528 lines
18 KiB
Python
528 lines
18 KiB
Python
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# encoding: UTF-8
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'''
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vn.lhang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 time import sleep
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import vnlhang
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from vtGateway import *
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SYMBOL_BTCCNY = 'BTCCNY'
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SYMBOL_ZECCNY = 'ZECCNY'
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SYMBOL_MAP = {}
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SYMBOL_MAP['btc_cny'] = SYMBOL_BTCCNY
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SYMBOL_MAP['zec_cny'] = SYMBOL_ZECCNY
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SYMBOL_MAP_REVERSE = {v: k for k, v in SYMBOL_MAP.items()}
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DIRECTION_MAP = {}
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DIRECTION_MAP['buy'] = DIRECTION_LONG
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DIRECTION_MAP['sell'] = DIRECTION_SHORT
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STATUS_MAP = {}
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STATUS_MAP[0] = STATUS_NOTTRADED
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STATUS_MAP[1] = STATUS_PARTTRADED
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STATUS_MAP[2] = STATUS_ALLTRADED
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STATUS_MAP[4] = STATUS_UNKNOWN
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STATUS_MAP[-1] = STATUS_CANCELLED
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########################################################################
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class LhangGateway(VtGateway):
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"""链行接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='LHANG'):
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"""Constructor"""
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super(LhangGateway, self).__init__(eventEngine, gatewayName)
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self.api = LhangApi(self)
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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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fileName = self.gatewayName + '_connect.json'
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path = os.path.abspath(os.path.dirname(__file__))
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fileName = os.path.join(path, fileName)
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try:
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f = file(fileName)
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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['apiKey'])
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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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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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# 初始化接口
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self.api.connect(accessKey, secretKey, interval, debug)
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self.writeLog(u'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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self.api.sendOrder(orderReq)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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self.api.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.api.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.api.queryPrice,
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self.api.queryWorkingOrders,
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self.api.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 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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########################################################################
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class LhangApi(vnlhang.LhangApi):
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""""""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(LhangApi, self).__init__()
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self.gateway = gateway
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self.gatewayName = gateway.gatewayName
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self.interval = 1
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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.tradeID = 0
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self.tickDict = {} # key:symbol, value:tick
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#----------------------------------------------------------------------
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def onError(self, error, req, reqID):
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"""错误推送"""
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorMsg = str(error)
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err.errorTime = datetime.now().strftime('%H:%M:%S')
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def onGetTicker(self, data, req, reqID):
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"""查询行情回调"""
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ticker = data['ticker']
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params = req['params']
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symbol = SYMBOL_MAP[params['symbol']]
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if symbol not in self.tickDict:
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tick = VtTickData()
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tick.gatewayName = self.gatewayName
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tick.symbol = symbol
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tick.exchange = EXCHANGE_LHANG
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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self.tickDict[symbol] = tick
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else:
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tick = self.tickDict[symbol]
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tick.highPrice = float(ticker['high'])
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tick.lowPrice = float(ticker['low'])
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tick.lastPrice = float(ticker['latest'])
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tick.openPrice = tick.lastPrice - float(ticker['change'])
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tick.volume = ticker['vol']
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# ----------------------------------------------------------------------
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def onGetDepth(self, data, req, reqID):
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"""查询深度回调"""
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params = req['params']
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symbol = SYMBOL_MAP[params['symbol']]
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if symbol not in self.tickDict:
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tick = VtTickData()
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tick.gatewayName = self.gatewayName
