First draft of async get_trade methods

freqtrade/exchange/exchange.py

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