Cryptocurrency Market Data in R

## load library
library(cryptoQuotes)

The main goal of the cryptoQuotes-package is to bridge the gap between R and the cryptocurrency market data. Its a high-level API-client that connects to major cryptocurrency exchanges and their respective public market data endpoints.

In this article we will focus on price and sentiment data made available by the Kraken exchange.

Cryptocurrency market data

In this section we will focus on market data from the last 24 hours, on the hourly chart.

OHLC data

To get OHLC data the get_quote()-function is the go-to function,

## Get the
## SPOT price of 
## Bitcoin on the hourly
BTC <- get_quote(
  ticker  = "BTCUSD",
  source  = "kraken",
  futures = FALSE,
  interval = "1h",
  from = Sys.Date() - 1
)

Hourly Bitcoin OHLC-V data
Index	open	high	low	close	volume
2024-05-18 06:00:00	66881.5	66946.4	66820	66946.4	7.863
2024-05-18 07:00:00	66946.4	67207.7	66908.2	66927	109.901
2024-05-18 08:00:00	66927.1	67066.6	66927	67028.2	13.307
2024-05-18 09:00:00	67028.2	67137	67028.1	67137	7.185
2024-05-18 10:00:00	67137	67283	67042.4	67234.1	57.78
2024-05-18 11:00:00	67234.1	67362.9	67191	67200.1	20.063

Sentiment data

One sentiment indicator for Bitcoin is the long-short ratio, which can be retrieved using get_lsratio()-function,

## Get the
## long-short ratio of 
## Bitcoin on the hourly
LS_BTC <- get_lsratio(
  ticker  = "PF_XBTUSD",
  source  = "kraken",
  interval = "1h",
  from = Sys.Date() - 1
)

Hourly Bitcoin OHLC-V data
Index	long	short	ls_ratio
2024-05-18 06:00:00	0.715	0.285	2.514
2024-05-18 07:00:00	0.71	0.29	2.442
2024-05-18 08:00:00	0.708	0.292	2.429
2024-05-18 09:00:00	0.712	0.288	2.469
2024-05-18 10:00:00	0.713	0.287	2.487
2024-05-18 11:00:00	0.707	0.293	2.411

Limitations

There is a limit to the amount of market data that can be extracted in one call. The Kraken exchange, for example, has a limit on 5000 rows of data per call in the futures market,

## Get the SPOT
## market for over 
## 2000 rows
tryCatch(
  get_quote(
    ticker  = "PF_XBTUSD",
    source  = "kraken",
    futures = TRUE,
    interval = "5m",
    from = Sys.Date() - 25,
    to   = Sys.Date()
  ),
  error = function(error) {
    
    error
    
  }
)
#> <error/rlang_error>
#> Error in `base::tryCatch()`:
#> ✖ Time period too large, too many bars (7200), maximum is 5000!
#> ---
#> Backtrace:
#>      ▆
#>   1. ├─base::tryCatch(...)
#>   2. │ └─base (local) tryCatchList(expr, classes, parentenv, handlers)
#>   3. │   └─base (local) tryCatchOne(expr, names, parentenv, handlers[[1L]])
#>   4. │     └─base (local) doTryCatch(return(expr), name, parentenv, handler)
#>   5. └─cryptoQuotes::get_quote(...)
#>   6.   └─cryptoQuotes:::fetch(...)
#>   7.     ├─cryptoQuotes:::flatten(...)
#>   8.     └─cryptoQuotes:::GET(...)
#>   9.       └─base::tryCatch(...)
#>  10.         └─base (local) tryCatchList(expr, classes, parentenv, handlers)
#>  11.           └─base (local) tryCatchOne(expr, names, parentenv, handlers[[1L]])
#>  12.             └─value[[3L]](cond)

If you need more data than this, you need to do multiple calls. One such solution is the following,

## 1) create date
## sequence
dates <- seq(
  from = as.POSIXct(Sys.Date()),
  by = "-5 mins",
  length.out = 10000
)

## 2) split the sequence
## in multiples of 100
## by assigning numbers
## to each indices of 100
idx <- rep(
  x = 1:2,
  each = 5000
)

## 3) use the idx to split
## the dates into equal parts
split_dates <- split(
  x = dates,
  f = idx
)

## 4) collect all all
## calls in a list
## using lapply
ohlc <- lapply(
  X = split_dates,
  FUN = function(dates){
    
    
    Sys.sleep(1)
    
    cryptoQuotes::get_quote(
      ticker = "PF_XBTUSD",
      source = "kraken",
      futures = TRUE,
      interval = "5m",
      from = min(dates),
      to   = max(dates)
    )
    
  })

## 4.1) rbind all
## elements
nrow(
  ohlc <- do.call(
    what = rbind,
    args = ohlc
  )
)
#> [1] 10000

Note: For an indepth analysis of the various limitations and workarounds please see the cryptoQuotes wiki on Github

The cryptoQuotes way