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coinbasepro.jl's Introduction

CoinbasePro

A basic API for getting Coinbase data into Julia.

This package provides a Julia interface for the market data functions listed here: https://docs.pro.coinbase.com/

Under Development

  • Non market data based functions.

Getting Started

Install the package in Julia using the Pkg REPL:

julia> ]
pkg> add CoinbasePro

or

using Pkg
Pkg.add("CoinbasePro")

Functions

Market Data Functions

Information on all currency pairs for trading or a specific currency pair.

products()
products("BTC-USD")
produces("ETH", "USD")

Get the orderbook for a product.

  • Level 1: Best Bid and Ask
  • Level 2: Full order book aggregated
  • Level 3: Full order book not aggregated.

Change the level with the 2nd argument to the function.

#level 1
book("BTC-USD", 1)
#level 3
book("BTC-USD", 3)
  • ticker Get the last trade, best bid/offer and 24 hour volume for a product.
ticker("BTC-USD")
  • trades Get a list of trades of a product. Paginated so will return both the data and a pagination cursor. using lasttrades to get the last n trades of a product.
trades("BTC-USD")
lasttrades("BTC-USD", 100)
  • candles Historical rates for a product in terms of open, high, low, and close (OHLC).
    1 minute, 5 minute, 15 minute, 1 hour, 6 hour and 1 day granularity available.
# 1 minute bars
using DateTime
candles("BTC-USD", now() - Hour(1), now(), 60)
  • stats OHLC and volume data from the last 24 hours and 30 day average volume.
stats("BTC-USD")

A tutorial on the various functions can be found here.

coinbasepro.jl's People

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coinbasepro.jl's Issues

CoinbasePro.lasttrades("BTC-USD",10) -> ArgumentError: input string is empty or only contains whitespace

Hello dm13450,

Thanks for the package. I recently updated to Julia 1.10.2, in doing so an error occurs where it did not in 1.7.0.

CoinbasePro.lasttrades("BTC-USD",10) and CoinbasePro.trades("BTC-USD") return:

ArgumentError: input string is empty or only contains whitespace
Stacktrace:
[1] tryparse_internal(::Type{Int64}, s::String, startpos::Int64, endpos::Int64, base_::Int64, raise::Bool)
@ Base ./parse.jl:115
[2] parse(::Type{Int64}, s::String; base::Nothing)
@ Base ./parse.jl:254
[3] parse
@ ./parse.jl:253 [inlined]
[4] _broadcast_getindex_evalf
@ ./broadcast.jl:709 [inlined]
[5] _broadcast_getindex
@ ./broadcast.jl:692 [inlined]
[6] #31
@ ./broadcast.jl:1118 [inlined]
[7] ntuple
@ ./ntuple.jl:49 [inlined]
[8] copy(bc::Base.Broadcast.Broadcasted{Base.Broadcast.Style{Tuple}, Nothing, typeof(parse), Tuple{Base.RefValue{Type{Int64}}, Tuple{String, String}}})
@ Base.Broadcast ./broadcast.jl:1118
[9] materialize
@ ./broadcast.jl:903 [inlined]
[10] get_pages(resp::HTTP.Messages.Response)
@ CoinbasePro ~/.julia/packages/CoinbasePro/c2X4C/src/utils.jl:5
[11] _get_trades(url::String)
@ CoinbasePro ~/.julia/packages/CoinbasePro/c2X4C/src/trades.jl:14
[12] trades
@ ~/.julia/packages/CoinbasePro/c2X4C/src/trades.jl:20 [inlined]
[13] lasttrades(ccy::String, n::Int64)
@ CoinbasePro ~/.julia/packages/CoinbasePro/c2X4C/src/trades.jl:33
[14] top-level scope
@ In[98]:1

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Inexact conversion error when getting CoinbasePro.trades

First of all, thanks for making the package and writing up the blog post! Really helpful tutorial.

I run into an issue when I get to the "Last 1000 Trades" section. Running the command from the blog post yields the following:

julia> trades, pages = CoinbasePro.trades("BTC-USD")
ERROR: InexactError: convert(Dates.Decimal3, 981)
Stacktrace:
  [1] tryparsenext
    @ /buildworker/worker/package_linux64/build/usr/share/julia/stdlib/v1.6/Dates/src/io.jl:153 [inlined]
  [2] tryparsenext
    @ /buildworker/worker/package_linux64/build/usr/share/julia/stdlib/v1.6/Dates/src/io.jl:41 [inlined]
  [3] macro expansion
    @ /buildworker/worker/package_linux64/build/usr/share/julia/stdlib/v1.6/Dates/src/parse.jl:64 [inlined]
  [4] tryparsenext_core(str::SubString{String}, pos::Int64, len::Int64, df::Dates.DateFormat{Symbol("yyyy-mm-ddTHH:MM:SS.sss"), Tuple{Dates.DatePart{'y'}, Dates.Delim{Char, 1}, Dates.DatePart{'m'}, Dates.Delim{Char, 1}, Dates.DatePart{'d'}, Dates.Delim{Char, 1}, Dates.DatePart{'H'}, Dates.Delim{Char, 1}, Dates.DatePart{'M'}, Dates.Delim{Char, 1}, Dates.DatePart{'S'}, Dates.Delim{Char, 1}, Dates.DatePart{'s'}}}, raise::Bool)
    @ Dates /buildworker/worker/package_linux64/build/usr/share/julia/stdlib/v1.6/Dates/src/parse.jl:38
  [5] macro expansion
    @ /buildworker/worker/package_linux64/build/usr/share/julia/stdlib/v1.6/Dates/src/parse.jl:150 [inlined]
  [6] tryparsenext_internal
    @ /buildworker/worker/package_linux64/build/usr/share/julia/stdlib/v1.6/Dates/src/parse.jl:125 [inlined]
  [7] parse(::Type{Dates.DateTime}, str::SubString{String}, df::Dates.DateFormat{Symbol("yyyy-mm-ddTHH:MM:SS.sss"), Tuple{Dates.DatePart{'y'}, Dates.Delim{Char, 1}, Dates.DatePart{'m'}, Dates.Delim{Char, 1}, Dates.DatePart{'d'}, Dates.Delim{Char, 1}, Dates.DatePart{'H'}, Dates.Delim{Char, 1}, Dates.DatePart{'M'}, Dates.Delim{Char, 1}, Dates.DatePart{'S'}, Dates.Delim{Char, 1}, Dates.DatePart{'s'}}})
    @ Dates /buildworker/worker/package_linux64/build/usr/share/julia/stdlib/v1.6/Dates/src/parse.jl:282
  [8] DateTime
    @ /buildworker/worker/package_linux64/build/usr/share/julia/stdlib/v1.6/Dates/src/io.jl:483 [inlined]
  [9] _broadcast_getindex_evalf
    @ ./broadcast.jl:648 [inlined]
 [10] _broadcast_getindex
    @ ./broadcast.jl:621 [inlined]
 [11] getindex
    @ ./broadcast.jl:575 [inlined]
 [12] macro expansion
    @ ./broadcast.jl:984 [inlined]
 [13] macro expansion
    @ ./simdloop.jl:77 [inlined]
 [14] copyto!
    @ ./broadcast.jl:983 [inlined]
 [15] copyto!
    @ ./broadcast.jl:936 [inlined]
 [16] copy
    @ ./broadcast.jl:908 [inlined]
 [17] materialize(bc::Base.Broadcast.Broadcasted{Base.Broadcast.DefaultArrayStyle{1}, Nothing, Type{Dates.DateTime}, Tuple{Base.Broadcast.Broadcasted{Base.Broadcast.DefaultArrayStyle{1}, Nothing, typeof(chop), Tuple{Vector{String}}}, Base.RefValue{Dates.DateFormat{Symbol("yyyy-mm-ddTHH:MM:SS.sss"), Tuple{Dates.DatePart{'y'}, Dates.Delim{Char, 1}, Dates.DatePart{'m'}, Dates.Delim{Char, 1}, Dates.DatePart{'d'}, Dates.Delim{Char, 1}, Dates.DatePart{'H'}, Dates.Delim{Char, 1}, Dates.DatePart{'M'}, Dates.Delim{Char, 1}, Dates.DatePart{'S'}, Dates.Delim{Char, 1}, Dates.DatePart{'s'}}}}}})
    @ Base.Broadcast ./broadcast.jl:883
 [18] _get_trades(url::String)
    @ CoinbasePro ~/.julia/packages/CoinbasePro/LqTjF/src/trades.jl:9
 [19] trades(ccy::String)
    @ CoinbasePro ~/.julia/packages/CoinbasePro/LqTjF/src/trades.jl:18
 [20] top-level scope
    @ REPL[1]:1

Here's my versioninfo()

julia> versioninfo()
Julia Version 1.6.1
Commit 6aaedecc44 (2021-04-23 05:59 UTC)
Platform Info:
  OS: Linux (x86_64-pc-linux-gnu)
  CPU: Intel(R) Core(TM) i7-1065G7 CPU @ 1.30GHz
  WORD_SIZE: 64
  LIBM: libopenlibm
  LLVM: libLLVM-11.0.1 (ORCJIT, icelake-client)
Environment:
  JULIA_EDITOR = "/home/yenson/.vscode-server/bin/c3f126316369cd610563c75b1b1725e0679adfb3/node"
  JULIA_NUM_THREADS =

I might go and debug it later bug just wanted to give you a heads up in case you know a quick way to fix it. Thanks!

CoinbasePro.book("btc-usd", 2) throws ArgumentError

Running Julia on Windows 10

julia> CoinbasePro.book("btc-usd", 2) 
ERROR: ArgumentError: New columns must have the same length as old columns
Stacktrace:
 [1] insert_single_column!(df::DataFrame, v::Vector{Int64}, col_ind::Symbol)
  @ DataFrames ... \dataframe.jl:598
[2] setindex!(df::DataFrame, v::Vector{Int64}, #unused#::typeof(!), col_ind::Symbol)
  @ DataFrames ... \dataframe.jl:628
[3] hcat!(df1::DataFrame, df2::DataFrame; makeunique::Bool, copycols::Bool)
   @ DataFrames ... \dataframe.jl:1038

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