Obadiah (Order Book Analytics Database) is a system
consisting of (i) a Python module for capturing raw high-frequency data
from an exchange, (ii) a PostgreSQL database for processing & storing
the captured data and (iii) the R package for rendering the processed
data in the format suitable for visualization by
obAnalytics R package.
To access the database one needs to get a signed SSL certificate as described here. Afterwards it is possible to connect:
config <- config::get()
con <- DBI::dbConnect(RPostgres::Postgres(), user=config$user,dbname=config$dbname, host=config$host,
port=config$port, sslmode="require", sslrootcert=config$sslrootcert,
sslcert=config$sslcert,sslkey=config$sslkey,bigint="numeric")Having the connection established, one need to choose the exchange, pair and period.
Currently the database contains data from the following exchanges:
library(lubridate, quietly = T, warn.conflicts=F)
start.time <- with_tz(ymd_hms('2019-05-13 17:56:00+03'), tz='Europe/Moscow')
end.time <- with_tz(ymd_hms('2019-05-13 18:00:00+03'), tz='Europe/Moscow')
exchange <- 'Bitfinex'
pair <- 'BTCUSD'Now the data can be downloaded
depth <- obadiah::depth(con,start.time, end.time, exchange, pair)
spread <- obadiah::spread(con,start.time, end.time, exchange, pair)
trades <- obadiah::trades(con,start.time, end.time, exchange, pair)and visualized
obAnalytics::plotPriceLevels(depth, spread, trades, start.time = start.time, end.time = end.time )
obadiah provides data for all visualisation functions in obAnalytics
package.
depth.summary <- obadiah::depth_summary(con,start.time, end.time, exchange, pair)obAnalytics::plotVolumePercentiles(depth.summary, start.time = start.time, end.time = end.time )
events <- obadiah::events(con,start.time, end.time, exchange, pair)obAnalytics::plotEventMap(events, start.time = start.time, end.time = end.time)
obAnalytics::plotVolumeMap(events, start.time = start.time, end.time = end.time, log.scale = T)
order.book <- obadiah::order_book(con, start.time, exchange, pair)obAnalytics::plotCurrentDepth(order.book)