https://github.com/ranjanrak/orderbookstore

Go package to store daily end-of-the-day complete order book to clickhouse DB and generate queries based on them.
https://github.com/ranjanrak/orderbookstore

clickhouse stock-data

Last synced: 3 days ago
JSON representation

Go package to store daily end-of-the-day complete order book to clickhouse DB and generate queries based on them.

• Host: GitHub
• URL: https://github.com/ranjanrak/orderbookstore
• Owner: ranjanrak
• License: mit
• Created: 2021-06-23T08:46:35.000Z (over 3 years ago)
• Default Branch: main
• Last Pushed: 2022-05-10T08:00:09.000Z (over 2 years ago)
• Last Synced: 2024-06-20T17:48:28.484Z (5 months ago)
• Topics: clickhouse, stock-data
• Language: Go
• Homepage:
• Size: 21.5 KB
• Stars: 5
• Watchers: 1
• Forks: 2
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

Awesome Lists containing this project

README

        
# orderbookstore

A package to store daily end-of-the-day complete order book to clickhouse DB. This can be use to fetch historical order book data to calculate p&l related values.

## Installation

```

go get -u github.com/ranjanrak/orderbookstore

```

## Usage

```go

package main

import (

    "github.com/ranjanrak/orderbookstore"

)

func main() {

    // Create new orderbook instance

    client := orderbookstore.New(orderbookstore.ClientParam{

        // Send DSN as per your clickhouse DB setup.

        // visit https://github.com/ClickHouse/clickhouse-go#dsn to know more

        DBSource:    "dsn_address",

        ApiKey:      "your api key",

        AccessToken: "your access token",

    })

    // Store current orderbook data to clickhouse DB

    client.DataLoad()

    // Fetch all historical order's for the symbol

    symbolBook := client.QuerySymbol("SBIN")

    fmt.Printf("%+v\n", symbolBook)

    startTime := time.Date(2021, 6, 29, 9, 41, 0, 0, time.UTC)

    endTime := time.Date(2021, 8, 3, 15, 05, 0, 0, time.UTC)

    // Fetch average buy and sell price for the mentioned symbol and period

    avgBook := client.QueryAvgPrice("IOC", startTime, endTime)

    fmt.Printf("%+v\n", avgBook)

    // Fetch complete tradebook between start and end date

    tradeBook := client.TradeBook(startTime, endTime)

    fmt.Printf("%+v\n", tradeBook)

}

```

## Response

1> Response for `client.QuerySymbol("SBIN")`:

```

[{Exchange:NSE Symbol:SBIN OrderID:210629000202833 OrderTimestamp:2021-06-29T14:45:24+05:30

AveragePrice:426.65 TransactionType:BUY} {Exchange:NSE Symbol:SBIN OrderID:210629002938256

OrderTimestamp:2021-06-29T18:50:27+05:30 AveragePrice:424.05 TransactionType:SELL}

{Exchange:BSE Symbol:SBIN OrderID:210629002940618 OrderTimestamp:2021-06-29T18:50:54+05:30

AveragePrice:423.95 TransactionType:SELL}]

```

2> Response for `client.QueryAvgPrice("IOC", startTime, endTime)`:

```

{Symbol:IOC BuyAvg:107.41 BuyQty:39 SellAvg:107.61 SellQty:17 RealizedPnl:-22.9}

```

3> Response for `client.TradeBook(startTime, endTime)`:

```

[{OrderTimestamp:2021-06-29T14:45:11+05:30 Exchange:BSE TradingSymbol:IOC

AveragePrice:111.05 TransactionType:BUY}

{OrderTimestamp:2021-06-29T14:45:11+05:30 Exchange:NSE TradingSymbol:IOC

AveragePrice:111.1 TransactionType:SELL}]

```

### Run unit tests

```

go test -v

```