ruby-trade 0.1 → 0.2

data/.gitignore

@@ -1,5 +1,6 @@
 # Vim files
 *.swp
+*.swo
 
 # Compiled gem
 *.gem

data/examples/market_maker.rb

@@ -1,8 +1,9 @@
 require "ruby-trade"
 
-TradeAmount = 50_000
+TradeAmount = 10_000
 InitialPrice = 10.0
 Distance = 2.0
+UpdateInterval = 3
 
 class Marketmaker
   include RubyTrade::Client
@@ -13,7 +14,7 @@ class Marketmaker
     update_orders
 
     this = self
-    EM.add_periodic_timer 5 do
+    EM.add_periodic_timer UpdateInterval do
       this.update_orders
     end
   end
@@ -26,15 +27,36 @@ class Marketmaker
     @buy_order.cancel! if @buy_order
     @sell_order.cancel! if @sell_order
 
-    last = @level1 ? @level1[:last] : InitialPrice
-    last ||= InitialPrice
+    last = @level1 ? @level1["last"] : InitialPrice
+    last = InitialPrice if last.nil? or last == 0.0
+    puts @level1
+    puts last
 
     # buy and sell a certain percentage from the last
     buy_price = last * (1.0 - Distance / 100)
     sell_price = last * (1.0 + Distance / 100)
 
-    @buy_order = buy TradeAmount, at: buy_price
-    @sell_order = sell TradeAmount, at: sell_price
+    puts "Buy: #{buy_price}"
+    puts "Sell: #{sell_price}"
+
+    # randomize sending order - sometimes don't send an order just to mess with
+    # folks
+    should_send_buy = rand > 0.1
+    should_send_sell = rand > 0.1
+
+    if should_send_buy
+      @buy_order = buy TradeAmount, at: buy_price
+    else
+      puts "Disabling buy"
+      @buy_order = nil
+    end
+
+    if should_send_sell
+      @sell_order = sell TradeAmount, at: sell_price
+    else
+      puts "Disabling sell"
+      @sell_order = nil
+    end
   end
 
 end

data/examples/slammer.rb

@@ -0,0 +1,58 @@
+require 'ruby-trade'
+
+TradeAmount = 20_000
+InitialPrice = 10.0
+Distance = 2.0
+MaxDistance = 4
+MinTime = 30
+TimeVariance = 600
+
+class Slammer
+  include RubyTrade::Client
+  
+  def self.level1; @level1; end
+
+  def self.on_connect *args
+    puts "Connected."
+
+    setup_next_shot
+  end
+
+  def self.setup_next_shot
+    time_gap = MinTime + rand(TimeVariance)
+    puts "Firing in #{time_gap} seconds..."
+
+    this = self
+    order = nil
+    EM.add_timer time_gap do
+      shift = Distance + rand(MaxDistance)
+      is_sell = rand < 0.5
+      amount = TradeAmount
+
+      base_price = this.level1 ? this.level1["last"] : InitialPrice
+      base_price = InitialPrice if base_price.nil? or base_price == 0.0
+
+      if is_sell
+        price = base_price * (1.0 - shift / 100)
+        puts "Selling #{amount} at %.2f" % price
+        order = sell amount, at: price
+      else
+        price = base_price * (1.0 + shift / 100)
+        puts "Buying #{amount} at %.2f" % price
+        order = buy amount, at: price
+      end
+
+      EM.add_timer 0.1 do
+        puts "cancelling"
+        order.cancel!
+        this.setup_next_shot
+      end
+    end
+  end
+
+  def self.on_tick level1
+    @level1 = level1
+  end
+end
+
+Slammer.connect_to "127.0.0.1", as: "Slammer", ai: true

data/lib/client.rb

@@ -116,6 +116,7 @@ module RubyTrade
     def handle_message data
       case data["action"]
       when "order_accept"
+        @orders[data["local_id"]].price = data["price"]
       when "order_fill"
         update_account data
         @@parent.on_fill @orders[data["local_id"]], data["amount"], data["price"]
@@ -136,12 +137,12 @@ module RubyTrade
   end
 
   module Client
-    def self.on_connect *args; end
-    def self.on_tick *args; end
-    def self.on_fill *args; end
-    def self.on_partial_fill *args; end
-
     module ClassMethods
+      def on_connect *args; end
+      def on_tick *args; end
+      def on_fill *args; end
+      def on_partial_fill *args; end
+
       # hook so we can call child methods
       def child= child
         @@child = child

data/lib/order.rb

@@ -3,17 +3,16 @@ require 'observer'
 class Order
   include Observable
 
-  attr_reader :id, :local_id, :side, :price, :size, :sent_at, :status
+  attr_reader :id, :local_id, :side, :size, :sent_at, :status
+  attr_accessor :price, :status
 
   def initialize id, side, price, size
     @id, @side, @price, @size = id, side, price, size
     @sent_at = Time.now
     @cancelled = false
     @status = :pending_accept
-  end
 
