tardis-dev library provides convenient access to tick-level historical and real-time cryptocurrency market data both in exchange-native and normalized formats. Instead of callbacks it relies on async iteration (for await ...of) enabling composability features like seamless switching between real-time data streaming and historical data replay or computing derived data locally.async iterables providing unified way of consuming data messages
combine helper function — synchronized historical market data replay and consolidated real-time data streaming from multiple exchanges
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*.replay(options)async iterable.replayfunction, returning real-time market data in the same format.getExchangeDetails function to get allowed channels and symbols ids for requested exchangetrue returns messages as buffers instead of decoding them to objectstrue returns message with value undefined for events when connection that was recording the historical data got disconnectedreplayNormalized(options, ...normalizers)async iterable.replayNormalized function, returning real-time market data in the same format.getExchangeDetails function to get allowed symbols ids for requested exchangetrue returns disconnect messages for events when connection that was recording the historical data got disconnectedreplayNormalized function accepts any number of normalizers as rest parameters that map from exchange-native format to normalized data format. tardis-dev ships with built in ones that normalize trades, order book and derivative ticker data but also allows adding custom ones.replayNormalized function and are documented in detail in data normalization section.stream(options)async iterable.stream function, returning historical market data in the same format.getExchangeDetails to get allowed channels and symbols ids for requested exchangetrue returns messages as buffers instead of decoding them to objectstrue returns message with value undefined for real-time stream disconnect eventsstreamNormalized(options, ...normalizers)async iterable.streamNormalized function, returning historical market data in the same format.streamNormalized function can accept any number of custom normalizers as rest parameters that map from exchange-native format to normalized data format. tardis-dev ships with built in ones that normalize trades, order book and derivative ticker data but also allows adding custom ones.streamNormalized function and are documented in detail in data normalization section.init(options)replay 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.temp dir for given OS will be usedgetExchangeDetails(exchange)getExchangeDetailsgetApiKeyAccessInfo(apiKey?)apiKey provided as optional parameter or provided in init function provides information about what historical data is available for it - exchanges, date ranges, symbols.getApiKeyAccessInfo()clearCache()tardis-dev has following built-in normalizers that can be provided to replayNormalized or streamNormalized functions:tardis-dev GitHub repository for each exchange and if you determined that mapping should be done differently please read "modifying built-in and adding custom normalizers" section.normalizeTradesreplayNormalized or streamNormalized function provides normalized trade data for all supported exchanges. normalizeBookChangesreplayNormalized or streamNormalized function provides normalized book_change data for all supported exchanges. 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.normalizeDerivativeTickersreplayNormalized or streamNormalized function provides normalized derivative_ticker data for supported exchanges that trade derivative instruments. disconnect messagereplayNormalized or streamNormalized functions options have withDisconnectMessages flag set to true and disconnect event occurred (eg.: WebSocket connection close) then disconnect message is being returned.tardis-dev data normalization is implemented via normalize factory functions provided to replayNormalized and streamNormalized functions. This design gives lots of flexibility by allowing replacing, extending and modifying built-in normalizers or adding new ones for new normalized data types without the need of forking the whole library. replayNormalized and streamNormalized functions needs to have following signature:Exchange is an exchange id for which mapper object needs to be returned for, localTimestamp is a date for which mapper is created (and is created after each disconnection). In most cases localTimestamp is not necessary for anything, but in certain cases like for example exchange API change it can be used to switch to different mapping logic like using new data channel that wasn't available until certain date.Mapper object has following signature:Mapper objects with clean state if required (stateful mapping like BitMEX order book data that needs to persist state of mapping between price level id and price level and needs to 'reset' for each new connection). If mapper object is stateful it's required to always return new clean state object from normalize factory function or reset it's state in one way or another.iterable iterator of Mapper.map method is expected to have a shape that has at least fields as described in normalized data type section below to play well with other tardis-dev functions like combine or compute.normalizeLiquidations normalizernormalizeLiquidations function that normalizes liquidations data for deribit exchange. Implementations for for other exchanges are left as an exercise for the reader.normalizeLiquidationsderibitLiquidations mapper and normalizeLiquidations