Class: Gekko::Tape

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

Overview

Records the trading engine messages sequentially

Constant Summary collapse

SECONDS_IN_24H =

The number of seconds in 24h

60 * 60 * 24

Instance Attribute Summary collapse

Class Method Summary collapse

Instance Method Summary collapse

Methods included from Serialization

included, #serialize

Constructor Details

#initialize(opts = {}) ⇒ Tape

Returns a new instance of Tape.



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# File 'lib/gekko/tape.rb', line 16

def initialize(opts = {})
  @logger = opts[:logger]

  @cursor           = 0
  @cursor_24h       = 0
  @volume_24h       = 0
  @quote_volume_24h = 0
end

Instance Attribute Details

#cursor ⇒ Object (readonly)

Returns the value of attribute cursor.



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

def cursor
  @cursor
end

#high_24h ⇒ Object (readonly)

Returns the value of attribute high_24h.



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

def high_24h
  @high_24h
end

#last_trade_price ⇒ Object

Returns the value of attribute last_trade_price.



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# File 'lib/gekko/tape.rb', line 13

def last_trade_price
  @last_trade_price
end

#logger ⇒ Object

Returns the value of attribute logger.



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# File 'lib/gekko/tape.rb', line 13

def logger
  @logger
end

#low_24h ⇒ Object (readonly)

Returns the value of attribute low_24h.



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

def low_24h
  @low_24h
end

#open_24h ⇒ Object (readonly)

Returns the value of attribute open_24h.



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

def open_24h
  @open_24h
end

#var_24h ⇒ Object (readonly)

Returns the value of attribute var_24h.



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

def var_24h
  @var_24h
end

#volume_24h ⇒ Object (readonly)

Returns the value of attribute volume_24h.



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

def volume_24h
  @volume_24h
end

Class Method Details

.from_hash(hsh) ⇒ Object

Loads a Tape object from a hash

Parameters:

  • hsh (Hash) —

    The Tape data



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# File 'lib/gekko/tape.rb', line 179

def self.from_hash(hsh)
  tape = Tape.new

  tape.instance_variable_set(:@cursor, hsh[:cursor])

  hsh[:events].each do |evt|
    e = symbolize_keys(evt)
    e[:type] = e[:type].to_sym
    tape << e
  end

  tape
end

Instance Method Details

#<<(message) ⇒ Object

Prints a message on the tape

Parameters:

  • message (Hash) —

    The message to record



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# File 'lib/gekko/tape.rb', line 30

def <<(message)
  message.merge!({
    sequence: length,
    time:     Time.now.to_f
  })

  logger && logger.info(message)

  super(message)

  if message[:type] == :execution
    update_ticker(message)
  end
end

#fall_out_of_24h_window(execution) ⇒ Object

Updates the low, high, and volumes when an execution falls out of the rolling previous 24h window



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# File 'lib/gekko/tape.rb', line 143

def fall_out_of_24h_window(execution)
  @volume_24h       -= execution[:base_size]
  @quote_volume_24h -= execution[:quote_size]
  @open_24h         = execution[:price]
  @var_24h          = @last_trade_price && ((@last_trade_price - @open_24h) / @open_24h.to_f)

  if [@high_24h, @low_24h].include?(execution[:price])
    recalc_high_low_24h!
  end
end

#move_24h_cursor! ⇒ Object

Moves the cursor pointing to the first trade that happened during the last 24h. Every execution getting out of the 24h rolling window is passed to Tape#fall_out_of_24h_window



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# File 'lib/gekko/tape.rb', line 129

def move_24h_cursor!
  while(self[@cursor_24h] && (self[@cursor_24h][:time] < time_24h_ago))
    if self[@cursor_24h][:type] == :execution
      fall_out_of_24h_window(self[@cursor_24h])
    end

    @cursor_24h += 1
  end
end

#next ⇒ Hash

Returns the next unread element from the tape

Returns:

  • (Hash) —

    The next unread element



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# File 'lib/gekko/tape.rb', line 50

def next
  if @cursor < length
    n = self[@cursor]
    @cursor += 1
    n
  end
end

#quote_volume_24h ⇒ Fixnum

Returns the traded amount of quote currency in the last 24h

Returns:

  • (Fixnum) —

    The last 24h quote currency volume



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

def quote_volume_24h
  @quote_volume_24h
end

#recalc_high_low_24h! ⇒ Object

Recalculates the previous 24h high and low



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# File 'lib/gekko/tape.rb', line 61

def recalc_high_low_24h!
  @high_24h = nil
  @low_24h  = nil

  # Work backwards from current position until the cursor points to an event
  # that's older than 24h
  tmp_cursor  = (length - 1)
  evt         = self[tmp_cursor]

  while (evt && (evt[:time] >= time_24h_ago)) do
    if evt[:type] == :execution
      @high_24h = ((@high_24h.nil? || (evt[:price] > @high_24h)) && evt[:price]) || @high_24h
      @low_24h  = ((@low_24h.nil?  || (evt[:price] < @low_24h))  && evt[:price]) || @low_24h
    end

    tmp_cursor -= 1
    evt = (tmp_cursor >= 0) && self[tmp_cursor]
  end
end

#time_24h_ago ⇒ Float

Returns the float timestamp of 24h ago

Returns:

  • (Float) —

    Yesterday’s cut-off timestamp



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# File 'lib/gekko/tape.rb', line 120

def time_24h_ago
  Time.now.to_f - SECONDS_IN_24H
end

#to_hash ⇒ Hash

Returns this Tape object as a Hash for the purpose of serialization

Returns:

  • (Hash) —

    The JSON-friendly Hash representation



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# File 'lib/gekko/tape.rb', line 159

def to_hash
  {
    cursor:             @cursor,
    cursor_24h:         @cursor_24h,
    volume_24h:         @volume_24h,
    high_24h:           @high_24h,
    low_24h:            @low_24h,
    open_24h:           @open_24h,
    var_24h:            @var_24h,
    quote_volume_24h:   @quote_volume_24h,
    last_trade_price:   @last_trade_price,
    events:             self
  }
end

#update_ticker(execution) ⇒ Object

Updates the ticker after an execution has been recorded



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# File 'lib/gekko/tape.rb', line 93

def update_ticker(execution)
  price = execution[:price]

  # Keep last price up to date
  @last_trade_price = price

  # Keep 24h volume up to date
  @volume_24h       += execution[:base_size]
  @quote_volume_24h += execution[:quote_size]

  # Record new high/lows
  if @high_24h.nil? || (@high_24h < price)
    @high_24h = price
  end

  if @low_24h.nil? || (price < @low_24h)
    @low_24h = price
  end

  move_24h_cursor!
end