Module: Coinbot::OrderBook::Generate

Defined in:
lib/coinbot/order_book/generate.rb

Class Method Summary collapse

Class Method Details

.help ⇒ Object

Display Usage for this Module



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# File 'lib/coinbot/order_book/generate.rb', line 361

public_class_method def self.help
  puts "USAGE:
    order_book = #{self}.new_order_book(
      symbol: 'required - target symbol (e.g. btc-usd)',
      this_product: 'required - this_product'
    )
  "
end

.new_candle(opts = {}) ⇒ Object

Supported Method Parameters

Coinbot::OrderBook.new_candle(

candle_period: 'required - candle period (integer)',
begin_time: Time.now,
candle_open: 'required - candle open price',
candle_buy_tot: 'required - total buy orders',
candle_sell_tot: 'required - total sell orders'

)



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# File 'lib/coinbot/order_book/generate.rb', line 312

public_class_method def self.new_candle(opts = {})
  candle_period = opts[:candle_period]
  begin_time = opts[:begin_time]
  candle_open = opts[:candle_open]
  candle_highest = opts[:candle_highest]
  candle_lowest = opts[:candle_lowest]
  candle_close = opts[:candle_close]
  candle_volume = opts[:candle_volume]
  candle_buy_tot = opts[:candle_buy_tot]
  candle_sell_tot = opts[:candle_sell_tot]
  macd_history = opts[:macd_history]
  rsi_history = opts[:rsi_history]

  {
    period: candle_period,
    begin_time: begin_time.strftime('%Y-%m-%d %H:%M:%S.%N%z'),
    candle_open: candle_open,
    candle_highest: candle_highest,
    candle_lowest: candle_lowest,
    candle_close: candle_close,
    candle_volume: candle_volume,
    order_highest: 0.00,
    order_lowest: 0.00,
    candle_buy_tot: candle_buy_tot,
    candle_sell_tot: candle_sell_tot,
    order_status: 'HOLD',
    weighted_avg_status: 'HOLD',
    weighted_buy_n_ticker_status: 'HOLD',
    weighted_sell_n_ticker_status: 'HOLD',
    sma_nine: '--',
    sma_fifty: '--',
    sma_one_eighty: '--',
    ema_twelve: '--',
    ema_twenty_six: '--',
    ema_high_avg: '--',
    ema_low_avg: '--',
    ema_one_eighty: '--',
    sip_color: '--',
    last_sip_color: '--',
    third_last_sip_color: '--',
    macd_history: macd_history,
    rsi_history: rsi_history
  }
rescue StandardError => e
  raise e
end

.new_order_book(opts = {}) ⇒ Object

Supported Method Parameters

Coinbot::OrderBook.generate(

symbol: 'required - target symbol (e.g. btc-usd)',
this_product: 'required - this_product',

)



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# File 'lib/coinbot/order_book/generate.rb', line 18

public_class_method def self.new_order_book(opts = {})
  option_choice = opts[:option_choice]
  env = opts[:env]
  bot_conf = opts[:bot_conf]
  indicator_history = opts[:indicator_history]

  order_book_file = "#{option_choice.repo_root}/order_books/#{option_choice.symbol}.ORDER_BOOK.json"
  # TODO: Handle File that exists
  # w/ Zero size...N number of
  # attempts?  Timeout may be better.
  if File.exist?(order_book_file) &&
     File.size?(order_book_file).to_i.positive?

    order_book = JSON.parse(
      File.read(order_book_file),
      symbolize_names: true
    )
    order_justification_history = order_book[:order_justification_history]
  else
    order_justification_history = []
  end

