rtcbx 0.0.2

checksums.yaml

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data/.gitignore

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

data/Gemfile

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+source 'https://rubygems.org'
+
+# Specify your gem's dependencies in orderbook.gemspec
+gemspec
+gem 'coinbase-exchange', git: 'https://github.com/coinbase/coinbase-exchange-ruby.git', branch: 'master'
+gem 'json'
+gem 'eventmachine'
+
+group :test, :development do
+  gem 'pry'
+end

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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+# RTCBX 
+
+RTCBX uses the Coinbase (now GDAX) Exchange websocket feed to provide immediate access to
+the current state of the exchange without repeatedly polling parts of the
+RESTful API. It can:
+* Keep a synchronized copy of the entire orderbook - `RTCBX::Orderbook`
+* Calculate historic rates (candles) by the minute - `RTCBX::Candles`
+* Place and track orders for an account - `RTCBX::Trader`
+
+Each type of RTCBX object will supports defining callbacks to run when:
+* The `Orderbook` changes.
+* A new candle is generated.
+* Your order(s) change status.
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'rtcbx'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install rtcbx 
+
+## Usage
+
+```ruby
+require 'rtcbx'
+```
+RTCBX objects share a common interface:
+```ruby
+#
+# :product_id
+#   sets the currency (defaults to 'BTC-USD)
+#
+# :start
+#   run #start! at creation?  (defaults to true)
+# 
+
+rtcbx = RTCBX.new({product_id: 'BTC-GPB', start: false}) do |change|
+  # check some values, do some stuff
+end
+
+rtcbx.start! # Starts the websocket feed and tracking/update threads.
+
+rtcbx.stop!  # Stops the websocket feed and any tracking/update threads.
+
+rtcbx.reset! # Calls #stop! then calls #start!.
+
+```
+
+
+
+
+* Create a live updating Orderbook:
+```ruby
+ob = RTCBX::Orderbook.new
+```
+
+* Create an Orderbook object but don't fetch an orderbook or start live
+  updating.
+```ruby
+ob = RTCBX::Orderbook.new(start: false)
+
+# When you want it to go live:
+
+ob.start!
+
+# When you want to stop it:
+
+ob.stop!
+
+# Reset the orderbook by fetching a fresh orderbook snapshot. This just calls
+# `stop!` and then `start!` again:
+
+ob.reset!
+```
+
+* Get the "BTC-GBP" orderbook instead of "BTC-USD":
+```ruby
+ob = RTCBX::Orderbook.new(product_id: "BTC-GBP")
+```
+
+* Get the "BTC-GBP" orderbook instead of "BTC-USD":
+```ruby
+ob = RTCBX::Orderbook.new(product_id: "BTC-GBP")
+```
+
+* Create a live Orderbook with a callback to fire on each message:
+```ruby
+ob = RTCBX::Orderbook.new do |message|
+  if message.fetch 'type' == 'match'
+    puts ob.spread.to_f('s')
+  end
+end
+```
+
+* Create or reset the message callback:
+```ruby
+ob.on_message do |message|
+  puts ob.count
+end
+```
+
+* List current bids:
+```ruby
+ob.bids
+```
+
+* List current asks:
+```ruby
+ob.asks
+```
+
+* Show sequence number for initial level 3 snapshot:
+```ruby
+ob.snapshot_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/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`)
+5. Create a new Pull Request

data/Rakefile

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+require 'rake/testtask'
+require 'bundler'
+require_relative './lib/rtcbx/version.rb'
+
+task :build do
+  begin
+    puts 'building gem...'
+    `gem build rtcbx.gemspec`
+  rescue
+    puts 'build failed.'
+  end
+end
+
+task :install do
+  begin
+    puts 'installing gem...'
+    `gem install --local rtcbx`
+  rescue
+    puts 'install failed.'
+  end
+end
+
+task :console do
+  require 'rubygems'
+  require 'pry'
+  ARGV.clear
+  PRY.start
+end
+
+task default: %w(build install)
+
+Rake::TestTask.new do |t|
+  t.libs << 'test'
+  t.test_files = FileList['test/tc*.rb']
+  t.verbose = true
+end

