vnpy/docker/dockerTrader/gateway/oandaGateway/vnoanda.py

# encoding: utf-8

import traceback
import json
import requests
from Queue import Queue, Empty
from threading import Thread


API_SETTING = {}
API_SETTING['practice'] = {'rest': 'https://api-fxpractice.oanda.com',
                           'stream': 'https://stream-fxpractice.oanda.com'}
API_SETTING['trade'] = {'rest': 'https://api-fxtrade.oanda.com',
                        'stream': 'https://stream-fxtrade.oanda.com/'}


FUNCTIONCODE_GETINSTRUMENTS = 0
FUNCTIONCODE_GETPRICES = 1
FUNCTIONCODE_GETPRICEHISTORY = 2
FUNCTIONCODE_GETACCOUNTS = 3
FUNCTIONCODE_GETACCOUNTINFO = 4
FUNCTIONCODE_GETORDERS = 5
FUNCTIONCODE_SENDORDER = 6
FUNCTIONCODE_GETORDERINFO = 7
FUNCTIONCODE_MODIFYORDER = 8
FUNCTIONCODE_CANCELORDER = 9
FUNCTIONCODE_GETTRADES = 10
FUNCTIONCODE_GETTRADEINFO = 11
FUNCTIONCODE_MODIFYTRADE= 12
FUNCTIONCODE_CLOSETRADE = 13
FUNCTIONCODE_GETPOSITIONS = 14
FUNCTIONCODE_GETPOSITIONINFO= 15
FUNCTIONCODE_CLOSEPOSITION = 16
FUNCTIONCODE_GETTRANSACTIONS = 17
FUNCTIONCODE_GETTRANSACTIONINFO = 18
FUNCTIONCODE_GETACCOUNTHISTORY = 19
FUNCTIONCODE_GETCALENDAR = 20
FUNCTIONCODE_GETPOSITIONRATIOS = 21
FUNCTIONCODE_GETSPREADS = 22
FUNCTIONCODE_GETCOMMIMENTS = 23
FUNCTIONCODE_GETORDERBOOK = 24
FUNCTIONCODE_GETAUTOCHARTIST = 25
FUNCTIONCODE_STREAMPRICES = 26
FUNCTIONCODE_STREAMEVENTS = 27


########################################################################
class OandaApi(object):
    """"""
    DEBUG = False

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.token = ''
        self.accountId = ''
        self.headers = {}
        self.restDomain = ''
        self.streamDomain = ''
        self.session = None
        
        self.functionSetting = {}
        
        self.active = False         # API的工作状态
        
        self.reqID = 0              # 请求编号
        self.reqQueue = Queue()     # 请求队列
        self.reqThread = Thread(target=self.processQueue)   # 请求处理线程
        
        self.streamPricesThread = Thread(target=self.processStreamPrices)   # 实时行情线程
        self.streamEventsThread = Thread(target=self.processStreamEvents)   # 实时事件线程（成交等）
        
    #----------------------------------------------------------------------
    def init(self, settingName, token, accountId):
        """初始化接口"""
        self.restDomain = API_SETTING[settingName]['rest']
        self.streamDomain = API_SETTING[settingName]['stream']
        self.session = requests.Session()
        
        self.token = token
        self.accountId = accountId
        
        self.headers['Authorization'] = 'Bearer ' + self.token
        
        self.initFunctionSetting(FUNCTIONCODE_GETINSTRUMENTS, {'path': '/v1/instruments',
                                                          'method': 'GET'})
        
        self.initFunctionSetting(FUNCTIONCODE_GETPRICES, {'path': '/v1/prices',
                                                          'method': 'GET'})        
        
        self.initFunctionSetting(FUNCTIONCODE_GETPRICEHISTORY, {'path': 'v1/candles',
                                                                'method': 'GET'})
        
        self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTS, {'path': '/v1/accounts',
                                                          'method': 'GET'})  
        
        self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTINFO, {'path': '/v1/accounts/%s' %self.accountId,
                                                          'method': 'GET'})    
        
        self.initFunctionSetting(FUNCTIONCODE_GETORDERS, {'path': '/v1/accounts/%s/orders' %self.accountId,
                                                          'method': 'GET'})        
        
        self.initFunctionSetting(FUNCTIONCODE_SENDORDER, {'path': '/v1/accounts/%s/orders' %self.accountId,
                                                          'method': 'POST'})     
        
