Historical luno/valr order book data

[a1337]

Does anybody here have historical luno / valr order book data?

Would be happy to pay / trade

 

[Snyper564]

But why?

 

[Snyper564]

Machine Learning... Which IMO would only really be helpful in context with news and other major crypto events. It's still too immature IMO, but hey, might be interesting to see what a machine can predict.

MTI bot v4? Is that you

 

[NarrowBandFtw]

Does anybody here have historical luno / valr order book data?

Would be happy to pay / trade

oops, I had Gecko bot running for multiple days to slowly sync up the entire order history of Luno, but the bot crashed a couple of times and it was just too much of a chore in the end (the exchange throttles those requests to prevent DDOS type of problems of course)

could have given you about 2 years of history since inception if I didn't already delete it

 

[a1337]

But why?

Algo trading.

You can’t pull historical order book data from the exchange APIs. I’ve saved the last few months and features computed using L2 data are statistically significant in my models.

 

[a1337]

Machine Learning... Which IMO would only really be helpful in context with news and other major crypto events. It's still too immature IMO, but hey, might be interesting to see what a machine can predict.

Your opinion is misinformed.

 

[a1337]

MTI bot v4? Is that you

Haha nope

 

[a1337]

oops, I had Gecko bot running for multiple days to slowly sync up the entire order history of Luno, but the bot crashed a couple of times and it was just too much of a chore in the end (the exchange throttles those requests to prevent DDOS type of problems of course)

could have given you about 2 years of history since inception if I didn't already delete it

Syncing up order history (trades) is easy - the rate limits aren’t that aggressive and there aren’t that many trades. It only took a day or so to pull the full histories.

BUT

I’m not talking about that. I’m asking for order book data which cannot be downloaded historically - it can only be pulled in real time.

 

[Snyper564]

LMAO what do you think algo trading is? Guesswork?
Besides, I guessed - I was not misinformed.

also the differences between exchanges dont take the time it takes to send the btc 10min-12h+ depending on the blockchain

 

[a1337]

LMAO what do you think algo trading is? Guesswork?
Besides, I guessed - I was not misinformed.

You stated 2 opinions:
1. Machine learning "would only really be helpful in context with news and other major crypto events."
2. Machine learning is "too immature"

Both of these opinions are misinformed. For example, see Renaissance Technologies.

 

[a1337]

also the differences between exchanges dont take the time it takes to send the btc 10min-12h+ depending on the blockchain

What makes you assume I'm doing cross-exchange arbitrage?

 

[a1337]

You misunderstood it seems.
What is immature is not machine learning but local book orders - i.e. the data. Renaissance has book orders of over 100 million US. Hardly the same thing.
And what makes you think they exclude news from their algos?
That aside, crypto news has a moer of a long way to go. So much fud.

Neither of us know what Renaissance is doing but I can tell you for certain that order book data adds alpha to my strategy without including news data.

 

[SauRoNZA]

Have you tried asking them?

 

[saor]

Have you tried asking them?

You're adorable thinking a crypto exchange will respond to anything .

 

[SauRoNZA]

You're adorable thinking a crypto exchange will respond to anything .

They are generally very responsive and nerds at heart so often quite keen to get into these kinds of things from what I’ve seen.