[Algorithm Trading #5] Loading historical data from Poloniex exchange

Hi,

In this post, I will describe how to load historical data from poloniex exchange.
The API calls that were introduced in previous post would be used.

We first define start and end time of the historical data.

nowtime = datetime('now');
starttime = datenum(nowtime - calmonths(month)); % starting from 3 month before
endtime = datenum(datetime(posixtime(nowtime),'ConvertFrom','posixtime'));

nowtime = datetime('now'); command returns current time in MATLAB format (2017-06-28)
month is an integer value, here I define month = 3;
datenum() function converts time with a format (2017-06-28) to certain number (736782.991378831).

The time in format of number does not match with standard in Poloniex.
Poloniex API requires UNIX time stamp.
Following codes converts the start and end time into UNIX time stamp.

starttime_UNIX = int32(floor(86400 * (starttime - datenum('01-Jan-1970'))));
endtime_UNIX = int32(floor(86400 * (endtime - datenum('01-Jan-1970'))));

In poloniex, chart data is stored in candle format.
So we need to select which candle to load.
The period is defined in unit of second.

% period 300 (5-min), 900 (15-min), 1800 (30-min)
%       7200 (2-hr), 14400 (4-hr), and 86400 (1-day)

Let's choose 4-hr candle as period = 14400;

By executing following code, you could receive response from poloniex server.

command = 'returnChartData';
params = ['&currencyPair=' pair '&start=' num2str(starttime_UNIX) '&end=' num2str(endtime_UNIX) '&period=' num2str(period)];
response = POLO_Call(command,params);

Let's define the above codes as a function POLO_ChartData().
Following code will retrieve historical data of BTC/XMR.

pair = 'BTC_XMR';
response = POLO_ChartData(pair, starttime, endtime, period);

The response is JSON format, and we parse the data.

>> json2data = loadjson(response);
>> json2data

json2data = 

    candleStick: {1×550 cell}
          range: 7905600

Here, we see that with 4-hr candle, in three month, there are 550 candles.
Let's take a look at 1st candle. It includes high, low, open, close, volume.

>> json2data.candleStick{1}

ans = 
 struct:

               date: 1490745600
               high: 0.01931
                low: 0.01860777
               open: 0.0188
              close: 0.019
             volume: 505.5160921
        quoteVolume: 26601.71798278
    weightedAverage: 0.01900313

Let's try to collect close values of all candle.

>> nCandle = length(json2data.candleStick);
closeVal = zeros(nCandle,1);

for i = 1:nCandle
    closeVal(i) = json2data.candleStick{i}.close;
end
>> closeVal

closeVal =

                     0.019
                   0.01938
                   0.01845
                0.01869999
                0.01906999
                0.02019995
                0.02000641
                    0.0199
                0.01979995
                0.01961846
                 0.0192058
                  0.019078
                  0.018788
...

Executing following code returns BTC/XMR chart.

figure; plot(closeVal); xlabel('candle number'); ylabel('BTC_XMR');

That's it for today, I hope you follow my post. Have a nice day.

[Algorithm Trading #5] Loading historical data from Poloniex exchange

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