Class: Heisencoin::Arbitrage

Inherits:
Object
  • Object
show all
Defined in:
lib/heisencoin/arbitrage.rb

Instance Attribute Summary collapse

Instance Method Summary collapse

Constructor Details

#initialize ⇒ Arbitrage

Returns a new instance of Arbitrage.



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# File 'lib/heisencoin/arbitrage.rb', line 5

def initialize
  @exchanges = []
  @asks = Market.new(:ask)
  @bids = Market.new(:bid)
end

Instance Attribute Details

#asks ⇒ Object

Returns the value of attribute asks.



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# File 'lib/heisencoin/arbitrage.rb', line 3

def asks
  @asks
end

#bids ⇒ Object

Returns the value of attribute bids.



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# File 'lib/heisencoin/arbitrage.rb', line 3

def bids
  @bids
end

#exchanges ⇒ Object

Returns the value of attribute exchanges.



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# File 'lib/heisencoin/arbitrage.rb', line 3

def exchanges
  @exchanges
end

Instance Method Details

#add_depth(exchange, depth) ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 19

def add_depth(exchange, depth)
  @asks.drop_offers(exchange)
  @asks.import(exchange, depth["asks"])
  @bids.drop_offers(exchange)
  @bids.import(exchange, depth["bids"])
end

#add_exchanges(exchanges) ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 11

def add_exchanges(exchanges)
  @exchanges += exchanges
end

#best_price(market1, market2) ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 26

def best_price(market1, market2)
  level = nil
  market1.offers.each do |offer|
    good = market2.offers.any?{|offer_other| yield offer.price, offer_other.price}
    if good
      level = offer.price
      break
    end
  end
  level
end

#consume_ask(bids, ask, price_limit) ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 68

def consume_ask(bids, ask, price_limit)
  trades = []
  price = price_limit
  quantity = ask.quantity
  near_zero = 0.0001 #floats
  bids.each do |bid|
    if (bid.price*(1+bid.exchange.fee)) >= price
      if bid.quantity > near_zero
        trade_quantity = [bid.quantity, quantity].min
        trades << Trade.new({'from_offer' => ask.to_simple,
                             'to_offer' => bid.to_simple,
                             'quantity' => trade_quantity})
        bid.quantity -= trade_quantity
        quantity -= trade_quantity
      end
    end
    break if quantity < near_zero
  end
  trades
end

#exchange(name) ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 15

def exchange(name)
  exchanges.select{|e| e.name == name}.first
end

#plan ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 89

def plan
  #buy sell plan
  plan = Plan.new
  plan << trade_all(profitable_asks, profitable_bids)
end

#profitable_asks(highwater = nil) ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 38

def profitable_asks(highwater=nil)
  highwater ||= best_price(@bids, @asks){|offer, other| offer > other}
  if highwater
    @asks.offers_better_than(highwater)
  else
    []
  end
end

#profitable_bids(lowwater = nil) ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 47

def profitable_bids(lowwater=nil)
  lowwater ||= best_price(@asks, @bids){|offer, other| offer < other}
  if lowwater
    @bids.offers_better_than(lowwater)
  else
    []
  end
end

#spread ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 95

def spread
  @asks.offers.first.price - @bids.offers.first.price
end

#trade_all(asks, bids) ⇒ Object 



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# File 'lib/heisencoin/arbitrage.rb', line 56

def trade_all(asks, bids)
  working_bids = bids.dup
  trades = []
  asks.each do |ask|
    step_trades = consume_ask(working_bids, ask, ask.price*(1-ask.exchange.fee))
    trades += step_trades
    qty_traded = step_trades.reduce(0){|memo, trade| memo += trade.quantity} #sum
    break if qty_traded < ask.quantity #out of coins
  end
  trades
end