trade-o-matic 0.1.0 → 0.2.0

data/lib/trade-o-matic/cli.rb

@@ -6,34 +6,18 @@ module Trader
 
     program_desc 'Trader command line interface'
 
-    desc "Executes trade-o-matic using provided settings"
-    command [:run, :r] do |c|
+    desc "Executes a trade-o-matic enviroment"
+    command [:console, :r] do |c|
 
-      c.desc "Specifies the configuration file"
+      c.desc "Specifies the robot configuration file"
       c.flag [:c, :config]
 
-      c.desc "Start the server in verbose mode"
-      c.switch :dry, :default_value => false
-
       c.action do |global_options,options,args|
 
-        require 'trade-o-matic/adapters/bitstamp_account'
-        require 'trade-o-matic/generators/linear_generator'
-        require 'trade-o-matic/flows/ask_replicator_flow'
-
-        Currency.register_conversion(:CLP, :Bitstamp_USD, 1.0/710.0)
-
-        source = Trader::BitstampAccount.new
-        target = nil
-        generator = LinearGenerator.new(spread: Price.new(:CLP, 10000.0), step: Price.new(:CLP, 1000.0))
-
-        flow = Trader::AskReplicatorFlow.new source, target, generator
-
-        puts 'Running ask replicator'
-        orders = flow.run options[:dry]
+        config = YAML.load_file options[:config]
 
-        puts 'Generated the following orders :'
-        orders.each { |o| puts "#{o.price} [#{o.volume}]" }
+        # TODO: load accounts from config file
+        # TODO: start a REPL in loaded accounts context
       end
     end
 

data/lib/trade-o-matic/converters/compound_converter.rb

@@ -0,0 +1,13 @@
+module Trader
+  class CompoundConverter < Converter
+    attr_accessor :converters
+
+    def initialize(_converters)
+      @converters = _converters
+    end
+
+    def rate
+      converters.inject(1.0) { |r, c| c.rate * r }
+    end
+  end
+end

data/lib/trade-o-matic/converters/fixed_converter.rb

@@ -1,16 +1,9 @@
 module Trader
-
   class FixedConverter < Converter
-
     attr_accessor :rate
 
     def initialize(_rate)
       @rate = _rate
     end
-
-    def convert(_value, _from, _to)
-      _value * rate
-    end
-
   end
 end

data/lib/trade-o-matic/converters/inverse_converter.rb

@@ -0,0 +1,13 @@
+module Trader
+  class InverseConverter < Converter
+    attr_reader :inverse
+
+    def initialize(_inverse)
+      @inverse = _inverse
+    end
+
+    def rate
+      1.0 / inverse.rate
+    end
+  end
+end

data/lib/trade-o-matic/converters/json_api_converter.rb

@@ -0,0 +1,20 @@
+require 'rest-client'
+require 'json'
+
+module Trader
+  class JsonApiConverter < SyncConverter
+    attr_reader :url, :path
+
+    def initialize(_url, _path, _ttl=30)
+      @url = _url
+      @path = _path
+
+      super(_ttl) do
+        json_string = RestClient.get _url
+        json = JSON.parse json_string
+        value = _path.inject(json) { |r, k| r[k] }
+        value.to_f
+      end
+    end
+  end
+end

data/lib/trade-o-matic/converters/sync_converter.rb

@@ -1,7 +1,5 @@
 module Trader
-
   class SyncConverter < Converter
-
     attr_reader :ttl
 
     def initialize(_ttl, &_block)
@@ -13,14 +11,7 @@ module Trader
       @last_sync < Time.new - @ttl
     end
 
-    def convert(_value, _from, _to)
-      rate = sync_rate
-      _value * rate
-    end
-
-  private
-
-    def sync_rate
+    def rate
       if @last_sync.nil? or expired?
         @rate = @block.call
         @last_sync = Time.now
@@ -28,6 +19,5 @@ module Trader
 
