-
simple analysis of changes in the orderbook (compares current volumes and average-vol)
-
Fetches historic trade/candle data from REST-API and saves them in influx-database
- 1m,5m,1h,1d candles (1000 per interval)
- Connects Orderbook via websocket
- tracks 5m,10m,15m moving-averages for the top25 orderbook entries (bids/asks)
- groups the orderbook into 2$-chunks (instead of 0.5$)
- Outputs to console:
{
volDiffs: { diff3: 2429, diffN: 1628340 },
askAvgs: { askVol: 4588606, askVolAvg: 4183006, diff: 405600 },
bidAvgs: { bidVol: 2960266, bidVolAvg: 5148133, diff: -2187867 },
Guess: 'LONG'
}- vollDiffs: difference between low & ask -volume/1000
- askAvgs:
- askVol: currentTotal askVolume
- askVolAvg: average 5m volume
- diff: difference between 5m-avg and current Volume
- biAvgs:
- ...
- Guess: if all ask-values are below bid-values - it suggests: SHORT ...
- download & install influxdb from https://v2.docs.influxdata.com/v2.0/get-started/#start-with-influxdb-oss
- Set up InfluxDB through the UI: https://localhost:9999
- create an organisation called "de"
- create a bucket called "bitmex"
- see https://v2.docs.influxdata.com/v2.0/get-started/#set-up-influxdb
yarn
yarn start
# optional install: typescript and ts-node globally
yarn global add typescript
yarn global add ts-node-dev
# disabling livedata or REST in index.ts
// const history = fetchMex(writeApi);
// const live = handleLiveData(writeApi);
- create
.envfile
url="https://localhost:9999"
token=".....=="
org="de"
bucket="bitmex"
beep=1- Data will be pumped to your influxdb
