Hedging analyst for Bitstamp

log2json.sed

1 i\
[

/}/ s/}/},/

/ ...: '/ {
	s/ \(...\): '\(.*\)'/ "\1": "\2"/
	p
}

$ i\
{} ]

Makefile

LOGFILE = $$HOME/.bitstamp.log

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

trace:
	sed -n -f log2json.sed $(LOGFILE) >spyhedge.json
	node prohedge

clean:
	-rm -f spyhedge.json

prohedge.js

var read = require("fs").readFileSync;
var log = read("spyhedge.json", "utf8");
var trace = JSON.parse(log);
var fee;

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

	for (i in trace) {
		var state = trace[i];
		var fee = state.fee;

		if (!fee)
			break;

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

		dict[fee].push({
			fiat: state.usd,
			coin: state.btc,
			last: state.cur
		});
	}

	return dict;
}

function filter(trace)
{
	var list = [];
	var i;

	for (i in trace) {
		var state = trace[i];
		var prev; 

		if (prev != state.last)
			list.push(state);

		prev = state.last;
	}

	return list;
}

trace = separate(trace);

for (fee in trace) {
	var path = filter(trace[fee]);
	var work = path.length - 1;
	var orig, last, origf, lastf, earn, size;

	if (!work)
		continue;

	size = Math.ceil(100 / fee) / 100 - 0.01;

	orig = path[0];
	origf = {
		fiat: parseFloat(orig.fiat),
		coin: parseFloat(orig.coin),
		last: parseFloat(orig.last)
	};
	origf.cash = origf.fiat + origf.coin * origf.last;

	last = path[work];
	lastf = {
		fiat: parseFloat(last.fiat),
		coin: parseFloat(last.coin),
		last: parseFloat(last.last)
	};
	lastf.cash = lastf.fiat + lastf.coin * origf.last;

	earn = 100 * lastf.cash / origf.cash - 100;

	console.log({
		path: {
			size: size.toFixed(2),
			earn: earn.toFixed(2),
			work: work.toFixed(0)
		},
		orig: orig,
		last: last
	});
}