Installation:
$ pip install ccwt_client
python setup.py sdist build twine upload dist/*
1.0更新
修改请求默认超时时间 __DEFAULT_TIMEOUT = 90
future_index指数bar数据补充，根据ticker kline的频率补充，无数据则填充前一条数据
0.9更新
修改请求默认超时时间 __DEFAULT_TIMEOUT = 90
bar数据补充，根据ticker kline的频率补充，无数据则填充前一条数据
## ０.8更新 feed数据增加future_ticker/future_kline, future_index, future_this_week_ticker/future_this_week_kline future_next_week_tickeer/future_next_week_kline, future_quarter_ticker/future_quarter_kline
#Ccwt_web: ccwt_web接口的数据没有进行转换，直接从MongoDB读取；
Host: http: //52.194.88.72:8002
Kline: /api/kline
参数：
exchange: 交易所 str
symbol: 交易对，可以多个，以逗号分隔 str
time_frame: 时间范围（1m、1d，1w, 1M），默认1m str
limit: 条数,默认100条 str
format: 返回数据格式, 默认API格式， （json: json格式， api: api格式） str
http://52.194.88.72:8002/api/kline?exchange=bitmex&symbol=TRXZ18&time_frame=1m&limit=10
[
{
"bitmex_TRXZ18_kline_1m": [
{
"_id": "1540369140.0",
"volume": 1910.0,
"vwap": 3.7e-06,
"turnover": 706700,
"sys_time": "2018-10-24 08:19:15",
"open": 3.7e-06,
"date": 20181024,
"home_notional": null,
"low": 3.7e-06,
"last_size": 10,
"high": 3.7e-06,
"close": 3.7e-06,
"exchange_time": "2018-10-24 08:19:00.000000",
"count": 2,
"foreign_notional": null,
"time_stamp": "2018-10-24T08:19:00"
},
{
"_id": "1540369320.0",
"date": 20181024,
"foreign_notional": null,
"volume": 40000.0,
"low": 3.71e-06,
"last_size": 29900,
"time_stamp": "2018-10-24T08:22:00",
"turnover": 14840000,
"sys_time": "2018-10-24 08:22:15",
"exchange_time": "2018-10-24 08:22:00.000000",
"open": 3.7e-06,
"high": 3.71e-06,
"vwap": 3.71e-06,
"home_notional": null,
"count": 3,
"close": 3.71e-06
},
]
}
]
Ticker: /api/ticker
参数：
exchange: 交易所 str
symbol: 交易对，可以多个，以逗号分隔 str
limit: 条数,默认100条 str
format: 返回数据格式, 默认API格式， （json: json格式， api: api格式） str
http://52.194.88.72:8002/api/ticker?exchange=bitmex&symbol=TRXZ18&limit=10
[
{
"bitmex_TRXZ18_ticker": [
{
"_id": "2018-10-23T08:33:01.866Z",
"symbol": "TRXZ18",
"rootSymbol": "TRX",
"state": "Open",
"typ": "FFCCSX",
"listing": "2018-09-21T02:00:00.000Z",
"front": "2018-11-30T12:00:00.000Z",
"expiry": "2018-12-28T12:00:00.000Z",
"settle": "2018-12-28T12:00:00.000Z",
"relistInterval": null,
"inverseLeg": "",
"sellLeg": "",
"buyLeg": "",
"optionStrikePcnt": null,
"optionStrikeRound": null,
"optionStrikePrice": null,
"optionMultiplier": null,
"positionCurrency": "TRX",
"underlying": "TRX",
"quoteCurrency": "XBT",
"underlyingSymbol": "TRXXBT=",
"reference": "BMEX",
"referenceSymbol": ".TRXXBT30M",
"calcInterval": null,
"publishInterval": null,
"publishTime": null,
"maxOrderQty": 10000000,
"maxPrice": 100,
"lotSize": 1,
"tickSize": 1e-08,
"multiplier": 100000000,
"settlCurrency": "XBt",
"underlyingToPositionMultiplier": 1,
"underlyingToSettleMultiplier": null,
"quoteToSettleMultiplier": 100000000,
