dccd.continuous_dl.bitmex.get_data_bitmex

dccd.continuous_dl.bitmex.get_data_bitmex(process_func, *args, time_step=60, until=None, path=None, save_method='dataframe', io_params={}, **kwargs)

Download data from Bitmex exchange and update the database.

Parameters:

channel : str, {‘book’, ‘book_raw’, ‘trades’, ‘trades_raw’}

Websocket channel to get data, by default data will be aggregated (OHLC for ‘trades’ and reconstructed orderbook for ‘book’), add ‘_raw’ to the channel to get raw data (trade tick by tick or each orders).

process_func : callable

Function to process and clean data before to be saved. Must take data in arguments and can take any optional keywords arguments, cf function exemples in dccd.process_data.

process_params : dict, optional

Dictionary of the keyword arguments available to process_func, cf documentation into dccd.process_data.

save_method : {‘DataFrame’, ‘SQLite’, ‘CSV’, ‘Excel’, ‘PostgreSQL’, ‘Oracle’, ‘MSSQL’, ‘MySQL’},

It will create an IODataBase object to save/update the database in the specified format save_method, default is ‘DataFrame’ it save as binary pd.DataFrame object. More informations are available into dccd.tools.io.

io_params : dict, optional

Dictionary of the keyword arguments available to the dccd.tools.io.IODataBase callable method. Note: With SQL format some parameters are compulsory, seed details into dccd.tools.io.

time_step : int, optional

Number of second between two snapshots of data, default 60 (1 minute).

until : int, optional

Number of seconds before stoping to download and update, default is None. If until equal 0 or None it means it never stop.

path : str, optional

Path to save/update the database, default is None. If path is None, database is saved at the relative path ‘./database/bitmex/channel’.

**kwargs

Any revelevant keyword arguments will be passed to the websocket connector, see Bitmex API documentation [2] for more details.

Warning

‘_raw’ option not yet working for bitmex.

See also

process_data

function to process/clean data (set_marketdepth, set_ohlc, set_orders, set_marketdepth).

tools.io.IODataBase

object to save/update the database with respect to specified format.

References

[2]	https://www.bitmex.com/api/