Crypto Backtesting Database

TimescaleDB to store historical crypto data from binance.com locally to generate data for backtesting fast.

Installation

Install docker and docker compose. Modify environment variables and mounts in docker-compose.yml. Then run:

docker-compose up

The script will download the data for the selected symbols with an interval of 1m. If you select a start date far back in time the initial download will take a long time because of the limitations of the binance API. After that the script will only add new data fast.

Usage

Now you can use the database as source for backtesting projects.

Connect to the PostgresDB as usually:

• Port: 5432
• Username: postgres
• Password: as set in docker-compose.yml
• Database: binance
• Table: lowercase symbol

Example SQL Query to create data for the BTC/USDT symbol on 5m interval for the last year from today:

SELECT
    time_bucket('5 minutes', time) AS opentime,
    first(open, time) AS open,
    min(low) AS low,
    max(high) AS high,
    last(close, time) AS close,
    sum(volume) AS volume,
    last(close_time, time) AS close_time,
    sum(quote_asset_volume) AS quote_asset_volume,
    sum(number_trades) AS number_trades,
    sum(taker_buy_base_asset_volume) AS taker_buy_base_asset_volume,
    sum(taker_buy_quote_asset_volume) AS taker_buy_quote_asset_volume
FROM btcusdt WHERE
    time > now() - INTERVAL '1 year' AND
    time <= now()
GROUP BY opentime