1222 lines
45 KiB
Plaintext
1222 lines
45 KiB
Plaintext
{
|
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"cells": [
|
||
{
|
||
"cell_type": "code",
|
||
"execution_count": null,
|
||
"id": "89251b34-9738-4fa3-b2db-7d6a7dde7d48",
|
||
"metadata": {},
|
||
"outputs": [],
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"source": [
|
||
"import sqlite3\n",
|
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"import pandas as pd\n",
|
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"from datetime import datetime\n",
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"\n"
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]
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},
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{
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||
"cell_type": "markdown",
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||
"id": "0ecd2b95-b212-44a4-ac15-ff7aa4f032f9",
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"metadata": {},
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"source": [
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"### Here you the database file containing 1 day of 1min data\n",
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"The name of the file contains the date."
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]
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},
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{
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"cell_type": "code",
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||
"execution_count": null,
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||
"id": "eb24b805-ee73-4db4-b1de-0c43bea7d86f",
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"metadata": {},
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"outputs": [],
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"source": [
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"mktdata_db_file = \"/workspace/data/crypto_md/20240602.mktdata.ohlcv.db\""
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]
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},
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{
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"cell_type": "markdown",
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||
"id": "b2b7808c-1c78-49cb-9081-bde325b4f30a",
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"metadata": {},
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"source": [
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"### Simple query that gets everything into DataFrame"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 14,
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||
"id": "8dcb0ec1-4e55-4d13-91fc-57c24fac6460",
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"metadata": {},
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||
"outputs": [
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{
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"data": {
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"text/html": [
|
||
"<div>\n",
|
||
"<style scoped>\n",
|
||
" .dataframe tbody tr th:only-of-type {\n",
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" vertical-align: middle;\n",
|
||
" }\n",
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"\n",
|
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" .dataframe tbody tr th {\n",
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" vertical-align: top;\n",
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" }\n",
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"\n",
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" .dataframe thead th {\n",
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" text-align: right;\n",
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||
" }\n",
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||
"</style>\n",
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||
"<table border=\"1\" class=\"dataframe\">\n",
|
||
" <thead>\n",
|
||
" <tr style=\"text-align: right;\">\n",
|
||
" <th></th>\n",
|
||
" <th>tstamp</th>\n",
|
||
" <th>exchange_id</th>\n",
|
||
" <th>instrument_id</th>\n",
|
||
" <th>open</th>\n",
|
||
" <th>high</th>\n",
|
||
" <th>low</th>\n",
|
||
" <th>close</th>\n",
|
||
" <th>volume</th>\n",
|
||
" <th>vwap</th>\n",
|
||
" </tr>\n",
|
||
