qsec

Quant & Systematic Crypto Research Tools

-->WORK IN PROGRESS<--

This repo is a collection of research tools to help in exploring and building systematic and quantitative crypto trading strategies.

Using the Binance historic data download tools

The tools folder has a script binance-fetch-trades.py that can be used for downloading historic trade data from Binance (Spot) exchange. Obtaining and storing this data is an initial step to having a research framework.

To run the script we provide the name of the symbol, and the date range. For example, if we want the historic trades for coin-pair TVKUSDT for the date 13 Jan 2022, we would run this command:

python tools/binance-fetch-trades.py  --sym TVKUSDT --from 20220113 --upto 20220114

CAUTION! downloading trades can take a very long time, so only download them if your research/backtest really needs them, and then download only for your required dates. It's preferable to use/download kline/bar data, which are much faster to download.

qsec is strongly opinionated on data storage. Data files are automatically stored under your home directory, under folder named MDHOME, in parquet files.