tardis-node

tardis-node

Tardis-node 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) which also enables composability features like seamless switching between real-time data streaming and historical data replay or computing derived data locally.

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

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

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

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
• 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)
• seamless switching between real-time streaming and historical market data replay thanks to async iterables providing unified way of consuming data messages
• 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, Binance, Binance Futures, Deribit, Bitfinex, bitFlyer, Bitstamp, Coinbase Pro, Crypto Facilities, Gemini, FTX, Kraken and OKEx.
• automatic closed connections and stale connections reconnection logic for real-time streams
• combining multiple exchanges feeds into single one via combine helper function — synchronized historical market data replay and consolidated real-time data streaming from multiple exchanges
• computing derived data locally like trade bars and book snapshots via compute helper function and computables, e.g., volume based bars, top 20 levels order book snapshots taken every 10 ms etc.
• full limit order book reconstruction both for real-time and historical data via OrderBook object
• fast and lightweight architecture — low memory footprint and no heavy in-memory buffering
• extensible mapping logic that allows adjusting normalized formats for specific needs
• built-in TypeScript support

Installation

Requires Node.js v12+ installed.

npm install tardis-node --save

Debugging and logging

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

Documentation

See the official tardis-node 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, normalizeBookChanges, combine, compute,
computeBookSnapshots } = require('tardis-node')

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 tardis.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]
    }
  }
}

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 process them no matter if it's is real-time or historical market data. This allows having the same logic for example for both back-testing and live trading.

const { tardis, normalizeTrades, compute, computeTradeBars } = require('tardis-node')

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)
    }
  }
}

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

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

await produceVolumeBasedTradeBars(historicalMessages)

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

Stream real-time market data in exchange native data format

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

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

Replay historical market data in exchange native data format

const messages = tardis.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)
}

See the tardis-node docs for more examples.