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bmoscon / cryptofeed

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Feature request - Fixed Quantity Feed

1
AlgoTrader5
AlgoTrader5 commented Feb 22, 2020

A useful feature where the user specifies the quantity to take in an orderbook and callback returns the average price paid for that lot size. For example if the offers in the order book for BTC-USD was the following:

Price | size
11,000 | 1
10,500 | 1
10,000 | 1

If the user specified quantity 3, the callback would return 10,500.

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Feature Request good first issue help wanted

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