Class: Orderbook

Inherits:
Object
  • Object
show all
Includes:
BookAnalysis, BookMethods
Defined in:
lib/orderbook.rb,
lib/orderbook/version.rb,
lib/orderbook/book_methods.rb,
lib/orderbook/book_analysis.rb,
lib/orderbook/real_time_book.rb

Overview

Orderbook version number. I try to keep it semantic.

Direct Known Subclasses

RealTimeBook

Defined Under Namespace

Modules: BookAnalysis, BookMethods Classes: RealTimeBook

Constant Summary collapse

PING_INTERVAL =

seconds in between pinging the connection.

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VERSION = 
'2.0.2'

Constants included from BookMethods

BookMethods::BIGDECIMAL_KEYS

Instance Attribute Summary collapse

Instance Method Summary collapse

Methods included from BookAnalysis

#ask_count, #ask_volume, #average, #average_ask, #average_bid, #best, #best_ask, #best_bid, #bid_count, #bid_volume, #count, #spread, #summarize, #volume

Methods included from BookMethods

#apply

Constructor Details

#initialize(live = true, &block) ⇒ Orderbook

Creates a new live copy of the orderbook.

If live is set to false, the orderbook will not start automatically.

If a block is given it is passed each message as it is received.



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# File 'lib/orderbook.rb', line 58

def initialize(live = true, &block)
  @bids = [{ price: nil, size: nil, order_id: nil }]
  @asks = [{ price: nil, size: nil, order_id: nil }]
  @first_sequence = 0
  @last_sequence = 0
  @websocket = Coinbase::Exchange::Websocket.new(keepalive: true)
  @client = Coinbase::Exchange::AsyncClient.new
  @callback = block if block_given?
  live && live!
end

Instance Attribute Details

#asks ⇒ Object (readonly)

Array of asks



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# File 'lib/orderbook.rb', line 22

def asks
  @asks
end

#bids ⇒ Object (readonly)

Array of bids



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# File 'lib/orderbook.rb', line 18

def bids
  @bids
end

#callback ⇒ Object

Callback to pass each received message to



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# File 'lib/orderbook.rb', line 50

def callback
  @callback
end

#client ⇒ Object (readonly)

Coinbase::Exchange::AsyncClient object



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# File 'lib/orderbook.rb', line 38

def client
  @client
end

#first_sequence ⇒ Object (readonly)

Sequence number from the initial level 3 snapshot



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# File 'lib/orderbook.rb', line 26

def first_sequence
  @first_sequence
end

#last_pong ⇒ Object (readonly)

Last time a pong was received after a ping



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# File 'lib/orderbook.rb', line 46

def last_pong
  @last_pong
end

#last_sequence ⇒ Object (readonly)

Sequence number of most recently received message



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# File 'lib/orderbook.rb', line 30

def last_sequence
  @last_sequence
end

#thread ⇒ Object (readonly)

Thread running the EM loop



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# File 'lib/orderbook.rb', line 42

def thread
  @thread
end

#websocket ⇒ Object (readonly)

Coinbase::Exchange::Websocket object



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# File 'lib/orderbook.rb', line 34

def websocket
  @websocket
end

Instance Method Details

#live! ⇒ Object

Used to start the thread that listens to updates on the websocket and applies them to the current orderbook to create a live book.



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# File 'lib/orderbook.rb', line 72

def live!
  setup_websocket
  start_thread
end