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

#aggregate(top_n = nil) ⇒ Object

Aggregates the top_n current asks and bids. Pass ‘50` and you’ll get the same thing tht GDAX calls a “Level 2 Orderbook”



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 112

def aggregate(top_n = nil)
  { bids: aggregate_bids(top_n), asks: aggregate_asks(top_n) }
end

#aggregate_asks(top_n = nil) ⇒ Object

Aggregates the top_n current asks. Pass ‘50` and you’ll get the same thing tht GDAX calls a “Level 2 Orderbook”



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 94

def aggregate_asks(top_n = nil)
  aggregate = {}
  @asks.each do |ask|
    aggregate[ask[:price]] ||= aggregate_base
    aggregate[ask[:price]][:size] += ask[:size]
    aggregate[ask[:price]][:num_orders] += 1
  end
  top_n ||= aggregate.keys.count
  aggregate.keys.sort.first(top_n).map do |price|
    { price: price,
      size: aggregate[price][:size],
      num_orders: aggregate[price][:num_orders]
    }
  end
end

#aggregate_bids(top_n = nil) ⇒ Object

Aggregates the top_n current bids. Pass ‘50` and you’ll get the same thing tht GDAX calls a “Level 2 Orderbook”



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 76

def aggregate_bids(top_n = nil)
  aggregate = {}
  @bids.each do |bid|
    aggregate[bid[:price]] ||= aggregate_base
    aggregate[bid[:price]][:size] += bid[:size]
    aggregate[bid[:price]][:num_orders] += 1
  end
  top_n ||= aggregate.keys.count
  aggregate.keys.sort.reverse.first(top_n).map do |price|
    { price: price,
      size: aggregate[price][:size],
      num_orders: aggregate[price][:num_orders]
    }
  end
end

#ask_count ⇒ Object

Number of all current asks



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 13

def ask_count
  @asks.count
end

#ask_volume ⇒ Object

The total volume of product across all current asks



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

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

#average ⇒ Object

The average price across all orders



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

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

#average_ask ⇒ Object

The average ask price across all asks



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

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

#average_bid ⇒ Object

The average bid price across all bids



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

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

#best ⇒ Object

The prices of the best current bid and ask



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 65

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

#best_ask ⇒ Object

The price of the best current ask



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

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

#best_bid ⇒ Object

The price of the best current bid



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 55

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

#bid_count ⇒ Object

Number of all current bids



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 8

def bid_count
  @bids.count
end

#bid_volume ⇒ Object

The total volume of product across all current bids



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

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

#count ⇒ Object

Number of all current orders



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

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

#spread ⇒ Object

The price difference between the best current bid and ask



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 70

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

#summarize ⇒ Object

print a quick summary of the Orderbook



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 117

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

The total volume of all product across current asks and bids



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 33

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