" </thead>\n",
|
||
" <tbody>\n",
|
||
" <tr>\n",
|
||
" <th>0</th>\n",
|
||
" <td>1717286400000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67719.2900</td>\n",
|
||
" <td>67721.7300</td>\n",
|
||
" <td>67708.1100</td>\n",
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||
" <td>67719.9600</td>\n",
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||
" <td>1.888240</td>\n",
|
||
" <td>67713.845756</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>1</th>\n",
|
||
" <td>1717286460000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67714.1600</td>\n",
|
||
" <td>67717.3500</td>\n",
|
||
" <td>67707.6800</td>\n",
|
||
" <td>67709.8800</td>\n",
|
||
" <td>0.655358</td>\n",
|
||
" <td>67712.153017</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2</th>\n",
|
||
" <td>1717286520000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67709.8800</td>\n",
|
||
" <td>67709.8800</td>\n",
|
||
" <td>67689.7000</td>\n",
|
||
" <td>67691.3100</td>\n",
|
||
" <td>1.001506</td>\n",
|
||
" <td>67697.965852</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>3</th>\n",
|
||
" <td>1717286580000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67692.3300</td>\n",
|
||
" <td>67713.0600</td>\n",
|
||
" <td>67691.2200</td>\n",
|
||
" <td>67713.0600</td>\n",
|
||
" <td>5.652547</td>\n",
|
||
" <td>67695.441479</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>4</th>\n",
|
||
" <td>1717286640000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67713.0600</td>\n",
|
||
" <td>67721.3300</td>\n",
|
||
" <td>67710.7700</td>\n",
|
||
" <td>67715.0500</td>\n",
|
||
" <td>2.997525</td>\n",
|
||
" <td>67715.683416</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>...</th>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>5755</th>\n",
|
||
" <td>1717372500000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5136</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>0.5136</td>\n",
|
||
" <td>2505.022090</td>\n",
|
||
" <td>0.513596</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>5756</th>\n",
|
||
" <td>1717372560000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>5612.821763</td>\n",
|
||
" <td>0.513489</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>5757</th>\n",
|
||
" <td>1717372620000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>5503.452073</td>\n",
|
||
" <td>0.513377</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>5758</th>\n",
|
||
" <td>1717372680000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>3925.979599</td>\n",
|
||
" <td>0.513428</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>5759</th>\n",
|
||
" <td>1717372740000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>21244.669839</td>\n",
|
||
" <td>0.513309</td>\n",
|
||
" </tr>\n",
|
||
" </tbody>\n",
|
||
"</table>\n",
|
||
"<p>5760 rows × 9 columns</p>\n",
|
||
"</div>"
|
||
],
|
||
"text/plain": [
|
||
" tstamp exchange_id instrument_id open high \\\n",
|
||
"0 1717286400000000000 COINBASE PAIR-BTC-USD 67719.2900 67721.7300 \n",
|
||
"1 1717286460000000000 COINBASE PAIR-BTC-USD 67714.1600 67717.3500 \n",
|
||
"2 1717286520000000000 COINBASE PAIR-BTC-USD 67709.8800 67709.8800 \n",
|
||
"3 1717286580000000000 COINBASE PAIR-BTC-USD 67692.3300 67713.0600 \n",
|
||
"4 1717286640000000000 COINBASE PAIR-BTC-USD 67713.0600 67721.3300 \n",
|
||
"... ... ... ... ... ... \n",
|
||
"5755 1717372500000000000 COINBASE PAIR-XRP-USD 0.5135 0.5136 \n",
|
||
"5756 1717372560000000000 COINBASE PAIR-XRP-USD 0.5135 0.5135 \n",
|
||
"5757 1717372620000000000 COINBASE PAIR-XRP-USD 0.5134 0.5135 \n",
|
||
"5758 1717372680000000000 COINBASE PAIR-XRP-USD 0.5133 0.5135 \n",
|
||
"5759 1717372740000000000 COINBASE PAIR-XRP-USD 0.5135 0.5135 \n",
|
||
"\n",
|
||
" low close volume vwap \n",
|
||
"0 67708.1100 67719.9600 1.888240 67713.845756 \n",
|
||
"1 67707.6800 67709.8800 0.655358 67712.153017 \n",
|
||
"2 67689.7000 67691.3100 1.001506 67697.965852 \n",
|
||
"3 67691.2200 67713.0600 5.652547 67695.441479 \n",
|
||
"4 67710.7700 67715.0500 2.997525 67715.683416 \n",
|
||
"... ... ... ... ... \n",
|
||
"5755 0.5134 0.5136 2505.022090 0.513596 \n",
|
||
"5756 0.5134 0.5134 5612.821763 0.513489 \n",
|
||
"5757 0.5133 0.5133 5503.452073 0.513377 \n",
|
||
"5758 0.5133 0.5134 3925.979599 0.513428 \n",
|
||
"5759 0.5133 0.5133 21244.669839 0.513309 \n",
|
||
"\n",
|
||
"[5760 rows x 9 columns]"
|
||
]
|
||
},
