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Python client for tardis.dev - historical tick-level cryptocurrency market data replay API.
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README.md

tardis-client

PyPi Python Code style: black

Python client for tardis.dev - historical tick-level cryptocurrency market data replay API. Provides fast, high level and developer friendly wrapper for more low level HTTP API with local file based caching build in.

Installation

Requires Python 3.7.0+ installed.

pip install tardis-client

Usage

import asyncio
from tardis_client import TardisClient, Channel

async def replay():
    tardis_client = TardisClient()

    # replay method returns Async Generator
    # https://rickyhan.com/jekyll/update/2018/01/27/python36.html
    messages = tardis_client.replay(
        exchange="bitmex",
        from_date="2019-06-01",
        to_date="2019-06-02",
        filters=[Channel(name="trade", symbols=["XBTUSD","ETHUSD"]), Channel("orderBookL2", ["XBTUSD"])],
    )

    # this will print all trades and orderBookL2 messages for XBTUSD
    # and all trades for ETHUSD for bitmex exchange
    # between 2019-06-01T00:00:00.000Z and 2019-06-02T00:00:00.000Z (whole first day of June 2019)
    async for local_timestamp, message in messages:
        # local timestamp is a Python datetime that marks timestamp when given message has been received
        # message is a message object as provided by exchange real-time stream
        print(message)

asyncio.run(replay())

Try on repl.it

API

tardis-client package provides TardisClient and Channel classes.

from tardis_client import TardisClient, Channel

TardisClient

Optional client constructor parameters.

name type default value description
api_key (optional) string "" optional string containing API key for tardis.dev API. If not provided only first day of each month of data is accessible (free access)
cache_dir (optional) string <os.tmpdir>/.tardis-cache optional string with path to local dir that will be used as cache location. If not provided default temp dir for given OS will be used.

Example:

# creates new client instance with access only to sample data (first day of each month)
tardis_client = TardisClient()

# creates new client with access to all data for given API key
tardis_client = TardisClient(api_key="YOUR_API_KEY")

# creates new client with custom cache dir
tardis_client = TardisClient(cache_dir="./cache")
  • tardis_client.clear_cache()

    Removes local file cache dir and it's contents.

    Example:

    tardis_client = TardisClient()
    
    tardis_client.clear_cache()
  • tardis_client.replay(exchange, from_date, to_date, filters=[])

    Replays historical market data messages for given replay arguments.

    Returns Async Generator with named tuples (namedtuple("Response", ["local_timestamp", "message"])).

    • local_timestamp is a Python datetime object specyfying when message has been received from the exchange real-time data feed.

    • message is Python dict with parsed JSON that has exactly the same format as message provided by particular exchange's real-time data feed.

      replay method parameters:

      name type default value description
      exchange string - requested exchange name - see allowed exchanges list
      from_date string - requested UTC start date of data feed - valid ISO date string, eg: 2019-04-05 or 2019-05-05T00:00:00
      to_date string - requested UTC end date of data feed - valid ISO date string, eg: 2019-04-05 or 2019-05-05T00:00:00
      filters (optional) List[Channel] [] optional filters of requested data feed. Use /exchanges/:exchange API call to get allowed channel names and symbols for requested exchange
      Channel class

      Channel class constructor parameters.

      name type description
      name string Use /exchanges/:exchange API call to get allowed channel names and symbols for requested exchange
      symbols List[string] Use /exchanges/:exchange API call to get allowed channel names and symbols for requested exchange
      Channel(name="trade", symbols=["XBTUSD","ETHUSD"])
      Channel("orderBookL2", ["XBTUSD"])

FAQ

How to debug it if something went wrong?

tardis-client uses Python logging on DEBUG level for that purpose. In doubt please create issue in this repository with steps how to reproduce the issue.

Where can I find more details about tardis.dev API?

Check out API docs.

License

MPL-2.0

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