from huobi.client.market import MarketClient
from huobi.constant import *
from huobi.exception.huobi_api_exception import HuobiApiException
from huobi.model.market.candlestick_event import CandlestickEvent
def callback(candlestick_event: 'CandlestickEvent'):
candlestick_event.print_object()
print("\n")
def error(e: 'HuobiApiException'):
print(e.error_code + e.error_message)
market_client = MarketClient()
market_client.sub_candlestick("btcusdt,ethusdt", CandlestickInterval.MIN1,
callback, error)
class DataHandler:
def __init__(self, symbol):
self.symbol = symbol
self.market_client = MarketClient()
self.candle_tick = pd.DataFrame(columns=[
'id', 'open', 'close', 'high', 'low', 'amount', 'count', 'vol'
])
self.mbp_tick = pd.DataFrame(columns=[
"id", "prevSeqNum", "bids_0_price", "bids_1_price", "bids_2_price",
"bids_3_price", "bids_4_price", "asks_0_price", "asks_1_price",
"asks_2_price", "asks_3_price", "asks_4_price", "asks_0_amount",
"asks_1_amount", "asks_2_amount", "asks_3_amount", "asks_4_amount",
"bids_0_amount", "bids_1_amount", "bids_2_amount", "bids_3_amount",
"bids_4_amount"
])
self.trade_tick = pd.DataFrame(
columns=['id', 'price', 'amount', 'direction'])
self.conn = sqlite3.connect('market.db', timeout=10)
self.s = sched.scheduler(time.time, time.sleep)
def get_candle_list(self, interval, length):
list_obj = self.market_client.get_candlestick(self.symbol, interval,
length)
return list_obj
def get_trade_list(self, length):
list_obj = self.market_client.get_history_trade(self.symbol, length)
return list_obj
def get_candle(self, interval, length):
list_obj = self.get_candle_list(interval, length)
data = parse_candle_list(list_obj)
return data
def get_trade(self, length):
list_obj = self.get_trade_list(length)
data = parse_trade_list(list_obj)
return data
def update_database(self, table, data):
c = self.conn.cursor()
# get the count of tables with the name
c.execute(
"SELECT count(name) FROM sqlite_master WHERE type='table' AND name='"
+ table + "'")
# #if the count is 1, then table exists
if c.fetchone()[0] == 1:
last_data = pd.read_sql('select * from ' + table, self.conn)
last_data = last_data.append(data).drop_duplicates().sort_values(
by='id', ascending=True)
last_data.sort_values(by='id',
ascending=True).to_sql(table,
self.conn,
if_exists='replace',
index=False)
else:
data.sort_values(by='id',
ascending=True).to_sql(table,
self.conn,
if_exists='replace',
index=False)
def update_candle(self, interval, freq):
candle = self.get_candle(interval, freq)
self.update_database(self.symbol + '_' + interval + '_' + 'candle',
candle)
def update_trade(self, freq):
trade = self.get_trade(freq)
self.update_database(self.symbol + '_' + 'trade', trade)
def candle_callback(self, candlestick_event: 'CandlestickEvent'):
candle = candlestick_event.return_object()
self.candle_tick = self.candle_tick.append(candle, ignore_index=True)
# print(self.candle_tick)
def mbp_callback(self, mbp_event: 'MbpFullEvent'):
mbp = mbp_event.return_object()
self.mbp_tick = self.mbp_tick.append(mbp, ignore_index=True)
# print(self.mbp_tick)
def trade_callback(self, trade_event: 'TradeDetailEvent'):
obj_list = trade_event.return_object()
for trade in obj_list:
self.trade_tick = self.trade_tick.append(trade_to_dict(trade),
ignore_index=True)
# print(self.trade_tick)
def candle_subscribe(self, interval):
self.market_client.sub_candlestick(self.symbol, interval,
self.candle_callback, error)
def mbp_subscribe(self):
self.market_client.sub_mbp_full(self.symbol, MbpLevel.MBP5,
self.mbp_callback, error)
