Gate.io 上线历史数据下载（成交、深度、合约快照）量化回测福音！
Gate.io 上线历史数据下载（成交、深度、合约快照）量化回测福音！
2021-07-26 15:35:25 UTC+8132087 浏览量
近日，Gate.io量化交易中心全面升级，新版量化跟单中心现已提供包括现货网格，合约网格，MACD，MACF-RSI，双均线，双均线-RSI等多种策略，创建，回测，托管，一键到位。
为方便用户创建量化策略，给量化团队提供详细的回测数据，Gate.io 现已开放全站所有币种，所有交易对的历史数据下载，目前支持下载的历史数据类型见下表。用户可以点击下方链接查看《历史数据说明文档》，前往Gate.io下载相关数据。
最新历史记录页面，请访问：https://www.gate.com/developer/historical_quotes
*历史数据获取说明：
Gate.io history deals data download.
Address and URL
https://download.gatedata.org/${biz}/${type}/${year}${month}/${market}-${year}${month}.csv.gz
where
* biz can be spot, futures_btc or futures_usdt,
* type can be deals, orderbooks, candlesticks_*(for spot), or trades, orderbooks, candlesticks_*, mark_prices, funding_updates, funding_applies(for futures).
Example:
-O https://download.gatedata.org/spot/deals/201801/ADA_BTC-201801.csv.gz
-O https://download.gatedata.org/futures_usdt/mark_prices/201801/BTC_USDT-201801.csv.gz
Data format
Data is in CSV format.
SPOT deals
timestamp, dealid, price, amount, side
where amount is in stock, and side is 1:sell and 2:buy.
Example:
1577830575.771538, 215782675, 0.032900, 500.000000, 1
1577824963.972980, 215777858, 0.033000, 79.642000, 1
1577824851.057307, 215777760, 0.032900, 439.000000, 2
1577824715.650117, 215777638, 0.032800, 164.646151, 2
SPOT orderbooks
One log file per hour.
Each log file begins with full depth snapshot (action=set).
The following updates are merged in 100ms (action=take/make).
timestamp, side, action, price, amount, begin-id, merged=count
where side is 1:sell and 2:buy; amount is in stock; action is set, take, make.
Example:
1626163200, 2, set,10000,0.0865400000000000,3922620466,0
1626163200, 2, set,20000,0.9606000000000000,3922620466,0
1626163200.2, 2, take,33173.2500000000,0.0017000000,3922620467,1
1626163200.3, 2, take,33115.6700000000,0.0010000000,3922620468,1
1626163200.3, 1, make,33185.9000000000,0.0019000000,3922620469,1
SPOT candlesticks
timestamp, volumn, close, high, low, open
Examples:
1626224400,39.927263186699996,32372.13,32490.9,32265.76,32425.09
1626220800,38.96733785019998,32423.23,32806.43,32358.63,32733.89
1626217200,19.5730714536,32726.23,32749.01,32530.04,32580.61
1626213600,22.6222964958,32580.59,32628.6,32436.25,32586.03
1626210000,20.884451706399993,32585.76,32638.57,32409.4,32511.86
FUTURES trades
timestamp, dealid, price, size
where size is in Count, and positive for long and negative for short, which is same with order size.
Example:
1577836738.742477, 5427, 41.310000, 2
1577836676.677672, 5426, 41.310000, 2
1577836559.596270, 5425, 41.330000, 1
1577836472.507152, 5424, 41.220000, -1
FUTURES orderbooks
One log file per hour.
Each log file begins with full depth snapshot (action=set).
The following updates are merged in 100ms (action=take/make).
timestamp, action, price, size, begin-id, merged=count
where action is set, take, make.
Example:
1626166800,set,2656.1,2000,6440357732,0
1626166800,set,3500.0,1000,6440357732,0
1626166800.1,take,33252.6,-8,6440357733,1
1626166800.1,take,33202.3,8120,6440357734,1
1626166800.1,take,33215.4,-3608,6440357735,1
FUTURES candlesticks
timestamp, size, close, high, low, open
Examples:
1626224400,399272,32372.13,32490.9,32265.76,32425.09
1626220800,389671,32423.23,32806.43,32358.63,32733.89
1626217200,195723,32726.23,32749.01,32530.04,32580.61
1626213600,226222,32580.59,32628.6,32436.25,32586.03
1626210000,208844,32585.76,32638.57,32409.4,32511.86
FUTURES mark_prices
timestamp, index_price, mark_price, last_price
Example:
1625097565.537,35041.68,35041.67,35020.7
1625097566.551,35037.62,35037.61,35020.7
1625097576.675,35034.86,35034.85,35020.7
1625097586.805,35035.12,35035.11,35020.7
FUTURES funding_updates
timestamp, funding_rate,interest_rate,bid_diff,ask_diff,mark_price,index_price,update_count
where
* funding_rate is the indicative funding rate for next period,
* bid_diff and ask_diff are the current impact price diffs under contract.funding_impact_value,
* update_count is the update count in current period.
Example:
1625097360,0.0001,0.0003,0,36.99,35036.29,35036.32,476
1625097420,0.0001,0.0003,0,35.4,35044.5,35044.52,477
1625097480,0.0001,0.0003,0,33.07,35053.87,35053.89,478
1625097540,0.0001,0.0003,0,42.32,35063.12,35063.13,479
FUTURES funding_applies
timestamp, funding_rate
Example:
1622505600,-0.000315
1622534400,0.0001
1622563200,0.0001
1622592000,0.0001
Gate.io 让财富更自由！感谢每一位用户对我们的支持，敬请期待Gate的创新产品。
新用户请点击注册Gate.io。老用户推荐他人注册，获得40%佣金！
点击立刻下载iOS/Android版App
Gate.io社群
Twitter：https://twitter.com/gate_io
Telegram：https://t.me/gate_zh
Instagram：https://www.instagram.com/gateioglobal/
Medium：https://medium.com/@gateio
Gate.io
2021年7月26日
为方便用户创建量化策略，给量化团队提供详细的回测数据，Gate.io 现已开放全站所有币种，所有交易对的历史数据下载，目前支持下载的历史数据类型见下表。用户可以点击下方链接查看《历史数据说明文档》，前往Gate.io下载相关数据。
最新历史记录页面，请访问：https://www.gate.com/developer/historical_quotes
目前支持下载的历史数据
*历史数据获取说明：
Gate.io history deals data download.