"isQuanto": false,
"isInverse": false,
"initMargin": 0.05,
"maintMargin": 0.025,
"riskLimit": 5000000000,
"riskStep": 5000000000,
"limit": null,
"capped": false,
"taxed": true,
"deleverage": true,
"makerFee": -0.0005,
"takerFee": 0.0025,
"settlementFee": 0,
"insuranceFee": 0,
"fundingBaseSymbol": "",
"fundingQuoteSymbol": "",
"fundingPremiumSymbol": "",
"fundingTimestamp": null,
"fundingInterval": null,
"fundingRate": null,
"indicativeFundingRate": null,
"rebalanceTimestamp": null,
"rebalanceInterval": null,
"openingTimestamp": "2018-10-23T08:00:00.000Z",
"closingTimestamp": "2018-10-23T09:00:00.000Z",
"sessionInterval": "2000-01-01T01:00:00.000Z",
"limitDownPrice": null,
"limitUpPrice": null,
"bankruptLimitDownPrice": null,
"bankruptLimitUpPrice": null,
"prevTotalVolume": 15128735716,
"totalVolume": 15129304596,
"volume24h": 288268049,
"prevTotalTurnover": 5709724915753,
"totalTurnover": 5709934517131,
"turnover": 209601378,
"turnover24h": 107140555974,
"homeNotional24h": 288268049,
"foreignNotional24h": 1071.4055597400004,
"prevPrice24h": 3.77e-06,
"vwap": 3.72e-06,
"lastPriceProtected": 3.69e-06,
"lastTickDirection": "ZeroPlusTick",
"lastChangePcnt": -0.0212,
"midPrice": 3.685e-06,
"impactBidPrice": 3.68e-06,
"impactMidPrice": 3.685e-06,
"impactAskPrice": 3.69e-06,
"hasLiquidity": true,
"openInterest": 316012128,
"openValue": 116292463104,
"fairMethod": "ImpactMidPrice",
"fairBasisRate": 0.1,
"fairBasis": 7e-08,
"fairPrice": 3.68e-06,
"markMethod": "FairPrice",
"markPrice": 3.68e-06,
"indicativeTaxRate": 0,
"indicativeSettlePrice": 3.61e-06,
"optionUnderlyingPrice": null,
"settledPrice": null,
"timestamp": "2018-10-23T08:33:01.866Z",
"high": 3.79e-06,
"low": 3.64e-06,
"close": 3.69e-06,
"preclose": 3.77e-06,
"bid": 3.68e-06,
"ask": 3.69e-06,
"base_volume": 568880,
"sys_time": "2018-10-23 16:33:04",
"date": "20181023"
},]
}
]
Depth: /api/depth
参数：
exchange: 交易所 str
symbol: 交易对，可以多个，以逗号分隔 str
limit: 条数,默认100条 str
format: 返回数据格式, 默认API格式， （json: json格式， api: api格式） str
http://52.194.88.72:8002/api/depth?exchange=binance&symbol=ADABTC&limit=10
[
{
"binance_ADABTC_depth": [
{
"_id": "95474933",
"last_ID": 95474933,
"bids": [
[
1.004e-05,
1.004e-05
],
[
1.003e-05,
1.003e-05
],
[
1.002e-05,
1.002e-05
],
[
1.001e-05,
1.001e-05
],
[
1e-05,
1e-05
],
[
9.99e-06,
9.99e-06
],
[
9.98e-06,
9.98e-06
],
[
9.97e-06,
9.97e-06
],
[
9.96e-06,
9.96e-06
],
[
9.95e-06,
9.95e-06
],
[
9.94e-06,
9.94e-06
],
[
9.93e-06,
9.93e-06
],
[
9.92e-06,
9.92e-06
],
[
9.91e-06,
9.91e-06
],
[
9.9e-06,
9.9e-06
],
[
9.89e-06,
9.89e-06
],
[
9.88e-06,
9.88e-06
],
[
9.87e-06,
9.87e-06
],
[
9.86e-06,
9.86e-06
],
[
9.85e-06,
9.85e-06
]
],
"asks": [
[
1.006e-05,
1.006e-05
],
[
1.007e-05,
1.007e-05
],
[
