sammchardy

# uses the date_to_milliseconds and interval_to_milliseconds functions
# https://gist.github.com/sammchardy/3547cfab1faf78e385b3fcb83ad86395
# https://gist.github.com/sammchardy/fcbb2b836d1f694f39bddd569d1c16fe

from binance.client import Client
import time

def get_historical_klines(symbol, interval, start_str, end_str=None):
    """Get Historical Klines from Binance

sammchardy

def interval_to_milliseconds(interval):
    """Convert a Binance interval string to milliseconds

    :param interval: Binance interval string 1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w
    :type interval: str

    :return:
         None if unit not one of m, h, d or w
         None if string not in correct format
         int value of interval in milliseconds

sammchardy

# requires dateparser package
import dateparser
import pytz
from datetime import datetime


def date_to_milliseconds(date_str):
    """Convert UTC date to milliseconds

    If using offset strings add "UTC" to date string e.g. "now UTC", "11 hours ago UTC"

sammchardy

Ninj0r admin, [Oct 20, 2017, 9:18:55 AM]:
It's a three step process:
1) Start listening to the stream and buffering the messages
2) Get a depth snapshot
3) replay the buffered messages and the live messges.

Depth updates have two variables, u and U

U is the initial updateId, and u is the final updateId. There can be multiple updates "compressed" into a single update that comes out via the web socket stream.