[#19] Build candle api

libcryptomarket/core/__init__.py

@@ -3,3 +3,4 @@
 from libcryptomarket.core.historical import historical_ticker
 from libcryptomarket.core.instrument import instruments
 from libcryptomarket.core.order_book import order_book
+from libcryptomarket.core.candle import candles, latest_candles

libcryptomarket/core/candle.py

@@ -0,0 +1,78 @@
+from datetime import datetime, timedelta
+
+import pandas as pd
+import ccxt
+
+
+def candles(source, symbol, start_time, end_time, frequency):
+    """Return candles of a given period and frequency.
+
+    :param source: `str` exchange name.
+    :param symbol: `str` symbol.
+    :param start_time: `datetime` start time.
+    :param end_time: `datetime` end time.
+    :param frequency: `int` frequency in seconds.
+    """
+
+    if source.lower() == 'poloniex':
+        source = getattr(ccxt, source.lower())()
+
+        data = source.public_get_returnchartdata(params={
+            "currencyPair": symbol,
+            "start": start_time.timestamp(),
+            "end": end_time.timestamp(),
+            "period": frequency
+        })
+
+        data = pd.DataFrame(data).rename(columns={
+            'date': 'start_time',
+            'quoteVolume': 'quote_volume',
+            'weightedAverage': 'weighted_average'
+        })
+
+        data.loc[:, 'start_time'] = data['start_time'].apply(
+            pd.Timestamp.fromtimestamp)
+        data['end_time'] = data['start_time'] + pd.DateOffset(
+            seconds=frequency)
+
+        return data
+    else:
+        raise ValueError("Source {} is not implemented".format(
+            source.__class__.__name__))
+
+
+def latest_candles(source, symbols, frequency, frequency_count, end_time=None):
+    """Return the latest candles based on the frequency and its count.
+
+    :param source: `str` exchange name.
+    :param symbols: `list` list of symbols, or `str` symbol name.
+    :param frequency: `int` frequency in seconds.
+    :param frequency: `int` frequency count.
+    :param end_time: `datetime` end time. Default is None which will use
+                     current time.
+    """
+    if isinstance(symbols, str):
+        symbols = [symbols]
+
+    if end_time is None:
+        end_time = datetime.utcnow()
+
+    closest_end_time = pd.Timestamp(end_time).floor(
+        timedelta(seconds=frequency))
+    start_time = closest_end_time - timedelta(
+        seconds=frequency * frequency_count)
+
+    all_data = []
+    for symbol in symbols:
+        data = candles(source=source,
+                       symbol=symbol,
+                       start_time=start_time,
+                       end_time=closest_end_time,
+                       frequency=frequency)
+        data = data[data['end_time'] <= closest_end_time]
+        all_data.append(data.set_index(['start_time', 'end_time']))
+
+    if len(all_data) == 1:
+        return all_data[0]
+    else:
+        return pd.concat(all_data, axis=1, keys=symbols)

setup.py

@@ -12,9 +12,10 @@ with open('HISTORY.rst') as history_file:
     history = history_file.read()
 
 requirements = [
+    'ccxt>=1.10.0',
     'pandas>=0.20.0',
     'requests',
-    'setuptools_scm'
+    'setuptools_scm',
 ]
 
 setup_requirements = [