def record(self, entity, start, end, size, timestamps):
if size < 20:
size = 20
ccxt_exchange = CCXTAccount.get_ccxt_exchange(entity.exchange)
if ccxt_exchange.has['fetchTrades']:
limit = CCXTAccount.get_tick_limit(entity.exchange)
limit = min(size, limit)
kdata_list = []
trades = ccxt_exchange.fetch_trades(entity.code, limit=limit)
for trade in trades:
kdata_json = {
'name': entity.name,
'provider': 'ccxt',
# 'id': trade['id'],
'level': 'tick',
'order': trade['order'],
'timestamp': to_pd_timestamp(trade['timestamp']),
'price': trade['price'],
'volume': trade['amount'],
'direction': trade['side'],
'order_type': trade['type'],
'turnover': trade['price'] * trade['amount']
}
kdata_list.append(kdata_json)
return kdata_list
else:
self.logger.warning("exchange:{} not support fetchOHLCV".format(entity.exchange))
def record(self, entity, start, end, size, timestamps):
if size < 20:
size = 20
entity = entity
ccxt_exchange = CCXTAccount.get_ccxt_exchange(entity.exchange)
if ccxt_exchange.has['fetchTrades']:
limit = CCXTAccount.get_tick_limit(entity.exchange)
limit = min(size, limit)
kdata_list = []
try:
trades = ccxt_exchange.fetch_trades(entity.code, limit=limit)
# always ignore the latest one,because it's not finished
for trade in trades[0:-1]:
kdata_json = {
'name': entity.name,
'provider': 'ccxt',
# 'id': trade['id'],
'level': 'tick',
'order': trade['order'],
'timestamp': to_pd_timestamp(trade['timestamp']),
'price': trade['price'],
'volume': trade['amount'],
'direction': trade['side'],
'orderType': trade['type'],
'turnover': trade['price'] * trade['amount']
}
kdata_list.append(kdata_json)
return kdata_list
except Exception as e:
logger.exception("record_kdata for security:{} failed".format(
entity.id))
else:
logger.warning("exchange:{} not support fetchOHLCV".format(
entity.exchange))
def request(self, url=None, method='get', param=None, path_fields=None):
security_item = param['security_item']
size = param['size']
ccxt_exchange = CCXTAccount.get_ccxt_exchange(security_item.exchange)
if ccxt_exchange.has['fetchTrades']:
limit = CCXTAccount.get_tick_limit(security_item.exchange)
limit = min(size, limit)
kdata_list = []
try:
trades = ccxt_exchange.fetch_trades(security_item.code,
limit=limit)
# always ignore the latest one,because it's not finished
for trade in trades[0:-1]:
kdata_json = {
'securityId': security_item.id,
'name': security_item.name,
'provider': 'ccxt',
# 'id': trade['id'],
'level': 'tick',
'order': trade['order'],
'timestamp': to_pd_timestamp(trade['timestamp']),
'price': trade['price'],
'volume': trade['amount'],
'direction': trade['side'],
'orderType': trade['type'],
'turnover': trade['price'] * trade['amount']
}
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))
