Tardis Machine Server
Locally runnable server with built-in data caching, providing both tick-level historical and consolidated real-time cryptocurrency market data via HTTP and WebSocket APIs
Tardis-machine is a locally runnable server with built-in data caching that uses Tardis.dev HTTP API under the hood. It provides both tick-level historical and consolidated real-time cryptocurrency market data via it's HTTP and WebSocket APIs and is available via npm and Docker.
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- efficient data replay API endpoints returning historical market data for whole time periods (in contrast to Tardis.dev HTTP API where single call returns data for single minute time period)
- WebSocket API providing historical market data replay from any given past point in time with the same data format and 'subscribe' logic as real-time exchanges' APIs - in many cases existing exchanges' WebSocket clients can be used to connect to this endpoint
- consistent format for accessing market data across multiple exchanges
- transparent historical local data caching (cached data is stored on disk in compressed GZIP format and decompressed on demand when reading the data)
- support for top cryptocurrency exchanges: BitMEX, Deribit, Binance, Binance Futures, FTX, OKEx, Huobi Global, Huobi DM, bitFlyer, Bitstamp, Coinbase Pro, Kraken Futures, Gemini, Kraken, Bitfinex, Bybit, OKCoin, CoinFLEX and more
### running without persitent local cache
docker run -p 8000:8000 -p 8001:8001 -e "TM_API_KEY=YOUR_API_KEY" -d tardisdev/tardis-machine
Tardis-machine server's HTTP endpoints will be available on port
8000 and WebSocket API endpoints on port 8001. Your API key will be passed via ENV variable (TM_API_KEY) — simply replace YOUR_API_KEY with API key you've received via email.Command above does not use persistent volumes for local caching (each docker restart will result in loosing local data cache). In order to use for example
./host-cache-dir as persistent volume (bind mount) cache directory, run: docker run -v ./host-cache-dir:/.cache -p 8000:8000 -p 8001:8001 -e "TM_API_KEY=YOUR_API_KEY" -d tardisdev/tardis-machine
Since using volumes can cause issues especially on Windows, it's fine to run Docker image without them with the caveat of potentially poor local cache ratio after each container's restart.
You can set following environment config variables to configure tardis-machine server:
name | default | description |
TM_API_KEY | | API key for Tardis.dev HTTP API - if not provided only first day of each month of historical data is accessible |
TM_PORT | 8000 | HTTP port on which server will be running, WebSocket port is always this value + 1 ( 8001 with port set to 8000) |
TM_CACHE_DIR | /.cache | path to local dir that will be used as cache location |
TM_CLUSTER_MODE | false | will launch cluster of Node.js processes to handle the incoming requests if set to true, by default server runs in single process mode |
TM_DEBUG | false | server will print verbose debug logs to stdout if set to true |
TM_CLEAR_CACHE | false | server will clear local cache dir on startup if set to true |
Requires Node.js v12+ and git installed.
Install and run
tardis-machine server via npx command:npx tardis-machine --api-key=YOUR_API_KEY
or install globally via
npm:npm install -g tardis-machine
and then run:
tardis-machine --api-key=YOUR_API_KEY
Tardis-machine server's HTTP endpoints will be available on port
8000 and WebSocket API endpoints on port 8001. Your API key will be passed via --api-key config flag — simply replace YOUR_API_KEY with API key you've received via email.
You can configure tardis-machine server via environment variables as described in Docker section as well.
You can set following CLI config flags when starting tardis-machine server installed via
npm:name | default | description |
--api-key | | API key for Tardis.dev HTTP API - if not provided only first day of each month of historical data is accessible |
--port | 8000 | HTTP port on which server will be running, WebSocket port is always this value + 1 ( 8001 with port set to 8000) |
--cache-dir | <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 |
--cluster-mode | false | will launch cluster of Node.js processes to handle the incoming requests if set to true, by default server runs in single process mode |
--debug | false | server will print verbose debug logs to stdout if set to true |
--clear-cache | false | server will clear local cache dir on startup is set to true |
--help | | shows CLI help |
--version | | shows tardis-machine version number |
Exchange-native market data API endpoints provide historical data in exchange-native format. The main difference between HTTP and WebSocket endpoints is the logic of requesting data:
- WebSocket API accepts exchanges' specific 'subscribe' messages that define what data will be then "replayed" and send to WebSocket client
Returns historical market data messages in exchange-native format for given replay options query string param. Single streaming HTTP response returns data for the whole requested time period as NDJSON.
