742 lines
28 KiB
Python
742 lines
28 KiB
Python
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# encoding: UTF-8
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'''
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vn.coincheck的gateway接入
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'''
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import os
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import json
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from datetime import datetime
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from copy import copy
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from threading import Condition
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from Queue import Queue
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from threading import Thread
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import json
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from vnpy.api.coincheck import vncoincheck
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from vnpy.trader.vtGateway import *
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from vnpy.trader.vtFunction import getJsonPath
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from datetime import datetime , timedelta
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SYMBOL_BTCJPY = 'btc_jpy'
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COINCHECK_HOSTS = "wss://ws-api.coincheck.com"
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class CoincheckGateway(VtGateway):
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"""coincheck 接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='COINCHECK'):
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"""Constructor"""
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super(CoincheckGateway, self).__init__(eventEngine, gatewayName)
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self.tradeApi = CoincheckTradeApi(self)
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#self.dataApi = CoincheckDataApi(self)
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self.dataApi = CoincheckSocketDataApi(self)
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self.fileName = self.gatewayName + '_connect.json'
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self.filePath = getJsonPath(self.fileName, __file__)
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#----------------------------------------------------------------------
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def connect(self):
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"""连接"""
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# 载入json文件
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try:
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f = file(self.filePath)
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except IOError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'读取连接配置出错，请检查'
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self.onLog(log)
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return
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# 解析json文件
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setting = json.load(f)
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try:
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accessKey = str(setting['accessKey'])
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secretKey = str(setting['secretKey'])
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interval = setting['interval']
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debug = setting['debug']
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useAccountID = str(setting['accountID'])
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'连接配置缺少字段，请检查'
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self.onLog(log)
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return
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# 设置账户ID
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self.tradeApi.setAccountID( useAccountID)
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# 初始化接口
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self.tradeApi.init(accessKey, secretKey)
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self.writeLog(u'交易接口初始化成功')
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#self.dataApi.connect(interval, debug)
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self.dataApi.connect()
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self.writeLog(u'行情接口初始化成功')
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# 启动查询
