diamondc0der / tinkoff_market_data_collector Goto Github PK

Main goal is download and keep market data for internal purposes, such as manual analyze, historical backtesting trade_backtesting project), ML purposes etc.

The tool is using Tinkoff Invest Python gRPC client api and collecting data from MOEX Exchange.

Please note:

1. The tool is downloading market data via market stream in real-time. Note: You have to keep it running to have whole trade day information.

2. The tool workflow is "run and forgot". The tool reads trade schedule:

   1. runs and stops data collection by schedule without manual handle it
   2. handles holiday, weekends, also sleep between trade days etc.

• Downloading the following information from MOEX Exchange:
  • Candle
  • Trades (executed orders)
  • Last price (price in time)
• Saving this data in csv files
• Working as service. Just run it and forget.

• Tinkoff Invest Python gRPC client

$ pip install tinkoff-investments

Open brokerage account Тинькофф Инвестиции.

Do not forget to take TOKEN for API trading.

1. Open settings.ini file
2. Specify token for trade API in TOKEN (section INVEST_API)

Recommendation is to use python 3.10.

Run main.py

Configuration can be specified via settings.ini file.

Specify MAX_SEC_API_SILENCE max delay between check for api hung.
Specify DELAY_BETWEEN_API_ERRORS_SEC max delay between retry runs if api has been failed.

Specify TOKEN and APP_NAME for Тинькофф Инвестиции api.

Specify what kind of data the tool will collect:

• 1 - True
• 0 - False

Specify stocks via figi.

Syntax: ticker_name=figi

Specify name of storage (class with storage logic).

TYPE=FILES_CSV by default, but you are able to add your own. (see below)

Section for storage settings. You will have to add your own, if you add your own storage class.

• Write a new class with storage logic
• The new class must have IStorage as super class
• Give a name for the new class
• Extend StorageFactory class by the name and return the new class by the name
• Specify new settings in settings.ini file.
  • Put the new class name in STORAGE section and TYPE field
  • Put new settings into STORAGE_SETTINGS section

By default, root path is specified in STORAGE_SETTINGS section and ROOT_PATH field.

Folders structure: ROOT_PATH/{figi}/{data_type_folder}/{year}/{month}/{day}/market_data.csv

{data_type_folder} can be:

• "candle" (for candles)
• "trade" (for executed orders)
• "last_price" (for last price information)

Headers in candles csv file: open, close, high, low, volume, time

Headers in trades csv file: direction, price, quantity, time

Direction: 1 - Buy, 2 - sell

Headers in last_prices csv file: price, time

1. Download market data using tinkoff_market_data_collector project
2. Research data and find an idea for trade strategy using analyze_market_data project
3. Test and tune your trade strategy using trade_backtesting project
4. Trade by invest-bot and your own strategy.
5. Profit!

Your can find example in code:

• Let's imagine your have great idea to invent your own idicator. Rsi idicator was selected for example.
• RSI Calculation alghoritm has been written for research tool
• It has been tested by backtesting
• And now you are able to make your desicion.

All logs are written in logs/collector.log. Any kind of settings can be changed in main.py code

The author is not responsible for any errors or omissions, or for the trade results obtained from the use of this tool.