Analyzing Cryptocurrency Markets Using Python

Re:Analyzing Cryptocurrency Markets Using Python by ghgr on Monday August 21, 2017 @10:09AM (#15064730)

It's great how readily available financial data is with cryptocurrencies! As a complement to this post, I've been recently working with Jupyter notebooks to analyze high-frequency trading activity in Bitcoin markets [1]. I've been listening to the GDAX socket since end July, so I have almost a month's worth of tick data (~ 7GB+ gzip compressed JSON data, it surely explodes to ~100 GB after extracting). If somebody is interested to carry out further analysis I can give you a link to download it.

[1] https://nbviewer.jupyter.org/github/ghgr/HFT_Bitcoin/blob/ma...

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Re:Analyzing Cryptocurrency Markets Using Python by jetti on Monday August 21, 2017 @10:26AM (#15064839)

What are you using to listen to GDAX sockets? I've been able to successfully connect using their node library but when trying to connect directly without using their library I'm unable to connect.

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Re:Analyzing Cryptocurrency Markets Using Python by ghgr on Monday August 21, 2017 @10:50AM (#15065003)

I use the Python library WebSocketClient. Here is the code: https://github.com/ghgr/HFT_Bitcoin/blob/master/download_boo...

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Re:Analyzing Cryptocurrency Markets Using Python by jetti on Monday August 21, 2017 @11:19AM (#15065183)

Thanks for the code. I've been trying with the Elixir library websockex [1] but it has been giving me nothing but troubles. I just gave up and poll every X minutes now.

[1] https://github.com/Azolo/websockex

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Re:Analyzing Cryptocurrency Markets Using Python by macroexchange on Monday August 21, 2017 @10:36AM (#15064899)

very interesting. do you have a contact email somwhere?

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Re:Analyzing Cryptocurrency Markets Using Python by ghgr on Monday August 21, 2017 @10:48AM (#15064989)

sure! I just updated my profile

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