  # Only need to retrieve a product list once / session.
  products = Coinbot::API.get_products(
    option_choice: option_choice,
    env: env
  )
  this_product_arr = products.select do |product|
    product if product[:id] == option_choice.symbol.to_s.gsub('_', '-').upcase
  end
  this_product = this_product_arr.first

  candle_hist = option_choice.candle_history
  # raw_slices_arr = []
  raw_cb_candle_history_arr = []
  max_resp = 300.0
  time_range_seconds = option_choice.candle_duration * max_resp
  request_times = (candle_hist / max_resp).ceil
  $stdout.clear_screen
   = TTY::Spinner.new(
    "[:spinner] Retrieving History (#{candle_hist} Candles)",
    format: :arrow_pulse,
    hide_cursor: true
  )

  now_epoch = Time.now.strftime('%s').to_i
  start_timestamp = Time.at(
    now_epoch - (time_range_seconds * request_times)
  ).strftime('%Y-%m-%dT%H:%M:%S.%N%z')
  start_epoch = Time.parse(
    start_timestamp
  ).strftime('%s').to_i

  (1..request_times).each do |n|
    .spin

    if n > 1
      start_timestamp = Time.at(
        start_epoch + time_range_seconds
      ).strftime('%Y-%m-%dT%H:%M:%S.%N%z')
    end

    start_epoch = Time.parse(
      start_timestamp
    ).strftime('%s').to_i

    end_timestamp = Time.at(
      start_epoch + time_range_seconds
    ).strftime('%Y-%m-%dT%H:%M:%S.%N%z')

    # Append to existing array (not push)
    raw_cb_candle_history_arr += Coinbot::API.get_candle_history(
      env: env,
      option_choice: option_choice,
      start_timestamp: start_timestamp,
      end_timestamp: end_timestamp
    )
    # Avoid Triggering Rate-Limiting Controls
    sleep 0.6
  end

  # raw_cb_candle_history_arr = []
  # raw_slices_arr.each do |request_slice|
  #   request_slice.each do |candle_arr|
  #     raw_cb_candle_history_arr.push(candle_arr)
  #   end
  # end

  # Good Debugging
  # raw_cb_candle_history_arr.each do |candle|
  #   print "#{Time.at(candle.first)}=>"
  #   puts candle.inspect
  # end
  # puts raw_cb_candle_history_arr.length
  # exit

  # Determine if time between each array
  # element is == to the respective candle_duration
  cb_candle_history_arr = []
  if raw_cb_candle_history_arr.length == candle_hist
    cb_candle_history_arr = raw_cb_candle_history_arr
  else
    # TODO: Need to ensure most recent candle is one tick ago.
    previous_epoch_time = raw_cb_candle_history_arr.first.first
    raw_cb_candle_history_arr.each_with_index do |candle_arr, index|
      this_epoch_time = candle_arr.first
      epoch_diff = this_epoch_time - previous_epoch_time
      if epoch_diff > option_choice.candle_duration
        more_ticks_needed = (epoch_diff / option_choice.candle_duration) - 1
        more_ticks_needed.downto(1).each do |count|
          missing_candle_arr = []
          time = this_epoch_time - (option_choice.candle_duration * count)
          last_element = raw_cb_candle_history_arr[index - 1]
          last_element = raw_cb_candle_history_arr.first if index.zero?
          low = high = open = close = last_element[4]
          volume = 0.0
          missing_candle_arr.push(time)
          missing_candle_arr.push(low)
          missing_candle_arr.push(high)
          missing_candle_arr.push(open)
          missing_candle_arr.push(close)
          missing_candle_arr.push(volume)
          missing_candle_arr.push('INJ')

          cb_candle_history_arr.push(missing_candle_arr)
        end
      end
      cb_candle_history_arr.push(candle_arr)
      previous_epoch_time = this_epoch_time
    end
  end

  candle_hist_lookback = candle_hist * -1

  # Good Debugging
  # cb_candle_history_arr[candle_hist_lookback..].each do |candle|
  #   print "#{Time.at(candle.first)}=>"
  #   puts candle.inspect
  # end
  # puts cb_candle_history_arr[candle_hist_lookback..].length
  # exit

