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feat: weighted price from order book cache #181

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merged 8 commits into from
Nov 10, 2022

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enigbe
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@enigbe enigbe commented Nov 9, 2022

What this PR does?

  • caches views of the order book streamed from redis
  • calculates the volume-based weighted price from the asks and bids sides

Related issue

Note

  • exchange_price_cache is not deleted because of its usefulness in the kollider integration
  • to pass lint and format checks, there are sprinklings of #[allow(dead_code)] across exchange_price_cache

@enigbe enigbe self-assigned this Nov 9, 2022
@bodymindarts bodymindarts merged commit 952850c into main Nov 10, 2022
@bodymindarts bodymindarts deleted the feat-weighted-price-from-order-book-cache branch November 10, 2022 09:15
enigbe added a commit that referenced this pull request Nov 21, 2022
bodymindarts pushed a commit that referenced this pull request Nov 21, 2022
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Price from order book
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