def query_historical_price(self, from_asset, to_asset, timestamp):
"""
Query the historical price on `timestamp` for `from_asset` in `to_asset`.
So how much `to_asset` does 1 unit of `from_asset` cost.
Args:
from_asset (str): The ticker symbol of the asset for which we want to know
the price.
to_asset (str): The ticker symbol of the asset against which we want to
know the price.
timestamp (int): The timestamp at which to query the price
"""
log.debug(
'Querying historical price',
from_asset=from_asset,
to_asset=to_asset,
timestamp=timestamp,
)
if from_asset == to_asset:
return 1
if from_asset not in self.cryptocompare_coin_list:
raise PriceQueryUnknownFromAsset(from_asset)
data = self.get_historical_data(from_asset, to_asset, timestamp)
# all data are sorted and timestamps are always increasing by 1 hour
# find the closest entry to the provided timestamp
assert timestamp > data[0]['time']
index = convert_to_int((timestamp - data[0]['time']) / 3600,
accept_only_exact=False)
# print("timestamp: {} index: {} data_length: {}".format(timestamp, index, len(data)))
diff = abs(data[index]['time'] - timestamp)
if index + 1 <= len(data) - 1:
diff_p1 = abs(data[index + 1]['time'] - timestamp)
if diff_p1 < diff:
index = index + 1
if data[index]['high'] is None or data[index]['low'] is None:
# If we get some None in the hourly set price to 0 so that we check daily price
price = FVal(0)
else:
price = FVal((data[index]['high'] + data[index]['low'])) / 2
if price == 0:
if from_asset != 'BTC' and to_asset != 'BTC':
log.debug(
f"Coudn't find historical price from {from_asset} to "
f"{to_asset}. Comparing with BTC...", )
# Just get the BTC price
asset_btc_price = self.query_historical_price(
from_asset, 'BTC', timestamp)
btc_to_asset_price = self.query_historical_price(
'BTC', to_asset, timestamp)
price = asset_btc_price * btc_to_asset_price
else:
log.debug(
f"Coudn't find historical price from {from_asset} to "
f"{to_asset}. Attempting to get daily price...", )
# attempt to get the daily price by timestamp
cc_from_asset = world_to_cryptocompare(from_asset)
cc_to_asset = world_to_cryptocompare(to_asset)
log.debug(
'Querying cryptocompare for daily historical price',
from_asset=from_asset,
to_asset=to_asset,
timestamp=timestamp,
)
query_string = (
'https://min-api.cryptocompare.com/data/pricehistorical?'
'fsym={}&tsyms={}&ts={}'.format(
cc_from_asset,
cc_to_asset,
timestamp,
))
if to_asset == 'BTC':
query_string += '&tryConversion=false'
resp = request_get(query_string)
if cc_from_asset not in resp:
error_message = 'Failed to query cryptocompare for: "{}"'.format(
query_string)
log.error(
'Cryptocompare query for daily historical price failed',
from_asset=from_asset,
to_asset=to_asset,
timestamp=timestamp,
error=error_message,
)
raise ValueError(error_message)
price = FVal(resp[cc_from_asset][cc_to_asset])
if price == 0:
raise NoPriceForGivenTimestamp(
from_asset, to_asset,
tsToDate(timestamp, formatstr='%d/%m/%Y, %H:%M:%S'))
log.debug('Got historical price',
from_asset=from_asset,
to_asset=to_asset,
timestamp=timestamp,
price=price)
return price
def get_historical_data(self, from_asset, to_asset, timestamp):
"""Get historical price data from cryptocompare"""
log.debug(
'Retrieving historical price data',
from_asset=from_asset,
to_asset=to_asset,
timestamp=timestamp,
)
if from_asset not in self.cryptocompare_coin_list:
raise ValueError('Attempted to query historical price data for '
'unknown asset "{}"'.format(from_asset))
if to_asset not in self.cryptocompare_coin_list and to_asset not in FIAT_CURRENCIES:
raise ValueError('Attempted to query historical price data for '
'unknown asset "{}"'.format(to_asset))
cache_key = from_asset + '_' + to_asset
got_cached_value = self.got_cached_price(cache_key, timestamp)
if got_cached_value:
return self.price_history[cache_key]['data']
now_ts = int(time.time())
cryptocompare_hourquerylimit = 2000
calculated_history = list()
if self.historical_data_start <= timestamp:
end_date = self.historical_data_start
else:
end_date = timestamp
while True:
pr_end_date = end_date
end_date = end_date + (cryptocompare_hourquerylimit) * 3600
log.debug(
'Querying cryptocompare for hourly historical price',
from_asset=from_asset,
to_asset=to_asset,
cryptocompare_hourquerylimit=cryptocompare_hourquerylimit,
end_date=end_date,
)
query_string = ('https://min-api.cryptocompare.com/data/histohour?'
'fsym={}&tsym={}&limit={}&toTs={}'.format(
world_to_cryptocompare(from_asset),
world_to_cryptocompare(to_asset),
cryptocompare_hourquerylimit,
end_date,
))
resp = request_get(query_string)
if 'Response' not in resp or resp['Response'] != 'Success':
error_message = 'Failed to query cryptocompare for: "{}"'.format(
query_string)
if 'Message' in resp:
error_message += ". Error: {}".format(resp['Message'])
log.error(
'Cryptocompare hourly historical price query failed',
error=error_message,
)
raise ValueError(error_message)
if pr_end_date != resp['TimeFrom']:
# If we get more than we needed, since we are close to the now_ts
# then skip all the already included entries
diff = pr_end_date - resp['TimeFrom']
if resp['Data'][diff // 3600]['time'] != pr_end_date:
raise ValueError(
'Expected to find the previous date timestamp during '
'historical data fetching')
# just add only the part from the previous timestamp and on
resp['Data'] = resp['Data'][diff // 3600:]
if end_date < now_ts and resp['TimeTo'] != end_date:
raise ValueError('End dates no match')
# If last time slot and first new are the same, skip the first new slot
last_entry_equal_to_first = (len(calculated_history) != 0
and calculated_history[-1]['time']
== resp['Data'][0]['time'])
if last_entry_equal_to_first:
resp['Data'] = resp['Data'][1:]
calculated_history += resp['Data']
if end_date >= now_ts:
break
# Let's always check for data sanity for the hourly prices.
assert check_hourly_data_sanity(calculated_history, from_asset,
to_asset)
self.price_history[cache_key] = {
'data': calculated_history,
'start_time': self.historical_data_start,
'end_time': now_ts
}
# and now since we actually queried the data let's also save them locally
filename = os.path.join(self.data_directory,
'price_history_' + cache_key + '.json')
log.info('Updating price history cache',
filename=filename,
from_asset=from_asset,
to_asset=to_asset)
write_history_data_in_file(calculated_history, filename,
self.historical_data_start, now_ts)
self.price_history_file[cache_key] = filename
return calculated_history