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

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Last updated 8 months ago

Introduction

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.

Features

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)
exchange-native market data APIs
- tick-by-tick historical market data replay in exchange-native format
- HTTP and WebSocket endpoints
- 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
normalized market data APIs
- consistent format for accessing market data across multiple exchanges
- HTTP and WebSocket endpoints
- synchronized historical market data replay across multiple exchanges
- consolidated real-time data streaming connecting directly to exchanges' WebSocket APIs
- customizable order book snapshots and trade bars data types
- seamless switching between real-time data streaming and historical data replay
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
Open Source

Installation

Docker

Pull and run latest version of tardisdev/tardis-machine image:

### 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.

Config environment variables

You can set following environment config variables to configure tardis-machine server:

npm

Requires Node.js v12+ and git installed.

Install and runtardis-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.

CLI config flags

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:

Exchange-native market data APIs

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:

HTTP API accepts request options payload via query string param
WebSocket API accepts exchanges' specific 'subscribe' messages that define what data will be then "replayed" and send to WebSocket client

• `HTTP GET` /replay?options={options}

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).

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())

See also official Tardis.dev Python client library.

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()

See also official Tardis.dev Node.js client library.

curl -g 'localhost:8000/replay?options={"exchange":"bitmex","filters":[{"channel":"orderBookL2","symbols":["XBTUSD","ETHUSD"]}],"from":"2019-07-01","to":"2019-07-02"}'

Replay options

HTTP /replay endpoint accepts required options query string param in url encoded JSON format.

Response format

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 format
message - 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}]}}

• `WebSocket` /ws-replay?exchange={exchange}&from={fromDate}&to={toDate}

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).

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)

Query string params

Normalized market data APIs

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.

• `HTTP GET` /replay-normalized?options={options}

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.

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()

See also official Tardis.dev Node.js client library.

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"]}'

Replay normalized options

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).

Response format & sample messages

See normalized data types.

• `WebSocket` /ws-replay-normalized?options={options}

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.

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)
}

See also official Tardis.dev Node.js client library.

Replay normalized options

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).

In our preliminary benchmarks on AMD Ryzen 7 3700X, 64GB RAM, WebSocket /ws-replay-normalized API endpoint was returning ~70 000 messages/s and ~40 000 messages/s when order book snapshots were also requested.

Response format & sample messages

See normalized data types.

• `WebSocket` /ws-stream-normalized?options={options}

Sends normalized real-time 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.

Doesn't requires API key as connects directly to exchanges real-time WebSocket APIs and transparently restarts closed, broken or stale connections (open connections without data being send for specified amount of time).

Provides consolidated real-time market data streaming functionality with options as an array - provides single consolidated real-time data stream for all exchanges specified in options array.

WebSocket /ws-replay-normalized is the historical counterpart of this API endpoint, providing historical market data in the same format.

import asyncio
import aiohttp
import json
import urllib.parse


async def run():
    data_types = ["trade", "book_change", "book_snapshot_10_100ms"]

    stream_options = [
        {
            "exchange": "bitmex",
            "symbols": ["XBTUSD"],
            "dataTypes": data_types,
        },
        {
            "exchange": "deribit",
            "symbols": ["BTC-PERPETUAL"],
            "dataTypes": data_types,
        },
    ]

    options = urllib.parse.quote_plus(json.dumps(stream_options))

    URL = f"ws://localhost:8001/ws-stream-normalized?options={options}"
    # real-time normalized data for two exchanges via single connection
    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))
}
// other available data types examples:
// 'book_snapshot_10_100ms', 'derivative_ticker', 'quote',
// 'trade_bar_10ms', 'trade_bar_10s'
const dataTypes = ['trade', 'book_change', 'book_snapshot_10_100ms']

const streamOptions = [
  {
    exchange: 'bitmex',
    symbols: ['XBTUSD'],
    dataTypes
  },
  {
    exchange: 'deribit',
    symbols: ['BTC-PERPETUAL'],
    dataTypes
  }
]

const options = serialize(streamOptions)
const URL = `ws://localhost:8001/ws-stream-normalized?options=${options}`
const ws = new WebSocket(URL)
// real-time normalized data for two exchanges via single connection
ws.onmessage = message => {
  console.log(message.data)
}

See also official Tardis.dev Node.js client library.

Stream normalized options

WebSocket /ws-stream-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 specified then API provides single consolidated real-time data stream for all exchanges specified (as in examples above).

Response format & sample messages

See normalized data types.