Address and URL
https://download.gatedata.org/${biz}/${type}/${year}${month}/${market}-${year}${month}.csv.gz
where
* biz can be spot, futures_btc or futures_usdt,
* type can be deals, orderbooks, candlesticks_*(for spot), or trades, orderbooks, candlesticks_*, mark_prices, funding_updates, funding_applies(for futures).
Example:
-O https://download.gatedata.org/spot/deals/201801/ADA_BTC-201801.csv.gz
-O https://download.gatedata.org/futures_usdt/mark_prices/201801/BTC_USDT-201801.csv.gz
Data format
Data is in CSV format.
SPOT deals
timestamp, dealid, price, amount, side
where amount is in stock, and side is 1:sell and 2:buy.
Example:
1577830575.771538, 215782675, 0.032900, 500.000000, 1
1577824963.972980, 215777858, 0.033000, 79.642000, 1
1577824851.057307, 215777760, 0.032900, 439.000000, 2
1577824715.650117, 215777638, 0.032800, 164.646151, 2
SPOT orderbooks
One log file per hour.
Each log file begins with full depth snapshot (action=set).
The following updates are merged in 100ms (action=take/make).
timestamp, side, action, price, amount, begin-id, merged=count
where side is 1:sell and 2:buy; amount is in stock; action is set, take, make.
Example:
1626163200, 2, set,10000,0.0865400000000000,3922620466,0
1626163200, 2, set,20000,0.9606000000000000,3922620466,0
1626163200.2, 2, take,33173.2500000000,0.0017000000,3922620467,1
1626163200.3, 2, take,33115.6700000000,0.0010000000,3922620468,1
1626163200.3, 1, make,33185.9000000000,0.0019000000,3922620469,1
SPOT candlesticks
timestamp, volumn, close, high, low, open
Examples:
1626224400,39.927263186699996,32372.13,32490.9,32265.76,32425.09
1626220800,38.96733785019998,32423.23,32806.43,32358.63,32733.89
1626217200,19.5730714536,32726.23,32749.01,32530.04,32580.61
1626213600,22.6222964958,32580.59,32628.6,32436.25,32586.03
1626210000,20.884451706399993,32585.76,32638.57,32409.4,32511.86
FUTURES trades
timestamp, dealid, price, size
where size is in Count, and positive for long and negative for short, which is same with order size.
Example:
1577836738.742477, 5427, 41.310000, 2
1577836676.677672, 5426, 41.310000, 2
1577836559.596270, 5425, 41.330000, 1
1577836472.507152, 5424, 41.220000, -1
FUTURES orderbooks
One log file per hour.
Each log file begins with full depth snapshot (action=set).
The following updates are merged in 100ms (action=take/make).
timestamp, action, price, size, begin-id, merged=count
where action is set, take, make.
Example:
1626166800,set,2656.1,2000,6440357732,0
1626166800,set,3500.0,1000,6440357732,0
1626166800.1,take,33252.6,-8,6440357733,1
1626166800.1,take,33202.3,8120,6440357734,1
1626166800.1,take,33215.4,-3608,6440357735,1
FUTURES candlesticks
timestamp, size, close, high, low, open
Examples:
1626224400,399272,32372.13,32490.9,32265.76,32425.09
1626220800,389671,32423.23,32806.43,32358.63,32733.89
1626217200,195723,32726.23,32749.01,32530.04,32580.61
1626213600,226222,32580.59,32628.6,32436.25,32586.03
1626210000,208844,32585.76,32638.57,32409.4,32511.86
FUTURES mark_prices
timestamp, index_price, mark_price, last_price
Example:
1625097565.537,35041.68,35041.67,35020.7
1625097566.551,35037.62,35037.61,35020.7
1625097576.675,35034.86,35034.85,35020.7
1625097586.805,35035.12,35035.11,35020.7
FUTURES funding_updates
timestamp, funding_rate,interest_rate,bid_diff,ask_diff,mark_price,index_price,update_count
where
* funding_rate is the indicative funding rate for next period,
* bid_diff and ask_diff are the current impact price diffs under contract.funding_impact_value,
* update_count is the update count in current period.
Example:
1625097360,0.0001,0.0003,0,36.99,35036.29,35036.32,476
1625097420,0.0001,0.0003,0,35.4,35044.5,35044.52,477
1625097480,0.0001,0.0003,0,33.07,35053.87,35053.89,478
1625097540,0.0001,0.0003,0,42.32,35063.12,35063.13,479
FUTURES funding_applies
timestamp, funding_rate
Example:
1622505600,-0.000315
1622534400,0.0001
1622563200,0.0001
1622592000,0.0001
Gate.io 让财富更自由！感谢每一位用户对我们的支持，敬请期待Gate的创新产品。
新用户请点击注册Gate.io。老用户推荐他人注册，获得40%佣金！
点击立刻下载iOS/Android版App
Gate.io社群
Twitter：https://twitter.com/gate_io
Telegram：https://t.me/gate_zh
Instagram：https://www.instagram.com/gateioglobal/
Medium：https://medium.com/@gateio
Gate.io
2021年7月26日