In our preliminary benchmarks on AMD Ryzen 7 3700X, 64GB RAM, HTTP /replay API endpoint was returning ~700 000 messages/s (already locally cached data).
Python
Node.js
cURL
Your preferred language
import asyncio
import aiohttp
import json
import urllib.parse
async def replay_via_tardis_machine_machine(replay_options):
timeout = aiohttp.ClientTimeout(total=0)
async with aiohttp.ClientSession(timeout=timeout) as session:
# url encode as json object options
encoded_options = urllib.parse.quote_plus(json.dumps(replay_options))
# assumes tardis-machine HTTP API running on localhost:8000
url = f"http://localhost:8000/replay?options={encoded_options}"
async with session.get(url) as response:
# otherwise we may get line to long errors
response.content._high_water = 100_000_000
# returned data is in NDJSON format http://ndjson.org/
# each line is separate message JSON encoded
async for line in response.content:
yield line
async def run():
lines = replay_via_tardis_machine_machine(
{
"exchange": "bitmex",
"from": "2019-10-01",
"to": "2019-10-02",
"filters": [
{"channel": "trade", "symbols": ["XBTUSD", "ETHUSD"]},
{"channel": "orderBookL2", "symbols": ["XBTUSD", "ETHUSD"]},
],
}
)
async for line in lines:
message = json.loads(line)
# localTimestamp string marks timestamp when message was received
# message is a message dict as provided by exchange real-time stream
print(message["localTimestamp"], message["message"])
asyncio.run(run())
const fetch = require('node-fetch')
const split2 = require('split2')
const serialize = options => {
return encodeURIComponent(JSON.stringify(options))
}
async function* replayViaTardisMachine(options) {
// assumes tardis-machine HTTP API running on localhost:8000
const url = `http://localhost:8000/replay?options=${serialize(options)}`
const response = await fetch(url)
// returned data is in NDJSON format http://ndjson.org/
// each line is separate message JSON encoded
// split response body stream by new lines
const lines = response.body.pipe(split2())
for await (const line of lines) {
yield line
}
}
async function run() {
const options = {
exchange: 'bitmex',
from: '2019-10-01',
to: '2019-10-02',
filters: [
{
channel: 'trade',
symbols: ['XBTUSD', 'ETHUSD']
},
{
channel: 'orderBookL2',
symbols: ['XBTUSD', 'ETHUSD']
}
]
}
const lines = replayViaTardisMachine(options)
for await (const line of lines) {
// localTimestamp string marks timestamp when message was received
// message is a message object as provided by exchange real-time stream
const { message, localTimestamp } = JSON.parse(line)
console.log(message, localTimestamp)
}
}
run()
curl -g 'localhost:8000/replay?options={"exchange":"bitmex","filters":[{"channel":"orderBookL2","symbols":["XBTUSD","ETHUSD"]}],"from":"2019-07-01","to":"2019-07-02"}'
http://localhost:8000/replay?options={%22exchange%22:%22bitmex%22,%22filters%22:[{%22channel%22:%22orderBookL2%22,%22symbols%22:[%22XBTUSD%22,%22ETHUSD%22]}],%22from%22:%222019-07-01%22,%22to%22:%222019-07-02%22}
localhost
Click to see API response in the browser as long as tardis-machine is running on localhost:8000
We're working on providing more samples and dedicated client libraries in different languages, but in the meanwhile to consume HTTP /replay API responses in your language of choice, you should:
- 1.
- 2.Parse HTTP response stream line by line as it's returned - buffering in memory whole response may result in slow performance and memory overflows
- 3.
