python - 如何处理来自 binance websocket 的多流数据？

Question

我正在使用 unicorn_binance_websocket_api 从 2 个不同的时间范围流式传输 100 个加密货币的价格数据，我想处理这些数据以存储不同加密货币各自时间范围的收盘价，然后执行我的策略以查看我需要交易的加密货币和时间范围

我将分享有关我如何能够为单个加密货币和单个时间范围编写策略的代码

from unicorn_binance_websocket_api.unicorn_binance_websocket_api_manager import
BinanceWebSocketApiManager
import json, numpy, talib

binance_websocket_api_manager = BinanceWebSocketApiManager(exchange="binance.com-futures")

binance_websocket_api_manager.create_stream('kline_1m', 'btcusdt')


closes =[]

RSI_PERIOD = 14
RSI_OVERBOUGHT = 70
RSI_OVERSOLD = 30

while True:
received_stream_data_json = binance_websocket_api_manager.pop_stream_data_from_stream_buffer()
if received_stream_data_json:
    json_data = json.loads(received_stream_data_json)
    candle_data = json_data.get('data',{})
    candle = candle_data.get('k', {})

    symboll = candle.get('s',{})
    timeframe = candle.get('i',{})
    close_prices = candle.get('c',{})
    open_prices = candle.get('o',{})
    is_candle_closed = candle.get('x',{})

    if is_candle_closed:
        closes.append(float(close_prices))

    if len(closes) > RSI_PERIOD:
        np_closes = numpy.array(closes)
        rsi = talib.RSI(np_closes,RSI_PERIOD)
        
    if (rsi[-1] > RSI_OVERBOUGHT):
        print("SELL")

    elif (rsi[-1] < RSI_OVERSOLD):
        print('BUY')

Answer 1

您只需使用 subscribe_to_stream 函数并附加您想要观看的其他 channel 和市场。我试图通过 python-binance 库手动编写它，但它看起来很粗糙、笨拙且效率低下。所以我发现了你的问题并决定改用这个 unicorn 库，我得说，它非常棒。这是我的解决方案，你不需要使用 asyncio btw

   class BinanceWs:

    def __init__(self, channels, markets):
        market = 'btcusdt'
        tf = 'kline_1w'
        self.binance_websocket_api_manager = BinanceWebSocketApiManager(exchange="binance.com-futures")
        stream = self.binance_websocket_api_manager.create_stream(tf, market)
        self.binance_websocket_api_manager.subscribe_to_stream(stream, channels, markets)

    async def run(self):
        while True:
            received_stream_data_json = self.binance_websocket_api_manager.pop_stream_data_from_stream_buffer()
            if received_stream_data_json:
                json_data = json.loads(received_stream_data_json)
                candle_data = json_data.get('data', {})

                candle = candle_data.get('k', {})
                symbol = candle.get('s', {})
                timeframe = candle.get('i', {})
                close_prices = candle.get('c', {})
                open_prices = candle.get('o', {})
                is_candle_closed = candle.get('x', {})
                print(candle_data)
                # do stuff with data ... 

async def main():
    tasks = []

    channels = ['kline_1m', 'kline_5m', 'kline_15m', 'kline_30m', 'kline_1h', 'kline_12h', 'miniTicker']
    markets = {'btcusdt', 'ethusdt', 'ltcusdt'}

    print(f'Main starting streams ... ')
    kl_socket = BinanceWs(channels=channels, markets=markets)
    task = await kl_socket.run()
    tasks.append(task)
    print(tasks)
    await asyncio.gather(*tasks)


if __name__ == "__main__":
    asyncio.run(main())