ftx.ipynb

ftx.ipynb

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  "metadata": {
    "colab": {
      "name": "ftx.ipynb",
      "provenance": [],
      "collapsed_sections": [],
      "toc_visible": true,
      "authorship_tag": "ABX9TyOOfEYad603FRHpqgMOYb+R",
      "include_colab_link": true
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    "kernelspec": {
      "name": "python3",
      "display_name": "Python 3"
    },
    "language_info": {
      "name": "python"
    }
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  "cells": [
    {
      "cell_type": "markdown",
      "metadata": {
        "id": "view-in-github",
        "colab_type": "text"
      },
      "source": [
        "<a href=\"https://colab.research.google.com/gist/shinseitaro/05d7344bacaa95889b32667c6d425929/ftx.ipynb\" target=\"_parent\"><img src=\"https://colab.research.google.com/assets/colab-badge.svg\" alt=\"Open In Colab\"/></a>"
      ]
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "id": "6q9Zd6oO_-xT"
      },
      "source": [
        "# FTX の Public API で遊ぶ\n",
        "\n",
        "[quan-digital/ftx at v1.1](https://github.com/quan-digital/ftx/tree/v1.1)\n",
        "\n"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "FpdXAIR-7_5v"
      },
      "source": [
        "# install \n",
        "!pip install ftx ciso8601\n"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "w5aSkH2K8BuO"
      },
      "source": [
        "import ftx\n",
        "import pandas as pd \n",
        "from datetime import datetime \n",
        "\n",
        "# get client \n",
        "client = ftx.FtxClient()"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "id": "c_0UwhYcKgve"
      },
      "source": [
        "## マーケット情報"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "h9kyTfJDH-Ab"
      },
      "source": [
        "# FTX に上場されている全ての銘柄を取得\n",
        "# spot, perpetual futures, expiring futures, and MOVE \n",
        "pd.DataFrame(client.get_markets())"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "_PN3MDS9sJEG"
      },
      "source": [
        "# 特定の銘柄だけ取得\n",
        "client.get_market(\"BTC/USD\")"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "5HDIrMV0IMm5"
      },
      "source": [
        "# Futures だけ取得\n",
        "pd.DataFrame(client.get_futures())"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "gQxqZmt9sA2d"
      },
      "source": [
        "# 特定の先物だけ取得\n",
        "client.get_future(\"XRP-PERP\")"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "exktBF10I7eC"
      },
      "source": [
        "# 先物のStats\n",
        "client.get_future_stats(\"ZRX-PERP\")"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "rFTECm2pKRH5"
      },
      "source": [
        "# 現在のFR\n",
        "pd.DataFrame(client.get_funding_rates())"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "DOYMK0hgsaF7"
      },
      "source": [
        ""
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "markdown",
      "metadata": {
        "id": "i67dwU1VHEYk"
      },
      "source": [
        "## データ取得"
      ]
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "_twSFxUL8JKD"
      },
      "source": [
        "# get current order book\n",
        "client.get_orderbook('BTC/USD', 1)"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "vi4CurTy8oLA"
      },
      "source": [
        "# get current BTC/USD market data and convert to pd.Series\n",
        "pd.Series(client.get_market(\"BTC/USD\"))"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "jZTGzoLx8wGi"
      },
      "source": [
        "# Get trades\n",
        "# リミット指定しなければ、結果は client.get_all_trades(\"BTC/USD\") と同じ\n",
        "df_trades = pd.DataFrame(client.get_trades(\"BTC/USD\",))\n",
        "df_trades.head()"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "TTIYmfhOBmaA"
      },
      "source": [
        "df_trades[df_trades[\"side\"]==\"buy\"].head()"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "q3IPD8H1Bi78"
      },
      "source": [
        "df_trades[df_trades[\"side\"]==\"sell\"].head()"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "63lgSzTG_SQS"
      },
      "source": [
        "# Get OHLCV and convert to DataFrame \n",
        "x = client.get_historical_data(\"BTC/USD\",\n",
        "                               resolution=300, #window length in seconds. options: 15, 60, 300, 900, 3600, 14400, 86400\n",
        "                               limit=5000, # max 5000\n",
        "                               start_time=datetime(2021,1,1).timestamp(), \n",
        "                               end_time=datetime(2021,1,3).timestamp()\n",
        "                               )\n",
        "\n",
        "df_btcusd_5min = pd.DataFrame(x)"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "lyQTpr7CD5I_"
      },
      "source": [
        "# doc には、time という結果の記載はない\n",
        "# https://docs.ftx.com/#get-historical-prices\n",
        "\n",
        "df_btcusd_5min.head()"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "FyvI3LZ3F2Kn"
      },
      "source": [
        "# 直近のデータを取得\n",
        "resolution = 15\n",
        "limit = 5000\n",
        "end_time = datetime.now().timestamp()\n",
        "start_time = end_time - resolution * limit\n",
        "\n",
        "y = client.get_historical_data(\"BTC/USD\",\n",
        "                               resolution=resolution,\n",
        "                               limit=limit,\n",
        "                               start_time=start_time, \n",
        "                               end_time=end_time\n",
        "                               )\n",
        "pd.DataFrame(y).tail()"
      ],
      "execution_count": null,
      "outputs": []
    },
    {
      "cell_type": "code",
      "metadata": {
        "id": "ztnVo2f6tk0Z"
      },
      "source": [
        ""
      ],
      "execution_count": null,
      "outputs": []
    }
  ]
}