Data Recorder

As of April 28th, 2019.

(recorder.py) The design pattern is intended to serve as a foundation for implementing a trading strategy.

1. Recorder Architecture

• Each crypto pair (e.g., Bitcoin-USD) runs on its own Process
  • Each exchange data feed is processed in its own Thread within the parent crypto pair Process
  • A timer for periodic polling (or order book snapshots--see mongo-integration or arctic-book-snapshot branch) runs on a separate thread

2. Tick Store Data Model

Arctic tick store is the database implementation of choice for this project for the following reasons:

• ManAHL created and open sourced
• Superior performance metrics (e.g., 10x data compression)

The Arctic Tick Store data model is essentially a list of dicts, where each dict is an incoming tick from the exchanges.

• Each list consists of configurations/configs.BATCH_SIZE ticks (e.g., 100,000 ticks)
• Per the Arctic Tick Store design, all currency pairs are stored in the same MongoDB collection

3. Limit Order Book Implementation

SortedDict pure python class is used for the limit order book for the following reasons:

• Sorted Price Insertions within the limit order book can be performed with O(log n)
• Price Deletions within the limit order book can be performed with O(log n)
• Getting / setting values are performed with O(1)
• SortedDict interface is intuitive, thus making implementation easier