Binance historical data - Githubissues

pikers / piker

(e2e) foss trading for non-tinas

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Binance historical data #285

Open goodboy opened 2 years ago

goodboy commented 2 years ago

Ties in with the work in #93 and #132.

Turns out they do offer approx 6 months worth of trades data:

landing page: https://www.binance.com/en/landing/data
download scripts: https://github.com/binance/binance-public-data/
- cli docs: https://github.com/binance/binance-public-data/tree/master/python
- issue list shows some data discrepancies
example zipped btcusdt per month bundles: https://data.binance.vision/?prefix=data/spot/monthly/trades/BTCUSDT/
equivalent api endpoint: https://binance-docs.github.io/apidocs/spot/en/#old-trade-lookup-market_data

TODO

[ ] get trades data for all symbols into marketstore using a parallelized actor tree
[ ] ensure aggregator works on TICK data as is supposed to be worked out in #93
[ ] see if we can find historical L1?

goodboy commented 2 years ago

Oh, btw #305 adds the framing to get large OHLCV data sets loaded.

I think we should use that to help drive (historical) tick ingest.