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 Coinbase Pro 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 Coinbase Pro calls a “Level 2 Orderbook”



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 95

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 Coinbase Pro calls a “Level 2 Orderbook”



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 78

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 15

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 30

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 52

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 46

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 40

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 67

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 62

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

#best_bid ⇒ Object

The price of the best current bid



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

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

#bid_count ⇒ Object

Number of all current bids



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# File 'lib/rtcbx/orderbook/book_analysis.rb', line 10

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 25

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 20

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 72

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 35

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