I have been trying to find a reliable data provider that's supported by WL7, where I can run a backtest on at least 1 full year of data in 15-minute scale. These are the issues I've encountered:
1) TwelveData - can only download a max of 5000 bars of data, but a full year of 15-minute data requires about 35,000 bars
2) AlphaVantage - their API was recently updated to include Crypto, but I don't believe WL7 has been updated to call "CRYPTO_INTRADAY", as I haven't been able to download any crypto symbols in the data manager
3) Tiingo - datasets can be corrupted because of the download chunk mechanism (currently open bug report)
4) Kraken - can only download about 7 days of 15-minute data (and streaming doesn't work, noted in a currently open bug report)
Are there any other options for historical intraday cryptocurrency data?
1) TwelveData - can only download a max of 5000 bars of data, but a full year of 15-minute data requires about 35,000 bars
2) AlphaVantage - their API was recently updated to include Crypto, but I don't believe WL7 has been updated to call "CRYPTO_INTRADAY", as I haven't been able to download any crypto symbols in the data manager
3) Tiingo - datasets can be corrupted because of the download chunk mechanism (currently open bug report)
4) Kraken - can only download about 7 days of 15-minute data (and streaming doesn't work, noted in a currently open bug report)
Are there any other options for historical intraday cryptocurrency data?
Rename
1) I believe that TwelveData's download range is only limited by your subscription plan. So in theory you could get the whole history but the provider doesn't support getting more than their 5,000 bars.
To overcome this, Tiingo and Alphavantage providers download intraday data in a series of chunks and combine them into a complete history. Please submit a #FeatureRequest for "TwelveData to download entire intraday historical data".
2) Can you start a new topic for Alphavantage intraday crypto support?
As for other options we're always open for new data feed suggestions.
To overcome this, Tiingo and Alphavantage providers download intraday data in a series of chunks and combine them into a complete history. Please submit a #FeatureRequest for "TwelveData to download entire intraday historical data".
2) Can you start a new topic for Alphavantage intraday crypto support?
As for other options we're always open for new data feed suggestions.
I suppose TwelveData would be susceptible to the same data consistency issue currently affecting Tiingo then, in terms of combining data chunks. So it probably makes more sense to just wait for that fix first. In the mean time I can just manually download each month individually from their "API playground", and combine them into a single file that can be imported into WL7.
I know that CoinAPI (https://www.coinapi.io/) allows downloading up to 100,000 bars at once, and I would definitely use it if WL7 supported it. However, I don't want to flood you guys with feature requests that don't seem to be in demand from any users besides myself.
I know that CoinAPI (https://www.coinapi.io/) allows downloading up to 100,000 bars at once, and I would definitely use it if WL7 supported it. However, I don't want to flood you guys with feature requests that don't seem to be in demand from any users besides myself.
Maybe we can do something with this ourselves in the future but here's ALL the TOS data from the beginning of the market at Kraken -
https://support.kraken.com/hc/en-us/articles/360047543791-Downloadable-historical-market-data-time-and-sales-
Given time, I'm thinking we could consolidate these data in 1-min intervals and provide more history for Kraken downloads automatically.
https://support.kraken.com/hc/en-us/articles/360047543791-Downloadable-historical-market-data-time-and-sales-
Given time, I'm thinking we could consolidate these data in 1-min intervals and provide more history for Kraken downloads automatically.
Thanks for the CoinAPI suggestion but unfortunately the feed cannot be used to download intraday histories. Although CoinAPI has a C# SDK (which is nice) and allows downloading up to 100K bars, they also impose a quota on the number of daily requests. According to the API doc (https://docs.coinapi.io/#historical-data-get), every 100 output items are counted as one request. So to get 100K bars just for a single coin you have to spend 1,000 requests. The Free plan (https://www.coinapi.io/Pricing) allows up to 100 requests per day, the next paid plan (Startup) gets you 1K daily requests (i.e. one coin a day) for $79.
QUOTE:
2) AlphaVantage - their API was recently updated to include Crypto, but I don't believe WL7 has been updated to call "CRYPTO_INTRADAY", as I haven't been able to download any crypto symbols in the data manager
I believe that intraday cryptos used to work before. Anyway, from B31 the new endpoint for intraday crypto symbols will be called.
That's great news, thank you!
QUOTE:
I suppose TwelveData would be susceptible to the same data consistency issue currently affecting Tiingo then, in terms of combining data chunks.
Not necessarily. The issue with Tiingo isn't confirmed yet and the logic of slicing chunks of history is different between say Alphavantage and Tiingo due to the API differences.
However, please disregard my offer above. We will not be adding similar pagination to TwelveData due to a lack of data. It's been determined that intraday historical data before 2020 isn't supported by the feed.
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