Module: Orderbook::BookAnalysis

Included in:
Orderbook
Defined in:
lib/orderbook/book_analysis.rb

Overview

Simple collection of commands to get info about the orderbook. Add our own methods for calculating whatever it is you feel like calculating.

Instance Method Summary collapse

Instance Method Details

#ask_count ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 10

def ask_count
  @asks.count
end

#ask_volume ⇒ Object 



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

def ask_volume
  @asks.map { |x| x.fetch(:size) }.inject(:+)
end

#average ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 40

def average
  { bid: average_bid, ask: average_ask }
end

#average_ask ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 35

def average_ask
  asks = @asks.map { |x| x.fetch(:price) }
  asks.inject(:+) / asks.count
end

#average_bid ⇒ Object 



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

def average_bid
  bids = @bids.map { |x| x.fetch(:price) }
  bids.inject(:+) / bids.count
end

#best ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 52

def best
  { bid: best_bid, ask: best_ask }
end

#best_ask ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 48

def best_ask
  @asks.sort_by { |x| x.fetch(:price) }.first
end

#best_bid ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 44

def best_bid
  @bids.sort_by { |x| x.fetch(:price) }.last
end

#bid_count ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 6

def bid_count
  @bids.count
end

#bid_volume ⇒ Object 



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

def bid_volume
  @bids.map { |x| x.fetch(:size) }.inject(:+)
end

#count ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 14

def count
  { bid: bid_count, ask: ask_count }
end

#spread ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 56

def spread
  best_ask.fetch(:price) - best_bid.fetch(:price)
end

#summarize ⇒ Object 



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# File 'lib/orderbook/book_analysis.rb', line 60

def summarize
  print "# of asks: #{ask_count}\n# of bids: #{bid_count}\nAsk volume: #{ask_volume.to_s('F')}\nBid volume: #{bid_volume.to_s('F')}\n"
  $stdout.flush
end

#volume ⇒ Object 



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

def volume
  { bid: bid_volume, ask: ask_volume }
end