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A composable, real time, market data and trade execution toolkit

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tai lib tai markets quote.ex
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lib/tai/markets/quote.ex 

defmodule Tai.Markets.Quote do

  @moduledoc """

  Represents the inside bid & ask price point within the order book

  """



  alias __MODULE__

  alias Tai.Markets.PricePoint



  @type price_point :: PricePoint.t()

  @type venue_id :: Tai.Venues.Adapter.venue_id()

  @type product_symbol :: Tai.Venues.Product.symbol()

  @type t :: %Quote{

          venue_id: venue_id,

          product_symbol: product_symbol,

          bids: [price_point],

          asks: [price_point],

          last_received_at: DateTime.t() | nil,

          last_venue_timestamp: DateTime.t() | nil

        }



  @enforce_keys ~w(venue_id product_symbol)a

  defstruct venue_id: nil,

            product_symbol: nil,

            bids: [],

            asks: [],

            last_received_at: nil,

            last_venue_timestamp: nil



  @spec inside_bid(t) :: price_point | nil

  def inside_bid(market_quote), do: market_quote.bids |> List.first()



  @spec inside_ask(t) :: price_point | nil

  def inside_ask(market_quote), do: market_quote.asks |> List.first()



  @spec mid_price(t) :: {:ok, Decimal.t()} | {:error, :no_inside_bid | :no_inside_ask}

  @spec mid_price(bid :: price_point, ask :: price_point) ::

          {:ok, Decimal.t()} | {:error, :no_inside_bid | :no_inside_ask | :no_inside_bid_or_ask}

  def mid_price(%Quote{} = market_quote) do

    bid = market_quote |> inside_bid

    ask = market_quote |> inside_ask

    mid_price(bid, ask)

  end



  @two Decimal.new(2)

  def mid_price(%PricePoint{} = bid, %PricePoint{} = ask) do

    ask_price = Decimal.cast(ask.price)

    bid_price = Decimal.cast(bid.price)



    mid =

      ask_price

      |> Decimal.sub(bid_price)

      |> Decimal.div(@two)

      |> Decimal.add(bid_price)



    {:ok, mid}

  end



  def mid_price(nil, %PricePoint{}), do: {:error, :no_inside_bid}

  def mid_price(%PricePoint{}, nil), do: {:error, :no_inside_ask}

  def mid_price(nil, nil), do: {:error, :no_inside_bid_or_ask}

end



defimpl Stored.Item, for: Tai.Markets.Quote do

  @type market_quote :: Tai.Markets.Quote.t()

  @type venue_id :: Tai.Venues.Adapter.venue_id()

  @type product_symbol :: Tai.Venues.Product.symbol()



  @spec key(market_quote) :: {venue_id, product_symbol}

  def key(q), do: {q.venue_id, q.product_symbol}

end