orderbook 2.0.2 → 3.0.0

checksums.yaml

@@ -1,7 +1,7 @@
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data/Gemfile

@@ -4,3 +4,4 @@ source 'https://rubygems.org'
 gemspec
 gem 'coinbase-exchange', git: 'https://github.com/mikerodrigues/coinbase-exchange-ruby.git', branch: 'orderbook'
 gem 'json'
+gem 'eventmachine'

data/Gemfile.lock

@@ -1,6 +1,6 @@
 GIT
   remote: https://github.com/mikerodrigues/coinbase-exchange-ruby.git
-  revision: 051b256d2d0e414d7aec5bdb9a69ad33bfcf7e20
+  revision: 527d6b4e9d5e6bd2d2deab7ac5f16f58674194bc
   branch: orderbook
   specs:
     coinbase-exchange (0.1.2)
@@ -11,7 +11,7 @@ GIT
 PATH
   remote: .
   specs:
-    orderbook (2.0.1)
+    orderbook (3.0.0)
 
 GEM
   remote: https://rubygems.org/
@@ -27,7 +27,7 @@ GEM
       http_parser.rb (>= 0.6.0)
     em-socksify (0.3.0)
       eventmachine (>= 1.0.0.beta.4)
-    eventmachine (1.0.7)
+    eventmachine (1.0.8)
     faye-websocket (0.10.0)
       eventmachine (>= 0.12.0)
       websocket-driver (>= 0.5.1)
@@ -44,6 +44,7 @@ PLATFORMS
 DEPENDENCIES
   bundler (~> 1.7)
   coinbase-exchange!
+  eventmachine
   json
   orderbook!
   rake (~> 10.0)

data/README.md

@@ -1,4 +1,8 @@
-# Orderbook
+# Orderbook 3.0.0
+<a href="https://codeclimate.com/github/mikerodrigues/orderbook"><img src="https://codeclimate.com/github/mikerodrigues/orderbook/badges/gpa.svg" /></a>
+
+Version 3.0.0 has a slightly different interface and properly queues messages
+for an accurate Orderbook.
 
 A gem for creating a realtime order book for the Coinbase Exchange.
 
@@ -43,7 +47,7 @@ ob = Orderbook.new(false)
 
 # When you want it to go live:
 
-ob.live!
+ob.start!
 ```
 
 * Create a live Orderbook with a callback to fire on each message:
@@ -53,18 +57,13 @@ ob = Orderbook.new do |message|
 end
 ```
 
