class BitexBot::OrderBookSimulator
Simulates hitting an order-book to find a price at which an order can be assumed to get executed completely. It essentially drops the start of the order book, to account for price volatility (assuming those orders may be taken by someone else), and then digs until the given USD amount or BTC quantity are reached, finally returning the last price seen, which is the 'safest' price at which we can expect this order to get executed quickly.
Public Class Methods
# File lib/bitex_bot/models/order_book_simulator.rb, line 67 def self.best_price(currency, target, price) price.tap { Robot.log(:debug, "Best price to get #{currency} #{target} is #{Robot.taker.quote.upcase} #{price}") } end
# File lib/bitex_bot/models/order_book_simulator.rb, line 63 def self.best_price?(volume, target, seen) volume >= (target - seen) end
private class methods
# File lib/bitex_bot/models/order_book_simulator.rb, line 55 def self.estimate_quantity_to_skip(volatility, transactions) threshold = transactions.first.timestamp - volatility transactions .select { |t| t.timestamp > threshold } .map(&:amount) .sum end
@param volatility [Integer] How many seconds of recent volume we need to skip from the start of the order book to be more
certain that our order will get executed.
@param transactions [Hash] a list of hashes representing all transactions in the other exchange:
Each hash contains 'date', 'tid', 'price' and 'amount', where 'amount' is the BTC transacted.
@param order_book [[price, quantity]] a list of lists representing the order book to dig in. @param amount_target [BigDecimal] stop when this amount has been reached, leave as nil if looking for a quantity_target. @param quantity_target [BigDecimal] stop when this quantity has been reached, leave as nil if looking for an
amount_target.
@return [Decimal] Returns the price that we're more likely to get when executing an order for the given amount or
quantity.
rubocop:disable Metrics/AbcSize, Metrics/CyclomaticComplexity, Metrics/PerceivedComplexity
# File lib/bitex_bot/models/order_book_simulator.rb, line 20 def self.run(volatility, taker_transactions, taker_orderbook, amount_target, quantity_target, fx_rate = 1) to_skip = estimate_quantity_to_skip(volatility, taker_transactions) Robot.log(:debug, "Skipping #{to_skip} #{Robot.taker.base.upcase}") seen = 0 taker_orderbook.each do |order_summary| price = order_summary.price quantity = order_summary.quantity # An order may be partially or completely skipped due to volatility. if to_skip.positive? dropped = [quantity, to_skip].min to_skip -= dropped quantity -= dropped Robot.log(:debug, "Skipped #{dropped} #{Robot.taker.base.upcase} @ #{Robot.taker.quote.upcase} #{price}") next if quantity.zero? end if quantity_target.present? return best_price(Robot.maker.base.upcase, quantity_target, price) if best_price?(quantity, quantity_target, seen) seen += quantity elsif amount_target.present? amount = price * quantity return best_price(Robot.maker.quote.upcase, amount_target * fx_rate, price) if best_price?(amount, amount_target, seen) seen += amount end end taker_orderbook.last.price end