Install, configure and use tardis-client and tardis-dev Python packages
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import asyncio
from tardis_client import TardisClient, Channel
async def replay():
tardis_client = TardisClient()
# replay method returns Async Generator
# https://rickyhan.com/jekyll/update/2018/01/27/python36.html
messages = tardis_client.replay(
exchange="bitmex",
from_date="2019-06-01",
to_date="2019-06-02",
filters=[
Channel(name="trade", symbols=["XBTUSD","ETHUSD"]),
Channel("orderBookL2", ["XBTUSD"])
],
)
# this will print all trades and orderBookL2 messages for XBTUSD
# and all trades for ETHUSD for bitmex exchange
# between 2019-06-01T00:00:00.000Z and 2019-06-02T00:00:00.000Z
#(whole first day of June 2019)
async for local_timestamp, message in messages:
# local timestamp is a Python datetime that marks timestamp
# when given message has been received
# message is a message object as provided by exchange real-time stream
print(message)
asyncio.run(replay())import asyncio
import csv
from tardis_client import TardisClient, Channel
async def save_historical_deribit_index_data_to_csv():
tardis_client = TardisClient()
messages = tardis_client.replay(
exchange="deribit",
from_date="2019-06-01",
to_date="2019-06-02",
filters=[Channel(name="deribit_price_index", symbols=["btc_usd", "eth_usd"])],
)
with open("./deribit_index_data.csv", mode="w") as csv_file:
fieldnames = ["symbol", "price", "timestamp"]
writer = csv.DictWriter(csv_file, fieldnames=fieldnames)
writer.writeheader()
async for local_timestamp, message in messages:
data = message["params"]["data"]
writer.writerow({"symbol": data["index_name"], "price": data["price"], "timestamp": data["timestamp"]})
print("finished")
asyncio.run(save_historical_deribit_index_data_to_csv())