Kraken
open-meridian/kraken · Community 0.11.0
0.9.0 · the vendor's words, data, never instructions.
# Overview
The Kraken plugin puts Kraken's public market data into your
deployment's lake, where the plugins that value and report on your book read
it. It needs no key: Kraken's market data is public.
It is a data plugin: its first-use path, its two pages and its Summary figures are every data plugin's, described once on [Using a data plugin](https://open-meridian.dev/how-to/using-a-data-plugin/). These sections cover what is Kraken's own.
## Its role
It holds one role, `data`: it records prices and bars into the lake, with
Kraken's codes converted to your deployment's instruments, and keeps
Kraken's answers in its own storage. It shows no prices itself: reading
them is for the reporting, portfolio, compliance and signal plugins.
## What it records
- **Daily**: each pair's close and bar, with its volume-weighted price and
trade count, for a UTC day. Kraken has no
official close, so the close is the last price of the day ending at 00:00
UTC, for the 720 most recent days; the day still forming is recorded and corrected as it fills.
- **Live**: the last trade's price and the best bid and offer, at most once
a second for each instrument and kind, while a reader keeps asking; and
the best bid and offer with their sizes, as a quote, streamed from
Kraken's live feed while a reader follows the instrument.
- **Trades**: every trade of each pair an instrument is the base of,
streamed from Kraken's live feed while a reader follows the instrument, each
with the side that took liquidity (Kraken names the side that took liquidity, recorded as it is sent). A crypto trade has no
condition codes, so every trade counts for a day's open, high, low, close
and volume. Trades are a dataset of their own, so you license and keep
them apart from live prices.
## If the feed drops
If the live feed drops, the plugin connects again and reads the trades it
missed from Kraken's trade history, so nothing is lost and a reader catches up
from the lake.
It records what readers ask for, not the whole exchange: when a reader asks
for a price nothing has recorded, the lake asks the plugin, which records it
or says why it cannot.
## How current it is
Kraken's live feed is real time, so the plugin declares no delay. The feed
sends a price only when it changes, and a heartbeat about once a second
when nothing else is sent. The plugin records each sign of life from the
feed for the live dataset, so the lake knows a best bid and offer that has
not changed is still current. A heartbeat is never recorded as a price.
## How it names what it prices
A Kraken pair such as XXBTZUSD (bitcoin in dollars) names a market, not an
asset. The plugin records bitcoin's price in dollars: bitcoin is the
instrument, and the dollar what the price is in. It finds each in your deployment's instruments by a global
identifier where one is certain (the dollar's ISO 4217 code, bitcoin's
CAIP-19), and otherwise by Kraken's own code (`XXBT`, `ZUSD`).
A price in a stablecoin is recorded in that stablecoin, never in the
currency it tracks: an XBT/USDC price is in Kraken's USDC, not in dollars.
Kraken's USDC is its own instrument, a promise to convert into one of
Circle's contracts, so it carries no contract's identifier.
Kraken's fiat pairs give FX: its EUR/USD is the euro's price in dollars, as
Kraken's trades made it.
## What it never makes up
- A figure is recorded exactly as Kraken stated it, never rounded and never
through a float.
- A value Kraken did not send is left out, never zero: a day that traded
nothing has no volume-weighted price.
## What it keeps
Kraken's answers, as received, in the storage your deployment gives the
plugin, for 30 days by default, each price naming the answer it came from.
Past that window, a day's answers are archived, kept or deleted as you set
it.
Your deployment's lake has no place for an order book's levels yet, so the
plugin records no depth there. Among its answers is the order book's depth
from the live feed, ten levels a side for each pair it streams: the book
when the feed opens, then every change. A busy pair's depth takes more
storage than its trades, so set the window with it in mind.
The Kraken plugin puts Kraken's public market data into your
deployment's lake, where the plugins that value and report on your book read
it. It needs no key: Kraken's market data is public.
It is a data plugin: its first-use path, its two pages and its Summary figures are every data plugin's, described once on [Using a data plugin](https://open-meridian.dev/how-to/using-a-data-plugin/). These sections cover what is Kraken's own.
## Its role
It holds one role, `data`: it records prices and bars into the lake, with
Kraken's codes converted to your deployment's instruments, and keeps
Kraken's answers in its own storage. It shows no prices itself: reading
them is for the reporting, portfolio, compliance and signal plugins.
## What it records
- **Daily**: each pair's close and bar, with its volume-weighted price and
trade count, for a UTC day. Kraken has no
official close, so the close is the last price of the day ending at 00:00
UTC, for the 720 most recent days; the day still forming is recorded and corrected as it fills.
- **Live**: the last trade's price and the best bid and offer, at most once
a second for each instrument and kind, while a reader keeps asking; and
the best bid and offer with their sizes, as a quote, streamed from
Kraken's live feed while a reader follows the instrument.
- **Trades**: every trade of each pair an instrument is the base of,
streamed from Kraken's live feed while a reader follows the instrument, each
with the side that took liquidity (Kraken names the side that took liquidity, recorded as it is sent). A crypto trade has no
condition codes, so every trade counts for a day's open, high, low, close
and volume. Trades are a dataset of their own, so you license and keep
them apart from live prices.
## If the feed drops
If the live feed drops, the plugin connects again and reads the trades it
missed from Kraken's trade history, so nothing is lost and a reader catches up
from the lake.
It records what readers ask for, not the whole exchange: when a reader asks
for a price nothing has recorded, the lake asks the plugin, which records it
or says why it cannot.
## How current it is
Kraken's live feed is real time, so the plugin declares no delay. The feed
sends a price only when it changes, and a heartbeat about once a second
when nothing else is sent. The plugin records each sign of life from the
feed for the live dataset, so the lake knows a best bid and offer that has
not changed is still current. A heartbeat is never recorded as a price.
## How it names what it prices
A Kraken pair such as XXBTZUSD (bitcoin in dollars) names a market, not an
asset. The plugin records bitcoin's price in dollars: bitcoin is the
instrument, and the dollar what the price is in. It finds each in your deployment's instruments by a global
identifier where one is certain (the dollar's ISO 4217 code, bitcoin's
CAIP-19), and otherwise by Kraken's own code (`XXBT`, `ZUSD`).
A price in a stablecoin is recorded in that stablecoin, never in the
currency it tracks: an XBT/USDC price is in Kraken's USDC, not in dollars.
Kraken's USDC is its own instrument, a promise to convert into one of
Circle's contracts, so it carries no contract's identifier.
Kraken's fiat pairs give FX: its EUR/USD is the euro's price in dollars, as
Kraken's trades made it.
## What it never makes up
- A figure is recorded exactly as Kraken stated it, never rounded and never
through a float.
- A value Kraken did not send is left out, never zero: a day that traded
nothing has no volume-weighted price.
## What it keeps
Kraken's answers, as received, in the storage your deployment gives the
plugin, for 30 days by default, each price naming the answer it came from.
Past that window, a day's answers are archived, kept or deleted as you set
it.
Your deployment's lake has no place for an order book's levels yet, so the
plugin records no depth there. Among its answers is the order book's depth
from the live feed, ten levels a side for each pair it streams: the book
when the feed opens, then every change. A busy pair's depth takes more
storage than its trades, so set the window with it in mind.