Coding enthusiasts and data analysts often require real-time and historical market data for various financial applications, whether it's for backtesting trading strategies or building live trading algorithms. Cryptofeed is a powerful library in Python that provides just that. In this guide, we will go through the steps of installing Cryptofeed and setting up both live and historical market feeds.
What is Cryptofeed?
Cryptofeed is an open-source Python library for cryptocurrency market data collection. It provides a unified interface to collect real-time and historical trade data, order book updates, and other essential financial data from multiple exchanges.
Installation Steps
1. Setting Up Your Environment
Before installing Cryptofeed, make sure you have Python 3.7 or later installed in your environment. You can download the latest version of Python from the official Python website or use a package manager for your operating system.
2. Creating a Virtual Environment
It’s a good practice to create a virtual environment to keep your Python dependencies organized:
python3 -m venv myenv
source myenv/bin/activate
Here, myenv is the name of the virtual environment. You've now activated it.
3. Installing Cryptofeed
With your virtual environment active, proceed to install Cryptofeed using pip:
pip install cryptofeed
This will download and install Cryptofeed along with its dependencies.
Setting Up Market Feeds
1. Basic Example of Live Data Feed
Once you have Cryptofeed installed, you can start gathering live data. Here's a quick example to get live trade data from the Coinbase exchange:
from cryptofeed import FeedHandler
from cryptofeed.exchanges import Coinbase
from cryptofeed.defines import TRADES
async def trade(feed, pair, order_id, timestamp, side, amount, price):
print(f"Exchange: {feed}, Pair: {pair}, Side: {side}, Amount: {amount}, Price: {price}")
fh = FeedHandler()
fh.add_feed(Coinbase(channels=[TRADES], pairs=['BTC-USD'], callbacks={TRADES: trade}))
fh.run()
This script collects live trade data for the BTC-USD pair on Coinbase and prints it to the console.
2. Fetching Historical Data
Cryptofeed also allows you to access historical data, though it requires using integrations with other libraries such as Arctic:
from cryptofeed.backends.arctic import ArcticREST
from cryptofeed import Cryptofeed
arbic_inst = ArcticREST()
cf = Cryptofeed({'arctic': arbic_inst})
data = arbic_inst.historical(exchange='BINANCE', base='BTC', quote='USD', start='2021-01-01', end='2021-01-31', timeframe='1m')
Ensure you have the necessary database and API access set up to retrieve such data.
Conclusion
With Cryptofeed, the complex task of accessing and managing multi-exchange data becomes significantly simpler. Whether you want live feeds or historical data, this tool provides the functionality and flexibility needed for effective market data handling. Following the steps outlined here, you've set up both real-time and historical data feeds, ready to integrate into your financial applications and analyses. Always refer to the official documentation for the most up-to-date installation and usage instructions.