1.008e-05,
1.008e-05
],
[
1.009e-05,
1.009e-05
],
[
1.01e-05,
1.01e-05
],
[
1.011e-05,
1.011e-05
],
[
1.012e-05,
1.012e-05
],
[
1.013e-05,
1.013e-05
],
[
1.014e-05,
1.014e-05
],
[
1.015e-05,
1.015e-05
],
[
1.016e-05,
1.016e-05
],
[
1.017e-05,
1.017e-05
],
[
1.018e-05,
1.018e-05
],
[
1.019e-05,
1.019e-05
],
[
1.02e-05,
1.02e-05
],
[
1.021e-05,
1.021e-05
],
[
1.022e-05,
1.022e-05
],
[
1.023e-05,
1.023e-05
],
[
1.024e-05,
1.024e-05
],
[
1.025e-05,
1.025e-05
]
],
"date": "20180918",
"sys_time": "2018-09-18 09:09:45"
},]
}
]
Order: /api/order
参数：
exchange: 交易所 str
symbol: 交易对，可以多个，以逗号分隔 str
limit: 条数,默认100条 str
format: 返回数据格式, 默认API格式， （json: json格式， api: api格式） str
http://52.194.88.72:8002/api/order?exchange=binance&symbol=ADABTC&limit=10
[
{
"binance_ADABTC_order": [
{
"_id": "1537232981738",
"time_stamp": 1537232981738,
"first_ID": "95474920",
"last_ID": "95474920",
"bids": [],
"asks": [
[
1.055e-05,
1.055e-05
]
],
"exchange_time": "2018-09-18 01:09:41.000000",
"date": "20180918",
"sys_time": "2018-09-18 09:09:41"
},]
}
]
Trade: /api/trade
参数：
exchange: 交易所 str
symbol: 交易对，可以多个，以逗号分隔 str
limit: 条数,默认100条 str
format: 返回数据格式, 默认API格式， （json: json格式， api: api格式） str
http://52.194.88.72:8002/api/trade?exchange=binance&symbol=ADABTC&limit=10
[
{
"binance_ADABTC_trade": [
{
"_id": "14793414",
"time_stamp": 1537232982570,
"order": "null",
"type": "null",
"side": "buy",
"taker_or_maker": "null",
"price": 1.006e-05,
"amount": 6.0,
"cost": 6.036e-05,
"fee_cost": 0.0,
"fee_currency": "null",
"fee_rate": 0.0,
"exchange_time": "2018-09-18 01:09:42.000000",
"date": "20180918",
"sys_time": "2018-09-18 09:09:42"
},]
}
]
Ccwt_client: ccwt_web客户端:
下载ccwt_client包：pip install ccwt_client，下载过的可进行更新 pip install ccwt_client -U
Ccwt_client.core.py
Cli.tieker(**kwargs):
from ccwt_client.core import cli
params = {
'exchange': 'bitmex', 'symbol': 'XBTUSD', 'limit': '1'
}
res = cli.ticker(**params)
print(res)
[{'bitmex_XBTUSD_ticker': [{'_id': '2018-10-23T08:20:16.103Z', 'symbol': 'XBTUSD', 'rootSymbol': 'XBT', 'state': 'Open', 'typ': 'FFWCSX', 'listing': '2016-05-13T12:00:00.000Z', 'front': '2016-05-13T12:00:00.000Z', 'expiry': None, 'settle': None, 'relistInterval': None, 'inverseLeg': '', 'sellLeg': '', 'buyLeg': '', 'optionStrikePcnt': None, 'optionStrikeRound': None, 'optionStrikePrice': None, 'optionMultiplier': None, 'positionCurrency': 'USD', 'underlying': 'XBT', 'quoteCurrency': 'USD', 'underlyingSymbol': 'XBT=', 'reference': 'BMEX', 'referenceSymbol': '.BXBT', 'calcInterval': None, 'publishInterval': None, 'publishTime': None, 'maxOrderQty': 10000000, 'maxPrice': 1000000, 'lotSize': 1, 'tickSize': 0.5, 'multiplier': -100000000, 'settlCurrency': 'XBt', 'underlyingToPositionMultiplier': None, 