       @rate
     end
-
   end
 end

data/lib/trade-o-matic/core/account.rb

@@ -0,0 +1,75 @@
+module Trader
+  class Account
+    include MarketLoader
+
+    attr_reader :backend
+
+    def initialize(_backend, _session)
+      @backend = _backend
+      @session = _session
+    end
+
+    def using(_pair, _quote=nil, &_block)
+      _pair = CurrencyPair.for_code _pair, _quote
+
+      proxy_market = find_exact_market _pair
+      proxy_market = find_compatible_market _pair if proxy_market.nil?
+      raise StandardError, 'market not supported' if proxy_market.nil?
+
+      proxy = AccountProxy.new self, proxy_market, _pair
+
+      return proxy if _block.nil?
+      _block.call proxy
+    end
+
+    def using_default_pair(&_block)
+      using available_markets.first, &_block
+    end
+
+    def balance_for(_currency)
+      _currency = Currency.for_code _currency
+      ensure_supported_currency _currency
+
+      # IDEA: cache balances by currency code.
+      balance = Balance.new backend, session, _currency
+      balance.refresh!
+      balance
+    end
+
+    def create_order(_order)
+      ensure_supported_market _order.pair
+      raw_order = backend.create_order(
+        session,
+        _order.pair,
+        _order.volume.amount,
+        _order.limit? ? _order.price.amount : nil,
+        _order.instruction
+      )
+
+      AccountOrder.new backend, session, raw_order
+    end
+
+    def find_order(_id)
+      raw_order = backend.fetch_order session, _id
+      # TODO: maybe Position.new(backend, session, Market.new(backend, raw_order.pair), raw_order)
+      AccountOrder.new backend, session, raw_order
+    end
+
+    def list_orders
+      # TODO.
+    end
+
+  private
+
+    attr_reader :session
+
+    def find_exact_market(_pair)
+      available_markets.find { |p| p == _pair }
+    end
+
+    def find_compatible_market(_pair)
+      available_markets.find { |p| p.compatible_with? _pair }
+    end
+
+  end
+end

data/lib/trade-o-matic/core/account_order.rb

@@ -0,0 +1,99 @@
+module Trader
+  class AccountOrder
+
+    PENDING = :pending
+    OPEN = :open
+    CLOSED = :closed
+    CANCELED = :canceled
+
+    def initialize(_backend, _session, _raw, _forced_pair=nil)
+      @backend = _backend
+      @session = _session
+      @raw = _raw
+      @forced_pair = _forced_pair
+    end
+
+    def convert_to(_pair, _quote=nil)
+      forced_pair = CurrencyPair.for_code _pair, _quote
+
+      return self if forced_pair == pair
+
+      self.class.new backend, session, @raw, forced_pair
+    end
+
+    def id
+      @raw.id
+    end
+
+    def pair
+      forced_pair || original_pair
+    end
+
+    def original_pair
+      @raw.pair
+    end
+
+    def status
+      @raw.status
+    end
+
+    def limit?
+      @raw.limit?
+    end
+
+    def instruction
+      @raw.instruction
+    end
+
+    def price
+      if limit?
+        convert_quote original_pair.quote.pack @raw.price
+      else
+        nil
+      end
+    end
+
+    # TODO: executed_price
+
+    def volume
+      convert_base original_pair.base.pack @raw.volume
+    end
+
+    def executed_volume
+      convert_base original_pair.base.pack @raw.executed_volume
+    end
+
+    def pending_volume
+      convert_base(volume - executed_volume)
+    end
+
+    def refresh!
+      @raw = backend.fetch_order(session, id)
+      self
+    end
+
+    def cancel!
+      @raw = backend.cancel_order(session, id)
+      self
+    end
+
+    def finished?
+      status == CLOSED or status == CANCELED
+    end
+
+  private
+
+    attr_reader :backend, :session, :forced_pair
+
+    def convert_base(_price)
+      return _price if forced_pair.nil?
+      _price.convert_to forced_pair.base
+    end
+
+    def convert_quote(_price)
+      return _price if forced_pair.nil?
+      _price.convert_to forced_pair.quote
+    end
+
+  end
+end

