library(bitmexr) library(dplyr) library(ggplot2) library(tidyquant)
The following examples demonstrate how
bitmexr can be
used to obtain trade data from BitMEX, and used with other packages such
tidyqaunt to explore and visualise the data.
The core function used for obtaining trade data are
trades() collects data regarding individual trades that
have been executed on the exchange.
# Get 1000 most recent trades on the exchange <- trades( trade_data symbol = "XBTUSD", reverse = "true", count = 1000 )
bucket_trades() collects trade data which has been
summarised into the follow time frames: 1-minute, 5-minute, 1-hour and
1-day. Given the large volume of trades performed daily on the exchange,
this function is preferred over
trades() if you want to
obtain data spanning many days.
# Daily OHLC data from 2017-01-01 to 2020-01-01 <- bucket_trades( bucket_data binSize = "1d", startTime = "2018-01-01", endTime = "2020-05-01", symbol = "XBTUSD" )
For more fine grained data, you may want to specify a smaller time frame.
# 1-minute buckets from 2020-01-01 until 2020-01-03 <- bucket_trades( bucket_data binSize = "1m", startTime = "2020-01-01", endTime = "2020-01-03", symbol = "XBTUSD" ) max(as.Date(bucket_data$timestamp))
However, the maximum date returned is still “2020-01-01”. This is because the maximum number of rows returned per API calls is 1000, and there are greater than 1000 1-minute buckets spanning the desired 3 day sample. To solve this problem, the package provides map_* variants of the two core functions.
Take our desired 3-day time period again. Using
map_bucket_trades() will create the necessary number of API
requests to satisfy the desired sample time frame automatically.
<- map_bucket_trades( bucket_data_long binSize = "1m", start_date = "2020-01-01", end_date = "2020-01-03", symbol = "XBTUSD", verbose = FALSE ) max(as.Date(bucket_data_long$timestamp))
If verbose is
TRUE, a progress bar is printed in the
console to provide information regarding the expected duration for the
function to complete. The maximum date in the sample is now equal to the
end date in the function.
map_trades() function works in a similar way,
however because the number of trades per day is not known in advance, it
is not possible to estimate how long the function will take. Instead, if
TRUE, this function prints the maximum timestamp
from each API call to provide an indication of the current progress and
how long is left. The function stops when the start_date is greater than
map_trades( symbol = "XBTUSD", start_date = "2019-05-03 12:00:00", end_date = "2019-05-03 12:05:00", verbose = TRUE %>% ) select(1:5) %>% head()
Without authentication, API requests are limited to 30 per minute. If
you have enabled authentication by following you can use the
use_auth = TRUE argument to access the higher rate limit of
60 requests per minute.
Note: A warning is given when time frames of greater
than 1 day are passed into the function. Due to the large number of
trades executed on the exchange each day, this function should only be
used for specific time intervals of interest. Using
map_bucket_trades() is a better option for time intervals
spanning multiple days.
available_symbols() returns a character vector of the
currently valid symbols available to request.
paste(available_symbols(), collapse = ", ")
valid_dates() returns the date from which data is
available through the API for a given symbol, or all symbols if no
symbol is given
The core functions
bucket_trades() also have a rate limiter built in that will
initiate a 60 second pause to reset the limit if the the maximum number
of requests per minute is approached while using the package.
Once data has been obtained, it is possible to use packages such as
tidyquant to explore/visualise the data
%>% bucket_data_long filter(timestamp > "2020-01-01" & timestamp < "2020-01-03") %>% mutate(timestamp = as_datetime(timestamp)) %>% ggplot(aes(x = timestamp, y = close)) + geom_candlestick(aes(open = open, high = high, low = low, close = close)) + geom_ma(ma_fun = SMA, n = 200) + scale_x_datetime(date_breaks = "12 hour", date_labels = "%H:%M") + theme_tq()
tidyquant vignette for more details https://CRAN.R-project.org/package=tidyquant