|
||
"execution_count": 14,
|
||
"metadata": {},
|
||
"output_type": "execute_result"
|
||
}
|
||
],
|
||
"source": [
|
||
"db_conn = sqlite3.connect(mktdata_db_file)\n",
|
||
"\n",
|
||
"df = pd.read_sql_query(\"select * from coinbase_ohlcv_1min\", db_conn)\n",
|
||
"df"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "a01c3aad-7e84-41ce-a835-06f35bd65668",
|
||
"metadata": {},
|
||
"source": [
|
||
"### Timestamp is not very convenient, so we can make it look nicer"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "code",
|
||
"execution_count": 15,
|
||
"id": "c00fce97-69d0-47d2-be97-410d8c826292",
|
||
"metadata": {},
|
||
"outputs": [
|
||
{
|
||
"data": {
|
||
"text/html": [
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||
"<div>\n",
|
||
"<style scoped>\n",
|
||
" .dataframe tbody tr th:only-of-type {\n",
|
||
" vertical-align: middle;\n",
|
||
" }\n",
|
||
"\n",
|
||
" .dataframe tbody tr th {\n",
|
||
" vertical-align: top;\n",
|
||
" }\n",
|
||
"\n",
|
||
" .dataframe thead th {\n",
|
||
" text-align: right;\n",
|
||
" }\n",
|
||
"</style>\n",
|
||
"<table border=\"1\" class=\"dataframe\">\n",
|
||
" <thead>\n",
|
||
" <tr style=\"text-align: right;\">\n",
|
||
" <th></th>\n",
|
||
" <th>tstamp</th>\n",
|
||
" <th>exchange_id</th>\n",
|
||
" <th>instrument_id</th>\n",
|
||
" <th>open</th>\n",
|
||
" <th>high</th>\n",
|
||
" <th>low</th>\n",
|
||
" <th>close</th>\n",
|
||
" <th>volume</th>\n",
|
||
" <th>vwap</th>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>timestamp</th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" <th></th>\n",
|
||
" </tr>\n",
|
||
" </thead>\n",
|
||
" <tbody>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:00:00</th>\n",
|
||
" <td>1717286400000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67719.2900</td>\n",
|
||
" <td>67721.7300</td>\n",
|
||
" <td>67708.1100</td>\n",
|
||
" <td>67719.9600</td>\n",
|
||
" <td>1.888240</td>\n",
|
||
" <td>67713.845756</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:01:00</th>\n",
|
||
" <td>1717286460000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67714.1600</td>\n",
|
||
" <td>67717.3500</td>\n",
|
||
" <td>67707.6800</td>\n",
|
||
" <td>67709.8800</td>\n",
|
||
" <td>0.655358</td>\n",
|
||
" <td>67712.153017</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:02:00</th>\n",
|
||
" <td>1717286520000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67709.8800</td>\n",
|
||
" <td>67709.8800</td>\n",
|
||
" <td>67689.7000</td>\n",
|
||
" <td>67691.3100</td>\n",
|
||
" <td>1.001506</td>\n",
|
||
" <td>67697.965852</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:03:00</th>\n",
|
||
" <td>1717286580000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67692.3300</td>\n",
|
||
" <td>67713.0600</td>\n",
|
||
" <td>67691.2200</td>\n",
|
||
" <td>67713.0600</td>\n",
|
||
" <td>5.652547</td>\n",
|
||
" <td>67695.441479</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:04:00</th>\n",
|
||
" <td>1717286640000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67713.0600</td>\n",
|
||
" <td>67721.3300</td>\n",
|
||
" <td>67710.7700</td>\n",
|
||
" <td>67715.0500</td>\n",
|
||
" <td>2.997525</td>\n",
|
||
" <td>67715.683416</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>...</th>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:55:00</th>\n",
|
||
" <td>1717372500000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5136</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>0.5136</td>\n",
|
||
" <td>2505.022090</td>\n",
|
||
" <td>0.513596</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:56:00</th>\n",
|
||
" <td>1717372560000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>5612.821763</td>\n",
|
||
" <td>0.513489</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:57:00</th>\n",
|
||
" <td>1717372620000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>5503.452073</td>\n",
|
||
" <td>0.513377</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:58:00</th>\n",
|
||
" <td>1717372680000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>3925.979599</td>\n",
|
||
" <td>0.513428</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:59:00</th>\n",
|
||
" <td>1717372740000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>21244.669839</td>\n",
|
||
" <td>0.513309</td>\n",
|
||
" </tr>\n",
|
||
" </tbody>\n",
|
||
"</table>\n",
|
||
"<p>5760 rows × 9 columns</p>\n",
