586 lines
22 KiB
Python
586 lines
22 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.korbit import vnkorbit , KORBIT_ALL_SYMBOL_PAIR , KORBIT_ALL_SYMBOLS
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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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korbit_order_status_map ={}
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korbit_order_status_map["partially_filled"] = STATUS_PARTTRADED
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korbit_order_status_map["unfilled"] = STATUS_NOTTRADED
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korbit_order_status_map["filled"] = STATUS_ALLTRADED
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class korbitGateway(VtGateway):
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"""korbit接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName = "KORBIT"):
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"""Constructor"""
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super(korbitGateway , self).__init__(eventEngine, gatewayName)
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self.tradeApi = KorbitTradeApi(self)
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self.dataApi = KorbitDataApi(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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self.accountID = "NONE"
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self.total_count = 0
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self.delayTime = 3
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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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self.accountID = str(setting["accountID"])
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self.accessKey = str(setting['accessKey'])
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self.secretKey = str(setting['secretKey'])
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self.username = str(setting["username"])
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self.password = str(setting["password"])
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self.interval = setting['interval']
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self.debug = setting['debug']
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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.setUserInfo( self.accountID , self.username , self.password)
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# 初始化接口
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self.tradeApi.init(self.accessKey, self.secretKey , self.username , self.password)
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self.writeLog(u'交易接口初始化成功')
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self.dataApi.connect(self.interval , self.debug)
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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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self.dataApi.subscribe(subscribeReq)
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self.tradeApi.subscribe(subscribeReq)
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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.list_market_all_register , self.tradeApi.user_balances]
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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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self.total_count += 1
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if self.total_count % self.delayTime == 0:
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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 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 KorbitTradeApi(vnkorbit.Korbit_TradeApi):
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def __init__(self, gateway):
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super(KorbitTradeApi , self).__init__()
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self.gateway = gateway
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self.gatewayName = gateway.gatewayName
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self.accountID = "KORBIT"
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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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self.registerSymbolPair = set([])
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#--------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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use_symbol = (subscribeReq.symbol.split('.'))[0]
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self.registerSymbolPair.add( use_symbol )
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#--------------------------------------------------------------------
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def list_market_all_register(self):
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for symbol_pair in self.registerSymbolPair:
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self.list_market_orders(currency_pair = symbol_pair , offset = 0 , limit = 50)
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#--------------------------------------------------------------------
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def setUserInfo(self, _accountID , _username , _password):
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self.accountID = _accountID
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self.username = _username
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self.password = _password
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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'Korbit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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currency = (symbol.split('.'))[0]
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if req.direction == DIRECTION_LONG:
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reqID = self.buy_currency( coin_amount = req.volume , price = req.price , currency_pair = currency)
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else:
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reqID = self.sell_currency( coin_amount = req.volume , price = req.price , currency_pair = currency)
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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_KORBIT
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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.tradedVolume = 0.0
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order.totalVolume = 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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def cancel(self, req):
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localID = req.orderID
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if localID in self.localSystemDict:
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systemID = self.localSystemDict[localID]
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symbol_pair = (req.symbol.split('.'))[0]
