def request(self, url=None, method='get', param=None, path_fields=None):
security_item = param['security_item']
start_timestamp = param['start_timestamp']
size = param['size']
ccxt_level = param['ccxt_level']
level = param['level']
ccxt_exchange = CCXTAccount.get_ccxt_exchange(security_item.exchange)
if ccxt_exchange.has['fetchOHLCV']:
limit = CCXTAccount.get_kdata_limit(security_item.exchange)
limit = min(size, limit)
kdata_list = []
try:
if CCXTAccount.exchange_conf[
security_item.exchange]['support_since']:
kdatas = ccxt_exchange.fetch_ohlcv(security_item.code,
timeframe=ccxt_level,
since=start_timestamp)
else:
kdatas = ccxt_exchange.fetch_ohlcv(security_item.code,
timeframe=ccxt_level,
limit=limit)
# always ignore the latest one,because it's not finished
for kdata in kdatas[0:-1]:
current_timestamp = kdata[0]
if level == TradingLevel.LEVEL_1DAY:
current_timestamp = to_time_str(current_timestamp)
kdata_json = {
'timestamp': to_pd_timestamp(current_timestamp),
'open': kdata[1],
'high': kdata[2],
'low': kdata[3],
'close': kdata[4],
'volume': kdata[5],
'name': security_item.name,
'provider': 'ccxt',
'level': level.value
}
kdata_list.append(kdata_json)
return kdata_list
except Exception as e:
logger.exception("record_kdata for security:{} failed".format(
security_item.id))
else:
logger.warning("exchange:{} not support fetchOHLCV".format(
security_item.exchange))
def record(self, entity, start, end, size, timestamps):
if self.start_timestamp:
start = max(self.start_timestamp, to_pd_timestamp(start))
start_timestamp = to_time_str(start)
ccxt_exchange = CCXTAccount.get_ccxt_exchange(entity.exchange)
if ccxt_exchange.has['fetchOHLCV']:
limit = CCXTAccount.get_kdata_limit(entity.exchange)
limit = min(size, limit)
kdata_list = []
if CCXTAccount.exchange_conf[entity.exchange]['support_since']:
kdatas = ccxt_exchange.fetch_ohlcv(
entity.code,
timeframe=self.ccxt_trading_level,
since=start_timestamp)
else:
kdatas = ccxt_exchange.fetch_ohlcv(
entity.code,
timeframe=self.ccxt_trading_level,
limit=limit)
# always ignore the latest one,because it's not finished
for kdata in kdatas[0:-1]:
current_timestamp = kdata[0]
if self.level == IntervalLevel.LEVEL_1DAY:
current_timestamp = to_time_str(current_timestamp)
kdata_json = {
'timestamp': to_pd_timestamp(current_timestamp),
'open': kdata[1],
'high': kdata[2],
'low': kdata[3],
'close': kdata[4],
'volume': kdata[5],
'name': entity.name,
'provider': 'ccxt',
'level': self.level.value
}
kdata_list.append(kdata_json)
return kdata_list
else:
self.logger.warning("exchange:{} not support fetchOHLCV".format(
entity.exchange))