Normalized data types

• trade

Individual trade

{
  "type": "trade",
  "symbol": "XBTUSD",
  "exchange": "bitmex",
  "id": "282a0445-0e3a-abeb-f403-11003204ea1b",
  "price": 7996,
  "amount": 50,
  "side": "sell",
  "timestamp": "2019-10-23T10:32:49.669Z",
  "localTimestamp": "2019-10-23T10:32:49.740Z"
}

{
  type: 'trade'
  symbol: string // instrument symbol as provided by exchange
  exchange: string // exchange id
  id: string | undefined // trade id if provided by exchange
  price: number // trade price as provided by exchange
  amount: number // trade amount as provided by exchange
  side: 'buy' | 'sell' | 'unknown' // liquidity taker side (aggressor)
  timestamp: string // trade timestamp provided by exchange (ISO 8601 format)
  localTimestamp: string // message arrival timestamp (ISO 8601 format)
}

• book_change

Initial L2 (market by price) order book snapshot (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.

{
  "type": "book_change",
  "symbol": "XBTUSD",
  "exchange": "bitmex",
  "isSnapshot": false,
  "bids": [],
  "asks": [
    {
      "price": 7985,
      "amount": 283318
    }
  ],
  "timestamp": "2019-10-23T11:29:53.469Z",
  "localTimestamp": "2019-10-23T11:29:53.469Z"
}

{
  type: 'book_change'
  symbol: string // instrument symbol as provided by exchange
  exchange: string // exchange id
  isSnapshot: boolean // if true marks initial order book snapshot
  bids: { price: number; amount: number }[] // updated bids price-amount levels
  asks: { price: number; amount: number }[] // updated asks price-amount levels
  timestamp: string // order book update timestamp if provided by exchange,
                    // otherwise equals to localTimestamp, (ISO 8601 format)
  localTimestamp: string // message arrival timestamp (ISO 8601 format)
}

• derivative_ticker

Derivative instrument ticker info sourced from real-time ticker & instrument channels.

{
  "type": "derivative_ticker",
  "symbol": "BTC-PERPETUAL",
  "exchange": "deribit",
  "lastPrice": 7987.5,
  "openInterest": 84129491,
  "fundingRate": -0.00001568,
  "indexPrice": 7989.28,
  "markPrice": 7987.56,
  "timestamp": "2019-10-23T11:34:29.302Z",
  "localTimestamp": "2019-10-23T11:34:29.416Z"
}

{
  type: 'derivative_ticker'
  symbol: string // instrument symbol as provided by exchange
  exchange: string // exchange id
  lastPrice: number | undefined // last instrument price if provided by exchange
  openInterest: number | undefined // last open interest if provided by exchange
  fundingRate: number | undefined // last funding rate if provided by exchange
  indexPrice: number | undefined // last index price if provided by exchnage
  markPrice: number | undefined // last mark price if provided by exchange
  timestamp: string // message timestamp provided by exchange (ISO 8601 format)
  localTimestamp: string // message arrival timestamp (ISO 8601 format)
}

• book_snapshot_{number_of_levels}_{snapshot_interval}{time_unit}

Order book snapshot for selected number_of_levels (top bids and asks), snapshot_interval and time_unit. When snapshot_interval is set to 0 , snapshots are taken anytime order book state within specified levels has changed, otherwise snapshots are taken anytime snapshot_interval time has passed and there was an order book state change within specified levels. Order book snapshots are computed from exchanges' real-time order book streaming L2 data (market by price).

Examples:

book_snapshot_10_0ms - provides top 10 levels tick-by-tick order book snapshots
book_snapshot_50_100ms - provides top 50 levels order book snapshots taken at 100 millisecond intervals
book_snapshot_30_10s - provides top 30 levels order book snapshots taken at 10 second intervals
quote is an alias of book_snapshot_1_0ms - provides top of the book (best bid/ask) tick-by-order book snapshots
quote_10s is an alias of book_snapshot_1_10s - provides top of the book (best bid/ask) order book snapshots taken at 10 seconds intervals

Available time units:

ms - milliseconds
s - seconds
m - minutes

{
  "type": "book_snapshot",
  "symbol": "XBTUSD",
  "exchange": "bitmex",
  "name": "book_snapshot_2_50ms",
  "depth": 2,
  "interval": 50,
  "bids": [
    {
      "price": 7633.5,
      "amount": 1906067
    },
    {
      "price": 7633,
      "amount": 65319
    }
  ],
  "asks": [
    {
      "price": 7634,
      "amount": 1467849
    },
    {
      "price": 7634.5,
      "amount": 67939
    }
  ],
  "timestamp": "2019-10-25T13:39:46.950Z",
  "localTimestamp": "2019-10-25T13:39:46.961Z"
}

