205 lines
6.7 KiB
Python
205 lines
6.7 KiB
Python
"""从Binance获取加密货币OHLCV数据"""
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import os
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from datetime import datetime, timedelta
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from pathlib import Path
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from typing import Optional, Literal
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import pandas as pd
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from binance.client import Client
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import pytz
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from dotenv import load_dotenv
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from data.database import DatabaseManager
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# 加载环境变量
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load_dotenv()
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class BinanceDataFetcher:
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"""从Binance公开API获取和缓存OHLCV数据"""
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INTERVALS = {
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'1h': Client.KLINE_INTERVAL_1HOUR,
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'15m': Client.KLINE_INTERVAL_15MINUTE,
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}
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def __init__(self, cache_dir: str = "./data/cache"):
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"""初始化Binance客户端和数据库管理器
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Args:
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cache_dir: 缓存/数据库目录
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"""
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# 配置代理
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proxies = None
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use_proxy = os.getenv('USE_PROXY', 'false').lower() == 'true'
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if use_proxy:
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socks5_proxy = os.getenv('SOCKS5_PROXY', 'socks5://127.0.0.1:7890')
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proxies = {
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'http': socks5_proxy,
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'https': socks5_proxy
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}
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print(f"✓ 使用SOCKS5代理: {socks5_proxy}")
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try:
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# 初始化Binance客户端（带代理）
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if proxies:
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self.client = Client(requests_params={'proxies': proxies})
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else:
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self.client = Client()
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# 测试连接
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self.client.ping()
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print("✓ 已成功连接到Binance API")
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except Exception as e:
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print(f"⚠ Binance API连接失败: {e}")
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print("提示：")
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print(" 1. 检查代理设置 (.env文件)")
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print(" 2. 确保代理服务正在运行")
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print(" 3. 或者使用已缓存的数据")
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self.client = None
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# 初始化数据库管理器
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self.db_manager = DatabaseManager(os.path.join(cache_dir, "market_data.db"))
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def fetch_ohlcv(
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self,
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symbol: Literal['BTC', 'ETH', 'SOL'],
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timeframe: Literal['1h', '15m'],
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start_date: Optional[str] = None,
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end_date: Optional[str] = None,
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use_cache: bool = True
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) -> pd.DataFrame:
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"""获取加密货币对的OHLCV数据
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Args:
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symbol: 加密货币符号 (BTC, ETH, SOL)
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timeframe: 时间框架间隔 (1h 或 15m)
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start_date: 开始日期，格式：'YYYY-MM-DD' (默认: 1年前)
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end_date: 结束日期，格式：'YYYY-MM-DD' (默认: 现在)
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use_cache: 是否使用缓存数据
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Returns:
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包含以下列的DataFrame: timestamp, open, high, low, close, volume
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"""
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# 设置日期范围
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if end_date is None:
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end_dt = datetime.now(pytz.UTC)
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else:
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end_dt = datetime.strptime(end_date, '%Y-%m-%d').replace(tzinfo=pytz.UTC)
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if start_date is None:
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start_dt = end_dt - timedelta(days=365) # 1年前
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else:
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start_dt = datetime.strptime(start_date, '%Y-%m-%d').replace(tzinfo=pytz.UTC)
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start_str = start_dt.strftime('%Y-%m-%d')
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end_str = end_dt.strftime('%Y-%m-%d')
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# 1. 尝试从数据库获取数据
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df = pd.DataFrame()
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if use_cache:
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df = self.db_manager.get_ohlcv(symbol, timeframe, start_str, end_str)
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# 检查数据是否足够
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if not df.empty:
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min_ts = df['timestamp'].min().replace(tzinfo=pytz.UTC)
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max_ts = df['timestamp'].max().replace(tzinfo=pytz.UTC)
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# 简单判断覆盖范围 (容忍少量缺失)
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if min_ts <= start_dt + timedelta(days=2) and max_ts >= end_dt - timedelta(days=2):
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print(f"从数据库加载数据：{symbol} {timeframe} ({len(df)} rows)")
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return df
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# 2. 从API获取数据
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if self.client is None:
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if not df.empty:
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print(f"⚠ API不可用，返回数据库现有数据 ({len(df)} rows)")
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return df
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raise ConnectionError(
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"Binance客户端不可用。请使用VPN或确保数据库有数据。"
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)
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# Binance使用USDT交易对
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pair = f"{symbol}USDT"
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interval = self.INTERVALS[timeframe]
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print(f"获取 {symbol} {timeframe} 数据，时间范围：{start_dt.date()} 至 {end_dt.date()}...")
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# 获取K线数据
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try:
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klines = self.client.get_historical_klines(
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symbol=pair,
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interval=interval,
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start_str=str(int(start_dt.timestamp() * 1000)),
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end_str=str(int(end_dt.timestamp() * 1000))
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)
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except Exception as e:
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if not df.empty:
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print(f"⚠ API请求失败 ({e})，返回数据库现有数据")
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return df
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raise e
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if not klines:
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if not df.empty:
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return df
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raise ValueError(f"未获取到 {symbol} {timeframe} 的数据")
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# 转换为DataFrame
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new_df = pd.DataFrame(klines, columns=[
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'timestamp', 'open', 'high', 'low', 'close', 'volume',
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'close_time', 'quote_volume', 'trades', 'taker_buy_base',
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'taker_buy_quote', 'ignore'
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])
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# 选择并转换列
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new_df = new_df[['timestamp', 'open', 'high', 'low', 'close', 'volume']].copy()
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new_df['timestamp'] = pd.to_datetime(new_df['timestamp'], unit='ms')
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for col in ['open', 'high', 'low', 'close', 'volume']:
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new_df[col] = new_df[col].astype(float)
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# 按时间排序
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new_df = new_df.sort_values('timestamp').reset_index(drop=True)
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print(f"已获取 {len(new_df)} 行数据")
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# 保存到数据库
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self.db_manager.save_ohlcv(new_df, symbol, timeframe)
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return new_df
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def get_latest_price(self, symbol: Literal['BTC', 'ETH', 'SOL']) -> float:
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"""获取符号的当前价格
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Args:
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symbol: 加密货币符号
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Returns:
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当前USDT价格
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"""
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pair = f"{symbol}USDT"
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ticker = self.client.get_symbol_ticker(symbol=pair)
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return float(ticker['price'])
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if __name__ == "__main__":
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# 测试数据获取器
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fetcher = BinanceDataFetcher()
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# 获取BTC 1小时数据（1年）
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df = fetcher.fetch_ohlcv('BTC', '1h')
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print("\nBTC 1小时数据:")
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print(df.head())
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print(f"\n形状：{df.shape}")
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print(f"日期范围：{df['timestamp'].min()} 至 {df['timestamp'].max()}")
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# 获取当前价格
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try:
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current_price = fetcher.get_latest_price('BTC')
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print(f"\n当前BTC价格：${current_price:,.2f}")
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except:
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print("\n无法获取当前价格")
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