Download from binance

.gitignore

@@ -158,3 +158,5 @@ cython_debug/
 #  and can be added to the global gitignore or merged into this file.  For a more nuclear
 #  option (not recommended) you can uncomment the following to ignore the entire idea folder.
 #.idea/
+
+liqmap/*.csv

liqmap/download.py

@@ -0,0 +1,45 @@
+from binance_bulk_downloader.downloader import BinanceBulkDownloader
+import os
+import pandas as pd
+from rich.progress import track
+from concurrent.futures import ThreadPoolExecutor
+
+
+class BinanceAggTradesDownload(BinanceBulkDownloader):
+    def __init__(self, destination_dir='.', download_symbol='BTCUSDT', start_date='2021-01-01', end_date='2021-01-31') -> None:
+        """
+        :param destination_dir: Destination directory for downloaded files
+        :param download_symbol: download symbol
+        :param start_date: Start date for download
+        :param end_date: End date for download
+        """
+        super().__init__(destination_dir=destination_dir, data_type='aggTrades', asset='um', timeperiod_per_file='daily')
+        self.super = super()
+        self._symbol = download_symbol
+        self._start_date = start_date
+        self._end_date = end_date
+
+    def _make_filename(self, date: str) -> str:
+        """
+        make filename for aggTrades
+        :param date: date string
+        :return: filename
+        """
+        return f'{self._symbol}-aggTrades-{date}.zip'
+
+    def _make_date_range(self) -> list:
+        """
+        make date range for aggTrades
+        :return: date range
+        """
+        return pd.date_range(start=self._start_date, end=self._end_date, freq='D').strftime('%Y-%m-%d').tolist()
+
+    def download_aggtrades(self) -> None:
+        """
+        download aggTrades concurrently
+        :return: None
+        """
+        download_prefixes = ["/".join([self.super._build_prefix(), self._symbol, self._make_filename(date=dt)]) for dt in self._make_date_range()]
+        for prefix in track(self.super.make_chunks(download_prefixes, self.super._CHUNK_SIZE), description="Downloading aggTrades"):
+            with ThreadPoolExecutor() as executor:
+                executor.map(self.super._download, prefix)