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HistoricalData.py
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# -*- coding: utf-8 -*-
import requests
import json
import time
from random import randint
import pandas as pd
import sys
from datetime import datetime, timedelta
class HistoricalData(object):
"""
This class provides methods for gathering historical price data of a specified
Cryptocurrency between user specified time periods. The class utilises the CoinBase Pro
API to extract historical data, providing a performant method of data extraction.
Please Note that Historical Rate Data may be incomplete as data is not published when no
ticks are available (Coinbase Pro API Documentation).
:param: ticker: a singular Cryptocurrency ticker. (str)
:param: granularity: the price data frequency in seconds, one of: 60, 300, 900, 3600, 21600, 86400. (int)
:param: start_date: a date string in the format YYYY-MM-DD-HH-MM. (str)
:param: end_date: a date string in the format YYYY-MM-DD-HH-MM, Default=Now. (str)
:param: verbose: printing during extraction, Default=True. (bool)
:returns: data: a Pandas DataFrame which contains requested cryptocurrency data. (pd.DataFrame)
"""
def __init__(self,
ticker,
granularity,
start_date,
end_date=None,
verbose=True):
if verbose:
print("Checking input parameters are in the correct format.")
if not all(isinstance(v, str) for v in [ticker, start_date]):
raise TypeError("The 'ticker' and 'start_date' arguments must be strings or None types.")
if not isinstance(end_date, (str, type(None))):
raise TypeError("The 'end_date' argument must be a string or None type.")
if not isinstance(verbose, bool):
raise TypeError("The 'verbose' argument must be a boolean.")
if isinstance(granularity, int) is False:
raise TypeError("'granularity' must be an integer object.")
if granularity not in [60, 300, 900, 3600, 21600, 86400]:
raise ValueError("'granularity' argument must be one of 60, 300, 900, 3600, 21600, 86400 seconds.")
if not end_date:
end_date = datetime.today().strftime("%Y-%m-%d-%H-%M")
else:
end_date_datetime = datetime.strptime(end_date, '%Y-%m-%d-%H-%M')
start_date_datetime = datetime.strptime(start_date, '%Y-%m-%d-%H-%M')
while start_date_datetime >= end_date_datetime:
raise ValueError("'end_date' argument cannot occur prior to the start_date argument.")
self.ticker = ticker
self.granularity = granularity
self.start_date = start_date
self.start_date_string = None
self.end_date = end_date
self.end_date_string = None
self.verbose = verbose
def _ticker_checker(self):
"""This helper function checks if the ticker is available on the CoinBase Pro API."""
if self.verbose:
print("Checking if user supplied is available on the CoinBase Pro API.")
tkr_response = requests.get("https://api.pro.coinbase.com/products")
if tkr_response.status_code in [200, 201, 202, 203, 204]:
if self.verbose:
print('Connected to the CoinBase Pro API.')
response_data = pd.json_normalize(json.loads(tkr_response.text))
ticker_list = response_data["id"].tolist()
elif tkr_response.status_code in [400, 401, 404]:
if self.verbose:
print("Status Code: {}, malformed request to the CoinBase Pro API.".format(tkr_response.status_code))
sys.exit()
elif tkr_response.status_code in [403, 500, 501]:
if self.verbose:
print("Status Code: {}, could not connect to the CoinBase Pro API.".format(tkr_response.status_code))
sys.exit()
else:
if self.verbose:
print("Status Code: {}, error in connecting to the CoinBase Pro API.".format(tkr_response.status_code))
sys.exit()
if self.ticker in ticker_list:
if self.verbose:
print("Ticker '{}' found at the CoinBase Pro API, continuing to extraction.".format(self.ticker))
else:
raise ValueError("""Ticker: '{}' not available through CoinBase Pro API. Please use the Cryptocurrencies
class to identify the correct ticker.""".format(self.ticker))
def _date_cleaner(self, date_time: (datetime, str)):
"""This helper function presents the input as a datetime in the API required format."""
if not isinstance(date_time, (datetime, str)):
raise TypeError("The 'date_time' argument must be a datetime type.")
if isinstance(date_time, str):
output_date = datetime.strptime(date_time, '%Y-%m-%d-%H-%M').isoformat()
else:
output_date = date_time.strftime("%Y-%m-%d, %H:%M:%S")
output_date = output_date[:10] + 'T' + output_date[12:]
return output_date
def retrieve_data(self):
"""This function returns the data."""
