orderbook 1.0.0 → 2.0.0

checksums.yaml

@@ -1,7 +1,7 @@
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data/.gitignore

@@ -1,6 +1,5 @@
 /.bundle/
 /.yardoc
-/Gemfile.lock
 /_yardoc/
 /coverage/
 /doc/

data/Gemfile

@@ -2,5 +2,5 @@ source 'https://rubygems.org'
 
 # Specify your gem's dependencies in orderbook.gemspec
 gemspec
-gem 'coinbase/exchange'
+gem 'coinbase-exchange', :git => 'https://github.com/mikerodrigues/coinbase-exchange-ruby.git', :branch => 'orderbook'
 gem 'json'

data/Gemfile.lock

@@ -0,0 +1,49 @@
+GIT
+  remote: https://github.com/mikerodrigues/coinbase-exchange-ruby.git
+  revision: 051b256d2d0e414d7aec5bdb9a69ad33bfcf7e20
+  branch: orderbook
+  specs:
+    coinbase-exchange (0.1.2)
+      bigdecimal
+      em-http-request
+      faye-websocket
+
+PATH
+  remote: .
+  specs:
+    orderbook (2.0.0)
+
+GEM
+  remote: https://rubygems.org/
+  specs:
+    addressable (2.3.8)
+    bigdecimal (1.2.7)
+    cookiejar (0.3.2)
+    em-http-request (1.1.2)
+      addressable (>= 2.3.4)
+      cookiejar
+      em-socksify (>= 0.3)
+      eventmachine (>= 1.0.3)
+      http_parser.rb (>= 0.6.0)
+    em-socksify (0.3.0)
+      eventmachine (>= 1.0.0.beta.4)
+    eventmachine (1.0.7)
+    faye-websocket (0.10.0)
+      eventmachine (>= 0.12.0)
+      websocket-driver (>= 0.5.1)
+    http_parser.rb (0.6.0)
+    json (1.8.3)
+    rake (10.4.2)
+    websocket-driver (0.6.2)
+      websocket-extensions (>= 0.1.0)
+    websocket-extensions (0.1.2)
+
+PLATFORMS
+  ruby
+
+DEPENDENCIES
+  bundler (~> 1.7)
+  coinbase-exchange!
+  json
+  orderbook!
+  rake (~> 10.0)

data/lib/orderbook/book_analysis.rb

@@ -8,40 +8,50 @@ class Orderbook
       @asks.count
     end
 
+    def count
+      { bid: bid_count, ask: ask_count }
+    end
+
     def bid_volume
-      @bids.map {|x| BigDecimal.new(x.fetch(1))}.inject(:+)
+      @bids.map {|x| x.fetch(:size)}.inject(:+)
     end
 
     def ask_volume
-      @asks.map {|x| BigDecimal.new(x.fetch(1))}.inject(:+)
+      @asks.map {|x| x.fetch(:size)}.inject(:+)
+    end
+
+    def volume
+      { bid: bid_volume, ask: ask_volume }
     end
 
     def average_bid
-      array = @bids.map do |price, amount, id|
-        BigDecimal.new price
-      end
-      avg_bid = array.inject(:+) / array.count
-      avg_bid
+      bids = @bids.map {|x| x.fetch(:price)}
+      bids.inject(:+) / bids.count
     end
 
     def average_ask
-      array = @asks.map do |price, amount, id|
-        BigDecimal.new price
-      end
-      avg_ask = array.inject(:+) / array.count
-      avg_ask
+      asks = @asks.map {|x| x.fetch(:price)}
+      asks.inject(:+) / asks.count
+    end
+
+    def average
+      { bid: average_bid, ask: average_ask }
     end
 
     def best_bid
-      BigDecimal.new @bids.sort_by {|x| BigDecimal.new(x.fetch(0))}.last.first
+      @bids.sort_by {|x| x.fetch(:price)}.last
     end
 
     def best_ask
-      BigDecimal.new @asks.sort_by {|x| BigDecimal.new(x.fetch(0))}.first.first
+      @asks.sort_by {|x| x.fetch(:price)}.first
+    end
+
+    def best
+      { bid: best_bid, ask: best_ask }
     end
 
     def spread
-      best_ask - best_bid
+      best_ask.fetch(:price) - best_bid.fetch(:price)
     end
 
     def summarize

data/lib/orderbook/book_methods.rb

@@ -1,10 +1,10 @@
-require 'bigdecimal'
-
+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
+    BIGDECIMAL_KEYS = ['size', 'old_size', 'new_size', 'remaining_size', 'price', 'funds', 'old_funds', 'new_funds']
 
