Module: RTCBX::Orderbook::BookAnalysis

Included in:
RTCBX::Orderbook
Defined in:
lib/rtcbx/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/rtcbx/orderbook/book_analysis.rb', line 11

def ask_count
  @asks.count
end

#ask_volume ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 23

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

#average ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 41

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

#average_ask ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 36

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

#average_bid ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 31

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

#best ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 53

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

#best_ask ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 49

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

#best_bid ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 45

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

#bid_count ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 7

def bid_count
  @bids.count
end

#bid_volume ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 19

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

#count ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 15

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

#spread ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 57

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

#summarize ⇒ Object 



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 61

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/rtcbx/orderbook/book_analysis.rb', line 27

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