-* Create or reset the callback:
+* Create or reset the message callback:
 ```ruby
-ob.callback = lambda do |message|
-  puts message.fetch 'callback'
+ob.on_message do |message|
+  puts message.fetch 'sequence'
 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
@@ -77,7 +76,7 @@ ob.asks
 
 * Show sequence number for initial level 3 snapshot:
 ```ruby
-ob.first_sequence
+ob.snapshot_sequence
 ```
 
 * Show sequence number for the last message received

data/lib/orderbook.rb

@@ -11,7 +11,9 @@ class Orderbook
   include BookMethods
   include BookAnalysis
 
-  PING_INTERVAL = 15 # seconds in between pinging the connection.
+  # seconds in between pinging the connection.
+  #
+  PING_INTERVAL = 15
 
   # Array of bids
   #
@@ -23,7 +25,7 @@ class Orderbook
 
   # Sequence number from the initial level 3 snapshot
   #
-  attr_reader :first_sequence
+  attr_reader :snapshot_sequence
 
   # Sequence number of most recently received message
   #
@@ -33,71 +35,107 @@ class Orderbook
   #
   attr_reader :websocket
 
-  # Coinbase::Exchange::AsyncClient object
+  # Coinbase::Exchange::Client object
   #
   attr_reader :client
 
-  # Thread running the EM loop
+  # Thread running the EM loop for the websocket
+  #
+  attr_reader :em_thread
+
+  # Thread running the processing loop
   #
-  attr_reader :thread
+  attr_reader :processing_thread
 
-  # Last time a pong was received after a ping
+  # DateTime of last successful pong
   #
   attr_reader :last_pong
 
-  # Callback to pass each received message to
+  # Message queue for incoming messages.
   #
-  attr_accessor :callback
+  attr_reader :queue
 
   # Creates a new live copy of the orderbook.
   #
-  # If +live+ is set to false, the orderbook will not start automatically.
+  # If +start+ 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 = [{ price: nil, size: nil, order_id: nil }]
-    @asks = [{ price: nil, size: nil, order_id: nil }]
-    @first_sequence = 0
+  def initialize(start = true, &block)
+    @bids = []
+    @asks = []
+    @snapshot_sequence = 0
     @last_sequence = 0
+    @queue = Queue.new
     @websocket = Coinbase::Exchange::Websocket.new(keepalive: true)
-    @client = Coinbase::Exchange::AsyncClient.new
-    @callback = block if block_given?
-    live && live!
+    @client = Coinbase::Exchange::Client.new
+    @on_message = block if block_given?
+    start && start!
   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
+  def start!
+    start_em_thread
+
+    # Wait to make sure the snapshot sequence ID is higher than the sequence of
+    # the first message in the queue.
+    #
+    sleep 0.3
+    apply_orderbook_snapshot
+    start_processing_thread
+  end
+
+  # Stops the processing thread, EM thread, and the websocket.
+  #
+  def stop!
+    @processing_thread.kill
+    @em_thread.kill
+    @websocket.stop!
+  end
+
+  # Start and stop the Orderbook. Used to reset Orderbook state with a fresh
+  # snapshot.
+  #
+  def reset!
+    stop!
+    start!
+  end
+
+  def on_message(&block)
+    @on_message = block
   end
 
   private
 
-  def setup_websocket
-    @websocket.message do |message|
-      apply(message)
-      @callback && @callback.call(message)
-    end
+  # Converts an order array from the API into a hash.
+  #
+  def order_to_hash(price, size, order_id)
+    { price:    BigDecimal.new(price),
+      size:     BigDecimal.new(size),
+      order_id: order_id
+    }
   end
 
-  def fetch_current_orderbook
-    order_to_hash = lambda do |price, size, order_id|
-      { price:    BigDecimal.new(price),
-        size:     BigDecimal.new(size),
-        order_id: order_id
-      }
-    end
+  # Fetch orderbook snapshot from API and convert order arrays to hashes.
+  #
+  def apply_orderbook_snapshot
     @client.orderbook(level: 3) do |resp|
-      @bids = resp['bids'].map(&order_to_hash)
-      @asks = resp['asks'].map(&order_to_hash)
-      @first_sequence = resp['sequence']
+      @bids = resp['bids'].map { |b| order_to_hash(*b) }
+      @asks = resp['asks'].map { |a| order_to_hash(*a) }
+      @snapshot_sequence = resp['sequence']
+      @last_sequence = resp['sequence']
+    end
+  end
+
+  def setup_websocket_callback
+    @websocket.message do |message|
+      @queue.push(message)
     end
   end
 
-  def ping
+  def setup_ping_timer
     EM.add_periodic_timer(PING_INTERVAL) do
       @websocket.ping do
         @last_pong = Time.now
@@ -105,19 +143,29 @@ class Orderbook
     end
   end
 
-  def handle_errors
+  def setup_error_handler
     EM.error_handler do |e|
       print "Websocket Error: #{e.message} - #{e.backtrace.join("\n")}"
     end
   end
 
-  def start_thread
-    @thread = Thread.new do
+  def start_em_thread
+    @em_thread = Thread.new do
+      setup_websocket_callback
       EM.run do
-        fetch_current_orderbook
         @websocket.start!
-        ping
-        handle_errors
+        setup_ping_timer
+        setup_error_handler
+      end
+    end
+  end
+
+  def start_processing_thread
+    @processing_thread = Thread.new do
+      loop do
+        message = @queue.shift
+        apply(message)
+        @on_message.call(message) unless @on_message.nil?
       end
     end
   end

data/lib/orderbook/book_methods.rb

@@ -10,7 +10,11 @@ class Orderbook
     # @bids, @asks, and @last_sequence.
     #
     def apply(msg)
-      return if msg.fetch('sequence') <= @first_sequence
+      return if msg.fetch('sequence') != @last_sequence + 1
+      #if msg.fetch('sequence') != @last_sequence + 1
+      #  puts "Expected #{@last_sequence + 1}, got #{msg.fetch('sequence')}"
+      #  @websocket.stop!
+      #end
       @last_sequence = msg.fetch('sequence')
       BIGDECIMAL_KEYS.each do |key|
         msg[key] = BigDecimal.new(msg.fetch(key)) if msg.fetch(key, false)

data/lib/orderbook/version.rb

@@ -1,5 +1,5 @@
 # Orderbook version number. I try to keep it semantic.
 #
 class Orderbook
-  VERSION = '2.0.2'
+  VERSION = '3.0.0'
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: orderbook
 version: !ruby/object:Gem::Version
-  version: 2.0.2
+  version: 3.0.0
 platform: ruby
 authors:
 - Michael Rodrigues
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2015-08-04 00:00:00.000000000 Z
+date: 2015-08-10 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler
@@ -57,7 +57,6 @@ files:
 - 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

data/lib/orderbook/real_time_book.rb

@@ -1,4 +0,0 @@
-class Orderbook
-  # For backwards compatability
-  class RealTimeBook < Orderbook; end
-end