orderbookstore

A package to store daily end-of-the-day complete order book to clickhouse DB. This can be use to fetch historical order book data to calculate p&l related values.

Installation

go get -u github.com/ranjanrak/orderbookstore

Usage

package main

import (
    "github.com/ranjanrak/orderbookstore"
)

func main() {
    // Create new orderbook instance
    client := orderbookstore.New(orderbookstore.ClientParam{
        // Send DSN as per your clickhouse DB setup.
        // visit https://github.com/ClickHouse/clickhouse-go#dsn to know more
        DBSource:    "dsn_address",
        ApiKey:      "your api key",
        AccessToken: "your access token",
    })

    // Store current orderbook data to clickhouse DB
    client.DataLoad()

    // Fetch all historical order's for the symbol
    symbolBook := client.QuerySymbol("SBIN")
    fmt.Printf("%+v\n", symbolBook)

    startTime := time.Date(2021, 6, 29, 9, 41, 0, 0, time.UTC)
    endTime := time.Date(2021, 8, 3, 15, 05, 0, 0, time.UTC)

    // Fetch average buy and sell price for the mentioned symbol and period
    avgBook := client.QueryAvgPrice("IOC", startTime, endTime)
    fmt.Printf("%+v\n", avgBook)

    // Fetch complete tradebook between start and end date
    tradeBook := client.TradeBook(startTime, endTime)
    fmt.Printf("%+v\n", tradeBook)

}

Response

1> Response for client.QuerySymbol("SBIN"):

[{Exchange:NSE Symbol:SBIN OrderID:210629000202833 OrderTimestamp:2021-06-29T14:45:24+05:30
AveragePrice:426.65 TransactionType:BUY} {Exchange:NSE Symbol:SBIN OrderID:210629002938256
OrderTimestamp:2021-06-29T18:50:27+05:30 AveragePrice:424.05 TransactionType:SELL}
{Exchange:BSE Symbol:SBIN OrderID:210629002940618 OrderTimestamp:2021-06-29T18:50:54+05:30
AveragePrice:423.95 TransactionType:SELL}]

2> Response for client.QueryAvgPrice("IOC", startTime, endTime):

{Symbol:IOC BuyAvg:107.41 BuyQty:39 SellAvg:107.61 SellQty:17 RealizedPnl:-22.9}

3> Response for client.TradeBook(startTime, endTime):

[{OrderTimestamp:2021-06-29T14:45:11+05:30 Exchange:BSE TradingSymbol:IOC
AveragePrice:111.05 TransactionType:BUY}
{OrderTimestamp:2021-06-29T14:45:11+05:30 Exchange:NSE TradingSymbol:IOC
AveragePrice:111.1 TransactionType:SELL}]

Run unit tests

go test -v