Feature request - Fixed Quantity Feed

[AlgoTrader5]

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.

[bmoscon]

@AlgoTrader5 you can do this with the aggregation callbacks. I can provide an example eventually, but for now see:

https://github.com/bmoscon/cryptofeed/blob/master/examples/demo_custom_agg.py

[OrionSkywalker]

Is this still something desired? I need a project!

[bmoscon]

If a PR was proposed, I'd accept it

[OrionSkywalker]

Got it, I'll orient myself and give it a go.