diff --git a/src/cryptocom/exchange/__init__.py b/src/cryptocom/exchange/__init__.py index a7cc8f7..331eeee 100644 --- a/src/cryptocom/exchange/__init__.py +++ b/src/cryptocom/exchange/__init__.py @@ -16,8 +16,8 @@ OrderStatus, OrderType, Pair, - Period, PrivateTrade, + TimeDelta, Timeframe, Withdrawal, WithdrawalStatus, @@ -35,11 +35,11 @@ "Pair", "instruments", "Instrument", - "Period", + "Timeframe", "Candle", "MarketTrade", "PrivateTrade", - "Timeframe", + "TimeDelta", "Deposit", "Withdrawal", "DepositStatus", diff --git a/src/cryptocom/exchange/api.py b/src/cryptocom/exchange/api.py index 0001063..4dd46a0 100644 --- a/src/cryptocom/exchange/api.py +++ b/src/cryptocom/exchange/api.py @@ -57,6 +57,8 @@ def params_to_str(obj, level): class ApiListenAsyncIterable: + """Listen websocket iterator.""" + def __init__(self, api, ws, channels, sign): self.api = api self.ws = ws @@ -309,12 +311,15 @@ def __init__( if self.capture: self.cache_file.parent.mkdir(exist_ok=True, parents=True) - if self.cache_file.exists(): - self.cache_file.unlink() - self.cache_file.touch() - self.records = {} - else: + # TODO: implement correct overwrite + # if self.cache_file.exists(): + # self.cache_file.unlink() + # self.cache_file.touch() + + if self.cache_file.exists(): self.records = json.loads(self.cache_file.read_text()) + else: + self.records = {} kwargs = {"from_env": capture} if not self.capture: diff --git a/src/cryptocom/exchange/market.py b/src/cryptocom/exchange/market.py index 8449345..e336cd3 100644 --- a/src/cryptocom/exchange/market.py +++ b/src/cryptocom/exchange/market.py @@ -11,7 +11,7 @@ OrderInBook, OrderSide, Pair, - Period, + Timeframe, ) @@ -63,31 +63,65 @@ async def get_orderbook(self, pair: Pair, depth: int = 150) -> OrderBook: async def get_candles( self, pair: Pair, - period: Period, + timeframe: Timeframe, start_ts: int = None, end_ts: int = None, - count: int = 300, + count: int = 1500, + include_all: bool = False, + include_last: bool = False, ) -> List[Candle]: data = [] - while not data: - data = await self.api.get( - "public/get-candlestick", - { - "instrument_name": pair.exchange_name, - "timeframe": period.value, - "start_ts": start_ts, - "end_ts": end_ts, - "count": count, - }, - ) - data = [Candle.from_api(pair, candle) for candle in data] - # print(datetime.datetime.fromtimestamp(next_data[0].time), datetime.datetime.fromtimestamp(next_data[-1].time)) - # if not data or data[-1].time != next_data[-1].time: - # data += next_data - # start_ts = next_data[-1].time - # end_ts = next_data[-1].time + (next_data[-1].time - next_data[-2].time) * count - # next_data = [] - return data + chunk_size = 300 + result = [] + chunk_start_ts = start_ts + chunk_end_ts = end_ts + prev_timestamps = set() + max_count = count if include_last else count + 1 + + while True: + params = { + "instrument_name": pair.exchange_name, + "timeframe": timeframe.value, + "count": chunk_size, + } + if chunk_start_ts and chunk_end_ts: + params.update( + { + "start_ts": int(chunk_start_ts * 1000), + "end_ts": int(chunk_end_ts * 1000), + } + ) + data = await self.api.get("public/get-candlestick", params) + + candles = (Candle.from_api(pair, candle) for candle in data) + candles = [ + candle + for candle in candles + if candle.time not in prev_timestamps + ] + prev_timestamps = set(candle.time for candle in candles) + result = candles + result + + if ( + not data + or len(data) < chunk_size + or (len(result) >= max_count and not include_all) + ): + break + + # NOTE: [start1, end1], [start0, end0] + size = candles[1].time - candles[0].time + if not end_ts: + chunk_end_ts = candles[0].time + chunk_start_ts = candles[0].time - size * chunk_size + + if not include_last: + del result[-1] + + if not include_all: + result = result[:count] + + return result async def get_trades(self, pair: Pair) -> List[MarketTrade]: """Get last 200 trades in a specified market.""" @@ -119,13 +153,14 @@ async def get_price(self, pair: Pair) -> float: return (await self.get_ticker(pair)).trade_price async def listen_candles( - self, period: Period, *pairs: List[Pair] + self, timeframe: Timeframe, *pairs: List[Pair] ) -> AsyncGenerator[Candle, None]: - if not isinstance(period, Period): - raise ValueError(f"Provide Period enum not {period}") + if not isinstance(timeframe, Timeframe): + raise ValueError(f"Provide Timeframe enum not {timeframe}") channels = [ - f"candlestick.