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self.cancel_orders( systemID , currency_pair = symbol_pair)
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else:
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self.cancelDict[localID] = req
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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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def on_buy_currency(self, data , req, reqID):
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if data["status"] != "success":
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print "Error in on_buy_currency"
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print data
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else:
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localID = self.reqLocalDict[reqID]
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systemID = str(data['orderId'])
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self.localSystemDict[localID] = systemID
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self.systemLocalDict[systemID] = localID
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# 撤单
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if localID in self.cancelDict:
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req = self.cancelDict[localID]
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self.cancel(req)
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del self.cancelDict[localID]
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# 推送委托信息
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order = self.workingOrderDict[localID]
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order.status = STATUS_NOTTRADED
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self.tradedVolumeDict[localID] = 0.0
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self.gateway.onOrder(order)
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#--------------------------------------------------------------------
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def on_sell_currency(self, data , req, reqID):
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"""卖出回调"""
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if data["status"] != "success":
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print "Error in on_sell_currency"
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else:
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localID = self.reqLocalDict[reqID]
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systemID = str(data['orderId'])
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self.localSystemDict[localID] = systemID
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self.systemLocalDict[systemID] = localID
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# 撤单
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if localID in self.cancelDict:
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req = self.cancelDict[localID]
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self.cancel(req)
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del self.cancelDict[localID]
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# 推送委托信息
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order = self.workingOrderDict[localID]
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order.status = STATUS_NOTTRADED
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self.tradedVolumeDict[localID] = 0.0
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self.gateway.onOrder(order)
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print "what"
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#--------------------------------------------------------------------
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def on_list_exchange_orders(self, data , req, reqID):
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if len(data) > 0:
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local_system_dict_keys = self.systemLocalDict.keys()
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for d_order in data:
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systemID = str(d_order["id"])
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if systemID in local_system_dict_keys:
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localID = self.systemLocalDict[systemID]
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order = self.workingOrderDict.get(localID, None)
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if order != None:
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bef_has_volume = self.tradedVolumeDict.get(localID , 0.0)
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total_need_volume = float(d_order["order_amount"])
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nowTradeVolume = float(d_order["filled_amount"])
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status = d_order["status"]
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order.tradedVolume = nowTradeVolume
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order.totalVolume = total_need_volume
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newTradeVolume = nowTradeVolume - bef_has_volume
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if newTradeVolume > 0.000001:
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trade = VtTradeData()
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trade.gatewayName = self.gatewayName
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trade.symbol = order.symbol
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trade.vtSymbol = order.vtSymbol
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self.tradeID += 1
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trade.tradeID = str(self.tradeID)
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trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName])
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trade.orderID = order.orderID
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trade.vtOrderID = order.vtOrderID
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trade.volume = newTradeVolume
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trade.price = order.price
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trade.direction = order.direction
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trade.offset = order.offset
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trade.exchange = order.exchange
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trade.tradeTime = datetime.now().strftime('%H:%M:%S')
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self.gateway.onTrade(trade)
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if korbit_order_status_map[status] == STATUS_ALLTRADED:
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order.status = STATUS_ALLTRADED
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del self.tradedVolumeDict[localID]
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del self.systemLocalDict[systemID]
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del self.workingOrderDict[localID]
