class BinanceData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy):
"""
构造函数
:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
"""
self.strategy = strategy
self.client = Client('-', '-')
def get_bars(self,
symbol,
period,
callback,
bar_is_completed=False,
bar_freq=1,
start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
ret_bars = []
if symbol not in SYMBOL_LIST:
self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(
datetime.now(), symbol))
return False, ret_bars
if period not in PERIOD_MAPPING:
self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(
datetime.now(), period))
return False, ret_bars
if self.client is None:
return False, ret_bars
binance_symbol = symbol.upper().replace('_', '')
binance_period = PERIOD_MAPPING.get(period)
self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(
datetime.now(), binance_symbol, binance_period))
try:
bars = self.client.get_klines(symbol=binance_symbol,
interval=binance_period)
for i, bar in enumerate(bars):
add_bar = CtaBarData()
try:
add_bar.vtSymbol = symbol
add_bar.symbol = symbol
add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
add_bar.tradingDay = add_bar.date
add_bar.open = float(bar[1])
add_bar.high = float(bar[2])
add_bar.low = float(bar[3])
add_bar.close = float(bar[4])
add_bar.volume = float(bar[5])
except Exception as ex:
self.strategy.writeCtaError(
'error when convert bar:{},ex:{},t:{}'.format(
bar, str(ex), traceback.format_exc()))
return False
if start_dt is not None and bar.datetime < start_dt:
continue
ret_bars.append(add_bar)
if callback is not None:
callback(add_bar, bar_is_completed, bar_freq)
return True, ret_bars
except Exception as ex:
self.strategy.writeCtaError('exception in get:{},{},{}'.format(
binance_symbol, str(ex), traceback.format_exc()))
return False, ret_bars
class BinanceData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy=None):
"""
构造函数
:param strategy: 上层策略，主要用与使用writeLog（）
"""
self.strategy = strategy
self.client = Client('', '')
def writeLog(self, content):
if self.strategy and hasattr(self.strategy, 'writeCtaLog'):
self.strategy.writeCtaLog(content)
else:
print(content)
def writeError(self, content):
if self.strategy and hasattr(self.strategy, 'writeCtaError'):
self.strategy.writeCtaError(content)
else:
print(content, file=sys.stderr)
def get_bars(self,
symbol,
period,
callback,
bar_is_completed=False,
bar_freq=1,
start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
ret_bars = []
if symbol not in SYMBOL_LIST:
self.writeError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
return False, ret_bars
if period not in PERIOD_MAPPING:
self.writeError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
return False, ret_bars
if self.client is None:
return False, ret_bars
binance_symbol = symbol.upper().replace('_', '')
# 转换一下
binance_symbol = symbolFromOtherExchangesToBinance(binance_symbol)
binance_period = PERIOD_MAPPING.get(period)
self.writeLog('{}开始下载binance:{} {}数据.'.format(datetime.now(),
binance_symbol,
binance_period))
bars = []
try:
bars = self.client.get_klines(symbol=binance_symbol,
interval=binance_period)
bar_len = len(bars)
for i, bar in enumerate(bars):
add_bar = CtaBarData()
try:
add_bar.vtSymbol = symbol
add_bar.symbol = symbol
add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
utcdatetime = datetime.utcfromtimestamp(bar[0] / 1e3)
add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
# 币安的交易日，是按照utc来计算的
add_bar.tradingDay = utcdatetime.strftime('%Y-%m-%d')
add_bar.open = float(bar[1])
add_bar.high = float(bar[2])
add_bar.low = float(bar[3])
add_bar.close = float(bar[4])
add_bar.volume = float(bar[5])
ret_bars.append(add_bar)
except Exception as ex:
self.writeError(
'error when convert bar:{},ex:{},t:{}'.format(
bar, str(ex), traceback.format_exc()))
return False, ret_bars
if start_dt is not None and bar.datetime < start_dt:
continue
if callback is not None:
# 最后一个bar，可能是不完整的，强制修改
if i == bar_len - 1 and bar_is_completed:
# 根据秒数算的话，要+1，例如13:31,freq=31，第31根bar
freq = int((datetime.now() -
add_bar.datetime).total_seconds() / 60) + 1
callback(add_bar, False, freq)
