def print_(args, r=False):
line = ts_to_date(time())[:19] + ' '
str_args = '{} ' * len(args)
line += str_args.format(*args)
if r:
sys.stdout.write('\r' + line + ' ')
else:
print(line)
sys.stdout.flush()
return line
def write_cache(self,
filepath: str,
items: [dict],
condition: Callable = lambda x: True):
written_items = []
for d in remove_duplicates(items, key='id', sort=True):
if condition(d):
month = ts_to_date(d['timestamp'] / 1000)[:7]
with open(f'{filepath}{month}.txt', 'a') as f:
f.write(json.dumps(d) + '\n')
written_items.append(d)
return written_items
def iterate_ohlcvs(tss_covered: set):
max_n_tries = 10
ohlcvs = format_ohlcvs(request_klines())
prev_ohlcvs = [{}]
while True:
yield ohlcvs
from_ts = ohlcvs[0]['timestamp']
while from_ts in tss_covered:
# sys.stdout.write('\rskipping trades {} '.format(from_id_))
from_ts -= timeframe_millis
from_ts -= (len(ohlcvs) - 1) * timeframe_millis
ohlcvs = format_ohlcvs(request_klines(from_ts))
k = 0
while ohlcvs[0] == prev_ohlcvs[0]:
print('gaps', ts_to_date(ohlcvs[0]['timestamp'] / 1000), ts_to_date(from_ts / 1000))
from_ts -= (len(ohlcvs) - 1) * timeframe_millis
ohlcvs = format_ohlcvs(request_klines(from_ts))
k += 1
if k >= max_n_tries:
yield None
break
prev_ohlcvs = ohlcvs
def init_my_trades(self, symbol: str) -> [dict]:
no_dash = symbol.replace('/', '_')
cache_filepath = make_get_filepath(
f'cache/binance/{self.user}/my_trades/{no_dash}/')
cached_history = []
start_month = ts_to_date(self.cc.milliseconds() / 1000 -
60 * 60 * 24 * 90)[:7]
filenames = [
fp for fp in os.listdir(cache_filepath)
if fp.endswith('txt') and fp >= start_month
]
for filename in sorted(filenames):
with open(cache_filepath + filename) as f:
cached_history += [json.loads(line) for line in f.readlines()]
cached_history = remove_duplicates(cached_history, key='id', sort=True)
if cached_history == []:
most_recent_id = 0
limit = 1000
from_id = 0
else:
most_recent_id = cached_history[-1]['id']
limit = 100
from_id = cached_history[-1]['id'] + 1
fetched_history = []
prev_my_trades = []
while True:
my_trades = self.fetch_margin_my_trades(symbol, limit, from_id)
fetched_history += my_trades
if len(my_trades) < limit or my_trades == prev_my_trades:
break
prev_my_trades = my_trades
limit = 1000
from_id = my_trades[-1]['id'] + 1
sleep(1)
written_history = self.write_cache(cache_filepath, fetched_history)
my_trades = remove_duplicates(cached_history + written_history,
key='id',
sort=True)
age_limit_millis = self.cc.milliseconds(
) - self.hyperparams['max_memory_span_millis']
my_trades = [e for e in my_trades if e['timestamp'] > age_limit_millis]
self.my_trades[symbol], self.my_trades_analyses[symbol] = \
analyze_my_trades(my_trades)
self.time_keepers['update_my_trades'][symbol] = time()
def format_mt(mt):
formatted_mt = {
'timestamp': mt['time'],
'datetime': ts_to_date(mt['time'] / 1000),
'symbol': self.nodash_to_dash_map[mt['symbol']],
'id': int(mt['id']),
'order_id': int(mt['orderId']),
'type': None,
'is_maker': mt['isMaker'],
'side': 'buy' if mt['isBuyer'] else 'sell',
'price': float(mt['price']),
'amount': float(mt['qty'])
}
formatted_mt[
'cost'] = formatted_mt['amount'] * formatted_mt['price']
formatted_mt['fee_cost'] = float(mt['commission'])
formatted_mt['fee_currency'] = mt['commissionAsset']
return formatted_mt
def format_o(o):
formatted_o = {
'id': int(o['orderId']),
'timestamp': o['updateTime'],
'datetime': ts_to_date(o['updateTime'] / 1000),
'symbol': self.nodash_to_dash_map[o['symbol']],
'type': o['type'].lower(),
'side': o['side'].lower(),
'price': float(o['price']),
'amount': float(o['origQty']),
'cost': 0.0,
'average': None,
'filled': float(o['executedQty'])
}
formatted_o[
'remaining'] = formatted_o['amount'] - formatted_o['filled']
formatted_o[
