Multi-Exchange/Ticker Data Archival
In December, we added WooX and Polymarket:
With so many exchange integrations, running cross-exchange arbitrage strategies become seamless. But - one of the things we would like to do is to have a hassle-free interface for organizing, archiving and loading data to disk. We can test our high-frequency strategies and tune them with significantly faster iteration cycles.
Tick-market data can be tricky to obtain, especially if it involves high levels of order-book depth.
No more. We are going to make data archival for multiple tickers, exchanges and data feeds into a one-liner.
Just add archiver=True, and add the magic line!
That’s all. Your data feed object now archives data received into efficient parquet format in disk and organizes according to exchange, data class and feed type.
See full example here!
https://hangukquant.github.io/hft/hft/#data-archival
quantpylib is our community github repo intended for learning and trading (join here):
or obtain the repo pass: https://hangukquant.thinkific.com/courses/quantpylib
cheerios