Real-Time Volatility Calculation for Binance Ticker Data with CCXT Library

Algotron
3 min readMar 23, 2023

Volatility is a statistical measure of the dispersion of returns for a given security or market index. It is a critical concept in finance and investing, as it helps investors assess the level of risk associated with a particular investment. In this blog post, we will explore how to calculate real-time volatility for Binance ticker data using the CCXT library in Python.

What is Volatility?

In simple terms, volatility is a measure of the fluctuation of an asset’s price over time. It is expressed as the standard deviation of the asset’s returns over a particular period. The higher the volatility, the larger the price swings of an asset. A low volatility suggests that the asset’s price is relatively stable.

Why is Real-Time Volatility Important?

Real-time volatility is important because it helps investors assess the level of risk associated with a particular investment at any given time. It allows investors to make better-informed investment decisions and manage their portfolio’s risk.

How to Calculate Real-Time Volatility for Binance Ticker Data?

We will be using the CCXT library in Python to fetch ticker data from Binance and then calculate the real-time volatility using the exponentially weighted moving average (EWMA) method. Here is the Python code to do so:

import ccxt
import pandas as pd
import numpy as np
# Set up the exchange client
exchange = ccxt.binance()
# Set up the parameters for the EWMA method
alpha = 0.95
window = 365
# Set up the initial values for the EWMA calculation
ohlcv = exchange.fetch_ohlcv('BTC/USDT', '1d', window)
df = pd.DataFrame(ohlcv, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume'])
df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms')
df['returns'] = df['close'].pct_change()
df['variance'] = df['returns'].rolling(window=window).var()
# Start streaming ticker data and calculating real-time volatility
ticker = exchange.fetch_ticker('BTC/USDT')
last_price = ticker['last']
while True:
ticker = exchange.fetch_ticker('BTC/USDT')
price = ticker['last']
returns = np.log(price / last_price)
variance = alpha * df['variance'].iloc[-1] + (1 - alpha) * returns ** 2
volatility = np.sqrt(variance * window)
print('Real-Time Volatility:', volatility)
last_price = price

Let’s break down the code step by step:

  1. We import the CCXT library, which provides a unified API to fetch data from various cryptocurrency exchanges.
  2. We set up the exchange client for Binance using the ccxt.binance() method.
  3. We set up the parameters for the EWMA method, including the alpha value and the window size.
  4. We fetch the initial ticker data for the BTC/USDT pair using the exchange.fetch_ohlcv() method, which returns Open-High-Low-Close-Volume (OHLCV) data for the specified symbol, timeframe, and limit. We then calculate the daily returns of the asset using the pct_change() method and the variance of the returns using the rolling() method.
  5. We start streaming ticker data for the BTC/USDT pair using the exchange.fetch_ticker() method. We calculate the returns of the asset using the log return formula and update the variance using the EWMA method. We then calculate the real-time volatility using the updated variance and the window size.
  6. We print the real-time volatility of the BTC/USDT pair to the console.

The output of the code will be the real-time volatility of the BTC/USDT pair.

Conclusion

In this blog post, we explored how to calculate real-time volatility for Binance ticker data using the CCXT library in Python. By understanding real-time volatility and how to calculate it, investors can make better-informed investment decisions and manage their portfolio’s risk.

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