        self.initFunctionSetting(FUNCTIONCODE_GETORDERINFO, {'path': '/v1/accounts/%s/orders' %self.accountId,
                                                          'method': 'GET'})     
        
        self.initFunctionSetting(FUNCTIONCODE_MODIFYORDER, {'path': '/v1/accounts/%s/orders' %self.accountId,
                                                          'method': 'PATCH'})    
        
        self.initFunctionSetting(FUNCTIONCODE_CANCELORDER, {'path': '/v1/accounts/%s/orders' %self.accountId,
                                                          'method': 'DELETE'})             
        
        self.initFunctionSetting(FUNCTIONCODE_GETTRADES, {'path': '/v1/accounts/%s/trades' %self.accountId,
                                                          'method': 'GET'})        

        self.initFunctionSetting(FUNCTIONCODE_GETTRADEINFO, {'path': '/v1/accounts/%s/trades' %self.accountId,
                                                             'method': 'GET'})     
        
        self.initFunctionSetting(FUNCTIONCODE_MODIFYTRADE, {'path': '/v1/accounts/%s/trades' %self.accountId,
                                                            'method': 'PATCH'})    
        
        self.initFunctionSetting(FUNCTIONCODE_CLOSETRADE, {'path': '/v1/accounts/%s/trades' %self.accountId,
                                                           'method': 'DELETE'})     
        
        self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONS, {'path': '/v1/accounts/%s/positions' %self.accountId,
                                                             'method': 'GET'})     
        
        self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONINFO, {'path': '/v1/accounts/%s/positions' %self.accountId,
                                                                'method': 'GET'})    
        
        self.initFunctionSetting(FUNCTIONCODE_CLOSEPOSITION, {'path': '/v1/accounts/%s/positions' %self.accountId,
                                                              'method': 'DELETE'})            
        
        self.initFunctionSetting(FUNCTIONCODE_GETTRANSACTIONS, {'path': '/v1/accounts/%s/transactions' %self.accountId,
                                                                'method': 'GET'})    
        
        self.initFunctionSetting(FUNCTIONCODE_GETTRANSACTIONINFO, {'path': '/v1/accounts/%s/transactions' %self.accountId,
                                                                   'method': 'GET'})    
        
        self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTHISTORY, {'path': '/v1/accounts/%s/alltransactions' %self.accountId,
                                                                  'method': 'GET'})     
        
        self.initFunctionSetting(FUNCTIONCODE_GETCALENDAR, {'path': '/labs/v1/calendar',
                                                            'method': 'GET'})           
        
        self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONRATIOS, {'path': '/labs/v1/historical_position_ratios',
                                                                  'method': 'GET'})    
        
        self.initFunctionSetting(FUNCTIONCODE_GETSPREADS, {'path': '/labs/v1/spreads',
                                                           'method': 'GET'})    
        
        self.initFunctionSetting(FUNCTIONCODE_GETCOMMIMENTS, {'path': '/labs/v1/commitments',
                                                              'method': 'GET'})    
        
        self.initFunctionSetting(FUNCTIONCODE_GETORDERBOOK, {'path': '/labs/v1/orderbook_data',
                                                             'method': 'GET'})    
        
        self.initFunctionSetting(FUNCTIONCODE_GETAUTOCHARTIST, {'path': '/labs/v1/autochartist',
                                                                'method': 'GET'})  
        
        self.initFunctionSetting(FUNCTIONCODE_GETAUTOCHARTIST, {'path': '/labs/v1/autochartist',
                                                                'method': 'GET'})  
        
        self.initFunctionSetting(FUNCTIONCODE_STREAMPRICES, {'path': '/v1/prices',
                                                             'method': 'GET'})  
        
        self.initFunctionSetting(FUNCTIONCODE_STREAMEVENTS, {'path': '/v1/events',
                                                             'method': 'GET'})          
        
        
        self.active = True
        self.reqThread.start()
        self.streamEventsThread.start()
        self.streamPricesThread.start()
        
    #----------------------------------------------------------------------
    def exit(self):
        """退出接口"""
        if self.active:
            self.active = False
            self.reqThread.join()
        
    #----------------------------------------------------------------------
    def initFunctionSetting(self, code, setting):
        """初始化API功能字典"""
        self.functionSetting[code] = setting
        
