Motivation
If you want to write some backtrading algorithms (based on Machine Learning or not) to test your trading strategies on crypto currencies, you need to collect data.
What data are available
In this post, you can find all raw data from the beginning of each exchanges for these crypto currencies.
For GDAX, available pairs are:
- BTC-USD, BTC-EUR, BTC-GBP
- BCH-USD, BCH-BTC, BCH-EUR
- ETH-USD, ETH-BTC, ETH-EUR
- LTC-USD, LTC-BTC, LTC-EUR
For Kraken, available pairs are:
- BCHEUR, BCHUSD, BCHXBT
- DASHEUR, DASHUSD, DASHXBT
- EOSETH, EOSXBT
- ETCETH, ETCEUR, ETCUSD, ETCXBT
- ETHCAD, ETHEUR, ETHGBP, ETHJPY, ETHUSD, ETHXBT
- GNOETH, GNOXBT
- ICNETH, ICNXBT
- LTCEUR, LTCUSD, LTCXBT
- REPETH, REPEUR, REPXBT
- USDTUSD
- XBTCAD, XBTEUR, XBTGBP, XBTJPY, XBTUSD
- XDGXBT
- XLMXBT
- XRPEUR, XRPXBT
- ZECEUR, ZECUSD, ZECXBT
You will find bellow an extract of output file for the pair BTC-EUR for GDAX.
trade_id,price,side,size,time
1,300.0,sell,0.01,2015-04-23T01:42:34.182104Z
2,200.0,buy,0.01,2015-04-23T05:19:36.540687Z
3,220.0,sell,0.01,2015-04-23T23:27:54.528821Z
4,220.0,sell,0.01,2015-04-24T02:09:47.814117Z
5,205.27,buy,0.0353,2015-04-27T17:45:22.434782Z
The link
Please click here to download all the data you need.
Note that these data contains trades up to July 2, 2018.
If you need more up to date data, you can download the last missing trades very easily with GDAX Downloader.
Please note all these data are available and regularly updated for free. So, if you find these data useful and if you want to donate, you can use this Bitcoin address: 16zBEsQ4ZGmPmQocMbJgiK6kjCTCLcai8s.
Thanks a lot for the support !
This is really cool. Thank you for sharing!
What is “side”?
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Basically, a trade happens when a market or stop order meets a limit order.
“side” means the action from the “taker” (the guy who buy/sell with a market order or with a stop order).
So if somebody clicks on “buy at market price”, then “side” will be “buy”, and if somebody clicks on “sell at market price”, then “side” will be “sell”.
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I’m not sure about Kraken, but for GDAX, “side” refers to the maker order and not the taker order (see https://docs.gdax.com/#get-trades), so it is actually the reverse of what you describe. If “side” is “buy”, then the maker order was a buy and the taker order was a sell.
Thank you for publishing this data and the code for obtaining it!
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Hi, I really appreciate that you have uploaded this data.
The links seem to not be working right now.
Thank you
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I tried the script and it seems to be doing the trick. You are awesome.
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Thanks! I’m glad it helps you!
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It should be OK now.
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Thanks for the script!
Seems that the files here are no longer available.. any change you can fix this? 🙂
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Should be OK now 🙂
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These are all executed trades? Is there anyway way we can see the spread, or what the highest bids/lowest asks are at a given time? Thanks!
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Yes these are all executed trades. Nope sorry no spread or highest bids/lowest asks for this script and data… But I plan to build a script which log all orders book in real time too 🙂
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