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11

I have started to do the same thing a few months ago. You can test your strategies pretty much in any platform: I have tried: backtrader - www.backtrader.com - python based, open source, with great documentation and community support, helpful author and some great features. If you have basic python then thiswould be my recommendation. ninjatrader - free ...


9

QuantConnect has had users work on contributing REST bitcoin brokerages - its fully open source and has complete modeling support for currencies. It also has python support in beta. https://www.quantconnect.com/forum/discussion/958/bitfinex-brokerage (I'm the founder of QuantConnect) Edit: Fully support python and cryptocurrencies now. We've pushed GDAX ...


7

Check out my ccxt library on GitHub: https://github.com/ccxt/ccxt With it you can access market data and trade bitcoin and altcoins with many cryptocurrency exchanges. The library is in Python 2 & 3 (JavaScript and PHP versions are also available as well). You can deploy it from PyPI, with npm or by cloning from GitHub repository. The ccxt library is ...


5

As mentioned in other answers, Coinmarketcap and Bitcoincharts are two options. The data they provide is also available from Quandl too. The only issue is, that data has daily frequency and is only the usual OHLC type, at best. If you want tick data you have no other option than to get it from exchanges themselves. There you can also get the orderbook data ...


5

I have found that Bitcoincharts has trade level data from a number of exchanges going back quite far. It can be downloaded at: https://api.bitcoincharts.com/v1/csv/


5

There's two reasons for that It is easier to buy the future than the cash products It is less likely that CBOE will be hacked than any of the existing exchanges It is very hard and risky to arbitrage the spread (shorting the future and being long on an unregulated exchange) due to the risks of getting hacked, moving the money on shoddy platforms, long ...


4

There is a new paper out which is quite interesting and which basically says that cryptocurrencies are indeed a new asset class, potentially useful as a diversifier of conventional asset classes: Corbet, Shaen and Meegan, Andrew and Larkin, Charles James and Lucey, Brian M. and Yarovaya, Larisa, Exploring the Dynamic Relationships between Cryptocurrencies ...


4

You could web scrape historical snapshots from Coinmarketcap (https://coinmarketcap.com/historical/) that have market cap, price and outstanding supply going back to 2013. They also have an API (https://coinmarketcap.com/api/) but at first glance it appears to only be for real time data. Cryptowatch (acquired by Kraken) is generally sexy (https://cryptowat....


3

You're kind of asking for a specific answer to a fundamentally nebulous question. First, a 'constant product market marking exchange' isn't a real thing. From the link you included, it looks like the paper talks about a theoretical framework, potentially rooted in something real, but theoretical nonetheless. To answer more generally, based on the ...


3

This is not a new phenomenon indiginous to cryptocurrency. As far back as 1900 when Bachelier wrote his thesis The Theory of Speculation, stochastic processes (Brownian motion or variants) have been used to model the random nature of stock prices and other financial assets. The assumption that stock prices follow a geometric Brownian motion lead to the ...


3

Just starting to check it out, but https://www.enigma.co/ seems to have a Crypto framework based on zipline in the making.


3

I recommend you have a look at the SABR model. Wikipedia is a great starting point to get the relevant literature. The main advantage of the SABR model is that analytic approximations exist, which allow for a simple calibration. You just have to optimize the model parameters to fit your observed Call/Put prices or corresponding implied volatilities.


3

Bitcoin is now priced by the law of supply and demand, as it is a product that is liquid enough. I stressed the "now" because at its issuance, price was arbitrarily fixed. Thus there are no "wrong" assessments on its fair value. What drives its price ? Mainly speculation for now.


2

There is something very fundamental to Cryptocurrencies, especially the one you want to talk about, i.e. Bitcoin. I suggest you a very good reading, "Academic Pedigree of Cryptocurrency." There is a method of registering every transaction happening on Bitcoin Peer-to-Peer reviewed distributed network, which is called a "Public Ledger." Every Miner is ...


2

For more granular (tick by tick trades, full order book L2 data) try https://tardis.dev - it's an API I've build out of need of such service for my own algo backtesting.


2

It is a big topic but here is a simplistic recipe! The starting point would be to check the distribution of the historical returns. Histogram would give an idea of how the shifts are distributed. Have a look at the tails, if the tails are fat or don’t ‘tail-off’ then that would be indicative of jumps or non constant volatility. If you decide that a simple ...


2

To say something is "strange," shouldn't you have some clean, careful analysis of what is expected? what you wouldn't consider strange? Null hypothesis of independent time periods with $\rho$ chance of going up: If each period is independent and has a $\rho \in (0, 1)$ chance of going up, there is: $\rho$ chance of a 1 period price decline $(1 - \rho)\rho$...


1

Kraken implements an order book mechanism to match buyers and sellers. You would need to dig into more details to know exactly what order was placed by the aggressor in this case (market order ? Limit order ?) as well as the people who got filled but to make it simple let’s assume the seller placed a market order and all the buyers at 0.3545 and below ...


1

Futures settle at their expiry, not daily. Futures mark-to-market daily and their mtm impacts your margin account. Hope this helps.


1

If you want to incorporate the fact (is it a fact?) that it is different if BTC rises by 10% at a price of 100 USD per BTC than at 10 000 USD per BTC then you could add this information in a proper way in your model as feature/predictor. You could model in distinct regimes or add indicators of regimes as predictors. First thoughts that you could add this ...


1

If you are looking into buying these data sets you should probably try https://bravenewcoin.com , https://www.coinapi.io/ and https://www.quandl.com . They are currently the ones you could try other than what has been mentioned above. It's a little hard to get such datasets for free, especially if they are clean. Most of the time you'll have to part with ...


1

Just came across this https://coinmetrics.io/data-downloads/ and https://coinmarketcap.com/currencies/zcash/ c I think have what you are looking for.


1

https://github.com/askmike/gekko looks pretty good you can probably find a lot of similar repos on github. depending on the type of algo/strategy you want to use, these might suffice or come short. language is another concern. based on my research, node.js is probably the most common one for crypto trading, python runner-up. ultimately I'd suggest build up ...


1

For the question in your title, The mean reversion of the volatility is due to the Moving Average part of the volatility process. The solution would be to set $\beta = 0$. In other words you have to use an AR process for the volatility (so an ARCH model for price). The restriction in p and q come from the estimation process of the parameters. You test ...


1

The reason the SPAN method looks complicated is that it is used for calculating the margin requirements for portfolios of options and futures, and therefore has to deal with changing volatilies as well as spot prices. If you just want to calculate the margin requirement for futures, in principle it is much simpler, as you just need to worry about moves in ...


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