{period.value}.{pair.exchange_name}" for pair in pairs + f"candlestick.{timeframe.value}.{pair.exchange_name}" + for pair in pairs ] async for data in self.api.listen("market", *channels): diff --git a/src/cryptocom/exchange/structs.py b/src/cryptocom/exchange/structs.py index c14be5b..f82be2b 100644 --- a/src/cryptocom/exchange/structs.py +++ b/src/cryptocom/exchange/structs.py @@ -118,19 +118,19 @@ def from_api(cls, pair: Pair, data: Dict): ) -class Period(str, Enum): - MINS = "1m" - MINS_5 = "5m" - MINS_15 = "15m" - MINS_30 = "30m" - HOURS = "1h" - HOURS_2 = "2h" - HOURS_4 = "4h" - HOURS_12 = "12h" +class Timeframe(str, Enum): + MIN = "1m" + MIN_5 = "5m" + MIN_15 = "15m" + MIN_30 = "30m" + HOUR = "1h" + HOUR_2 = "2h" + HOUR_4 = "4h" + HOUR_12 = "12h" DAY = "1D" WEEK = "7D" WEEK_2 = "14D" - MONTH_1 = "1M" + MONTH = "1M" @dataclass @@ -531,11 +531,11 @@ def create_from_api(cls, data: Dict) -> "Withdrawal": return cls(**params) -class Timeframe(IntEnum): +class TimeDelta(IntEnum): NOW = 0 MINUTES = 60 - HOURS = 60 * MINUTES - DAYS = 24 * HOURS + HOUR = 60 * MINUTES + DAYS = 24 * HOUR WEEKS = 7 * DAYS MONTHS = 30 * DAYS diff --git a/tests/captured/test_market/test_get_candles.json b/tests/captured/test_market/test_get_candles.json index d21cdcf..1a3b547 100644 --- a/tests/captured/test_market/test_get_candles.json +++ b/tests/captured/test_market/test_get_candles.json @@ -1,2411 +1,14795 @@ { "get_public/get-candlestick": { - "count=300,end_ts=None,instrument_name=CRO_USDT,start_ts=None,timeframe=1m": [ + "count=300,instrument_name=CLOUD_USD,timeframe=15m": [ 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cache_file=cache_file, capture=capture, divide_delay=10 + cache_file=cache_file, + capture=capture, + divide_delay=10, ) yield provider provider.save() diff --git a/tests/test_api.py b/tests/test_api.py index 2241c9f..24cc344 100644 --- a/tests/test_api.py +++ b/tests/test_api.py @@ -7,11 +7,11 @@ import cryptocom.exchange as cro -def test_timeframe(): - days_5 = cro.Timeframe.DAYS * 5 - result = cro.Timeframe.resolve(days_5) +def test_timedelta(): + days_5 = cro.TimeDelta.DAYS * 5 + result = cro.TimeDelta.resolve(days_5) assert result - int(time.time() * 1000) == days_5 * 1000 - assert cro.Timeframe.resolve(cro.Timeframe.NOW) == int(time.time() * 1000) + assert cro.TimeDelta.resolve(cro.TimeDelta.NOW) == int(time.time() * 1000) def test_api_args(monkeypatch): diff --git a/tests/test_market.py b/tests/test_market.py index c1143e0..70954cf 100644 --- a/tests/test_market.py +++ b/tests/test_market.py @@ -50,19 +50,26 @@ async def test_get_orderbook(exchange: cro.Exchange): @pytest.mark.asyncio -async def test_get_candles(exchange: cro.Exchange): +@pytest.mark.parametrize( + "include_all,timeframe,count,candles_len", + [ + (False, cro.Timeframe.MIN_15, 50, 50), + (True, cro.Timeframe.DAY, 0, 40), + ], +) +async def test_get_candles( + exchange: cro.Exchange, include_all, timeframe, count, candles_len +): candles = await exchange.get_candles( - cro.pairs.CRO_USDT, - cro.Period.MINS, - # TODO: works but should load all data not just last 300 - # start_ts=Timeframe.resolve(-Timeframe.DAYS * 20), - # end_ts=Timeframe.resolve(-Timeframe.DAYS * 15), + cro.pairs.CLOUD_USD, + timeframe, + include_all=include_all, ) for candle in candles: - assert candle.pair == cro.pairs.CRO_USDT + assert candle.pair == cro.pairs.CLOUD_USD assert candle.high >= candle.low - assert candle.time - assert len(candles) == 300 + + assert len(candles) >= candles_len, len(candles) @pytest.mark.asyncio @@ -76,7 +83,7 @@ async def test_listen_candles(exchange: cro.Exchange): ) default_count = 1 - async for candle in exchange.listen_candles(cro.Period.MINS, *pairs): + async for candle in exchange.listen_candles(cro.Timeframe.MIN, *pairs): candles.setdefault(candle.pair, 0) candles[candle.pair] += 1 if all(v >= default_count for v in candles.values()) and len( diff --git a/tests/test_private.py b/tests/test_private.py index 59efa38..3df4a45 100644 --- a/tests/test_private.py +++ b/tests/test_private.py @@ -67,8 +67,8 @@ async def test_deposit_withdrawal_history( transactions = await account.get_deposit_history( cro.instruments.USD, - start_ts=time.time() - cro.Timeframe.DAYS * 5, - end_ts=cro.Timeframe.resolve(cro.Timeframe.NOW), + start_ts=time.time() - cro.TimeDelta.DAYS * 5, + end_ts=cro.TimeDelta.resolve(cro.TimeDelta.NOW), ) assert not transactions