historical tick-level market data replay backed by Tardis.dev HTTP API — includes full order book depth snapshots plus incremental updates, tick-by-tick trades, historical open interest, funding, index, mark prices, liquidations and more
support for both exchange-native and normalized market data formats (unified format for accessing market data across all supported exchanges — normalized trades, order book and ticker data)
computing derived data locally like order book imbalance, customizable trade bars, book snapshots and more via compute helper function and computables, e.g., volume based bars, top 20 levels order book snapshots taken every 10 ms etc
tardis-dev lib uses debug package for verbose logging and debugging purposes that can be enabled via DEBUG environment variable set to tardis-dev*.
Usage with TypeScript
Simply change from require
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const{ replay, stream }=require('tardis-dev')
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to ES Modules import
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import{ replay, stream }from'tardis-dev'
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to enjoy first class TypeScript typings.
Replaying historical market data
See historical data details page to get detailed information about historical market data available for each exchange.
replay(options)
Replays historical market data messages for given replay options in exchange-native format. Historical market data is being fetched efficiently (in parallel) from the Tardis.dev HTTP API and cached locally. Returns async iterable.
optional filters of requested historical data feed - use getExchangeDetails function to get allowed channels and symbols ids for requested exchange
from
string
-
replay period start date (UTC) in a format recognized by the Date.parse(), e.g., 2019-04-01
to
string
-
replay period end date (UTC) in a format recognized by the Date.parse(), e.g., 2019-04-02
skipDecoding
boolean | undefined
undefined
when set to true returns messages as buffers instead of decoding them to objects
withDisconnects
boolean | undefined
undefined
when set to true returns message with value undefined for events when connection that was recording the historical data got disconnected
apiKey
string | undefined
undefined
API key for Tardis.dev HTTP API - if not provided only first day of each month of historical data is accessible. It can also be set via init function for all replay calls.
type of messages provided by replay iterator (for await ...of)
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typeMessage=
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|{
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localTimestamp: Date // local timestamp when message has been received
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message:any// message in exchange-native data format
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}
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// when skipDecoding is set to true
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|{
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localTimestamp: Buffer
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message: Buffer
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}
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// when withDisconnects is set to true whole message can be undefined (disconnect)
Replays historical market data messages for given replay options and normalizes messages using normalizers provided as rest arguments. Historical market data is being fetched efficiently (in parallel) from the Tardis.dev HTTP API and cached locally. Returns async iterable.
optional symbols for requested data feed - use getExchangeDetails function to get allowed symbols ids for requested exchange
from
string
-
replay period start date (UTC) in a format recognized by the Date.parse(), e.g., 2019-04-01
to
string
-
replay period end date (UTC) in a format recognized by the Date.parse() e.g., 2019-04-02
withDisconnectMessages
boolean | undefined
undefined
when set to true returns disconnect messages for events when connection that was recording the historical data got disconnected
apiKey
string | undefined
undefined
API key for Tardis.dev HTTP API - if not provided only first day of each month of historical data is accessible. It can also be set via init function for all replayNormalized calls.
types of messages provided by replayNormalized iterator (for await ...of)
Message types and formats depend on specific normalizers provided to replayNormalized function and are documented in detail in data normalization section.
Streams real-time market data messages for given stream options in exchange-native format. It connects directly to exchanges WebSocket APIs and transparently restarts closed, broken or stale connections (open connections without data being send for specified amount of time). Returns async iterable.
Streams real-time market data messages for given stream options and normalizes messages using provided normalizers provided as rest arguments. It connects directly to exchanges WebSocket APIs and transparently restarts closed, broken or stale connections (open connections without data being send for specified amount of time). Returns async iterable.
types of messages provided by streamNormalized iterator (for await ...of)
Message types and formats depend on specific normalizers provided to streamNormalized function and are documented in detail in data normalization section.
This function doesn't affect real-time streaming functionality in any way, it's useful only for historical data replay.
When working with market data viareplay and replayNormalized functions by default only first day of each month of historical data is available for replay as well as locally cached historical data is stored in default location on disk (OS temp dir).
Init function allows providing apiKey received via email after ordering historical market data access via Tardis.dev website as well as customcacheDir. ApiKey can also be provided directly via options of replay and replayNormalized functions - that overrides anything that was provided via init.
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const{ init }=require('tardis-dev')
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init({
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apiKey:'YOUR API KEY',
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cacheDir:'CUSTOM CACHE DIR PATH'
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})
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init options
name
type
defaults
apiKey
string | undefined
undefined
API key for Tardis.dev HTTP API - if not provided only first day of each month of historical data is accessible
cacheDir
string
<os.tmpdir>/.tardis-cache
path to local dir that will be used as cache location - if not provided default temp dir for given OS will be used
getExchangeDetails(exchange)
Given exchange id provides exchange details (available symbols, availability dates, available channels, pricing info etc) provided by exchanges/:exchange API endpoint.
type of response returned by awaiting on getExchangeDetails
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{
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id:string
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name:string
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enabled:boolean
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filterable:boolean
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availableSince:string
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availableSymbols:{
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id:string
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type:'spot'|'future'|'perpetual'|'option'
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availableSince:string
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availableTo?:string
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}[]
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availableChannels:string[]
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incidentReports:{
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from:string
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to:string
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status:string
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details:string
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}
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}
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getApiKeyAccessInfo(apiKey?)
Given apiKey provided as optional parameter or provided in init function provides information about what historical data is available for it - exchanges, date ranges, symbols.
When passed as an arg toreplayNormalized or streamNormalized function provides normalized trade data for all supported exchanges.
sample message
type definition
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{
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type:'trade',
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symbol:'XBTUSD',
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exchange:'bitmex',
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id:'282a0445-0e3a-abeb-f403-11003204ea1b',
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price:7996,
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amount:50,
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side:'sell',
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timestamp:2019-10-23T10:32:49.669Z,
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localTimestamp:2019-10-23T10:32:49.740Z
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}
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{
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type:'trade'
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symbol:string
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exchange:string
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id:string|undefined
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price:number
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amount:number
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side:'buy'|'sell'|'unknown'// liquidity taker side (aggressor)
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timestamp: Date
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localTimestamp: Date
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}
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normalizeBookChanges
When passed as an arg toreplayNormalized or streamNormalized function provides normalized book_change data for all supported exchanges.
Provides initial L2 (market by price) order book snapshots (isSnapshot=true) plus incremental updates for each order book change. Please note that amount is the updated amount at that price level, not a delta. An amount of 0 indicates the price level can be removed.