https://github.com/ilia-funtov/crypto-market-data-collector
Market data collector for crypto exchanges (Coinbase, Bitfinex, Bitmex, Kraken) written in C++
https://github.com/ilia-funtov/crypto-market-data-collector
bitfinex bitmex coinbase cpp cpp17 cryptocurrency exchange kraken market-data trading
Last synced: 7 months ago
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Market data collector for crypto exchanges (Coinbase, Bitfinex, Bitmex, Kraken) written in C++
- Host: GitHub
- URL: https://github.com/ilia-funtov/crypto-market-data-collector
- Owner: ilia-funtov
- License: mit
- Created: 2022-05-29T19:06:24.000Z (over 3 years ago)
- Default Branch: main
- Last Pushed: 2024-03-23T13:16:57.000Z (over 1 year ago)
- Last Synced: 2024-03-24T12:49:01.827Z (over 1 year ago)
- Topics: bitfinex, bitmex, coinbase, cpp, cpp17, cryptocurrency, exchange, kraken, market-data, trading
- Language: C++
- Homepage:
- Size: 188 KB
- Stars: 2
- Watchers: 2
- Forks: 3
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
README
# crypto-market-data-collector
Market data collector for crypto exchanges
A tool with a command-line interface that helps to collect market data from popular cryptocurrency trade exhanges.
It collects level-2 prices (order book) and trade events (buys & sells).
Next exchanges are supported: Coinbase, Bitfinex, Bitmex, Kraken.
It is written in C++ 17.
Supported market data feeds:
| Exchange | Endpoint type |
|------------|---------------|
| Coinbase | Websocket |
| Bitfinex | Websocket |
| Bitmex | Websocket |
| Kraken | REST API |
## Build
How to build in Ubuntu and other Debian-based systems:
Install prerequsites:
```
sudo apt install build-essential cmake
```
Install dependencies:
```
sudo apt install libboost-all-dev libssl-dev libcurl4-openssl-dev
```
Install linting tool clang-tidy (optional):
```
sudo apt install clang-tidy
```
Get the source and build:
```
git clone https://github.com/ilia-funtov/crypto-market-data-collector.git &&
cd crypto-market-data-collector &&
mkdir build &&
cd build &&
cmake .. &&
make
```
Run linter (optional):
```
make lint
```
## Run
Usage:
Get help about command line options
```
./market-data-collector --help
```
Run
```
./market-data-collector --dump-path ./market_data --symbol-config ../config/symbol_mapping.json
```
It always requires a path to a symbol mapping configuration file where exchange specific names are defined; and a path to dump collected data.
In the folder specified as a dump path two subfolder are created: prices and trades. Prices contains files with information from order books.
Trades contains files with information about trades. Files are in csv format.
Price file format is:
exchange name, timestamp in microseconds, best bid price, best bid volume, best ask price, best ask volume, next (bid price, bid volume, ask price, ask volume) repeated N times
Trade file format is:
exchange name, price, volume (positive for taker buy and negative for taker sell), timestamp in microseconds
## Support
You can support this project by making a donation in Bitcoin:
```
bc1qqx0v9zuy2xem5pkz6glr5ft02cfxxhc2pr7grm
```