = block if block_given?
+    live && live!
+  end
+
+  # Used to start the thread that listens to updates on the websocket and
+  # applies them to the current orderbook to create a live book.
+  #
+  def live!
+    setup_websocket
+    start_thread
+  end
+
+  private
+
+  def setup_websocket
+    @websocket.message do |message|
+      apply(message)
+      @callback && @callback.call(message)
+    end
+  end
+
+  def fetch_current_orderbook
+    @client.orderbook(level: 3) do |resp|
+      @bids = resp['bids']
+      @asks = resp['asks']
+      @first_sequence = resp['sequence']
+    end
+  end
+
+  def ping
+    EM.add_periodic_timer(PING_INTERVAL) do
+      @websocket.ping do
+        @last_pong = Time.now
+      end
+    end
+  end
+
+  def handle_errors
+    EM.error_handler do |e|
+      print "Websocket Error: #{e.message} - #{e.backtrace.join("\n")}"
+    end
+  end
+
+  def start_thread
+    @thread = Thread.new do
+      EM.run do
+        fetch_current_orderbook
+        @websocket.start!
+        ping
+        handle_errors
+      end
+    end
+  end
 end

data/lib/orderbook/book_analysis.rb

@@ -1,33 +1,57 @@
-module Orderbook
+class Orderbook
   module BookAnalysis
-    def size
-      puts "Bids: #{@bids.count}"
-      puts "Asks: #{@asks.count}"
+    def bid_count
+      @bids.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(:+)}"
+    def ask_count
+      @asks.count
     end
 
-    def average
+    def bid_volume
+      @bids.map {|x| BigDecimal.new(x.fetch(1))}.inject(:+)
+    end
+
+    def ask_volume
+      @asks.map {|x| BigDecimal.new(x.fetch(1))}.inject(:+)
+    end
+
+    def average_bid
       array = @bids.map do |price, amount, id|
-        price.to_f
+        BigDecimal.new price
       end
       avg_bid = array.inject(:+) / array.count
-      puts "Avg. Bid: #{avg_bid}"
+      avg_bid
+    end
 
+    def average_ask
       array = @asks.map do |price, amount, id|
-        price.to_f
+        BigDecimal.new price
       end
       avg_ask = array.inject(:+) / array.count
-      puts "Avg. Asks: #{avg_ask}"
+      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}"
+    def best_bid
+      BigDecimal.new @bids.sort_by {|x| BigDecimal.new(x.fetch(0))}.last.first
     end
 
+    def best_ask
+      BigDecimal.new @asks.sort_by {|x| BigDecimal.new(x.fetch(0))}.first.first
+    end
+
+    def spread
+      best_ask - best_bid
+    end
+
+    def summarize
+      print "# of asks: #{ask_count}\n# of bids: #{bid_count}\nAsk volume: #{ask_volume.to_s('F')}\nBid volume: #{bid_volume.to_s('F')}\n"
+      $stdout.flush
+#      puts "Avg. ask: #{average_ask}"
+#      puts "Avg. bid: #{average_bid}"
+#      puts "Best ask: #{best_bid}"
+#      puts "Best bid: #{best_ask}"
+#      puts "Spread: #{spread}"
+    end
   end
 end

data/lib/orderbook/book_methods.rb

@@ -1,8 +1,17 @@
-module Orderbook
+require 'bigdecimal'
+
+class Orderbook
+  # This class provides methods to apply updates to the state of the orderbook
+  # as they come in as individual messages.
+  #
   module BookMethods
 
+    # Applies a message to an Orderbook object by making relevant changes to
+    # @bids, @asks, and @last_sequence.
+    #
     def apply(msg)
-      unless msg.fetch('sequence') <= @sequence
+      unless msg.fetch('sequence') <= @first_sequence
+        @last_sequence = msg.fetch('sequence')
         __send__(msg.fetch('type'), msg)
       end
     end
@@ -20,36 +29,36 @@ module Orderbook
     end
 
     def match(msg)
-      match_size = msg.fetch("size").to_f
+      match_size = BigDecimal.new(msg.fetch("size"))
       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
+            old_size = BigDecimal.new(ask.fetch(1))
             new_size = old_size - match_size
-            ask[1] = new_size.to_s
+            ask[1] = new_size.to_s('F')
           end
         end
         @bids.map do |bid|
           if bid.include? msg.fetch("taker_order_id")
-            old_size = bid.fetch(1).to_f
+            old_size = BigDecimal.net(bid.fetch(1))
             new_size = old_size - match_size
-            bid[1] = new_size.to_s
+            bid[1] = new_size.to_s('F')
           end
         end
       when "buy"
         @bids.map do |bid|
           if bid.include? msg.fetch("maker_order_id")
-            old_size = bid.fetch(1).to_f
+            old_size = BigDecimal.new(bid.fetch(1))
             new_size = old_size - match_size
-            bid[1] = new_size.to_s
+            bid[1] = new_size.to_s('F')
           end
         end
         @asks.map do |ask|
           if ask.include? msg.fetch("taker_order_id")
-            old_size = ask.fetch(1).to_f
+            old_size = BigDecimal.new(ask.fetch(1))
             new_size = old_size - match_size
-            ask[1] = new_size.to_s
+            ask[1] = new_size.to_s('F')
           end
         end
       end
@@ -82,6 +91,7 @@ module Orderbook
     end
 
     def received(msg)
+      # The book doesn't change for this message type.
     end
 
   end

data/lib/orderbook/real_time_book.rb

@@ -1,116 +1,7 @@
-require 'orderbook/book_methods'
-require 'orderbook/book_analysis'
+class Orderbook
+  class RealTimeBook < Orderbook
+    # For backwards compatability
 
-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
-
-    # 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_i
-      @bids = @snapshot.fetch('bids')
-      @asks = @snapshot.fetch('asks')
-    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
-          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
   end
 end
 

data/lib/orderbook/version.rb

@@ -1,3 +1,3 @@
-module Orderbook
-  VERSION = "0.1.0"
+class Orderbook
+  VERSION = "1.0.0"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: orderbook
 version: !ruby/object:Gem::Version
-  version: 0.1.0
+  version: 1.0.0
 platform: ruby
 authors:
 - Michael Rodrigues
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2015-03-15 00:00:00.000000000 Z
+date: 2015-06-28 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -79,8 +79,9 @@ required_rubygems_version: !ruby/object:Gem::Requirement
       version: '0'
 requirements: []
 rubyforge_project: 
-rubygems_version: 2.4.5
+rubygems_version: 2.2.2
 signing_key: 
 specification_version: 4
 summary: Maintains an real-time copy of the Coinbase Exchange order book.
 test_files: []
+has_rdoc: