/derbit-mkt-data-poc

Primary LanguageC#

Deribit instruments data retrieval POC

Ho to get the service up and running

Please run the command above

docker-compose up -d this needs docker and docker compose to be installed

Another approach is to install mongo db locally and run the app from visual studio

TEST service is not reliable through ws api. It worked perfectly for a bit of time and then stopped giving me Instruments Prices.. It's very frutrating..

REST Api

The command above gets all of the quotes history for an instrument

curl http://localhost:5000/api/instrumentsdata?name=BTC-21FEB20-9500-C

to get quotes in a date interval :

curl http://localhost:5000/api/instrumentsdata?name=BTC-21FEB20-9500-C&from=1581921089522

'from' default value is Linux Epoch timestamp 'to' default value is current timestamp (at the time query is done)

The result is a json array of {t,p} object ordered by t. t stands for timestamp and p for prices.

If an instrument does not exist or has no quote in the given date interval then the returned array is empty

Deribit Api client

I chose to interface with Deribit Server using websocket.

Websockets they have less overhead than http because of less client-server handshaking. They also allows full-duplex communication and subscriptions which is a very common in such kind of services. (Subscribe to a data feed)

Storage

  • Data retrieved from Deribit Api are stored a MongoDb. I used the official c# MongoDb driver which has a great api. Thanks to its Linq Provider, it makes querying a bit agnostic to storage technology and query DSL.

  • There is no need for transactions or relational features. Document databases are fine for append-only data insertion and for storing time-series.

"Roadmap" What is would have done if i had more time

  • Handle the Deribit Api error codes properly.
  • Add Unit testing/integration testing
  • Make data retrieval interval remotely configurable using /config endpoint.
  • Make rate limitation dynamically adjustable. According to this documentation https://www.deribit.com/pages/information/rate-limits , quotas are queryable by api. They could be polled on a regular basis in order to upgrade rate limitation
  • Maybe exposing a Bulk get for instruments quotes could be useful..
  • The rate limiter i've implemented is for POC purpose. for production scenario we may call Deribit api from many services instances. So we need a distributed rate Limiter. Redis is commonly used to implement rate limiters (https://redislabs.com/redis-best-practices/basic-rate-limiting/)
  • Graceful stop : i've my best to propagate cancellation token ,but there's still work to do..
  • Add logging : Serilog is a great library for this purpose..
  • Secure the REST api using Authentication: exposed data are sensitive (especially the one under /private route)
  • user/password for database access.