|
||
"</div>"
|
||
],
|
||
"text/plain": [
|
||
" tstamp exchange_id instrument_id \\\n",
|
||
"timestamp \n",
|
||
"2024-06-02 00:00:00 1717286400000000000 COINBASE PAIR-BTC-USD \n",
|
||
"2024-06-02 00:01:00 1717286460000000000 COINBASE PAIR-BTC-USD \n",
|
||
"2024-06-02 00:02:00 1717286520000000000 COINBASE PAIR-BTC-USD \n",
|
||
"2024-06-02 00:03:00 1717286580000000000 COINBASE PAIR-BTC-USD \n",
|
||
"2024-06-02 00:04:00 1717286640000000000 COINBASE PAIR-BTC-USD \n",
|
||
"... ... ... ... \n",
|
||
"2024-06-02 23:55:00 1717372500000000000 COINBASE PAIR-XRP-USD \n",
|
||
"2024-06-02 23:56:00 1717372560000000000 COINBASE PAIR-XRP-USD \n",
|
||
"2024-06-02 23:57:00 1717372620000000000 COINBASE PAIR-XRP-USD \n",
|
||
"2024-06-02 23:58:00 1717372680000000000 COINBASE PAIR-XRP-USD \n",
|
||
"2024-06-02 23:59:00 1717372740000000000 COINBASE PAIR-XRP-USD \n",
|
||
"\n",
|
||
" open high low close \\\n",
|
||
"timestamp \n",
|
||
"2024-06-02 00:00:00 67719.2900 67721.7300 67708.1100 67719.9600 \n",
|
||
"2024-06-02 00:01:00 67714.1600 67717.3500 67707.6800 67709.8800 \n",
|
||
"2024-06-02 00:02:00 67709.8800 67709.8800 67689.7000 67691.3100 \n",
|
||
"2024-06-02 00:03:00 67692.3300 67713.0600 67691.2200 67713.0600 \n",
|
||
"2024-06-02 00:04:00 67713.0600 67721.3300 67710.7700 67715.0500 \n",
|
||
"... ... ... ... ... \n",
|
||
"2024-06-02 23:55:00 0.5135 0.5136 0.5134 0.5136 \n",
|
||
"2024-06-02 23:56:00 0.5135 0.5135 0.5134 0.5134 \n",
|
||
"2024-06-02 23:57:00 0.5134 0.5135 0.5133 0.5133 \n",
|
||
"2024-06-02 23:58:00 0.5133 0.5135 0.5133 0.5134 \n",
|
||
"2024-06-02 23:59:00 0.5135 0.5135 0.5133 0.5133 \n",
|
||
"\n",
|
||
" volume vwap \n",
|
||
"timestamp \n",
|
||
"2024-06-02 00:00:00 1.888240 67713.845756 \n",
|
||
"2024-06-02 00:01:00 0.655358 67712.153017 \n",
|
||
"2024-06-02 00:02:00 1.001506 67697.965852 \n",
|
||
"2024-06-02 00:03:00 5.652547 67695.441479 \n",
|
||
"2024-06-02 00:04:00 2.997525 67715.683416 \n",
|
||
"... ... ... \n",
|
||
"2024-06-02 23:55:00 2505.022090 0.513596 \n",
|
||
"2024-06-02 23:56:00 5612.821763 0.513489 \n",
|
||
"2024-06-02 23:57:00 5503.452073 0.513377 \n",
|
||
"2024-06-02 23:58:00 3925.979599 0.513428 \n",
|
||
"2024-06-02 23:59:00 21244.669839 0.513309 \n",
|
||
"\n",
|
||
"[5760 rows x 9 columns]"
|
||
]
|
||
},
|
||
"execution_count": 15,
|
||
"metadata": {},
|
||
"output_type": "execute_result"
|
||
}
|
||
],
|
||
"source": [
|
||
"df[\"timestamp\"] = pd.to_datetime(df['tstamp'], unit='ns')\n",
|
||
"df.set_index(\"timestamp\", inplace=True)\n",
|
||
"df"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "markdown",
|
||
"id": "62b24872-8425-44d0-b37a-29792d88f20f",
|
||
"metadata": {},
|
||
"source": [
|
||
"### If you want individual instruments, you could create the function"
|
||
]
|
||
},
|
||
{
|
||
"cell_type": "code",
|
||
"execution_count": 28,
|
||
"id": "75929164-87f7-4125-b20b-5de745b9b9c4",
|
||
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|
||
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|
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|
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|
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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||
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||
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||
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|
||
" <td>1717286460000000000</td>\n",
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||
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||
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||
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||
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|
||
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|
||
" <td>1717286520000000000</td>\n",
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||
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||
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||
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|
||
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|
||
" <th>2024-06-02 00:03:00</th>\n",
|
||
" <td>1717286580000000000</td>\n",
|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
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||
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||
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|
