cryptocompare.py

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime
import json
import requests
import struct

from backtrader.feed import DataBase
from backtrader import date2num
from backtrader import TimeFrame


class CryptoCompare(DataBase):
    def __init__(self, exchange, symbol):
        super(CryptoCompare, self).__init__()
        self.exchange = exchange
        self.symbol = symbol
        url_raw = "https://min-api.cryptocompare.com/data/histominute?fsym={}&tsym={}&limit=1440&e={}"
        url = url_raw.format(self.symbol.split("/")[0], self.symbol.split("/")[1], self.exchange.title())
        self.result = json.loads(requests.get(url).text)
        self.candles = self.result["Data"]
        self.candles_iter = iter(self.candles)

    def _load(self):
        try:
            candle = next(self.candles_iter)
        except StopIteration:
            return False

        self.l.datetime[0] = date2num(datetime.datetime.fromtimestamp(candle["time"]))
        self.l.open[0] = candle["open"]
        self.l.high[0] = candle["high"]
        self.l.low[0] = candle["low"]
        self.l.close[0] = candle["close"]
        self.l.volume[0] = candle["volumeto"]

        return True