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self.initQuery()
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self.startQuery()
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#----------------------------------------------------------------------
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def writeLog(self, content):
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"""发出日志"""
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = content
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self.onLog(log)
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情，自动订阅全部行情，无需实现"""
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pass
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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return self.tradeApi.sendOrder(orderReq)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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return self.tradeApi.cancel(cancelOrderReq)
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#----------------------------------------------------------------------
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def qryAccount(self):
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"""查询账户资金"""
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pass
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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pass
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.tradeApi.exit()
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self.dataApi.exit()
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#----------------------------------------------------------------------
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def initQuery(self):
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"""初始化连续查询"""
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if self.qryEnabled:
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self.qryFunctionList = [self.tradeApi.get_balance , self.tradeApi.list_orders]
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#self.qryFunctionList = [self.tradeApi.queryWorkingOrders, self.tradeApi.queryAccount]
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self.startQuery()
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#----------------------------------------------------------------------
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def query(self, event):
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"""注册到事件处理引擎上的查询函数"""
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for function in self.qryFunctionList:
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function()
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#----------------------------------------------------------------------
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def startQuery(self):
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"""启动连续查询"""
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self.eventEngine.register(EVENT_TIMER, self.query)
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#----------------------------------------------------------------------
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def onListOrder(self, data):
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print data
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#----------------------------------------------------------------------
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def setQryEnabled(self, qryEnabled):
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"""设置是否要启动循环查询"""
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self.qryEnabled = qryEnabled
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class CoincheckTradeApi(vncoincheck.TradeApi):
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def __init__(self, gateway):
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super(CoincheckTradeApi , self).__init__()
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self.gateway = gateway
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self.gatewayName = gateway.gatewayName
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self.accountID = "COINCHECK"
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self.DEBUG = False
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self.localID = 0 # 本地委托号
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self.localSystemDict = {} # key:localID, value:systemID
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self.systemLocalDict = {} # key:systemID, value:localID
