VWAP

Overview

The goal of this project is to create a real-time VWAP (volume-weighted average price) calculation engine. For this was used the coinbase websocket feed to stream in trade executions and update the VWAP for each trading pair as updates become available.

Default parameters:

• Trading pairs: BTC-USD, ETH-USD, ETH-BTC .
• Sliding window: 200 .
• Coinbase URL: wss://ws-feed.exchange.coinbase.com .

Program structure

The service is composed of two main components:

• A websocket client that pulls data off on trade executions. By default is used coinbase websocket feed.
• A vwapcalculator to calculate the VWAP. Use a list to push the data points and a map to save the calculated trading pairs.

Performance

• Having a list of datapoints with a hash map to store the cumulative values for each trading pair favors efficiency, since this avoids having to loop over all the data points to calculate the vwap. So this strategy reduces the complexity from O(N) to O(1).

• Precision calculation: Decimal library for arbitrary precision decimal type on representing money.This is used because it's better for precise calculations on currency. For more information check the library repository.

How To Run This Project

• Clone this repo to your workspace.
• Type make run .

Tests

• Unit Test: make test-unit

• Integration Test: make test-intergration

Improvements

It is necessary to improve the test cases to cover all border cases.

More information

• Coinbase websocket Channels