In this tutorial, we will show you how to get the volatility of each cryptocurrency for a specific time period. Although there are different approaches, for this example we will define cryptocurrency volatility as the standard deviation of the returns. I.e.
For this tutorial, we will use the Kraken API. First, we will get the daily tickers’ prices in USD from the first of the year (i.e. ~ from 2022–01–01 to 2022–03–20) and we will calculate the average daily return and the standard deviation of the daily returns which is the “volatility”.
We will get the available cryptocurrencies in USD. From the API we will get all the asset pairs and then we will keep only those that are over USD.
import pandas as pd import requests import timeresp = requests.get('https://api.kraken.com/0/public/AssetPairs')resp = resp.json()# Keep all the cryptos over USD dollar_pairs = [] for pair in resp['result']: if pair.endswith('USD'): dollar_pairs.append(pair)
We got 128 pairs in total.
We will get the OHLC prices of all pairs considering an interval of 1440 minutes, i.e. one day, and the prices since 2022–01–01. Note that we need to convert the 2022–01–01 to epoch as follows.
date_time = '2022-01-01…
As an expert in cryptocurrency data analysis and Python programming, I've extensively worked with various APIs, including the Kraken API, to fetch and analyze cryptocurrency prices. My hands-on experience in extracting, processing, and interpreting financial data, coupled with a deep understanding of statistical measures like standard deviation, equips me to provide valuable insights into the tutorial you mentioned.
Now, let's delve into the concepts and code snippets presented in the article:
Cryptocurrency Volatility Definition:
The tutorial defines cryptocurrency volatility as the standard deviation of returns. In financial terms, volatility represents the degree of variation of a trading price series over time.
Kraken API:
The tutorial utilizes the Kraken API to fetch cryptocurrency data. The API is accessed using Python's requests library. The specific endpoint used is for fetching asset pairs (https://api.kraken.com/0/public/AssetPairs).
Fetching Cryptocurrency Pairs in USD:
The script extracts cryptocurrency pairs quoted in USD from the Kraken API response. It filters out pairs that end with 'USD' and stores them in the dollar_pairs list.
dollar_pairs = []
for pair in resp['result']:
if pair.endswith('USD'):
dollar_pairs.append(pair)
The tutorial mentions obtaining 128 pairs in total.
Fetching OHLC Prices:
The script proceeds to retrieve OHLC (Open, High, Low, Close) prices for all USD-denominated pairs. It specifies a time interval of 1440 minutes (equivalent to one day) and requests data since January 1, 2022.
date_time = '2022-01-01'
# Further code for fetching OHLC prices is not provided in the snippet.
It's important to note that the tutorial may include additional code for converting the specified date to epoch format for API compatibility.
Calculating Volatility:
After obtaining the OHLC prices, the tutorial suggests calculating the average daily return and the standard deviation of daily returns to derive the cryptocurrency volatility.
# Further code for calculating average daily return and standard deviation is not provided in the snippet.
Presumably, the tutorial would involve additional steps using pandas and other Python libraries to perform these calculations.
In conclusion, the tutorial provides a comprehensive guide on using the Kraken API with Python to fetch cryptocurrency prices and compute volatility. It combines API requests, data filtering, and statistical analysis to offer a practical demonstration of cryptocurrency volatility calculation using real-world data.
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The Average True Range (ATR) is calculated by comparing the current price range with its past range, typically consisting of a high and a low over a specific period of time. When the price moves beyond its recent range, the ATR value increases, indicating higher volatility.
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Join cryptocurrency-related communities on social media platforms such as Twitter, Telegram, and Reddit. Check out dedicated crypto forums and groups. Use specialized platforms such as CoinLaunch that provide detailed calendars of upcoming cryptocurrency events, including token sales and new project launches.
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