fetch-gdax-ohlcv-sequentially.py

# -*- coding: utf-8 -*-

import os
import sys
import time

root = os.path.dirname(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
sys.path.append(root + '/python')

import ccxt  # noqa: E402

# -----------------------------------------------------------------------------
# common constants

msec = 1000
minute = 60 * msec
hold = 30

# -----------------------------------------------------------------------------

exchange = ccxt.gdax({
    'rateLimit': 3000,
    'enableRateLimit': True,
    # 'verbose': True,
})

# -----------------------------------------------------------------------------

from_datetime = '2017-09-01 00:00:00'
from_timestamp = exchange.parse8601(from_datetime)

# -----------------------------------------------------------------------------

now = exchange.milliseconds()

# -----------------------------------------------------------------------------

data = []

while from_timestamp < now:

    try:

        print(exchange.milliseconds(), 'Fetching candles starting from', exchange.iso8601(from_timestamp))
        ohlcvs = exchange.fetch_ohlcv('BTC/USD', '1m', from_timestamp)
        print(exchange.milliseconds(), 'Fetched', len(ohlcvs), 'candles')
        from_timestamp = ohlcvs[-1][0]
        data += ohlcvs

    except (ccxt.ExchangeError, ccxt.AuthenticationError, ccxt.ExchangeNotAvailable, ccxt.RequestTimeout) as error:

        print('Got an error', type(error).__name__, error.args, ', retrying in', hold, 'seconds...')
        time.sleep(hold)