Trading Calculator allows getting various indicators based on real-time data from the Coinbase feed.
Current version supports VWAP indicator only. It is calculated based on N(configurable) most recent trades.
Project running using docker-compose. Make sure you have docker-compose of version 1.27.4 or greater installed.
To build docker images, run:
docker-compose build
It will create images for the application and the test suite.
To run the application:
docker-compose run app
Sample output will look like:
[INFO] Successfully connected to matches channel.
[INFO] [VWAP][ETH-BTC] 0.03563000
[INFO] [VWAP][BTC-USD] 59347.18000000
[INFO] [VWAP][ETH-USD] 2114.25000000
[INFO] [VWAP][BTC-USD] 59347.18000000
[INFO] [VWAP][ETH-USD] 2114.25000000
Each line has information about the indicator, trading pair, and the calculated value.
To stop application use Ctrl+C.
To execute tests:
docker-compose run test
The current version using heapq to keep in the memory last N trades and
use those for the indicators calculations. It does allow to push/pop trades in O(log n) but won't be sufficient if we
need to calculate indicators based on 10^k trades per each pair.
Another limitation is related to the data persistence. Since all data kept in memory there is no way to reconcile the calculated indicators vs trades, same as recover current calculation if app exit unexpectedly.
As a mitigation for this we can dump real-time data into file (CSV or HDF5 format). An async process can then pull data from the files and run data-aggregation logic using Pandas.