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

Overview

Orderbook version number. I try to keep it semantic.

Defined Under Namespace

Modules: BookAnalysis, BookMethods

Constant Summary collapse

PING_INTERVAL =

seconds in between pinging the connection.

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VERSION = 
'4.0.0'

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(product_id: "BTC-USD", start: true, &block) ⇒ Orderbook

Creates a new live copy of the orderbook.

If start 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 68

def initialize(product_id: "BTC-USD", start: true, &block)
  @product_id = product_id
  @bids = []
  @asks = []
  @snapshot_sequence = 0
  @last_sequence = 0
  @queue = Queue.new
  @websocket = Coinbase::Exchange::Websocket.new(keepalive: true, product_id: @product_id)
  @client = Coinbase::Exchange::Client.new('', '', '', product_id: @product_id)
  @on_message = block if block_given?
  start && start!
end

Instance Attribute Details

#asks ⇒ Object (readonly)

Array of asks



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# File 'lib/orderbook.rb', line 24

def asks
  @asks
end

#bids ⇒ Object (readonly)

Array of bids



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# File 'lib/orderbook.rb', line 20

def bids
  @bids
end

#client ⇒ Object (readonly)

Coinbase::Exchange::Client object



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

def client
  @client
end

#em_thread ⇒ Object (readonly)

Thread running the EM loop for the websocket



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

def em_thread
  @em_thread
end

#last_pong ⇒ Object (readonly)

DateTime of last successful pong



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

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 36

def last_sequence
  @last_sequence
end

#processing_thread ⇒ Object (readonly)

Thread running the processing loop



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

def processing_thread
  @processing_thread
end

#product_id ⇒ Object (readonly)

Product ID of the orderbook



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# File 'lib/orderbook.rb', line 28

def product_id
  @product_id
end

#queue ⇒ Object (readonly)

Message queue for incoming messages.



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

def queue
  @queue
end

#snapshot_sequence ⇒ Object (readonly)

Sequence number from the initial level 3 snapshot



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# File 'lib/orderbook.rb', line 32

def snapshot_sequence
  @snapshot_sequence
end

#websocket ⇒ Object (readonly)

Coinbase::Exchange::Websocket object



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

def websocket
  @websocket
end

Instance Method Details

#on_message(&block) ⇒ Object 



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# File 'lib/orderbook.rb', line 111

def on_message(&block)
  @on_message = block
end

#reset! ⇒ Object

Start and stop the Orderbook. Used to reset Orderbook state with a fresh snapshot.



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# File 'lib/orderbook.rb', line 106

def reset!
  stop!
  start!
end

#start! ⇒ 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 84

def start!
  start_em_thread

  # Wait to make sure the snapshot sequence ID is higher than the sequence of
  # the first message in the queue.
  #
  sleep 0.3
  apply_orderbook_snapshot
  start_processing_thread
end

#stop! ⇒ Object

Stops the processing thread, EM thread, and the websocket.



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# File 'lib/orderbook.rb', line 97

def stop!
  @processing_thread.kill
  @em_thread.kill
  @websocket.stop!
end