Retrieves option tick data for all live option contracts on Deribit. Deribit limits history requests to 6-7 days. Run ever 2-3 days to update latest data.
- Set api_key and api_secret variables in main.py @ ~line 155. (string variables)
- Optional: change outdir variable to write results somewhere else (default: Data/)
- Run: venv/bin/python main.py (In directory /DeribitScraper)
Each live option contract its raw (unprocessed) tick data is written/updated in contract/tickdata.csv . Moreover, tick data is aggregated on daily granularity and written to contract/daily_agg.csv . (contract dir will be of form BTC-28JUN-4000-C). Lastly, all_data in main directory contains all daily data of all contracts.
###features in csv files:
-
daily_agg.csv:
- date_utc, ticker, strike, close (in BTC), IV (EOD), volume, contract (instrument name)
-
tickdata.csv:
- date_utc, amount, direction, indexPrice, instrument, iv, price, tickDirection, timeStamp, tradeId, tradeSeq