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Yuan-Public-Data

The data should be public and free for everyone.

Almost all financial historical data does not change over time, thanks to that, storing them in a git repo is viable.

Besides, it is hard to find a place to get financial data. That's why we created this repo to store the public data for Yuan.

Note that the data have no guarantee of accuracy or completeness. Use at your own risk. If you find any error, please open an issue. If you want to contribute, please open a pull request.

Get the data from HTTP

We host the data on GitHub Pages, so you can access the data via the following URL:

# get a file by path
GET https://y.ntnl.io/Yuan-Public-Data/{path}

# get the INDEX file to list all the files
GET https://y.ntnl.io/Yuan-Public-Data/index

According to GitHub Pages Usage Limit, published GitHub Pages sites may be no larger than 1 GB. Each OHLC data file is about 64 bytes, so the total number of OHLC data is about 16 million. If we need more, we can use another repo. And we use a third-party CDN to accelerate the access and avoid exceeding the GitHub bandwidth quota. So, be free to access these data.

Data Model

OHLC Data

The datastore adopts the same idea as the LSM tree, as it deals with large amounts of time series data. For human readable consideration, the data is stored in CSV format, and the data file is arranged in a folder structure.

For OHLC data, a data block is stored as a CSV file:

/OHLC/{product_id}/{time_duration}/{time_from}-{time_to}.csv

The product_id is the product ID (symbol) of the instrument.

The time_duration is the duration of the OHLC data, which is defined in RFC3339. Usually, it is PT1M, PT5M, PT15M, PT30M, PT1H, PT4H, P1D.

The time_from and time_to are the time range of the data. The time is in yyyyMMdd_HHmmss format, and the timezone is UTC.

For example, the XAUUSD Daily OHLC data from 2021-01-01 00:00:00 to 2021-01-31 23:59:59

/OHLC/XAUUSD/P1D/20210101_000000-20210131_235959.csv

The columns of data are as follows:

time(RFC3339 time with timezone), open, high, low, close, volume

Data Rotation

The data is updated weekly. For each product(symbol), we keep the latest 50,000 data blocks if there are any. If the number of data blocks exceeds 50,000, the oldest data block will be deleted.