mirror of
https://github.com/webclinic017/drift.git
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Mark Aron Szulyovszky
42 lines
1.5 KiB
Python
42 lines
1.5 KiB
Python
import pandas as pd
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import ssl
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from tqdm import tqdm
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from data_loader.utils import deduplicate_indexes
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from utils.resample import resample_ohlc
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base_url = "https://www.cryptodatadownload.com/cdd/"
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exchange_name = "Bitfinex"
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period = "minute" # 1h
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files_to_download = [
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exchange_name + "_TRXUSD_" + period + ".csv",
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exchange_name + "_ETHUSD_" + period + ".csv",
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exchange_name + "_XLMUSD_" + period + ".csv",
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exchange_name + "_XMRUSD_" + period + ".csv",
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exchange_name + "_LTCUSD_" + period + ".csv",
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exchange_name + "_DASHUSD_" + period + ".csv",
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exchange_name + "_BTCUSD_" + period + ".csv",
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exchange_name + "_ETCUSD_" + period + ".csv",
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]
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for file in tqdm(files_to_download):
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data_location = base_url + file
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ssl._create_default_https_context = ssl._create_unverified_context
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data = pd.read_csv(data_location, skiprows=1, index_col=1, parse_dates=True).drop(
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columns=["unix"]
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)
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volume_column_to_delete = [
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c for c in data.columns if c.startswith("Volume") and "USD" not in c
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]
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data.drop(volume_column_to_delete + ["symbol"], axis=1, inplace=True)
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data.rename({"Volume USD": "volume"}, axis=1, inplace=True)
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data.index.rename("time", inplace=True)
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data.sort_index(inplace=True)
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data = deduplicate_indexes(data)
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data.index = pd.to_datetime(data.index)
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data = data.resample("1Min").ffill()
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data = resample_ohlc(data, "5Min")
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target_file = file.split("_")[1].replace("USD", "") + "_USD"
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data.to_csv(f"data/5min_crypto/{target_file}.csv")
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