def fetch_ohlcv(self, bin_size, start_time, end_time):
"""
fetch OHLCV data
:param start_time: start time
:param end_time: end time
:return:
"""
self.__init_client()
fetch_bin_size = allowed_range[bin_size][0]
left_time = start_time
right_time = end_time
data = to_data_frame([])
while True:
source = retry(lambda: self.public_client.Trade.Trade_getBucketed(
symbol=self.pair,
binSize=fetch_bin_size,
startTime=left_time,
endTime=right_time,
count=500,
partial=True).result())
if len(source) == 0:
break
source = to_data_frame(source)
data = pd.concat([data, source])
if right_time > source.iloc[-1].name + delta(fetch_bin_size):
left_time = source.iloc[-1].name + delta(fetch_bin_size)
time.sleep(2)
else:
break
return resample(data, bin_size)
def fetch_ohlcv(self, bin_size, start_time, end_time):
"""
fetch OHLCV data
:param start_time: start time
:param end_time: end time
:return:
"""
self.__init_client()
fetch_bin_size = allowed_range[bin_size][0]
left_time = start_time
right_time = end_time
data = to_data_frame([])
while True:
if left_time > right_time:
break
logger.info(f"fetching OHLCV data")
left_time_to_timestamp = int(datetime.timestamp(left_time) * 1000)
right_time_to_timestamp = int(
datetime.timestamp(right_time) * 1000)
source = retry(lambda: self.client.futures_klines(
symbol=self.pair,
interval=fetch_bin_size,
startTime=left_time_to_timestamp,
endTime=right_time_to_timestamp,
limit=1500))
if len(source) == 0:
break
source_to_object_list = []
for s in source:
timestamp_to_datetime = datetime.fromtimestamp(
s[6] / 1000).astimezone(UTC)
source_to_object_list.append({
"timestamp": timestamp_to_datetime,
"high": float(s[2]),
"low": float(s[3]),
"open": float(s[1]),
"close": float(s[4]),
"volume": float(s[5])
})
source = to_data_frame(source_to_object_list)
data = pd.concat([data, source])
if right_time > source.iloc[-1].name + delta(fetch_bin_size):
left_time = source.iloc[-1].name + delta(fetch_bin_size)
time.sleep(2)
else:
break
return resample(data, bin_size)
def __on_message(self, ws, message):
"""
On Message listener
:param ws:
:param message:
:return:
"""
try:
obj = json.loads(message)
if 'e' in obj['data']:
e = obj['data']['e']
action = ""
datas = obj['data']
if e.startswith("kline"):
data = [{
"timestamp" : datas['k']['T'],
"high" : float(datas['k']['h']),
"low" : float(datas['k']['l']),
"open" : float(datas['k']['o']),
"close" : float(datas['k']['c']),
"volume" : float(datas['k']['v'])
}]
data[0]['timestamp'] = datetime.fromtimestamp(data[0]['timestamp']/1000).strftime('%Y-%m-%dT%H:%M:%S')
data[0]['timestamp'] = datetime.strptime(data[0]['timestamp'],'%Y-%m-%dT%H:%M:%S')
self.__emit(obj['data']['k']['i'], action, to_data_frame([data[0]]))
elif e.startswith("24hrTicker"):
self.__emit(e, action, datas)
elif e.startswith("ACCOUNT_UPDATE"):
self.__emit(e, action, datas['a']['P'])
self.__emit('wallet', action, datas['a']['B'][0])
self.__emit('margin', action, datas['a']['B'][0])
# todo ORDER_TRADE_UPDATE
elif e.startswith("ORDER_TRADE_UPDATE"):
self.__emit(e, action, datas['o'])
#todo orderbook stream
# elif table.startswith(""):
# self.__emit(e, action, data)
elif e.startswith("listenKeyExpired"):
self.__emit('close', action, datas)
self.__get_auth_user_data_streams()
logger.info(f"listenKeyExpired!!!")
