Merge pull request #1 from vnpy/dev

merge upstream dev

vn.huobi/vnhuobi.py

@@ -558,7 +558,7 @@ class DataApi(object):
         self.taskThread = Thread(target=self.run)   # 处理任务的线程
     
     #----------------------------------------------------------------------
-    def init(self, interval, debug=True):
+    def init(self, interval):
         """初始化"""
         self.taskInterval = interval
         self.DEBUG = debug
@@ -567,8 +567,8 @@ class DataApi(object):
         self.taskThread.start()
         
     #----------------------------------------------------------------------
-    def stop(self):
-        """停止"""
+    def exit(self):
+        """退出"""
         self.active = False
         
         if self.taskThread.isAlive():

vn.trader/ctaAlgo/CTA_setting.json

@@ -1,7 +1,13 @@
 [
     {
         "name": "double ema",
-        "className": "DoubleEmaDemo",
-        "vtSymbol": "IF1602"
+        "className": "EmaDemoStrategy",
+        "vtSymbol": "IF1702"
+    },
+
+    {
+        "name": "atr rsi",
+        "className": "AtrRsiStrategy",
+        "vtSymbol": "IC1702"
     }
 ]

vn.trader/ctaAlgo/ctaBacktesting.py

@@ -13,7 +13,7 @@ import multiprocessing
 import pymongo
 
 from ctaBase import *
-from ctaSetting import *
+from strategy import *
 
 from vtConstant import *
 from vtGateway import VtOrderData, VtTradeData
@@ -881,6 +881,7 @@ def optimize(strategyClass, setting, targetName,
     engine = BacktestingEngine()
     engine.setBacktestingMode(mode)
     engine.setStartDate(startDate, initDays)
+    engine.setEndDate(endDate)
     engine.setSlippage(slippage)
     engine.setRate(rate)
     engine.setSize(size)

vn.trader/ctaAlgo/ctaEngine.py

@@ -23,7 +23,7 @@ from collections import OrderedDict
 from datetime import datetime, timedelta
 
 from ctaBase import *
-from ctaSetting import STRATEGY_CLASS
+from strategy import STRATEGY_CLASS
 from eventEngine import *
 from vtConstant import *
 from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData

vn.trader/ctaAlgo/ctaHistoryData.py

@@ -314,6 +314,55 @@ class HistoryDataEngine(object):
         
 
 
+#----------------------------------------------------------------------
+def downloadEquityDailyBarts(self, symbol):
+        """
+        下载股票的日行情，symbol是股票代码
+        """
+        print u'开始下载%s日行情' %symbol
+        
+        # 查询数据库中已有数据的最后日期
+        cl = self.dbClient[DAILY_DB_NAME][symbol]
+        cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
+        if cx.count():
+            last = cx[0]
+        else:
+            last = ''
+        # 开始下载数据
+        import tushare as ts
+        
+        if last:
+            start = last['date'][:4]+'-'+last['date'][4:6]+'-'+last['date'][6:]
+            
+        data = ts.get_k_data(symbol,start)
+        
+        if not data.empty:
+            # 创建datetime索引
+            self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)], 
+                                                                unique=True)                
+            
+            for index, d in data.iterrows():
+                bar = CtaBarData()
+                bar.vtSymbol = symbol
+                bar.symbol = symbol
+                try:
+                    bar.open = d.get('open')
+                    bar.high = d.get('high')
+                    bar.low = d.get('low')
+                    bar.close = d.get('close')
+                    bar.date = d.get('date').replace('-', '')
+                    bar.time = ''
+                    bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
+                    bar.volume = d.get('volume')
+                except KeyError:
+                    print d
+                
+                flt = {'datetime': bar.datetime}
+                self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)            
+            
+            print u'%s下载完成' %symbol
+        else:
+            print u'找不到合约%s' %symbol
 #----------------------------------------------------------------------
 def loadMcCsv(fileName, dbName, symbol):
     """将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
@@ -393,6 +442,7 @@ if __name__ == '__main__':
     #e = HistoryDataEngine()
     #sleep(1)
     #e.downloadEquityDailyBar('000001')
+    #e.downloadEquityDailyBarts('000001')
     
