def getKrakenData(interval=1440, since=0):
directory = krakenutl.SRCDIR
if not os.path.exists(directory):
os.makedirs(directory)
for p in krakenutl.PAIRS:
logger.debug('download data for: ' + p + ' interval: ' +
str(interval) + ' since:' +
str(krakenutl.localTimeFromEpoch(since)))
pdata = getOhlc(p, interval, since)
storeHdf5(pdata, krakenutl.getTagFromPair(p, interval),
krakenutl.getH5source())
def getOhlc(pair, interval=1440, since=0):
last = since
last1 = -1
totEntr = 0
columns = [
"time", "open", "high", "low", "close", "vwap", "volume", "count"
]
df = pd.DataFrame(columns=columns)
while last1 != last:
body = {"pair": pair, "interval": interval, "since": last}
url = 'https://api.kraken.com/0/public/OHLC'
try:
logger.debug(body)
r = rest.restPOST(url, body)
if not "result" in r.keys():
break
#print r
last1 = last
last = r["result"]["last"] if "last" in r["result"].keys() else 0
ent = len(r["result"][pair])
logger.debug('ent: ' + str(ent))
totEntr = totEntr + ent
#pivot data into multi l=column format
d = r["result"][pair]
if len(columns) != len(d[0]):
logger.error("len(columns)!=len(d) " + str(len(columns)) +
" " + str(len(d)))
return None
for i in range(0, len(d)):
d[i][0] = krakenutl.localTimeFromEpoch(d[i][0])
df.loc[i] = [krakenutl.toUtf8(x) for x in d[i]]
time.sleep(1)
except Exception as e:
logger.error('Exception while calling: ' + url + " exception: " +
str(e))
return None
logger.debug("Total entries: " + str(totEntr))
df = df.drop_duplicates("time").set_index("time").sort_index()
#remove the last row the data may not be complete
df.drop(df.index[len(df) - 1], inplace=True)
return df
def getOhlc(pair,interval=1440,since=0):
last = since
last1 = -1
totEntr = 0
columns = ["time", "open", "high", "low", "close", "vwap", "volume", "count"]
df=pd.DataFrame(columns=columns)
while last1!=last:
body={
"pair":pair,
"interval":interval,
"since":last
}
url = 'https://api.kraken.com/0/public/OHLC'
try:
logger.debug(body)
r = rest.restPOST(url,body)
if not "result" in r.keys():
break
#print r
last1=last
last = r["result"]["last"] if "last" in r["result"].keys() else 0
ent=len(r["result"][pair])
logger.debug('ent: '+str(ent))
totEntr = totEntr+ent
#pivot data into multi l=column format
d=r["result"][pair]
if len(columns)!=len(d[0]):
logger.error("len(columns)!=len(d) "+str(len(columns))+" "+str(len(d)))
return None
for i in range(0,len(d)):
d[i][0]=krakenutl.localTimeFromEpoch(d[i][0])
df.loc[i]=[krakenutl.toUtf8(x) for x in d[i]]
time.sleep(1)
except Exception as e:
logger.error('Exception while calling: '+url+" exception: "+str(e))
return None
logger.debug("Total entries: "+str(totEntr))
df= df.drop_duplicates("time").set_index("time").sort_index()
#remove the last row the data may not be complete
df.drop(df.index[len(df)-1], inplace=True)
return df
def getKrakenData(interval=1440,since=0):
directory = krakenutl.SRCDIR
if not os.path.exists(directory):
os.makedirs(directory)
for p in krakenutl.PAIRS:
logger.debug('download data for: '+p+' interval: '+str(interval)+' since:'+str(krakenutl.localTimeFromEpoch(since)))
pdata = getOhlc(p, interval,since)
storeHdf5(pdata,krakenutl.getTagFromPair(p,interval),krakenutl.getH5source())