Initial import: grid-bot — grid trading bot for BTC-USDT on Cifra Markets

kronos/data_source.py

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+"""
+Data sources for Kronos advisor.
+
+Two flavours:
+  - TradernetHlocSource: production, uses Tradernet API (needs PRIVATE_KEY)
+  - BinancePublicSource: public, no auth, for offline tests & fallback
+
+Both expose the same interface:
+  fetch_ohlcv(lookback: int) -> pd.DataFrame
+    with columns ['open','high','low','close','volume'] and DatetimeIndex
+"""
+
+from __future__ import annotations
+
+import logging
+import time
+from typing import Optional
+
+import pandas as pd
+import requests
+
+logger = logging.getLogger(__name__)
+
+
+# Map our SYMBOL (Tradernet format) → Binance symbol
+SYMBOL_MAP_TRADERNET_TO_BINANCE = {
+    "BTC-USDT.IMEX": "BTCUSDT",
+    "ETH-USDT.IMEX": "ETHUSDT",
+    "SOL-USDT.IMEX": "SOLUSDT",
+    "TON-USDT.IMEX": "TONUSDT",
+}
+
+
+class TradernetHlocSource:
+    """
+    Тянет OHLCV с Tradernet (продакшн).
+    Требует приватный ключ → не используй в офлайн-тестах.
+    """
+
+    def __init__(self, api, symbol: str, tf_min: int = 60):
+        self.api = api           # экземпляр TradernetAPI
+        self.symbol = symbol
+        self.tf_min = tf_min
+
+    def fetch_ohlcv(self, lookback: int = 500, timeout: float = 20.0) -> pd.DataFrame:
+        # Берём запас побольше — на случай пропусков
+        # ВАЖНО: Tradernet по (date_from="", date_to="", count=N) возвращает
+        # САМЫЕ СТАРЫЕ N свечей, а не свежие. Подставляем явный date_to=NOW.
+        from datetime import datetime, timedelta
+        now = datetime.now()
+        # lookback свечей × tf_min минут = сколько часов назад начинать
+        hours_back = max(1, int(lookback * self.tf_min / 60) + 1)
+        date_from = (now - timedelta(hours=hours_back)).strftime("%d.%m.%Y %H:%M")
+        date_to = now.strftime("%d.%m.%Y %H:%M")
+        resp = self.api.get_hloc_sync(
+            ticker=self.symbol,
+            timeframe_min=self.tf_min,
+            date_from=date_from,
+            date_to=date_to,
+            count=0,  # count=0 — берём только между датами
+            timeout=timeout,
+        )
+        if not resp or "hloc" not in resp:
+            raise RuntimeError(f"Tradernet getHloc returned empty for {self.symbol}")
+
+        hloc_map = resp["hloc"]
+        x_map = resp.get("xSeries", {})
+        vl_map = resp.get("vl", {})
+
+        rows = hloc_map.get(self.symbol) or next(iter(hloc_map.values()))
+        ts_list = x_map.get(self.symbol) or next(iter(x_map.values()), [])
+        vols = vl_map.get(self.symbol) or next(iter(vl_map.values()), []) if vl_map else []
+
+        if not rows or not ts_list:
+            raise RuntimeError(f"Tradernet getHloc: empty series for {self.symbol}")
+
+        df = pd.DataFrame(rows, columns=["open", "high", "low", "close"])
+        df["volume"] = vols if len(vols) == len(df) else 0.0
+        # xSeries — unix-секунды
+        df.index = pd.to_datetime(ts_list, unit="s", utc=True).tz_convert(None)
+        df = df.sort_index()
+        return df.tail(lookback)
+
+
+class BinancePublicSource:
+    """
+    Публичный API Binance (https://api.binance.com). Без ключей.
+    Используется для offline-тестов Kronos и как fallback, если Tradernet недоступен.
+    """
+
+    BASE_URL = "https://api.binance.com"
+
+    def __init__(self, symbol: str, tf_min: int = 60):
+        # symbol в формате Binance: BTCUSDT
+        self.symbol = symbol
+        self.tf_min = tf_min
+
+    @classmethod
+    def from_tradernet(cls, tradernet_symbol: str, tf_min: int = 60) -> "BinancePublicSource":
+        """Конвертирует Tradernet-символ в Binance-символ."""
+        bsym = SYMBOL_MAP_TRADERNET_TO_BINANCE.get(tradernet_symbol)
+        if not bsym:
+            raise ValueError(f"No Binance mapping for {tradernet_symbol}")
+        return cls(bsym, tf_min)
+
+    def fetch_ohlcv(self, lookback: int = 500, timeout: float = 20.0) -> pd.DataFrame:
+        # Binance: 1m/3m/5m/15m/30m/1h/2h/4h/... (не "60m", а "1h")
+        interval_map = {1: "1m", 3: "3m", 5: "5m", 15: "15m", 30: "30m",
+                        60: "1h", 120: "2h", 240: "4h", 360: "6h",
+                        720: "12h", 1440: "1d"}
+        interval = interval_map.get(self.tf_min, f"{self.tf_min}m")
+        limit = min(1000, lookback)
+        url = f"{self.BASE_URL}/api/v3/klines"
+        params = {"symbol": self.symbol, "interval": interval, "limit": limit}
+
+        r = requests.get(url, params=params, timeout=timeout)
+        r.raise_for_status()
+        data = r.json()
+        if not data:
+            raise RuntimeError(f"Binance returned empty for {self.symbol}")
+
+        cols = ["open_time", "open", "high", "low", "close", "volume",
+                "close_time", "quote_vol", "trades", "taker_buy_base", "taker_buy_quote", "_"]
+        df = pd.DataFrame(data, columns=cols)
+        for c in ("open", "high", "low", "close", "volume"):
+            df[c] = df[c].astype(float)
+        df.index = pd.to_datetime(df["open_time"], unit="ms", utc=True)
+        df.index = df.index.tz_convert(None)
+        df = df[["open", "high", "low", "close", "volume"]].sort_index()
+        return df.tail(lookback)