/correlations

Primary LanguagePython

Correlations

This can be used to pull historical correlations from the binance api.

Results

Results can be found in data/processed

BTCUSDT price ETHUSDT price XRPUSDT price LTCUSDT price RNDRUSDT price MATICUSDT price CFXUSDT price DOGEUSDT price SOLUSDT price INJUSDT price LDOUSDT price FTMUSDT price OPUSDT price ADAUSDT price
BTCUSDT price 1 0.877847 0.630769 0.707404 0.426411 0.735013 0.354564 0.627108 0.696656 0.453006 0.407218 0.674931 0.60292 0.735525
ETHUSDT price 0.877847 1 0.642245 0.722287 0.424738 0.765156 0.335766 0.648623 0.709863 0.443831 0.428977 0.68688 0.622837 0.755312
XRPUSDT price 0.630769 0.642245 1 0.585801 0.32899 0.603582 0.271414 0.547047 0.567462 0.370586 0.323031 0.565905 0.486955 0.635315
LTCUSDT price 0.707404 0.722287 0.585801 1 0.372689 0.666319 0.313085 0.596782 0.623081 0.412492 0.365409 0.634486 0.549322 0.685826
RNDRUSDT price 0.426411 0.424738 0.32899 0.372689 1 0.395092 0.216747 0.336711 0.371474 0.273503 0.230419 0.389566 0.336735 0.396688
MATICUSDT price 0.735013 0.765156 0.603582 0.666319 0.395092 1 0.326215 0.620967 0.687304 0.438454 0.387761 0.682203 0.59203 0.713369
CFXUSDT price 0.354564 0.335766 0.271414 0.313085 0.216747 0.326215 1 0.274929 0.301574 0.240719 0.204843 0.332223 0.280756 0.321599
DOGEUSDT price 0.627108 0.648623 0.547047 0.596782 0.336711 0.620967 0.274929 1 0.595829 0.390855 0.32966 0.590127 0.50868 0.635869
SOLUSDT price 0.696656 0.709863 0.567462 0.623081 0.371474 0.687304 0.301574 0.595829 1 0.410771 0.359415 0.631334 0.547736 0.681515
INJUSDT price 0.453006 0.443831 0.370586 0.412492 0.273503 0.438454 0.240719 0.390855 0.410771 1 0.261259 0.440299 0.366472 0.436003
LDOUSDT price 0.407218 0.428977 0.323031 0.365409 0.230419 0.387761 0.204843 0.32966 0.359415 0.261259 1 0.381152 0.350372 0.382241
FTMUSDT price 0.674931 0.68688 0.565905 0.634486 0.389566 0.682203 0.332223 0.590127 0.631334 0.440299 0.381152 1 0.573298 0.680204
OPUSDT price 0.60292 0.622837 0.486955 0.549322 0.336735 0.59203 0.280756 0.50868 0.547736 0.366472 0.350372 0.573298 1 0.593607
ADAUSDT price 0.735525 0.755312 0.635315 0.685826 0.396688 0.713369 0.321599 0.635869 0.681515 0.436003 0.382241 0.680204 0.593607 1

Usage

This retreives the start datetime for each symbol and prints it. I used this info to decide which tickers to withold in the correlation matrix (i.e. dont include sui bc its been trading only for a week).

python3 check_start.py

This pulls the data from binance, formats it, and creates the pct_return / correlation dataframes.

Scroll down to the end of the file to make modifications (add/remove tickers, etc)

python2 correlations.py

Note: you need to be on a vpn when running this. Also seem to not be able to run on Colab.