(feat) add download candles

hummingbot_files/bots/data_downloader/scripts/download_candles.py

@@ -0,0 +1,61 @@
+import os
+from typing import Dict
+
+from hummingbot import data_path
+from hummingbot.client.hummingbot_application import HummingbotApplication
+from hummingbot.connector.connector_base import ConnectorBase
+from hummingbot.data_feed.candles_feed.candles_factory import CandlesConfig, CandlesFactory
+from hummingbot.strategy.script_strategy_base import ScriptStrategyBase
+
+
+class DownloadCandles(ScriptStrategyBase):
+    """
+    This script provides an example of how to use the Candles Feed to download and store historical data.
+    It downloads 3-minute candles for 3 Binance trading pairs ["APE-USDT", "BTC-USDT", "BNB-USDT"] and stores them in
+    CSV files in the /data directory. The script stops after it has downloaded 50,000 max_records records for each pair.
+    Is important to notice that the component will fail if all the candles are not available since the idea of it is to
+    use it in production based on candles needed to compute technical indicators.
+    """
+    exchange = os.getenv("EXCHANGE", "binance_perpetual")
+    trading_pairs = os.getenv("TRADING_PAIRS", "DODO-BUSD,LTC-USDT").split(",")
+    intervals = os.getenv("INTERVALS", "1m,3m,5m,1h").split(",")
+    days_to_download = int(os.getenv("DAYS_TO_DOWNLOAD", "3"))
+    # we can initialize any trading pair since we only need the candles
+    markets = {"binance_paper_trade": {"BTC-USDT"}}
+
+    @staticmethod
+    def get_max_records(days_to_download: int, interval: str) -> int:
+        conversion = {"s": 1 / 60, "m": 1, "h": 60, "d": 1440}
+        unit = interval[-1]
+        quantity = int(interval[:-1])
+        return int(days_to_download * 24 * 60 / (quantity * conversion[unit]))
+
+    def __init__(self, connectors: Dict[str, ConnectorBase]):
+        super().__init__(connectors)
+        combinations = [(trading_pair, interval) for trading_pair in self.trading_pairs for interval in self.intervals]
+
+        self.candles = {f"{combinations[0]}_{combinations[1]}": {} for combinations in combinations}
+        # we need to initialize the candles for each trading pair
+        for combination in combinations:
+
+            candle = CandlesFactory.get_candle(CandlesConfig(connector=self.exchange, trading_pair=combination[0], interval=combination[1], max_records=self.get_max_records(self.days_to_download, combination[1])))
+            candle.start()
+            # we are storing the candles object and the csv path to save the candles
+            self.candles[f"{combination[0]}_{combination[1]}"]["candles"] = candle
+            self.candles[f"{combination[0]}_{combination[1]}"][
+                "csv_path"] = data_path() + f"/candles_{self.exchange}_{combination[0]}_{combination[1]}.csv"
+
+    def on_tick(self):
+        for trading_pair, candles_info in self.candles.items():
+            if not candles_info["candles"].is_ready:
+                self.logger().info(f"Candles not ready yet for {trading_pair}! Missing {candles_info['candles']._candles.maxlen - len(candles_info['candles']._candles)}")
+                pass
+            else:
+                df = candles_info["candles"].candles_df
+                df.to_csv(candles_info["csv_path"], index=False)
+        if all(candles_info["candles"].is_ready for candles_info in self.candles.values()):
+            HummingbotApplication.main_application().stop()
+
+    def on_stop(self):
+        for candles_info in self.candles.values():
+            candles_info["candles"].stop()