'status'] = 'open' if o['status'] == 'NEW' else o['status']
return formatted_o
def init_loan_history(self, coin: str, side: str):
assert side in ['borrow', 'repay']
cache_filepath = make_get_filepath(
f'cache/binance/{self.user}/{side}_history/{coin}/')
cached_loan_history = []
start_month = ts_to_date(self.cc.milliseconds() / 1000 -
60 * 60 * 24 * 90)[:7]
filenames = [
fname for fname in os.listdir(cache_filepath)
if fname.endswith('txt') and fname >= start_month
]
for filename in sorted(filenames):
with open(cache_filepath + filename) as f:
cached_loan_history += [
json.loads(line) for line in f.readlines()
]
cached_loan_history = remove_duplicates(cached_loan_history,
key='id',
sort=True)
if cached_loan_history:
most_recent_id = cached_loan_history[-1]['id']
size = 10
else:
most_recent_id = 0
size = 100
fetched_loan_history = []
current = 1
while True:
loans = getattr(self, f'fetch_{side}_history')(coin, current, size)
fetched_loan_history += loans
if len(loans) < size or loans[0]['id'] <= most_recent_id:
break
current += 1
size = 100
fetched_loan_history = sorted(fetched_loan_history,
key=lambda x: x['id'])
condition = lambda x: x['id'] > most_recent_id
written_loan_history = self.write_cache(cache_filepath,
fetched_loan_history,
condition)
getattr(self, f'{side}_history')[coin] = remove_duplicates(
cached_loan_history + written_loan_history, key='id', sort=True)
self.time_keepers[f'update_{side}_history'][coin] = time()
def format_my_trades(my_trades_: [dict]) -> [dict]:
formatted = []
for t in my_trades_:
price = float(t['price'])
amount = float(t['qty'])
formatted.append(
{'symbol': symbol,
'id': t['id'],
'order_id': t['orderId'],
'price': price,
'amount': amount,
'cost': amount * price,
'side': 'buy' if t['isBuyer'] else 'sell',
'timestamp': t['time'],
'datetime': ts_to_date(t['time'] / 1000),
'is_maker': t['isMaker'],
'fee_cost': float(t['commission']),
'fee_currency': t['commissionAsset']}
)
return formatted
def fetch_my_trades(symbol: str,
n_days: float = 30,
no_download: bool = False,
limit: int = 1000) -> pd.DataFrame:
def request_my_trades(from_id: int = -1) -> dict:
timestamp = int(time() * 1000)
url = 'https://api.binance.com/api/v3/myTrades?'
params = {'symbol': symbol.replace('/', ''),
'limit': limit,
'timestamp': timestamp}
if from_id > 0:
params['fromId'] = from_id
query_string = urlencode(params)
params['signature'] = hmac.new(secret.encode('utf-8'),
query_string.encode('utf-8'),
hashlib.sha256).hexdigest()
headers = {'X-MBX-APIKEY': key}
return json.loads(requests.get(url, headers=headers, params=params).text)
def format_my_trades(my_trades_: [dict]) -> [dict]:
formatted = []
for t in my_trades_:
price = float(t['price'])
amount = float(t['qty'])
formatted.append(
{'symbol': symbol,
'id': t['id'],
'order_id': t['orderId'],
'price': price,
'amount': amount,
'cost': amount * price,
'side': 'buy' if t['isBuyer'] else 'sell',
'timestamp': t['time'],
'datetime': ts_to_date(t['time'] / 1000),
'is_maker': t['isMaker'],
'fee_cost': float(t['commission']),
'fee_currency': t['commissionAsset']}
)
return formatted
def iterate_my_trades(ids_covered: set) -> Iterator[dict]:
my_trades_ = format_my_trades(request_my_trades())
while True:
yield my_trades_
from_id_ = my_trades_[0]['id']
while from_id_ in ids_covered:
from_id_ -= 1
from_id_ -= limit
new_my_trades_ = format_my_trades(request_my_trades(from_id_))
my_trades_ = new_my_trades_
def format_csv_loaded_my_trades(csv: pd.DataFrame) -> pd.DataFrame:
if csv is None:
return None
return sort_and_drop_duplicates_by_index(csv[columns].set_index('id'))
symbol_no_dash = symbol.replace('/', '_')
key, secret = load_key_secret('binance')
dirpath = make_get_filepath('historical_data/my_trades_margin/{}/'.format(symbol_no_dash))