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tick.symbol = symbol
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tick.exchange = EXCHANGE_LHANG
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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self.tickDict[symbol] = tick
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else:
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tick = self.tickDict[symbol]
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tick.bidPrice1, tick.bidVolume1 = data['bids'][0]
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tick.bidPrice2, tick.bidVolume2 = data['bids'][1]
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tick.bidPrice3, tick.bidVolume3 = data['bids'][2]
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tick.bidPrice4, tick.bidVolume4 = data['bids'][3]
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tick.bidPrice5, tick.bidVolume5 = data['bids'][4]
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tick.askPrice1, tick.askVolume1 = data['asks'][0]
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tick.askPrice2, tick.askVolume2 = data['asks'][1]
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tick.askPrice3, tick.askVolume3 = data['asks'][2]
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tick.askPrice4, tick.askVolume4 = data['asks'][3]
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tick.askPrice5, tick.askVolume5 = data['asks'][4]
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now = datetime.now()
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tick.time = now.strftime('%H:%M:%S')
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tick.date = now.strftime('%Y%m%d')
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self.gateway.onTick(tick)
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# ----------------------------------------------------------------------
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def onGetTrades(self, data, req, reqID):
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"""查询历史成交"""
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print(data, reqID)
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# ----------------------------------------------------------------------
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def onGetKline(self, data, req, reqID):
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print(data, reqID)
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# ----------------------------------------------------------------------
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def onGetUserInfo(self, data, req, reqID):
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"""查询Ｋ线回报"""
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d = data['info']
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account = VtAccountData()
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account.gatewayName = self.gatewayName
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account.accountID = self.gatewayName
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account.vtAccountID = '.'.join([account.accountID, self.gatewayName])
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account.balance = d['asset']['net']
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self.gateway.onAccount(account)
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# 推送持仓数据
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posCny = VtPositionData()
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posCny.gatewayName = self.gatewayName
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posCny.symbol = 'CNY'
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posCny.exchange = EXCHANGE_LHANG
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posCny.vtSymbol = '.'.join([posCny.symbol, posCny.exchange])
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posCny.vtPositionName = posCny.vtSymbol
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posCny.frozen = d['freeze']['cny']
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posCny.position = posCny.frozen + d['free']['cny']
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self.gateway.onPosition(posCny)
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posBtc = VtPositionData()
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posBtc.gatewayName = self.gatewayName
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posBtc.symbol = 'BTC'
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posBtc.exchange = EXCHANGE_LHANG
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posBtc.vtSymbol = '.'.join([posBtc.symbol, posBtc.exchange])
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posBtc.vtPositionName = posBtc.vtSymbol
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posBtc.frozen = d['freeze']['btc']
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posBtc.position = posBtc.frozen + d['free']['btc']
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self.gateway.onPosition(posBtc)
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posZec = VtPositionData()
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posZec.gatewayName = self.gatewayName
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posZec.symbol = 'ZEC'
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posZec.exchange = EXCHANGE_LHANG
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posZec.vtSymbol = '.'.join([posZec.symbol, posZec.exchange])
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posZec.vtPositionName = posZec.vtSymbol
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posZec.frozen = d['freeze']['zec']
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posZec.position = posZec.frozen + d['free']['zec']
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self.gateway.onPosition(posZec)
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# 查询历史委托
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self.queryOrders()
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# ----------------------------------------------------------------------
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def onCreateOrder(self, data, req, reqID):
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"""发单回调"""
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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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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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if data['result'] == 'success':
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order.status = STATUS_NOTTRADED
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self.gateway.onOrder(order)
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# ----------------------------------------------------------------------
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def onCancelOrder(self, data, req, reqID):
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"""撤单回调"""
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if data['result'] == 'success':
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systemID = req['params']['id']
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localID = self.systemLocalDict[systemID]
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order = self.workingOrderDict[localID]
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order.status = STATUS_CANCELLED
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del self.workingOrderDict[localID]
