• Collects cryptocurrency trades from exchanges and runs ohlc (and a bit more) aggregation on it
  • Including historical trades
• Standardised interaction across all supported exchanges
• The trades and trade aggregations are stored in a MySQL database
• Provides various market indicators such as RSI and MACD
• Supports private exchange API functionality e.g. placing orders

Note: The symbols supported by exchange will differ.

Currently supports over 400 symbols including:

1. Run the database script found in src\CryptoCurrency.HistorianService\create_historian.sql on a MySQL instance
2. Create a user in MySQL with the following permissions on the schema: CREATE TEMPORARY TABLES, DELETE, EXECUTE, GRANT OPTION, INSERT, LOCK TABLES, SELECT, SHOW VIEW, UPDATE
3. In src\CryptoCurrency.HistorianService\appsettings.json:
   • Modify the Historian connection string to point to the above schema you just created
   • Modify the list of exchanges to get trades from (optional)
     • Note: The required hardware resources increases with every exchange worker that is running
4. Compile the HistorianService project
5. Run dotnet CryptoCurrency.HistorianService.dll

Get daily trade aggregate data for Kraken/BTCUSD for January 2019.

var builder = new ConfigurationBuilder().AddJsonFile($"appsettings.json", true, true);

var appConfig = builder.Build();

var historianConnectionString = appConfig.GetConnectionString("Historian");

var serviceProvider = new ServiceCollection()
	.AddFactories()
	.AddExchangeFactory()
	.AddRepositories(historianConnectionString, historianConnectionString);
	
var intervalFactory = serviceProvider.GetService<IIntervalFactory>();
var marketRepository = serviceProvider.GetService<IMarketRepository>();

var intervalKey = intervalFactory.GetIntervalKey("1D");

var from = new Epoch(new DateTime(2019, 1, 1, 0, 0, 0, DateTimeKind.Utc));

var tradeAggregates = await marketRepository.GetTradeAggregates(ExchangeEnum.Kraken, SymbolCodeEnum.BTCUSD, intervalKey, from, 31);

Get daily trade aggregate data for Kraken/BTCUSD for January 2019.

Note: Timestamp values are milliseconds from unix epoch.

select * from `exchange_trade_aggregate` where `exchange_id` = 3 and `symbol_id` = 3 and `interval_key` = '1D' and `timestamp` between 1546300800000 and 1548892800000