qlib/scripts/data_collector/crypto

Collect Crypto Data

Please pay ATTENTION that the data is collected from Coingecko and the data might not be perfect. We recommend users to prepare their own data if they have high-quality dataset. For more information, users can refer to the related document

Requirements

pip install -r requirements.txt

Usage of the dataset

Crypto dateset only support Data retrieval function but not support backtest function due to the lack of OHLC data.

Collector Data

Crypto Data

1d from Coingecko

# download from https://api.coingecko.com/api/v3/
python collector.py download_data --source_dir ~/.qlib/crypto_data/source/1d --start 2015-01-01 --end 2021-11-30 --delay 1 --interval 1d

# normalize
python collector.py normalize_data --source_dir ~/.qlib/crypto_data/source/1d --normalize_dir ~/.qlib/crypto_data/source/1d_nor --interval 1d --date_field_name date

# dump data
cd qlib/scripts
python dump_bin.py dump_all --csv_path ~/.qlib/crypto_data/source/1d_nor --qlib_dir ~/.qlib/qlib_data/crypto_data --freq day --date_field_name date --include_fields prices,total_volumes,market_caps

using data

import qlib
from qlib.data import D

qlib.init(provider_uri="~/.qlib/qlib_data/crypto_data")
df = D.features(D.instruments(market="all"), ["$prices", "$total_volumes","$market_caps"], freq="day")

Help

python collector.py collector_data --help

Parameters

• interval: 1d
• delay: 1