dknight / ohlc-resampler

ohlc-resampler

ohlc-resampler is a simple utility to transform trade data from Binance Cryptocurrency market data into OHLCV candles to simulate market behavior and test trading algorithms.

Binance data archives can be found here.

Word of warning!

At the moment this is very raw alpha version and cannot provide any guarantee in data correctness. Also no any further backwards compatibility guaranteed.

Compilation and installation

There is nothing special required to compile and run this software. It has no dependencies and uses only the standard library. Executable file will be saved in your $GOPATH/bin directory.

go build
go install

That's all.

Usage

ohlc-resampler reads data from stdin, similarly, output will be written to stdout. Errors are written to stderr.

ohlc-resampler timeframe n < input.csv

• timeframe - time frame in string format like: 1m, 5m, 15m, 1h. See Go's time#ParseDuration.
• n - number of candles, cannot be less than zero, otherwise fallback 20 will be used.

These two parameters are mandatory.

Output to stdout

Be aware that stream data can be very large. It can mess with your terminal and priting can take a lot of time.

ohlc-resampler 5m 20 < DOGEUSDT-trades-2022-10-26.csv

Redirect output to file

ohlc-resampler 5m 20 < DOGEUSDT-trades-2022-10-26.csv > output.csv

cURL example

You can combile cURL and other command line utilities to make interesing combinations like dowloading data from the web.

GNU/Linux

curl -s --output "-" https://data.binance.vision/data/spot/daily/trades/DOGEUSDT/DOGEUSDT-trades-2022-10-22.zip | gunzip | ohlc-resampler 5m 10 > out.csv

MacOS

curl -s --output "-" https://data.binance.vision/data/spot/daily/trades/DOGEUSDT/DOGEUSDT-trades-2022-10-22.zip | tar -x -O | ohlc-resampler 5m 10 > out.csv

Windows

I don't know how to do it on Windows.

Testing

go test

Coverage

go test -cover

With cover profile.

go test -coverprofile c.out
go tool cover -html c.out

Contribution

Any help is appreciated. Found a bug, typo, inaccuracy, etc? Please do not hesitate and make pull request or issue.

License

MIT 2022