name | type | default | |
exchange | string | - | |
filters | {channel:string, symbols?: string[]}[] | [] | optional filters of requested historical data feed - check historical data details for each exchange and /exchanges/:exchange HTTP API to get allowed channels and symbols for requested exchange |
from | string | - | |
to | string | - | |
withDisconnects | boolean | undefined | undefined | when set to true, response includes empty lines (\n) that mark events when real-time WebSocket connection that was used to collect the historical data got disconnected |
Streamed HTTP response provides data in NDJSON format (new line delimited JSON) - each response line is a JSON with market data message in exchange-native format plus local timestamp:
localTimestamp- date when message has been received in ISO 8601 formatmessage- JSON with exactly the same format as provided by requested exchange real-time feeds
Sample response
{"localTimestamp":"2019-05-01T00:09:42.2760012Z","message":{"table":"orderBookL2","action":"update","data":[{"symbol":"XBTUSD","id":8799473750,"side":"Buy","size":2333935}]}}
{"localTimestamp":"2019-05-01T00:09:42.2932826Z","message":{"table":"orderBookL2","action":"update","data":[{"symbol":"XBTUSD","id":8799474250,"side":"Buy","size":227485}]}}
{"localTimestamp":"2019-05-01T00:09:42.4249304Z","message":{"table":"trade","action":"insert","data":[{"timestamp":"2019-05-01T00:09:42.407Z","symbol":"XBTUSD","side":"Buy","size":1500,"price":5263,"tickDirection":"ZeroPlusTick","trdMatchID":"29d7de7f-27b6-9574-48d1-3ee9874831cc","grossValue":28501500,"homeNotional":0.285015,"foreignNotional":1500}]}}
{"localTimestamp":"2019-05-01T00:09:42.4249403Z","message":{"table":"orderBookL2","action":"update","data":[{"symbol":"XBTUSD","id":8799473700,"side":"Sell","size":454261}]}}
{"localTimestamp":"2019-05-01T00:09:42.4583155Z","message":{"table":"orderBookL2","action":"update","data":[{"symbol":"XBTUSD","id":8799473750,"side":"Buy","size":2333838},{"symbol":"XBTUSD","id":8799473800,"side":"Buy","size":547746}]}}
Exchanges' WebSocket APIs are designed to publish real-time market data feeds, not historical ones. Tardis-machine WebSocket /ws-replay API fills that gap and allows "replaying" historical market data from any given past point in time with the same data format and 'subscribe' logic as real-time exchanges' APIs. In many cases existing exchanges' WebSocket clients can be used to connect to this endpoint just by changing URL, and receive historical market data in exchange-native format for date ranges specified in URL query string params.
After connection is established, client has 2 seconds to send subscriptions payloads and then market data replay starts.
If two clients connect at the same time requesting data for different exchanges and provide the same session key via query string param, then data being send to those clients will be synchronized (by local timestamp).
In our preliminary benchmarks on AMD Ryzen 7 3700X, 64GB RAM, WebSocket /ws-replay
API endpoint was sending ~500 000 messages/s (already locally cached data).
Python
Node.js
Your preferred language
import asyncio
import aiohttp
import json
async def run():
WS_REPLAY_URL = "ws://localhost:8001/ws-replay"
URL = f"{WS_REPLAY_URL}?exchange=bitmex&from=2019-10-01&to=2019-10-02"
async with aiohttp.ClientSession() as session:
async with session.ws_connect(URL) as websocket:
await websocket.send_str(
json.dumps(
{
"op": "subscribe",
"args": [
"trade:XBTUSD",
"trade:ETHUSD",
"orderBookL2:XBTUSD",
"orderBookL2:ETHUSD",
],
}
)
)
async for msg in websocket:
print(msg.data)
asyncio.run(run())
You can also try using existing WebSocket client by changing URL endpoint to the one shown in the example above.
const WebSocket = require('ws')
const WS_REPLAY_URL = 'ws://localhost:8001/ws-replay'
const ws = new WebSocket(
`${WS_REPLAY_URL}?exchange=bitmex&from=2019-10-01&to=2019-10-02`
)
ws.onmessage = message => {
console.log(message.data)
}
ws.onopen = () => {
ws.send(
JSON.stringify({
op: 'subscribe',
args: [
'trade:XBTUSD',
'trade:ETHUSD',
'orderBookL2:XBTUSD',
'orderBookL2:ETHUSD'
]
})
)
}
You can also use existing WebSocket client, just by changing URL endpoint as shown in the example below that uses ccxws.
