ccxt fetch all candles

ccxt_fetch_all_candles.py

async def fetch_all_candles(self, symbol, timeframe='1d', limit=5000, end_time=None):
    """If `end_time` is passed it is inclusive in results.

    This will page through all results and remove the duplicate record, finally make an extra call which will be
    empty and break the generator. Had to make the extra call as `limit` was not always max 5000 sometimes it
    returned 5001 or even 4995, so it was impossible to just break if the len() was < 5000.

    Ccxt paging with `since` is broken, so we must use params end_time and hack the start_time to 0 else
    library code will override and break pagination.
    """
    end_time = int(time.time()) if not end_time else end_time
    while True:
        candles = await self.fetch_candles(symbol, timeframe=timeframe, limit=limit,
                                           params={'end_time': end_time, 'start_time': 0})
        if not candles:
            break
        yield candles
        end_time = int(candles[0].timestamp / 1000) - self.api.parse_timeframe(timeframe)

fetch_candles is a proxy method with retry code and model wrapper. Replace with ccxt's fetch_ohlcv.

Client code should look like:

async for candles in exchange.fetch_all_candles('BTC-PERP', '1m'):
    print(candles)