Class: Gekko::Order

Inherits:
Object
  • Object
show all
Includes:
Serialization
Defined in:
lib/gekko/order.rb

Overview

Represents a trade order. Trade orders can be either buy (bid) or sell (ask) orders. All orders are identified by an UUID, and must specify a size, and an optional expiration timestamp.

Direct Known Subclasses

LimitOrder, MarketOrder

Instance Attribute Summary collapse

Class Method Summary collapse

Instance Method Summary collapse

Methods included from Serialization

included, #serialize

Constructor Details

#initialize(side, id, uid, size, expiration = nil) ⇒ Order

Returns a new instance of Order.



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# File 'lib/gekko/order.rb', line 14

def initialize(side, id, uid, size, expiration = nil)
  @id         = id
  @uid        = uid
  @side       = side && side.to_sym
  @size       = size
  @remaining  = @size
  @expiration = expiration
  @created_at = Time.now.to_f

  raise 'Orders must have an UUID'                    unless @id && @id.is_a?(UUID)
  raise 'Orders must have a user ID'                  unless @uid && @uid.is_a?(UUID)
  raise 'Side must be either :bid or :ask'            unless [:bid, :ask].include?(@side)
  raise 'Size must be a positive integer'             if (@size && (!@size.is_a?(Fixnum) || @size <= 0))
  raise 'Expiration must be omitted or be an integer' unless (@expiration.nil? || (@expiration.is_a?(Fixnum) && @expiration > 0))
  raise 'The order creation timestamp can''t be nil'  if !@created_at
end

Instance Attribute Details

#created_at ⇒ Object

Returns the value of attribute created_at.



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# File 'lib/gekko/order.rb', line 12

def created_at
  @created_at
end

#expiration ⇒ Object

Returns the value of attribute expiration.



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# File 'lib/gekko/order.rb', line 12

def expiration
  @expiration
end

#id ⇒ Object

Returns the value of attribute id.



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# File 'lib/gekko/order.rb', line 12

def id
  @id
end

#price ⇒ Object

Returns the value of attribute price.



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# File 'lib/gekko/order.rb', line 12

def price
  @price
end

#remaining ⇒ Object

Returns the value of attribute remaining.



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# File 'lib/gekko/order.rb', line 12

def remaining
  @remaining
end

#side ⇒ Object

Returns the value of attribute side.



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# File 'lib/gekko/order.rb', line 12

def side
  @side
end

#size ⇒ Object

Returns the value of attribute size.



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# File 'lib/gekko/order.rb', line 12

def size
  @size
end

#uid ⇒ Object

Returns the value of attribute uid.



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# File 'lib/gekko/order.rb', line 12

def uid
  @uid
end

Class Method Details

.from_hash(hsh) ⇒ Gekko::Order

Initializes a Gekko::Order subclass from a Hash instance

Parameters:

  • hsh (Hash) —

    The order data

Returns:



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# File 'lib/gekko/order.rb', line 137

def self.from_hash(hsh)
  (hsh[:price] ? LimitOrder : MarketOrder).from_hash(hsh)
end

Instance Method Details

#ask? ⇒ Boolean

Returns true if this order is a sell order

Returns:

  • (Boolean) 


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# File 'lib/gekko/order.rb', line 86

def ask?
  !bid?
end

#bid? ⇒ Boolean

Returns true if this order is a buy order

Returns:

  • (Boolean) 


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# File 'lib/gekko/order.rb', line 79

def bid?
  side == :bid
end

#crosses?(limit_order) ⇒ Boolean

Returns true if this order can execute against limit_order

Parameters:

  • limit_order (LimitOrder) —

    The limit order against which we want to know if an execution is possible

Returns:

  • (Boolean) 


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# File 'lib/gekko/order.rb', line 37

def crosses?(limit_order)
  if limit_order
    raise 'Can not test againt a market order' unless limit_order.is_a?(LimitOrder)

    if bid? ^ limit_order.bid?
      is_a?(MarketOrder) || (bid? && (price >= limit_order.price)) || (ask? && (price <= limit_order.price))
    end
  end
end

#expired? ⇒ Boolean

Returns true if this order is expired

Returns:

  • (Boolean) 


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# File 'lib/gekko/order.rb', line 101

def expired?
  expiration && (expiration <= Time.now.to_i)
end

#fill_or_kill? ⇒ Boolean

Returns true if this order isn’t supposed to stick around in the order book

Returns:

  • (Boolean) 


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# File 'lib/gekko/order.rb', line 94

def fill_or_kill?
  is_a?(Gekko::MarketOrder)
end

#message(type, extra_attrs = {}) ⇒ Hash

Creates a message in order to print it ont the tape

Parameters:

  • type (Symbol) —

    The type of message we’re printing

  • extra_attrs (Hash) (defaults to: {}) —

    The extra attributes we’re including in the message

Returns:

  • (Hash) —

    The message we’ll print on the tape



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# File 'lib/gekko/order.rb', line 56

def message(type, extra_attrs = {})
  hsh = {
    type:       type,
    order_id:   id.to_s,
    side:       side,
    size:       size,
    remaining:  remaining,
    price:      price,
    expiration: expiration
  }.merge(extra_attrs)

  if is_a?(Gekko::MarketOrder)
    hsh.delete(:price)
    hsh[:quote_margin] = quote_margin
    hsh[:remaining_quote_margin] = remaining_quote_margin
  end

  hsh
end

#to_hash ⇒ Hash

Returns a Hash representation of this Order instance

Returns:

  • (Hash) —

    The serializable representation



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# File 'lib/gekko/order.rb', line 110

def to_hash
  hsh = {
    id:           id.to_s,
    uid:          uid.to_s,
    side:         side,
    size:         size,
    price:        price,
    remaining:    remaining,
    expiration:   expiration,
    created_at:   created_at
  }

  if is_a?(Gekko::MarketOrder)
    hsh.delete(:price)
    hsh[:quote_margin] = quote_margin
    hsh[:remaining_quote_margin] = remaining_quote_margin
  end

  hsh
end