Candles

Tradind data candle data and manipulation.

For more information about candles see candle.

class tradingstrategy.candle.Candle

Data structure that presents one candle in Capitalgram.

Based on the open-high-low-close-volume concept.

Capitalgram candles come with additional information available on the top of core OHLCV. This is because our chain analysis has deeper visibility than one would get on traditional exchanges.

pair_id: tradingstrategy.types.PrimaryKey

Primary key to identity the trading pair Use pair universe to map this to chain id and a smart contract address

timestamp: tradingstrategy.types.UNIXTimestamp

Open timestamp for this candle. Note that the close timestamp you need to supply yourself based on the context.

exchange_rate: float

USD exchange rate of the quote token used to convert to dollar amounts in this candle.

Note that currently any USD stablecoin (USDC, DAI) is assumed to be 1:1 and the candle server cannot handle exchange rate difference among stablecoins.

The rate is taken at the beginning of the 1 minute time bucket. For other time buckets, the exchange rate is the simple average for the duration of the bucket.

open: tradingstrategy.types.USDollarAmount

OHLC core data

close: tradingstrategy.types.USDollarAmount

OHLC core data

high: tradingstrategy.types.USDollarAmount

OHLC core data

low: tradingstrategy.types.USDollarAmount

OHLC core data

buys: int

Number of buys happened during the candle period

sells: int

Number of sells happened during the candle period

buy_volume: tradingstrategy.types.USDollarAmount

Volume data

sell_volume: tradingstrategy.types.USDollarAmount

Volume data

avg: tradingstrategy.types.USDollarAmount

Average trade size

start_block: tradingstrategy.types.BlockNumber

Blockchain tracking information

end_block: tradingstrategy.types.BlockNumber

Blockchain tracking information

property caip: tradingstrategy.caip.ChainAddressTuple

Unique identifier for the trading pair

property trades: int

Amount of all trades during the candle period.

property volume: tradingstrategy.types.USDollarAmount

Total volume during the candle period.

Unline in traditional CEX trading, we can separate buy volume and sell volume from each other, becauase liquidity provider is a special role.

classmethod to_dataframe() pandas.core.frame.DataFrame

Return emptry Pandas dataframe presenting candle data.

classmethod to_pyarrow_schema(small_candles=False) pyarrow.lib.Schema

Construct schema for writing Parquet filess for these candles.

Parameters

small_candles – Use even smaller word sizes for frequent (1m) candles.

__init__(pair_id: tradingstrategy.types.PrimaryKey, timestamp: tradingstrategy.types.UNIXTimestamp, exchange_rate: float, open: tradingstrategy.types.USDollarAmount, close: tradingstrategy.types.USDollarAmount, high: tradingstrategy.types.USDollarAmount, low: tradingstrategy.types.USDollarAmount, buys: int, sells: int, buy_volume: tradingstrategy.types.USDollarAmount, sell_volume: tradingstrategy.types.USDollarAmount, avg: tradingstrategy.types.USDollarAmount, start_block: tradingstrategy.types.BlockNumber, end_block: tradingstrategy.types.BlockNumber) None
class tradingstrategy.candle.CandleResult

Server-reply for live queried candle data.

candles: List[tradingstrategy.candle.Candle]

A bunch of candles. Candles are unordered and subject to client side sorting. Multiple pairs and chains may be present in candles.

sort_by_timestamp()

In-place sorting of candles by their timestamp.

__init__(candles: List[tradingstrategy.candle.Candle]) None
class tradingstrategy.candle.GroupedCandleUniverse

A candle universe where each trading pair has its own candles.

This is helper class to create foundation for multi pair strategies.

For the data logistics purposes, all candles are lumped together in single columnar data blobs. However, it rarely makes sense to execute operations over different trading pairs. :py:class`GroupedCandleUniverse` creates trading pair id -> candle data grouping out from raw candle data.

get_candle_count() int

Return the dataset size - how many candles total

get_candles_by_pair(pair_id: tradingstrategy.types.PrimaryKey) Optional[pandas.core.frame.DataFrame]

Get candles for a single pair.