'underlyingToSettleMultiplier': -100000000, 'quoteToSettleMultiplier': None, 'isQuanto': False, 'isInverse': True, 'initMargin': 0.01, 'maintMargin': 0.005, 'riskLimit': 20000000000, 'riskStep': 10000000000, 'limit': None, 'capped': False, 'taxed': True, 'deleverage': True, 'makerFee': -0.00025, 'takerFee': 0.00075, 'settlementFee': 0, 'insuranceFee': 0, 'fundingBaseSymbol': '.XBTBON8H', 'fundingQuoteSymbol': '.USDBON8H', 'fundingPremiumSymbol': '.XBTUSDPI8H', 'fundingTimestamp': '2018-10-23T12:00:00.000Z', 'fundingInterval': '2000-01-01T08:00:00.000Z', 'fundingRate': 0.0001, 'indicativeFundingRate': 0.0001, 'rebalanceTimestamp': None, 'rebalanceInterval': None, 'openingTimestamp': '2018-10-23T08:00:00.000Z', 'closingTimestamp': '2018-10-23T09:00:00.000Z', 'sessionInterval': '2000-01-01T01:00:00.000Z', 'limitDownPrice': None, 'limitUpPrice': None, 'bankruptLimitDownPrice': None, 'bankruptLimitUpPrice': None, 'prevTotalVolume': 866877370056, 'totalVolume': 866879525586, 'volume24h': 584437921, 'prevTotalTurnover': 11862857877788048, 'totalTurnover': 11862891578522378, 'turnover': 33700734329, 'turnover24h': 9131853536643, 'homeNotional24h': 91318.53536643005, 'foreignNotional24h': 584437921, 'prevPrice24h': 6403, 'vwap': 6400, 'lastPriceProtected': 6396.3157, 'lastTickDirection': 'ZeroPlusTick', 'lastChangePcnt': -0.001, 'midPrice': 6396.25, 'impactBidPrice': 6395.9066, 'impactMidPrice': 6396, 'impactAskPrice': 6396.3157, 'hasLiquidity': True, 'openInterest': 763308087, 'openValue': 11930505399810, 'fairMethod': 'FundingRate', 'fairBasisRate': 0.1095, 'fairBasis': 0.29, 'fairPrice': 6397.95, 'markMethod': 'FairPrice', 'markPrice': 6397.95, 'indicativeTaxRate': 0, 'indicativeSettlePrice': 6397.66, 'optionUnderlyingPrice': None, 'settledPrice': None, 'timestamp': '2018-10-23T08:20:16.103Z', 'high': 6423, 'low': 6369, 'close': 6396.5, 'preclose': 6399.85, 'bid': 6396, 'ask': 6396.5, 'base_volume': 2155330, 'sys_time': '2018-10-23 16:20:19', 'date': '20181023', 'volume': 2155530}], 'cached': False}]
Cli.kline(**kwargs):
from ccwt_client.core import cli
params = {
'exchange': 'bitmex', 'symbol': 'XBTUSD', 'limit': '1'
}
res = cli.kline(**params)
print(res)
[{'bitmex_XBTUSD_kline_1m': [{'_id': '1540369140.0', 'close': 6437.5, 'open': 6438.0, 'count': 13, 'turnover': 776697187, 'sys_time': '2018-10-24 08:19:15', 'time_stamp': '2018-10-24T08:19:00', 'low': 6437.5, 'date': 20181024, 'foreign_notional': None, 'high': 6438.0, 'last_size': 556, 'exchange_time': '2018-10-24 08:19:00.000000', 'volume': 50003.0, 'vwap': 6437.9064, 'home_notional': None}], 'cached': False}]
Cli.depth(**kwargs):
from ccwt_client.core import cli
params = {
'exchange': 'binance', 'symbol': 'ZILBTC', 'limit': '1'
}