||
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|
||
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|
||
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|
||
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||
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||
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||
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||
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||
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||
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||
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||
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||
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|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:55:00</th>\n",
|
||
" <td>1717372500000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67757.09</td>\n",
|
||
" <td>67757.26</td>\n",
|
||
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||
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|
||
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|
||
" <td>67753.207138</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:56:00</th>\n",
|
||
" <td>1717372560000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
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|
||
" <td>67755.00</td>\n",
|
||
" <td>67761.34</td>\n",
|
||
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||
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||
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|
||
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|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:57:00</th>\n",
|
||
" <td>1717372620000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67755.39</td>\n",
|
||
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||
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||
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|
||
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|
||
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||
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|
||
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|
||
" <td>1717372680000000000</td>\n",
|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
" <th>2024-06-02 23:59:00</th>\n",
|
||
" <td>1717372740000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-BTC-USD</td>\n",
|
||
" <td>67752.14</td>\n",
|
||
" <td>67754.50</td>\n",
|
||
" <td>67725.25</td>\n",
|
||
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|
||
" <td>0.530943</td>\n",
|
||
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|
||
" </tr>\n",
|
||
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|
||
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|
||
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|
||
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|
||
],
|
||
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|
||
" tstamp exchange_id instrument_id open \\\n",
|
||
"timestamp \n",
|
||
"2024-06-02 00:00:00 1717286400000000000 COINBASE PAIR-BTC-USD 67719.29 \n",
|
||
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|
||
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|
||
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|
||
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|
||
"... ... ... ... ... \n",
|
||
"2024-06-02 23:55:00 1717372500000000000 COINBASE PAIR-BTC-USD 67757.09 \n",
|
||
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|
||
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|
||
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|
||
"2024-06-02 23:59:00 1717372740000000000 COINBASE PAIR-BTC-USD 67752.14 \n",
|
||
"\n",
|
||
" high low close volume vwap \n",
|
||
"timestamp \n",
|
||
"2024-06-02 00:00:00 67721.73 67708.11 67719.96 1.888240 67713.845756 \n",
|
||
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|
||
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|
||
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|
||
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|
||
"... ... ... ... ... ... \n",
|
||
"2024-06-02 23:55:00 67757.26 67750.32 67753.93 0.326117 67753.207138 \n",
|
||
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|
||
"2024-06-02 23:57:00 67759.88 67753.74 67757.49 0.429578 67757.147946 \n",
|
||
"2024-06-02 23:58:00 67759.90 67748.41 67750.71 0.683678 67756.292991 \n",