#self.__on_close(ws)
elif not 'e' in obj['data']:
e = 'IndividualSymbolBookTickerStreams'
action = ''
data = obj['data']
#logger.info(f"{data}")
self.__emit(e, action, data)
except Exception as e:
logger.error(e)
logger.error(traceback.format_exc())
def __on_message(self, ws, message):
"""
On Message listener
:param ws:
:param message:
:return:
"""
try:
obj = json.loads(message)
if 'table' in obj:
if len(obj['data']) <= 0:
return
table = obj['table']
action = obj['action']
data = obj['data']
if table.startswith("tradeBin"):
data[0]['timestamp'] = datetime.strptime(
data[0]['timestamp'][:-5], '%Y-%m-%dT%H:%M:%S')
new_data = []
new_data.append(data[0])
#add placeholder tick so it resamples correctly
new_data.append({
"timestamp":
data[0]['timestamp'] + timedelta(seconds=0.01),
"open":
data[0]['close'],
"high":
data[0]['close'],
"low":
data[0]['close'],
"close":
data[0]['close'],
"volume":
0
})
self.__emit(table, action, to_data_frame(new_data))
elif table.startswith("instrument"):
self.__emit(table, action, data[0])
elif table.startswith("margin"):
self.__emit(table, action, data[0])
elif table.startswith("position"):
self.__emit(table, action, data[0])
elif table.startswith("wallet"):
self.__emit(table, action, data[0])
elif table.startswith("orderBookL2"):
self.__emit(table, action, data)
except Exception as e:
logger.error(e)
logger.error(traceback.format_exc())
def fetch_ohlcv(self, bin_size, start_time, end_time):
"""
足データを取得する
:param start_time: 開始時間
:param end_time: 終了時間
:return:
"""
self.__init_client()
fetch_bin_size = allowed_range[bin_size][0]
data = retry(lambda: self.public_client.Trade.Trade_getBucketed(
symbol="XBTUSD",
binSize=fetch_bin_size,
startTime=start_time,
endTime=end_time,
count=500,
partial=False).result())
data_frame = to_data_frame(data)
return resample(data_frame, bin_size)
def __on_message(self, ws, message):
"""
On Message listener
:param ws:
:param message:
:return:
"""
try:
obj = json.loads(message)
if 'table' in obj:
if len(obj['data']) <= 0:
return
table = obj['table']
action = obj['action']
data = obj['data']
if table.startswith("tradeBin"):
data[0]['timestamp'] = datetime.strptime(
data[0]['timestamp'][:-5], '%Y-%m-%dT%H:%M:%S')
self.__emit(table, action, to_data_frame([data[0]]))
elif table.startswith("instrument"):
self.__emit(table, action, data[0])
elif table.startswith("margin"):
self.__emit(table, action, data[0])
elif table.startswith("position"):
self.__emit(table, action, data[0])
elif table.startswith("wallet"):
self.__emit(table, action, data[0])
elif table.startswith("orderBookL2"):
self.__emit(table, action, data)
except Exception as e:
logger.error(e)
logger.error(traceback.format_exc())
def __on_message(self, ws, message):
"""
On Message listener
:param ws:
:param message:
:return:
"""
try:
obj = json.loads(message)
if 'e' in obj['data']:
e = obj['data']['e']
action = ""
datas = obj['data']
if e.startswith("kline"):
if self.use_healthcecks:
current_minute = datetime.now().time().minute
if self.last_heartbeat != current_minute:
# Send a heartbeat to Healthchecks.io
try:
requests.get(conf['healthchecks.io'][
self.account]['websocket_heartbeat'])
#logger.info("WS Heart Beat sent!")
self.last_heartbeat = current_minute
except Exception as e:
pass
data = [{
"timestamp": datas['k']['T'],
"high": float(datas['k']['h']),
"low": float(datas['k']['l']),
"open": float(datas['k']['o']),
"close": float(datas['k']['c']),
"volume": float(datas['k']['v'])
}]
data[0]['timestamp'] = datetime.fromtimestamp(
data[0]['timestamp'] / 1000).astimezone(UTC)
self.__emit(obj['data']['k']['i'], obj['data']['k']['i'],
to_data_frame([data[0]]))
elif e.startswith("24hrTicker"):
self.__emit(e, action, datas)
elif e.startswith("ACCOUNT_UPDATE"):
self.__emit(e, action, datas['a']['P'])
self.__emit('wallet', action, datas['a']['B'][0])
self.__emit('margin', action, datas['a']['B'][0])
# todo ORDER_TRADE_UPDATE
elif e.startswith("ORDER_TRADE_UPDATE"):
self.__emit(e, action, datas['o'])
#todo orderbook stream
# elif table.startswith(""):
# self.__emit(e, action, data)
elif e.startswith("listenKeyExpired"):
self.__emit('close', action, datas)
self.__get_auth_user_data_streams()
logger.info(f"listenKeyExpired!!!")
#self.__on_close(ws)
self.ws.close()
elif not 'e' in obj['data']:
e = 'IndividualSymbolBookTickerStreams'
action = ''
data = obj['data']
#logger.info(f"{data}")
self.__emit(e, action, data)
except Exception as e:
logger.error(e)
logger.error(traceback.format_exc())
def test_to_data_frame(self):
data = {'timestamp': datetime.datetime(2018, 6, 8, 23, 56), 'symbol': 'XBTUSD', 'open': 7625.5, 'high': 7625.5, 'low': 7625, 'close': 7625, 'trades': 66, 'volume': 645499, 'vwap': 7625.4385, 'lastSize': 2001, 'turnover': 8465106620, 'homeNotional': 84.6510662, 'foreignNotional': 645499}
data_frame = to_data_frame([data])
now = datetime.datetime.now(datetime.timezone.utc)
assert data_frame.iloc[0].name < now
