fixed coinbase advanced trade missing candles issue

whittlem · Aug 16, 2023 · 96dad6a · 96dad6a
1 parent 83fb152
commit 96dad6a
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Showing 3 changed files with 20 additions and 6 deletions.
diff --git a/.github/workflows/unit-tests.yml b/.github/workflows/unit-tests.yml
@@ -17,10 +17,10 @@ jobs:
 
     steps:
     - uses: actions/checkout@v2
-    - name: Set up Python 3.9
+    - name: Set up Python 3.11
       uses: actions/setup-python@v2
       with:
-        python-version: 3.9
+        python-version: 3.11
     - name: Find typos with codespell
       uses: codespell-project/actions-codespell@master
       with:

diff --git a/examples/script-coinbase.py b/examples/script-coinbase.py
@@ -10,11 +10,9 @@
 app1 = PyCryptoBot(exchange="coinbase")
 model1 = CBAuthAPI(app1.api_key, app1.api_secret, app1.api_url, app=app1)
 
-"""
 app2 = PyCryptoBot(exchange="coinbasepro")
 model2 = CAuthAPI(app2.api_key, app2.api_secret, app2.api_passphrase, app2.api_url, app=app2)
 model3 = CPublicAPI(app=app2)
-"""
 
 """ COINBASE"""
 # df = model1.get_accounts()
@@ -74,8 +72,8 @@
 print(df)
 
 """ COINBASE PRO"""
-# df = model3.get_historical_data("ADA-GBP", Granularity.ONE_HOUR)  # Coinbase Pro has this in the public API, Advanced Trade has this in the auth API
-# print(df)
+df = model3.get_historical_data("ADA-GBP", Granularity.ONE_HOUR)  # Coinbase Pro has this in the public API, Advanced Trade has this in the auth API
+print(df)
 
 
 """ COINBASE"""

diff --git a/models/exchange/coinbase/api.py b/models/exchange/coinbase/api.py
@@ -740,6 +740,22 @@ def get_historical_data(
             df["close"] = df["close"].astype(float)
             df["volume"] = df["volume"].astype(float)
 
+            # create a full range of requested interval
+            full_range = pd.date_range(start=df.index[0], end=df.index[-1], freq=freq)
+
+            # re-index the dataframe using the full range
+            df = df.reindex(full_range)
+
+            # fill missing values and forward-fill the price columns and set volume to 0 for missing rows.
+            df["open"].fillna(method="ffill", inplace=True)
+            df["high"].fillna(method="ffill", inplace=True)
+            df["low"].fillna(method="ffill", inplace=True)
+            df["close"].fillna(method="ffill", inplace=True)
+            df["volume"].fillna(0, inplace=True)
+            df["market"] = market
+            df["granularity"] = granularity.to_integer
+            df["date"] = df.index
+
             # reset pandas dataframe index
             df.reset_index()