|
||
"2024-06-02 23:59:00 67754.50 67725.25 67735.52 0.530943 67747.261494 \n",
|
||
"\n",
|
||
"[1440 rows x 9 columns]"
|
||
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|
||
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|
||
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|
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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||
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|
||
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|
||
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|
||
" <td>1717286400000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
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|
||
" <td>3812.49</td>\n",
|
||
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|
||
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||
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||
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||
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|
||
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|
||
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|
||
" <th>2024-06-02 00:01:00</th>\n",
|
||
" <td>1717286460000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-ETH-USD</td>\n",
|
||
" <td>3812.88</td>\n",
|
||
" <td>3812.92</td>\n",
|
||
" <td>3812.66</td>\n",
|
||
" <td>3812.92</td>\n",
|
||
" <td>22.584759</td>\n",
|
||
" <td>3812.885708</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:02:00</th>\n",
|
||
" <td>1717286520000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-ETH-USD</td>\n",
|
||
" <td>3812.92</td>\n",
|
||
" <td>3812.92</td>\n",
|
||
" <td>3812.17</td>\n",
|
||
" <td>3812.17</td>\n",
|
||
" <td>36.230701</td>\n",
|
||
" <td>3812.738323</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:03:00</th>\n",
|
||
" <td>1717286580000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-ETH-USD</td>\n",
|
||
" <td>3812.16</td>\n",
|
||
" <td>3813.17</td>\n",
|
||
" <td>3812.14</td>\n",
|
||
" <td>3813.17</td>\n",
|
||
" <td>66.984405</td>\n",
|
||
" <td>3812.827731</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:04:00</th>\n",
|
||
" <td>1717286640000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-ETH-USD</td>\n",
|
||
" <td>3813.16</td>\n",
|
||
" <td>3813.17</td>\n",
|
||
" <td>3813.13</td>\n",
|
||
" <td>3813.17</td>\n",
|
||
" <td>82.781325</td>\n",
|
||
" <td>3813.169087</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>...</th>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:55:00</th>\n",
|
||
" <td>1717372500000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-ETH-USD</td>\n",
|
||
" <td>3783.34</td>\n",
|
||
" <td>3784.43</td>\n",
|
||
" <td>3783.33</td>\n",
|
||
" <td>3783.57</td>\n",
|
||
" <td>17.409328</td>\n",
|
||
" <td>3783.902157</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:56:00</th>\n",
|
||
" <td>1717372560000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-ETH-USD</td>\n",
|
||
" <td>3783.57</td>\n",
|
||
" <td>3783.86</td>\n",
|
||
" <td>3782.20</td>\n",
|
||
" <td>3783.86</td>\n",
|
||
" <td>6.632875</td>\n",
|
||
" <td>3783.094935</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:57:00</th>\n",
|
||
" <td>1717372620000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-ETH-USD</td>\n",
|
||
" <td>3783.86</td>\n",
|
||
" <td>3783.94</td>\n",
|
||
" <td>3782.16</td>\n",
|
||
" <td>3782.18</td>\n",
|
||
" <td>7.826235</td>\n",
|
||
" <td>3782.958328</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:58:00</th>\n",
|
||
" <td>1717372680000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-ETH-USD</td>\n",
|
||
" <td>3782.23</td>\n",
|
||
" <td>3782.24</td>\n",
|
||
" <td>3779.83</td>\n",
|
||
" <td>3779.86</td>\n",
|
||
" <td>9.020492</td>\n",
|
||
" <td>3781.022292</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:59:00</th>\n",
|
||
" <td>1717372740000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-ETH-USD</td>\n",
|
||
" <td>3779.86</td>\n",
|
||
" <td>3780.05</td>\n",
|
||
" <td>3778.26</td>\n",
|
||
" <td>3778.88</td>\n",
|
||
" <td>39.588810</td>\n",
|
||
" <td>3778.964208</td>\n",
|
||
" </tr>\n",
|
||
" </tbody>\n",
|
||
"</table>\n",
|
||
"<p>1440 rows × 9 columns</p>\n",
|
||
"</div>"
|
||
],
|
||
"text/plain": [
|
||
" tstamp exchange_id instrument_id open \\\n",
|
||
"timestamp \n",
|
||
