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Convenient access to tick-level real-time and historical cryptocurrency market data via Node.js
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Latest commit 90de801 Nov 14, 2019

README.md

tardis-dev

Version Try on RunKit


Node.js tardis-dev library provides convenient access to tick-level real-time and historical cryptocurrency market data both in exchange native and normalized formats. Instead of callbacks it relies on async iteration (for await ...of) enabling composability features like seamless switching between real-time data streaming and historical data replay or computing derived data locally.


const { streamNormalized, normalizeTrades, normalizeBookChanges } = require('tardis-dev')

const messages = streamNormalized(
  {
    exchange: 'bitmex',
    symbols: ['XBTUSD', 'ETHUSD']
  },
  normalizeTrades,
  normalizeBookChanges
)

for await (const message of messages) {
  console.log(message)
}

Try this code live on RunKit



Features

  • real-time streaming of tick-level market data with unified API for connecting directly to exchanges public WebSocket APIs without any intermediary/3rd party proxy

  • historical tick-level market data replay backed by tardis.dev HTTP API — includes full order book depth snapshots plus incremental updates, tick-by-tick trades, historical open interest, funding, index, mark prices, liquidations and more

  • support for both exchange native and normalized market data formats (consistent format for accessing market data across multiple exchanges — normalized trades, order book and ticker data)


  • transparent historical local data caching (cached data is stored on disk in compressed GZIP format and decompressed on demand when reading the data)

  • support for top cryptocurrency exchanges: BitMEX, Deribit, Binance, Binance Futures, FTX, OKEx, Huobi Global, Huobi DM, bitFlyer, Bitstamp, Coinbase Pro, Crypto Facilities, Gemini, Kraken, Bitfinex, Huobi US and Bybit.

  • automatic closed connections and stale connections reconnection logic for real-time streams


  • computing derived data locally like order book imbalance, custom trade bars, book snapshots and more via compute helper function and computables, e.g., volume based bars, top 20 levels order book snapshots taken every 10 ms etc.


  • fast and lightweight architecture — low memory footprint and no heavy in-memory buffering





Installation

Requires Node.js v12+ installed.

npm install tardis-dev --save


Debugging and logging

tardis-dev lib uses debug package for verbose logging and debugging purposes that can be enabled via DEBUG environment variable set to tardis-dev*.



Documentation

See official docs.



Examples

Real-time spread across multiple exchanges

Example showing how to quickly display real-time spread and best bid/ask info across multiple exchanges at once. It can be easily adapted to do the same for historical data (replayNormalized instead of streamNormalized).

const tardis = require('tardis-dev')
const { streamNormalized, normalizeBookChanges, combine, compute, computeBookSnapshots } = tardis

const exchangesToStream = [
  { exchange: 'bitmex', symbols: ['XBTUSD'] },
  { exchange: 'deribit', symbols: ['BTC-PERPETUAL'] },
  { exchange: 'cryptofacilities', symbols: ['PI_XBTUSD'] }
]
// for each specified exchange call streamNormalized for it
// so we have multiple real-time streams for all specified exchanges
const realTimeStreams = exchangesToStream.map(e => {
  return streamNormalized(e, normalizeBookChanges)
})

// combine all real-time message streams into one
const messages = combine(...realTimeStreams)

// create book snapshots with depth1 that are produced
// every time best bid/ask info is changed
// effectively computing real-time quotes
const realTimeQuoteComputable = computeBookSnapshots({
  depth: 1,
  interval: 0,
  name: 'realtime_quote'
})

// compute real-time quotes for combines real-time messages
const messagesWithQuotes = compute(messages, realTimeQuoteComputable)

const spreads = {}

// print spreads info every 100ms
setInterval(() => {
  console.clear()
  console.log(spreads)
}, 100)

// update spreads info real-time
for await (const message of messagesWithQuotes) {
  if (message.type === 'book_snapshot') {
    spreads[message.exchange] = {
      spread: message.asks[0].price - message.bids[0].price,
      bestBid: message.bids[0],
      bestAsk: message.asks[0]
    }
  }
}

Try this code live on RunKit


Seamless switching between real-time streaming and historical market data replay

Example showing simple pattern of providing async iterable of market data messages to the function that can process them no matter if it's is real-time or historical market data. That effectively enables having the same 'data pipeline' for backtesting and live trading.

const tardis = require('tardis-dev')
const { replayNormalized, streamNormalized, normalizeTrades, compute, computeTradeBars } = tardis

const historicalMessages = replayNormalized(
  {
    exchange: 'bitmex',
    symbols: ['XBTUSD'],
    from: '2019-08-01',
    to: '2019-08-02'
  },
  normalizeTrades
)

const realTimeMessages = streamNormalized(
  {
    exchange: 'bitmex',
    symbols: ['XBTUSD']
  },
  normalizeTrades
)

async function produceVolumeBasedTradeBars(messages) {
  const withVolumeTradeBars = compute(
    messages,
    computeTradeBars({
      kind: 'volume',
      interval: 100 * 1000 // aggregate by 100k contracts volume
    })
  )

  for await (const message of withVolumeTradeBars) {
    if (message.type === 'trade_bar') {
      console.log(message.name, message)
    }
  }
}

await produceVolumeBasedTradeBars(historicalMessages)

// or for real time data
//  await produceVolumeBasedTradeBars(realTimeMessages)

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Stream real-time market data in exchange native data format

const { stream } = require('tardis-dev')

const messages = stream({
  exchange: 'bitmex',
  filters: [
    { channel: 'trade', symbols: ['XBTUSD'] },
    { channel: 'orderBookL2', symbols: ['XBTUSD'] }
  ]
})

for await (const message of messages) {
  console.log(message)
}

Try this code live on RunKit


Replay historical market data in exchange native data format

const { replay } = require('tardis-dev')

const messages = replay({
  exchange: 'bitmex',
  filters: [
    { channel: 'trade', symbols: ['XBTUSD'] },
    { channel: 'orderBookL2', symbols: ['XBTUSD'] }
  ],
  from: '2019-05-01',
  to: '2019-05-02'
})

for await (const message of messages) {
  console.log(message)
}

Try this code live on RunKit



See the tardis-dev docs for more examples.

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