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self.gateway.onOrder(order)
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# ----------------------------------------------------------------------
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def onGetOrdersInfo(self, data, req, reqID):
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"""查询委托回报"""
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if 'orders' in data:
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for d in data['orders']:
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systemID = d['order_id']
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localID = self.systemLocalDict[systemID]
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order = self.workingOrderDict.get(localID, None)
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if not order:
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return
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# 记录最新成交的金额
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newTradeVolume = float(d['deal_amount']) - order.tradedVolume
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if newTradeVolume:
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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.volume = newTradeVolume
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trade.price = d['avg_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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# 更新委托状态
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order.tradedVolume = float(d['deal_amount'])
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order.status = STATUS_MAP.get(d['status'], STATUS_UNKNOWN)
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if newTradeVolume:
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self.gateway.onOrder(order)
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if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED:
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del self.workingOrderDict[order.orderID]
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# ----------------------------------------------------------------------
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def onGetOrdersInfoHistory(self, data, req, reqID):
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"""撤单回报"""
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if 'orders' in data:
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for d in data['orders']:
|
||
|
|
order = VtOrderData()
|
||
|
|
order.gatewayName = self.gatewayName
|
||
|
|
|
||
|
|
order.symbol = SYMBOL_MAP[data['symbol']]
|
||
|
|
order.exchange = EXCHANGE_LHANG
|
||
|
|
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
||
|
|
|
||
|
|
systemID = d['order_id']
|
||
|
|
self.localID += 1
|
||
|
|
localID = str(self.localID)
|
||
|
|
self.systemLocalDict[systemID] = localID
|
||
|
|
self.localSystemDict[localID] = systemID
|
||
|
|
order.orderID = localID
|
||
|
|
order.vtOrderID = '.'.join([order.orderID, order.gatewayName])
|
||
|
|
|
||
|
|
order.totalVolume = float(d['amount'])
|
||
|
|
order.tradedVolume = float(d['deal_amount'])
|
||
|
|
order.price = float(d['price'])
|
||
|
|
order.direction = DIRECTION_MAP[d['type']]
|
||
|
|
order.offset = OFFSET_NONE
|
||
|
|
order.orderTime = datetime.fromtimestamp(d['create_time'], '%H:%M:%S')
|
||
|
|
|
||
|
|
# 委托状态
|
||
|
|
if order.tradedVolume == 0:
|
||
|
|
order.status = STATUS_NOTTRADED
|
||
|
|
else:
|
||
|
|
order.status = STATUS_PARTTRADED
|
||
|
|
|
||
|
|
# 缓存病推送
|
||
|
|
self.workingOrderDict[localID] = order
|
||
|
|
self.gateway.onOrder(order)
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def connect(self, apiKey, secretKey, interval, debug):
|
||
|
|
"""初始化"""
|
||
|
|
self.interval = interval
|
||
|
|
self.DEBUG = debug
|
||
|
|
|
||
|
|
self.init(apiKey, secretKey, self.interval)
|
||
|
|
|
||
|
|
# 推送合约信息
|
||
|
|
contract = VtContractData()
|
||
|
|
contract.gatewayName = self.gatewayName
|
||
|
|
contract.symbol = SYMBOL_BTCCNY
|
||
|
|
contract.exchange = EXCHANGE_LHANG
|
||
|
|
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||
|
|
contract.name = u'人民币现货BTC'
|
||
|
|
contract.size = 1
|
||
|
|
contract.priceTick = 0.01
|
||
|
|
contract.productClass = PRODUCT_SPOT
|
||
|
|
self.gateway.onContract(contract)
|
||
|
|
|
||
|
|
contract = VtContractData()
|
||
|
|
contract.gatewayName = self.gatewayName
|
||
|
|
contract.symbol = SYMBOL_ZECCNY
|
||
|
|
contract.exchange = EXCHANGE_LHANG
|
||
|
|
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||
|
|
contract.name = u'人民币现货ZEC'
|
||
|
|
contract.size = 1
|
||
|
|
contract.priceTick = 0.01
|
||
|
|
contract.productClass = PRODUCT_SPOT
|
||
|
|
self.gateway.onContract(contract)
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def sendOrder(self, req):
|
||
|
|
"""发单"""
|
||
|
|
"""发送委托"""
|
||
|
|
# 检查是否填入了价格，禁止市价委托
|
||
|
|
if req.priceType != PRICETYPE_LIMITPRICE:
|
||
|
|
err = VtErrorData()
|
||
|
|
err.gatewayName = self.gatewayName
|
||
|
|
err.errorMsg = u'链行接口仅支持限价单'
|
||
|
|
err.errorTime = datetime.now().strftime('%H:%M:%S')
|
||
|
|
self.gateway.onError(err)
|
||
|
|
return None
|
||
|
|
|
||
|
|
# 发送限价委托
|
||
|
|
s = SYMBOL_MAP_REVERSE[req.symbol]
|
||
|
|
|
||
|
|
if req.direction == DIRECTION_LONG:
|
||
|
|
type_ = 'buy'
|
||
|
|
else:
|
||
|
|
type_ = 'sell'
|
||
|
|
|
||
|
|
reqID = self.createOrder(s, type_, req.price, req.volume)
|
||
|
|
|
||
|
|
self.localID += 1
|
||
|
|
localID = str(self.localID)
|
||
|
|
self.reqLocalDict[reqID] = localID
|
||
|
|
|
||
|
|
# 推送委托信息
|
||
|
|
order = VtOrderData()
|
||
|
|
order.gatewayName = self.gatewayName
|
||
|
|
|
||
|
|
order.symbol = req.symbol
|
||
|
|
order.exchange = EXCHANGE_LHANG
|
||
|
|
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
||
|
|
|
||
|
|
order.orderID = localID
|
||
|
|
order.vtOrderID = '.'.join([order.orderID, order.gatewayName])
|
||
|
|
|
||
|
|
order.direction = req.direction
|
||
|
|
order.offset = OFFSET_UNKNOWN
|
||
|
|
order.price = req.price
|
||
|
|
order.volume = req.volume
|
||
|
|
order.orderTime = datetime.now().strftime('%H:%M:%S')
|
||
|
|
order.status = STATUS_UNKNOWN
|
||
|
|
|
||
|
|
self.workingOrderDict[localID] = order
|
||
|
|
self.gateway.onOrder(order)
|
||
|
|
|
||
|
|
# 返回委托号
|
||
|
|
return order.vtOrderID
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def cancel(self, req):
|
||
|
|
"""撤单"""
|
||
|
|
localID = req.orderID
|
||
|
|
if localID in self.localSystemDict:
|
||
|
|
systemID = self.localSystemDict[localID]
|
||
|
|
s = SYMBOL_MAP_REVERSE[req.symbol]
|
||
|
|
self.cancelOrder(s, systemID)
|
||
|
|
else:
|
||
|
|
self.cancelDict[localID] = req
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def queryOrders(self):
|
||
|
|
"""查询委托"""
|
||
|
|
for s in SYMBOL_MAP.keys():
|
||
|
|
self.getOrdersInfoHistory(s, '0', '1', '200')
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def queryWorkingOrders(self):
|
||
|
|
"""查询活动委托"""
|
||
|
|
for localID, order in self.workingOrderDict.items():
|
||
|
|
if localID in self.localSystemDict:
|
||
|
|
systemID = self.localSystemDict[localID]
|
||
|
|
s = SYMBOL_MAP_REVERSE[order.symbol]
|
||
|
|
self.getOrdersInfo(s, systemID)
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def queryPrice(self):
|
||
|
|
"""查询行情"""
|
||
|
|
for s in SYMBOL_MAP.keys():
|
||
|
|
self.getTicker(s)
|
||
|
|
self.getDepth(s, 5, 0)
|
||
|
|
|
||
|
|
#----------------------------------------------------------------------
|
||
|
|
def queryAccount(self):
|
||
|
|
"""查询资金和资产"""
|
||
|
|
self.getUserInfo()
|