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Remove redundant

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codez0mb1e 2022-10-17 16:08:16 +00:00
parent 138587cd6b
commit aa7d45380b
3 changed files with 39 additions and 198 deletions
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29
src/binance_api_client.py
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@ -1,29 +0,0 @@
# %%
import numpy as np
import pandas as pd
import time
from binance.client import Client
# %%
api_key = "****"
secret_key = "***"
client = Client(api_key, secret_key)
# %%
coins_response = client.get_all_coins_info()
coins_df = pd.DataFrame.from_dict(coins_response, orient='columns')
# %%
pairs_list = coins_df.coin.apply(lambda x: f"{x}USDT")
client.get_historical_klines(
'BTCUSDT',
interval=Client.KLINE_INTERVAL_1HOUR,
start_str='2022-04-21',
end_str='2022-04-22'
)

40
src/binance_open_data.ipynb
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@ -267,6 +267,44 @@
"# Sort output by Close_time\n", "# Sort output by Close_time\n",
"candles_1h_df.sort_values('Close_time')" "candles_1h_df.sort_values('Close_time')"
] ]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### (Optional) Use Binance API"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# %%\n",
"import pandas as pd \n",
"from binance.client import Client\n",
"\n",
"\n",
"# %%\n",
"api_key = \"****\"\n",
"secret_key = \"***\"\n",
"\n",
"client = Client(api_key, secret_key)\n",
"\n",
"\n",
"# %%\n",
"coins_response = client.get_all_coins_info()\n",
"coins_df = pd.DataFrame.from_dict(coins_response, orient='columns')\n",
"\n",
"\n",
"# %%\n",
"pairs_list = coins_df.coin.apply(lambda x: f\"{x}USDT\") \n",
"client.get_historical_klines(\n",
" 'BTCUSDT', \n",
" interval=Client.KLINE_INTERVAL_1HOUR,\n",
" start_str='2022-04-21', \n",
" end_str='2022-04-22'\n",
")"
]
} }
], ],
"metadata": { "metadata": {
@ -285,7 +323,7 @@
"name": "python", "name": "python",
"nbconvert_exporter": "python", "nbconvert_exporter": "python",
"pygments_lexer": "ipython3", "pygments_lexer": "ipython3",
"version": "3.9.13" "version": "3.9.12"
}, },
"orig_nbformat": 4, "orig_nbformat": 4,
"vscode": { "vscode": {

168
src/openfigi_crawler.py
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@ -1,168 +0,0 @@
# %% Import dependencies
import os
from dataclasses import dataclass
from typing import Dict, Union
import pandas as pd
import httpx
from sqlalchemy import types
from azure import AzureDbConnection, ConnectionSettings
# %% Data models
@dataclass
class AssetInfo:
FIGI: str
Ticker: str
Title: Union[str, None]
Description: Union[str, None]
AssetType: str = 'Cryptocurrency'
SourceId: str = 'OpenFigi API'
Version: str = 'v202206'
def as_dict(self) -> Dict[str, str]:
return {'Figi': self.FIGI, 'Ticker': self.Ticker}
# %% FIGI provider
class OpenFigiProvider:
"""
OpenFigi API provider
References:
https://www.openfigi.com/assets/local/figi-allocation-rules.pdf
https://www.openfigi.com/search
"""
@staticmethod
def _send_request(ticker: str, asset_type: str) -> pd.DataFrame:
api_url = f'https://www.openfigi.com/search/query?facetQuery=MARKET_SECTOR_DES:%22{asset_type}%22&num_rows=100&simpleSearchString={ticker}&start=0'
response = httpx.get(api_url)
json_response = response.json()
return pd.DataFrame.from_dict(json_response['result'], orient='columns')
@staticmethod
def _find_figi(df: pd.DataFrame, field_name: str) -> Union[str, None]:
if len(df) == 0 or field_name not in df.columns:
return None
result = df[field_name].dropna().unique()
if (len(result) != 1):
print(f'[WARN] Multiple ({len(result)}) FIGI records was found')
return None
return result[0]
@staticmethod
def _find_name(df: pd.DataFrame) -> Union[str, None]:
if len(df) == 0 or 'DS002_sd' not in df.columns:
return None
result = df['DS002_sd'].dropna().unique()
if (len(result) != 1):
print(f'[WARN] Multiple ({len(result)}) name records was found')
return None
return result[0]
def search(self, ticker: str, asset_type: str = 'Curncy') -> Union[AssetInfo, None]:
"""Return FIGI for pair"""
response_df = OpenFigiProvider._send_request(ticker, asset_type)
figi = OpenFigiProvider._find_figi(response_df, 'kkg_pairFIGI_sd')
if figi is None:
base_quote = ticker.split('-')[0]
print(f'[INFO] {ticker} > Try to search using base quote {base_quote}')
response_df = OpenFigiProvider._send_request(base_quote, asset_type)
figi = OpenFigiProvider._find_figi(response_df, 'kkg_baseAssetFigi_sd')
if figi is None:
return None
return AssetInfo(figi, ticker, None, None)
#%%
figi_provider = OpenFigiProvider()
assert figi_provider.search('WAX-USD') == None
assert figi_provider.search('ABCD') == None
# %% Tests
expected_pairs = {
'BNB-USD': 'KKG000007HZ5',
'ETH-USD': 'BBG00J3NBWD7',
'BTC-USD': 'BBG006FCL7J4',
'SOL-USD': 'BBG013WVY457',
'UNI-USD': 'BBG013TZFVW3',
'SUSHI-USD': 'KKG0000010W1',
'AVAX-USD': 'KKG000007J36'
}
for k, v in expected_pairs.items():
actual = figi_provider.search(k)
print(actual.as_dict())
assert (
isinstance(actual, AssetInfo)
and actual.FIGI == v
and actual.Ticker == k
)
# %% Get assets for searching figi
pair_names = [x[:-4] for x in os.listdir("../data")]
def insert_dash(text: str, position: int) -> str:
if '-' not in text:
return text[:position] + '-' + text[position:]
else:
return text
usd_pairs = [
insert_dash(s.upper(), 3)
for s in pair_names if "usd" in s
]
print(usd_pairs[1:10])
# %%
figi_provider = OpenFigiProvider()
pair_figi_list = [figi_provider.search(p) for p in usd_pairs]
# %% ----
conn_settings = ConnectionSettings(server='****.database.windows.net', database='market-data-db', username='<user>', password='****')
db_conn = AzureDbConnection(conn_settings)
db_conn.connect()
for t in db_conn.get_tables():
print(t)
# %%
db_mapping = {
'Figi': types.CHAR(length=12),
'Ticker': types.VARCHAR(length=12)
}
figi_df = pd.DataFrame([t.as_dict() for t in pair_figi_list if isinstance(t, AssetInfo)])
db_conn.insert(figi_df, 'figi', db_mapping)
# %%
db_conn.dispose()
print('Completed')