173 lines
5.6 KiB
Python
173 lines
5.6 KiB
Python
# -*- coding: utf-8 -*-
|
||
"""
|
||
Bitmart 多周期K线数据抓取 - 供回测与实盘使用
|
||
与 bitmart/回测.py、bitmart/抓取多周期K线.py 相同的 API 调用方式
|
||
"""
|
||
|
||
import time
|
||
import csv
|
||
import os
|
||
from typing import List, Dict, Optional
|
||
try:
|
||
from loguru import logger
|
||
except ImportError:
|
||
import logging
|
||
logger = logging.getLogger(__name__)
|
||
|
||
# 项目根目录为 lm_code，bitmart 包在根目录
|
||
import sys
|
||
SCRIPT_DIR = os.path.dirname(os.path.abspath(__file__))
|
||
ROOT_DIR = os.path.dirname(SCRIPT_DIR)
|
||
if ROOT_DIR not in sys.path:
|
||
sys.path.insert(0, ROOT_DIR)
|
||
|
||
# 默认 API（与 bitmart/回测.py 一致，回测仅拉数据可不填有效 key）
|
||
# APIContract 在 fetch_klines / fetch_multi_timeframe 内按需导入，以便 --no-api 回测不依赖 bitmart
|
||
DEFAULT_API_KEY = "a0fb7b98464fd9bcce67e7c519d58ec10d0c38a8"
|
||
DEFAULT_SECRET_KEY = "4eaeba78e77aeaab1c2027f846a276d164f264a44c2c1bb1c5f3be50c8de1ca5"
|
||
DEFAULT_MEMO = "合约交易"
|
||
CONTRACT_SYMBOL = "ETHUSDT"
|
||
|
||
|
||
def _format_bar(k: dict) -> dict:
|
||
"""API 单根K线 -> 统一格式，id 为秒时间戳"""
|
||
return {
|
||
"id": int(k["timestamp"]),
|
||
"open": float(k["open_price"]),
|
||
"high": float(k["high_price"]),
|
||
"low": float(k["low_price"]),
|
||
"close": float(k["close_price"]),
|
||
"volume": float(k.get("volume", 0)),
|
||
}
|
||
|
||
|
||
def fetch_klines(
|
||
contract_api: "APIContract",
|
||
step: int,
|
||
start_time: int,
|
||
end_time: int,
|
||
symbol: str = CONTRACT_SYMBOL,
|
||
) -> List[Dict]:
|
||
"""
|
||
拉取指定周期的K线（与 bitmart 回测抓取方式一致）。
|
||
:param contract_api: bitmart.api_contract.APIContract 实例
|
||
:param step: K线周期（分钟），如 5/15/60
|
||
:param start_time: 开始时间戳（秒）
|
||
:param end_time: 结束时间戳（秒）
|
||
:param symbol: 合约符号
|
||
:return: [{"id", "open", "high", "low", "close", "volume"}, ...]，按 id 升序
|
||
"""
|
||
all_data: List[Dict] = []
|
||
existing_ids = set()
|
||
request_interval = step * 60 * 500 # 每次最多约 500 根
|
||
current_start = start_time
|
||
|
||
while current_start < end_time:
|
||
current_end = min(current_start + request_interval, end_time)
|
||
try:
|
||
response = contract_api.get_kline(
|
||
contract_symbol=symbol,
|
||
step=step,
|
||
start_time=current_start,
|
||
end_time=current_end,
|
||
)[0]
|
||
if response.get("code") != 1000:
|
||
logger.warning(f"get_kline code={response.get('code')}, msg={response.get('msg')}")
|
||
time.sleep(1)
|
||
current_start = current_end
|
||
continue
|
||
data = response.get("data", [])
|
||
except Exception as e:
|
||
logger.warning(f"get_kline 异常 step={step} {e}，60秒后重试")
|
||
time.sleep(60)
|
||
continue
|
||
|
||
for k in data:
|
||
k_id = int(k["timestamp"])
|
||
if k_id in existing_ids:
|
||
continue
|
||
existing_ids.add(k_id)
|
||
all_data.append(_format_bar(k))
|
||
|
||
if len(data) < 500:
|
||
current_start = current_end
|
||
else:
|
||
all_data.sort(key=lambda x: x["id"])
|
||
current_start = all_data[-1]["id"] + 1
|
||
|
||
time.sleep(0.25)
|
||
|
||
all_data.sort(key=lambda x: x["id"])
|
||
return all_data
|
||
|
||
|
||
def fetch_multi_timeframe(
|
||
start_time: int,
|
||
end_time: int,
|
||
steps: List[int] = None,
|
||
api_key: str = DEFAULT_API_KEY,
|
||
secret_key: str = DEFAULT_SECRET_KEY,
|
||
memo: str = DEFAULT_MEMO,
|
||
symbol: str = CONTRACT_SYMBOL,
|
||
) -> Dict[int, List[Dict]]:
|
||
"""
|
||
拉取多周期K线（5/15/60），供回测使用。
|
||
:return: { step: [kline_list] }
|
||
"""
|
||
steps = steps or [5, 15, 60]
|
||
from bitmart.api_contract import APIContract
|
||
api = APIContract(api_key, secret_key, memo, timeout=(5, 15))
|
||
result = {}
|
||
for step in steps:
|
||
logger.info(f"抓取 {step} 分钟 K 线: {start_time} ~ {end_time}")
|
||
result[step] = fetch_klines(api, step, start_time, end_time, symbol)
|
||
logger.info(f" -> {len(result[step])} 条")
|
||
return result
|
||
|
||
|
||
def save_klines_csv(klines: List[Dict], path: str) -> None:
|
||
"""将K线保存为 CSV（id, open, high, low, close, volume）"""
|
||
if not klines:
|
||
return
|
||
cols = ["id", "open", "high", "low", "close", "volume"]
|
||
with open(path, "w", newline="", encoding="utf-8") as f:
|
||
w = csv.DictWriter(f, fieldnames=cols)
|
||
w.writeheader()
|
||
for row in klines:
|
||
w.writerow({k: row.get(k) for k in cols})
|
||
logger.info(f"已保存 {len(klines)} 条到 {path}")
|
||
|
||
|
||
def load_klines_csv(path: str) -> List[Dict]:
|
||
"""从 CSV 加载K线"""
|
||
if not os.path.isfile(path):
|
||
return []
|
||
with open(path, "r", encoding="utf-8") as f:
|
||
r = csv.DictReader(f)
|
||
rows = list(r)
|
||
out = []
|
||
for row in rows:
|
||
out.append({
|
||
"id": int(row["id"]),
|
||
"open": float(row["open"]),
|
||
"high": float(row["high"]),
|
||
"low": float(row["low"]),
|
||
"close": float(row["close"]),
|
||
"volume": float(row.get("volume", 0)),
|
||
})
|
||
out.sort(key=lambda x: x["id"])
|
||
return out
|
||
|
||
|
||
if __name__ == "__main__":
|
||
import datetime
|
||
# 示例：拉取最近约 30 天 5/15/60 分钟数据并保存
|
||
end_ts = int(time.time())
|
||
start_ts = end_ts - 30 * 24 * 3600
|
||
data_dir = os.path.join(SCRIPT_DIR, "data")
|
||
os.makedirs(data_dir, exist_ok=True)
|
||
data = fetch_multi_timeframe(start_ts, end_ts, steps=[5, 15, 60])
|
||
for step, klines in data.items():
|
||
path = os.path.join(data_dir, f"kline_{step}m.csv")
|
||
save_klines_csv(klines, path)
|