limit = 20
ticks = 0
save_period = 1000
path = 'E:/Projects/market-analysis-system/data/crypto/'
data = dict(zip(symbols, [dict({'data':[]}) for i in symbols]))
while True:
try:
start_time = time.time()
for symbol in symbols:
candles = pd.DataFrame(api.candlesticks(symbol=symbol, interval=period, limit=limit), dtype=np.float)
tickers = pd.DataFrame(api.tickers(symbol=symbol, limit=limit))
trades = pd.DataFrame(api.aggr_trades(symbol=symbol, limit=limit), dtype=np.float)
# data[symbol]['candles'] = np.column_stack((candles.values[:, 1:6], # o,h,l,c,v
# candles.values[:, 7:11])) # qav, nt, bv, qv
# data[symbol]['tickers'] = np.column_stack(([np.array([x[0:2] for x in tickers['bids'].values], dtype=np.float),
# np.array([x[0:2] for x in tickers['asks'].values], dtype=np.float)]))
# data[symbol]['trades'] = trades[['p', 'q']].values
data[symbol]['data'] = np.append(data[symbol]['data'], np.column_stack((np.column_stack((candles.values[:, 1:6], # o,h,l,c,v
candles.values[:, 7:11])), # qav, nt, bv, qv
np.column_stack(([np.array([x[0:2] for x in tickers['bids'].values], dtype=np.float),
np.array([x[0:2] for x in tickers['asks'].values], dtype=np.float)])),
trades[['p', 'q']].values))).reshape(len(data[symbol]['data'])+1, limit*15)
if ticks % save_period == 0:
for symbol in symbols:
fname = path + symbol + '/' + str(round(time.time())) + '.csv'
np.savetxt(fname, data[symbol]['data'], delimiter=';', fmt='%.8f')
ticks = 0
save_period = 1000
path = 'd:/mas/'
data = dict(zip(symbols, [dict({'data': []}) for i in symbols]))
while True:
try:
start_time = time.time()
for symbol in symbols:
candles = pd.DataFrame(api.candlesticks(symbol=symbol,
interval=period,
limit=limit),
dtype=np.float)
tickers = pd.DataFrame(api.tickers(symbol=symbol, limit=limit))
trades = pd.DataFrame(api.aggr_trades(symbol=symbol, limit=limit),
dtype=np.float)
# data[symbol]['candles'] = np.column_stack((candles.values[:, 1:6], # o,h,l,c,v
# candles.values[:, 7:11])) # qav, nt, bv, qv
# data[symbol]['tickers'] = np.column_stack(([np.array([x[0:2] for x in tickers['bids'].values], dtype=np.float),
# np.array([x[0:2] for x in tickers['asks'].values], dtype=np.float)]))
# data[symbol]['trades'] = trades[['p', 'q']].values
data[symbol]['data'] = np.append(
data[symbol]['data'],
np.column_stack((
np.column_stack((
candles.values[:, 1:6], # o,h,l,c,v
candles.values[:, 7:11])), # qav, nt, bv, qv
np.column_stack(([
np.array([x[0:2] for x in tickers['bids'].values],
dtype=np.float),