data/lib/rtcbx.rb

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+require 'coinbase/exchange'
+require 'rtcbx/orderbook'
+require 'rtcbx/candles'
+require 'rtcbx/trader'
+require 'rtcbx/version'
+require 'eventmachine'
+
+class RTCBX
+  # seconds in between pinging the connection.
+  #
+  PING_INTERVAL = 15
+
+  attr_reader :product_id
+  attr_reader :start
+  attr_reader :api_key
+  attr_reader :api_secret
+  attr_reader :api_passphrase
+
+  attr_reader :message_callbacks
+  attr_reader :websocket
+  attr_reader :client
+  attr_reader :queue
+  attr_reader :last_pong
+  attr_reader :websocket_thread
+
+  def initialize(options = {}, &block)
+    @product_id     = options.fetch(:product_id, 'BTC-USD')
+    @start          = options.fetch(:start, true)
+    @api_key        = options.fetch(:api_key, '')
+    @api_secret     = options.fetch(:api_secret, '')
+    @api_passphrase = options.fetch(:api_passphrase, '')
+    @message_callbacks = []
+    @message_callbacks << block
+    @client = Coinbase::Exchange::Client.new(
+      api_key,
+      api_secret,
+      api_passphrase,
+      product_id: product_id
+    )
+    @websocket = Coinbase::Exchange::Websocket.new(
+      keepalive: true,
+      product_id: product_id
+    )
+    @queue = Queue.new
+    start! if start
+  end
+
+  def start!
+    start_websocket_thread
+  end
+
+  def stop!
+    websocket_thread.kill
+    websocket.stop!
+  end
+
+  def reset!
+    stop!
+    start!
+  end
+
+  private
+
+  def setup_websocket_callback
+    websocket.message do |message|
+      queue.push(message)
+      message_callbacks.each { |b| b.call(message) unless b.nil? }
+    end
+  end
+
+  def start_websocket_thread
+    @websocket_thread = Thread.new do
+      setup_websocket_callback
+      EM.run do
+        websocket.start!
+        setup_ping_timer
+        setup_error_handler
+      end
+    end
+  end
+
+  def setup_ping_timer
+    EM.add_periodic_timer(PING_INTERVAL) do
+      websocket.ping do
+        last_pong = Time.now
+      end
+    end
+  end
+
+  def setup_error_handler
+    EM.error_handler do |e|
+      print "Websocket Error: #{e.message} - #{e.backtrace.join("\n")}"
+    end
+  end
+end

data/lib/rtcbx/candles.rb

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+require 'rtcbx/candles/candle'
+
+class RTCBX
+  class Candles < RTCBX
+
+    attr_reader :buckets
+    attr_reader :history_queue
+    attr_reader :update_thread
+    attr_reader :bucket_thread
+    attr_reader :candle_thread
+    attr_reader :current_bucket
+    attr_reader :start_minute
+    attr_reader :candles
+
+    attr_reader :initial_time
+    attr_reader :first_bucket
+    attr_reader :bucket_lock
+
+
+    def initialize(options = {}, &block)
+      super(options, &block)
+      @buckets_lock = Mutex.new
+    end
+
+    def start!
+      super
+      #
+      # Calculate the first minute to start relying on just the websocket for
+      # data.
+      #
+      @initial_time = Time.now
+      @first_bucket = initial_time.to_i + (60 - initial_time.sec)
+      @history_queue = Queue.new
+
+      start_bucket_thread
+      start_candle_thread
+    end
+
+    private
+
+    def start_bucket_thread
+      @bucket_thread = Thread.new do
+        @buckets = {}
+        @current_bucket = first_bucket
+        @buckets[current_bucket.to_i] = []
+
+        loop do
+          message = queue.pop
+          if message.fetch('type') == 'match'
+            if Time.parse(message.fetch('time')) >= Time.at(first_bucket)
+              timestamp = Time.parse(message.fetch('time'))
+              bucket = timestamp.to_i - timestamp.sec
+              @buckets_lock.synchronize do
+                if bucket > current_bucket
+                  @current_bucket = bucket
+                  @buckets[current_bucket.to_i] = []
+                  @buckets[current_bucket.to_i] << message
+                else
+                  @buckets[current_bucket.to_i] << message
+                end
+              end
+            end
+          end
+        end
+      end
+    end
+
+    def start_candle_thread
+      @candle_thread = Thread.new do
+        @candles = []
+        sleep(60 - Time.now.sec)
+        loop do
+          buckets.keys.each do |key|
+            if key + 60 <= Time.now.to_i
+              @buckets_lock.synchronize do
+                candle =  Candle.new(key, buckets[key]) unless buckets[key].empty?
+                @candles << candle
+                # Run candle callback
+                #
+                @message_callbacks.each{|c| c.call(candle)}
+                buckets.delete(key)
+              end
+            end
+          end
+
+          sleep(60 - Time.now.sec)
+        end
+      end
+    end
+  end
+end

