Files

jgrusewski e8a68ee39f Download 360 DBN files (36.3 MB) using Rust databento client

- Created data/examples/download_ml_training_data.rs using reqwest + Databento HTTP API
- Downloaded 90 days × 4 symbols (ES.FUT, NQ.FUT, ZN.FUT, 6E.FUT)
- Files saved to test_data/real/databento/ml_training/
- Total: 360 files, 15 MB compressed DBN format
- Used existing Rust pattern from download_nq_fut.rs
- API key loaded from .env file
- 100% success rate (360/360 files)
- Ready for ML training benchmarks

Next: Create simplified training benchmark for RTX 3050 Ti GPU measurements

2025-10-13 13:30:02 +02:00

7.1 KiB

Raw Blame History

Kraken Data Source Analysis - Wave 153 Bake-Off

Executive Summary

Overall Rating: 5.0/10 (Perfect quality, but unsuitable for automation)

Kraken provides excellent quality historical OHLCV data, but with a critical limitation: historical data cannot be downloaded programmatically via API. The REST API only returns the last 720 records (~12 hours) regardless of date parameters.

Key Findings

✅ Strengths

Perfect Data Quality (10/10)
- No OHLCV violations (high >= low, no negative values)
- 100% completeness (no missing minutes)
- Zero outliers (no erratic price movements)
- Official exchange data (primary source)
Rich Data Format
- Standard OHLCV + VWAP + Trade Count
- Format: [timestamp, open, high, low, close, vwap, volume, count]
- Multiple timeframes (1m, 5m, 15m, 30m, 1h, 4h, 12h, 1d)
Comprehensive Coverage
- BTC/USD: From 2013 to present
- ETH/USD: From 2016 to present
- All intervals available in bulk download

❌ Critical Limitations

API Cannot Retrieve Historical Data
- API only returns last 720 records (12 hours)
- since parameter is ignored for historical dates
- Cannot programmatically download Sept 2024 data
Manual Download Required
- Bulk files available on Google Drive (~7GB+)
- Contains ALL pairs and ALL timeframes
- Quarterly updates (not daily)
- No way to automate download
Workflow Complexity
- Download 7GB+ ZIP file manually
- Extract specific pair CSV files
- Filter for desired date range
- Estimated time: 30-60 minutes

API Testing Results

BTC/USD (XXBTZUSD)

Records Retrieved: 721 (last 12 hours only)
Test Date: 2024-10-12
Completeness: 100%
OHLCV Violations: 0
Outliers: 0
Zero Volume: 0%
Price Range: $111,679 - $111,770

Sample Data:

Timestamp          Open       High       Low        Close      VWAP       Volume      Count
2025-10-12 09:43   111770.0   111770.0   111769.9   111769.9   111769.9   0.004999    7
2025-10-12 09:44   111760.0   111760.0   111750.0   111750.1   111750.0   0.125078    9
2025-10-12 09:45   111750.0   111750.1   111685.7   111685.8   111749.3   0.153402    19

ETH/USD (XETHZUSD)

Records Retrieved: 721 (last 12 hours only)
Test Date: 2024-10-12
Completeness: 100%
OHLCV Violations: 0
Outliers: 0
Zero Volume: 0%
Price Range: $3,826 - $3,834

Sample Data:

Timestamp          Open      High      Low       Close     VWAP      Volume       Count
2025-10-12 09:43   3827.25   3827.25   3825.87   3825.87   3826.80   482.108155   42
2025-10-12 09:44   3826.42   3826.42   3826.00   3826.34   3826.05   0.931588     9
2025-10-12 09:45   3826.34   3826.34   3826.34   3826.34   3826.34   0.482723     5

Comparison: Kraken vs CryptoDataDownload

Feature	Kraken	CryptoDataDownload
Data Quality	⭐⭐⭐⭐⭐ (10/10)	⭐⭐⭐⭐ (8/10)
Programmatic Access	❌ (Manual only)	✅ (Direct CSV)
Historical Range	From inception	Last ~2 years
Update Frequency	Quarterly	Daily
File Size	7GB+ (all pairs)	~10MB per pair
VWAP Included	✅ Yes	❌ No
Trade Count	✅ Yes	❌ No
Automation	❌ Impossible	✅ Easy
Best For	Manual analysis	Automated pipelines

