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 "<coinbase_valid_ws_url>" -trading-pairs "<trading_pairs>" -window-size <window_size>

Tests

• Runs all the tests.

make test

• Runs the unit tests.

make test-unit

• Runs the integration test.

make test-intergration