Martin Molinero
77 lines
3.1 KiB
C#
77 lines
3.1 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Globalization;
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using QuantConnect.Configuration;
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using QuantConnect.Logging;
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using System.Threading;
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using QuantConnect.Util;
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namespace QuantConnect.ToolBox.GDAXDownloader
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{
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public static class GDAXDownloaderProgram
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{
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/// <summary>
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/// GDAX Downloader Toolbox Project For LEAN Algorithmic Trading Engine.
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/// </summary>
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public static void GDAXDownloader(IList<string> tickers, string resolution, DateTime fromDate, DateTime toDate)
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{
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Thread.CurrentThread.CurrentCulture = new CultureInfo("en-US");
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if (resolution.IsNullOrEmpty() || tickers.IsNullOrEmpty())
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{
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Console.WriteLine("GDAXDownloader ERROR: '--tickers=' or '--resolution=' parameter is missing");
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Console.WriteLine("--tickers=ETH-USD,ETH-BTC,BTC-USD,etc.");
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Console.WriteLine("--resolution=Second/Minute/Hour/Daily");
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Environment.Exit(1);
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}
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var castResolution = (Resolution) Enum.Parse(typeof(Resolution), resolution);
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try
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{
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// Load settings from config.json
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var dataDirectory = Config.Get("data-directory", "../../../Data");
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//todo: will download any exchange but always save as gdax
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// Create an instance of the downloader
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const string market = Market.GDAX;
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var downloader = new GDAXDownloader();
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foreach (var ticker in tickers)
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{
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// Download the data
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var symbolObject = Symbol.Create(ticker, SecurityType.Crypto, market);
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var data = downloader.Get(symbolObject, castResolution, fromDate, toDate);
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// Save the data
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var writer = new LeanDataWriter(castResolution, symbolObject, dataDirectory, TickType.Trade);
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var distinctData = data.GroupBy(i => i.Time, (key, group) => group.First()).ToArray();
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writer.Write(distinctData);
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}
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Log.Trace("Finish data download. Press any key to continue..");
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}
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catch (Exception err)
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{
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Log.Error(err);
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Log.Trace(err.Message);
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Log.Trace(err.StackTrace);
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}
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Console.ReadLine();
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}
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}
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}
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