data/lib/trade-o-matic/core/account_proxy.rb

@@ -0,0 +1,48 @@
+module Trader
+  class AccountProxy
+
+    attr_reader :account, :proxy, :pair
+
+    def initialize(_account, _proxy, _pair)
+      @account = _account
+      @proxy = _proxy
+      @pair = _pair
+    end
+
+    def backend
+      account.backend
+    end
+
+    def market
+      account.market_for proxy # TODO: market conversion
+    end
+
+    def base_balance
+      balance = account.balance_for proxy.base
+      balance.convert_to pair.base
+    end
+
+    def quote_balance
+      balance = account.balance_for proxy.quote
+      balance.convert_to pair.quote
+    end
+
+    def bid(_volume, _price=nil)
+      order = Order.new_bid(pair, _volume, _price).convert_to proxy
+      account.create_order(order).convert_to pair
+    end
+
+    def ask(_volume, _price=nil)
+      order = Order.new_ask(pair, _volume, _price).convert_to proxy
+      account.create_order(order).convert_to pair
+    end
+
+    def find_order(_id)
+      account.find_order(_id).convert_to pair
+    end
+
+    def list_orders()
+      # TODO
+    end
+  end
+end

data/lib/trade-o-matic/core/balance.rb

@@ -0,0 +1,57 @@
+module Trader
+  class Balance
+
+    def initialize(_backend, _session, _currency, _forced_currency=nil)
+      @backend = _backend
+      @session = _session
+      @currency = _currency
+      @forced_currency = _forced_currency
+      @raw = nil
+    end
+
+    def currency
+      forced_currency || @currency
+    end
+
+    def original_currency
+      @currency
+    end
+
+    def convert_to(_currency)
+      return self if _currency == currency
+      copy = self.class.new backend, session, original_currency, _currency
+      copy.raw = raw unless raw.nil?
+      copy
+    end
+
+    def amount
+      convert original_currency.pack raw.amount
+    end
+
+    def available_amount
+      convert original_currency.pack raw.available_amount
+    end
+
+    def frozen_amount
+      convert(amount - available_amount)
+    end
+
+    def refresh!
+      self.raw = backend.get_balance(session, currency)
+      self
+    end
+
+  protected
+
+    attr_accessor :raw
+
+  private
+
+    attr_reader :backend, :session, :forced_currency
+
+    def convert(_price)
+      return _price if forced_currency.nil?
+      _price.convert_to forced_currency
+    end
+  end
+end

data/lib/trade-o-matic/core/exchange.rb

@@ -0,0 +1,19 @@
+module Trader
+  class Exchange
+    include MarketLoader
+
+    def initialize(_backend)
+      @backend = _backend
+    end
+
+    def login(_crendentials)
+      session = backend.get_session(_crendentials)
+      Account.new backend, session
+    end
+
+  private
+
+    attr_reader :backend
+
+  end
+end

data/lib/trade-o-matic/core/market.rb

@@ -0,0 +1,29 @@
+module Trader
+  class Market < Book
+
+    attr_reader :backend
+
+    def initialize(_backend, _pair)
+      super _pair
+      @backend = _backend
+    end
+
+    def book
+      self
+    end
+
+    def base_currency
+      pair.base
+    end
+
+    def quote_currency
+      pair.quote
+    end
+
+    def refresh!
+      backend.fill_book(book)
+      self
+    end
+
+  end
+end

