Getting Started with High Frequency Finance using Crypto Data and Julia

1 · Dean · June 25, 2021, 4:01 p.m.
Crypto is making finance democratic. My PhD was originally going to be on the limit order book and modeling events that can change its state. However, I just couldn’t get the data. Now, anyone can access different exchanges limit orders books with simple API calls. My Julia package CoinbasePro.jl does exactly that and you can get full market data without even having to sign up. Sure, crypto markets will be less liquid and more erratic than your traditional datasets, but you get what you pay for....