Modeling example

binance-candles.py

class Candle(BaseCutsModel):
    open_time: int
    open: Decimal
    high: Decimal
    low: Decimal
    close: Decimal
    volume: Decimal
    close_time: int
    quote_asset_volume: Decimal
    number_of_trades: int
    taker_buy_base_asset_volume: Decimal
    taker_buy_quote_asset_volume: Decimal
    volume_ma: Decimal | None = None
    taker_buy_volume_ma: Decimal | None = None


async def get_candles(symbol: str, timeframe: Timeframes, limit: int = 529) -> List[Candle]:
    url = f"{BINANCE_BASE_URL}/fapi/v1/klines"
    params = {"symbol": symbol, "interval": timeframe.value, "limit": limit + 4}

    def _map_candle(x: list) -> Candle:
        return Candle(
            open_time=x[0],
            open=Decimal(x[1]),
            high=Decimal(x[2]),
            low=Decimal(x[3]),
            close=Decimal(x[4]),
            volume=Decimal(x[5]),
            close_time=x[6],
            quote_asset_volume=Decimal(x[7]),
            number_of_trades=x[8],
            taker_buy_base_asset_volume=Decimal(x[9]),
            taker_buy_quote_asset_volume=Decimal(x[10]),
        )

    async with aiohttp.ClientSession() as session:
        async with session.get(url, params=params) as response:
            data = await response.json()
            results = [_map_candle(x) for x in data]
            if len(results) == 0:
                return []

            # MA
            try:
                vol_ma = talib.SMA(np.array([float(x.quote_asset_volume) for x in results]), timeperiod=limit)
                taker_buy_vol_ma = talib.SMA(
                    np.array([float(x.taker_buy_quote_asset_volume) for x in results]), timeperiod=limit
                )
            except Exception:
                return []

            results[-1].volume_ma = Decimal(vol_ma[-1])
            results[-2].volume_ma = Decimal(vol_ma[-2])
            results[-1].taker_buy_volume_ma = Decimal(taker_buy_vol_ma[-1])
            results[-2].taker_buy_volume_ma = Decimal(taker_buy_vol_ma[-2])

            return results