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Gate.io Makes all Historical Data Downloads Available (Transactions, Depth, Contract Snapshots) for Quantitative Backtesting!

2021-07-26 07:35:25Read:22277

Gate.io Quantitative Trading Center has recently been upgraded. Now it offers Spot Grid Trading, Future Grids, MACD, MACF-RSI, Double Moving Average, and Dual Average-RSI. Users can quickly create, backtest, and host with one click.


In order to facilitate users to create quantitative strategies and provide detailed back-test data to the quantitative team, Gate.io has now made historical data download for all currencies and trading pairs available. The types of historical data currently supported for download are shown in the table below. Users can click the link below to view the "Historical Data Deion Document" and go to Gate.io to download the relevant data.


Historical Data Deion Document: https://www.gate.io/cn/help/question/other/21201


The types of historical data currently supported for download








*Historical Data Deion Document:

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.gatedta.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


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Gate.io Team

July 26, 2021


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