"2024-06-02 00:00:00 1717286400000000000 COINBASE PAIR-ETH-USD 3812.49 \n",
|
||
"2024-06-02 00:01:00 1717286460000000000 COINBASE PAIR-ETH-USD 3812.88 \n",
|
||
"2024-06-02 00:02:00 1717286520000000000 COINBASE PAIR-ETH-USD 3812.92 \n",
|
||
"2024-06-02 00:03:00 1717286580000000000 COINBASE PAIR-ETH-USD 3812.16 \n",
|
||
"2024-06-02 00:04:00 1717286640000000000 COINBASE PAIR-ETH-USD 3813.16 \n",
|
||
"... ... ... ... ... \n",
|
||
"2024-06-02 23:55:00 1717372500000000000 COINBASE PAIR-ETH-USD 3783.34 \n",
|
||
"2024-06-02 23:56:00 1717372560000000000 COINBASE PAIR-ETH-USD 3783.57 \n",
|
||
"2024-06-02 23:57:00 1717372620000000000 COINBASE PAIR-ETH-USD 3783.86 \n",
|
||
"2024-06-02 23:58:00 1717372680000000000 COINBASE PAIR-ETH-USD 3782.23 \n",
|
||
"2024-06-02 23:59:00 1717372740000000000 COINBASE PAIR-ETH-USD 3779.86 \n",
|
||
"\n",
|
||
" high low close volume vwap \n",
|
||
"timestamp \n",
|
||
"2024-06-02 00:00:00 3812.92 3812.48 3812.65 296.984283 3812.885799 \n",
|
||
"2024-06-02 00:01:00 3812.92 3812.66 3812.92 22.584759 3812.885708 \n",
|
||
"2024-06-02 00:02:00 3812.92 3812.17 3812.17 36.230701 3812.738323 \n",
|
||
"2024-06-02 00:03:00 3813.17 3812.14 3813.17 66.984405 3812.827731 \n",
|
||
"2024-06-02 00:04:00 3813.17 3813.13 3813.17 82.781325 3813.169087 \n",
|
||
"... ... ... ... ... ... \n",
|
||
"2024-06-02 23:55:00 3784.43 3783.33 3783.57 17.409328 3783.902157 \n",
|
||
"2024-06-02 23:56:00 3783.86 3782.20 3783.86 6.632875 3783.094935 \n",
|
||
"2024-06-02 23:57:00 3783.94 3782.16 3782.18 7.826235 3782.958328 \n",
|
||
"2024-06-02 23:58:00 3782.24 3779.83 3779.86 9.020492 3781.022292 \n",
|
||
"2024-06-02 23:59:00 3780.05 3778.26 3778.88 39.588810 3778.964208 \n",
|
||
"\n",
|
||
"[1440 rows x 9 columns]"
|
||
]
|
||
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|
||
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|
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|
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|
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|
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|
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
||
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|
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|
||
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|
||
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|
||
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|
||
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|
||
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||
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|
||
" <th>2024-06-02 00:00:00</th>\n",
|
||
" <td>1717286400000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5184</td>\n",
|
||
" <td>0.5184</td>\n",
|
||
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|
||
" <td>0.5181</td>\n",
|
||
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|
||
" <td>0.518082</td>\n",
|
||
" </tr>\n",
|
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" <tr>\n",
|
||
" <th>2024-06-02 00:01:00</th>\n",
|
||
" <td>1717286460000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5180</td>\n",
|
||
" <td>0.5182</td>\n",
|
||
" <td>0.5179</td>\n",
|
||
" <td>0.5182</td>\n",
|
||
" <td>3659.609883</td>\n",
|
||
" <td>0.518028</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:02:00</th>\n",
|
||
" <td>1717286520000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5182</td>\n",
|
||
" <td>0.5182</td>\n",
|
||
" <td>0.5179</td>\n",
|
||
" <td>0.5180</td>\n",
|
||
" <td>9693.379122</td>\n",
|
||
" <td>0.517920</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:03:00</th>\n",
|
||
" <td>1717286580000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5181</td>\n",
|
||
" <td>0.5184</td>\n",
|
||
" <td>0.5180</td>\n",
|
||
" <td>0.5184</td>\n",
|
||
" <td>8324.107832</td>\n",
|
||
" <td>0.518215</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 00:04:00</th>\n",
|
||
" <td>1717286640000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5184</td>\n",
|
||
" <td>0.5184</td>\n",
|
||
" <td>0.5183</td>\n",
|
||
" <td>0.5183</td>\n",
|
||
" <td>1482.065565</td>\n",
|
||
" <td>0.518348</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>...</th>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" <td>...</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:55:00</th>\n",
|
||
