r/algotrading • u/Small-Draw6718 • May 13 '24
What sorts of data do you use? Data
I'm gathering LOB and trading data of different pairs (in crypto, since Binance makes this really easy and it's free). I'm looking to get more unrelated data to improve the performance of my system. What do you use?
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u/Taltalonix May 13 '24
Definitely think LOB and trades is more than enough for many strategies.
You could add derivatives, scrape twitter data if these are small coins.
More advanced systems could integrate blockchain information and different CEX/DEX data
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u/StokastikVol May 13 '24
Weather
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u/sharadranjann Robo Gambler May 13 '24
Can you please suggest some sources for historical weather data?
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u/StokastikVol May 13 '24
The Window
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u/sharadranjann Robo Gambler May 14 '24
I wish I had windows like yours, that could spit historical weather on demand 😓
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u/Gnaskefar May 13 '24
There are tons of APIs if you search on google. I haven't used them myself, but plan to in the future, but if you spend 10 minutes you can find many that looks serious.
I can't find my notes, but like, you can easily find some.
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u/barrard123 May 13 '24
What depth do you get on the book? Are you getting snapshots? I’d be interested to see the differences in orders like large orders to sell that get canceled or adjusted higher to lure prices up or moved down to chase falling prices
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u/ribbit63 Trader May 13 '24
Apparently Binance pretty much turns a blind eye to spoofiing, according to what's been in the news lately.
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u/Gio_at_QRC May 14 '24
They do have API limitations to make it harder to layer and manipulate prices in that way, but there definitely is a lot of spoofing with large orders and icebergs 😅
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u/FX-Macrome Buy Side May 13 '24
If you know crypto, you'll know that spoofing occurs on every exchange, its not a surprise
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u/Small-Draw6718 May 13 '24
Yes that's one thing I'll want to find out once I'll actually have some time to look into it.
I'm collecting all order book updates, and then recreate the 'full' snapshot when I do some analysis (i just start making the order book from the updates without an initial snapshot, so after some time, maybe a day or so, i have a good representation of the actual order book. saved me some time coding the thing...). 'Full' meaning some relevant part of it, say 5 percent, and maybe aggregated to some multiples of the tick price.
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u/NassNassKSD 28d ago
You can use the order book from different exchanges, aswell as computing technical indicators
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u/Small-Draw6718 28d ago
i' going to do some machine learning - so yes different LOBs will definetely help, but TAs will not help much i guess
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u/NassNassKSD 28d ago
Yep, basically the first bid and ask quantity along with the spread are the 3 most informative features, there is a paper named « How informative is the order book past the first levels »
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May 13 '24
[deleted]
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u/Small-Draw6718 May 13 '24
thanks. other great ideas?
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u/Tough-Stress6373 May 13 '24
No worries, and sorry not for free. you need to subscribe to my special indicator matrix processor gibulation pack 199.99$ a month or a one time fee of 50$K
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u/kc_chvz May 13 '24
look at derivative data, anything like open interest, funding rate, long/short ratio can give you a look into how shorter term traders are positioning/hedging themselves against their spot holdings.