Download market data

Crypto market data

Supported exchanges …

The package provides an easy way to download crypto market data (works with CCTX and uses asyncio for FAST download).

For example, this code downloads market data of pairs BTC/USDT , ETH/USDT with a 1 hour timeframe, from all of the three exchanges Binance, Bitfinex and Huobi :

from gym_trading_env.downloader import download
import datetime

download(
    exchange_names = ["binance", "bitfinex2", "huobi"],
    symbols= ["BTC/USDT", "ETH/USDT"],
    timeframe= "1h",
    dir = "data",
    since= datetime.datetime(year= 2019, month= 1, day=1),
    until = datetime.datetime(year= 2023, month= 1, day=1),
)

Output :

BTC/USDT downloaded from binance and stored at data/binance-BTCUSDT-1h.pkl
BTC/USDT downloaded from huobi and stored at data/huobi-BTCUSDT-1h.pkl
ETH/USDT downloaded from binance and stored at data/binance-ETHUSDT-1h.pkl
ETH/USDT downloaded from huobi and stored at data/huobi-ETHUSDT-1h.pkl
BTC/USDT downloaded from bitfinex2 and stored at data/bitfinex2-BTCUSDT-1h.pkl
ETH/USDT downloaded from bitfinex2 and stored at data/bitfinex2-ETHUSDT-1h.pkl

This function uses pickle format to save the OHLCV data. You will need to import the dataset with pd.read_pickle('... .pkl') . The function supports exchange_names binance , bitfinex2 (API v2) and huobi .

More exchanges …

It is possible to add other exchanges available in ccxt.

To do that, you need to update the EXCHANGE_LIMIT_RATES variable :

• get id of the exchange from the ccxt’s list of exchanges (available here).

• check the API limit rate and query policies of the exchange to complete limit , pause_every and pause parameters. Please, be kind to the APIs to avoid getting banned.

Example with Bybit (ccxt id : bybit ):

from gym_trading_env.downloader import download, EXCHANGE_LIMIT_RATES
import datetime

EXCHANGE_LIMIT_RATES["bybit"] = {
    "limit" : 200, # One request will query 200 data points (aka candlesticks).
    "pause_every" : 120, # it will pause every 120 requests.
    "pause" : 2, # the pause will last 2 seconds.
}
download(
    exchange_names = ["binance", "bitfinex2", "huobi", "bybit"],
    symbols= ["BTC/USDT", "ETH/USDT"],
    timeframe= "1h",
    dir = "examples/data",
    since= datetime.datetime(year= 2023, month= 1, day=1),
)

Stock market data

Coming soon …