https://github.com/letsila/vwap

Real time crypto VWAP calculator
https://github.com/letsila/vwap

Last synced: about 14 hours ago
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Real time crypto VWAP calculator

• Host: GitHub
• URL: https://github.com/letsila/vwap
• Owner: letsila
• License: mit
• Created: 2021-12-04T15:49:24.000Z (almost 3 years ago)
• Default Branch: main
• Last Pushed: 2021-12-06T17:12:32.000Z (almost 3 years ago)
• Last Synced: 2024-06-20T03:37:49.746Z (5 months ago)
• Language: Go
• Homepage:
• Size: 11.7 KB
• Stars: 4
• Watchers: 2
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

        
# VWAP calculator

A realtime VWAP calculator of crypto currencies. It uses coinbase as its default provider for real time data over websocket.



## Design

The service in `./internal/service.go` is composed of two main components:

* A websocket client that pulls data off an exchange.

  * The default choice is coinbase.

  * Any exchange can be used as long as it implements the client interface defined in the websocket package.

* A list of data points defined in the VWAP package.

  * The VWAP calculation is performed each time a data point is pushed to the list and saved in a hash map for each trading pairs.

  * We don't loop over the datapoints so the VWAP calculation is done in constant time, O(1).

## Configuration

The following flags are available while running the project through CLI using the binary.

* `trading-pairs`: a comma separated strings of crypto currencies pairs, default is set to `BTC-USD,ETH-USD,ETH-BTC`

* `ws-url`: the URL of the websocket server to use, default is coinbase websocket URL.

* `window-size`: the sliding window used for the VWAP calculation, default is set to **200**.

## Decimal

For precision sake we used https://github.com/shopspring/decimal for all calculation.

## Run it

First, make sure that you have go version 0.17 installed on your machine. Then ...

```

make run

```

or 

```

make build

``` 

then ...

```

./vwap -ws-url "" -trading-pairs "" -window-size 

```

## Tests

* Runs all the tests.

```

make test

``` 

* Runs the unit tests.

```

make test-unit

```

* Runs the integration test.

```

make test-intergration

```