CryptoMarketData

A library for saving and loading OHLCV candle data from cryptocurrency exchanges

Goals

1. Be able to save 1 minute candle data from a variety of cryptocurrency exchanges.
   • I only want 1 minute candles, because I can derive higher timeframes myself.
   • Implement extremely minimal exchange drivers for this purpose.
     • Don't try to do everything.
     • Focus on fetching 1 minute and 1 day candles well.
   • Save all the candle data the exchange gives us.
     • Save even the non-OHLCV data.
     • I don't care about it, but maybe someone else does.
     • Each day worth of 1 minute candles should be saved in its own date-stamped CSV file.
2. After saving, be able to load that data into a DataFrame.
   • 1m candles are the default.
   • Other arbitrary timeframes should be supported.
3. Be able to subscribe to WebSocket APIs and publish finished 1 minute candles to a Channel.
   • WebSocket connections should be supervised and automatically reconnected.
   • Data subscriptions should also be automatically renewed on reconnection.

Exchanges

Name	Candle Archival	WebSockets
Binance	Work in Progress	Not Started
Bitget	Slightly Broken	Not Started
Bitmex	Done	Not Started
Bitstamp	Done	Done
Bybit	Done	Not Started
Kraken	Not Started	Not Started
PancakeSwap	Done	Not Started

Examples

Save and Load Candles

This is the most basic thing you can do with this library.

julia> using CryptoMarketData, Dates

julia> bitstamp = Bitstamp()
Bitstamp("https://www.bitstamp.net")

julia> markets = get_markets(bitstamp); markets[1:5]
5-element Vector{String}:
 "BTC/USD"
 "BTC/EUR"
 "BTC/GBP"
 "BTC/PAX"
 "GBP/USD"

julia> ENV["JULIA_DEBUG"] = "CryptoMarketData"
"CryptoMarketData"

julia> save!(bitstamp, "BTC/USD"; endday=Date("2011-08-25"))
┌ Debug: 2011-08-18
└   length(cs) = 683
┌ Debug: 2011-08-19
└   length(cs) = 1440
┌ Debug: 2011-08-20
└   length(cs) = 1440
┌ Debug: 2011-08-21
└   length(cs) = 1440
┌ Debug: 2011-08-22
└   length(cs) = 1440
┌ Debug: 2011-08-23
└   length(cs) = 1440
┌ Debug: 2011-08-24
└   length(cs) = 1440
┌ Debug: 2011-08-25
└   length(cs) = 1440

julia> btcusd = load(bitstamp, "BTC/USD");

Stream Finished Candles

Stream finished 1m candles from a websocket.

1. Start a webscoket connection with start(exchange, market).
2. Request a channel of candles with stream(session, from).

"""
Print finished candles from `ch` as they come.
"""
function consumer(ch)
    while true
        candle = take!(ch)
        print(now(), " ", candle, "\n")
    end
end

# Start a supervised websocket connection.
julia> ses = start(bitstamp, "BTC/USD");

# Request a channel of candles.
julia> (ch, t, o) = stream(ses);

# Start a task that consumes from `ch`.
julia> tc = @task consumer(ch)
Task (runnable) @0x0000749ede937490

# After the initial dump of candles,
# near the beginning of every new minute,
# the finished candle from the previous minute should be printed.
julia> schedule(tc)

# Stop the consumer task.
julia> schedule(tc, InterruptException(); error=true);

# Stop the supervised websocket connection.
julia> stop(ses);