else:
callback(add_bar, bar_is_completed, bar_freq)
return True, ret_bars
except Exception as ex:
self.writeError('exception in get:{},{},{}'.format(
binance_symbol, str(ex), traceback.format_exc()))
return False, ret_bars
def download_bars(self, symbol, period, start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
ret_bars = []
if symbol not in SYMBOL_LIST:
self.writeError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
return ret_bars
if period not in PERIOD_MAPPING:
self.writeError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
return ret_bars
if self.client is None:
return ret_bars
binance_symbol = symbol.upper().replace('_', '')
# 转换一下
binance_symbol = symbolFromOtherExchangesToBinance(binance_symbol)
binance_period = PERIOD_MAPPING.get(period)
self.writeLog('{}开始下载binance:{} {}数据.'.format(datetime.now(),
binance_symbol,
binance_period))
if isinstance(start_dt, datetime):
start_timestamp = int(start_dt.timestamp() * 1e3)
else:
start_timestamp = None
try:
bars = []
if start_timestamp is not None:
end_timestamp = int(datetime.now().timestamp() * 1e3)
while start_timestamp <= end_timestamp:
try:
self.writeLog(u'从{} ~{} 下载 {}数据'.format(
datetime.fromtimestamp(start_timestamp / 1e3),
datetime.fromtimestamp(end_timestamp / 1e3),
binance_symbol))
bars_per_loop = self.client.get_klines(
symbol=binance_symbol,
interval=binance_period,
startTime=start_timestamp,
endTime=end_timestamp,
limit=1000)
if len(bars_per_loop) == 0:
self.writeLog(u'数据长度为0，结束')
break
# 更新开始时间，为这次取得最后一个值
start_timestamp = bars_per_loop[-1][0]
if len(bars) > 0:
while bars[-1][0] >= bars_per_loop[0][0]:
if len(bars_per_loop) == 1:
bars_per_loop = []
start_timestamp = end_timestamp + 1
break
bars_per_loop = bars_per_loop[1:]
# 追加bars
bars.extend(bars_per_loop)
except Exception as ex:
self.writeError(u'下载数据{} {} 异常:{},{}'.format(
binance_symbol, binance_period, str(ex),
traceback.format_exc()))
break
else:
bars = self.client.get_klines(symbol=binance_symbol,
interval=binance_period)
for i, bar in enumerate(bars):
add_bar = {}
try:
bar_datetime = datetime.fromtimestamp(bar[0] / 1e3)
utc_datetime = datetime.utcfromtimestamp(bar[0] / 1e3)
add_bar['datetime'] = bar_datetime.strftime(
'%Y-%m-%d %H:%M:%S')
add_bar['date'] = bar_datetime.strftime('%Y-%m-%d')
add_bar['time'] = bar_datetime.strftime('%H:%M:%S')
add_bar['open'] = float(bar[1])
add_bar['high'] = float(bar[2])
add_bar['low'] = float(bar[3])
add_bar['close'] = float(bar[4])
add_bar['volume'] = float(bar[5])
add_bar['tradingDay'] = utc_datetime.strftime('%Y-%m-%d')
ret_bars.append(add_bar)
except Exception as ex:
self.writeError(
'error when convert bar:{},ex:{},t:{}'.format(
bar, str(ex), traceback.format_exc()))
return ret_bars
if start_dt is not None and bar_datetime < start_dt:
continue
return ret_bars
except Exception as ex:
self.writeError('exception in get:{},{},{}'.format(
binance_symbol, str(ex), traceback.format_exc()))
return ret_bars
class BinanceData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy):
"""
构造函数
:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
"""
self.strategy = strategy
self.client = None
self.init_client()
def init_client(self):
fileName = globalSetting.get('gateway_name', '') + '_connect.json'
filePath = getJsonPath(fileName, __file__)
try:
with open(filePath, 'r') as f:
# 解析json文件
setting = json.load(f)
apiKey = setting.get('accessKey',None)
secretKey = setting.get('secretKey',None)
if apiKey is not None and secretKey is not None:
self.client = Client(apiKey, secretKey)
except IOError:
self.strategy.writeCtaError(u'BINANCE读取连接配置{}出错，请检查'.format(filePath))
return
def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
if symbol not in SYMBOL_LIST:
self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
return False
if period not in PERIOD_MAPPING:
self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
return False
if self.client is None:
return False
binance_symbol = symbol.upper().replace('_' , '')
binance_period = PERIOD_MAPPING.get(period)
self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(datetime.now(), binance_symbol, binance_period))