const ccxws = require('ccxws')
const BASE_URL = 'ws://localhost:8001/ws-replay'
const WS_REPLAY_URL = `${BASE_URL}?exchange=bitmex&from=2019-10-01&to=2019-10-02`
const bitMEXClient = new ccxws.bitmex()
// only change required for ccxws client is to point it to /ws-replay URL
bitMEXClient._wssPath = WS_REPLAY_URL
const market = {
id: 'XBTUSD',
base: 'BTC',
quote: 'USD'
}
bitMEXClient.on('l2snapshot', snapshot =>
console.log('snapshot', snapshot.asks.length, snapshot.bids.length)
)
bitMEXClient.on('l2update', update => console.log(update))
bitMEXClient.on('trade', trade => console.log(trade))
bitMEXClient.subscribeTrades(market)
bitMEXClient.subscribeLevel2Updates(market)
As long as you already use existing WebSocket client that connects to and consumes real-time exchange market data feed, in most cases you can use it to connect to /ws-replay API as well just by changing URL endpoint.
name | type | default | description |
exchange | string | - | |
from | string | - | |
to | string | - | |
session | string | undefined | undefined | optional replay session key. When specified and multiple clients use it when connecting at the same time then data being send to those clients is synchronized (by local timestamp). |
Normalized market data API endpoints provide data in unified format across all supported exchanges. Both HTTP /replay-normalized and WebSocket /ws-replay-normalized APIs accept the same replay options payload via query string param. It's mostly matter of preference when choosing which protocol to use, but WebSocket /ws-replay-normalized API has also it's real-time counterpart /ws-stream-normalized, which connects directly to exchanges' real-time WebSocket APIs. This opens the possibility of seamless switching between real-time streaming and historical normalized market data replay.
Returns historical market data for data types specified via query string. Single streaming HTTP response returns data for the whole requested time period as NDJSON. See supported data types which include normalized trade, order book change, customizable order book snapshots etc.
In our preliminary benchmarks on AMD Ryzen 7 3700X, 64GB RAM,
HTTP /replay-normalized API endpoint was returning ~100 000 messages/s and ~50 000 messages/s when order book snapshots were also requested.
Python
Node.js
cURL
Your preferred language
import asyncio
import aiohttp
import json
import urllib.parse
async def replay_normalized_via_tardis_machine_machine(replay_options):
timeout = aiohttp.ClientTimeout(total=0)
async with aiohttp.ClientSession(timeout=timeout) as session:
# url encode as json object options
encoded_options = urllib.parse.quote_plus(json.dumps(replay_options))
# assumes tardis-machine HTTP API running on localhost:8000
url = f"http://localhost:8000/replay-normalized?options={encoded_options}"
async with session.get(url) as response:
# otherwise we may get line to long errors
response.content._high_water = 100_000_000
# returned data is in NDJSON format http://ndjson.org/ streamed
# each line is separate message JSON encoded
async for line in response.content:
yield line
async def run():
lines = replay_normalized_via_tardis_machine_machine(
{
"exchange": "bitmex",
"from": "2019-10-01",
"to": "2019-10-02",
"symbols": ["XBTUSD", "ETHUSD"],
"withDisconnectMessages": True,
# other available data types examples:
# 'book_snapshot_10_100ms', 'derivative_ticker', 'quote',
# 'trade_bar_10ms', 'trade_bar_10s'
"dataTypes": ["trade", "book_change", "book_snapshot_10_100ms"],
}
)
async for line in lines:
normalized_message = json.loads(line)
print(normalized_message)
asyncio.run(run())
const fetch = require('node-fetch')
const split2 = require('split2')
const serialize = options => {
return encodeURIComponent(JSON.stringify(options))
}
async function* replayNormalizedViaTardisMachine(options) {
// assumes tardis-machine HTTP API running on localhost:8000
const url = `http://localhost:8000/replay-normalized?options=${serialize(
options
)}`
const response = await fetch(url)
// returned data is in NDJSON format http://ndjson.org/
// each line is separate message JSON encoded
// split response body stream by new lines
const lines = response.body.pipe(split2())
for await (const line of lines) {
yield line
}
}
async function run() {
const options = {
exchange: 'bitmex',
from: '2019-10-01',
to: '2019-10-02',
symbols: ['XBTUSD', 'ETHUSD'],
withDisconnectMessages: true,
// other available data types examples:
// 'book_snapshot_10_100ms', 'derivative_ticker', 'quote',
// 'trade_bar_10ms', 'trade_bar_10s'
dataTypes: ['trade', 'book_change', 'book_snapshot_10_100ms']
}
const lines = replayNormalizedViaTardisMachine(options)
for await (const line of lines) {
const normalizedMessage = JSON.parse(line)
console.log(normalizedMessage)
}
}
run()
curl -g 'http://localhost:8000/replay-normalized?options={"exchange":"bitmex","from":"2019-10-01","to":"2019-10-02","symbols":["XBTUSD","ETHUSD"],"withDisconnectMessages":true,"dataTypes":["trade","book_change","book_snapshot_10_100ms"]}'
http://localhost:8000/replay-normalized?options={%22exchange%22:%22bitmex%22,%22from%22:%222019-10-01%22,%22to%22:%222019-10-02%22,%22symbols%22:[%22XBTUSD%22,%22ETHUSD%22],%22withDisconnectMessages%22:true,%22dataTypes%22:[%22trade%22,%22book_change%22,%22book_snapshot_10_100ms%22]}
localhost
Click to see API response in the browser as long as tardis-machine is running on localhost:8000
We're working on providing more samples and dedicated client libraries in different languages, but in the meanwhile to consume HTTP /replay-normalized API responses in your language of choice, you should:
- 1.