     # Applies a message to an Orderbook object by making relevant changes to
     # @bids, @asks, and @last_sequence.
@@ -12,6 +12,11 @@ class Orderbook
     def apply(msg)
       unless msg.fetch('sequence') <= @first_sequence
         @last_sequence = msg.fetch('sequence')
+        BIGDECIMAL_KEYS.each do |key|
+          if msg.fetch(key, false)
+            msg[key] = BigDecimal.new(msg.fetch(key))
+          end
+        end
         __send__(msg.fetch('type'), msg)
       end
     end
@@ -19,72 +24,63 @@ class Orderbook
     private
 
     def open(msg)
-      order = [ msg.fetch("price"), msg.fetch("remaining_size"), msg.fetch("order_id") ]
-      case msg.fetch("side")
-      when "buy"
+      order = { price: msg.fetch('price'), size: msg.fetch('remaining_size'), order_id: msg.fetch('order_id') }
+      case msg.fetch('side')
+      when 'buy'
         @bids << order
-      when "sell"
+      when 'sell'
         @asks << order
       end
     end
 
     def match(msg)
-      match_size = BigDecimal.new(msg.fetch("size"))
-      case msg.fetch("side")
-      when "sell"
+      case msg.fetch('side')
+      when 'sell'
         @asks.map do |ask|
-          if ask.include? msg.fetch("maker_order_id")
-            old_size = BigDecimal.new(ask.fetch(1))
-            new_size = old_size - match_size
-            ask[1] = new_size.to_s('F')
+          if ask.fetch(:order_id) == msg.fetch('maker_order_id')
+            ask[:size] = ask[:size] - msg.fetch('size')
           end
         end
         @bids.map do |bid|
-          if bid.include? msg.fetch("taker_order_id")
-            old_size = BigDecimal.net(bid.fetch(1))
-            new_size = old_size - match_size
-            bid[1] = new_size.to_s('F')
+          if bid.fetch(:order_id) == msg.fetch('taker_order_id')
+            bid[:size] = bid[:size] - msg.fetch('size')
           end
         end
-      when "buy"
+      when 'buy'
         @bids.map do |bid|
-          if bid.include? msg.fetch("maker_order_id")
-            old_size = BigDecimal.new(bid.fetch(1))
-            new_size = old_size - match_size
-            bid[1] = new_size.to_s('F')
+          if bid.fetch(:order_id) == msg.fetch('maker_order_id')
+            bid[:size] = bid[:size] - msg.fetch('size')
           end
         end
         @asks.map do |ask|
-          if ask.include? msg.fetch("taker_order_id")
-            old_size = BigDecimal.new(ask.fetch(1))
-            new_size = old_size - match_size
-            ask[1] = new_size.to_s('F')
+          if ask.fetch(:order_id) == msg.fetch('taker_order_id')
+            ask[:size] = ask[:size] - msg.fetch('size')
           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")}
+      case msg.fetch('side')
+      when 'sell'
+        @asks.reject! {|a| a.fetch(:order_id) == msg['order_id']}
+      when 'buy'
+        @bids.reject! {|b| b.fetch(:order_id) == msg['order_id']}
       end
     end
 
     def change(msg)
-      case msg.fetch("side")
-      when "sell"
+      case msg.fetch('side')
+      when 'sell'
         @asks.map do |a|
-          if a.include? msg.fetch("order_id")
-            a[1] = msg.fetch("new_size")
+          if a.fetch(:order_id) == msg.fetch('order_id')
+            a[:size] = msg.fetch('new_size')
           end
         end
-      when "buy"
+      when 'buy'
         @bids.map do |b|
-          if b.include? msg.fetch("order_id")
-            b[1] = msg.fetch("new_size")
+          if b.fetch(:order_id) == msg.fetch('order_id')
+            b[:size] = msg.fetch('new_size')
           end
         end
       end

data/lib/orderbook/version.rb

@@ -1,3 +1,3 @@
 class Orderbook
-  VERSION = "1.0.0"
+  VERSION = "2.0.0"
 end

data/lib/orderbook.rb

@@ -55,8 +55,8 @@ class Orderbook
   # 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]]
+    @bids = [{price: nil, size: nil, order_id: nil}]
+    @asks = [{price: nil, size: nil, order_id: nil}]
     @first_sequence = 0
     @last_sequence = 0
     @websocket = Coinbase::Exchange::Websocket.new(keepalive: true)
@@ -84,8 +84,20 @@ class Orderbook
 
   def fetch_current_orderbook
     @client.orderbook(level: 3) do |resp|
-      @bids = resp['bids']
-      @asks = resp['asks']
+      @bids = resp['bids'].map do |price, size, order_id|
+        {
+          price: BigDecimal.new(price),
+          size: BigDecimal.new(size),
+          order_id: order_id
+        }
+      end
+      @asks = resp['asks'].map do |price, size, order_id|
+        {
+          price: BigDecimal.new(price),
+          size: BigDecimal.new(size),
+          order_id: order_id
+        }
+      end
       @first_sequence = resp['sequence']
     end
   end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: orderbook
 version: !ruby/object:Gem::Version
-  version: 1.0.0
+  version: 2.0.0
 platform: ruby
 authors:
 - Michael Rodrigues
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2015-06-28 00:00:00.000000000 Z
+date: 2015-08-02 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -50,6 +50,7 @@ extra_rdoc_files: []
 files:
 - ".gitignore"
 - Gemfile
+- Gemfile.lock
 - LICENSE.txt
 - README.md
 - Rakefile
@@ -79,9 +80,8 @@ required_rubygems_version: !ruby/object:Gem::Requirement
       version: '0'
 requirements: []
 rubyforge_project: 
-rubygems_version: 2.2.2
+rubygems_version: 2.4.6
 signing_key: 
 specification_version: 4
 summary: Maintains an real-time copy of the Coinbase Exchange order book.
 test_files: []
-has_rdoc: