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am looking for historical data option BTC


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am looking for historical data option BTC

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  #11 (permalink)
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
 
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Posts: 369 since May 2014
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And if you are interested in learning how I did this then read below:

I downloaded the TBBO schema (this is the one you need based on the image you shared) data for BTC options for Dec 30th in the DBN (zstd) format.

Then the following lines of code read the file, apply date formatting and include symbol name and save a CSV copy of the formatted data

 
Code
import databento as db
import pandas as pd

# initialize/authorize your client
client = db.Historical("<API KEY>")

# file that was downloaded from databento.com
file_name = "/home/hulk/Downloads/glbx-mdp3-20221230.tbbo.dbn.zst"

# read the file into memory
stored_data = db.DBNStore.from_file(file_name)

# set pretty_ts, pretty_tx and map_symbols to True to convert into human readable format
df = stored_data.to_df(pretty_ts=True, pretty_px=True, map_symbols=True)

# save data as csv for further processing
df.to_csv("/home/hulk/Downloads/glbx-mdp3-20221230.tbbo.csv")

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  #12 (permalink)
 Hulk 
Texas, USA
 
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@diegs

I saw your PM.

You asked:

Quoting 
you can have for example the Ask and Bid for this product at the time frame (2022.12.30) 02:01:00 when a order is passed at 192 ( buy order ) and other at 02:03:23 ( H:mn:sec) with an other buy order ?

I am assuming you are looking for the best bid/ask data at all times.

I have attached 2 files to this message:
  • glbx-mdp3-20221230.BTCF3_C18500.mbp-1.csv: This file has the trades and BBO at all times for the instrument you are interested in.
  • glbx-mdp3-20221230.BTCF3_C18500.mbo.csv: This file has all the trades and all orders in addition to the BBO that were added, cancelled, traded or modified for the entire day for the instrument you are interested in.

The times in columns ts_event and ts_recv are in UTC. Since you didn't mention the timezone, I suggest you first convert your times to UTC and you should be able to find the information you are looking for in these 2 files.

FYI I did not find a bid order at 192 at any time.

Let me know if you have any questions.

Attached Files
Register to download File Type: csv glbx-mdp3-20221230.BTCF3_C18500.mbp-1.csv (422.5 KB, 2 views)
Register to download File Type: csv glbx-mdp3-20221230.BTCF3_C18500.mbo.csv (455.8 KB, 1 views)
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  #13 (permalink)
diegs
lyon france
 
 
Posts: 7 since Apr 2023
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Thanks a lot .
My UT zone are in France , i believe its +1 the 30 december . And i think the cotation begin at One o clock this day , so i have just to put+1 in hour .

If it s not abusing , can you explain me one line ( in simple words ) , for example the line 6 . i put it here

ts_recv,ts_event,ts_in_delta,publisher_id,product_id,action,side,depth,flags,price,size,sequence,bid_px_00,ask_px_00,bid_sz_00,ask_sz_00,bid_oq_00,ask_oq_00,symbol


2022-12-30 00:00:28.394960943+00:00,2022-12-30 00:00:28.394846701+00:00,18918,1,74153,M,B,0,128,230.00000000000003,1,1797744,230.00000000000003,320.0,1,6,1,1,BTCF3 C18500

i havent find the signification of depth , and flags .

Attached Files
Register to download File Type: txt trest.txt (341 Bytes, 2 views)
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  #14 (permalink)
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
 
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Posts: 369 since May 2014
Thanks: 731 given, 899 received


diegs View Post
Thanks a lot .
My UT zone are in France , i believe its +1 the 30 december . And i think the cotation begin at One o clock this day , so i have just to put+1 in hour .

If it s not abusing , can you explain me one line ( in simple words ) , for example the line 6 . i put it here

ts_recv,ts_event,ts_in_delta,publisher_id,product_id,action,side,depth,flags,price,size,sequence,bid_px_00,ask_px_00,bid_sz_00,ask_sz_00,bid_oq_00,ask_oq_00,symbol


2022-12-30 00:00:28.394960943+00:00,2022-12-30 00:00:28.394846701+00:00,18918,1,74153,M,B,0,128,230.00000000000003,1,1797744,230.00000000000003,320.0,1,6,1,1,BTCF3 C18500

i havent find the signification of depth , and flags .

You can ask whatever you want. You are not abusing anything. I am happy to help to the extent I can.

Depth = 0 means that this is the best bid or offer. Databento has another schema called MBP-10. In this schema, the depth will be from 0 to 9 and contain 10 levels of market depth. You are working with the MBP-1 schema that includes only the best bid/offer (depth=0)
Flags = For this file, you can safely ignore the values in this column since it is MBP-1. Flags are important when you are processing MBO data.



You can read more about it here: https://docs.databento.com/knowledge-base/new-users/standards-conventions?historical=python&live=python

Please feel free to ask any more questions.

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