Get OHLC/Candlestick data from Coinbase pro historical API in Python

coinbase-bars.py

# Licensed under the MIT License. See comment below for full licence information.

import requests
import pandas as pd
import time
from datetime import datetime,timedelta

apiUrl = "https://api.pro.coinbase.com"

sym = "ETH-USD"

barSize = "60"

timeEnd = datetime.now()

delta = timedelta(seconds = int(barSize))

timeStart = timeEnd - (300*delta)

timeStart = timeStart.isoformat()
timeEnd = timeEnd.isoformat()

parameters = {
        "start":timeStart,
        "end":timeEnd,
        "granularity":barSize,
        }

data = requests.get(f"{apiUrl}/products/{sym}/candles",
        params = parameters,
        headers = {"content-type":"application/json"})

df = pd.DataFrame(data.json(),
        columns = ["time","low","high","open","close","volume"])

df["date"] = pd.to_datetime(df["time"], unit='s')

df = df[["date","open","high","low","close"]]

df.set_index("date", inplace = True)

df = df.resample("3 min").agg({
    "open":"first",
    "high":"max",
    "low":"min",
    "close":"last"})

df.reset_index(inplace = True)

df = df.dropna()

print(df)

Copyright 2021 Chad Thackray

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Thanks for this! Does this work with the current coinbase advanced api now that pro is deprecated? I have been looking everywhere but cant find how to fetch historic candle data. Thanks in advance

Probably not if this API has been depreciated. Although it seems to be still a similar process: https://docs.cdp.coinbase.com/exchange/reference/exchangerestapi_getproductcandles