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tardis-dev
Advanced tools
Fast and convenient access to tick-level historical and real-time cryptocurrency market data via Node.js
Node.js tardis-dev
library provides convenient access to tick-level historical and real-time 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)
}
async iterables
providing unified way of consuming data messagescombine
helper function — synchronized historical market data replay and consolidated real-time data streaming from multiple exchangescompute
helper function and computables
, e.g., volume based bars, top 20 levels order book snapshots taken every 10 ms etc.OrderBook
objectRequires Node.js v12+ installed.
npm install tardis-dev --save
tardis-dev
lib uses debug package for verbose logging and debugging purposes that can be enabled via DEBUG
environment variable set to tardis-dev*
.
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]
}
}
}
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)
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)
}
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)
}
FAQs
Convenient access to tick-level historical and real-time cryptocurrency market data via Node.js
We found that tardis-dev demonstrated a healthy version release cadence and project activity because the last version was released less than a year ago. It has 0 open source maintainers collaborating on the project.
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