if self.verbose:
print("Formatting Dates.")
self._ticker_checker()
self.start_date_string = self._date_cleaner(self.start_date)
self.end_date_string = self._date_cleaner(self.end_date)
start = datetime.strptime(self.start_date, "%Y-%m-%d-%H-%M")
end = datetime.strptime(self.end_date, "%Y-%m-%d-%H-%M")
request_volume = abs((end - start).total_seconds()) / self.granularity
if request_volume <= 300:
response = requests.get(
"https://api.pro.coinbase.com/products/{0}/candles?start={1}&end={2}&granularity={3}".format(
self.ticker,
self.start_date_string,
self.end_date_string,
self.granularity))
if response.status_code in [200, 201, 202, 203, 204]:
if self.verbose:
print('Retrieved Data from Coinbase Pro API.')
data = pd.DataFrame(json.loads(response.text))
data.columns = ["time", "low", "high", "open", "close", "volume"]
data["time"] = pd.to_datetime(data["time"], unit='s')
data = data[data['time'].between(start, end)]
data.set_index("time", drop=True, inplace=True)
data.sort_index(ascending=True, inplace=True)
data.drop_duplicates(subset=None, keep='first', inplace=True)
if self.verbose:
print('Returning data.')
return data
elif response.status_code in [400, 401, 404]:
if self.verbose:
print("Status Code: {}, malformed request to the CoinBase Pro API.".format(response.status_code))
sys.exit()
elif response.status_code in [403, 500, 501]:
if self.verbose:
print("Status Code: {}, could not connect to the CoinBase Pro API.".format(response.status_code))
sys.exit()
else:
if self.verbose:
print("Status Code: {}, error in connecting to the CoinBase Pro API.".format(response.status_code))
sys.exit()
else:
# The api limit:
max_per_mssg = 300
data = pd.DataFrame()
for i in range(int(request_volume / max_per_mssg) + 1):
provisional_start = start + timedelta(0, i * (self.granularity * max_per_mssg))
provisional_start = self._date_cleaner(provisional_start)
provisional_end = start + timedelta(0, (i + 1) * (self.granularity * max_per_mssg))
provisional_end = self._date_cleaner(provisional_end)
print("Provisional Start: {}".format(provisional_start))
print("Provisional End: {}".format(provisional_end))
response = requests.get(
"https://api.pro.coinbase.com/products/{0}/candles?start={1}&end={2}&granularity={3}".format(
self.ticker,
provisional_start,
provisional_end,
self.granularity))
if response.status_code in [200, 201, 202, 203, 204]:
if self.verbose:
print('Data for chunk {} of {} extracted'.format(i+1,
(int(request_volume / max_per_mssg) + 1)))
dataset = pd.DataFrame(json.loads(response.text))
if not dataset.empty:
data = data.append(dataset)
time.sleep(randint(0, 2))
else:
print("""CoinBase Pro API did not have available data for '{}' beginning at {}.
Trying a later date:'{}'""".format(self.ticker,
self.start_date,
provisional_start))
time.sleep(randint(0, 2))
elif response.status_code in [400, 401, 404]:
if self.verbose:
print(
"Status Code: {}, malformed request to the CoinBase Pro API.".format(response.status_code))
sys.exit()
elif response.status_code in [403, 500, 501]:
if self.verbose:
print(
"Status Code: {}, could not connect to the CoinBase Pro API.".format(response.status_code))
sys.exit()
else:
if self.verbose:
print("Status Code: {}, error in connecting to the CoinBase Pro API.".format(
response.status_code))
sys.exit()
data.columns = ["time", "low", "high", "open", "close", "volume"]
data["time"] = pd.to_datetime(data["time"], unit='s')
data = data[data['time'].between(start, end)]
data.set_index("time", drop=True, inplace=True)
data.sort_index(ascending=True, inplace=True)
data.drop_duplicates(subset=None, keep='first', inplace=True)
return data
new = HistoricalData('BTC-USD', 3600, '2021-06-01-00-00', '2021-07-01-00-00').retrieve_data()
print(new.head())
print(new.tail())