Calculates maximum spread price. Assumes trades.csv is in the following format timestamp1,price timestamp2,price etc. additional fields will not cause problems, but if the timestamp and price are not in those positions, you can adjust the indices on the line with Trade.new the seconds variable will set the maximum time span to examine

Gemfile

gem 'active_support'
gem 'algorithms'

price_parser.rb

require 'algorithms'
require 'active_support/core_ext/module'

# trade class
class Trade
  attr_accessor :price, :time

  def initialize(price, time)
    @price = price
    @time = time
  end
end


# monkey patch heap
class Containers::Heap
  def set_max_seconds(n)
    @max_seconds = n
  end

  def push_with_time(key, value=key)
    @max_time = 0 if @max_time.nil?
    @max_time = value.time if value.time > @max_time
    push_without_time(key, value)
  end
  alias_method_chain :push, :time

  def next_with_time
    pop while next_without_time.time + @max_seconds < @max_time
    next_without_time
  end
  alias_method_chain :next, :time
end


# one hour
seconds = 60*60

max_heap = Containers::MaxHeap.new
max_heap.set_max_seconds(seconds)

min_heap = Containers::MinHeap.new
min_heap.set_max_seconds(seconds)

max_spread = 0

trades = open("trades.csv", "r").read.split("\n")
trades.each do |trade|
  data = trade.split(',')
  # Trade.new(price, time)
  t = Trade.new(data[1].to_i, data[0].to_i)
  min_heap.push(t.price, t)
  max_heap.push(t.price, t)
  spread = max_heap.next.price - min_heap.next.price
  max_spread = spread if spread > max_spread
end

puts "Maximum spread within #{seconds} seconds: $#{max_spread}"