class Orderbook

This class represents the current state of the CoinBase Exchange orderbook.

Orderbook version number. I try to keep it semantic.

Constants

PING_INTERVAL: seconds in between pinging the connection.
VERSION

Attributes

asks[R]

Array of asks

bids[R]

Array of bids

client[R]

Coinbase::Exchange::Client object

em_thread[R]

Thread running the EM loop for the websocket

last_pong[R]

DateTime of last successful pong

last_sequence[R]

Sequence number of most recently received message

processing_thread[R]

Thread running the processing loop

product_id[R]

Product ID of the orderbook

queue[R]

Message queue for incoming messages.

snapshot_sequence[R]

Sequence number from the initial level 3 snapshot

websocket[R]

Coinbase::Exchange::Websocket object

Public Class Methods

new(product_id: "BTC-USD", start: true, &block) click to toggle source

Creates a new live copy of the orderbook.

If start is set to false, the orderbook will not start automatically.

If a block is given it is passed each message as it is received.

# File lib/orderbook.rb, line 67
def initialize(product_id: "BTC-USD", start: true, &block)
  @product_id = product_id
  @bids = []
  @asks = []
  @snapshot_sequence = 0
  @last_sequence = 0
  @queue = Queue.new
  @websocket = Coinbase::Exchange::Websocket.new(keepalive: true, product_id: @product_id)
  @client = Coinbase::Exchange::Client.new('', '', '', product_id: @product_id)
  @on_message = block if block_given?
  start && start!
end

Public Instance Methods

on_message(&block) click to toggle source

# File lib/orderbook.rb, line 110
def on_message(&block)
  @on_message = block
end

reset!() click to toggle source

Start and stop the Orderbook. Used to reset Orderbook state with a fresh snapshot.

# File lib/orderbook.rb, line 105
def reset!
  stop!
  start!
end

start!() click to toggle source

Used to start the thread that listens to updates on the websocket and applies them to the current orderbook to create a live book.

# File lib/orderbook.rb, line 83
def start!
  start_em_thread

  # Wait to make sure the snapshot sequence ID is higher than the sequence of
  # the first message in the queue.
  #
  sleep 0.3
  apply_orderbook_snapshot
  start_processing_thread
end

stop!() click to toggle source

Stops the processing thread, EM thread, and the websocket.

# File lib/orderbook.rb, line 96
def stop!
  @processing_thread.kill
  @em_thread.kill
  @websocket.stop!
end

Private Instance Methods

apply_orderbook_snapshot() click to toggle source

Fetch orderbook snapshot from API and convert order arrays to hashes.

# File lib/orderbook.rb, line 127
def apply_orderbook_snapshot
  @client.orderbook(level: 3) do |resp|
    @bids = resp['bids'].map { |b| order_to_hash(*b) }
    @asks = resp['asks'].map { |a| order_to_hash(*a) }
    @snapshot_sequence = resp['sequence']
    @last_sequence = resp['sequence']
  end
end

order_to_hash(price, size, order_id) click to toggle source

Converts an order array from the API into a hash.

# File lib/orderbook.rb, line 118
def order_to_hash(price, size, order_id)
  { price:    BigDecimal.new(price),
    size:     BigDecimal.new(size),
    order_id: order_id
  }
end

setup_error_handler() click to toggle source

# File lib/orderbook.rb, line 150
def setup_error_handler
  EM.error_handler do |e|
    print "Websocket Error: #{e.message} - #{e.backtrace.join("\n")}"
  end
end

setup_ping_timer() click to toggle source

# File lib/orderbook.rb, line 142
def setup_ping_timer
  EM.add_periodic_timer(PING_INTERVAL) do
    @websocket.ping do
      @last_pong = Time.now
    end
  end
end

setup_websocket_callback() click to toggle source

# File lib/orderbook.rb, line 136
def setup_websocket_callback
  @websocket.message do |message|
    @queue.push(message)
  end
end

start_em_thread() click to toggle source

# File lib/orderbook.rb, line 156
def start_em_thread
  @em_thread = Thread.new do
    setup_websocket_callback
    EM.run do
      @websocket.start!
      setup_ping_timer
      setup_error_handler
    end
  end
end

start_processing_thread() click to toggle source

# File lib/orderbook.rb, line 167
def start_processing_thread
  @processing_thread = Thread.new do
    loop do
      message = @queue.shift
      apply(message)
      @on_message.call(message) unless @on_message.nil?
    end
  end
end