コード例 #1
0
ファイル: data_providers.py プロジェクト: Sdoof/punisher
 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]),
     }
コード例 #2
0
ファイル: ohlcv_feed.py プロジェクト: Sdoof/punisher
 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:])
コード例 #3
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ファイル: record.py プロジェクト: Sdoof/punisher
 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)
コード例 #4
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 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)
コード例 #5
0
ファイル: ohlcv_feed.py プロジェクト: Sdoof/punisher
 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
コード例 #6
0
ファイル: ohlcv_feed.py プロジェクト: Sdoof/punisher
 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