columns = ['symbol', 'id', 'order_id', 'price', 'amount', 'cost', 'side', 'timestamp',
'datetime', 'is_maker', 'fee_cost', 'fee_currency']
cache_path = 'historical_data/my_trades_margin_cache/{}.csv'.format(symbol_no_dash)
since = ts_to_day(time() - 60 * 60 * 24 * n_days - 24) if n_days > 0 else '0'
my_trades_loaded = [format_csv_loaded_my_trades(pd.read_csv(dirpath + f))
for f in get_filenames(dirpath) if f > since]
if not no_download:
clear_cache(cache_path, dirpath, columns, True, format_csv_loaded_my_trades)
begin_csv(cache_path, columns)
if my_trades_loaded:
ids_covered = set(pd.concat(my_trades_loaded).index)
else:
ids_covered = set()
until_ts = (time() - 60 * 60 * 24 * n_days) * 1000
prev_id = 0
for my_trades in iterate_my_trades(ids_covered):
if my_trades[0]['id'] == prev_id:
break
prev_id = my_trades[0]['id']
write_to_cache(my_trades, columns, cache_path)
print('fetched my_trades for {} {}'.format(
symbol, ts_to_date(my_trades[0]['timestamp'] / 1000)))
if my_trades[0]['timestamp'] <= until_ts:
break
clear_cache(cache_path, dirpath, columns, True, format_csv_loaded_my_trades)
my_trades_loaded = [format_csv_loaded_my_trades(pd.read_csv(dirpath + f))
for f in get_filenames(dirpath) if f > since]
if len(my_trades_loaded) > 0:
return sort_and_drop_duplicates_by_index(pd.concat(my_trades_loaded))
def fetch_raw_trades(symbol: str, n_days: float = 7, no_download: bool = False) -> pd.DataFrame:
def request_historical_trades(from_id: int = 0) -> dict:
url = 'https://api.binance.com/api/v3/aggTrades?symbol={}&limit=1000'.format(
symbol.replace('/', ''))
if from_id > 0:
url += '&fromId=' + str(from_id)
return json.loads(requests.get(url).text)
def format_raw_trades(trades_: [dict]) -> [dict]:
return [{'agg_trade_id': t['a'],
'price': float(t['p']),
'amount': float(t['q']),
'timestamp': t['T'],
'is_buyer_maker': t['m']} for t in trades_]
def iterate_raw_trades(ids_covered: set):
trades = format_raw_trades(request_historical_trades())
while True:
yield trades
from_id_ = trades[0]['agg_trade_id']
while from_id_ in ids_covered:
# sys.stdout.write('\rskipping trades {} '.format(from_id_))
from_id_ -= 1
from_id_ -= (len(trades) - 1)
from_id_ = max(0, from_id_)
trades = format_raw_trades(request_historical_trades(from_id_))
def format_csv_loaded_raw_trades(csv: pd.DataFrame) -> pd.DataFrame:
if csv is None:
return None
return sort_and_drop_duplicates_by_index(csv[columns].set_index('agg_trade_id'))
symbol_no_dash = symbol.replace('/', '_')
dirpath = make_get_filepath('historical_data/raw_trades/{}/'.format(symbol_no_dash))
columns = sorted(['agg_trade_id', 'price', 'amount', 'timestamp', 'is_buyer_maker'])
cache_path = 'historical_data/raw_trades_cache/{}.csv'.format(symbol_no_dash)
since = ts_to_day(time() - 60 * 60 * 24 * n_days - 24) if n_days > 0 else '0'
if not no_download:
clear_cache(cache_path, dirpath, columns, False, format_csv_loaded_raw_trades)
begin_csv(cache_path, columns)
raw_trades_loaded = [format_csv_loaded_raw_trades(pd.read_csv(dirpath + f))
for f in get_filenames(dirpath) if f > since]
if raw_trades_loaded:
raw_trades_df = sort_and_drop_duplicates_by_index(pd.concat(raw_trades_loaded))
ids_covered = set(raw_trades_df.index)
else:
ids_covered = set()
until_ts = (time() - 60 * 60 * 24 * n_days) * 1000
rt_tss0 = set()
for raw_trades in iterate_raw_trades(ids_covered):
write_to_cache(raw_trades, columns, cache_path)
print('fetched raw trades for {} {}'.format(
symbol, ts_to_date(raw_trades[0]['timestamp'] / 1000)))
if raw_trades[0]['timestamp'] <= until_ts or raw_trades[0]['timestamp'] in rt_tss0:
break
rt_tss0.add(raw_trades[0]['timestamp'])
clear_cache(cache_path, dirpath, columns, False, format_csv_loaded_raw_trades)
raw_trades_loaded = [format_csv_loaded_raw_trades(pd.read_csv(dirpath + f))