     # 这里将项目中包含的股指日内分钟线csv导入MongoDB，作者电脑耗时大约3分钟
     loadMcCsv('IF0000_1min.csv', MINUTE_DB_NAME, 'IF0000')

vn.trader/ctaAlgo/ctaSetting.py

@@ -1,14 +0,0 @@
-# encoding: UTF-8
-
-'''
-在本文件中引入所有希望在系统中使用的策略类
-
-这个字典中保存了需要运行的策略的名称和策略类的映射关系，
-用户的策略类写好后，先在该文件中引入，并设置好名称，然后
-在CTA_setting.json中写入具体每个策略对象的类和合约设置。
-'''
-
-from ctaDemo import DoubleEmaDemo
-
-STRATEGY_CLASS = {}
-STRATEGY_CLASS['DoubleEmaDemo'] = DoubleEmaDemo

vn.trader/ctaAlgo/strategy/__init__.py

@@ -0,0 +1,31 @@
+# encoding: UTF-8
+
+'''
+动态载入所有的策略类
+'''
+
+import os
+import importlib
+
+# 用来保存策略类的字典
+STRATEGY_CLASS = {}
+
+# 获取目录路径
+path = os.path.abspath(os.path.dirname(__file__))
+
+# 遍历strategy目录下的文件
+for root, subdirs, files in os.walk(path):
+    for name in files:
+        # 只有文件名中包含strategy且非.pyc的文件，才是策略文件
+        if 'strategy' in name and '.pyc' not in name:
+            # 模块名称需要上前缀
+            moduleName = 'ctaAlgo.strategy.' + name.replace('.py', '')
+            
+            # 使用importlib动态载入模块
+            module = importlib.import_module(moduleName)
+            
+            # 遍历模块下的对象，只有名称中包含'Strategy'的才是策略类
+            for k in dir(module):
+                if 'Strategy' in k:
+                    v = module.__getattribute__(k)
+                    STRATEGY_CLASS[k] = v

vn.trader/ctaAlgo/strategy/strategyEmaDemo.py

@@ -17,9 +17,9 @@ from ctaTemplate import CtaTemplate
 
 
 ########################################################################
-class DoubleEmaDemo(CtaTemplate):
+class EmaDemoStrategy(CtaTemplate):
     """双指数均线策略Demo"""
-    className = 'DoubleEmaDemo'
+    className = 'EmaDemoStrategy'
     author = u'用Python的交易员'
     
     # 策略参数
@@ -59,7 +59,7 @@ class DoubleEmaDemo(CtaTemplate):
     #----------------------------------------------------------------------
     def __init__(self, ctaEngine, setting):
         """Constructor"""
-        super(DoubleEmaDemo, self).__init__(ctaEngine, setting)
+        super(EmaDemoStrategy, self).__init__(ctaEngine, setting)
         
         # 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
         # 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
@@ -188,10 +188,10 @@ class DoubleEmaDemo(CtaTemplate):
     
     
 ########################################################################################
-class OrderManagementDemo(CtaTemplate):
+class OrderManagementDemoStrategy(CtaTemplate):
     """基于tick级别细粒度撤单追单测试demo"""
     
-    className = 'OrderManagementDemo'
+    className = 'OrderManagementDemoStrategy'
     author = u'用Python的交易员'
     
     # 策略参数
@@ -216,7 +216,7 @@ class OrderManagementDemo(CtaTemplate):
     #----------------------------------------------------------------------
     def __init__(self, ctaEngine, setting):
         """Constructor"""
-        super(OrderManagementDemo, self).__init__(ctaEngine, setting)
+        super(OrderManagementDemoStrategy, self).__init__(ctaEngine, setting)
                 
         self.lastOrder = None
         self.orderType = ''

vn.trader/huobiGateway/HUOBI_connect.json

@@ -0,0 +1,6 @@
+{
+    "accessKey": "3f669293-60e6dd7f-8e39c295-5aae5",
+    "secretKey": "7050aec8-43fc680d-06471837-57e38",
+    "interval": 0.5,
+    "market": "cny"
+}

