whale-watcher/get-crypto-ohlc

#!/usr/bin/python3.6

import sys
import time
import requests
import json

CLOSE_TIME_INDEX = 0
OPEN_INDEX = 1
HIGH_INDEX = 2
LOW_INDEX = 3
CLOSE_INDEX = 4

tickers = ["btc","eth"]
exchanges = ["kraken","bitfinex","binance-us"]

ohlc_dbs = {}
ohlc_cache = "dbs/crypto-ohlc.cache.json"

ticker_avg = {}

for ticker in tickers:
	ohlc_dbs[ticker] = "dbs/crypto-ohlc-"+ticker+".db.json"

cache_file = open(ohlc_cache,'r')
cache_objs = json.load(cache_file)
cache_file.close()

current_time = int(time.time())
current_hour = current_time // 3600
current_hour_timestamp = 3600*current_hour

before = current_hour_timestamp
after = int(cache_objs["last-known-hour-timestamp"])+3600

if before != after:
	print( 'fetching from hour '+str(after//3600)+' to '+str(before//3600) )

for ticker in tickers:
	ticker_avg[ticker] = {}
	for i in range(after, before+3600, 3600):
		ticker_avg[ticker][str(i)] = 0
	for exchange in exchanges:
		#get candles since cache hour
		response = requests.get('https://api.cryptowat.ch/markets/'+exchange+'/'+ticker+'usd/ohlc?after='+str(after)+'&before='+str(before)+'&periods=3600', timeout=8)
		if response.status_code != 200:
			print( 'error status: '+ str(response.status) )
			sys.exit()
		response_str = response.text
		response_objs = json.loads(response_str)
		candles_numof = len( response_objs["result"]["3600"] )
		for i in range(0, candles_numof):
			candle_close_time = str(response_objs["result"]["3600"][i][CLOSE_TIME_INDEX])
			ticker_avg[ticker][candle_close_time] += ( response_objs["result"]["3600"][i][OPEN_INDEX] + response_objs["result"]["3600"][i][CLOSE_INDEX] ) / 2
	for candle_close_time in ticker_avg[ticker]:
		ticker_avg[ticker][candle_close_time] /= len(exchanges)


for ticker in tickers:
	ohlc_db = open( ohlc_dbs[ticker], "rb+" )
	ohlc_db.seek(-3, 2)
	ohlc_db.write(b",\n")
	entry_string = ""
	for candle_close_time in ticker_avg[ticker]:
		entry_string = '"'+candle_close_time+'"'+":"+str( int(ticker_avg[ticker][candle_close_time]) )+",\n"
		ohlc_db.write(entry_string.encode('utf-8'))
	ohlc_db.seek(-2, 1) #remove the comma on the last entry
	ohlc_db.write(b"\n}\n")
	ohlc_db.close()

cache_file = open(ohlc_cache,'w')
cache_objs = {}
cache_objs["last-known-hour-timestamp"] = str(current_hour_timestamp)
json.dump(cache_objs, cache_file)
cache_file.close()