for f in get_filenames(dirpath) if f > since]
if len(raw_trades_loaded) > 0:
return sort_and_drop_duplicates_by_index(pd.concat(raw_trades_loaded))
def fetch_ohlcvs(symbol: str,
n_days: float = 7,
timeframe: str = '1m',
no_download: bool = False) -> pd.DataFrame:
'''
fetches ohlcv data from binance
allowed timeframes are
1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 12h, 1d, 1w, 1M
'''
def request_klines(start_time: int = -1) -> dict:
url = 'https://api.binance.com/api/v3/klines?symbol={}&limit=1000&interval={}'.format(
symbol.replace('/', ''), timeframe, start_time)
if start_time != -1:
url += '&startTime={}'.format(start_time)
return json.loads(requests.get(url).text)
def format_ohlcvs(ohlcvs_: [dict]) -> [dict]:
formatted = [{'timestamp': e[0],
'open': float(e[1]),
'high': float(e[2]),
'low': float(e[3]),
'close': float(e[4]),
'volume': float(e[5]),
'volume_base': float(e[7]),
'n_trades': e[8],
'volume_bought': float(e[9])} for e in ohlcvs_]
for e in formatted:
e['volume_sold'] = e['volume'] - e['volume_bought']
return formatted
def iterate_ohlcvs(tss_covered: set):
max_n_tries = 10
ohlcvs = format_ohlcvs(request_klines())
prev_ohlcvs = [{}]
while True:
yield ohlcvs
from_ts = ohlcvs[0]['timestamp']
while from_ts in tss_covered:
# sys.stdout.write('\rskipping trades {} '.format(from_id_))
from_ts -= timeframe_millis
from_ts -= (len(ohlcvs) - 1) * timeframe_millis
ohlcvs = format_ohlcvs(request_klines(from_ts))
k = 0
while ohlcvs[0] == prev_ohlcvs[0]:
print('gaps', ts_to_date(ohlcvs[0]['timestamp'] / 1000), ts_to_date(from_ts / 1000))
from_ts -= (len(ohlcvs) - 1) * timeframe_millis
ohlcvs = format_ohlcvs(request_klines(from_ts))
k += 1
if k >= max_n_tries:
yield None
break
prev_ohlcvs = ohlcvs
def format_csv_loaded_ohlcvs(csv: pd.DataFrame) -> pd.DataFrame:
if csv is None:
return None
return sort_and_drop_duplicates_by_index(csv[columns].set_index('timestamp'))
symbol_no_dash = symbol.replace('/', '_')
timeframe_to_millis_map = {'1m': 60 * 1000,
'3m': 3 * 60 * 1000,
'5m': 5 * 60 * 1000,
'15m': 15 * 60 * 1000,
'30m': 30 * 60 * 1000,
'1h': 60 * 60 * 1000,
'2h': 2 * 60 * 60 * 1000,
'4h': 4 * 60 * 60 * 1000,
'6h': 6 * 60 * 60 * 1000,
'12h': 12 * 60 * 60 * 1000,
'1d': 24 * 60 * 60 * 1000,
'1w': 7 * 24 * 60 * 60 * 1000,
'1M': 30 * 24 * 60 * 60 * 1000
}
timeframe_millis = timeframe_to_millis_map[timeframe]
dirpath = make_get_filepath('historical_data/ohlcvs_{}/{}/'.format(timeframe, symbol_no_dash))
columns = ['timestamp', 'open', 'high', 'low', 'close', 'volume',
'volume_base', 'n_trades', 'volume_bought', 'volume_sold']
cache_path = 'historical_data/ohlcvs_cache/{}_{}.csv'.format(timeframe, symbol_no_dash)
since = ts_to_day(time() - 60 * 60 * 24 * n_days - 24) if n_days > 0 else '0'
if not no_download:
clear_cache(cache_path, dirpath, columns, True, format_csv_loaded_ohlcvs)
begin_csv(cache_path, columns)
ohlcvs_loaded = [format_csv_loaded_ohlcvs(pd.read_csv(dirpath + f))
for f in get_filenames(dirpath) if f > since]
if ohlcvs_loaded:
ohlcvs_df = sort_and_drop_duplicates_by_index(pd.concat(ohlcvs_loaded))
tss_covered = set(ohlcvs_df.index)
else:
tss_covered = set()
until_ts = (time() - 60 * 60 * 24 * n_days) * 1000
for ohlcvs in iterate_ohlcvs(tss_covered):
if ohlcvs is None:
print('end of ohlcvs')
break
write_to_cache(ohlcvs, columns, cache_path)
print('fetched {} ohlcvs for {} {}'.format(
timeframe, symbol, ts_to_date(ohlcvs[0]['timestamp'] / 1000)))
if ohlcvs[0]['timestamp'] <= until_ts:
break
clear_cache(cache_path, dirpath, columns, True, format_csv_loaded_ohlcvs)
ohlcvs_loaded = [format_csv_loaded_ohlcvs(pd.read_csv(dirpath + f))
for f in get_filenames(dirpath) if f > since]
if len(ohlcvs_loaded) > 0:
return sort_and_drop_duplicates_by_index(pd.concat(ohlcvs_loaded))