data/lib/rtcbx/candles/candle.rb

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+class RTCBX 
+  class Candles < RTCBX
+    class Candle
+
+      attr_reader :time, :low, :high, :open, :close, :volume
+
+      def initialize(epoch, matches)
+        @time = epoch
+        @low = matches.map {|message| BigDecimal.new(message.fetch('price'))}.min
+        @high = matches.map {|message| BigDecimal.new(message.fetch('price'))}.max
+        @open = BigDecimal.new(matches.first.fetch('price'))
+        @close = BigDecimal.new(matches.last.fetch('price'))
+        @volume = matches.reduce(BigDecimal(0)) {|sum, message| sum + BigDecimal.new(message.fetch('size'))}
+      end
+
+      def to_h
+        {
+          start:  Time.at(@time),
+          low:    @low.to_s("F"),
+          high:   @high.to_s("F"),
+          open:   @open.to_s("F"),
+          close:  @close.to_s("F"),
+          volume: @volume.to_s("F"),
+        }
+      end
+    end
+  end
+end

data/lib/rtcbx/orderbook.rb

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+require 'rtcbx/orderbook/book_methods'
+require 'rtcbx/orderbook/book_analysis'
+
+# This class represents the current state of the CoinBase Exchange orderbook.
+#
+class RTCBX
+  class Orderbook < RTCBX
+    include BookMethods
+    include BookAnalysis
+
+    # Array of bids
+    #
+    attr_reader :bids
+
+    # Array of asks
+    #
+    attr_reader :asks
+
+    # Sequence number from the initial level 3 snapshot
+    #
+    attr_reader :snapshot_sequence
+
+    # Sequence number of most recently received message
+    #
+    attr_reader :last_sequence
+
+    # Reads from the queue and updates the Orderbook.
+    #
+    attr_reader :update_thread
+
+    # Creates a new live copy of the orderbook.
+    #
+    # 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(options={}, &block)
+      @bids = []
+      @asks = []
+      @snapshot_sequence = 0
+      @last_sequence = 0
+      super(options, &block)
+    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 start!
+      super
+      sleep 0.3
+      apply_orderbook_snapshot
+      start_update_thread
+    end
+
+    def stop!
+      super
+      update_thread.kill
+    end
+
+    private
+
+    # 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
+
+    # 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 { |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 start_update_thread
+      @update_thread = Thread.new do
+        begin
+          loop do
+            message = queue.pop
+            apply(message)
+          end
+
+        rescue => e
+          puts e
+        end
+      end
+    end
+
+    #    apply(message)
+  end
+end

data/lib/rtcbx/orderbook/book_analysis.rb

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+class RTCBX
+  class Orderbook < RTCBX
+    # Simple collection of commands to get info about the orderbook. Add our own
+    # methods for calculating whatever it is you feel like calculating.
+    #
+    module BookAnalysis
+      def bid_count
+        @bids.count
+      end
+
+      def ask_count
+        @asks.count
+      end
+
+      def count
+        { bid: bid_count, ask: ask_count }
+      end
+
+      def bid_volume
+        @bids.map { |x| x.fetch(:size) }.inject(:+)
+      end
+
+      def ask_volume
+        @asks.map { |x| x.fetch(:size) }.inject(:+)
+      end
+
+      def volume
+        { bid: bid_volume, ask: ask_volume }
+      end
+
+      def average_bid
+        bids = @bids.map { |x| x.fetch(:price) }
+        bids.inject(:+) / bids.count
+      end
+
+      def average_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
+        @bids.sort_by { |x| x.fetch(:price) }.last
+      end
+
+      def best_ask
+        @asks.sort_by { |x| x.fetch(:price) }.first
+      end
+
+      def best
+        { bid: best_bid, ask: best_ask }
+      end
+
+      def spread
+        best_ask.fetch(:price) - best_bid.fetch(:price)
+      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
+      end
+    end
+  end
+end

