VWAP Calculator

A real time VWAP calculator using the Coinbase websockets as data provider. This calculate the VWAP by trading pair.

An output example:

vwap.calculator | 2022/02/19 20:20:07 websocket connected to: wss://ws-feed.exchange.coinbase.com/
vwap.calculator | 2022/02/19 20:20:07 collecting datapoints for pairs: BTC-USD,ETH-USD,ETH-BTC | interval: 200
vwap.calculator | 2022/02/19 20:20:08 map[BTC-USD:40065.189999999995 ETH-BTC:0.06886 ETH-USD:2758.5899999999997]
vwap.calculator | 2022/02/19 20:20:08 map[BTC-USD:40065.189999999995 ETH-BTC:0.06886 ETH-USD:2758.5899999999997]
vwap.calculator | 2022/02/19 20:20:08 map[BTC-USD:40065.189999999995 ETH-BTC:0.06886 ETH-USD:2758.59]
vwap.calculator | 2022/02/19 20:20:09 map[BTC-USD:40065.19 ETH-BTC:0.06886 ETH-USD:2758.59]
vwap.calculator | 2022/02/19 20:20:09 map[BTC-USD:40065.19 ETH-BTC:0.06886 ETH-USD:2758.59]
vwap.calculator | 2022/02/19 20:20:09 map[BTC-USD:40065.189999999995 ETH-BTC:0.06886 ETH-USD:2758.59]
vwap.calculator | 2022/02/19 20:20:09 map[BTC-USD:40065.19520585874 ETH-BTC:0.06886 ETH-USD:2758.59]
vwap.calculator | 2022/02/19 20:20:09 map[BTC-USD:40065.1960835862 ETH-BTC:0.06886 ETH-USD:2758.59]
...

Top level project structure

• ./coinbase/ contains all the code to connect to coinbase and get the real-time data. docs
• ./vwap/ contains all the logic to calculate the VWAP indicator using the data received from Coinbase.

How to run the project

The command has two optionals flags

• interval: The sliding window to calculate the VWAP indicator. Default value: 200
• pairs: a comma separated strings of cryptocurrencies pairs. Default value BTC-USD,ETH-USD,ETH-BTC

./vwap_calculator -interval=50 -pairs=SOL-USD

Using Go

make sure that you have go version 1.17

make run

Compiling first

make build

and then

./vwap_calculator

and finally

make clean

Using Docker Compose

The VWAP calculator will run automatically

docker-compose up --build

How to run the tests

You can execute the entire suit running the following command

make test

Other comments

• This project run the tests using GitHub actions. Check the workflow runs here