python-binance/examples/save_historical_data.py at develop · SoniCoder/python-binance · GitHub

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import time

import dateparser

import pytz

import json

from datetime import datetime

from dateutil.relativedelta import relativedelta

from binance.client import Client

def date_to_milliseconds(date_str):

"""Convert UTC date to milliseconds

If using offset strings add "UTC" to date string e.g. "now UTC", "11 hours ago UTC"

See dateparse docs for formats http://dateparser.readthedocs.io/en/latest/

:param date_str: date in readable format, i.e. "January 01, 2018", "11 hours ago UTC", "now UTC"

:type date_str: str

"""

# get epoch value in UTC

epoch = datetime.utcfromtimestamp(0).replace(tzinfo=pytz.utc)

# parse our date string

d = dateparser.parse(date_str)

# if the date is not timezone aware apply UTC timezone

if d.tzinfo is None or d.tzinfo.utcoffset(d) is None:

d = d.replace(tzinfo=pytz.utc)

# return the difference in time

return int((d - epoch).total_seconds() * 1000.0)

def interval_to_milliseconds(interval):

"""Convert a Binance interval string to milliseconds

:param interval: Binance interval string 1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w

:type interval: str

:return:

None if unit not one of m, h, d or w

None if string not in correct format

int value of interval in milliseconds

"""

ms = None

seconds_per_unit = {

"m": 60,

"h": 60 * 60,

"d": 24 * 60 * 60,

"w": 7 * 24 * 60 * 60

}

unit = interval[-1]

if unit in seconds_per_unit:

try:

ms = int(interval[:-1]) * seconds_per_unit[unit] * 1000

except ValueError:

pass

return ms

def increment_month(origin_ts):

"""Increment a given timestamp by one month

:param origin_ts: original timestamp, e.g.: 1501545600000, 1504224000000, ...

:type origin_ts: int

:return:

Timestamp incremented by one month from a given timestamp

"""

d = datetime.fromtimestamp(origin_ts/1000) + relativedelta(months=1)

# if the date is not timezone aware apply UTC timezone

if d.tzinfo is None or d.tzinfo.utcoffset(d) is None:

d = d.replace(tzinfo=pytz.utc)

return int(datetime.timestamp(d))

def get_historical_klines(symbol, interval, start_str, end_str=None):

"""Get Historical Klines from Binance

See dateparse docs for valid start and end string formats http://dateparser.readthedocs.io/en/latest/

If using offset strings for dates add "UTC" to date string e.g. "now UTC", "11 hours ago UTC"

:param symbol: Name of symbol pair e.g BNBBTC

:type symbol: str

:param interval: Biannce Kline interval

:type interval: str

:param start_str: Start date string in UTC format

:type start_str: str

:param end_str: optional - end date string in UTC format

:type end_str: str

:return: list of OHLCV values

"""

# create the Binance client, no need for api key

client = Client("", "")

# init our list

output_data = []

# setup the max limit

limit = 500

# convert interval to useful value in seconds

timeframe = interval_to_milliseconds(interval)

# convert our date strings to milliseconds

start_ts = date_to_milliseconds(start_str)

# if an end time was passed convert it

end_ts = None

if end_str:

end_ts = date_to_milliseconds(end_str)

idx = 0

# it can be difficult to know when a symbol was listed on Binance so allow start time to be before list date

symbol_existed = False

while True:

# fetch the klines from start_ts up to max 500 entries or the end_ts if set

temp_data = client.get_klines(

symbol=symbol,

interval=interval,

limit=limit,

startTime=start_ts,

endTime=end_ts

)

# handle the case where our start date is before the symbol pair listed on Binance

if not symbol_existed and len(temp_data):

symbol_existed = True

if symbol_existed:

# append this loops data to our output data

output_data += temp_data

# update our start timestamp using the last value in the array and add the interval timeframe

if interval == Client.KLINE_INTERVAL_1MONTH:

start_ts = increment_month(temp_data[len(temp_data) - 1][0])

else:

start_ts = temp_data[len(temp_data) - 1][0] + timeframe

else:

# it wasn't listed yet, increment our start date

if interval == Client.KLINE_INTERVAL_1MONTH:

start_ts = increment_month(start_ts)

else:

start_ts += timeframe

idx += 1

# check if we received less than the required limit and exit the loop

if len(temp_data) < limit:

# exit the while loop

break

# sleep after every 3rd call to be kind to the API

if idx % 3 == 0:

time.sleep(1)

return output_data

symbol = "ETHBTC"

start = "1 Dec, 2017"

end = "1 Jan, 2018"

interval = Client.KLINE_INTERVAL_30MINUTE

klines = get_historical_klines(symbol, interval, start, end)

# open a file with filename including symbol, interval and start and end converted to milliseconds

with open(

"Binance_{}_{}_{}-{}.json".format(

symbol,

interval,

date_to_milliseconds(start),

date_to_milliseconds(end)

'w' # set file write mode

) as f:

f.write(json.dumps(klines))

python-binance/examples/save_historical_data.py at develop · SoniCoder/python-binance · GitHub

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