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[23] Integrate with ccxt

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This commit is contained in:
Gavin.Chan
2018-02-27 14:23:28 +00:00
parent 354d249d8f
commit cc2927ed52
12 changed files with 481 additions and 112 deletions
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notebooks/Candles.ipynb
+40 -42
View File
@@ -2,30 +2,22 @@
"cells": [
{
"cell_type": "code",
"execution_count": 7,
"execution_count": 1,
"metadata": {
"ExecuteTime": {
"end_time": "2018-02-01T03:07:19.370253Z",
"start_time": "2018-02-01T03:07:19.320425Z"
"end_time": "2018-02-25T15:25:54.826490Z",
"start_time": "2018-02-25T15:25:54.202778Z"
}
},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"The autoreload extension is already loaded. To reload it, use:\n",
" %reload_ext autoreload\n"
]
}
],
"outputs": [],
"source": [
"%load_ext autoreload\n",
"%autoreload 2\n",
"from datetime import datetime\n",
"\n",
"import pandas as pd\n",
"\n",
"from libcryptomarket.core import candles, latest_candles, FREQUENCY_TO_SEC_DICT"
"# from libcryptomarket.core import candles, latest_candles, FREQUENCY_TO_SEC_DICT"
]
},
{
@@ -37,11 +29,11 @@
},
{
"cell_type": "code",
"execution_count": 22,
"execution_count": 14,
"metadata": {
"ExecuteTime": {
"end_time": "2018-02-01T11:08:13.573415Z",
"start_time": "2018-02-01T11:08:06.960801Z"
"end_time": "2018-02-27T14:08:40.924686Z",
"start_time": "2018-02-27T14:08:32.436437Z"
},
"scrolled": true
},
@@ -50,20 +42,22 @@
"name": "stdout",
"output_type": "stream",
"text": [
"Running exchange poloniex for instrument BTC_LTC\n",
"Running exchange bitfinex for instrument tBTCUSD\n",
"Running exchange gdax for instrument BTC-USD\n"
"Running exchange <ccxt.poloniex.poloniex object at 0x7f6a1f15d3c8> for instrument LTC/BTC\n",
"Running exchange <ccxt.bitfinex2.bitfinex2 object at 0x7f6a1f15d400> for instrument BTC/USD\n",
"Running exchange <ccxt.gdax.gdax object at 0x7f6a1f151898> for instrument BTC/USD\n"
]
}
],
"source": [
"for source, symbol in [\n",
" (\"poloniex\", \"BTC_LTC\"), \n",
" (\"bitfinex\", \"tBTCUSD\"),\n",
" (\"gdax\", \"BTC-USD\")]:\n",
"import libcryptomarket\n",
"\n",
"for source, symbol, frequency in [\n",
" (libcryptomarket.poloniex(), \"LTC/BTC\", \"1d\"), \n",
" (libcryptomarket.bitfinex2(), \"BTC/USD\", \"1d\"),\n",
" (libcryptomarket.gdax(), \"BTC/USD\", \"1d\")]:\n",
" print(\"Running exchange {} for instrument {}\".format(source, symbol))\n",
" data = candles(source=source, symbol=symbol, \n",
" start_time=pd.Timestamp(\"2017-12-15\"), end_time=pd.Timestamp(\"2017-12-31\"), frequency=\"1d\")\n",
" data = source.fetch_candles(\n",
" symbol=symbol, start_time=pd.Timestamp(\"2017-12-15\"), end_time=pd.Timestamp(\"2017-12-31\"), frequency=frequency)\n",
" assert data[\"start_time\"].iloc[0] == pd.Timestamp(\"2017-12-15\")\n",
" assert data[\"end_time\"].iloc[-1] == pd.Timestamp(\"2017-12-31\")"
]
@@ -77,11 +71,11 @@
},
{
"cell_type": "code",
"execution_count": 24,
"execution_count": 20,
"metadata": {
"ExecuteTime": {
"end_time": "2018-02-01T11:08:52.923410Z",
"start_time": "2018-02-01T11:08:40.223787Z"
"end_time": "2018-02-27T14:12:49.988940Z",
"start_time": "2018-02-27T14:12:33.771357Z"
}
},
"outputs": [
@@ -89,20 +83,22 @@
"name": "stdout",
"output_type": "stream",
"text": [
"Running exchange poloniex for instrument ['BTC_LTC', 'BTC_ETH']\n",