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else:
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order.status = STATUS_PARTTRADED
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self.tradedVolumeDict[localID] = nowTradeVolume
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self.gateway.onOrder(order)
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else:
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total_need_volume = float(d_order["order_amount"])
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nowTradeVolume = float(d_order["filled_amount"])
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status = d_order["status"]
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side = d_order["side"]
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if korbit_order_status_map[status] != STATUS_ALLTRADED:
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# 说明这是一个尚未被系统记录的订单
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self.localID += 1
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localID = str(self.localID)
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.symbol = d_order["currency_pair"] + "." + self.gatewayName
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order.exchange = EXCHANGE_KORBIT
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order.vtSymbol = order.symbol
|
||
|
|
|
||
|
|
order.orderID = localID
|
||
|
|
order.vtOrderID = '.'.join([order.orderID, order.gatewayName])
|
||
|
|
|
||
|
|
if side == "bid":
|
||
|
|
order.direction = DIRECTION_LONG
|
||
|
|
order.offset = OFFSET_OPEN
|
||
|
|
else:
|
||
|
|
order.direction = DIRECTION_SHORT
|
||
|
|
order.offset = OFFSET_CLOSE
|
||
|
|
|
||
|
|
order.price = float(d_order["price"])
|
||
|
|
order.tradedVolume = float(d_order["filled_amount"])
|
||
|
|
order.totalVolume = float(d_order["order_amount"])
|
||
|
|
""" """
|
||
|
|
dt , date , utime = self.generateDateTime(d_order["created_at"])
|
||
|
|
order.orderTime = date + " " + utime
|
||
|
|
order.status = korbit_order_status_map[status]
|
||
|
|
|
||
|
|
self.workingOrderDict[localID] = order
|
||
|
|
self.systemLocalDict[systemID] = localID
|
||
|
|
self.localSystemDict[localID] = systemID
|
||
|
|
self.gateway.onOrder(order)
|
||
|
|
|
||
|
|
#--------------------------------------------------------------------
|
||
|
|
def onCancelOrders(self, data , req, reqID):
|
||
|
|
for d_order in data:
|
||
|
|
systemID = d_order["orderId"]
|
||
|
|
status = d_order["status"]
|
||
|
|
|
||
|
|
if status == "success":
|
||
|
|
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 onBalances(self, data , req, reqID):
|
||
|
|
all_keys_returns = data.keys()
|
||
|
|
|
||
|
|
total_balance = 0.0
|
||
|
|
for symbol in all_keys_returns:
|
||
|
|
if symbol in KORBIT_ALL_SYMBOLS:
|
||
|
|
val = data[symbol]
|
||
|
|
ava = float(val["available"])
|
||
|
|
trade_vol = float(val["trade_in_use"])
|
||
|
|
|
||
|
|
posObj = VtPositionData()
|
||
|
|
posObj.gatewayName = self.gatewayName
|
||
|
|
posObj.symbol = symbol + "." + EXCHANGE_KORBIT
|
||
|
|
posObj.exchange = EXCHANGE_KORBIT
|
||
|
|
posObj.vtSymbol = posObj.symbol
|
||
|
|
posObj.direction = DIRECTION_LONG
|
||
|
|
posObj.vtPositionName = '.'.join( [posObj.vtSymbol, posObj.direction])
|
||
|
|
posObj.ydPosition = ava + trade_vol
|
||
|
|
posObj.position = ava + trade_vol
|
||
|
|
posObj.frozen = trade_vol
|
||
|
|
posObj.positionProfit = 0
|
||
|
|
self.gateway.onPosition(posObj)
|
||
|
|
|
||
|
|
|
||
|
|
account = VtAccountData()
|
||
|
|
account.gatewayName = self.gatewayName
|
||
|
|
account.accountID = self.accountID
|
||
|
|
account.vtAccountID = '.'.join([ self.gatewayName , self.accountID])
|
||
|
|
account.balance = total_balance
|
||
|
|
account.available = total_balance
|
||
|
|
|
||
|
|
account.margin = 1.0
|
||
|
|
account.closeProfit = 0.0
|
||
|
|
account.positionProfit = 0.0
|
||
|
|
account.commission = 0.0
|
||
|
|
|
||
|
|
self.gateway.onAccount(account)
|
||
|
|
|
||
|
|
#--------------------------------------------------------------------
|
||
|
|
def generateDateTime(self , s):
|
||
|
|
dt = datetime.fromtimestamp(float(s)/1e3)
|
||
|
|
time = dt.strftime("%H:%M:%S.%f")
|
||
|
|
date = dt.strftime("%Y%m%d")
|
||
|
|
return dt , date, time
|
||
|
|
|
||
|
|
class KorbitDataApi(vnkorbit.Korbit_DataApi):
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def __init__(self, gateway):
|
||
|
|
"""Constructor"""
|
||
|
|
super(KorbitDataApi, self).__init__()
|
||
|
|
|
||
|
|
self.gateway = gateway
|
||
|
|
self.gatewayName = gateway.gatewayName
|
||
|
|
|
||
|
|
self.tickDict = {} # key:symbol, value:tick
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def subscribeSingle(self, symbol_pair):
|
||
|
|
self.subscribeTick(symbol_pair)
|
||
|
|
self.subscribeOrderbooks(symbol_pair)
|
||
|
|
# self.subscribeTrades(symbol_pair)
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def subscribe(self, subscribeReq):
|
||
|
|
self.subscribeSingle( subscribeReq.symbol)
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def connect(self, interval , market , debug = False):
|
||
|
|
self.init(interval , debug)
|
||
|
|
|
||
|
|
self.subscribeSingle("bch_krw")
|
||
|
|
|
||
|
|
# 订阅行情并推送合约信息
|
||
|
|
for symbol_pair in KORBIT_ALL_SYMBOL_PAIR:
|
||
|
|
#self.subscribeSingle( symbol_pair)
|
||
|
|
|
||
|
|
contract = VtContractData()
|
||
|
|
contract.gatewayName = self.gatewayName
|
||
|
|
contract.symbol = symbol_pair
|
||
|
|
contract.exchange = EXCHANGE_KORBIT
|
||
|
|
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||
|
|
contract.name = symbol_pair
|
||
|
|
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 = data["symbol"]
|
||
|
|
if symbol not in self.tickDict:
|
||
|
|
tick = VtTickData()
|
||
|
|
tick.gatewayName = self.gatewayName
|
||
|
|
|
||
|
|
tick.exchange = EXCHANGE_KORBIT
|
||
|
|
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'])
|
||
|
|
|
||
|
|
tick.datetime , tick.date , tick.time = self.generateDateTime(data["timestamp"])
|
||
|
|
|
||
|
|
# 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
|
||
|
|
pass
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def onOrderbooks(self, data):
|
||
|
|
"""实时成交推送"""
|
||
|
|
symbol = data["symbol"]
|
||
|
|
|
||
|
|
bids = data["bids"]
|
||
|
|
asks = data["asks"]
|
||
|
|
if symbol not in self.tickDict:
|
||
|
|
tick = VtTickData()
|
||
|
|
tick.gatewayName = self.gatewayName
|
||
|
|
|
||
|
|
tick.symbol = symbol
|
||
|
|
tick.exchange = EXCHANGE_KORBIT
|
||
|
|
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]
|
||
|
|
|
||
|
|
|
||
|
|
tick.datetime , tick.date , tick.time = self.generateDateTime(data["timestamp"])
|
||
|
|
|
||
|
|
# now = datetime.now()
|
||
|
|
# tick.time = now.strftime('%H:%M:%S')
|
||
|
|
# tick.date = now.strftime('%Y%m%d')
|
||
|
|
# tick.datetime = now
|
||
|
|
|
||
|
|
self.gateway.onTick(tick)
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def generateDateTime(self, s):
|
||
|
|
"""生成时间"""
|
||
|
|
dt = datetime.fromtimestamp(float(s)/1e3)
|
||
|
|
time = dt.strftime("%H:%M:%S.%f")
|
||
|
|
date = dt.strftime("%Y%m%d")
|
||
|
|
return dt , date, time
|