Method get_historical_data

app/exchange.py:42–112

Get historical OHLCV for a symbol pair Decorators: retry Args: market_pair (str): Contains the symbol pair to operate on i.e. BURST/BTC exchange (str): Contains the exchange to fetch the historical data from. time_unit (str): A string

(self, market_pair, exchange, time_unit, start_date=None, max_periods=100)

    @retry(retry=retry_if_exception_type(ccxt.NetworkError), stop=stop_after_attempt(3))
    def get_historical_data(self, market_pair, exchange, time_unit, start_date=None, max_periods=100):
        """Get historical OHLCV for a symbol pair

        Decorators:
            retry

        Args:
            market_pair (str): Contains the symbol pair to operate on i.e. BURST/BTC
            exchange (str): Contains the exchange to fetch the historical data from.
            time_unit (str): A string specifying the ccxt time unit i.e. 5m or 1d.
            start_date (int, optional): Timestamp in milliseconds.
            max_periods (int, optional): Defaults to 100. Maximum number of time periods
              back to fetch data for.

        Returns:
            list: Contains a list of lists which contain timestamp, open, high, low, close, volume.
        """

        try:
            if time_unit not in self.exchanges[exchange].timeframes:
                raise ValueError(
                    "{} does not support {} timeframe for OHLCV data. Possible values are: {}".format(
                        exchange,
                        time_unit,
                        list(self.exchanges[exchange].timeframes)
                    )
                )
        except AttributeError:
            self.logger.error(
                '%s interface does not support timeframe queries! We are unable to fetch data!',
                exchange
            )
            raise AttributeError(sys.exc_info())

        if not start_date:
            timeframe_regex = re.compile('([0-9]+)([a-zA-Z])')
            timeframe_matches = timeframe_regex.match(time_unit)
            time_quantity = timeframe_matches.group(1)
            time_period = timeframe_matches.group(2)

            timedelta_values = {
                'm': 'minutes',
                'h': 'hours',
                'd': 'days',
                'w': 'weeks',
                'M': 'months',
                'y': 'years'
            }

            timedelta_args = { timedelta_values[time_period]: int(time_quantity) }

            start_date_delta = timedelta(**timedelta_args)

            max_days_date = datetime.now() - (max_periods * start_date_delta)
            start_date = int(max_days_date.replace(tzinfo=timezone.utc).timestamp() * 1000)

        historical_data = self.exchanges[exchange].fetch_ohlcv(
            market_pair,