BitcoinExchangeFH is a slim application to record the price depth and trades in various exchanges. You can set it up quickly and record the all the exchange data in a few minutes!

Users can

1. Streaming market data to a target application (via ZeroMQ)
2. Recording market data for backtesting and analysis.
3. Recording market data to a in-memory database and other applications can quickly access to it.
4. Customize the project for trading use.

• Binance (RESTful)
• Bitflyer (RESTful)
• Bitfinex (Websocket)
• BitMEX (Websocket)
• Bitstamp (Websocket)
• Bittrex (RESTful)
• BTCC (RESTful)
• Cryptopia (RESTful)
• Coincheck (RESTful)
• Gatecoin (RESTful)
• GDAX (Websocket)
• HuoBi (Websocket)
• Kraken (RESTful)
• Liqui (RESTful)
• Luno (Websocket)
• Poloniex (RESTful)
• OkCoin (Websocket)
• Okex (Websocket)
• Quoine (RESTful)
• Yunbi (RESTful)
• Wex (Restful)

Currently the support of other exchanges is still under development.

• ZeroMQ
• Kdb+
• MySQL
• Sqlite
• CSV

It is highly recommended to use pip for installing python dependence.

pip install bitcoinexchangefh

If your operation system has pythons with version 2 and 3, please specify pip3 for python 3 installation.

pip3 install bitcoinexchangefh

You can write your application to receive the market data via ZeroMQ socket.

BitcoinExchangeFH acts as a publisher in the Publish/Subscibe model. You can open a TCP or inter-process traffic.

For example, if you decide the data feed is subscribed at 127.0.0.1 at port 6001.

bitcoinexchangefh -zmq -zmqdest "tcp://127.0.0.1:6001" -instmts subscriptions.ini

According to zmq-tcp, please provide "127.0.0.1" instead of "localhost" as the local machine destination.

If the data feed is subscribed via inter-process shared memory with address "bitcoin".

bitcoinexchangefh -zmq -zmqdest "ipc://bitcoin" -instmts subscriptions.ini

No further setup is required. Just define the output sqlite file.

For example, to record the data to default sqlite file "bitcoinexchange.raw", run the command

bitcoinexchangefh -sqlite -sqlitepath bitcoinexchangefh.sqlite -instmts subscriptions.ini

First, start your Kdb+ database. You can either choose your own binary or the binary in the third-party folder.

q -p 5000

Then connect to the database with dedicated port (for example 5000 in the example).

For example connecting to localhost at port 5000, run the command

bitcoinexchangefh -kdb -kdbdest "localhost:5000" -instmts subscriptions.ini

To store the market data to MySQL database, please install mysql-server first. Then enable the following user privileges on your target schema

CREATE
UPDATE
INSERT
SELECT

For example connecting to localhost with user "bitcoin", password "bitcoin" and schema "bcex", run the command

bitcoinexchangefh -mysql -mysqldest "bitcoin:bitcoin@localhost:3306" -mysqlschema bcex -instmts subscriptions.ini

No further setup is required. Just define the output folder path.

For example to a folder named "data", you can run the following command.

bitcoinexchangefh -csv -csvpath data/ -instmts subscriptions.ini

Bitcoinexchangefh supports multiple destinations.

For example, if you store the market data into the database and, at the same time, publish the data through ZeroMQ publisher, you can run the command

bitcoinexchangefh -zmq -zmqdest "tcp://localhost:6001" -kdb -kdbdest "localhost:5000" -instmts subscriptions.ini

All the instrument subscription are mentioned in the configuration file subscriptions.ini. For supported exchanges, you can include its instruments as a block of subscription.

All market data are stored in the dedicated database. For each instrument, there are two tables, order book and trades. The order book is the price depth at top five levels. They are recorded under the table names of

exch_<exchange name>_<instrument name>_snapshot

Each record (in any output format e.g. CSV/SQLite/KDB+/etc) indicates either a new trade or a change in the order book.

The column definition is as follows:

If you do not like the console application and would like to write your own, you can use it as a library.

    from befh.exch_bittrex import ExchGwApiBittrex as Feed
    from befh.instrument import Instrument
    instmt = Instrument(exchange_name="Bittrex", 
                        instmt_name="LTC/BTC",
                        instmt_code="BTC-LTC")

    # Get the order book depth
    depth = Feed.get_order_book(instmt)

    # Get the trades
    trades = Feed.get_trades(instmt)

where parameter instmt_code is the exchange API instrument code.

You can first look up to the page FAQ. For more inquiries, you can either leave it in issues or drop me an email. I will get you back as soon as possible.

The application is compatible with version higher or equal to python 3.0.

Always welcome for any contribution. Please fork the project, make the changes, and submit the merge request. :)

For any questions and comment, please feel free to contact me through email (gavincyi at gmail)

Your comment will be a huge contribution to the project!

If you are not satisified with python performance, you can contact me to discuss migrating the project into other languages, e.g. C++.