Class: Gekko::Tape

Inherits:
Array
  • Object
show all
Defined in:
lib/gekko/tape.rb

Overview

Records the trading engine messages sequentially

Instance Attribute Summary collapse

Instance Method Summary collapse

Constructor Details

#initialize(logger = nil) ⇒ Tape

Returns a new instance of Tape.



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# File 'lib/gekko/tape.rb', line 10

def initialize(logger = nil)
  @logger           = logger
  @cursor           = 0
  @cursor_24h       = 0
  @volume_24h       = 0
  @quote_volume_24h = 0
end

Instance Attribute Details

#last_trade_price ⇒ Object

Returns the value of attribute last_trade_price.



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# File 'lib/gekko/tape.rb', line 8

def last_trade_price
  @last_trade_price
end

#logger ⇒ Object

Returns the value of attribute logger.



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# File 'lib/gekko/tape.rb', line 8

def logger
  @logger
end

Instance Method Details

#<<(message) ⇒ Object

Prints a message on the tape

Parameters:

  • message (Hash) —

    The message to record



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# File 'lib/gekko/tape.rb', line 23

def <<(message)
  message[:sequence] = length
  logger && logger.info(message)

  super(message)

  if message[:type] == :execution
    update_ticker(message)
  end
end

#fall_out_of_24h_window(execution) ⇒ Object

Updates the low, high, and volumes when an execution falls out of the rolling previous 24h window



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# File 'lib/gekko/tape.rb', line 161

def fall_out_of_24h_window(execution)
  @volume_24h       -= execution[:base_size]
  @quote_volume_24h -= execution[:quote_size]

  if [@high_24h, @low_24h].include?(execution[:price])
    recalc_high_low_24h!
  end
end

#high_24h ⇒ Fixnum

Returns the highest trade price that occurred during the last 24h

Returns:

  • (Fixnum) —

    The last 24h high



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# File 'lib/gekko/tape.rb', line 62

def high_24h
  move_24h_cursor!
  @high_24h
end

#low_24h ⇒ Fixnum

Returns the lowest trade price that occurred during the last 24h

Returns:

  • (Fixnum) —

    The last 24h low



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# File 'lib/gekko/tape.rb', line 72

def low_24h
  move_24h_cursor!
  @low_24h
end

#move_24h_cursor! ⇒ Object

Moves the cursor pointing to the first trade that happened during the last 24h. Every execution getting out of the 24h rolling window is passed to Tape#fall_out_of_24h_window



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# File 'lib/gekko/tape.rb', line 147

def move_24h_cursor!
  while(self[@cursor_24h] && ((self[@cursor_24h][:type] != :execution) || (self[@cursor_24h][:time] < time_24h_ago)))
    if self[@cursor_24h][:type] == :execution
      fall_out_of_24h_window(self[@cursor_24h])
    end

    @cursor_24h += 1
  end
end

#next ⇒ Hash

Returns the next unread element from the tape

Returns:

  • (Hash) —

    The next unread element



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# File 'lib/gekko/tape.rb', line 39

def next
  if @cursor < length
    n = self[@cursor]
    @cursor += 1
    n
  end
end

#quote_volume_24h ⇒ Fixnum

Returns the traded amount of quote currency in the last 24h

Returns:

  • (Fixnum) —

    The last 24h quote currency volume



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# File 'lib/gekko/tape.rb', line 103

def quote_volume_24h
  move_24h_cursor!
  @quote_volume_24h
end

#recalc_high_low_24h! ⇒ Object

Recalculates the previous 24h high and low



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# File 'lib/gekko/tape.rb', line 80

def recalc_high_low_24h!
  @high_24h = nil
  @low_24h  = nil

  # Work backwards from current position until the cursor points to an event
  # that's older than 24h
  tmp_cursor  = (length - 1)
  evt         = self[tmp_cursor]

  while (evt && (evt[:time] >= time_24h_ago)) do
    @high_24h = ((@high_24h.nil? || (evt[:price] > @high_24h)) && evt[:price]) || @high_24h
    @low_24h  = ((@low_24h.nil?  || (evt[:price] < @low_24h))  && evt[:price]) || @low_24h

    tmp_cursor -= 1
    evt = (tmp_cursor >= 0) && self[tmp_cursor]
  end
end

#time_24h_ago ⇒ Float

Returns the float timestamp of 24h ago

Returns:

  • (Float) —

    Yesterday’s cut-off timestamp



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# File 'lib/gekko/tape.rb', line 138

def time_24h_ago
  Time.now.to_f - 24*3600
end

#update_ticker(execution) ⇒ Object

Updates the ticker after an execution has been recorded



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# File 'lib/gekko/tape.rb', line 111

def update_ticker(execution)
  price = execution[:price]

  # Keep last price up to date
  @last_trade_price = price

  # Keep 24h volume up to date
  @volume_24h       += execution[:base_size]
  @quote_volume_24h += execution[:quote_size]

  # Record new high/lows
  if @high_24h.nil? || (@high_24h < price)
    @high_24h = price
  end

  if @low_24h.nil? || (price < @low_24h)
    @low_24h = price
  end

  move_24h_cursor!
end

#volume_24h ⇒ Fixnum

Returns the traded volume for the last 24h

Returns:

  • (Fixnum) —

    The last 24h volume



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# File 'lib/gekko/tape.rb', line 52

def volume_24h
  move_24h_cursor!
  @volume_24h
end