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self.workingOrderDict = {} # key:localID, value:order
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self.reqLocalDict = {} # key:reqID, value:localID
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self.cancelDict = {} # key:localID, value:cancelOrderReq
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self.tradedVolumeDict = {} # key:localID, value:volume ,已经交易成功的数量
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self.tradeID = 0 # 本地成交号
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#--------------
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def setAccountID(self, useAccountID):
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self.accountID = useAccountID
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#----------------------------------------------------------------------
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def onError(self, method ,data):
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print method , data
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#
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'''
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"return" :
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{u'lending_leverage': u'5.0', u'success': True, u'maker_fee': u'0.0', u'email': u'liyi.riki.thomas@g
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mail.com', u'bitcoin_address': u'1Q73J2e46TrBv9cRCtfgcszqEcwNDsei53', u'taker_fee': u'0.0', u'identi
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ty_status': u'identity_verified', u'id': 1007549}
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'''
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def onGet_info(self, data, req, reqID):
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"""用户信息"""
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print data
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'''
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{u'zec': u'0', u'rep_debt': u'0.0', u'xem': u'0', u'lsk': u'0', u'rep_lend_in_use': u'0.0', u'ltc_de
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bt': u'0.0', u'xmr_reserved': u'0.0', u'cny': u'0', u'btc_reserved': u'0.0', u'dao_reserved': u'0.0'
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, u'ltc_lent': u'0.0', u'dao_lend_in_use': u'0.0', u'xrp_reserved': u'0.0', u'zec_debt': u'0.0', u'b
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ch_lent': u'0.0', u'dao_debt': u'0.0', u'xmr': u'0', u'rep_reserved': u'0.0', u'dao': u'0', u'xem_le
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nd_in_use': u'0.0', u'fct_lent': u'0.0', u'jpy_reserved': u'0.0', u'success': True, u'fct_reserved':
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u'0.0', u'xem_lent': u'0.0', u'rep_lent': u'0.0', u'eth_lend_in_use': u'0.0', u'btc': u'0', u'usd_l
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end_in_use': u'0.0', u'zec_lent': u'0.0', u'rep': u'0', u'xmr_debt': u'0.0', u'bch_lend_in_use': u'0
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.0', u'xrp_debt': u'0.0', u'etc_lend_in_use': u'0.0', u'dash_reserved': u'0.0', u'dash_lent': u'0.0'
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, u'dash_debt': u'0.0', u'jpy_lend_in_use': u'0.0', u'lsk_lend_in_use': u'0.0', u'eth_lent': u'0.0',
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u'ltc': u'0', u'etc': u'0', u'ltc_lend_in_use': u'0.0', u'eth': u'0', u'usd_debt': u'0.0', u'ltc_re
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served': u'0.0', u'cny_reserved': u'0.0', u'xem_debt': u'0.0', u'eth_reserved': u'0.0', u'zec_reserv
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ed': u'0.0', u'usd': u'0', u'cny_lend_in_use': u'0.0', u'lsk_debt': u'0.0', u'xmr_lend_in_use': u'0.
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0', u'dash_lend_in_use': u'0.0', u'xrp_lent': u'0.0', u'bch_reserved': u'0.0', u'xmr_lent': u'0.0',
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u'bch_debt': u'0.0', u'bch': u'0', u'jpy': u'0', u'fct_debt': u'0.0', u'btc_debt': u'0.0', u'usd_len
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t': u'0.0', u'btc_lent': u'0.0', u'lsk_reserved': u'0.0', u'etc_debt': u'0.0', u'jpy_lent': u'0.0',
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u'dash': u'0', u'cny_debt': u'0.0', u'xrp_lend_in_use': u'0.0', u'xem_reserved': u'0.0', u'dao_lent'
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: u'0.0', u'lsk_lent': u'0.0', u'etc_lent': u'0.0', u'jpy_debt': u'0.0', u'xrp': u'0', u'fct': u'0',
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u'etc_reserved': u'0.0', u'usd_reserved': u'0.0', u'fct_lend_in_use': u'0.0', u'btc_lend_in_use': u
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'0.0', u'zec_lend_in_use': u'0.0', u'eth_debt': u'0.0', u'cny_lent': u'0.0'}
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'''
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def onGet_balance(self, data, req, reqID):
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if data["success"] == 0:
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print "Error in onGet_balance"
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print data
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else:
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account = VtAccountData()
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account.gatewayName = self.gatewayName
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account.accountID = self.accountID
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account.vtAccountID = '.'.join([ self.gatewayName , self.accountID])
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account.balance = float(data['jpy'])
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account.balance = float(data['jpy'])
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account.available = float(data['jpy'])
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account.margin = 1.0
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account.closeProfit = 0.0
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account.positionProfit = 0.0
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account.commission = 0.0
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account.now_has_hands = float(data['jpy'])
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self.gateway.onAccount(account)
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for symbol in ['btc']:
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posObj = VtPositionData()
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posObj.gatewayName = self.gatewayName
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posObj.symbol = symbol + "_jpy." + EXCHANGE_COINCHECK
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posObj.exchange = EXCHANGE_COINCHECK
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posObj.vtSymbol = posObj.symbol
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posObj.direction = DIRECTION_LONG
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posObj.vtPositionName = '.'.join( [posObj.vtSymbol, posObj.direction])
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posObj.ydPosition = float(data[symbol])
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posObj.position = float(data[symbol]) + float(data[symbol + "_reserved"])
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posObj.frozen = float(data[symbol + "_reserved"])
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posObj.positionProfit = 0
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self.gateway.onPosition(posObj)
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'''
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发送系统委托
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'''
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def sendOrder(self, req):
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"""发送委托"""
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# 检查是否填入了价格，禁止市价委托
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if req.priceType != PRICETYPE_LIMITPRICE:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorMsg = u'Coincheck接口仅支持限价单'
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err.errorTime = datetime.now().strftime('%H:%M:%S')
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self.gateway.onError(err)
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return None
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symbol = req.vtSymbol
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if req.direction == DIRECTION_LONG:
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reqID = self.buy_btc_jpy( rate = req.price , amount = req.volume )
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else:
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reqID = self.sell_btc_jpy( rate = req.price , amount = req.volume )
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self.localID += 1
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localID = str(self.localID)
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self.reqLocalDict[reqID] = localID
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# 推送委托信息
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.symbol = req.symbol
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order.exchange = EXCHANGE_COINCHECK
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order.vtSymbol = order.symbol
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order.orderID = localID
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order.vtOrderID = '.'.join([order.orderID, order.gatewayName])
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order.direction = req.direction
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if req.direction == DIRECTION_LONG:
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order.offset = OFFSET_OPEN
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else:
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order.offset = OFFSET_CLOSE
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order.price = req.price
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order.volume = req.volume
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order.orderTime = datetime.now().strftime('%H:%M:%S')
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order.status = STATUS_UNKNOWN
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self.workingOrderDict[localID] = order
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self.gateway.onOrder(order)
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# 返回委托号
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return order.vtOrderID
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'''
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{u'market_buy_amount': None, u'order_type': u'buy', u'success': True, u'created_at': u'2017-10-16T13
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:53:01.678Z', u'rate': u'100.0', u'amount': u'0.005', u'pair': u'btc_jpy', u'stop_loss_rate': None,
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u'id': 324141928}
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'''
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|||
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def onBuy_btc(self, data, req, reqID):
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# print "onBuy_btc"
|
|||
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# print data
|
|||
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if data["success"] == 0:
|
|||
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print "Error in onBuy_btc"
|
|||
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print data
|
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else:
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localID = self.reqLocalDict[reqID]
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systemID = data['id']
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self.localSystemDict[localID] = systemID
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|||
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self.systemLocalDict[systemID] = localID
|
|||
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|||
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# 撤单
|
|||
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if localID in self.cancelDict:
|
|||
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req = self.cancelDict[localID]
|
|||
|
|
self.cancel(req)
|
|||
|
|
del self.cancelDict[localID]
|
|||
|
|
|
|||
|
|
# 推送委托信息
|
|||
|
|
order = self.workingOrderDict[localID]
|
|||
|
|
if data['success'] != 0:
|
|||
|
|
order.status = STATUS_NOTTRADED
|
|||
|
|
|
|||
|
|
self.tradedVolumeDict[localID] = 0.0
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
def onSell_btc(self, data, req, reqID):
|
|||
|
|
# print "onSell_btc"
|
|||
|
|
# print data
|
|||
|
|
"""卖出回调"""
|
|||
|
|
if data["success"] == 0:
|
|||
|
|
print "Error in onSell_btc"
|
|||
|
|
else:
|
|||
|
|
localID = self.reqLocalDict[reqID]
|
|||
|
|
systemID = data['id']
|
|||
|
|
self.localSystemDict[localID] = systemID
|
|||
|
|
self.systemLocalDict[systemID] = localID
|
|||
|
|
|
|||
|
|
# 撤单
|
|||
|
|
if localID in self.cancelDict:
|
|||
|
|
req = self.cancelDict[localID]
|
|||
|
|
self.cancel(req)
|
|||
|
|
del self.cancelDict[localID]
|
|||
|
|
|
|||
|
|
# 推送委托信息
|
|||
|
|
order = self.workingOrderDict[localID]
|
|||
|
|
if data['success'] != 0:
|
|||
|
|
order.status = STATUS_NOTTRADED
|
|||
|
|
self.tradedVolumeDict[localID] = 0.0
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
'''
|
|||
|
|
{u'orders': [{u'order_type': u'buy', u'created_at': u'2017-10-16T13:51:41.000Z', u'pending_market_bu
|
|||
|
|
y_amount': None, u'rate': u'200.0', u'pair': u'btc_jpy', u'stop_loss_rate': None, u'id': 324139122,
|
|||
|
|
u'pending_amount': u'0.005'}, {u'order_type': u'buy', u'created_at': u'2017-10-16T13:53:01.000Z', u'
|
|||
|
|
pending_market_buy_amount': None, u'rate': u'100.0', u'pair': u'btc_jpy', u'stop_loss_rate': None, u
|
|||
|
|
'id': 324141928, u'pending_amount': u'0.005'}], u'success': True}
|
|||
|
|
只显示 未结算的 订单。 如果订单被结算了，说明已经成交了
|
|||
|
|
'''
|
|||
|
|
def onList_order(self, data, req, reqID):
|
|||
|
|
# print "onList_order"
|
|||
|
|
# self.gateway.onListOrder( data)
|
|||
|
|
if data["success"] == 0:
|
|||
|
|
pass
|
|||
|
|
else:
|
|||
|
|
orders = data["orders"]
|
|||
|
|
now_datetime = datetime.now()
|
|||
|
|
ten_seconds_before = now_datetime + timedelta(seconds=-10)
|
|||
|
|
ten_seconds_str = (ten_seconds_before.strftime("%Y-%m-%dT%H:%M:%S.%f"))[:-3] + "Z"
|
|||
|
|
|
|||
|
|
stile_live_order_system_id = [ x["id"] for x in orders]
|
|||
|
|
#print "stile_live_order_system_id", stile_live_order_system_id
|
|||
|
|
local_system_dict_keys = self.systemLocalDict.keys()
|
|||
|
|
# 对系统中有的订单，进行
|
|||
|
|
for bef_system_id in local_system_dict_keys:
|
|||
|
|
if bef_system_id not in stile_live_order_system_id:
|
|||
|
|
# 说明这个单子成交完毕了！
|
|||
|
|
# 或者就是取消了
|
|||
|
|
localID = self.systemLocalDict[bef_system_id]
|
|||
|
|
order = self.workingOrderDict.get(localID, None)
|
|||
|
|
if order != None:
|
|||
|
|
bef_has_volume = self.tradedVolumeDict.get(localID , 0.0)
|
|||
|
|
newTradeVolume = order.volume - bef_has_volume
|
|||
|
|
|
|||
|
|
trade = VtTradeData()
|
|||
|
|
trade.gatewayName = self.gatewayName
|
|||
|
|
trade.symbol = order.symbol
|
|||
|
|
trade.vtSymbol = order.vtSymbol
|
|||
|
|
|
|||
|
|
self.tradeID += 1
|
|||
|
|
trade.tradeID = str(self.tradeID)
|
|||
|
|
trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName])
|
|||
|
|
trade.orderID = order.orderID
|
|||
|
|
trade.vtOrderID = order.vtOrderID
|
|||
|
|
|
|||
|
|
trade.volume = newTradeVolume
|
|||
|
|
trade.price = order.price
|
|||
|
|
trade.direction = order.direction
|
|||
|
|
trade.offset = order.offset
|
|||
|
|
trade.exchange = order.exchange
|
|||
|
|
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
|||
|
|
|
|||
|
|
self.gateway.onTrade(trade)
|
|||
|
|
|
|||
|
|
order.status = STATUS_ALLTRADED
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
del self.tradedVolumeDict[localID]
|
|||
|
|
del self.systemLocalDict[bef_system_id]
|
|||
|
|
del self.workingOrderDict[localID]
|
|||
|
|
|
|||
|
|
for d in orders:
|
|||
|
|
coinID = d["id"]
|
|||
|
|
if coinID in local_system_dict_keys:
|
|||
|
|
localID = self.systemLocalDict[coinID]
|
|||
|
|
order = self.workingOrderDict.get(localID, None)
|
|||
|
|
|
|||
|
|
if order != None:
|
|||
|
|
bef_has_volume = self.tradedVolumeDict.get(localID , 0.0)
|
|||
|
|
has_traded_volume = d["pending_market_buy_amount"]
|
|||
|
|
if has_traded_volume == None:
|
|||
|
|
has_traded_volume = 0.0
|
|||
|
|
newTradeVolume = float(has_traded_volume) - float(bef_has_volume)
|
|||
|
|
|
|||
|
|
if newTradeVolume > 0.00000001:
|
|||
|
|
trade = VtTradeData()
|
|||
|
|
trade.gatewayName = self.gatewayName
|
|||
|
|
trade.symbol = order.symbol
|
|||
|
|
trade.vtSymbol = order.vtSymbol
|
|||
|
|
|
|||
|
|
self.tradeID += 1
|
|||
|
|
trade.tradeID = str(self.tradeID)
|
|||
|
|
trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName])
|
|||
|
|
trade.orderID = order.orderID
|
|||
|
|
trade.vtOrderID = order.vtOrderID
|
|||
|
|
|
|||
|
|
trade.volume = newTradeVolume
|
|||
|
|
trade.price = order.price
|
|||
|
|
trade.direction = order.direction
|
|||
|
|
trade.offset = order.offset
|
|||
|
|
trade.exchange = order.exchange
|
|||
|
|
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
|||
|
|
|
|||
|
|
self.gateway.onTrade(trade)
|
|||
|
|
|
|||
|
|
order.status = STATUS_PARTTRADED
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
else:
|
|||
|
|
|
|||
|
|
# 说明这是一个 不知道 哪里来的订单
|
|||
|
|
# 推送委托信息
|
|||
|
|
# 订单有两种可能
|
|||
|
|
# 1、人工发的单
|
|||
|
|
# 2、前面取消失败的单 # 总有些订单是取消失败的 , 如果出现了，那么就取消掉这些交易
|
|||
|
|
# 所以对于订单进行判断，如果订单时间超过10秒， 那么取消掉
|
|||
|
|
|
|||
|
|
if order.orderTime < ten_seconds_str :
|
|||
|
|
# 判断为需要取消的单子
|
|||
|
|
self.cancel_orders( coinID )
|
|||
|
|
else:
|
|||
|
|
self.localID += 1
|
|||
|
|
localID = str(self.localID)
|
|||
|
|
|
|||
|
|
symbol_pair = d['pair'] # btc_jpy
|
|||
|
|
order = VtOrderData()
|
|||
|
|
order.gatewayName = self.gatewayName
|
|||
|
|
order.symbol = symbol_pair + "." + self.gatewayName
|
|||
|
|
order.exchange = EXCHANGE_COINCHECK
|
|||
|
|
order.vtSymbol = order.symbol
|
|||
|
|
|
|||
|
|
order.orderID = localID
|
|||
|
|
order.vtOrderID = '.'.join(["mistake", order.gatewayName])
|
|||
|
|
|
|||
|
|
order.direction = DIRECTION_LONG
|
|||
|
|
order.offset = OFFSET_OPEN
|
|||
|
|
|
|||
|
|
order.price = float(d["rate"])
|
|||
|
|
order.volume = float(d["pending_amount"])
|
|||
|
|
order.orderTime = d["created_at"]
|
|||
|
|
order.status = STATUS_MISTAKE
|
|||
|
|
|
|||
|
|
self.workingOrderDict[localID] = order
|
|||
|
|
self.systemLocalDict[coinID] = localID
|
|||
|
|
self.localSystemDict[localID] = coinID
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
|
|||
|
|
'''
|
|||
|
|
{
|
|||
|
|
"success": true,
|
|||
|
|
"id": 12345
|
|||
|
|
}
|
|||
|
|
'''
|
|||
|
|
def onCancel_orders(self, data, req, reqID):
|
|||
|
|
# self.gateway.onCancelOrder( data)
|
|||
|
|
if data['success'] != 0:
|
|||
|
|
systemID = data["id"]
|
|||
|
|
localID = self.systemLocalDict[systemID]
|
|||
|
|
|
|||
|
|
order = self.workingOrderDict[localID]
|
|||
|
|
order.status = STATUS_CANCELLED
|
|||
|
|
|
|||
|
|
del self.workingOrderDict[localID]
|
|||
|
|
del self.systemLocalDict[systemID]
|
|||
|
|
del self.localSystemDict[localID]
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
def onHistory_orders(self, data, req, reqID):
|
|||
|
|
print data
|
|||
|
|
|
|||
|
|
def cancel(self, req):
|
|||
|
|
localID = req.orderID
|
|||
|
|
if localID in self.localSystemDict:
|
|||
|
|
systemID = self.localSystemDict[localID]
|
|||
|
|
self.cancel_orders( systemID )
|
|||
|
|
else:
|
|||
|
|
self.cancelDict[localID] = req
|
|||
|
|
|
|||
|
|
|
|||
|
|
class CoincheckSocketDataApi(vncoincheck.DataApiSocket):
|
|||
|
|
"""基于websocket的TICK数据获得对象"""
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def __init__(self, gateway):
|
|||
|
|
super(CoincheckSocketDataApi, self).__init__()
|
|||
|
|
|
|||
|
|
self.market = 'jpy'
|
|||
|
|
self.gateway = gateway
|
|||
|
|
self.gatewayName = gateway.gatewayName
|
|||
|
|
|
|||
|
|
self.tickDict = {} # key:symbol, value:tick
|
|||
|
|
|
|||
|
|
self.period_flag = False
|
|||
|
|
|
|||
|
|
|
|||
|
|
def connect(self ):
|
|||
|
|
super(CoincheckSocketDataApi, self).connect( COINCHECK_HOSTS)
|
|||
|
|
|
|||
|
|
def onOrderbooks(self, data):
|
|||
|
|
symbol = SYMBOL_BTCJPY
|
|||
|
|
if symbol not in self.tickDict:
|
|||
|
|
tick = VtTickData()
|
|||
|
|
tick.gatewayName = self.gatewayName
|
|||
|
|
tick.exchange = EXCHANGE_COINCHECK
|
|||
|
|
tick.symbol = '.'.join([symbol, tick.exchange])
|
|||
|
|
tick.vtSymbol = '.'.join([symbol, tick.exchange])
|
|||
|
|
|
|||
|
|
self.tickDict[symbol] = tick
|
|||
|
|
else:
|
|||
|
|
tick = self.tickDict[symbol]
|
|||
|
|
|
|||
|
|
data = json.loads(data)
|
|||
|
|
load_symbol , dic = data
|
|||
|
|
if load_symbol == symbol:
|
|||
|
|
bids = dic["bids"]
|
|||
|
|
asks = dic["asks"]
|
|||
|
|
|
|||
|
|
bids = [ (float(x[0]) , float(x[1])) for x in bids ]
|
|||
|
|
asks = [ (float(x[0]) , float(x[1])) for x in asks ]
|
|||
|
|
|
|||
|
|
tick.bidPrice1, tick.bidVolume1 = [0 , 0]
|
|||
|
|
tick.bidPrice2, tick.bidVolume2 = [0 , 0]
|
|||
|
|
tick.bidPrice3, tick.bidVolume3 = [0 , 0]
|
|||
|
|
tick.bidPrice4, tick.bidVolume4 = [0 , 0]
|
|||
|
|
tick.bidPrice5, tick.bidVolume5 = [0 , 0]
|
|||
|
|
|
|||
|
|
tick.askPrice1, tick.askVolume1 = [0 , 0]
|
|||
|
|
tick.askPrice2, tick.askVolume2 = [0 , 0]
|
|||
|
|
tick.askPrice3, tick.askVolume3 = [0 , 0]
|
|||
|
|
tick.askPrice4, tick.askVolume4 = [0 , 0]
|
|||
|
|
tick.askPrice5, tick.askVolume5 = [0 , 0]
|
|||
|
|
try:
|
|||
|
|
tick.bids = bids
|
|||
|
|
tick.asks = asks
|
|||
|
|
tick.bidPrice1, tick.bidVolume1 = bids[0]
|
|||
|
|
tick.bidPrice2, tick.bidVolume2 = bids[1]
|
|||
|
|
tick.bidPrice3, tick.bidVolume3 = bids[2]
|
|||
|
|
tick.bidPrice4, tick.bidVolume4 = bids[3]
|
|||
|
|
tick.bidPrice5, tick.bidVolume5 = bids[4]
|
|||
|
|
except Exception,ex:
|
|||
|
|
pass
|
|||
|
|
|
|||
|
|
try:
|
|||
|
|
tick.askPrice1, tick.askVolume1 = asks[0]
|
|||
|
|
tick.askPrice2, tick.askVolume2 = asks[1]
|
|||
|
|
tick.askPrice3, tick.askVolume3 = asks[2]
|
|||
|
|
tick.askPrice4, tick.askVolume4 = asks[3]
|
|||
|
|
tick.askPrice5, tick.askVolume5 = asks[4]
|
|||
|
|
except Exception,ex:
|
|||
|
|
pass
|
|||
|
|
|
|||
|
|
now = datetime.now()
|
|||
|
|
tick.time = now.strftime('%H:%M:%S')
|
|||
|
|
tick.date = now.strftime('%Y%m%d')
|
|||
|
|
tick.datetime = now
|
|||
|
|
|
|||
|
|
self.gateway.onTick(tick)
|
|||
|
|
self.period_flag = False
|
|||
|
|
|
|||
|
|
def onTrade(self , data):
|
|||
|
|
|
|||
|
|
orderId, symbol , price , volume , direction = data
|
|||
|
|
|
|||
|
|
price = float(price)
|
|||
|
|
volume = float(volume)
|
|||
|
|
|
|||
|
|
if symbol not in self.tickDict:
|
|||
|
|
tick = VtTickData()
|
|||
|
|
tick.gatewayName = self.gatewayName
|
|||
|
|
tick.exchange = EXCHANGE_COINCHECK
|
|||
|
|
tick.symbol = '.'.join([symbol, tick.exchange])
|
|||
|
|
tick.vtSymbol = '.'.join([symbol, tick.exchange])
|
|||
|
|
tick.volume = 0
|
|||
|
|
|
|||
|
|
self.tickDict[symbol] = tick
|
|||
|
|
else:
|
|||
|
|
tick = self.tickDict[symbol]
|
|||
|
|
|
|||
|
|
if self.period_flag == False:
|
|||
|
|
self.period_flag = True
|
|||
|
|
|
|||
|
|
tick.highPrice = price
|
|||
|
|
tick.lowPrice = price
|
|||
|
|
tick.lastPrice = price
|
|||
|
|
|
|||
|
|
else:
|
|||
|
|
tick.highPrice = max(tick.highPrice , price)
|
|||
|
|
tick.lowPrice = min(tick.lowPrice , price)
|
|||
|
|
tick.lastPrice = price
|
|||
|
|
|
|||
|
|
tick.volume += volume
|
|||
|
|
|
|||
|
|
|
|||
|
|
def onMessage(self, ws , evt):
|
|||
|
|
if evt:
|
|||
|
|
data = json.loads(evt)
|
|||
|
|
cclen = len(data)
|
|||
|
|
if cclen == 2:
|
|||
|
|
self.onOrderbooks( evt)
|
|||
|
|
elif cclen == 5:
|
|||
|
|
self.onTrade(data)
|
|||
|
|
|
|||
|
|
|
|||
|
|
class CoincheckDataApi(vncoincheck.DataApi):
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def __init__(self, gateway):
|
|||
|
|
"""Constructor"""
|
|||
|
|
super(CoincheckDataApi, self).__init__()
|
|||
|
|
|
|||
|
|
self.market = 'jpy'
|
|||
|
|
self.gateway = gateway
|
|||
|
|
self.gatewayName = gateway.gatewayName
|
|||
|
|
|
|||
|
|
self.tickDict = {} # key:symbol, value:tick
|
|||
|
|
|
|||
|
|
def connect(self, interval , market , debug = False):
|
|||
|
|
self.init(interval , debug)
|
|||
|
|
# 订阅行情并推送合约信息
|
|||
|
|
if self.market == 'jpy':
|
|||
|
|
self.subscribeTick(SYMBOL_BTCJPY)
|
|||
|
|
self.subscribeOrderbooks(SYMBOL_BTCJPY)
|
|||
|
|
|
|||
|
|
contract = VtContractData()
|
|||
|
|
contract.gatewayName = self.gatewayName
|
|||
|
|
contract.symbol = SYMBOL_BTCJPY
|
|||
|
|
contract.exchange = EXCHANGE_COINCHECK
|
|||
|
|
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
|||
|
|
contract.name = u'日元coincheck现货BTC'
|
|||
|
|
contract.size = 0.0001
|
|||
|
|
contract.priceTick = 0.0001
|
|||
|
|
contract.productClass = PRODUCT_SPOT
|
|||
|
|
self.gateway.onContract(contract)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onTick(self, data):
|
|||
|
|
"""实时成交推送"""
|
|||
|
|
symbol = SYMBOL_BTCJPY
|
|||
|
|
if symbol not in self.tickDict:
|
|||
|
|
tick = VtTickData()
|
|||
|
|
tick.gatewayName = self.gatewayName
|
|||
|
|
|
|||
|
|
tick.exchange = EXCHANGE_COINCHECK
|
|||
|
|
tick.symbol = '.'.join([symbol, tick.exchange])
|
|||
|
|
tick.vtSymbol = '.'.join([symbol, tick.exchange])
|
|||
|
|
self.tickDict[symbol] = tick
|
|||
|
|
else:
|
|||
|
|
tick = self.tickDict[symbol]
|
|||
|
|
|
|||
|
|
tick.highPrice = float(data['high'])
|
|||
|
|
tick.lowPrice = float(data['low'])
|
|||
|
|
tick.lastPrice = float(data['last'])
|
|||
|
|
tick.volume = float(data['volume'])
|
|||
|
|
|
|||
|
|
now = datetime.now()
|
|||
|
|
tick.time = now.strftime('%H:%M:%S')
|
|||
|
|
tick.date = now.strftime('%Y%m%d')
|
|||
|
|
tick.datetime = now
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onTrades(self, data):
|
|||
|
|
"""实时成交推送"""
|
|||
|
|
print data
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onOrderbooks(self, data):
|
|||
|
|
"""实时成交推送"""
|
|||
|
|
symbol = SYMBOL_BTCJPY
|
|||
|
|
bids = data["bids"]
|
|||
|
|
asks = data["asks"]
|
|||
|
|
if symbol not in self.tickDict:
|
|||
|
|
tick = VtTickData()
|
|||
|
|
tick.gatewayName = self.gatewayName
|
|||
|
|
|
|||
|
|
tick.symbol = symbol
|
|||
|
|
tick.exchange = EXCHANGE_COINCHECK
|
|||
|
|
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
|
|||
|
|
self.tickDict[symbol] = tick
|
|||
|
|
else:
|
|||
|
|
tick = self.tickDict[symbol]
|
|||
|
|
|
|||
|
|
bids = [ (float(x[0]) , float(x[1])) for x in bids ]
|
|||
|
|
asks = [ (float(x[0]) , float(x[1])) for x in asks ]
|
|||
|
|
tick.bidPrice1, tick.bidVolume1 = bids[0]
|
|||
|
|
tick.bidPrice2, tick.bidVolume2 = bids[1]
|
|||
|
|
tick.bidPrice3, tick.bidVolume3 = bids[2]
|
|||
|
|
tick.bidPrice4, tick.bidVolume4 = bids[3]
|
|||
|
|
tick.bidPrice5, tick.bidVolume5 = bids[4]
|
|||
|
|
|
|||
|
|
tick.askPrice1, tick.askVolume1 = asks[0]
|
|||
|
|
tick.askPrice2, tick.askVolume2 = asks[1]
|
|||
|
|
tick.askPrice3, tick.askVolume3 = asks[2]
|
|||
|
|
tick.askPrice4, tick.askVolume4 = asks[3]
|
|||
|
|
tick.askPrice5, tick.askVolume5 = asks[4]
|
|||
|
|
|
|||
|
|
|
|||
|
|
now = datetime.now()
|
|||
|
|
tick.time = now.strftime('%H:%M:%S')
|
|||
|
|
tick.date = now.strftime('%Y%m%d')
|
|||
|
|
tick.datetime = now
|
|||
|
|
|
|||
|
|
self.gateway.onTick(tick)
|
|||
|
|
|