def trade_subscribe(self):
self.market_client.sub_trade_detail(self.symbol, self.trade_callback,
error)
def save_tick_data(self):
self.update_database(self.symbol + "_tick_trade", self.trade_tick)
self.update_database(self.symbol + "_tick_mbp", self.mbp_tick)
self.update_database(self.symbol + "_tick_candle", self.candle_tick)
print("saved tick data")
self.s.enter(60, 1, self.save_tick_data, ())
def save_1min_candle(self):
try:
self.update_candle("1min", 10)
except:
print("connection error")
to_sleep_1min = 60 - time.time() % 60
print(to_sleep_1min)
self.s.enter(to_sleep_1min + 1, 1, self.save_1min_candle, ())
def save_5min_candle(self):
try:
self.update_candle("5min", 10)
print("saved 5min candle")
except:
print("connection error")
to_sleep_5min = 300 - time.time() % 300
self.s.enter(to_sleep_5min + 1, 1, self.save_5min_candle, ())
def save_15min_candle(self):
try:
self.update_candle("15min", 10)
print("saved 15min candle")
except:
print("connection error")
to_sleep_15min = 900 - time.time() % 900
self.s.enter(to_sleep_15min + 1, 1, self.save_15min_candle, ())
def save_30min_candle(self):
try:
self.update_candle("30min", 10)
print("saved 30min candle")
except:
print("connection error")
to_sleep_30min = 1800 - time.time() % 1800
self.s.enter(to_sleep_30min + 1, 1, self.save_30min_candle, ())
def save_60min_candle(self):
try:
self.update_candle("60min", 10)
self.update_candle("1day", 10)
print("saved 60min candle")
print("saved 1day candle")
except:
print("connection error")
to_sleep_60min = 3600 - time.time() % 3600
self.s.enter(to_sleep_60min + 1, 1, self.save_60min_candle, ())
# def save_1day_candle(self):
# try:
# self.update_candle("1day", 10)
# print("saved 1day candle")
# except:
# print("connection error")
# self.s.enter(86400, 1, self.save_1day_candle, ())
def save_trade_data(self):
try:
self.update_trade(100)
print("saved trade data")
except:
print("connection error")
self.s.enter(10, 1, self.save_trade_data, ())
def update_candle_data(self):
self.update_trade(2000)
self.s.enter(0, 1, self.save_trade_data, ())
self.s.enter(0, 1, self.save_1min_candle, ())
self.s.enter(0, 1, self.save_5min_candle, ())
self.s.enter(0, 1, self.save_15min_candle, ())
self.s.enter(0, 1, self.save_30min_candle, ())
self.s.enter(0, 1, self.save_60min_candle, ())
self.s.run()
def update_tick_data(self):
self.trade_subscribe()
self.candle_subscribe("1min")
self.mbp_subscribe()
self.s.enter(60, 1, self.save_tick_data, ())
# market_client = MarketClient()
# market_client.sub_candlestick("btcusdt,ethusdt", CandlestickInterval.MIN5, callback, error)
# market_client.sub_candlestick("btcusdt", CandlestickInterval.MIN5, callback, error)
# market_client.sub_candlestick("ethusdt", CandlestickInterval.MIN1, callback, error)
sub_client = MarketClient(init_log=False)
list_obj = sub_client.get_market_tickers()
list_obj.sort(key=lambda x: x.count, reverse=True)
list_obj = list_obj[0:100]
ret = []
for obj in list_obj:
obj: MarketTicker = obj
if obj.symbol.endswith("usdt"):
ret.append(obj)
# else:
# print(obj.symbol +" code not found!")
# print(obj.symbol)
ret.sort(key=lambda x: x.count, reverse=True)
str = ""
for obj in ret:
obj: MarketTicker = obj
str += obj.symbol
str += ","
sub_client.sub_candlestick(str, CandlestickInterval.MIN1, callback, error)
def run(self):
self.logger.info("started")
market_client = MarketClient()
market_client.sub_candlestick("btcusdt", CandlestickInterval.MIN1,
self.on_bar, self.error)
market_client.sub_trade_detail("btcusdt,eosusdt", self.on_trade)