45950c4 Jan 23, 2018
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import time
import dateparser
import pytz
import json
from datetime import datetime
from binance.client import Client
def date_to_milliseconds(date_str):
"""Convert UTC date to milliseconds
If using offset strings add "UTC" to date string e.g. "now UTC", "11 hours ago UTC"
See dateparse docs for formats
:param date_str: date in readable format, i.e. "January 01, 2018", "11 hours ago UTC", "now UTC"
:type date_str: str
# get epoch value in UTC
epoch = datetime.utcfromtimestamp(0).replace(tzinfo=pytz.utc)
# parse our date string
d = dateparser.parse(date_str)
# if the date is not timezone aware apply UTC timezone
if d.tzinfo is None or d.tzinfo.utcoffset(d) is None:
d = d.replace(tzinfo=pytz.utc)
# return the difference in time
return int((d - epoch).total_seconds() * 1000.0)
def interval_to_milliseconds(interval):
"""Convert a Binance interval string to milliseconds
:param interval: Binance interval string 1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w
:type interval: str
None if unit not one of m, h, d or w
None if string not in correct format
int value of interval in milliseconds
ms = None
seconds_per_unit = {
"m": 60,
"h": 60 * 60,
"d": 24 * 60 * 60,
"w": 7 * 24 * 60 * 60
unit = interval[-1]
if unit in seconds_per_unit:
ms = int(interval[:-1]) * seconds_per_unit[unit] * 1000
except ValueError:
return ms
def get_historical_klines(symbol, interval, start_str, end_str=None):
"""Get Historical Klines from Binance
See dateparse docs for valid start and end string formats
If using offset strings for dates add "UTC" to date string e.g. "now UTC", "11 hours ago UTC"
:param symbol: Name of symbol pair e.g BNBBTC
:type symbol: str
:param interval: Biannce Kline interval
:type interval: str
:param start_str: Start date string in UTC format
:type start_str: str
:param end_str: optional - end date string in UTC format
:type end_str: str
:return: list of OHLCV values
# create the Binance client, no need for api key
client = Client("", "")
# init our list
output_data = []
# setup the max limit
limit = 500
# convert interval to useful value in seconds
timeframe = interval_to_milliseconds(interval)
# convert our date strings to milliseconds
start_ts = date_to_milliseconds(start_str)
# if an end time was passed convert it
end_ts = None
if end_str:
end_ts = date_to_milliseconds(end_str)
idx = 0
# it can be difficult to know when a symbol was listed on Binance so allow start time to be before list date
symbol_existed = False
while True:
# fetch the klines from start_ts up to max 500 entries or the end_ts if set
temp_data = client.get_klines(
# handle the case where our start date is before the symbol pair listed on Binance
if not symbol_existed and len(temp_data):
symbol_existed = True
if symbol_existed:
# append this loops data to our output data
output_data += temp_data
# update our start timestamp using the last value in the array and add the interval timeframe
start_ts = temp_data[len(temp_data) - 1][0] + timeframe
# it wasn't listed yet, increment our start date
start_ts += timeframe
idx += 1
# check if we received less than the required limit and exit the loop
if len(temp_data) < limit:
# exit the while loop
# sleep after every 3rd call to be kind to the API
if idx % 3 == 0:
return output_data
symbol = "ETHBTC"
start = "1 Dec, 2017"
end = "1 Jan, 2018"
interval = Client.KLINE_INTERVAL_30MINUTE
klines = get_historical_klines(symbol, interval, start, end)
# open a file with filename including symbol, interval and start and end converted to milliseconds
with open(
'w' # set file write mode
) as f: