It's great how readily available financial data is with cryptocurrencies! As a complement to this post, I've been recently working with Jupyter notebooks to analyze high-frequency trading activity in Bitcoin markets [1]. I've been listening to the GDAX socket since end July, so I have almost a month's worth of tick data (~ 7GB+ gzip compressed JSON data, it surely explodes to ~100 GB after extracting). If somebody is interested to carry out further analysis I can give you a link to download it.
[1] https://nbviewer.jupyter.org/github/ghgr/HFT_Bitcoin/blob/ma...