获取交易所数据-BINANCE

可导入品种类型：Oanda、A股、商品期货、OKEX、binance

Install

vnpy_fxdayu: https://github.com/xingetouzi/vnpy_fxdayu

Mongodb: https://www.mongodb.com/download-center#community

安装说明: https://github.com/xingetouzi/vnpy_fxdayu/wiki/Windows环境安装

建议安装robomongo作为可视化数据库管理

导入模块(request、datetime、pandas、json)

import pandas as pd
from datetime import datetime,timedelta
import requests
import json

# Binance
def getCandles(symbol, interval, limit=0, startTime=None, endTime=None):
    url = 'https://www.binance.co/api/v1/klines?'
    params = {
            'symbol': symbol,
            'interval': interval
        }
    if limit:
        params['limit'] = limit
    if startTime:
        params['startTime'] = int(startTime.timestamp()*1000)
    if endTime:
        params['endTime'] = int(endTime.timestamp()*1000)
    r = requests.get(url, headers={
                'Content-Type': 'application/x-www-form-urlencoded',
                'Accept': 'application/json'
            }, params = params,timeout=10)
    text = json.loads(r.content)
    df = pd.DataFrame(text, columns=[
            "opentime", "open", "high", "low", "close", "volume","closetime","Quote","trades","buybase","buyquote","ignore"])
    df["datetime"] = df["opentime"].map(lambda x: datetime.fromtimestamp(x / 1000).strftime("%Y%m%d %H:%M:%S"))
    return df
# interval available: 1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w, 1M

symbol = 'EOSUSDT'
EXCHANGE = "binance"
def vt_symbol(symbol):
    return "%s:%s" % (symbol, EXCHANGE)
def write(collection, data):
    for index, row in data.iterrows():
        bar = {}
        bar['open'] = float(row.open)
        bar['close'] = float(row.close)
        bar['high'] = float(row.high)
        bar['low'] = float(row.low)
        bar['volume'] = float(row.volume)
        bar['symbol'] = symbol
        bar['exchange'] = EXCHANGE
        bar['vtSymbol'] = vt_symbol(symbol)
        bar['openInterest'] = 0
        bar['datetime'] = datetime.strptime(row.datetime, "%Y%m%d %H:%M:%S")
        bar['date'] = bar['datetime'].date().strftime('%Y%m%d')
        bar['time'] = bar['datetime'].time().strftime('%H:%M:%S')
        flt = {'datetime': bar['datetime']}
        collection.update_one(flt, {'$set':bar}, upsert=True)
from datetime import timedelta
def iter_dates(start, end):
    start = start.replace(second=0, microsecond=0)
    while start < end:
        _next = start + timedelta(hours=12)
        yield start, _next - timedelta(seconds=1)
        start = _next

import pymongo
client = pymongo.MongoClient('localhost', 27017)
collection = client['VnTrader_1Min_Db'][vt_symbol(symbol)]
collection.create_index([('datetime', pymongo.ASCENDING)], unique=True)
for s, e in iter_dates(datetime(2018, 10, 1), datetime(2018, 11, 29)):
    data = getCandles(symbol,'1m' , 1000,startTime=s, endTime=e)
    write(collection, data)
    print(symbol, s, e, data.shape)