First draft of async get_trade methods
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Matthias
parent
26b3148904
commit
77c367ad1d
@ -745,6 +745,146 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(f'Could not fetch ticker data. Msg: {e}') from e
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@retrier_async
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async def _async_fetch_trades(self, pair: str,
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since: Optional[int] = None,
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params: Optional[dict] = None) -> List[Dict]:
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"""
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Asyncronously gets trade history using fetch_trades.
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:param pair: Pair to fetch trade data for
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:param since: Since as integer timestamp in milliseconds
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returns tuple: (pair, ticker_interval, ohlcv_list)
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"""
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if not self.exchange_has("fetchTrades"):
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# TODO: Maybe don't stop the bot ... ?
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raise OperationalException("This exchange does not suport downloading Trades.")
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try:
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# fetch trades asynchronously
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if params:
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logger.debug("Fetching trades for pair %s, params: %s ", pair, params)
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trades = await self._api_async.fetch_trades(pair, params=params, limit=1000)
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else:
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logger.debug(
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"Fetching trades for pair %s, since %s %s...",
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pair, since,
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'(' + arrow.get(since // 1000).isoformat() + ') ' if since is not None else ''
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)
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trades = await self._api_async.fetch_trades(pair, since=since, limit=1000)
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return trades
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except ccxt.NotSupported as e:
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raise OperationalException(
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f'Exchange {self._api.name} does not support fetching historical trade data.'
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f'Message: {e}') from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. '
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f'Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e
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async def _async_get_trade_history_id(self, pair: str,
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since: Optional[int] = None,
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until: Optional[int] = None) -> Tuple[str, List[Dict]]:
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"""
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Asyncronously gets trade history using fetch_trades
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use this when exchange doesn't use time-based pagination (e.g. Kraken)
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:param pair: Pair to fetch trade data for
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:param since: Since as integer timestamp in milliseconds
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:param until: Until as integer timestamp in milliseconds
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returns tuple: (pair, ticker_interval, ohlcv_list)
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"""
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try:
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if self._trades_pagination == 'time':
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raise OperationalException(f"Wrong method called to get trades for {self.name}")
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trades: List[Dict] = []
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# Fetch first elements using timebased method to get an ID to paginate on
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# Depending on the Exchange, this can introduce a drift at the start of the interval
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# of up to an hour.
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# Binance returns the "last 1000" candles within a 1h time interval
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# - so we will miss the first candles.
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t = await self._async_fetch_trades(pair, since=since)
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from_id = t[-1]['id']
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trades.extend(t)
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while True:
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t = await self._async_fetch_trades(pair,
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params={self._trades_pagination_arg: from_id})
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if len(t):
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from_id = t[-1]['id']
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# TODO: eliminate duplicates (first trade = last from previous)
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trades.extend(t)
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# Reached the end of the defined-download period
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if until and t[-1]['timestamp'] > until:
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print(f"Reached {t[-1]['timestamp']} > {until}")
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break
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else:
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break
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return (pair, trades)
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except ccxt.NotSupported as e:
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raise OperationalException(
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f'Exchange {self._api.name} does not support fetching historical trade data.'
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f'Message: {e}') from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. '
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f'Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e
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async def _async_get_trade_history(self, pair: str,
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since: Optional[int] = None,
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until: Optional[int] = None) -> Tuple[str, List]:
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"""
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Asyncronously gets trade history using fetch_trades.
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:param pair: Pair to fetch trade data for
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:param since: Since as integer timestamp in milliseconds
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:param until: Until as integer timestamp in milliseconds
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returns tuple: (pair, ticker_interval, ohlcv_list)
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"""
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if not self.exchange_has("fetchTrades"):
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# TODO: Maybe don't completey stop the bot ... ?
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raise OperationalException("This exchange does not suport downloading Trades.")
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try:
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if self._trades_pagination != 'time':
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return await self._async_get_trade_history_id(pair, since, until)
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trades: List[Dict] = []
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while True:
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t = await self._async_fetch_trades(pair, since=since)
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if len(t):
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since = t[-1]['timestamp']
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trades.extend(t)
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# Reached the end of the defined-download period
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if until and t[-1]['timestamp'] > until:
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break
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else:
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break
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return (pair, trades)
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except ccxt.NotSupported as e:
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raise OperationalException(
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f'Exchange {self._api.name} does not support fetching historical trade data.'
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f'Message: {e}') from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. '
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f'Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e
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def get_historic_trades(self, pair: str,
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since: Optional[int] = None,
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until: Optional[int] = None) -> List:
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"""
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Gets candle history using asyncio and returns the list of candles.
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Handles all async doing.
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Async over one pair, assuming we get `_ohlcv_candle_limit` candles per call.
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:param pair: Pair to download
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:param ticker_interval: Interval to get
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:param since_ms: Timestamp in milliseconds to get history from
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:returns List of tickers
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"""
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return asyncio.get_event_loop().run_until_complete(
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self._async_get_trade_history(pair=pair, since=since, until=until))
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@retrier
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def cancel_order(self, order_id: str, pair: str) -> None:
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if self._config['dry_run']:
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