    #----------------------------------------------------------------------
    def processRequest(self, req):
        """发送请求并通过回调函数推送数据结果"""
        url = req['url']
        method = req['method']
        params = req['params']
        
        stream = False
        if 'stream' in req:
            stream = req['stream']

        if method in ['GET', 'DELETE']:
            myreq = requests.Request(method, url, headers=self.headers, params=params)
        elif method in ['POST', 'PATCH']:
            myreq = requests.Request(method, url, headers=self.headers, data=params)
        pre = myreq.prepare()

        r = None
        error = None
        
        try:
            r = self.session.send(pre, stream=stream)
        except :
            error = traceback.format_exc()

        return r, error
    
    #----------------------------------------------------------------------
    def processQueue(self):
        """处理请求队列中的请求"""
        while self.active:
            try:
                req = self.reqQueue.get(block=True, timeout=1)  # 获取请求的阻塞为一秒
                callback = req['callback']
                reqID = req['reqID']
                
                r, error = self.processRequest(req)
                
                if r:
                    try:
                        data = r.json()
                        if self.DEBUG:
                            print(callback.__name__)
                        callback(data, reqID)    
                    except :
                        self.onError(traceback.format_exc(), reqID)
                else:                
                    self.onError(error, reqID)
            except Empty:
                pass
            
    #----------------------------------------------------------------------
    def sendRequest(self, code, params, callback, optional=''):
        """发送请求"""
        setting = self.functionSetting[code]
        
        url = self.restDomain + setting['path']
        if optional:
            url = url + '/' + optional
            
        self.reqID += 1
            
        req = {'url': url,
               'method': setting['method'],
               'params': params,
               'callback': callback,
               'reqID': self.reqID}
        self.reqQueue.put(req)
        
        return self.reqID
    
    #----------------------------------------------------------------------
    def onError(self, error, reqID):
        """错误信息回调"""
        print(error, reqID)
            
    #----------------------------------------------------------------------
    def getInstruments(self, params):
        """查询可交易的合约列表"""
        return self.sendRequest(FUNCTIONCODE_GETINSTRUMENTS, params, self.onGetInstruments)
        
    #----------------------------------------------------------------------
    def onGetInstruments(self, data, reqID):
        """回调函数"""
        pass
        
    #----------------------------------------------------------------------
    def getPrices(self, params):
        """查询价格"""
        return self.sendRequest(FUNCTIONCODE_GETPRICES, params, self.onGetPrices)
        
    #----------------------------------------------------------------------
    def onGetPrices(self, data, reqID):
        """回调函数"""
        pass
        
    #----------------------------------------------------------------------
    def getPriceHisory(self, params):
        """查询历史价格数据"""
        return self.sendRequest(FUNCTIONCODE_GETPRICEHISTORY, params, self.onGetPriceHistory)
        
    #----------------------------------------------------------------------
    def onGetPriceHistory(self, data, reqID):
        """回调函数"""
        pass    
        
    #----------------------------------------------------------------------
    def getAccounts(self):
        """查询用户的所有账户"""
        return self.sendRequest(FUNCTIONCODE_GETACCOUNTS, {}, self.onGetAccounts)
    
    #----------------------------------------------------------------------
    def onGetAccounts(self, data, reqID):
        """回调函数"""
        pass   
        
    #----------------------------------------------------------------------
    def getAccountInfo(self):
        """查询账户数据"""
        return self.sendRequest(FUNCTIONCODE_GETACCOUNTINFO, {}, self.onGetAccountInfo)
    
    #----------------------------------------------------------------------
    def onGetAccountInfo(self, data, reqID):
        """回调函数"""
        pass   
        
    #----------------------------------------------------------------------
    def getOrders(self, params):
        """查询所有委托"""
        return self.sendRequest(FUNCTIONCODE_GETORDERS, params, self.onGetOrders)
    
    #----------------------------------------------------------------------
    def onGetOrders(self, data, reqID):
        """回调函数"""
        pass     

    #----------------------------------------------------------------------
    def sendOrder(self, params):
        """发送委托"""
        return self.sendRequest(FUNCTIONCODE_SENDORDER, params, self.onSendOrder)
    
    #----------------------------------------------------------------------
    def onSendOrder(self, data, reqID):
        """回调函数"""
        pass         
    
    #----------------------------------------------------------------------
    def getOrderInfo(self, optional):
        """查询委托信息"""
        return self.sendRequest(FUNCTIONCODE_GETORDERINFO, {}, self.onGetOrderInfo, optional)
    
