최적화

.idea/misc.xml

@@ -1,4 +1,3 @@
-<?xml version="1.0" encoding="UTF-8"?>
 <project version="4">
   <component name="Black">
     <option name="sdkName" value="Python 3.12 (trading)" />

main.py

@@ -1,11 +1,14 @@
 import asyncio, json
 import time
 from datetime import datetime, tzinfo
+from zoneinfo import ZoneInfo
+
 import gate_api
 import psycopg2, pandas as pd, pandas_ta as ta
+import requests
 from gate_ws import Configuration, Connection, WebSocketResponse
 from gate_ws.spot import SpotPublicTradeChannel
-from gate_ws.futures import FuturesBalanceChannel, FuturesTickerChannel, FuturesPublicTradeChannel
+from gate_ws.futures import FuturesPublicTradeChannel, FuturesCandlesticksChannel
 from psycopg2.extras import execute_values
 from sqlalchemy import create_engine
 
@@ -20,6 +23,7 @@ class gate :
             options='-c synchronous_commit=off'
         )
         self.cur = self.conn.cursor()
+        self.oldDt = 0
 
     def getAccount(self):
         api = gate_api.SpotApi(gate_api.ApiClient(self.config))
@@ -35,60 +39,66 @@ class gate :
     async def main(self):
         # initialize default connection, which connects to spot WebSocket V4
         # it is recommended to use one conn to initialize multiple channels
-        futures_conn = Connection(Configuration(app='futures', settle='usdt', test_net=False))
+        futures_conn = Connection(Configuration(app='futures', settle='usdt', test_net=False, api_key=self.config.key, api_secret=self.config.secret))
 
         # subscribe to any channel you are interested into, with the callback function
 
-        channel = FuturesTickerChannel(futures_conn, self.on_ob_snapshot)
+        channel = FuturesCandlesticksChannel(futures_conn, self.on_ob_snapshot)
-        channel.subscribe(["BTC_USDT"])
+        channel.subscribe(["5m","BTC_USDT"])
-        channel.subscribe(["ETH_USDT"])
+        channel.subscribe(["5m","ETH_USDT"])
-        channel.subscribe(["SOL_USDT"])
+        channel.subscribe(["5m","SOL_USDT"])
-        channel.subscribe(["XRP_USDT"])
+        channel.subscribe(["5m","XRP_USDT"])
-        channel.subscribe(["LINK_USDT"])
+        channel.subscribe(["5m","LINK_USDT"])
 
         # start the client
         await futures_conn.run()
 
     def on_ob_snapshot(self, conn: Connection, resp: WebSocketResponse):
-        try :
+        if resp.event == 'update':
             result = resp.result[0]
-        except Exception as e:
-            print(f'start {e}')
-        global batch
-        batch.append((
-            result['contract'],
-            result['last'],
-            result['change_percentage'],
-            result['total_size'],
-            result['volume_24h'],
-            result['volume_24h_base'],
-            result['volume_24h_quote'],
-            result['volume_24h_settle'],
-            result['funding_rate'],
-            result['funding_rate_indicative'],
-            result['quanto_base_rate'],
-            result['low_24h'],
-            result['high_24h'],
-            result['price_type'],
-            result['change_from'],
-            result['change_price'],
-            datetime.now()
-        ))
-
-        if len(batch) >= 4:
             try :
-                execute_values(self.cur,
+                insert_sql = '''
-                               '''insert into ticker (contract, clast, change_percentage, total_size, volume_24h, volume_24h_base, volume_24h_quote,
+                    INSERT INTO candle (contract, open, close, high, low, volume, amount, time, ins_date)
-                volume_24h_settle, funding_rate, funding_rate_indicative, quanto_base_rate, low_24h, high_24h,
+                    SELECT %(contract)s,
-                price_type, change_from, change_price, ts)
+                           %(open)s,
-                 VALUES %s''',
+                           %(close)s,
-                               batch)
+                           %(high)s,
+                           %(low)s,
+                           %(volume)s,
+                           %(amount)s,
+                           %(time)s,
+                           %(ins_date)s
+                    ON CONFLICT (contract, time, ins_date)
+                    DO UPDATE SET
+                        open = EXCLUDED.open,
+                        close = EXCLUDED.close,
+                        high = EXCLUDED.high,
+                        low = EXCLUDED.low,
+                        volume = EXCLUDED.volume,
+                        amount = EXCLUDED.amount,
+                        ins_date = EXCLUDED.ins_date
+                '''
+                self.cur.execute(insert_sql, {
+                    'contract': result['n'].replace('5m_', ''),
+                    'open': result['o'],
+                    'close': result['c'],
+                    'high': result['h'],
+                    'low': result['l'],
+                    'volume': result['v'],
+                    'amount': result['a'],
+                    'time': result['t'],
+                    'ins_date': time.strftime('%Y-%m-%d %H:%M:%S', time.gmtime(result['t'])),
+                })
+                # execute_values(self.cur,
+                #                '''insert into candle (contract, open, close, high, low, volume, amount, time, ins_date)
+                #  VALUES (%s)''',
+                #                batch)
                 self.conn.commit()
-                batch.clear()
             except Exception as exc:
                 print(exc)
                 self.conn.rollback()
 
+
     def getData(self, contract, time=None):
         limit = 50
         if time is not None:
@@ -173,10 +183,55 @@ class gate :
             return "SELL"
         else:
             return "HOLD"
+
+    def init(self, contract, t):
+        res = requests.get(f'https://fx-api.gateio.ws/api/v4/futures/usdt/candlesticks?contract={contract}&interval=5m&from={t}&limit=2000')
+        lists = res.json()
+        if self.oldDt != lists[len(lists) -1]['t']:
+
+            self.save(contract, lists)
+            self.oldDt = lists[len(lists) -1]['t']
+            self.init(contract, lists[len(lists) -1]['t'])
+
+
+    def save(self, contract, lists):
+        for list in lists:
+            batch.append((
+                contract,
+                list['o'],
+                list['c'],
+                list['h'],
+                list['l'],
+                list['v'],
+                0,
+                list['t'],
+                time.strftime('%Y-%m-%d %H:%M:%S', time.gmtime(list['t']))
+            ))
+
+        try :
+            execute_values(self.cur,
+                           '''insert into candle (contract, open, close, high, low, volume, amount, time, ins_date)
+             VALUES %s''',
+                           batch)
+            self.conn.commit()
+            batch.clear()
+        except Exception as exc:
+            self.conn.rollback()
+            batch.clear()
+# {'o': '7223.5', 'v': 0, 't': 1577860400, 'c': '7223.5', 'l': '7223.5', 'h': '7223.5', 'sum': '0'}
 if __name__ == '__main__':
     gate = gate()
-    gate.getData("SOL_USDT", '5min')
+    contracs = [
+        "BTC_USDT"
+        ,"ETH_USDT"
+        ,"SOL_USDT"
+        ,"XRP_USDT"
+        ,"LINK_USDT"
+    ]
+    for co in  contracs :
+        gate.init(co, 1755345900)
     # loop = asyncio.get_event_loop()
     # loop.run_until_complete(gate.main())
     # loop.close()
+    # gate.getData("SOL_USDT", '5min')
     # print(datetime.now().timestamp())