API

Documentation for CryptoMarketData.

Types

AbstractExchange

Every exchange is a subtype of this.

AbstractCandle

Every exchange also has a matching candle type that's a subtype of AbstractCandle. Its purpose is to capture the data given to us by the exchange.

Functions

CryptoMarketData.get_candles_for_day — Method
get_candles_for_day(exchange, market, day::Date)

Fetch all of the 1m candles for the given exchange, market, and day. The vector and candles returned is just the right size to save to the archives.

CryptoMarketData.get_markets — Method
get_markets(exchange)

Fetch the available markets for the given exchange.

Example

julia> bitstamp = Bitstamp()
julia> markets = get_markets(bitstamp)
CryptoMarketData.get_saved_markets — Method
get_saved_markets(; datadir)

Return a DataFrame that lists the currently saved markets.

Keyword Arguments

  • datadir="./data" - directory where saved data is stored

Example

julia> saved = get_local_markets()
10×4 DataFrame
 Row │ exchange       market          start       stop
     │ Any            Any             Any         Any
─────┼───────────────────────────────────────────────────────
   1 │ binance        BTCUSD_240628   2023-12-29  2024-02-17
   2 │ binance        BTCUSD_PERP     2020-08-11  2020-08-16
   3 │ bitget         BTCUSD_DMCBL    2019-04-23  2024-02-16
   4 │ bitget         DOGEUSD_DMCBL   2024-02-01  2024-02-20
   5 │ bitmex         ETHUSD          2018-08-02  2024-02-19
   6 │ bitstamp       BTCUSD          2011-08-18  2024-02-25
   7 │ bybit          ADAUSD          2022-03-24  2022-04-21
   8 │ bybit-inverse  ADAUSD          2022-03-24  2022-04-20
   9 │ bybit-linear   10000LADYSUSDT  2023-05-11  2024-03-04
  10 │ pancakeswap    BTCUSD          2023-03-15  2024-03-04
CryptoMarketData.load — Method
load(exchange, market; datadir, span, tf, table)

Load candles for the given exchange and market from the file system.

Keyword Arguments

  • datadir="./data" - directory where saved data is stored
  • span - a Date span that defines what Dates to load candles. If it's missing, load everything.
  • tf - a Period that is used to aggregate 1m candles into higher timeframes.
  • table - a Tables.jl-compatible struct to load candles into. The default is DataFrame.

Example

julia> bitstamp = Bitstamp()
julia> btcusd4h = load!(bitstamp, "BTC/USD"; span=Date("2024-01-01"):Date("2024-02-10"), tf=Hour(4))
CryptoMarketData.save! — Method
save!(exchange, market; datadir, startday, endday, delay)

Download 1m candles from the given exchange and market, and save them locally.

Keyword Arguments

  • datadir="./data" - directory where saved data is stored
  • startday - a Date to start fetching candles from
  • endday - a Date to stop fetching candles
  • delay - a delay to be passed to sleep() that will pause between internal calls to save_day!()

Example

julia> bitstamp = Bitstamp()
julia> save!(bitstamp, "BTC/USD", endday=Date("2020-08-16"))
CryptoMarketData.save_day! — Method
save_day!(exchange, market, candles; datadir="./data")

Save a day worth of 1m candles the caller provides for the given exchange and market.

Keyword Arguments

  • datadir="./data" - directory where saved data is stored