- 2.Parse HTTP response stream line by line as it's returned - buffering in memory whole response may result in slow performance and memory overflows
- 3.
HTTP /replay-normalized endpoint accepts required options query string param in url encoded JSON format.
Options JSON needs to be an object or an array of objects with fields as specified below. If array is provided, then data requested for multiple exchanges is returned synchronized (by local timestamp).
name | type | default | |
exchange | string | - | |
symbols | string[] | undefined | undefined | optional symbols of requested historical data feed - use /exchanges/:exchange HTTP API to get allowed symbols for requested exchange |
from | string | - | |
to | string | - | |
dataTypes | string[] | - | |
withDisconnectMessages | boolean | undefined | undefined | when set to true, response includes disconnect messages that mark events when real-time WebSocket connection that was used to collect the historical data got disconnected |
Sends normalized historical market data for data types specified via query string. See supported data types which include normalized trade, order book change, customizable order book snapshots etc.
WebSocket /ws-stream-normalized is the real-time counterpart of this API endpoint, providing real-time market data in the same format, but not requiring API key as connects directly to exchanges' real-time WebSocket APIs.
Python
Node.js
Your preferred language
import asyncio
import aiohttp
import json
import urllib.parse
async def run():
replay_options = {
"exchange": "bitmex",
"from": "2019-10-01",
"to": "2019-10-02",
"symbols": ["XBTUSD", "ETHUSD"],
"withDisconnectMessages": True,
# other available data types examples:
# 'book_snapshot_10_100ms', 'derivative_ticker', 'quote',
# 'trade_bar_10ms', 'trade_bar_10s'
"dataTypes": ["trade", "book_change", "book_snapshot_10_100ms"],
}
options = urllib.parse.quote_plus(json.dumps(replay_options))
URL = f"ws://localhost:8001/ws-replay-normalized?options={options}"
async with aiohttp.ClientSession() as session:
async with session.ws_connect(URL) as websocket:
async for msg in websocket:
print(msg.data)
asyncio.run(run())
const WebSocket = require('ws')
const serialize = options => {
return encodeURIComponent(JSON.stringify(options))
}
const replayOptions = {
exchange: 'bitmex',
from: '2019-10-01',
to: '2019-10-02',
symbols: ['XBTUSD', 'ETHUSD'],
withDisconnectMessages: true,
// other available data types examples:
// 'book_snapshot_10_100ms', 'derivative_ticker', 'quote',
// 'trade_bar_10ms', 'trade_bar_10s'
dataTypes: ['trade', 'book_change', 'book_snapshot_10_100ms']
}
const options = serialize(replayOptions)
const URL = `ws://localhost:8001/ws-replay-normalized?options=${options}`
const ws = new WebSocket(URL)
ws.onmessage = message => {
console.log(message.data)
}
We're working on providing more samples and dedicated client libraries in different languages, but in the meanwhile to consume WebSocket /ws-replay-normalized API responses in your language of choice, you should:
- 1.
- 2.
WebSocket /ws-replay-normalized endpoint accepts required options query string param in url encoded JSON format.
Options JSON needs to be an object or an array of objects with fields as specified below. If array is provided, then data requested for multiple exchanges is being send synchronized (by local timestamp).
name | type | default | |
exchange | string | - | |
symbols |