vnpy/beta/api/okex/vnokex.py

# encoding: UTF-8

import hashlib
import zlib
import json
from time import sleep
from threading import Thread

import websocket    

# OKEX网站
OKEX_USD_SPOT = 'wss://real.okex.com:10441/websocket'               # OKEX 现货地址
OKEX_USD_CONTRACT = 'wss://real.okex.com:10440/websocket/okexapi'   # OKEX 期货地址

SPOT_CURRENCY = ["usdt",
                 "btc",
                 "ltc",
                 "eth",
                 "etc",
                 "bch"]

SPOT_SYMBOL = ["ltc_btc",
               "eth_btc",
               "etc_btc",
               "bch_btc",
               "btc_usdt",
               "eth_usdt",
               "ltc_usdt",
               "etc_usdt",
               "bch_usdt",
               "etc_eth",
               "bt1_btc",
               "bt2_btc",
               "btg_btc",
               "qtum_btc",
               "hsr_btc",
               "neo_btc",
               "gas_btc",
               "qtum_usdt",
               "hsr_usdt",
               "neo_usdt",
               "gas_usdt"]

KLINE_PERIOD = ["1min",
                "3min",
                "5min",
                "15min",
                "30min",
                "1hour",
                "2hour",
                "4hour",
                "6hour",
                "12hour",
                "day",
                "3day",
                "week"]

CONTRACT_SYMBOL = ["btc",
                   "ltc",
                   "eth",
                   "etc",
                   "bch"]

CONTRACT_TYPE = ["this_week",
                 "next_week",
                 "quarter"]


########################################################################
class OkexApi(object):    
    """交易接口"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.host = ''          # 服务器
        self.apiKey = ''        # 用户名
        self.secretKey = ''     # 密码
  
        self.ws = None          # websocket应用对象  现货对象
        self.thread = None      # 初始化线程

    #----------------------------------------------------------------------
    def reconnect(self):
        """重新连接"""
        # 首先关闭之前的连接
        self.close()
        
        # 再执行重连任务
        self.ws = websocket.WebSocketApp(self.host, 
                                         on_message=self.onMessage,
                                         on_error=self.onError,
                                         on_close=self.onClose,
                                         on_open=self.onOpen)        
    
        self.thread = Thread(target=self.ws.run_forever)
        self.thread.start()
    
    #----------------------------------------------------------------------
    def connect(self, apiKey, secretKey, trace=False):
        self.host = OKEX_USD_SPOT
        self.apiKey = apiKey
        self.secretKey = secretKey

        websocket.enableTrace(trace)

        self.ws = websocket.WebSocketApp(self.host, 
                                             on_message=self.onMessage,
                                             on_error=self.onError,
                                             on_close=self.onClose,
                                             on_open=self.onOpen)        
            
        self.thread = Thread(target=self.ws.run_forever)
        self.thread.start()

    #----------------------------------------------------------------------
    def readData(self, evt):
        """解码推送收到的数据"""
        data = json.loads(evt)
        return data

    #----------------------------------------------------------------------
    def close(self):
        """关闭接口"""
        if self.thread and self.thread.isAlive():
            self.ws.close()
            self.thread.join()

    #----------------------------------------------------------------------
    def onMessage(self, ws, evt):
        """信息推送""" 
        print evt
        
    #----------------------------------------------------------------------
    def onError(self, ws, evt):
        """错误推送"""
        print 'onError'
        print evt
        
    #----------------------------------------------------------------------
    def onClose(self, ws):
        """接口断开"""
        print 'onClose'
        
    #----------------------------------------------------------------------
    def onOpen(self, ws):
        """接口打开"""
        print 'onOpen'
        
    #----------------------------------------------------------------------
    def generateSign(self, params):
        """生成签名"""
        l = []
        for key in sorted(params.keys()):
            l.append('%s=%s' %(key, params[key]))
        l.append('secret_key=%s' %self.secretKey)
        sign = '&'.join(l)
        return hashlib.md5(sign.encode('utf-8')).hexdigest().upper()