" <td>1717372500000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5136</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>0.5136</td>\n",
|
||
" <td>2505.022090</td>\n",
|
||
" <td>0.513596</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:56:00</th>\n",
|
||
" <td>1717372560000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>5612.821763</td>\n",
|
||
" <td>0.513489</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:57:00</th>\n",
|
||
" <td>1717372620000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>5503.452073</td>\n",
|
||
" <td>0.513377</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:58:00</th>\n",
|
||
" <td>1717372680000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5134</td>\n",
|
||
" <td>3925.979599</td>\n",
|
||
" <td>0.513428</td>\n",
|
||
" </tr>\n",
|
||
" <tr>\n",
|
||
" <th>2024-06-02 23:59:00</th>\n",
|
||
" <td>1717372740000000000</td>\n",
|
||
" <td>COINBASE</td>\n",
|
||
" <td>PAIR-XRP-USD</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5135</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>0.5133</td>\n",
|
||
" <td>21244.669839</td>\n",
|
||
" <td>0.513309</td>\n",
|
||
" </tr>\n",
|
||
" </tbody>\n",
|
||
"</table>\n",
|
||
"<p>1440 rows × 9 columns</p>\n",
|
||
"</div>"
|
||
],
|
||
"text/plain": [
|
||
" tstamp exchange_id instrument_id open \\\n",
|
||
"timestamp \n",
|
||
"2024-06-02 00:00:00 1717286400000000000 COINBASE PAIR-XRP-USD 0.5184 \n",
|
||
"2024-06-02 00:01:00 1717286460000000000 COINBASE PAIR-XRP-USD 0.5180 \n",
|
||
"2024-06-02 00:02:00 1717286520000000000 COINBASE PAIR-XRP-USD 0.5182 \n",
|
||
"2024-06-02 00:03:00 1717286580000000000 COINBASE PAIR-XRP-USD 0.5181 \n",
|
||
"2024-06-02 00:04:00 1717286640000000000 COINBASE PAIR-XRP-USD 0.5184 \n",
|
||
"... ... ... ... ... \n",
|
||
"2024-06-02 23:55:00 1717372500000000000 COINBASE PAIR-XRP-USD 0.5135 \n",
|
||
"2024-06-02 23:56:00 1717372560000000000 COINBASE PAIR-XRP-USD 0.5135 \n",
|
||
"2024-06-02 23:57:00 1717372620000000000 COINBASE PAIR-XRP-USD 0.5134 \n",
|
||
"2024-06-02 23:58:00 1717372680000000000 COINBASE PAIR-XRP-USD 0.5133 \n",
|
||
"2024-06-02 23:59:00 1717372740000000000 COINBASE PAIR-XRP-USD 0.5135 \n",
|
||
"\n",
|
||
" high low close volume vwap \n",
|
||
"timestamp \n",
|
||
"2024-06-02 00:00:00 0.5184 0.5180 0.5181 68137.158944 0.518082 \n",
|
||
"2024-06-02 00:01:00 0.5182 0.5179 0.5182 3659.609883 0.518028 \n",
|
||
"2024-06-02 00:02:00 0.5182 0.5179 0.5180 9693.379122 0.517920 \n",
|
||
"2024-06-02 00:03:00 0.5184 0.5180 0.5184 8324.107832 0.518215 \n",
|
||
"2024-06-02 00:04:00 0.5184 0.5183 0.5183 1482.065565 0.518348 \n",
|
||
"... ... ... ... ... ... \n",
|
||
"2024-06-02 23:55:00 0.5136 0.5134 0.5136 2505.022090 0.513596 \n",
|
||
"2024-06-02 23:56:00 0.5135 0.5134 0.5134 5612.821763 0.513489 \n",
|
||
"2024-06-02 23:57:00 0.5135 0.5133 0.5133 5503.452073 0.513377 \n",
|
||
"2024-06-02 23:58:00 0.5135 0.5133 0.5134 3925.979599 0.513428 \n",
|
||
"2024-06-02 23:59:00 0.5135 0.5133 0.5133 21244.669839 0.513309 \n",
|
||
"\n",
|
||
"[1440 rows x 9 columns]"
|
||
]
|
||
},
|
||
"metadata": {},
|
||
"output_type": "display_data"
|
||
}
|
||
],
|
||
"source": [
|
||
"def get_instrument_md(instrument_id: str) -> pd.DataFrame:\n",
|
||
" query = f\"select * from coinbase_ohlcv_1min where instrument_id = '{instrument_id}'\"\n",
|
||
" df = pd.read_sql_query(query, db_conn)\n",
|
||
" df[\"timestamp\"] = pd.to_datetime(df['tstamp'], unit='ns')\n",
|
||
" df.set_index(\"timestamp\", inplace=True)\n",
|
||
" return df\n",
|
||
"\n",
|
||
"btc_df = get_instrument_md(instrument_id=\"PAIR-BTC-USD\")\n",
|
||
"eth_df = get_instrument_md(instrument_id=\"PAIR-ETH-USD\")\n",
|
||
"xrp_df = get_instrument_md(instrument_id=\"PAIR-XRP-USD\")\n",
|
||
"\n",
|
||
"from IPython.display import display\n",
|
||
"display(btc_df)\n",
|
||
"display(eth_df)\n",
|
||
"display(xrp_df)\n",
|
||
"\n"
|
||
]
|
||
}
|
||
],
|
||
"metadata": {
|
||
"kernelspec": {
|
||
"display_name": "Python 3 (ipykernel)",
|
||
"language": "python",
|
||
"name": "python3"
|
||
},
|
||
"language_info": {
|
||
"codemirror_mode": {
|
||
"name": "ipython",
|
||
"version": 3
|
||
},
|
||
"file_extension": ".py",
|
||
"mimetype": "text/x-python",
|
||
"name": "python",
|
||
"nbconvert_exporter": "python",
|
||
"pygments_lexer": "ipython3",
|
||
"version": "3.11.0rc1"
|
||
}
|
||
},
|
||
"nbformat": 4,
|
||
"nbformat_minor": 5
|
||
}
|