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use crate::chrono_range::TimestampBuilder;
use binance::{api::*, futures::market::*, futures::rest_model::*};
use chrono::Duration;
use futures::stream::{StreamExt, TryStreamExt};
use polars::prelude::*;
use std::{error::Error, io::Cursor, sync::Arc};
use tokio::runtime::Runtime;
pub trait FetchCandleSticks<S1, S2, S3, S4>
where
S1: AsRef<str>,
S2: AsRef<str>,
S3: AsRef<str>,
S4: AsRef<str>,
{
type Output;
fn fetch_candlesticks(
self,
symbol: S1,
start: Option<S2>,
end: Option<S3>,
interval: S4,
) -> Result<Self::Output, Box<dyn Error>>;
}
impl<S1, S2, S3, S4> FetchCandleSticks<S1, S2, S3, S4> for DataFrame
where
S1: AsRef<str>,
S2: AsRef<str>,
S3: AsRef<str>,
S4: AsRef<str>,
{
type Output = DataFrame;
fn fetch_candlesticks(
mut self,
symbol: S1,
start: Option<S2>,
end: Option<S3>,
interval: S4,
) -> Result<Self::Output, Box<dyn Error>> {
if self.is_empty() {
let ts_builder =
TimestampBuilder::new(start.ok_or("no start time")?, end, interval.as_ref())?;
let df = dataframe(
ts_builder.build(),
symbol.as_ref(),
interval.as_ref(),
ts_builder.limit as u16,
);
return df;
};
let start: String = (self["openTime"]
.datetime()?
.as_datetime_iter()
.last()
.unwrap()
.unwrap()
+ Duration::minutes(15))
.format("%Y-%m-%d %H:%M")
.to_string();
let ts_builder = TimestampBuilder::new(start, end, interval.as_ref())?;
let df = dataframe(
ts_builder.build(),
symbol.as_ref(),
interval.as_ref(),
ts_builder.limit as u16,
)?;
if df.is_empty() {
return Ok(self);
}
self.vstack_mut(&df)?;
self.as_single_chunk_par();
Ok(self)
}
}
async fn request<S1, S2>(
client: Arc<FuturesMarket>,
symbol: S1,
start: u64,
end: u64,
interval: S2,
limit: u16,
) -> Result<Vec<KlineSummary>, Box<dyn std::error::Error>>
where
S1: AsRef<str>,
S2: AsRef<str>,
{
let klines = client
.get_klines(
symbol.as_ref(),
interval.as_ref(),
limit,
Some(start),
Some(end),
)
.await?;
let KlineSummaries::AllKlineSummaries(klines) = klines;
Ok(klines)
}
fn dataframe<S1, S2>(
ts: Vec<i64>,
symbol: S1,
interval: S2,
limit: u16,
) -> Result<DataFrame, Box<dyn Error>>
where
S1: AsRef<str>,
S2: AsRef<str>,
{
let market: Arc<FuturesMarket> = Arc::new(Binance::new(None, None));
let stream = futures::stream::iter(ts.windows(2).into_iter())
.map(|ts| {
let market = market.clone();
let symbol = symbol.as_ref();
let interval = interval.as_ref();
request(market, symbol, ts[0] as u64, ts[1] as u64, interval, limit)
})
.buffer_unordered(50)
.map_ok(|rq| futures::stream::iter(rq.into_iter().map(Ok)))
.try_flatten();
let rt = Runtime::new()?;
let candlesticks: Result<Vec<KlineSummary>, Box<dyn Error>> =
rt.block_on(async move { stream.try_collect().await });
let json = serde_json::to_string(&candlesticks?).unwrap();
let cursor = Cursor::new(json);
let df = JsonReader::new(cursor)
.finish()?
.lazy()
.select([
col("openTime").cast(DataType::Datetime(TimeUnit::Milliseconds, None)),
all().exclude(["openTime"]),
])
.sort("openTime", Default::default())
.collect()?;
Ok(df)
}
#[cfg(test)]
mod tests {
use super::*;
#[test]
fn df_fetch_from_empty() -> Result<(), Box<dyn Error>> {
let df = DataFrame::empty()
.fetch_candlesticks(
"btcusdt",
Some("2022-02-01 00:00"),
Some("2022-02-01 15:00"),
"15m",
)
.unwrap();
assert_eq!(df.height(), 61);
Ok(())
}
#[test]
fn df_update_new_fetchs() -> Result<(), Box<dyn Error>> {
let df = DataFrame::empty()
.fetch_candlesticks(
"btcusdt",
Some("2022-02-01 00:00"),
Some("2022-02-01 15:00"),
"15m",
)
.unwrap();
assert_eq!(df.height(), 61);
let df = df
.fetch_candlesticks("btcusdt", None::<&str>, Some("2022-02-01 23:59"), "15m")
.unwrap();
assert_eq!(df.height(), 96);
Ok(())
}
#[test]
fn df_ts_short() -> Result<(), Box<dyn std::error::Error>> {
let ts = TimestampBuilder::new("2023-02-21 00:00", Some("2023-02-21 23:59"), "15m")?;
let df = dataframe(ts.build(), "btcusdt", "15m", ts.limit as u16)?;
println!("{}", df);
assert_eq!(df.height(), 96);
Ok(())
}
#[test]
fn df_ts_bound() -> Result<(), Box<dyn std::error::Error>> {
let ts = TimestampBuilder::new("2023-02-21 00:00", Some("2023-02-22 00:00"), "15m")?;
let df = dataframe(ts.build(), "btcusdt", "15m", ts.limit as u16)?;
println!("{}", df);
assert_eq!(df.height(), 97);
Ok(())
}
#[ignore]
#[test]
fn df_ts_long() -> Result<(), Box<dyn std::error::Error>> {
let ts = TimestampBuilder::new("2020-01-01 00:00", Some("2023-02-22 23:59"), "15m")?;
let df = dataframe(ts.build(), "btcusdt", "15m", ts.limit as u16)?;
println!("{}", df);
assert_eq!(df.height(), 110304);
Ok(())
}
}