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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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

Introduction

is a locally runnable server with built-in data caching that uses Tardis.dev 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 and .

Features

- 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)

Installation

Docker

### 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.

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:

name

default

description

TM_API_KEY

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

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

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 set following CLI config flags when starting tardis-machine server installed via npm:

name

default

description

--api-key

--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

--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 APIs

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

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"}'

Replay options

name

type

default

exchange

string

filters

{channel:string, symbols?: string[]}[]

[]

from

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

Response format

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}

After connection is established, client has 2 seconds to send subscriptions payloads and then market data replay starts.

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'
      ]
    })
  )
}

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

name

type

default

description

exchange

string

from

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 APIs

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

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"]}'

Replay normalized options

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

from

string

dataTypes

string[]

withDisconnectMessages

boolean | undefined

undefined

Response format & sample messages

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

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)
}

Replay normalized options

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

string[] | undefined

undefined

from

string

dataTypes

string[]

withDisconnectMessages

boolean | undefined

undefined

Response format & sample messages

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

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).

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)
}

Stream normalized options

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).

name

type

default

exchange

string

symbols

string[] | undefined

undefined

optional symbols of requested real-time data feed

dataTypes

string[]

withDisconnectMessages

boolean | undefined

undefined

timeoutIntervalMS

number

10000

specifies time in milliseconds after which connection to real-time exchanges' WebSocket API is restarted if no message has been received

Response format & sample messages

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

{
  "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}

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)
}

PreviousNode.js Client NextInstruments Metadata API

Last updated 1 year ago

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

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}

• `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}