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Extend price data by klines OHLC #39

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Extend price data by klines OHLC #39

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16 changes: 11 additions & 5 deletions CryptoPrice/common/prices.py
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Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,10 @@

@dataclass(frozen=True)
class Price:
value: float
high: float
low: float
open: float
close: float
asset: str
ref_asset: str
timestamp: int
Expand All @@ -16,7 +19,10 @@ class Price:

@dataclass(frozen=True)
class MetaPrice:
value: float
high: float
low: float
open: float
close: float
asset: str
ref_asset: str
prices: List[Union[Price, MetaPrice]]
Expand All @@ -41,7 +47,7 @@ def mean_from_meta_price(meta_prices: List[MetaPrice]) -> MetaPrice:
for meta_price in meta_prices:
if (asset, ref_asset) != (meta_price.asset, meta_price.ref_asset):
raise ValueError("asset and ref asset are inconsistent")
cum_value += meta_price.value
cum_value += meta_price.close
source.update(meta_price.source)
return MetaPrice(cum_value / len(meta_prices), asset, ref_asset, meta_prices, source=source)

Expand All @@ -66,9 +72,9 @@ def from_price_path(assets: List[str], price_path: List[Price]) -> MetaPrice:
for i, price in enumerate(price_path):
current_asset, next_asset = assets[i:i + 2]
if price.asset == next_asset:
cumulated_price /= price.value
cumulated_price /= price.close
else:
cumulated_price *= price.value
cumulated_price *= price.close
source.add(price.source)
return MetaPrice(cumulated_price, assets[0], assets[-1], price_path, source=source)

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2 changes: 1 addition & 1 deletion CryptoPrice/retrievers/KlineRetriever.py
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Original file line number Diff line number Diff line change
Expand Up @@ -85,7 +85,7 @@ def _get_closest_price(self, asset: str, ref_asset: str, timestamp: int) -> Opti
closest_open_timestamp, self.closest_window)

if closest_kline is not None:
return Price(closest_kline.open, asset, ref_asset, closest_kline.open_timestamp, closest_kline.source)
return Price(closest_kline.high, closest_kline.low, closest_kline.open, closest_kline.close, asset, ref_asset, closest_kline.open_timestamp, closest_kline.source)

msg = f"no Kline found for {asset}, {ref_asset}, {self.kline_timeframe.name}, {timestamp}," \
f" w={self.closest_window}"
Expand Down