vwap-test-rb

vwap.rb

# frozen_string_literal: true

def http_get(url)
  HTTParty.get(url)
rescue => e
  -1
end

# takes in a string pair and timeframe in minutes to use to calculate vwap
# example vwap_bittrex("BTC-LTC", 15)
# Note string pair must be a valid pair for the endpoint, example: https://api.bittrex.com/api/v1.1/public/getmarkethistory?market=BTC-LTC
def vwap_bittrex(pair, tfm)
  begin
    resp = http_get("https://api.bittrex.com/api/v1.1/public/getmarkethistory?market=#{pair}")
    vwap = 0
    status = false
    tnow = Time.now
    first = tnow
    if resp['status']
      tv = 0
      tdt = 0
      resp['result'].each do |trade|
        ts = Time.parse(trade['TimeStamp'])
        next unless ts >= tnow - tfm.minute

        tv += trade['Quantity']
        tdt += trade['Total']
        first = ts if ts < first
      end
      vwap = tdt / tv
      msg = 'complete'
      status = true
    else
      msg = resp['message']
    end
  rescue => e
    msg = "error calculating bittrex vwap: #{e.message}"
    vwap = 0
  end
  { 'status': status, 'vwap': vwap, 'msg': msg, 'int': tfm, 'first': first, 'last': tnow }
end

# takes in a string pair and timeframe in minutes to use to calculate vwap
# example vwap_kraken("LTCXBT", 15)
# Note string 'pair' must be a valid pair for the endpoint, example: https://api.kraken.com/0/public/Trades?pair=LTCXBT
# for complete listing of offered pairs see: https://api.kraken.com/0/public/AssetPairs
def vwap_kraken(pair, tfm)
  begin
    resp = http_get("https://api.kraken.com/0/public/Trades?pair=#{pair}")
    vwap = 0
    status = false
    ltrade = Time.now
    first = ltrade
    if resp['error'].blank?
      tv = 0
      tdt = 0
      ltrade = Time.at(resp['result']['last'].to_d / 1e9)
      key = resp['result'].keys
      key.delete('last')
      key = key[0]
      resp['result'][key].each do |trade|
        price = trade[0].to_d
        vol = trade[1].to_d
        ts = Time.at(trade[2])
        next unless ts >= ltrade - tfm.minute

        tv += vol
        tdt += (price * vol)
        first = ts if ts < first
      end
      vwap = tdt / tv
      msg = 'complete'
      status = true
    else
      msg = resp['error']
    end
  rescue => e
    msg = "error calculating kraken vwap: #{e.message}"
    vwap = 0
  end
  { 'status': status, 'vwap': vwap, 'msg': msg, 'int': tfm, 'first': first, 'last': ltrade }
end

# takes in a string pair and timeframe in minutes to use to calculate vwap
# example vwap_binance("LTCBTC", 15)
# Note string pair must be a valid pair for the endpoint, example: https://api.binance.com/api/v1/trades?symbol=LTCBTC
def vwap_binance(pair, tfm)
  begin
    resp = http_get("https://api.binance.com/api/v1/trades?symbol=#{pair}")
    vwap = 0
    status = false
    tnow = Time.now
    first = tnow
    if resp.code == 200 && resp.parsed_response.is_a?(Array)
      tv = 0
      tdt = 0
      resp.parsed_response.each do |trade|
        price = trade['price'].to_d
        vol = trade['qty'].to_d
        ts = Time.at(trade['time'] / 1e3)
        next unless ts >= tnow - tfm.minute

        tv += vol
        tdt += (price * vol)
        first = ts if ts < first
      end
      vwap = tdt / tv
      msg = 'complete'
      status = true
    else
      msg = resp['msg']
    end
  rescue => e
    msg = "error calculating bittrex vwap: #{e.message}"
    vwap = 0
  end
  { 'status': status, 'vwap': vwap, 'msg': msg, 'int': tfm, 'first': first, 'last': tnow }
end