3 ms·
It's great how readily available financial data is with cryptocurrencies! As a complement to this post, I've been recently working with Jupyter notebooks to ana
by ghgr 9y ago
It's great how readily available financial data is with cryptocurrencies! As a complement to this post, I've been recently working with Jupyter notebooks to analyze high-frequency trading activity in Bitcoin markets [1]. I've been listening to the GDAX socket since end July, so I have almost a month's worth of tick data (~ 7GB+ gzip compressed JSON data, it surely explodes to ~100 GB after extracting). If somebody is interested to carry out further analysis I can give you a link to download it.
[1] https://nbviewer.jupyter.org/github/ghgr/HFT_Bitcoin/blob/master/hftbitcoin.ipynb https://nbviewer.jupyter.org/github/ghgr/HFT_Bitcoin/blob/ma...
- jetti 9y agoWhat are you using to listen to GDAX sockets? I've been able to successfully connect using their node library but when trying to connect directly without using their library I'm unable to connect.
- ghgr 9y agoI use the Python library WebSocketClient. Here is the code: https://github.com/ghgr/HFT_Bitcoin/blob/master/download_book.py https://github.com/ghgr/HFT_Bitcoin/blob/master/download_boo...
- jetti 9y agoThanks for the code. I've been trying with the Elixir library websockex [1] but it has been giving me nothing but troubles. I just gave up and poll every X minutes now. [1] https://github.com/Azolo/websockex https://github.com/Azolo/websockex
- macroexchange 9y agovery interesting. do you have a contact email somwhere?
- ghgr 9y agosure! I just updated my profile