def fetch_ticker(self, asset):
history = self.feed.history(t_minus=1)
open_ = history.get('open', asset.symbol, self.ex_id, idx=-1)
close = history.get('close', asset.symbol, self.ex_id, idx=-1)
low = history.get('low', asset.symbol, self.ex_id, idx=-1)
high = history.get('high', asset.symbol, self.ex_id, idx=-1)
volume = history.get('volume', asset.symbol, self.ex_id, idx=-1)
utc = history.get('utc')
return {
'symbol': asset.symbol,
'info': {},
'timestamp': utc_to_epoch(utc),
'datetime': utc,
'high': open_,
'low': low,
'bid': close, # faking with close
'ask': close, # faking with close
'vwap': None, #volumn weighted price
'open': open_,
'first': open_,
'last': close,
'change': None, #(percentage change),
'average': np.mean([open_, close]), #TODO: No idea what this means
'baseVolume': volume, #(volume of base currency),
#TODO: should be based on weighted average price
'quoteVolume': volume * np.mean([open_, close]),
}
def history(self, t_minus=0):
"""Return t_minus rows from feed
Which should represent the latest dates seen by Strategy
"""
data = self.ohlcv_df[self.ohlcv_df.index <= utc_to_epoch(
self.prior_time)]
return OHLCVData(data[-t_minus:])
def add_ohlcv(self, data):
data = data.ohlcv_df.copy()
data['epoch'] = [utc_to_epoch(t) for t in data['utc']]
data.set_index('epoch', inplace=True)
if len(self.ohlcv) == 0:
self.ohlcv = data
else:
self.ohlcv = self.ohlcv.append(data)
def fetch_ohlcv(self, asset, timeframe, start_utc):
"""
Returns OHLCV for the symbol based on the time_period
ex. fetch_ohlcv(btcusd, 1d)
To see all timeframes for an exchange use timeframes property
when hasFetchTickers is True as well
"""
assert self.client.hasFetchOHLCV
# CCXT expects milliseconds since epoch for 'since'
epoch_ms = utc_to_epoch(start_utc) * 1000
return self.client.fetch_ohlcv(asset.symbol, timeframe.id, since=epoch_ms)
def next(self, refresh=False):
if refresh:
self.end = datetime.datetime.utcnow()
self.update()
row = self.ohlcv_df[self.ohlcv_df.index > utc_to_epoch(
self.prior_time)]
if len(row) > 0:
row = row.iloc[0]
self.prior_time = row['utc']
return OHLCVData(row.to_frame().T)
print("No data after prior poll:", self.prior_time)
return None
def peek(self):
row = self.ohlcv_df[self.ohlcv_df.index > utc_to_epoch(
self.prior_time)]
if len(row) > 0:
return OHLCVData(row.iloc[0].to_frame().T)
return None