Handling asynchronous high frequency data — Being an avid researcher of cryptocurrency market microstructure, I have considered many ways of collecting and cleaning high-frequency data from cryptocurrency venues. In this article, I will describe, what I believe, by far the best way to continuously collect and store such data. …

In this article we consider Level II order book data of the most traded cryptocurrency product — BitMEX XBTUSD contract. Specifically, the goal is to investigate how order flow imbalance influences price change. The piece has the following structure: Level I Trades and Quotes (TAQ) Data Order Flow Imbalance (OFI)…

In previous article we explored a very popular algorithmic strategy. However, analysing strategies with sampled data removes us from all the rigour involved in real-time event processing. My specific area of interest is market microstructure of cryptocurrency. In order to meaningfully study this discipline, I require the data of finest…

In the last tutorial we have scraped, saved and analysed bulk crypto data. Hopefully, you were able to see the beauty of combining different Python libraries to manipulate, analyse and visualise data. …

In the last tutorial you have seen how to set up a research environment and acquire cryptocurrency OHLCV price data for a single asset. In this tutorial we will extend this skill to automating data collection process to multiple crypto-assets. …

The word “cryptocurrency” has taken the financial world by storm, and yet there is a lack of formal and open research being conducted on the data of the digital assets. …