bars = []
try:
bars = self.client.get_klines(symbol=binance_symbol, interval=binance_period)
for i, bar in enumerate(bars):
add_bar = CtaBarData()
try:
add_bar.vtSymbol = symbol
add_bar.symbol = symbol
add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
add_bar.tradingDay = add_bar.date
add_bar.open = float(bar[1])
add_bar.high = float(bar[2])
add_bar.low = float(bar[3])
add_bar.close = float(bar[4])
add_bar.volume = float(bar[5])
except Exception as ex:
self.strategy.writeCtaError(
'error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
return False
if start_dt is not None and bar.datetime < start_dt:
continue
if callback is not None:
callback(add_bar, bar_is_completed, bar_freq)
return True
except Exception as ex:
self.strategy.writeCtaError('exception in get:{},{},{}'.format(binance_symbol,str(ex), traceback.format_exc()))
return False
# # start aggregated trade websocket for BNBBTC
def process_message(msg):
print("message type: {}".format(msg['e']))
print(msg)
# do something
#from vnpy.api.binance.websockets import BinanceSocketManager
#bm = BinanceSocketManager(client)
#bm.start_aggtrade_socket('BNBBTC', process_message)
#bm.start()
# get historical kline data from any date range
from datetime import datetime,timedelta
# fetch 1 minute klines for the last day up until now
start_time = datetime.now()
start_time = start_time - timedelta(hours=1)
t =int(start_time.timestamp()*1000)
# startTime =t
klines = client.get_klines(symbol="BTCUSDT",interval= Client.KLINE_INTERVAL_1MINUTE)
for kl in klines:
print(datetime.fromtimestamp(kl[0]/1e3))
# fetch 30 minute klines for the last month of 2017
# klines = client.get_historical_klines("ETHBTC", Client.KLINE_INTERVAL_30MINUTE, "1 Dec, 2017", "1 Jan, 2018")
# fetch weekly klines since it listed
# klines = client.get_historical_klines("NEOBTC", KLINE_INTERVAL_1WEEK, "1 Jan, 2017")
class BinanceData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy):
"""
构造函数
:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
"""
self.strategy = strategy
self.client = None
self.init_client()
def init_client(self):
fileName = globalSetting.get('gateway_name', '') + '_connect.json'
filePath = getJsonPath(fileName, __file__)
try:
with open(filePath, 'r') as f:
# 解析json文件
setting = json.load(f)
apiKey = setting.get('accessKey', None)
secretKey = setting.get('secretKey', None)
if apiKey is not None and secretKey is not None:
self.client = Client(apiKey, secretKey)
except IOError:
self.strategy.writeCtaError(
u'BINANCE读取连接配置{}出错，请检查'.format(filePath))
return
def get_bars(self,
symbol,
period,
callback,
bar_is_completed=False,
bar_freq=1,
start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
if symbol not in SYMBOL_LIST:
self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(
datetime.now(), symbol))
return False
if period not in PERIOD_MAPPING:
self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(
datetime.now(), period))
return False
if self.client is None:
return False
binance_symbol = symbol.upper().replace('_', '')
binance_period = PERIOD_MAPPING.get(period)
self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(
datetime.now(), binance_symbol, binance_period))
bars = []
try:
bars = self.client.get_klines(symbol=binance_symbol,
interval=binance_period)
for i, bar in enumerate(bars):
add_bar = CtaBarData()
try:
add_bar.vtSymbol = symbol
add_bar.symbol = symbol
add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
add_bar.tradingDay = add_bar.date
add_bar.open = float(bar[1])
add_bar.high = float(bar[2])
add_bar.low = float(bar[3])
add_bar.close = float(bar[4])
add_bar.volume = float(bar[5])
except Exception as ex:
self.strategy.writeCtaError(
'error when convert bar:{},ex:{},t:{}'.format(
bar, str(ex), traceback.format_exc()))
return False
if start_dt is not None and bar.datetime < start_dt:
continue
if callback is not None:
callback(add_bar, bar_is_completed, bar_freq)
return True
except Exception as ex:
self.strategy.writeCtaError('exception in get:{},{},{}'.format(
binance_symbol, str(ex), traceback.format_exc()))
return False