def write_to_parquet(file, batches, base, quote, append=False):
"""
Writes a batch of candles data to a parquet file.
"""
df = pd.concat(batches, ignore_index=True)
df = pp.quick_clean(df)
if append:
pp.append_raw_to_parquet(df, file, False)
else:
pp.write_raw_to_parquet(df, file, False)
return len(df.index)
def all_candles_to_csv(base, quote, interval='1m', with_parquet=False):
"""Collect a list of candlestick batches with all candlesticks of a trading pair,
concat into a dataframe and write it to CSV.
"""
# see if there is any data saved on disk already
try:
batches = [pd.read_csv(f'data/{base}-{quote}_interval-{interval}.csv')]
last_timestamp = batches[-1]['open_time'].max()
except FileNotFoundError:
batches = [pd.DataFrame([], columns=LABELS)]
last_timestamp = 0
old_lines = len(batches[-1].index)
# gather all candlesticks available, starting from the last timestamp loaded from disk or 0
# stop if the timestamp that comes back from the api is the same as the last one
previous_timestamp = None
while previous_timestamp != last_timestamp:
# stop if we reached data from today
if date.fromtimestamp(last_timestamp / 1000) >= date.today():
break
previous_timestamp = last_timestamp
new_batch = get_batch(symbol=base + quote,
interval=interval,
start_time=last_timestamp + 1)
# requesting candles from the future returns empty
# also stop in case response code was not 200
if new_batch.empty:
break
last_timestamp = new_batch['open_time'].max()
# sometimes no new trades took place yet on date.today();
# in this case the batch is nothing new
if previous_timestamp == last_timestamp:
break
batches.append(new_batch)
last_datetime = datetime.fromtimestamp(last_timestamp / 1000)
covering_spaces = 20 * ' '
print(datetime.now(),
base,
quote,
interval,
str(last_datetime) + covering_spaces,
end='\r',
flush=True)
df = pd.concat(batches, ignore_index=True)
df = pp.quick_clean(df)
if with_parquet:
# write clean version of csv to parquet
parquet_name = f'{base}-{quote}.parquet'
full_path = f'compressed/{parquet_name}'
pp.write_raw_to_parquet(df, full_path)
METADATA['data'].append({
'description':
f'All trade history for the pair {base} and {quote} at {interval} intervals. Counts {df.index.size} records.',
'name': parquet_name,
'totalBytes': os.stat(full_path).st_size,
'columns': []
})
# in the case that new data was gathered write it to disk
if len(batches) > 1:
df.to_csv(f'data/{base}-{quote}_interval-{interval}.csv', index=False)
return len(df.index) - old_lines
return 0