{
  type: 'book_snapshot'
  symbol: string // instrument symbol as provided by exchange
  exchange: string // exchange id
  name: string // name with format book_snapshot_{depth}_{interval}{time_unit}
  depth: number // requested number of levels (top bids/asks)
  interval: number // requested snapshot interval in milliseconds
  bids: { price: number; amount: number }[] // top "depth" bids price-amount levels
  asks: { price: number; amount: number }[] // top "depth" asks price-amount levels
  timestamp: string // snapshot timestamp based on last book_change message
                    // processed timestamp adjusted to snapshot interval
  localTimestamp: string // message arrival timestamp 
                         // that triggered snapshot (ISO 8601 format)
}

• trade_bar_{aggregation_interval}{suffix}

Trades data in aggregated form, known as OHLC, candlesticks, klines etc. Not only most common time based aggregation is supported, but volume and tick count based as well. Bars are computed from tick-by-tick raw trade data, if in given interval no trades happened, there is no bar produced.

Examples:

trade_bar_10ms - provides time based trade bars with 10 milliseconds intervals
trade_bar_5m - provides time based trade bars with 5 minute intervals
trade_bar_100ticks - provides ticks based trade bars with 100 ticks (individual trades) intervals
trade_bar_100000vol - provides volume based trade bars with 100 000 volume intervals

Allowed suffixes:

ms - milliseconds
s - seconds
m - minutes
ticks - number of ticks
vol - volume size

{
  "type": "trade_bar",
  "symbol": "XBTUSD",
  "exchange": "bitmex",
  "name": "trade_bar_10000ms",
  "interval": 10000,
  "kind": "time",
  "open": 7623.5,
  "high": 7623.5,
  "low": 7623,
  "close": 7623.5,
  "volume": 37034,
  "buyVolume": 24244,
  "sellVolume": 12790,
  "trades": 9,
  "vwap": 7623.327320840309,
  "openTimestamp": "2019-10-25T13:11:31.574Z",
  "closeTimestamp": "2019-10-25T13:11:39.212Z",
  "localTimestamp": "2019-10-25T13:11:40.369Z",
  "timestamp": "2019-10-25T13:11:40.000Z"
}

{
  type: 'trade_bar'
  symbol: string // instrument symbol as provided by exchange
  exchange: string // exchange id
  name: string // name with format trade_bar_{interval}
  interval: number // requested trade bar interval
  kind: 'time' | 'volume' | 'tick' // trade bar kind
  open: number // open price
  high: number // high price
  low: number //low price
  close: number // close price
  volume: number // total volume traded in given interval
  buyVolume: number // buy volume traded in given interval
  sellVolume: number // sell volume traded in given interval
  trades: number // trades count in given interval
  vwap: number // volume weighted average price
  openTimestamp: string // timestamp of first trade for given bar (ISO 8601 format)
  closeTimestamp: string // timestamp of last trade for given bar (ISO 8601 format)
  timestamp: string // end of interval period timestamp (ISO 8601 format)
  localTimestamp: string // message arrival timestamp 
                         // that triggered given bar computation (ISO 8601 format)
}

• disconnect

Message that marks events when real-time WebSocket connection that was used to collect the historical data got disconnected.

{
  "type": "disconnect",
  "exchange": "deribit",
  "localTimestamp": "2019-10-23T11:34:29.416Z"
}

{
  type: 'disconnect'
  exchange: string // exchange id
  localTimestamp: string // timestamp when disconnect occurred (ISO 8601 format)
}

Introduction

Features

Installation

Docker

Config environment variables

npm

CLI config flags

Exchange-native market data APIs

• HTTP GET /replay?options={options}

Replay options

Response format

• WebSocket /ws-replay?exchange={exchange}&from={fromDate}&to={toDate}

Query string params

Normalized market data APIs

• HTTP GET /replay-normalized?options={options}

Replay normalized options

Response format & sample messages

• WebSocket /ws-replay-normalized?options={options}

Replay normalized options

Response format & sample messages

• WebSocket /ws-stream-normalized?options={options}

Stream normalized options

Response format & sample messages

Normalized data types

• trade

• book_change

• derivative_ticker

• book_snapshot_{number_of_levels}_{snapshot_interval}{time_unit}

Examples:

Available time units:

• trade_bar_{aggregation_interval}{suffix}

Examples:

• disconnect

• `HTTP GET` /replay?options={options}

• `WebSocket` /ws-replay?exchange={exchange}&from={fromDate}&to={toDate}

• `HTTP GET` /replay-normalized?options={options}

• `WebSocket` /ws-replay-normalized?options={options}

• `WebSocket` /ws-stream-normalized?options={options}