Use ring buffer to keep track of previous trades

lib/rex/book/trade_tracker.rb

@@ -1,28 +1,28 @@
 module Rex
   module Book
+    # Trade Tracker implemented as a simple ring buffer
     class TradeTracker
+      include Enumerable
       DEFAULT_TRADE_HISTORY_LIMIT = 200
 
       attr_reader :trades
 
       def initialize(limit: DEFAULT_TRADE_HISTORY_LIMIT)
         @limit = limit
-        @trades = []
+        @trades = Array.new(limit)
+        @current_id = -1
       end
 
       def add(trade)
-        @trades.push(trade)
-        cap
+        @current_id += 1
+        idx = (@current_id % @limit)
+        @trades[idx] = trade
       end
 
-      def fetch_trades(limit)
-        @trades.last(limit)
-      end
-
-      private
-
-      def cap
-        @trades = @trades.last(@limit)
+      def each(&block)
+        (([@current_id - @limit, 0].max)..@current_id ).each do |id|
+          yield @trades[id % @limit]
+        end
       end
     end
   end

lib/rex/server.rb

@@ -2,7 +2,6 @@
 
 require "json-schema"
 
-require_relative "server/publisher"
 require_relative "server/messages"
 
 require_relative "server/request_schemas"
@@ -15,7 +14,6 @@ require_relative "server/websocket_server"
 
 require_relative "server/json_message_serializer"
 require_relative "server/simple_server_setup"
-require_relative "server/multi_matching_engine_server_setup"
 
 module Rex
   module Server

lib/rex/server/matching_engine.rb

@@ -4,14 +4,12 @@ module Rex
       def initialize(inbox, outbox,
         order_book: Rex::Book::LimitOrderBook.new,
         limit_volume_tracker: Rex::Book::LimitVolumeTracker.new,
-        trade_tracker: Rex::Book::TradeTracker.new,
-        id: 1)
+        trade_tracker: Rex::Book::TradeTracker.new)
         @inbox = inbox
         @outbox = outbox
         @order_book = order_book
         @limit_volume_tracker = limit_volume_tracker
         @trade_tracker = trade_tracker
-        @id = id
       end
 
       def start
@@ -52,7 +50,7 @@ module Rex
       end
 
       def fetch_trades(user_id)
-        @trade_tracker.fetch_trades(50).each do |trade|
+        @trade_tracker.each do |trade|
           @outbox.push(
             Messages::TradeFetchEvent.new(
               trade.id,

lib/rex/server/multi_matching_engine_server_setup.rb

@@ -1,63 +0,0 @@
-module Rex
-  module Server
-    # Implementation of a simple one node server setup
-    #
-    # Setups/Starts
-    #
-    # - a message processor to parse and forward
-    #   messages to the matching engine
-    # - a matching engine instance to process any order book related
-    #   messages
-    # - a websocket server to accept websocket base connections and
-    #   process incoming messages
-    class MultiMatchingEngineServerSetup
-      def initialize(host, port)
-        matching_engine_inbox_pipe = EventMachine::Channel.new
-
-        matching_engine_out_channels = Hash[(1..3).map { |i| [i, EventMachine::Channel.new] }]
-
-        @matching_engines = matching_engine_out_channels.map do |id,channel|
-          MatchingEngine.new(
-            matching_engine_inbox_pipe,
-            channel,
-            id: id
-          )
-        end
-
-        matching_engine_published_channel = EventMachine::Channel.new
-        @publisher = Publisher.new(matching_engine_out_channels.values, matching_engine_published_channel)
-
-
-        message_processor_inflow_pipe = EventMachine::Channel.new
-        message_broker = MessageBroker.new(JsonMessageSerializer.new)
-
-        @message_processor = Rex::Server::MessageProcessor.new(
-          matching_engine_inbox_pipe,
-          matching_engine_published_channel,
-          message_broker,
-          message_processor_inflow_pipe
-        )
-
-        @websocket_server = Rex::Server::WebsocketServer.new(
-          message_broker,
-          message_processor_inflow_pipe,
-          host: host,
-          port: port
-        )
-      end
-
-      def start
-        @message_processor.start
-        @publisher.start
-        @matching_engines.each(&:start)
-        @websocket_server.start
-      end
-
-      def stop
-        @matching_engines.each(&:stop)
-        @message_processor.stop
-        @websocket_server.stop
-      end
-    end
-  end
-end

lib/rex/server/publisher.rb

@@ -1,33 +0,0 @@
-module Rex
-  module Server
-    class Publisher
-      def initialize(inputs, output)
-        @inputs = inputs
-        @output = output
-        @buffer = Hash.new { |hash,key| hash[key] = [] }
-      end
-
-      def start
-        @input_subscription_ids = @inputs.each_with_index.map do |input,idex|
-          input.subscribe do |message|
-            process_message(message, idex)
-          end
-        end
-      end
-
-      def process_message(message, index)
-        @buffer[index].push(message)
-
-        first_values =  @buffer.map { |_,v| v.first }.compact
-        return if first_values.length != @inputs.length
-
-        if first_values.compact.all? { |val| val == first_values[0] }
-          @output.push(first_values[0])
-          @buffer.each do |key,_|
-            @buffer[key].shift
-          end
-        end
-     end
-    end
-  end
-end

lib/rex/version.rb

@@ -1,5 +1,5 @@
 # frozen_string_literal: true
 
 module Rex
-  VERSION = "0.1.0"
+  VERSION = "0.1.1"
 end

rex.gemspec

@@ -12,7 +12,7 @@ Gem::Specification.new do |spec|
   spec.description = "A simple limit order book with a matching engine implementation"
   spec.homepage = "https://git.timkaechele.me/timkaechele/rex"
   spec.required_ruby_version = ">= 2.6.0"
-
+  spec.licenses = ["AGPL-3.0-only"]
   spec.metadata["homepage_uri"] = spec.homepage
 
   # Specify which files should be added to the gem when it is released.
@@ -28,10 +28,10 @@ Gem::Specification.new do |spec|
 
   spec.add_dependency "rbtree", "~> 0.4.6"
 
-  spec.add_runtime_dependency "eventmachine", "~> 1.2"
-  spec.add_runtime_dependency "em-websocket", "~> 0.5"
+  spec.add_dependency "eventmachine", "~> 1.2"
+  spec.add_dependency "em-websocket", "~> 0.5"
 
-  spec.add_runtime_dependency "json-schema", "~> 4"
+  spec.add_dependency "json-schema", "~> 4"
   # For more information and examples about making a new gem, check out our
   # guide at: https://bundler.io/guides/creating_gem.html
 end

spec/book/trade_tracker_spec.rb

@@ -15,10 +15,10 @@ RSpec.describe Rex::Book::TradeTracker do
     end
   end
 
-  describe "#fetch_trades" do
+  describe "#each" do
     let(:n) { 3 }
     it "returns only the last n trades" do
-      expect(instance.fetch_trades(1)).to eq([11])
+      expect(instance.to_a).to eq([10, 11])
     end
   end
 end