Import historical data
Overview
This feature allows you to import historical data at Cassandre startup, so you could use them to initialize your strategies.
Data file & format
At startup, Cassandre will search for files starting with tickers-to-import and ending with csv.
This is how the files must be formatted:
CURRENCY_PAIR,OPEN,LAST,BID,ASK,HIGH,LOW,VWAP,VOLUME,QUOTE_VOLUME,BID_SIZE,ASK_SIZE,TIMESTAMP
"BTC/USDT","0.00000001","0.00000002","0.00000003","0.00000004","0.00000005","0.00000006","0.00000007","0.00000008","0.00000009","0.00000010","0.00000011",1508546000
"BTC/USDT","1.00000001","1.00000002","1.00000003","1.00000004","1.00000005","1.00000006","1.00000007","1.00000008","1.00000009","1.00000010","1.00000011",1508446000
"ETH/USDT","2.00000001","2.00000002","2.00000003","2.00000004","2.00000005","2.00000006","2.00000007","2.00000008","2.00000009","2.00000010","2.00000011",1508346000
When to initialize data?
In you strategy, you can implement the initialize() method. This method is executed by Cassandre before any other data (tickers, orders, trades...) is pushed to the strategy.
Access your data in your strategy
In your strategy, you can access the data with two methods: