Deribit Historical Data Fetcher

A Python tool for fetching historical trade data from Deribit API, supporting BTC/ETH, options/futures, and expired/non-expired instruments.

If you encounter any bugs, please report them!

Stars are appreciated if you find this tool helpful!

Quick Start

# Clone the repository
git clone https://github.com/RiveChen/deribit-historical-data.git
cd deribit-historical-data

# Install dependencies
pip install -r requirements.txt

# Run with default settings (BTC options)
python deribit_fetcher.py

Features

• Multiple Currency Support: Fetch data for BTC, ETH
• Instrument Types: Support for both options and futures
• Data Organization:
  • Separate directories for each currency and instrument type
  • Organized by expired/active status
  • CSV format for easy analysis
• Efficient Data Collection:
  • Multi-threaded data fetching
  • Progress tracking with tqdm
• Flexible Configuration:
  • Command-line interface
  • Configurable output directory
  • Verbose logging option

Requirements

• Python 3.7+
• Dependencies:
  • requests
  • pandas
  • tqdm
  • pyarrow

Usage

Command Line Arguments

python deribit_fetcher.py [options]

Options:
  --currency {BTC,ETH,USDC,USDT}   Currency to fetch (default: BTC)
  --instrument {option,future,all} Instrument type to fetch (default: option)
  --expired {true,false,all}       Fetch expired or active instruments (default: true)
  --base_dir DIR                   Base directory for saving data (default: ./data)
  --verbose                        Enable verbose logging
  -h, --help                       Show this help message

Examples

# Fetch all expired ETH options
python deribit_fetcher.py --currency ETH --instrument option --expired true

# Fetch active BTC futures
python deribit_fetcher.py --currency BTC --instrument future --expired false

# Fetch all instruments for USDT
python deribit_fetcher.py --currency USDT --instrument all --expired all

# Enable verbose logging
python deribit_fetcher.py --verbose

Data Structure

The fetched data is organized in the following structure:

data/
├── {currency}/
│   ├── option/
│   │   ├── expired/
│   │   │   └── {instrument}.csv
│   │   └── active/
│   │       └── {instrument}.csv
│   └── future/
│       ├── expired/
│       │   └── {instrument}-{start_ms}-{end_ms}.csv
│       └── active/
│           └── {instrument}-{start_ms}-{end_ms}.csv
└── deribit-fetcher.log

Todo

• Add a CLI interface
• Retrieve non-expired options
• Retrieve other instruments
• Optimize future fetching
• Save as a .parquet file
• Make it a package
• Add resume capability for interrupted downloads

License

This project is licensed under the MIT License. See the LICENSE file for details.

Contributing

Contributions are welcome! Please feel free to submit a Pull Request or create an Issue.

Acknowledgements

• Deribit API