Binance tick data parser
A simple C++ based parser for binance's official tick data with Python interface
Environment
First, make sure you have numpy, pybind11 and boost installed. You may make a new environment by
conda create -n binance_tick boost-cpp pybind11 numpy
conda activate binance_tick
Also make sure you have compilers installed. For example, you should install the build-essential package under Ubuntu
sudo apt install build-essential
Download
You can simply clone the repository by
git clone https://github.com/lostleaf/binance_tick_parser.git
Optionally, since the sample data is held by Git Large File System, you will have to install the git-lfs extension to run the test code with sample data
curl -s https://packagecloud.io/install/repositories/github/git-lfs/script.deb.sh | sudo bash
sudo apt update
sudo apt install git-lfs
And get the sample data by
git lfs pull
Run
First, build the extensions
python setup.py build_ext --inplace
You should be able to run the test code
python test_run.py