Hedging observer for Bitstamp

Makefile

URL = https://www.bitstamp.net/api/order_book/?group=0

all:
	-while date; do \
		$(MAKE) spy; \
		$(MAKE) clean; \
		sleep 60; \
	done

spy: orders.json
	node spyhedge

orders.json:
	wget --no-check-certificate $(URL) -T 60 -O $@

clean:
	-rm -f orders.json

spyhedge.js

var read = require("fs").readFileSync;
var data = read("orders.json", "utf8");
var book = JSON.parse(data);
var bids, asks, delta;

function match(order)
{
	var price = order.shift();
	var amount = order.shift();
	var cent, fee;

	price = parseFloat(price);
	amount = parseFloat(amount);

	amount *= price;
	amount = amount.toFixed(2);

	order.price = price;
	order.delta = amount;

	for (cent = 20; cent <= 50; cent += 2) {
		var fee = cent / 100;
		var delta = Math.ceil(100 / fee) / 100 - 0.01;

		if (delta.toFixed(2) == amount)
			return true;
	}

	return false;
}

function scan(orders)
{
	var list = [];
	var i;

	for (i in orders) {
		var order = orders[i];

		if (match(order))
			list.push(order);
	}

	return list;
}

function filter(orders, samples)
{
	var list = [];
	var i;

	for (i in orders) {
		var order = orders[i];
		var j;

		for (j in samples) {
			var sample = samples[j];

			if (order.delta == sample.delta) {
				list.push(order);
				break;
			}
		}
	}

	return list;
}

function separate(orders)
{
	var dict = {};
	var i;

	for (i in orders) {
		var order = orders[i];
		var delta = order.delta;

		if (!dict[delta])
			dict[delta] = [];

		dict[delta].push(order.price);
	}

	return dict;
}

bids = scan(book.bids);
asks = scan(book.asks);

bids = filter(bids, asks);
asks = filter(asks, bids);

bids = separate(bids);
asks = separate(asks);

for (delta in bids) {
	var b = bids[delta];
	var a = asks[delta];
	var n = Math.min(b.length, a.length);
	var d = parseFloat(delta);
	var i;

	for (i = 0; i < n; i++) {
		var bid = b[i];
		var ask = a[i];
		var btc = 4 * delta / (ask - bid);
		var usd = btc * (ask + bid) / 2 + 0.01;
		var fee = 1 / delta;
		var cur = (bid + ask) / 2;

		console.log({
			usd: usd.toFixed(2),
			btc: btc.toFixed(8),
			fee: fee.toFixed(2),
			ask: ask.toFixed(2),
			cur: cur.toFixed(2),
			bid: bid.toFixed(2)
		});
	}
}