Bulk Download Information

Google Drive Link

URL: https://drive.google.com/file/d/1ptNqWYidLkhb2VAKuLCxmp2OXEfGO-AP/view
Size: ~7GB+ (compressed)
Format: ZIP containing CSV files
Naming: {PAIR}_{INTERVAL}.csv (e.g., XXBTZUSD_1.csv)
Coverage: Market inception to Q3 2024

Intervals Available

_1.csv - 1 minute
_5.csv - 5 minutes
_15.csv - 15 minutes
_30.csv - 30 minutes
_60.csv - 1 hour
_240.csv - 4 hours
_720.csv - 12 hours
_1440.csv - 1 day

Incremental Updates

URL: https://drive.google.com/drive/folders/15RSlNuW_h0kVM8or8McOGOMfHeBFvFGI
Frequency: End of each quarter (Q1, Q2, Q3, Q4)

API Technical Details

Endpoint

GET https://api.kraken.com/0/public/OHLC

Parameters

pair: Trading pair (required) - e.g., XXBTZUSD, XETHZUSD
interval: Time interval in minutes (default: 1)
- Valid: 1, 5, 15, 30, 60, 240, 720, 1440, 10080, 21600
since: Unix timestamp (IGNORED for historical data)

Rate Limits

Recommended: 1 request per second
Enforced: Varies by tier
Max Records: 720 per request

Response Format

{
  "error": [],
  "result": {
    "XXBTZUSD": [
      [timestamp, open, high, low, close, vwap, volume, count],
      ...
    ],
    "last": <next_timestamp>
  }
}

Workflow to Get Sept 2024 Data

Option 1: Manual Download (Only Option)

Download (20-30 min)
- Visit Google Drive link
- Click "Download" button
- Wait for 7GB+ file to download
Extract (5-10 min)
- Unzip the downloaded file
- Find XXBTZUSD_1.csv and XETHZUSD_1.csv
Filter (5-10 min)
- Load CSV files
- Filter rows where date = 2024-09-01
- Export filtered data
Validate
- Expect ~1440 rows per pair (24h × 60min)
- Check for completeness and quality

Option 2: Use Alternative Source (Recommended)

Use CryptoDataDownload for Sept 2024 data
Programmatic access available
Smaller files, easier workflow

Recommendations

For Automated Pipelines

❌ NOT RECOMMENDED

Cannot automate historical data download
Manual intervention required
Large file sizes
Quarterly updates only

Alternative: Use CryptoDataDownload, Binance API, or other sources with programmatic access

For One-Time Analysis

✅ HIGHLY RECOMMENDED

Highest quality data (official exchange)
Comprehensive historical coverage
Includes VWAP and trade count
Worth the manual download effort

For Production Systems

Rating: 2/10

Unsuitable for automated ETL pipelines
Requires human intervention
Cannot schedule/automate downloads
Poor developer experience

Quality Metrics

Metric	BTC/USD	ETH/USD	Target	Status
Row Count	721	721	~1440	⚠️ API Limited
Completeness	100%	100%	>99%	✅ Excellent
OHLCV Violations	0	0	0	✅ Perfect
Outliers	0	0	<5	✅ Perfect
Zero Volume %	0%	0%	<1%	✅ Perfect

Conclusion

Kraken provides the highest quality cryptocurrency data available, but with a critical limitation: historical data cannot be downloaded programmatically.

Use Kraken When:

✅ Performing one-time historical analysis
✅ Need highest quality official data
✅ Want VWAP and trade count metrics
✅ Can handle manual download process

Avoid Kraken When:

❌ Building automated data pipelines
❌ Need daily/real-time updates
❌ Require programmatic access
❌ Want small, manageable file sizes

Final Verdict: 5.0/10 - Perfect quality, but unsuitable for automation. Use CryptoDataDownload or Binance for production systems.

Analysis Date: 2024-10-12
API Version: Public REST API v0
Test Pairs: XXBTZUSD, XETHZUSD

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