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Add binance history client support with datetime use throughout

l1_precision_fix
Tyler Goodlet 2022-04-16 17:48:02 -04:00
parent 79160619bc
commit 2a07005c97
1 changed files with 32 additions and 9 deletions
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41
piker/brokers/binance.py
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@ -19,6 +19,7 @@ Binance backend
""" """
from contextlib import asynccontextmanager as acm from contextlib import asynccontextmanager as acm
from datetime import datetime
from typing import ( from typing import (
Any, Union, Optional, Any, Union, Optional,
AsyncGenerator, Callable, AsyncGenerator, Callable,
@ -221,20 +222,22 @@ class Client:
async def bars( async def bars(
self, self,
symbol: str, symbol: str,
start_time: int = None, start_dt: Optional[datetime] = None,
end_time: int = None, end_dt: Optional[datetime] = None,
limit: int = 1000, # <- max allowed per query limit: int = 1000, # <- max allowed per query
as_np: bool = True, as_np: bool = True,
) -> dict: ) -> dict:
if start_time is None: if end_dt is None:
start_time = binance_timestamp( end_dt = pendulum.now('UTC')
pendulum.now('UTC').start_of('minute').subtract(minutes=limit)
)
if end_time is None: if start_dt is None:
end_time = binance_timestamp(pendulum.now('UTC')) start_dt = end_dt.start_of(
'minute').subtract(minutes=limit)
start_time = binance_timestamp(start_dt)
end_time = binance_timestamp(end_dt)
# https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data # https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data
bars = await self._api( bars = await self._api(
@ -379,7 +382,27 @@ async def open_history_client(
# TODO implement history getter for the new storage layer. # TODO implement history getter for the new storage layer.
async with open_cached_client('binance') as client: async with open_cached_client('binance') as client:
yield client
async def get_ohlc(
end_dt: Optional[datetime] = None,
start_dt: Optional[datetime] = None,
) -> tuple[
np.ndarray,
datetime, # start
datetime, # end
]:
array = await client.bars(
symbol,
start_dt=start_dt,
end_dt=end_dt,
)
start_dt = pendulum.from_timestamp(array[0]['time'])
end_dt = pendulum.from_timestamp(array[-1]['time'])
return array, start_dt, end_dt
yield get_ohlc
async def backfill_bars( async def backfill_bars(