data/lib/trade-o-matic/core/market_loader.rb

@@ -0,0 +1,29 @@
+module Trader
+  module MarketLoader
+    def market_for(_pair, _quote=nil)
+      _pair = CurrencyPair.for_code _pair, _quote
+      ensure_supported_market _pair
+      Market.new(backend, _pair).refresh!
+    end
+
+    def has_market_for?(_pair, _quote=nil)
+      _pair = CurrencyPair.for_code _pair, _quote
+      available_markets.include? _pair
+    end
+
+    def available_markets
+      @markets ||= backend.get_available_markets
+    end
+
+  private
+
+    def ensure_supported_market(_pair)
+      raise ArgumentError, 'market not supported' unless has_market_for? _pair
+    end
+
+    def ensure_supported_currency(_currency)
+      raise ArgumentError, 'currency not supported' unless available_markets.any? { |m| m.quote == _currency || m.base == _currency }
+    end
+
+  end
+end

data/lib/trade-o-matic/services/backend_factory.rb

@@ -0,0 +1,46 @@
+module Trader
+  class BackendFactory
+    def self.build(_backend)
+      case _backend
+      when String, Symbol
+        self.new(_backend).build
+      else
+        _backend
+      end
+    end
+
+    attr_reader :name
+
+    def initialize(_name)
+      @name = _name
+    end
+
+    def build
+      builder = "build_#{name}"
+      raise "Invalid backend #{name}" unless self.class.private_method_defined? builder
+      send builder
+    end
+
+    private
+
+    def build_bitstamp
+      require_relative '../adapters/bitstamp_backend'
+      BitstampBackend.new
+    end
+
+    def build_surbtc
+      require_relative '../adapters/surbtc_backend'
+      SurbtcBackend.new
+    end
+
+    def build_itbit
+      require_relative '../adapters/itbit_backend'
+      ItbitBackend.new
+    end
+
+    def build_fake
+      require_relative '../adapters/fake_backend'
+      FakeBackend.instance
+    end
+  end
+end

data/lib/trade-o-matic/structs/ask_slope.rb

@@ -1,7 +1,10 @@
 module Trader
   class AskSlope < Slope
+    private
 
-  private
+    def instruction
+      Order::ASK
+    end
 
     def compare(_price_a, _price_b)
       _price_a <=> _price_b

data/lib/trade-o-matic/structs/bid_slope.rb

@@ -1,7 +1,10 @@
 module Trader
   class BidSlope < Slope
+    private
 
-  private
+    def instruction
+      Order::BID
+    end
 
     def compare(_price_a, _price_b)
       _price_b <=> _price_a

data/lib/trade-o-matic/structs/book.rb

@@ -0,0 +1,52 @@
+module Trader
+  class Book
+    attr_reader :pair, :bid_slope, :ask_slope
+
+    def initialize(_pair)
+      @pair = _pair
+      @bid_slope = BidSlope.new _pair
+      @ask_slope = AskSlope.new _pair
+    end
+
+    def prepare(_ref_time=nil)
+      @ref_time = _ref_time || Time.now
+      @transactions = []
+      @bid_slope.reset
+      @ask_slope.reset
+    end
+
+    def add_transaction(_price, _volume, _time)
+      @transactions << Transaction.new(
+        Price.new(pair.quote, _price),
+        Price.new(pair.base, _volume),
+        _time
+      )
+      nil
+    end
+
+    def add_bid(_price, _volume)
+      bid_slope.add_order _price, _volume
+    end
+
+    def add_ask(_price, _volume)
+      ask_slope.add_order _price, _volume
+    end
+
+    def volume(_period_seconds)
+      ref_time = @ref_time - _period_seconds
+      amount = @transactions.inject(0.0) do |r, trx|
+        if trx.time >= ref_time
+          r + trx.volume.amount
+        else
+          r
+        end
+      end
+
+      Price.new pair.base, amount
+    end
+
+    private
+
+    attr_reader :transactions
+  end
+end

data/lib/trade-o-matic/structs/converter.rb

@@ -1,8 +1,7 @@
 module Trader
   class Converter
-
-    def convert(_value, _from, _to)
-      raise NotImplementedError, 'convert method not implemented'
+    def rate
+      raise NotImplementedError, 'rate method not implemented'
     end
   end
 end