commit

docs/ccxt/wiki/examples/py/binance-fetch-ohlcv-to-csv.md

@@ -0,0 +1,66 @@
+- [Binance Fetch Ohlcv To Csv](./examples/py/)
+
+
+ ```python
+ # -*- coding: utf-8 -*-
+
+import os
+import sys
+import csv
+
+import ccxt  # noqa: E402
+
+def retry_fetch_ohlcv(exchange, max_retries, symbol, timeframe, since, limit):
+    num_retries = 0
+    try:
+        num_retries += 1
+        ohlcv = exchange.fetch_ohlcv(symbol, timeframe, since, limit)
+        # print('Fetched', len(ohlcv), symbol, 'candles from', exchange.iso8601 (ohlcv[0][0]), 'to', exchange.iso8601 (ohlcv[-1][0]))
+        return ohlcv
+    except Exception:
+        if num_retries > max_retries:
+            raise  # Exception('Failed to fetch', timeframe, symbol, 'OHLCV in', max_retries, 'attempts')
+
+
+def scrape_ohlcv(exchange, max_retries, symbol, timeframe, since, limit):
+    timeframe_duration_in_seconds = exchange.parse_timeframe(timeframe)
+    timeframe_duration_in_ms = timeframe_duration_in_seconds * 1000
+    timedelta = limit * timeframe_duration_in_ms
+    now = exchange.milliseconds()
+    all_ohlcv = []
+    fetch_since = since
+    while fetch_since < now:
+        ohlcv = retry_fetch_ohlcv(exchange, max_retries, symbol, timeframe, fetch_since, limit)
+        fetch_since = (ohlcv[-1][0] + 1) if len(ohlcv) else (fetch_since + timedelta)
+        all_ohlcv = all_ohlcv + ohlcv
+        if len(all_ohlcv):
+            print(len(all_ohlcv), 'candles in total from', exchange.iso8601(all_ohlcv[0][0]), 'to', exchange.iso8601(all_ohlcv[-1][0]))
+        else:
+            print(len(all_ohlcv), 'candles in total from', exchange.iso8601(fetch_since))
+    return exchange.filter_by_since_limit(all_ohlcv, since, None, key=0)
+
+
+def write_to_csv(filename, data):
+    with open(filename, mode='w') as output_file:
+        csv_writer = csv.writer(output_file, delimiter=',', quotechar='"', quoting=csv.QUOTE_MINIMAL)
+        csv_writer.writerows(data)
+
+
+def scrape_candles_to_csv(filename, exchange_id, max_retries, symbol, timeframe, since, limit):
+    # instantiate the exchange by id
+    exchange = getattr(ccxt, exchange_id)()
+    # convert since from string to milliseconds integer if needed
+    if isinstance(since, str):
+        since = exchange.parse8601(since)
+    # preload all markets from the exchange
+    exchange.load_markets()
+    # fetch all candles
+    ohlcv = scrape_ohlcv(exchange, max_retries, symbol, timeframe, since, limit)
+    # save them to csv file
+    write_to_csv(filename, ohlcv)
+    print('Saved', len(ohlcv), 'candles from', exchange.iso8601(ohlcv[0][0]), 'to', exchange.iso8601(ohlcv[-1][0]), 'to', filename)
+
+# Binance's BTC/USDT candles start on 2017-08-17
+scrape_candles_to_csv('binance.csv', 'binance', 3, 'BTC/USDT', '1m', '2017-08-17T00:00:00Z', 100)
+ 
+```