OKEx V5 Candlestick Data Paging Query Example Python Version

Since the OKEX V5 API allows a maximum of 100 candlesticks per call, pagination is required. Therefore, an example is provided on how to paginate requests to the candlestick API to obtain 1,440 candlestick data…

PythonTools & templates

Author: 发明者量化-小小梦
Complexity: Starter · 69 lines
Parameters: 0

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OKEX V5 KLine data paging query example

function main() {
    // Access API to retrieve data
    var r = GetRecords("ETH-USDT-SWAP", "1H")   // For example, obtainETH UPerpetual contract in base currency1HourKLine Data

    // Output data
    Log("KLine Data:", r)
    Log("KNumber of line data:", r.length)

    // Plot output
    $.PlotRecords(r, "K")

    // Simple verification
    for (var i = 0 ; i < r.length - 1 ; i++) {
        if (r[i + 1].Time - r[i].Time != 1000 * 60 * 60) {
            Log(_D(r[i + 1].Time), _D(r[i].Time), r[i + 1].Time - r[i].Time)
        }
    }
}

mainThe function is an example; other functions can be extracted for direct use.

Source Python

import json
import urllib.request

def encodeParams(params):
    ret = ""
    index = 0 
    for key in params:
        if index == 0:
            ret += key + "=" + str(params[key])
        else :
            ret += "&" + key + "=" + str(params[key])
        index += 1
    return ret 

def GetRecords(symbol, period):
    arr = []
    after = 0
    while True:
        params = {
            "instId": symbol,
            "bar": period,
            "limit": 100,
        }
        if after != 0 :
            params["after"] = after
        query = encodeParams(params)        
        try :
            headers = {
                'Accept':'text/html,application/xhtml+xml,application/xml;q=0.9,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3',
                'Accept-Language':'zh-CN,zh;q=0.9',
                'Connection':'keep-alive',
                'Cookie':'uuid_tt_dd=10_35489889920-1563497330616-876822; ...... ',
                'User-Agent':'Mozilla/5.0 (Windows NT 6.1; WOW64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/76.0.3809.100 Safari/537.36'
            }           

            url = "https://www.okex.com/api/v5/market/candles?" + query
            req = urllib.request.Request(url=url,headers=headers)
            r = json.loads(urllib.request.urlopen(req).read().decode('utf-8'))["data"]
            for i in range(len(r)):
                record = {}
                record["Time"] = int(r[i][0])
                record["High"] = float(r[i][2])
                record["Open"] = float(r[i][1])
                record["Low"] = float(r[i][3])
                record["Close"] = float(r[i][4])
                record["Volume"] = float(r[i][5])
                arr.append(record)
                after = record["Time"]
            if len(arr) >= 1440 or len(r) == 0:
                break
        except Exception as e:
            Log(e)
            return 
        Sleep(1000)
    arr.reverse()    
    return arr 
    
def main():
    r = GetRecords("ETH-USDT-SWAP", "1H")
    
    Log("KLine Data:", r)
    Log("KNumber of line data:", len(r))
    
    ext.PlotRecords(r, "K")
    
    for i in range(len(r) - 1):
        if r[i + 1]["Time"] - r[i]["Time"] != 1000 * 60 * 60:
            Log(_D(r[i + 1]["Time"] / 1000), _D(r[i]["Time"] / 1000), r[i + 1]["Time"] - r[i]["Time"])

Published by 发明者量化-小小梦 on the FMZ strategy square · last modified 2021-09-16. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.

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OKEX V5 KLine data paging query example

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