    #----------------------------------------------------------------------
    def sendTradingRequest(self, channel, params):
        """发送交易请求"""
        # 在参数字典中加上api_key和签名字段
        params['api_key'] = self.apiKey
        params['sign'] = self.generateSign(params)
        
        # 生成请求
        d = {}
        d['event'] = 'addChannel'
        d['channel'] = channel        
        d['parameters'] = params
        
        # 使用json打包并发送
        j = json.dumps(d)
        
        # 若触发异常则重连
        try:
            self.ws.send(j)
        except websocket.WebSocketConnectionClosedException:
            pass 

    #----------------------------------------------------------------------
    def sendDataRequest(self, channel):
        """发送数据请求"""
        d = {}
        d['event'] = 'addChannel'
        d['channel'] = channel
        j = json.dumps(d)
        
        # 若触发异常则重连
        try:
            self.ws.send(j)
        except websocket.WebSocketConnectionClosedException:
            pass

    #----------------------------------------------------------------------
    def login(self):
        params = {}
        params['api_key'] = self.apiKey
        params['sign'] = self.generateSign(params)
        
        # 生成请求
        d = {}
        d['event'] = 'login'
        d['parameters'] = params
        
        # 使用json打包并发送
        j = json.dumps(d)
        
        # 若触发异常则重连
        try:
            self.ws.send(j)
            return True
        except websocket.WebSocketConnectionClosedException:
            return False


########################################################################
class OkexSpotApi(OkexApi):    
    """现货交易接口"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(OkexSpotApi, self).__init__()

    #----------------------------------------------------------------------
    def subscribeSpotTicker(self, symbol):
        """订阅现货的Tick"""
        channel = 'ok_sub_spot_%s_ticker' %symbol
        self.sendDataRequest(channel)

    #----------------------------------------------------------------------
    def subscribeSpotDepth(self, symbol, depth=0):
        """订阅现货的深度"""
        channel = 'ok_sub_spot_%s_depth' %symbol
        if depth:
            channel = channel + '_' + str(depth)
        self.sendDataRequest(channel)

    #----------------------------------------------------------------------
    def subscribeSpotDeals(self, symbol):
        channel = 'ok_sub_spot_%s_deals' %symbol
        self.sendDataRequest(channel)

    #----------------------------------------------------------------------
    def subscribeSpotKlines(self, symbol, period):
        channel = 'ok_sub_spot_%s_kline_%s' %(symbol, period)
        self.sendDataRequest(channel)

    #----------------------------------------------------------------------
    def spotTrade(self, symbol, type_, price, amount):
        """现货委托"""
        params = {}
        params['symbol'] = str(symbol)
        params['type'] = str(type_)
        params['price'] = str(price)
        params['amount'] = str(amount)
        
        channel = 'ok_spot_order'
        
        self.sendTradingRequest(channel, params)

    #----------------------------------------------------------------------
    def spotCancelOrder(self, symbol, orderid):
        """现货撤单"""
        params = {}
        params['symbol'] = str(symbol)
        params['order_id'] = str(orderid)
        
        channel = 'ok_spot_cancel_order'

        self.sendTradingRequest(channel, params)
    
    #----------------------------------------------------------------------
    def spotUserInfo(self):
        """查询现货账户"""
        channel = 'ok_spot_userinfo'
        self.sendTradingRequest(channel, {})

    #----------------------------------------------------------------------
    def spotOrderInfo(self, symbol, orderid):
        """查询现货委托信息"""
        params = {}
        params['symbol'] = str(symbol)
        params['order_id'] = str(orderid)
        
        channel = 'ok_spot_orderinfo'
        
        self.sendTradingRequest(channel, params)



########################################################################
class OkexFuturesApi(OkexApi):
    """期货交易接口
    
    交割推送信息：
    [{
        "channel": "btc_forecast_price",
        "timestamp":"1490341322021",
        "data": "998.8"
    }]
    data(string): 预估交割价格
    timestamp(string): 时间戳
    
    无需订阅，交割前一小时自动返回
    """

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(OkexFuturesApi, self).__init__()

    #----------------------------------------------------------------------
    def subsribeFuturesTicker(self, symbol, contractType):
        """订阅期货行情"""
        channel ='ok_sub_futureusd_%s_ticker_%s' %(symbol, contractType)
        self.sendDataRequest(channel)

    #----------------------------------------------------------------------
    def subscribeFuturesKline(self, symbol, contractType, period):
        """订阅期货K线"""
        channel = 'ok_sub_futureusd_%s_kline_%s_%s' %(symbol, contractType, period)
        self.sendDataRequest(channel)

    #----------------------------------------------------------------------
    def subscribeFuturesDepth(self, symbol, contractType, depth=0):
        """订阅期货深度"""
        channel = 'ok_sub_futureusd_%s_depth_%s' %(symbol, contractType)
        if depth:
            channel = channel + '_' + str(depth)
        self.sendDataRequest(channel)

    #----------------------------------------------------------------------
    def subscribeFuturesTrades(self, symbol, contractType):
        """订阅期货成交"""
        channel = 'ok_sub_futureusd_%s_trade_%s' %(symbol, contractType)
        self.sendDataRequest(channel)

    #----------------------------------------------------------------------
    def subscribeFuturesIndex(self, symbol):
        """订阅期货指数"""
        channel = 'ok_sub_futureusd_%s_index' %symbol
        self.sendDataRequest(channel)
        
    #----------------------------------------------------------------------
    def futuresTrade(self, symbol, contractType, type_, price, amount, matchPrice='0', leverRate='10'):
        """期货委托"""
        params = {}
        params['symbol'] = str(symbol)
        params['contract_type'] = str(contractType)
        params['price'] = str(price)
        params['amount'] = str(amount)
        params['type'] = type_                # 1:开多 2:开空 3:平多 4:平空
        params['match_price'] = matchPrice    # 是否为对手价： 0:不是 1:是 当取值为1时,price无效
        params['lever_rate'] = leverRate
        
        channel = 'ok_futureusd_trade'
        
        self.sendTradingRequest(channel, params)

    #----------------------------------------------------------------------
    def futuresCancelOrder(self, symbol, orderid, contractType):
        """期货撤单"""
        params = {}
        params['symbol'] = str(symbol)
        params['order_id'] = str(orderid)
        params['contract_type'] = str(contractType)
        
        channel = 'ok_futureusd_cancel_order'

        self.sendTradingRequest(channel, params)

    #----------------------------------------------------------------------
    def futuresUserInfo(self):
        """查询期货账户"""
        channel = 'ok_futureusd_userinfo'
        self.sendTradingRequest(channel, {})

    #----------------------------------------------------------------------
    def futuresOrderInfo(self, symbol, orderid, contractType, status, current_page, page_length=10):
        """查询期货委托"""
        params = {}
        params['symbol'] = str(symbol)
        params['order_id'] = str(orderid)
        params['contract_type'] = str(contractType)
        params['status'] = str(status)
        params['current_page'] = str(current_page)
        params['page_length'] = str(page_length)
        
        channel = 'ok_futureusd_orderinfo'
        
        self.sendTradingRequest(channel, params)

    #----------------------------------------------------------------------
    def subscribeFuturesTrades( self):
        channel = 'ok_sub_futureusd_trades'
        self.sendTradingRequest(channel, {})

    #----------------------------------------------------------------------
    def subscribeFuturesUserInfo(self):
        """订阅期货账户信息"""
        channel = 'ok_sub_futureusd_userinfo' 
        self.sendTradingRequest(channel, {})
        
    #----------------------------------------------------------------------
    def subscribeFuturesPositions(self):
        """订阅期货持仓信息"""
        channel = 'ok_sub_futureusd_positions' 
        self.sendTradingRequest(channel, {})