https://github.com/nkaz001/collect-binancefutures

Collect BinanceFutures's trade and orderbook(depth) feeds.
https://github.com/nkaz001/collect-binancefutures

binance collector feeds orderbook-tick-data orderbook-websocket

Last synced: 7 days ago
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Collect BinanceFutures's trade and orderbook(depth) feeds.

• Host: GitHub
• URL: https://github.com/nkaz001/collect-binancefutures
• Owner: nkaz001
• Created: 2022-06-08T09:24:29.000Z (over 2 years ago)
• Default Branch: master
• Last Pushed: 2024-07-26T14:13:58.000Z (5 months ago)
• Last Synced: 2024-12-07T20:41:50.344Z (15 days ago)
• Topics: binance, collector, feeds, orderbook-tick-data, orderbook-websocket
• Language: Python
• Homepage:
• Size: 247 KB
• Stars: 98
• Watchers: 4
• Forks: 26
• Open Issues: 1
• Metadata Files:
  • Readme: README.md

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README

        
# This project moved to https://github.com/nkaz001/hftbacktest/tree/master/collector

# Binance feed collector

## Requirements

Python3: run by `python3` command.  

aiohttp: `pip3 install aiohttp`

## Run

`collect.sh [exchange] [symbols separated by comma.] [output path]`  

example: `collect.sh binancefutures btcusdt,ethusdt /mnt/data`

## Exchanges  

* **binance**: binance spot  

* **binancefutures**: binance usd(s)-m futures    

* **binancefuturescoin**: binance coin-m futures

example: `collect.sh binancefuturescoin btcusd_perp /mnt/data`   

 

**AWS tokyo region is recommended to minimize latency.**

# Converter: feed data to Pandas Dataframe pickle file

## Requirements

Python3: run by `python3` command.  

pandas: `pip3 install pandas`

## Run

`convert.sh [-s INITIAL_MARKET_DEPTH_SNAPSHOT] [-f] [-c] src_file dst_path

option:  

with -f: including mark price, funding, book ticker streams  

without -f: only market depth and trade streams  

with -c: correct exchange timestamp to be monotonically increased  

  

example:  

`convert.sh /mnt/data/btcusdt_20220811.dat /mnt/data`  

or with the initial market depth snapshot  

`convert.sh /mnt/data/btcusdt_20220811.dat /mnt/data -s /mnt/data/btcusdt_20220810.snapshot.pkl`

  

`/mnt/data/btcusdt_20220810.snapshot.pkl` is End-Of-Day market depth snapshot of 20220810 so it's initial market depth snapshot of 20220811.