128 lines
4.9 KiB
Python
128 lines
4.9 KiB
Python
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# data_manager/data_structure/binance_kline.py
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from typing import List
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from .kline_base import KlineBase
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import datetime
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import pytz
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import pandas as pd
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class BinanceKline(KlineBase):
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"""
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Binance K线数据类，继承自KlineBase，包含Binance特有的额外字段。
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"""
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def __init__(self, raw_data: List):
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"""
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从Binance API返回的原始数据列表初始化。
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Args:
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raw_data: Binance API返回的单个K线数据列表，格式如下：
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[
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1764837300000, // 开盘时间戳
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'3180.66', // 开盘价
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'3186.50', // 最高价
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'3180.66', // 最低价
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'3182.22', // 收盘价
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'1281.633', // 成交量
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1764837599999, // 收盘时间戳
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'4080178.49870', // 成交额
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2411, // 成交笔数
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'730.307', // 主动买入成交量
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'2324986.16889', // 主动买入成交额
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'0' // 请忽略该参数
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]
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"""
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# 解析Binance特有的字段
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open_time_ms = raw_data[0]
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open_price = float(raw_data[1])
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high_price = float(raw_data[2])
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low_price = float(raw_data[3])
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close_price = float(raw_data[4])
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volume = float(raw_data[5]) # BTC
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close_time_ms = raw_data[6]
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quote_asset_volume = float(raw_data[7]) # USDT
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trade_count = raw_data[8] # 成交笔数
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taker_buy_volume = float(raw_data[9]) # 主动买入成交量 (BTC)
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taker_buy_quote_volume = float(raw_data[10]) # 主动买入成交额 (USDT)
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ignore = raw_data[11] # 忽略
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# 调用父类构造函数，传入必需的OHLCV信息
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super().__init__(
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open_time=open_time_ms,
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close_time=close_time_ms,
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open_price=open_price,
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high_price=high_price,
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low_price=low_price,
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close_price=close_price,
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volume=volume
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)
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# Binance特有的字段
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self.quote_asset_volume = quote_asset_volume # 成交额
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self.trade_count = trade_count # 成交笔数
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self.taker_buy_volume = taker_buy_volume # 主动买入成交量
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self.taker_buy_quote_volume = taker_buy_quote_volume # 主动买入成交额
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@property
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def open_datetime(self) -> datetime:
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"""获取开盘时间的datetime对象 (转换为北京时间)"""
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# 1. 将毫秒时间戳转换为UTC datetime对象 (pandas.to_datetime 会自动处理)
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utc_dt = pd.to_datetime(self.open_time, unit='ms', utc=True)
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# 2. 设置为UTC时区 (确保是UTC)
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utc_dt = utc_dt.tz_convert('UTC')
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# 3. 转换为北京时间 (Asia/Shanghai)
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beijing_tz = pytz.timezone('Asia/Shanghai')
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beijing_dt = utc_dt.tz_convert(beijing_tz)
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return beijing_dt.to_pydatetime() # 转换回普通datetime对象
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@property
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def close_datetime(self) -> datetime:
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"""获取收盘时间的datetime对象 (转换为北京时间)"""
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# 1. 将毫秒时间戳转换为UTC datetime对象 (pandas.to_datetime 会自动处理)
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utc_dt = pd.to_datetime(self.close_time, unit='ms', utc=True)
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# 2. 设置为UTC时区 (确保是UTC)
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utc_dt = utc_dt.tz_convert('UTC')
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# 3. 转换为北京时间 (Asia/Shanghai)
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beijing_tz = pytz.timezone('Asia/Shanghai')
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beijing_dt = utc_dt.tz_convert(beijing_tz)
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return beijing_dt.to_pydatetime() # 转换回普通datetime对象
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def to_dict(self) -> dict:
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"""
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将K线数据转换为字典格式。
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包含所有Binance特有的字段。
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"""
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base_dict = {
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'open_time': self.open_time,
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'close_time': self.close_time,
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'open_price': self.open_price,
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'high_price': self.high_price,
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'low_price': self.low_price,
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'close_price': self.close_price,
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'volume': self.volume,
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'quote_asset_volume': self.quote_asset_volume,
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'trade_count': self.trade_count,
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'taker_buy_volume': self.taker_buy_volume,
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'taker_buy_quote_volume': self.taker_buy_quote_volume
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}
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return base_dict
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def to_pandas_series(self) -> pd.Series:
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"""
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将K线数据转换为pandas Series。
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索引是 `open_time`。
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"""
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series = pd.Series(self.to_dict())
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series.name = self.open_time
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return series
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def __str__(self):
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"""字符串表示"""
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base_str = super().__str__()
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return f"{base_str} | QuoteVol: {self.quote_asset_volume:.2f} | Trades: {self.trade_count} | TakerVol: {self.taker_buy_volume} | TakerQuoteVol: {self.taker_buy_quote_volume}"
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def __repr__(self):
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"""详细字符串表示"""
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return self.__str__()
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