Coinbase Ticker Analyzer

A high-performance C++ application that subscribes to Coinbase ticker data via WebSockets, calculates Exponential Moving Averages (EMAs), and logs data to CSV files.

Features

• Real-time WebSocket connection to Coinbase public ticker feed
• EMA calculations for price and mid-price with 5-second intervals
• Asynchronous CSV logging with lock-free data structures
• Multithreaded architecture optimized for low latency

Requirements

• CMake 3.16+
• C++17 compatible compiler (GCC 7+, Clang 5+, MSVC 2017+)
• OpenSSL
• libwebsockets

Installation

Docker

# Run with Docker (no dependencies needed)
./docker-run.sh

# Run with custom options
./docker-run.sh -p ETH-USD -o output/eth_data.csv

Prerequisites: Docker (install from docker.com) Output: CSV files will appear in the output/ directory on your local machine.

Manual Build

# Install dependencies: cmake, libssl-dev, libwebsockets-dev, pkg-config
# Then build and run:
./build.sh
./test.sh
./build/CoinbaseTickerAnalyzer

Usage

./CoinbaseTickerAnalyzer [options]

Options:
  -p, --product <ID>    Product ID to analyze (default: BTC-USD)
  -o, --output <file>   Output CSV filename (default: ticker_data.csv)
  -h, --help           Show help message

Architecture

The application uses a multithreaded architecture with lock-free data structures:

• WebSocket I/O Thread: Handles real-time data reception
• Data Processing Thread: Calculates EMAs and processes ticker data
• Async CSV Logging Thread: Non-blocking file I/O operations
• Main Thread: Application control and user interface

Testing

# Run all tests
make test

Documentation

# Generate HTML documentation
make docs

# Open documentation in browser
open build/docs/html/index.html

Output Format

The application logs all ticker fields plus calculated EMAs to CSV:

type,sequence,product_id,price,open_24h,volume_24h,low_24h,high_24h,volume_30d,best_bid,best_ask,side,time,trade_id,last_size,price_ema,mid_price_ema,mid_price
ticker,12345,BTC-USD,50000.00,49000.00,1000.5,48000.00,51000.00,30000.0,49999.50,50000.50,buy,2024-01-01T12:00:00.000Z,67890,0.1,49950.00000000,49975.00000000,50000.00000000