https://github.com/khaliullov/coinbasevwap

Calculate VWAP for 200 last transactions of trading pairs
https://github.com/khaliullov/coinbasevwap

btc clean-architecture coinbase golang vwap websocket

Last synced: 5 months ago
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Calculate VWAP for 200 last transactions of trading pairs

• Host: GitHub
• URL: https://github.com/khaliullov/coinbasevwap
• Owner: khaliullov
• License: unlicense
• Created: 2021-12-27T17:42:42.000Z (over 4 years ago)
• Default Branch: master
• Last Pushed: 2022-01-18T14:27:18.000Z (over 4 years ago)
• Last Synced: 2024-06-20T03:32:01.276Z (about 2 years ago)
• Topics: btc, clean-architecture, coinbase, golang, vwap, websocket
• Language: Go
• Homepage:
• Size: 81.1 KB
• Stars: 0
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
# Coinbase rate VWAP

[![Build Status](https://github.com/khaliullov/coinbasevwap/actions/workflows/test.yml/badge.svg)](https://github.com/khaliullov/coinbasevwap/actions/workflows/test.yml)

[![Coverage Status](https://coveralls.io/repos/github/khaliullov/coinbasevwap/badge.svg?branch=master)](https://coveralls.io/github/khaliullov/coinbasevwap?branch=master)

[![Go Report Card](https://goreportcard.com/badge/github.com/khaliullov/coinbasevwap)](https://goreportcard.com/report/github.com/khaliullov/coinbasevwap)

Application that calculates VWAP in a real-time using Coinbase websocket

steaming protocol of cryptocurrency transactions updates.

Calculated values of VWAP are streamed to os.Stdout for each trading pair.

By default, application subscribes for BTC-USD, ETH-USD and ETH-BTC

trading pairs.

## Synopsis

    $ go run main.go -help

    INFO[0000] Coinbase rate VWAP.

      -capacity int

            Capacity for storing data for VWAP calculation (default 200)

      -channel string

            Channel to subscribe to (default "matches")

      -feed-url string

            Coinbase feed URL (default "wss://ws-feed.exchange.coinbase.com")

      -help

            Show help

      -log-level string

            Logging level (default "error")

      -products string

            Products to subscribe to (default "BTC-USD,ETH-USD,ETH-BTC")

## VWAP

In finance, **volume-weighted average price (VWAP)** is the ratio of the

value of a security or financial asset traded to the total volume of

transactions during a trading session.

![formula](docs/VWAP.png)

In this application the VWAP is calculated per trading pair using

a sliding window of last 200 data points (Could be configured).

## Architecture

Application uses clean architecture. Some of open-source projects was used

to build application. Websocket client is a state machine which subscribes

and unsubscribes from feeds with trading pair transaction updates.

Consumer is subscribed for such updates from Websocket client and supplies

data to use-case which calculates the VWAP of offered trading pair and

stores it in a repository. Storage is like a cyclic buffer and stores last

200 data points.

## Developer instructions

### Building

To build application run:

    make

or

    make BINARY_NAME=vwap build

### Testing

To start unit-tests:

    make test

### Run

To start application with default arguments:

    make run

### Run with verbose logging

To start application with error level set to Debug:

    make debug