def __init__(self, tradesource, period, record_candles=True, start=None, quiet=False):
self.tradesource = tradesource
self.p_value, self.p_unit = parse_period(period)
self.period = period
self.step = pdelta(self.p_value, self.p_unit)
self.exchange, self.base, self.alt = tradesource.exchange, tradesource.base, tradesource.alt
self.candlefile = CANDLES + '{}_{}_{}_{}{}'.format(self.exchange, self.base, self.alt, self.p_value, self.p_unit)
self.record_candles = record_candles
self.quiet = quiet
# check for candle directory
if not os.path.exists(CANDLES):
build_data_directories()
# check for candle file
if os.path.exists(self.candlefile):
with open(self.candlefile, 'rb') as readfile:
reader = csv.reader(readfile, delimiter=',')
if start:
self.closed_candles = [[int(candle[0])] + [Decimal(x) for x in candle[1:]] for candle in reader if ut_to_dt(candle[0]) < start]
else:
self.closed_candles = [[int(candle[0])] + [Decimal(x) for x in candle[1:]] for candle in reader]
self.active_candle = self.closed_candles.pop()
# if no candle file, check for trades in tradesource
elif self.tradesource.trades:
if not self.quiet: print 'No candlefile found; generating from tradesource...'
if start:
self.closed_candles = [[int(candle[0])] + [Decimal(x) for x in candle[1:]]
for candle in trades_to_candles(self.tradesource.trades, period)
if ut_to_dt(candle[0]) < start]
else:
self.closed_candles = [[int(candle[0])] + [Decimal(x) for x in candle[1:]]
for candle in trades_to_candles(self.tradesource.trades, period)]
# assume the last candle is still active
self.active_candle = self.closed_candles.pop()
# if no candles or trades
else:
if not self.quiet: print 'No candlefile found; no tradefile found; waiting for new trades...'
self.closed_candles = []
self.active_candle = []
self.active_trades = []
self.next_start = None
if self.active_candle: # at least one candle was found
self.next_start = ut_to_dt(self.active_candle[0]) + self.step
# assume last candle is not closed yet (check in update)
self.last_closed_known = False
# get trade data from most recent candle
self.active_trades = [trade for trade in self.tradesource.trades
if trade['timestamp'] >= self.active_candle[0]]
def update(self):
self.new_trades = []
response = self.api.trades({}, self.symbol)
if response:
trades = sorted(response, key=lambda x: int(x['timestamp']))
new_trades = [{
'timestamp': int(t['timestamp']),
'price': Decimal(t['price']),
'amount': Decimal(t['amount'])
} for t in trades
if t['timestamp'] > self.last_trade()['timestamp']
and t['exchange'] == self.exchange]
if new_trades:
self.new_trades = new_trades
# print each new trade, and add it to the
# trade file if record_trades==True
for trade in new_trades:
if not self.quiet:
print "{} {} {} {} {} {}".format(
ut_to_dt(trade['timestamp']), self.exchange,
trade['price'], self.alt, trade['amount'],
self.base)
self.trades.append({
'timestamp': int(trade['timestamp']),
'price': Decimal(trade['price']),
'amount': Decimal(trade['amount'])
})
self.price = self.trades[-1]['price']
# write new trades to tradefile
if self.record_trades:
tradefile = TRADES + '{}_{}_{}'.format(
self.exchange, self.base, self.alt)
if not os.path.exists(TRADES):
build_data_directories()
with open(tradefile, 'a') as writefile:
writer = csv.writer(writefile, delimiter=',')
writer.writerow([
trade['timestamp'], trade['price'],
trade['amount']
])
return self.new_trades
def update(self):
self.new_trades = []
response = self.api.trades({}, self.symbol)
if response:
trades = sorted(response, key=lambda x: int(x['timestamp']))
new_trades = [{'timestamp': int(t['timestamp']),
'price': Decimal(t['price']),
'amount': Decimal(t['amount'])}
for t in trades
if t['timestamp'] > self.last_trade()['timestamp']
and t['exchange'] == self.exchange]
if new_trades:
self.new_trades = new_trades
# print each new trade, and add it to the
# trade file if record_trades==True
for trade in new_trades:
if not self.quiet:
print "{} {} {} {} {} {}".format(
ut_to_dt(trade['timestamp']), self.exchange,
trade['price'], self.alt, trade['amount'],
self.base)
self.trades.append({'timestamp': int(trade['timestamp']),
'price': Decimal(trade['price']),
'amount': Decimal(trade['amount'])})
self.price = self.trades[-1]['price']
# write new trades to tradefile
if self.record_trades:
tradefile = TRADES+'{}_{}_{}'.format(
self.exchange, self.base, self.alt)
if not os.path.exists(TRADES):
build_data_directories()
with open(tradefile, 'a') as writefile:
writer = csv.writer(writefile, delimiter=',')
writer.writerow([trade['timestamp'],
trade['price'], trade['amount']])
return self.new_trades