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Data Management

Storage and management of market data using the HDF5 format for high performance.

Storage Location: /data/bank

All OHLCV data is stored in a single binary file:

  • data/bank/qtsbe_data.h5

Data Structure

Data is organized using keys within the HDF5 file. Keys follow the naming convention: {Provider}_{Pair}_{Timeframe}

Examples:

  • Binance_BTCUSDC_1d
  • Yahoo_AAPL_1h

Data Format

Each dataset is a matrix with 6 columns:

  1. timestamp: Unix timestamp in milliseconds
  2. open: Opening price
  3. high: Highest price
  4. low: Lowest price
  5. close: Closing price
  6. volume: Trading volume

Data Fetching

Automation is handled by the tools/data/cron.py script. Configuration is defined in config/data_cron.json.