BitMEX bundle for Zipline

[WARNING] There is a bug in this repo. It can ingest the data from the BitMEX API to the Zipline folder, but somehow I can't run an algorithm upon it. Any PRs or advice would be appreciated!

1. Install this package with pip.

pip install --user zipline-bitmex

2. Register this package to Zipline by amending the following script to ~/.zipline/extension.py.

from zipline.data.bundles import register
from zipline_bitmex import bitmex_bundle
import pandas as pd

start = pd.Timestamp('2019-01-01', tz='utc')
end = pd.Timestamp('2019-01-07', tz='utc')

register(
    'bitmex',
    bitmex_bundle(['XBTUSD']),
    calendar_name='bitmex',
    start_session=start,
    end_session=end,
    minutes_per_day=24*60,
)

3. Ingest the data bundle.

zipline ingest -b bitmex