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TRADING.md

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Trading

coincenter is able to serialize market data and deserialize it later on for future usage.

Overview

Currently, these two sources of data are serializable into protobuf objects:

  • Market order books
  • Public trades

Configuration

Compilation

By default, coincenter will be built with protobuf support (controlled by cmake flag CCT_ENABLE_PROTO that defaults to ON).

It will try to link to a known installation of protobuf if found on current system (oldest tested version is v25, make sure to use this version at least), otherwise it will download and compile it from sources.

Serialization configuration

To be able to serialize market data on disk, make sure that you set the marketDataSerialization variable to true in exchangeconfig.json for the exchanges you would like to interact with. See the exchange configuration part for more information about how to configure it.

Serialization of market data

The data will be organized by exchange, then market (asset pair, for instance BTC-USD), and finally dates (with directories from year, month, and finally day and files as hours).

All will be stored in coincenter data directory, under serialized sub folder.

Here is an example of the structure of files you will obtain:

data/serialized/<order-books|trades>/
├── binance
│   ├── BTC-EUR
│   │   └── 2024
│   │       └── 01
│   │           ├── 11
│   │           │   └── 22-00-00_22-59-59.binpb
│   │           ├── 12
│   │           │   ├── 08-00-00_08-59-59.binpb
│   │           │   ├── 09-00-00_09-59-59.binpb
│   │           │   └── 11-00-00_11-59-59.binpb
│   │           └── 14
│   │               ├── 07-00-00_07-59-59.binpb
│   │               └── 08-00-00_08-59-59.binpb
│   ├── ETH-USDT
│   │   └── 2024
│   │       ├── 01
│   │       │   ├── 09
│   │       │   │   ├── 08-00-00_08-59-59.binpb
│   │       │   │   ├── 09-00-00_09-59-59.binpb
│   │       │   │   ├── 10-00-00_10-59-59.binpb
│   │       │   │   ├── 11-00-00_11-59-59.binpb
├── huobi
│   ├── ADA-USDT
│   │   └── 2024
│   │       └── 02
│   │           └── 10
│   │               └── 16-00-00_16-59-59.binpb
│   ├── BTC-EUR
│   │   └── 2024
│   │       └── 01
│   │           ├── 11
│   │           │   └── 22-00-00_22-59-59.binpb
....

To retrieve market data, it's possible to either use multi-commands with both orderbook and last-trades commands stacked together, or you can use the more handy market-data option that is basically a combination of the two without the output by default (it has been created only for serialization purposes).

For instance, to retrieve continuously data and serialize them indefinitely, you can use the following command:

coincenter -r --repeat-time 2s --log warning \
       market-data btc-eur,binance \
       market-data eth-usdt,kucoin \
       market-data ada-usdt,huobi \
       market-data btc-eur,kraken

Note the usage of the -r (repeat option) to keep querying the data as long as you leave coincenter up. It's a good idea to also limit the number of logs with setting console log level to warning but not mandatory.

With this command running for an extended period of time, you should obtain a list of files like in the above example.

Stacking market-data commands together with different exchanges (like in the above example) will allow coincenter to perform the queries in parallel, ensuring optimal frequency of data updates. This optimization may be implemented for other commands in the future, but it's currently supported only for market-data.

Graceful shutdown

Data is flushed on the disk at regular intervals (around 10 minutes). If you wish to restart / shutdown coincenter with an infinite repeat command to store continuously market data, you can send SIGINT or SIGTERM so that coincenter can gracefully stop after current request and flush its remaining data on disk before shutdown.

Replaying historic market data

Of course, serialization is useful only if we re-use the data one day. Being protobuf, not only coincenter could read them, but also other tools, but coincenter is also able to read this data.

Locate the .proto files in order and feed them to the external tool in case you want to use another program to read the data. Data is stored in hours in streaming mode (see documentation here), and written in compressed format.

If you want to use a third-party tool to read this data, locate the .proto files in the src directory for your external program to be able to deserialize the .binpb files.

We will focus here on coincenter features concerning this data.

Experimental - Testing trading algorithms

coincenter embeds a trading simulator engine that is able to be used for any custom trading algorithm that would derive from the interface.

This trading simulator will read chunks of historic data stored in protobuf and inject them in trading algorithms.

Locate the AbstractMarketTrader class and derive it - you need to return a TraderCommand for each market order book and a list of last public trades that occurred at this specific point of time.

TODO: extend this documentation.