    #----------------------------------------------------------------------
    def onGetOrderInfo(self, data, reqID):
        """回调函数"""
        pass     
        
    #----------------------------------------------------------------------
    def modifyOrder(self, params, optional):
        """修改委托"""
        return self.sendRequest(FUNCTIONCODE_MODIFYORDER, params, self.onModifyOrder, optional)
    
    #----------------------------------------------------------------------
    def onModifyOrder(self, data, reqID):
        """回调函数"""
        pass      
    
    #----------------------------------------------------------------------
    def cancelOrder(self, optional):
        """查询委托信息"""
        return self.sendRequest(FUNCTIONCODE_CANCELORDER, {}, self.onCancelOrder, optional)
    
    #----------------------------------------------------------------------
    def onCancelOrder(self, data, reqID):
        """回调函数"""
        pass     
    
    #----------------------------------------------------------------------
    def getTrades(self, params):
        """查询所有仓位"""
        return self.sendRequest(FUNCTIONCODE_GETTRADES, params, self.onGetTrades)
    
    #----------------------------------------------------------------------
    def onGetTrades(self, data, reqID):
        """回调函数"""
        pass     
    
    #----------------------------------------------------------------------
    def getTradeInfo(self, optional):
        """查询仓位信息"""
        return self.sendRequest(FUNCTIONCODE_GETTRADEINFO, {}, self.onGetTradeInfo, optional)
    
    #----------------------------------------------------------------------
    def onGetTradeInfo(self, data, reqID):
        """回调函数"""
        pass     
        
    #----------------------------------------------------------------------
    def modifyTrade(self, params, optional):
        """修改仓位"""
        return self.sendRequest(FUNCTIONCODE_MODIFYTRADE, params, self.onModifyTrade, optional)
    
    #----------------------------------------------------------------------
    def onModifyTrade(self, data, reqID):
        """回调函数"""
        pass      
    
    #----------------------------------------------------------------------
    def closeTrade(self, optional):
        """平仓"""
        return self.sendRequest(FUNCTIONCODE_CLOSETRADE, {}, self.onCloseTrade, optional)
    
    #----------------------------------------------------------------------
    def onCloseTrade(self, data, reqID):
        """回调函数"""
        pass         

    #----------------------------------------------------------------------
    def getPositions(self):
        """查询所有汇总仓位"""
        return self.sendRequest(FUNCTIONCODE_GETPOSITIONS, {}, self.onGetPositions)
    
    #----------------------------------------------------------------------
    def onGetPositions(self, data, reqID):
        """回调函数"""
        pass  
        
    #----------------------------------------------------------------------
    def getPositionInfo(self, optional):
        """查询汇总仓位信息"""
        return self.sendRequest(FUNCTIONCODE_GETPOSITIONINFO, {}, self.onGetPositionInfo, optional)
    
    #----------------------------------------------------------------------
    def onGetPositionInfo(self, data, reqID):
        """回调函数"""
        pass         

    #----------------------------------------------------------------------
    def closePosition(self, optional):
        """平仓汇总仓位信息"""
        return self.sendRequest(FUNCTIONCODE_CLOSEPOSITION, {}, self.onClosePosition, optional)
    
    #----------------------------------------------------------------------
    def onClosePosition(self, data, reqID):
        """回调函数"""
        pass      
    
    
    #----------------------------------------------------------------------
    def getTransactions(self, params):
        """查询所有资金变动"""
        return self.sendRequest(FUNCTIONCODE_GETTRANSACTIONS, params, self.onGetTransactions)
    
    #----------------------------------------------------------------------
    def onGetTransactions(self, data, reqID):
        """回调函数"""
        pass  
        
    #----------------------------------------------------------------------
    def getTransactionInfo(self, optional):
        """查询资金变动信息"""
        return self.sendRequest(FUNCTIONCODE_GETTRANSACTIONINFO, {}, self.onGetTransactionInfo, optional)
    
    #----------------------------------------------------------------------
    def onGetTransactionInfo(self, data, reqID):
        """回调函数"""
        pass   
        
    #----------------------------------------------------------------------
    def getAccountHistory(self):
        """查询账户资金变动历史"""
        return self.sendRequest(FUNCTIONCODE_GETACCOUNTHISTORY, {}, self.onGetAccountHistory)
    
    #----------------------------------------------------------------------
    def onGetAccountHistory(self, data, reqID):
        """回调函数"""
        pass      
    