data/lib/rtcbx/orderbook/book_methods.rb

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+require 'bigdecimal'
+class RTCBX
+  class Orderbook < RTCBX
+
+    # This class provides methods to apply updates to the state of the orderbook
+    # as they are received by the websocket.
+    #
+    module BookMethods
+      BIGDECIMAL_KEYS = %w(size old_size new_size remaining_size price)
+
+      # Applies a message to an Orderbook object by making relevant changes to
+      # @bids, @asks, and @last_sequence.
+      #
+      def apply(msg)
+        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)
+        end
+
+        __send__(msg.fetch('type'), msg)
+      end
+
+      private
+
+      def open(msg)
+        order = {
+          price:    msg.fetch('price'),
+          size:     msg.fetch('remaining_size'),
+          order_id: msg.fetch('order_id')
+        }
+
+        @bids << order if msg.fetch('side') == 'buy'
+        @asks << order if msg.fetch('side') == 'sell'
+      end
+
+      def match(msg)
+        decrement_match = lambda do |o|
+          if o.fetch(:order_id) == msg.fetch('maker_order_id')
+            o[:size] = o.fetch(:size) - msg.fetch('size')
+          end
+        end
+
+        @asks.map(&decrement_match) if msg.fetch('side') == 'sell'
+        @bids.map(&decrement_match) if msg.fetch('side') == 'buy'
+      end
+
+      def done(msg)
+        matching_order = ->(o) { o.fetch(:order_id) == msg.fetch('order_id') }
+
+        @asks.reject!(&matching_order) if msg.fetch('side') == 'sell'
+        @bids.reject!(&matching_order) if msg.fetch('side') == 'buy'
+      end
+
+      def change(msg)
+        change_order = lambda do |o|
+          if o.fetch(:order_id) == msg.fetch('order_id')
+            o[:size] = msg.fetch('new_size')
+          end
+        end
+
+        @asks.map(&change_order) if msg.fetch('side') == 'sell'
+        @bids.map(&change_order) if msg.fetch('side') == 'buy'
+      end
+
+      def received(_)
+        # The book doesn't change for this message type.
+      end
+    end
+  end
+end

data/lib/rtcbx/trader.rb

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+class RTCBX
+  class Trader < RTCBX
+
+  end
+end

data/lib/rtcbx/version.rb

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+# Orderbook version number. I try to keep it semantic.
+#
+class RTCBX
+  VERSION = '0.0.2'
+end

data/rtcbx.gemspec

@@ -0,0 +1,25 @@
+# coding: utf-8
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'rtcbx/version'
+
+Gem::Specification.new do |spec|
+  spec.name          = 'rtcbx'
+  spec.version       = RTCBX::VERSION
+  spec.authors       = ['Michael Rodrigues']
+  spec.email         = ['mikebrodrigues@gmail.com']
+  spec.summary       = %q(Maintains an real-time copy of the GDAX (Coinbase) Exchange order book.)
+  spec.description   = %q(Uses the GDAX (Coinbase) Exchange Websocket stream
+                          to maintain a real-time copy of the order book, place and track orders,
+                          and calculate historic rates by the minute in real-time.)
+  spec.homepage      = 'https://github.com/mikerodrigues/rtcbx'
+  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

@@ -0,0 +1,90 @@
+--- !ruby/object:Gem::Specification
+name: rtcbx
+version: !ruby/object:Gem::Version
+  version: 0.0.2
+platform: ruby
+authors:
+- Michael Rodrigues
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2017-02-23 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: |-
+  Uses the GDAX (Coinbase) Exchange Websocket stream
+                            to maintain a real-time copy of the order book, place and track orders,
+                            and calculate historic rates by the minute in real-time.
+email:
+- mikebrodrigues@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- Gemfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- lib/rtcbx.rb
+- lib/rtcbx/candles.rb
+- lib/rtcbx/candles/candle.rb
+- lib/rtcbx/orderbook.rb
+- lib/rtcbx/orderbook/book_analysis.rb
+- lib/rtcbx/orderbook/book_methods.rb
+- lib/rtcbx/trader.rb
+- lib/rtcbx/version.rb
+- rtcbx.gemspec
+homepage: https://github.com/mikerodrigues/rtcbx
+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: 2.4.6
+signing_key: 
+specification_version: 4
+summary: Maintains an real-time copy of the GDAX (Coinbase) Exchange order book.
+test_files: []
+has_rdoc: