jrocketfingers/coinbase-feed

Running

Ensure you have poetry available:

curl -sSL https://raw.githubusercontent.com/python-poetry/poetry/master/install-poetry.py | python -

Configure symbol_config.json to your liking. The one provided in the repo is configured to support the requested symbols.

poetry install
poetry run python coinbase_feed/main.py

Alternatively, you can run this in docker.

docker build -t coinbase-feed .
docker run --rm -it coinbase-feed

Since this is a toy, I didn't consider using an image registry.

Testing

poetry run pytest

Design considerations

Given the nature of volume-weighted average price, we can avoid recalculations of the entire window by maintaining a copy of price x size and size sums, as well as a deque of datapoints. Each time a new match arrives we can subtract the leftmost datapoint from sums, remove it from the deque, add the new datapoint to the sums and add it to the right side of the deque. This way, we do not need to iterate through the full window of datapoints each time a recalculation is performed.

Since the VWAP represents prices, their precisions are in quoting currency (usually the second instrument in the pair -- ETHBTC is quoted in BTC). These precisions can be configured in symbol_config.json.