"Running exchange bitfinex for instrument ['tBTCUSD', 'tETHUSD']\n",
"Running exchange gdax for instrument ['BTC-USD', 'ETH-USD']\n"
"Running exchange <ccxt.poloniex.poloniex object at 0x7f6a1f20db70> for instrument ['LTC/BTC', 'ETH/BTC']\n",
"Running exchange <ccxt.bitfinex2.bitfinex2 object at 0x7f6a1f03be10> for instrument ['BTC/USD', 'ETH/USD']\n",
"Running exchange <ccxt.gdax.gdax object at 0x7f6a1efec400> for instrument ['BTC/USD', 'ETH/USD']\n"
]
}
],
"source": [
"import libcryptomarket\n",
"\n",
"for source, symbols in [\n",
" (\"poloniex\", [\"BTC_LTC\", \"BTC_ETH\"]), \n",
" (\"bitfinex\", [\"tBTCUSD\", \"tETHUSD\"]),\n",
" (\"gdax\", [\"BTC-USD\", \"ETH-USD\"])\n",
" (libcryptomarket.poloniex(), [\"LTC/BTC\", \"ETH/BTC\"]), \n",
" (libcryptomarket.bitfinex2(), [\"BTC/USD\", \"ETH/USD\"]),\n",
" (libcryptomarket.gdax(), [\"BTC/USD\", \"ETH/USD\"])\n",
" ]:\n",
" print(\"Running exchange {} for instrument {}\".format(source, symbols))\n",
" data = latest_candles(source=source, symbols=symbols, frequency=\"5m\", frequency_count=1)\n",
" data = source.fetch_latest_candles(source=source, symbols=symbols, frequency=\"5m\", frequency_count=1)\n",
" assert data.shape[0] == 1"
]
},
@@ -115,11 +111,11 @@
},
{
"cell_type": "code",
"execution_count": 35,
"execution_count": 27,
"metadata": {
"ExecuteTime": {
"end_time": "2018-02-05T14:32:57.924368Z",
"start_time": "2018-02-05T14:32:55.837626Z"
"end_time": "2018-02-27T14:16:10.738926Z",
"start_time": "2018-02-27T14:16:06.651033Z"
}
},
"outputs": [
@@ -127,16 +123,18 @@
"name": "stdout",
"output_type": "stream",
"text": [
"Running exchange poloniex for instrument ['USDT_BTC']\n"
"Running exchange <ccxt.poloniex.poloniex object at 0x7f6a1f0d5eb8> for instrument ['BTC/USDT']\n"
]
}
],
"source": [
"import libcryptomarket\n",
"\n",
"for source, symbols in [\n",
" (\"poloniex\", [\"USDT_BTC\", ]), \n",
" (libcryptomarket.poloniex(), [\"BTC/USDT\", ]), \n",
" ]:\n",
" print(\"Running exchange {} for instrument {}\".format(source, symbols))\n",
" data = latest_candles(source=source, symbols=symbols, frequency=\"5m\", frequency_count=1, quote_currency=\"BTC\")\n",
" data = source.fetch_latest_candles(symbols=symbols, frequency=\"5m\", frequency_count=1, quote_currency=\"BTC\")\n",
" assert data.shape[0] == 1"
]
},
notebooks/OrderBook.ipynb
+177
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@@ -0,0 +1,177 @@
{
"cells": [
{
"cell_type": "code",
"execution_count": 1,
"metadata": {
"ExecuteTime": {
"end_time": "2018-02-19T00:53:44.009602Z",
"start_time": "2018-02-19T00:53:43.270385Z"
}
},
"outputs": [],
"source": [
"%load_ext autoreload\n",
"%autoreload 2\n",
"\n",
"import pandas as pd\n",
"\n",
"from libcryptomarket.core import order_book"
]
},
{
"cell_type": "code",
"execution_count": 11,
"metadata": {
"ExecuteTime": {
"end_time": "2018-02-19T01:16:10.084818Z",
"start_time": "2018-02-19T01:16:08.636986Z"
}
},
"outputs": [
{
"data": {
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" 'datetime': '2018-02-19T01:16:10.720Z',\n",
" 'timestamp': 1519002970072}"
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},
"execution_count": 11,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"order_book(source=\"poloniex\", symbol=\"ETH/BTC\")"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
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