    #----------------------------------------------------------------------
    def getCalendar(self, params):
        """查询日历"""
        return self.sendRequest(FUNCTIONCODE_GETCALENDAR, params, self.onGetCalendar)
    
    #----------------------------------------------------------------------
    def onGetCalendar(self, data, reqID):
        """回调函数"""
        pass       
        
    #----------------------------------------------------------------------
    def getPositionRatios(self, params):
        """查询持仓比例"""
        return self.sendRequest(FUNCTIONCODE_GETPOSITIONRATIOS, params, self.onGetPositionRatios)
    
    #----------------------------------------------------------------------
    def onGetPositionRatios(self, data, reqID):
        """回调函数"""
        pass  
        
    #----------------------------------------------------------------------
    def getSpreads(self, params):
        """查询所有仓位"""
        return self.sendRequest(FUNCTIONCODE_GETSPREADS, params, self.onGetSpreads)
    
    #----------------------------------------------------------------------
    def onGetSpreads(self, data, reqID):
        """回调函数"""
        pass       
        
    #----------------------------------------------------------------------
    def getCommitments(self, params):
        """查询交易商持仓情况"""
        return self.sendRequest(FUNCTIONCODE_GETCOMMIMENTS, params, self.onGetCommitments)
    
    #----------------------------------------------------------------------
    def onGetCommitments(self, data, reqID):
        """回调函数"""
        pass       
    
    #----------------------------------------------------------------------
    def getOrderbook(self, params):
        """查询订单簿"""
        return self.sendRequest(FUNCTIONCODE_GETORDERBOOK, params, self.onGetOrderbook)
    
    #----------------------------------------------------------------------
    def onGetOrderbook(self, data, reqID):
        """回调函数"""
        pass       
        
    #----------------------------------------------------------------------
    def getAutochartist(self, params):
        """查询Autochartist识别的模式"""
        return self.sendRequest(FUNCTIONCODE_GETAUTOCHARTIST, params, self.onGetAutochartist)
    
    #----------------------------------------------------------------------
    def onGetAutochartist(self, data, reqID):
        """回调函数"""
        pass   
        
    #----------------------------------------------------------------------
    def onPrice(self, data):
        """行情推送"""
        print(data)
        
    #----------------------------------------------------------------------
    def onEvent(self, data):
        """事件推送（成交等）"""
        print(data)
        
    #----------------------------------------------------------------------
    def processStreamPrices(self):
        """获取价格推送"""
        # 首先获取所有合约的代码
        setting = self.functionSetting[FUNCTIONCODE_GETINSTRUMENTS]
        req = {'url': self.restDomain + setting['path'],
               'method': setting['method'],
               'params': {'accountId': self.accountId}}
        r, error = self.processRequest(req)
        if r:
            try:
                data = r.json()
                symbols = [d['instrument'] for d in data['instruments']]   
            except :
                self.onError(traceback.format_exc(), -1)
                return
        else:
            self.onError(error, -1)
            return

        # 然后订阅所有的合约行情
        setting = self.functionSetting[FUNCTIONCODE_STREAMPRICES]
        params = {'accountId': self.accountId,
                  'instruments': ','.join(symbols)}
        req = {'url': self.streamDomain + setting['path'],
               'method': setting['method'],
               'params': params,
               'stream': True}      
        r, error = self.processRequest(req)
        
        if r:
            for line in r.iter_lines():
                if line:
                    try:
                        msg = json.loads(line)
                        
                        if self.DEBUG:
                            print(self.onPrice.__name__)
                            
                        self.onPrice(msg)
                    except :
                        self.onError(traceback.format_exc(), -1)
                
                if not self.active:
                    break
        else:
            self.onError(error, -1)
    
    #----------------------------------------------------------------------
    def processStreamEvents(self):
        """获取事件推送"""
        setting = self.functionSetting[FUNCTIONCODE_STREAMEVENTS]
        req = {'url': self.streamDomain + setting['path'],
               'method': setting['method'],
               'params': {},
               'stream': True}
        r, error = self.processRequest(req)
        if r:
            for line in r.iter_lines():
                if line:
                    try:
                        msg = json.loads(line)
                        
                        if self.DEBUG:
                            print(self.onEvent.__name__)
                            
                        self.onEvent(msg)
                    except :
                        self.onError(traceback.format_exc(), -1)
                
                if not self.active:
                    break
        else:
            self.onError(error, -1)