Class: Ubea::OrderBook

Inherits:
Object
  • Object
show all
Defined in:
lib/ubea/order_book.rb

Instance Attribute Summary collapse

Instance Method Summary collapse

Constructor Details

#initialize(hash) ⇒ OrderBook

Returns a new instance of OrderBook.

Raises:

  • (ArgumentError) 


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# File 'lib/ubea/order_book.rb', line 6

def initialize(hash)
  @asks = hash.delete(:asks).sort_by(&:price).freeze # buy
  @bids = hash.delete(:bids).sort_by(&:price).freeze # sell

  raise ArgumentError unless hash.empty?
end

Instance Attribute Details

#asks ⇒ Object (readonly)

Returns the value of attribute asks.



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# File 'lib/ubea/order_book.rb', line 3

def asks
  @asks
end

#bids ⇒ Object (readonly)

Returns the value of attribute bids.



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# File 'lib/ubea/order_book.rb', line 3

def bids
  @bids
end

#market ⇒ Object

Returns the value of attribute market.



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# File 'lib/ubea/order_book.rb', line 4

def market
  @market
end

#updated_at ⇒ Object

Returns the value of attribute updated_at.



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# File 'lib/ubea/order_book.rb', line 4

def updated_at
  @updated_at
end

Instance Method Details

#best_offer_price_for_fiat_amount(type, fiat_amount, fiat_currency) ⇒ Object 



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# File 'lib/ubea/order_book.rb', line 55

def best_offer_price_for_fiat_amount(type, fiat_amount, fiat_currency)
  total_fiat_amount = 0
  good_offers = []

  offers = public_send(type).dup # asks or bids
  offers.reverse! if type == :bids

  offers.each do |offer|
    break if total_fiat_amount >= fiat_amount

    offer = offer.dup # NOTE: dup because we're gonna mess with its volume below
    offer.price = offer.price.exchange_to(fiat_currency)
    good_offers << offer
    total_fiat_amount += offer.price * offer.volume
  end

  if total_fiat_amount > fiat_amount
    substract_fiat = total_fiat_amount - fiat_amount
    substract_volume = substract_fiat / good_offers.last.price
    good_offers.last.volume -= substract_volume
  end

  total_weight_price = good_offers.map { |offer| offer.price * offer.volume }.inject(:+) || 0
  total_volume = good_offers.map(&:volume).inject(:+)
  weighted_price = total_weight_price / total_volume

  Offer.new(
    price: good_offers.last.price,
    volume: total_volume,
    weighted_price: weighted_price,
  )
end

#highest_bid ⇒ Object 



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# File 'lib/ubea/order_book.rb', line 17

def highest_bid
  bids.last
end

#lowest_ask ⇒ Object 



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# File 'lib/ubea/order_book.rb', line 21

def lowest_ask
  asks.first
end

#max_bid_price_for_volume(min_price, max_volume) ⇒ Object 



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# File 'lib/ubea/order_book.rb', line 44

def max_bid_price_for_volume(min_price, max_volume)
  filter = if min_price
    ->(price) { price >= min_price }
  else
    ->(_) { true }
  end

  interesting_bids = interesting_offers(bids, filter).reverse # reverse to start from most expensive
  best_offer_price_for_volume(interesting_bids, max_volume)
end

#min_ask_price_for_volume(max_price, max_volume) ⇒ Object 



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# File 'lib/ubea/order_book.rb', line 33

def min_ask_price_for_volume(max_price, max_volume)
  filter = if max_price
    ->(price) { price <= max_price }
  else
    ->(_) { true }
  end

  interesting_asks = interesting_offers(asks, filter)
  best_offer_price_for_volume(interesting_asks, max_volume)
end

#to_param ⇒ Object 



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# File 'lib/ubea/order_book.rb', line 13

def to_param
  market.to_param
end

#weighted_asks_up_to(max_price) ⇒ Object 



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# File 'lib/ubea/order_book.rb', line 25

def weighted_asks_up_to(max_price)
  weighted_offers(asks, ->(price) { price <= max_price })
end

#weighted_bids_down_to(min_price) ⇒ Object 



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# File 'lib/ubea/order_book.rb', line 29

def weighted_bids_down_to(min_price)
  weighted_offers(bids, ->(price) { price >= min_price })
end