-  def status= new_status
-    @status = new_status
+    @price = @price.round 2
   end
 
   def <=> order

data/rubytrade.gemspec

@@ -1,6 +1,6 @@
 Gem::Specification.new do |s|
   s.name = "ruby-trade"
-  s.version = "0.1"
+  s.version = "0.2"
   s.date = "2013-11-09"
   s.summary = "A stock market simulation game."
   s.description = ""

data/server/exchange.rb

@@ -52,8 +52,7 @@ class Exchange
     }
   end
 
-  def cancel_order order_id
-    order = @orders[order_id]
+  def cancel_order order
     @book.cancel_order order if order
   end
 end

data/server/order.rb

@@ -11,6 +11,9 @@ class Order
     @initial_size = @size
     @sent_at = Time.now
     @status = :pending_accept
+
+    # normalize the price to be within cents
+    @price = @price.round 2
   end
 
   def <=> order

data/server/public/app.js

@@ -2,9 +2,15 @@
 /*global $, SockJS, console, WebSocket*/
 $(function () {
   var plot,
+    NumPeriods = 300,
+    UpdateInterval = 100,
     sock = new WebSocket("ws://" + window.location.host + "/ws"),
     time = 0,
-    ticks = [[], [], []],
+    ticks = {
+      bids: [],
+      asks: [],
+      lasts: []
+    },
     level1 = 0.0;
 
   sock.onopen = function () {
@@ -27,13 +33,27 @@ $(function () {
     console.log("Disconnected from WS server.");
   };
 
-  plot = $.plot("#price-chart", ticks, {
+  function getData() {
+    return [
+      {
+        data: ticks.bids,
+        label: "Bid"
+      },
+      {
+        data: ticks.asks,
+        label: "Ask"
+      },
+      {
+        data: ticks.lasts,
+        label: "Last"
+      }
+    ];
+  }
+
+  plot = $.plot("#price-chart", getData(), {
     series: {
       shadowSize: 0
     },
-    yaxis: {
-      min: 0
-    },
     xaxis: {
       show: false
     }
@@ -42,10 +62,23 @@ $(function () {
   // Push last, update graph
   setInterval(function () {
     time++;
-    ticks[0].push([time, level1.bid]);
-    ticks[1].push([time, level1.ask]);
-    ticks[2].push([time, level1.last]);
-    plot.setData(ticks);
+    ticks.bids.push([time, level1.bid > 0 ? level1.bid : null]);
+    ticks.asks.push([time, level1.ask > 0 ? level1.ask : null]);
+    ticks.lasts.push([time, level1.last > 0 ? level1.last : null]);
+
+    // strip off older ones
+    while (ticks.bids.length > 0 && ticks.bids[0][0] < time - NumPeriods) {
+      ticks.bids.shift();
+    }
+    while (ticks.asks.length > 0 && ticks.asks[0][0] < time - NumPeriods) {
+      ticks.asks.shift();
+    }
+    while (ticks.lasts.length > 0 && ticks.lasts[0][0] < time - NumPeriods) {
+      ticks.lasts.shift();
+    }
+
+    plot.setData(getData());
+    plot.setupGrid();
     plot.draw();
-  }, 1000);
+  }, UpdateInterval);
 });

data/server/server.rb

@@ -16,9 +16,11 @@ class OrderServer < EM::Connection
 
   def unbind
     # cancel the orders for this client
-    @my_orders.each do |order|
+    puts "Connection closed from #{@account.name}, killing orders"
+    @my_orders.values.each do |order|
       @@exchange.cancel_order order
     end
+    @@parent.tick @@exchange
   end
 
   def update action, *args
@@ -96,7 +98,8 @@ class OrderServer < EM::Connection
         send_data_f({
           action: "order_accept",
           local_id: data["local_id"],
-          id: order.id
+          id: order.id,
+          price: order.price
         }.to_json)
 
         @my_orders[order.id] = order
@@ -104,8 +107,14 @@ class OrderServer < EM::Connection
         @@parent.tick @@exchange
       end
     when "cancel_order"
-      puts "cancelling #{data["id"]}"
-      @@exchange.cancel_order data["id"]
+      order = @my_orders[data["id"]]
+      if order
+        puts "cancelling #{data["id"]}"
+        @@exchange.cancel_order order
+        @@parent.tick @@exchange
+      else
+        puts "No order with ID #{data["id"]}"
+      end
     end
   end
 

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: ruby-trade
 version: !ruby/object:Gem::Version
-  version: '0.1'
+  version: '0.2'
   prerelease: 
 platform: ruby
 authors:
@@ -20,6 +20,7 @@ files:
 - .gitignore
 - README.md
 - examples/market_maker.rb
+- examples/slammer.rb
 - lib/Gemfile
 - lib/Gemfile.lock
 - lib/client.rb