  order_book = {
    path: order_book_file,
    symbol: option_choice.symbol,
    session_buy_tot: 0,
    session_sell_tot: 0,
    open_24h: 0.00,
    high_24h: 0.00,
    low_24h: 0.00,
    volume_24h: 0.00,
    ticker_price: cb_candle_history_arr.first[4],
    ticker_price_second_to_last: 0.00,
    ticker_price_third_to_last: 0.00,
    highest_pie_in_sky_buy_percent: 0.00,
    highest_pie_in_sky_sell_percent: 0.00,
    sequence: -1,
    this_product: this_product,
    portfolio: [],
    fiat_portfolio: [],
    order_history: [],
    fees: [],
    order_justification_history: order_justification_history,
    candles: []
  }

  candle_period = 1
  candles = order_book[:candles]
  ema_low = bot_conf[:exponential_moving_avg][:low].to_i
  ema_high = bot_conf[:exponential_moving_avg][:high].to_i

  cb_candle_history_arr[candle_hist_lookback..].each do |candle_arr|
    coinbase_time = Time.at(candle_arr.first)
    candle_lowest = candle_arr[1].to_s
    candle_highest = candle_arr[2].to_s
    candle_open = candle_arr[3].to_s
    last_ticker_price = candle_close = candle_arr[4].to_s
    order_book[:ticker_price] = last_ticker_price
    candle_volume = candle_arr.last.to_s

    if candle_period == 1
      candles.push(
        new_candle(
          candle_period: candle_period,
          begin_time: coinbase_time,
          candle_open: candle_open,
          candle_highest: candle_highest,
          candle_lowest: candle_lowest,
          candle_close: candle_close,
          candle_volume: candle_volume,
          candle_buy_tot: 0,
          candle_sell_tot: 0,
          macd_history: [],
          rsi_history: []
        )
      )
    end

    if candle_period > 1
      candles.push(
        new_candle(
          candle_period: candle_period,
          begin_time: coinbase_time,
          candle_open: candle_open,
          candle_highest: candle_highest,
          candle_lowest: candle_lowest,
          candle_close: candle_close,
          candle_volume: candle_volume,
          candle_buy_tot: 0,
          candle_sell_tot: 0,
          macd_history: candles.last[:macd_history],
          rsi_history: candles.last[:rsi_history]
        )
      )
    end

    candles = Coinbot::OrderBook::Synchronize.candles(
      last_ticker_price: last_ticker_price,
      this_product: this_product,
      candles: candles,
      indicator_history: indicator_history,
      bot_conf: bot_conf
    )

    candle_period += 1
  end
  .success("[COMPLETE]")

  # Order Book Retention ---------------------------------------#
  # Defaults to 6 hours if candle_duration == 1 minute
  candle_retention = ema_high
  candle_retention = 180 if ema_high < 180
  candle_retention = ema_high if ema_high > 360
  if candles.length >= candle_retention
    # [retain_history..] << Not a typo - equivalent to
    # [retain_record..-1]
    retain_record = candle_retention * -1
    candle_history_arr = candles[retain_record..]
    candles = candle_history_arr
    order_book[:candles] = candles
  end

  # Instantiate Event History attr_accessible
  # Object to Keep Track of Everything as Events
  # are Parsed.
  event_history = Coinbot::Event::History.new(
    order_book: order_book
  )

  # Wait until the top of the candle duration to begin.
  event_history = Coinbot.derive_session_init(
    option_choice: option_choice,
    env: env,
    event_history: event_history
  )

  last_ticker_price = candle_open = candles.last[:candle_close]
  candles.push(
    new_candle(
      candle_period: candle_period,
      begin_time: Time.now,
      candle_open: candle_open,
      candle_highest: 0.00,
      candle_lowest: 0.00,
      candle_close: 0.00,
      candle_volume: 0.00,
      candle_buy_tot: 0,
      candle_sell_tot: 0,
      macd_history: candles.last[:macd_history],
      rsi_history: candles.last[:rsi_history]
    )
  )

  # Write order_book to file at session initiation
  order_book_file = order_book[:path]
  File.open(order_book_file, 'w') do |f|
    f.puts order_book.to_json
  end

  event_history.order_book = order_book

  event_history
rescue StandardError => e
  raise e
end