Market Data Collector

Collect market data for quant analysis

Quick Start

Installation

go install github.com/goex-top/market_data_collector

Configure

create a configure file config.json , or config.yml, ( cp config-sample.json config.json or cp config-sample.yml config.yml )

{
  "subs": [
    {
      "exchange_name": "binance.com",
      "currency_pair": "BTC_USDT",
      "period": 100,
      "flag": 3
    },
    {
      "exchange_name": "binance.com_swap",
      "currency_pair": "BTC_USDT",
      "contract_type": "swap",
      "period": 100,
      "flag": 3
    }
  ],
  "store": {
    "csv": false,
    "influx_db": true,
    "influx_db_cfg": {
      "url": "http://localhost:8086",
      "database": "market_data"
    }
  },
  "with_market_center": false,
  "market_center_path": "/tmp/goex.market.center"
}

---
subs:
  - exchange_name: binance.com
    currency_pair: BTC_USDT
    period: 100
    flag: 2
  - exchange_name: okex.com_swap
    currency_pair: BTC_USDT
    contract_type: quarter
    period: 100
    flag: 2
with_market_center: true
store:
  csv: false
  influx_db: true
  influx_db_cfg:
    url: http://localhost:8086
    database: market_data
    username: 
    password:
market_center_path: "/tmp/goex.market.center"

Description

{
  "subs": [                                 // subscribs, it's a array for multi-exchanges
    {
      "exchange_name": "binance.com_swap",  // exchange name, ref to https://github.com/goex-top/market_center#support-exchanges
      "currency_pair": "BTC_USDT",          // pair with `_`
      "period": 100,                        // period
      "flag": 2,                            // flag, is a mask for market, 1: depth, 2: ticker, 3: depth and ticker
    }
  ],
  "store": {                                // storage
    "csv": true                             // store data to csv
    "influx_db": true,                      // store data to influxdb
    "influx_db_cfg": {
      "url": "http://localhost:8086",       // influxdb url
      "database": "market_data"             // influxdb database name
    }
  },
  "with_market_center: true                 // market data from exchange or not, if true, it will get market data from market center
  "market_center_path": "/tmp/goex.market.center"   // market center path
}

Flag

only one command flag -c to input configure file, for example market_data_collector -c config.json

Run

market_data_collector -c config.json

Storage

CSV

Store daily data in different csv files in csv folder, compress it to tar folder

csv folder(older file was removed automatically)

├── depth_binance.com_BTC_USDT_2020-01-26.csv
├── depth_fcoin.com_BTC_USDT_2020-01-26.csv
├── depth_huobi.pro_BTC_USDT_2020-01-26.csv
└── depth_okex.com_BTC_USDT_2020-01-26.csv

tar folder

.
├── binance.com_BTC_USDT_2020-01-24.tar.gz
├── binance.com_BTC_USDT_2020-01-25.tar.gz
├── fcoin.com_BTC_USDT_2020-01-24.tar.gz
├── fcoin.com_BTC_USDT_2020-01-25.tar.gz
├── huobi.pro_BTC_USDT_2020-01-24.tar.gz
├── huobi.pro_BTC_USDT_2020-01-25.tar.gz
├── okex.com_BTC_USDT_2020-01-24.tar.gz
└── okex.com_BTC_USDT_2020-01-25.tar.gz

Format

ticker

symbol	type	description
t	int	timestamp
b	float	best bid
s	float	best ask
h	float	high price
l	float	low price
v	float	volume

orderbook

symbol	type	description
t	int	timestamp
a	array	asks list with size 20, each element is [p,q], p:price, q:qty
b	array	bids list with size 20, each element is [p,q], p:price, q:qty

InfluxDB

influxDB schema

MEASUREMENT	TAGS	FIELDS
ticker	exchangeName_spot=pair	xxx
kline	exchangeName_future_contractType=pair	xxx
depth	exchangeName_swap=pair	xxx

docker: https://github.com/philhawthorne/docker-influxdb-grafana

Support Data

• Ticker
• Depth(Orderbook)
• Kline

TODO

• SQLite