gdaxfeeder

GDAX Data Fetcher

This module builds a MarketStore background worker which fetches hisotrical price data of cryptocurrencies from GDAX public API. It runs as a goroutine behind the MarketStore process and keeps writing to the disk.

Configuration

gdaxfeeder.so comes with the server by default, so you can simply configure it in MarketStore configuration file. Add the following to your config file.

bgworkers:
    - module: gdaxfeeder.so
      name: GdaxFetcher
      config:
          query_start: "2018-01-01 00:00"
          # symbols:
          #     - BTC
          # base_timeframe: "1D"

query_start can specify what time of data to start fetch. The fetcher keeps filling data up to the current time eventually and writes new data as it is generated. Once data starts to fetch, it restarts from the last-written data timestamp even after the server is restarted. You can specify fewer symbols if you don't need others. Since GDAX API has rate limit, this may help to fill the historical data if you start from old. Note that the data fetch timestamp is identical among symbols, so if one symbol lags other fetches may not be up to speed.

base_timeframe can specify if you want other than 60 second bars. Specify 1D if you need only daily bars. The daily bars are written at the boundary of system timezone configured in the same file.

Build

If you need to change the fetcher, you can build it by:

$ make configure
$ make all

It installs the new .so file to the first GOPATH/bin directory.

Caveat

Since this is implemented based on the Go's plugin mechanism, it is supported only on Linux as of Go 1.9