如何在一个请求中从Binance API获取所有（或多个）对的历史Kline？

Question

我有一个交易机器人，交易多对（30-40）。它使用之前的5百万烛光作为价格输入。因此，我一对一对地获得了500万条历史记录。目前，整个循环大约需要10分钟，因此500万支蜡烛每10米更新一次，这是不好的

关于如何加快速度有什么想法吗

Answer 1

只是为了跟进这个答案。您可以看到蜡烛关闭，因为每个刻度的websocket返回数据具有一个布尔属性，用于判断蜡烛是否关闭，即如果蜡烛在5分钟标记处关闭，则在5分钟的时间范围内关闭

Answer 2

我认为最好的选择是websocket连接。你们不能每5分钟接收一次kline数据，但你们可以像你们在图中看到的那个样接收蜡烛的每一次变化。Binance API只提供了这一点，但在与websocket连接的复合中，它将非常快速，而不是10分钟

在收到数据后，您只需指定蜡烛关闭的时间，就可以从json数据中的时间戳（'t'和't'）执行此操作[documentation here]

您必须安装websockets库

pip install websockets

下面是一些示例代码，它是如何工作的

import asyncio
import websockets


async def candle_stick_data():
    url = "wss://stream.binance.com:9443/ws/" #steam address
    first_pair = 'bnbbtc@kline_1m' #first pair
    async with websockets.connect(url+first_pair) as sock:
        pairs = '{"method": "SUBSCRIBE", "params": ["xrpbtc@kline_1m","ethbtc@kline_1m" ],  "id": 1}' #other pairs

        await sock.send(pairs)
        print(f"> {pairs}")
        while True:
            resp = await sock.recv()
            print(f"< {resp}")

asyncio.get_event_loop().run_until_complete(candle_stick_data())

输出：

< {"e":"kline","E":1599828802835,"s":"XRPBTC","k":{"t":1599828780000,"T":1599828839999,"s":"XRPBTC","i":"1m","f":76140140,"L":76140145,"o":"0.00002346","c":"0.00002346","h":"0.00002346","l":"0.00002345","v":"700.00000000","n":6,"x":false,"q":"0.01641578","V":"78.00000000","Q":"0.00182988","B":"0"}}
< {"e":"kline","E":1599828804297,"s":"BNBBTC","k":{"t":1599828780000,"T":1599828839999,"s":"BNBBTC","i":"1m","f":87599856,"L":87599935,"o":"0.00229400","c":"0.00229610","h":"0.00229710","l":"0.00229400","v":"417.88000000","n":80,"x":false,"q":"0.95933156","V":"406.63000000","Q":"0.93351653","B":"0"}}
< {"e":"kline","E":1599828804853,"s":"ETHBTC","k":{"t":1599828780000,"T":1599828839999,"s":"ETHBTC","i":"1m","f":193235180,"L":193235214,"o":"0.03551300","c":"0.03551700","h":"0.03551800","l":"0.03551300","v":"21.52300000","n":35,"x":false,"q":"0.76437246","V":"11.53400000","Q":"0.40962829","B":"0"}}
< {"e":"kline","E":1599828806303,"s":"BNBBTC","k":{"t":1599828780000,"T":1599828839999,"s":"BNBBTC","i":"1m","f":87599856,"L":87599938,"o":"0.00229400","c":"0.00229620","h":"0.00229710","l":"0.00229400","v":"420.34000000","n":83,"x":false,"q":"0.96497998","V":"406.63000000","Q":"0.93351653","B":"0"}}