res = cli.depth(**params)
print(res)
[{'binance_ZILBTC_depth': [{'_id': '53744627', 'last_ID': 53744627, 'bids': [[4.97e-06, 4.97e-06], [4.95e-06, 4.95e-06], [4.94e-06, 4.94e-06], [4.93e-06, 4.93e-06], [4.92e-06, 4.92e-06], [4.91e-06, 4.91e-06], [4.9e-06, 4.9e-06], [4.89e-06, 4.89e-06], [4.88e-06, 4.88e-06], [4.87e-06, 4.87e-06], [4.86e-06, 4.86e-06], [4.85e-06, 4.85e-06], [4.84e-06, 4.84e-06], [4.83e-06, 4.83e-06], [4.82e-06, 4.82e-06], [4.81e-06, 4.81e-06], [4.8e-06, 4.8e-06], [4.79e-06, 4.79e-06], [4.78e-06, 4.78e-06], [4.77e-06, 4.77e-06]], 'asks': [[4.98e-06, 4.98e-06], [4.99e-06, 4.99e-06], [5e-06, 5e-06], [5.01e-06, 5.01e-06], [5.02e-06, 5.02e-06], [5.03e-06, 5.03e-06], [5.04e-06, 5.04e-06], [5.05e-06, 5.05e-06], [5.06e-06, 5.06e-06], [5.07e-06, 5.07e-06], [5.08e-06, 5.08e-06], [5.09e-06, 5.09e-06], [5.1e-06, 5.1e-06], [5.11e-06, 5.11e-06], [5.12e-06, 5.12e-06], [5.13e-06, 5.13e-06], [5.14e-06, 5.14e-06], [5.15e-06, 5.15e-06], [5.16e-06, 5.16e-06], [5.17e-06, 5.17e-06]], 'date': '20180918', 'sys_time': '2018-09-18 09:09:44'}], 'cached': False}]
Cli.order(**kwargs):
from ccwt_client.core import cli
params = {
'exchange': 'binance', 'symbol': 'ZILBTC', 'limit': '1'
}
res = cli.order(**params)
print(res)
[{'binance_ZILBTC_order': [{'_id': '1537232981739', 'time_stamp': 1537232981739, 'first_ID': '53744625', 'last_ID': '53744625', 'bids': [[4.91e-06, 4.91e-06]], 'asks': [], 'exchange_time': '2018-09-18 01:09:41.000000', 'date': '20180918', 'sys_time': '2018-09-18 09:09:42'}], 'cached': False}]
Cli.trade(**kwargs):
from ccwt_client.core import cli
params = {
'exchange': 'binance', 'symbol': 'ZILBTC', 'limit': '1'
}
res = cli.trade(**params)
print(res)
[{'binance_ZILBTC_trade': [{'_id': '5014013', 'time_stamp': 1537232986458, 'order': 'null', 'type': 'null', 'side': 'buy', 'taker_or_maker': 'null', 'price': 4.98e-06, 'amount': 4254.0, 'cost': 0.02118492, 'fee_cost': 0.0, 'fee_currency': 'null', 'fee_rate': 0.0, 'exchange_time': '2018-09-18 01:09:46.000000', 'date': '20180918', 'sys_time': '2018-09-18 09:09:46'}], 'cached': False}]
Ccwt_client.core_feed.py:
数据格式支持pyalgotrade框架
feed = Feed(bar.Frequency.SECOND)
“””
SECOND = 1
MINUTE = 60
HOUR = 60*60
DAY = 24*60*60
WEEK = 24*60*60*7
MONTH = 24*60*60*31
“””
feed.loadBars("bitmex_XBTUSD")
数据格式：
__slots__ = (
'__dateTime',
'__open',
'__close',
'__high',
'__low',
'__volume',
'__adjClose',
'__frequency',
'__useAdjustedValue',
'__extra',
)
[[datetime.datetime(2018, 10, 23, 8, 20, 58, 136000), 6399.85, 6423, 6369, 6396, 2155330, None, 1], [datetime.datetime(2018, 10, 23, 8, 20, 16, 103000), 6399.85, 6423, 6369, 6396.5, 2155330, None, 1], [datetime.datetime(2018, 10, 23, 7, 19, 9, 591000), 6399.85, 6423, 6369, 6401.5, 6151444, None, 1],]
