Class: Bitfinex::Models::OrderBook

Inherits:
Object
  • Object
show all
Defined in:
lib/models/order_book.rb

Instance Attribute Summary collapse

Class Method Summary collapse

Instance Method Summary collapse

Constructor Details

#initialize(snap = [], raw = false) ⇒ OrderBook

Returns a new instance of OrderBook.



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# File 'lib/models/order_book.rb', line 8

def initialize (snap = [], raw = false)
  @raw = raw

  if snap.instance_of?(OrderBook)
    @bids = snap.bids.dup
    @asks = snap.asks.dup
  elsif snap.kind_of?(Array)
    update_from_snapshot(snap)
  elsif snap.kind_of?(Hash)
    @bids = snap[:bids].dup
    @asks = snap[:asks].dup
  else
    @bids = []
    @asks = []
  end
end

Instance Attribute Details

#asks ⇒ Object (readonly)

Returns the value of attribute asks.



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# File 'lib/models/order_book.rb', line 6

def asks
  @asks
end

#bids ⇒ Object (readonly)

Returns the value of attribute bids.



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# File 'lib/models/order_book.rb', line 6

def bids
  @bids
end

#raw ⇒ Object (readonly)

Returns the value of attribute raw.



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# File 'lib/models/order_book.rb', line 6

def raw
  @raw
end

Class Method Details

.unserialize(arr, raw = false) ⇒ Object 



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# File 'lib/models/order_book.rb', line 219

def self.unserialize (arr, raw = false)
  if arr[0].kind_of?(Array)
    entries = arr.map { |e| OrderBook.unserialize(e, raw) }
    bids = entries.select { |e| (e[:rate] ? -e[:amount] : e[:amount]) > 0 }
    asks = entries.select { |e| (e[:rate] ? -e[:amount] : e[:amount]) < 0 }

    return {
      :bids => bids,
      :asks => asks
    }
  end

  if arr.size == 4
    if raw
      return {
        :order_id => arr[0],
        :period => arr[1],
        :rate => arr[2],
        :amount => arr[3]
      }
    else
      return {
        :rate => arr[0],
        :period => arr[1],
        :count => arr[2],
        :amount => arr[3]
      }
    end
  else
    if raw
      return {
        :order_id => arr[0],
        :price => arr[1],
        :amount => arr[2]
      }
    else
      return {
        :price => arr[0],
        :count => arr[1],
        :amount => arr[2]
      }
    end
  end
end

Instance Method Details

#ask_amount ⇒ Object 



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# File 'lib/models/order_book.rb', line 114

def ask_amount
  amount = 0

  @asks.each do |entry|
    amount += entry.size == 4 ? entry[3] : entry[2]
  end

  amount.abs
end

#bid_amount ⇒ Object 



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# File 'lib/models/order_book.rb', line 104

def bid_amount
  amount = 0

  @bids.each do |entry|
    amount += entry.size == 4 ? entry[3] : entry[2]
  end

  amount.abs
end

#checksum ⇒ Object 



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# File 'lib/models/order_book.rb', line 128

def checksum
  data = []

  for i in 0...25
    bid = @bids[i]
    ask = @asks[i]

    if !bid.nil?
      price = bid[0]
      data.push(price)
      data.push(bid.size == 4 ? bid[3] : bid[2])
    end

    if !ask.nil?
      price = ask[0]
      data.push(price)
      data.push(ask.size == 4 ? ask[3] : ask[2])
    end
  end

  [Zlib::crc32(data.join(':'))].pack("I").unpack("i")[0]
end

#mid_price ⇒ Object 



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# File 'lib/models/order_book.rb', line 85

def mid_price
  ask = top_ask || 0
  bid = top_bid || 0

  return bid if ask == 0
  return ask if bid == 0

  return (bid + ask) / 2
end

#serialize ⇒ Object 



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# File 'lib/models/order_book.rb', line 124

def serialize
  @asks + @bids
end

#spread ⇒ Object 



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# File 'lib/models/order_book.rb', line 95

def spread
  ask = top_ask || 0
  bid = top_bid || 0

  return 0 if ask == 0 || bid == 0

  return ask - bid
end

#top_ask ⇒ Object 



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# File 'lib/models/order_book.rb', line 75

def top_ask
  if self.raw
    priceI = (@bids[0].size == 4 || @asks[0].size == 4) ? 2 : 1
  else
    priceI = 0
  end
 
  (top_ask_level || [])[priceI] || nil
end

#top_ask_level ⇒ Object 



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# File 'lib/models/order_book.rb', line 71

def top_ask_level
  @asks[0] || nil
end

#top_bid ⇒ Object 



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# File 'lib/models/order_book.rb', line 61

def top_bid
  if self.raw
    priceI = (@bids[0].size == 4 || @asks[0].size == 4) ? 2 : 1
  else
    priceI = 0
  end
  
  (top_bid_level || [])[priceI] || nil
end

#top_bid_level ⇒ Object 



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# File 'lib/models/order_book.rb', line 57

def top_bid_level
  @bids[0] || nil
end

#update_from_snapshot(snap = []) ⇒ Object 



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# File 'lib/models/order_book.rb', line 25

def update_from_snapshot (snap = [])
  @bids = []
  @asks = []

  snap = [snap] if !snap[0].kind_of?(Array)

  snap.each do |entry|
    if entry.size == 4
      if entry[3] < 0
        @bids.push(entry)
      else
        @asks.push(entry)
      end
    else
      if entry[2] < 0
        @asks.push(entry)
      else
        @bids.push(entry)
      end
    end
  end

  if self.raw
    priceI = snap[0].size == 4 ? 2 : 1
  else
    priceI = 0
  end

  @bids.sort! { |a, b| b[priceI] <=> a[priceI]}
  @asks.sort! { |a, b| a[priceI] <=> b[priceI]}
end

#update_with(entry) ⇒ Object 



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# File 'lib/models/order_book.rb', line 151

def update_with (entry)
  if @raw
    priceI = entry.size == 4 ? 2 : 1
    count = -1
  else
    priceI = 0
    count = entry.size == 4 ? entry[2] : entry[1]
  end

  price = entry[priceI]
  oID = entry[0] # only for raw books
  amount = entry.size == 4 ? entry[3] : entry[2]

  if entry.size == 4
    dir = amount < 0 ? 1 : -1
    side = amount < 0 ? @bids : @asks
  else
    dir = amount < 0 ? -1 : 1
    side = amount < 0 ? @asks : @bids
  end

  insertIndex = -1

  # apply insert directly if empty
  if (side.size == 0 && (@raw || count > 0))
    side.push(entry)
    return true
  end

  # match by price level, or order ID for raw books
  side.each_with_index do |pl, i|
    if (!@raw && pl[priceI] == price) || (@raw && pl[0] == oID)
      if (!@raw && count == 0) || (@raw && price == 0)
        side.slice!(i, 1)
        return true
      elsif !@raw || (@raw && price > 0)
        side.slice!(i, 1)
        break
      end
    end
  end

  if (@raw && price == 0) || (!@raw && count == 0)
    return false
  end

  side.each_with_index do |pl, i|
    if (insertIndex == -1 && (
      (dir == -1 && price < pl[priceI]) || # by price
      (dir == -1 && price == pl[priceI] && (raw && entry[0] < pl[0])) || # by order ID
      (dir == 1 && price > pl[priceI]) ||
      (dir == 1 && price == pl[priceI] && (raw && entry[0] < pl[0]))
    ))
      insertIndex = i
      break
    end
  end

  # add
  if (insertIndex == -1)
    side.push(entry)
  else
    side.insert(insertIndex, entry)
  end

  return true
end