Makes repeated requests to Coinbase's historical candle data. Adjust granularity if desired.

coinbase-scrape.py

import requests
import pprint
import time
import csv
from datetime import datetime
from dateutil.relativedelta import relativedelta

entries = []
granularity = 900
chunk_size = relativedelta(seconds=granularity * 300)
grab_time = datetime.utcnow() - relativedelta(years=3)
while 1:
    # Our loop exit condition
    if grab_time > datetime.utcnow():
        break
    # Get the coinbase entries
    start = grab_time.isoformat()
    end = (grab_time + chunk_size).isoformat()
    req = "https://api.pro.coinbase.com/products/BTC-USD/candles?granularity={}&start={}&end={}".format(
        granularity, start, end)
    print(req)
    res = requests.get(req)
    # Convert the output to our universal format
    processed = [{"ts": r[0], "open": r[1], "high": r[2], "low": r[3], "close": r[4], "volume": r[5], "exchange": "coinbase"} for r in res.json()]
    print("Got {} entries from {} to {}".format(len(processed), start, end))
    entries.extend(processed)
    grab_time = grab_time + chunk_size
    time.sleep(0.35) # They allow 3 req/s. Sloppy

with open('coinbase-3year.csv', 'w') as csvfile:
    writer = csv.writer(csvfile)
    writer.writerow(['open', 'high', 'low', 'close', 'volume', 'datetime', 'timestamp'])
    for e in entries:
        writer.writerow([e['open'], e['high'], e['low'], e['close'], e['volume'], datetime.utcfromtimestamp(e['ts']), e['ts']])