Add Ticker24h support: hourly market snapshots with USD-normalized volume filtering
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@@ -247,6 +247,63 @@ class DataAPI(ABC):
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"""
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pass
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@abstractmethod
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async def get_ticker_24h(
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self,
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exchange: str,
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limit: Optional[int] = None,
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min_std_quote_volume: Optional[float] = None,
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market_type: Optional[str] = None,
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base_asset_contains: Optional[str] = None,
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) -> pd.DataFrame:
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"""
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Retrieve 24h rolling market stats for all symbols on an exchange.
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Data is refreshed hourly by the ingestor pipeline. Use this to build a
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pre-filtered symbol universe before running a scanner — it avoids requesting
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per-symbol OHLC data for thousands of symbols.
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Args:
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exchange: Exchange name (e.g., "BINANCE", "COINBASE", "KRAKEN")
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limit: If set, return only the Top N symbols By Volume. None = return all.
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min_std_quote_volume: Exclude symbols with USD volume below this threshold.
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market_type: Filter by market type: "spot" or "perp". None = return all.
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base_asset_contains: Filter to symbols whose base asset contains this string
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(case-insensitive). E.g., "BTC" matches "BTC/USDT".
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Returns:
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DataFrame sorted by std_quote_volume descending (NULLs last). Columns:
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- ticker: Full ticker (e.g., "BTC/USDT.BINANCE")
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- exchange_id: Exchange name
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- base_asset: Base currency (e.g., "BTC")
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- quote_asset: Quote currency (e.g., "USDT")
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- last_price: Last traded price in quote currency
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- price_change_pct: 24h price change as percentage (e.g. 2.5 = +2.5%)
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- quote_volume_24h: Raw 24h volume in quote asset
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- std_quote_volume: quote_volume_24h normalized to USD (NaN if conversion unknown)
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- bid_price, ask_price: Current best bid/ask (NaN if not provided by exchange)
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- open_24h, high_24h, low_24h: 24h OHLC prices (NaN if not provided)
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- volume_24h: Base-asset volume (NaN if not provided)
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- num_trades: 24h trade count (NaN if not provided)
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- timestamp_ms: Snapshot timestamp in milliseconds
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Returns empty DataFrame if no data is available (e.g., not yet fetched).
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Examples:
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# Top 50 most liquid Binance spot symbols
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df = await api.data.get_ticker_24h("BINANCE", limit=50, market_type="spot")
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# All BTC pairs with at least $10M daily volume
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df = await api.data.get_ticker_24h("BINANCE",
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base_asset_contains="BTC",
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min_std_quote_volume=10_000_000)
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# Build a scanner universe: all Binance symbols, sorted by volume
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universe = await api.data.get_ticker_24h("BINANCE")
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top_100 = universe.head(100)["ticker"].tolist()
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"""
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pass
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```
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