使用python从币安爬取数字货币历史行情数据

需求说明

币安历史行情数据下载入口：https://data.binance.vision

futures：合约数据
spot：现货数据

下载url如下（2021年6月ETHUSDT的分钟K线数据）：

https://data.binance.vision/data/spot/monthly/klines/ETHUSDT/1m/ETHUSDT-1m-2021-06.zip

下载下来的是6月的K线数据合集的zip文件

下载指定时间范围的ETHUSDT的分钟K线数据，并把不同月份的分钟数据合并到一个文件。

代码实战

1. 使用request把指定时间范围的k线数据文件（zip文件）下载到本地
2. 使用ZipFile读取zip中的csv文件并用DataFrame解析csv文件
3. 合并所有DataFrame并导出合并后的csv文件

from datetime import datetime
from dateutil.relativedelta import relativedelta
import requests
import shutil
import pandas as pd
from logbook import Logger
import logbook
from zipfile import ZipFile
import time
import os

log = Logger('binance_data.py', level=logbook.INFO)

columns = ['Open time', 'Open', 'High', 'Low', 'Close', 'Volume', 'Close time', 'Quote asset volume', 'Number of trades', 'Taker buy base asset volume', 'Taker buy quote asset volume', 'Ignore']


def download_spot_klines(symbol, period, date: datetime, path):
    """
    下载现货K线历史行情数据
    :param symbol: 交易对
    :param period: 时间周期，比如：1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w, 1mo
    :param date: 日期
    :param path: 文件保存路径
    """

    # https://data.binance.vision/data/spot/monthly/klines/ETHUSDT/1m/ETHUSDT-1m-2021-06.zip

    url = 'https://data.binance.vision/data/spot/monthly/klines/%s/%s/%s-%s-%s-%02d.zip' % (symbol, period, symbol, period, date.year, date.month)

    log.info(url)

    with requests.get(url, stream=True) as r:
        with open(path, 'wb') as f:
            shutil.copyfileobj(r.raw, f)

    return path


def download_spot_klines_range(symbol, period, start: datetime, end: datetime, dir=''):
    """
    下载指定时间范围的币安现货K线历史行情数据
    :param symbol: 交易对
    :param period: 时间周期，比如：1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w, 1mo
    :param start: 开始日期
    :param end: 结束日期
    :param dir: 数据存放目录
    """

    # ETHUSDT/5m/ETHUSDT-5m-2017-11.zip

    if len(dir) > 0 and not dir.endswith('/'):
        dir += '/'

    os.makedirs('%s%s/%s' % (dir, symbol, period), exist_ok=True)

    while True:

        path = '%s%s/%s/%s-%s-%s-%02d.zip' % (dir, symbol, period, symbol, period, start.year, start.month)

        download_spot_klines(symbol, period, start, path)

        start = start + relativedelta(months=+1)

        if start > end:
            break

        time.sleep(2)


def read_history_file(zip_file, csv_file) -> pd.DataFrame:
    """
    读取历史数据文件
    :param zip_file: zip文件路径
    :param csv_file: csv文件路径
    """
    # ETHUSDT-5m-2017-08.csv
    zf = ZipFile(zip_file)
    file = zf.open(csv_file)
    df = pd.read_csv(file, header=None, names=columns)
    file.close()
    zf.close()
    return df


def merge_history_file(dir, output) -> pd.DataFrame:
    """
    合并历史数据
    :param dir: 历史数据文件存放目录
    :param output: 合并文件输出路径
    """
    merge_df = None

    for file in os.listdir(dir):
        log.info('merge %s to %s' % (file, output))

        df = read_history_file(dir + '/' + file, file.replace('.zip', '.csv'))

        merge_df = df if merge_df is None else pd.concat([merge_df, df])

    merge_df.to_csv(output, index=False)

    return merge_df



if __name__ == '__main__':

    download_spot_klines_range('ETHUSDT', '1m', start=datetime(2017, 8, 1), end=datetime(2021, 6, 1))

    merge_history_file('/ETHUSDT/1m', '/ETHUSDT/ETHUSDT-1m.csv')
    

合并后的数据如下：