vn.trader/huobiGateway/huobiGateway.py

@@ -0,0 +1,347 @@
+# encoding: UTF-8
+
+'''
+vn.huobi的gateway接入
+'''
+
+
+import os
+import json
+from datetime import datetime
+from copy import copy
+from threading import Condition
+from Queue import Queue
+from threading import Thread
+
+import vnhuobi
+from vtGateway import *
+
+
+########################################################################
+class HuobiGateway(VtGateway):
+    """火币接口"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, eventEngine, gatewayName='HUOBI'):
+        """Constructor"""
+        super(HuobiGateway, self).__init__(eventEngine, gatewayName)
+        
+        self.market = 'cny'
+        
+        self.tradeApi = HuobiTradeApi(self)
+        self.dataApi = HuobiDataApi(self)
+        
+    #----------------------------------------------------------------------
+    def connect(self):
+        """连接"""
+        # 载入json文件
+        fileName = self.gatewayName + '_connect.json'
+        path = os.path.abspath(os.path.dirname(__file__))
+        fileName = os.path.join(path, fileName)
+        
+        try:
+            f = file(fileName)
+        except IOError:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'读取连接配置出错，请检查'
+            self.onLog(log)
+            return
+        
+        # 解析json文件
+        setting = json.load(f)
+        try:
+            accessKey = str(setting['accessKey'])
+            secretKey = str(setting['secretKey'])
+            interval = setting['interval']
+            market = setting['market']
+        except KeyError:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'连接配置缺少字段，请检查'
+            self.onLog(log)
+            return            
+        
+        # 初始化接口
+        self.tradeApi.connect(accessKey, secretKey)
+        self.writeLog(u'交易接口初始化成功')
+        
+        self.dataApi.connect(interval)
+        self.writeLog(u'行情接口初始化成功')
+        
+        # 启动查询
+        #self.initQuery()
+        #self.startQuery()
+        
+    #----------------------------------------------------------------------
+    def writeLog(self, content):
+        """发出日志"""
+        log = VtLogData()
+        log.gatewayName = self.gatewayName
+        log.logContent = content
+        self.onLog(log)        
+    
+    #----------------------------------------------------------------------
+    def subscribe(self, subscribeReq):
+        """订阅行情，自动订阅全部行情，无需实现"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def sendOrder(self, orderReq):
+        """发单"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def cancelOrder(self, cancelOrderReq):
+        """撤单"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def qryAccount(self):
+        """查询账户资金"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def qryPosition(self):
+        """查询持仓"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def close(self):
+        """关闭"""
+        self.tradeApi.exit()
+        self.dataApi.exit()
+        
+    #----------------------------------------------------------------------
+    def initQuery(self):
+        """初始化连续查询"""
+        if self.qryEnabled:
+            # 需要循环的查询函数列表
+            self.qryFunctionList = [self.qryAccount]
+            
+            self.qryCount = 0           # 查询触发倒计时
+            self.qryTrigger = 2         # 查询触发点
+            self.qryNextFunction = 0    # 上次运行的查询函数索引
+            
+            self.startQuery()  
+    
+    #----------------------------------------------------------------------
+    def query(self, event):
+        """注册到事件处理引擎上的查询函数"""
+        self.qryCount += 1
+        
+        if self.qryCount > self.qryTrigger:
+            # 清空倒计时
+            self.qryCount = 0
+            
+            # 执行查询函数
+            function = self.qryFunctionList[self.qryNextFunction]
+            function()
+            
+            # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
+            self.qryNextFunction += 1
+            if self.qryNextFunction == len(self.qryFunctionList):
+                self.qryNextFunction = 0
+                
+    #----------------------------------------------------------------------
+    def startQuery(self):
+        """启动连续查询"""
+        self.eventEngine.register(EVENT_TIMER, self.query)
+    
+    #----------------------------------------------------------------------
+    def setQryEnabled(self, qryEnabled):
+        """设置是否要启动循环查询"""
+        self.qryEnabled = qryEnabled
+    
+
+########################################################################
+class HuobiTradeApi(vnhuobi.TradeApi):
+    """交易接口"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, gateway):
+        """Constructor"""
+        super(HuobiTradeApi, self).__init__()
+        
+        self.gateway = gateway
+        self.gatewayName = gateway.gatewayName
+    
+    #----------------------------------------------------------------------
+    def onError(self, error, reqID):
+        """错误推送"""
+        err = VtErrorData()
+        err.gatewayName = self.gatewayName
+        err.errorMsg = str(error)
+        err.errorTime = datetime.now().strftime('%H:%M:%S')
+        self.gateway.onError(err)
+
+    #----------------------------------------------------------------------
+    def onGetAccountInfo(self, data, reqID):
+        """查询账户回调"""
+        # 推送账户数据
+        account = VtAccountData()
+        account.gatewayName = self.gatewayName
+        account.balance = data['net_asset']
+        self.gateway.onAccount(account)
+        
+        # 推送持仓数据
+        if self.market == 'cny':
+            posCny = VtPositionData()
+            posCny.gatewayName = self.gatewayName
+            posCny.position = data['available_cny_display']
+            posCny.frozen = data['frozen_cny_display']
+            self.gateway.onPosition(posCny)
+            
+            posLtc = VtPositionData()
+            posLtc.gatewayName = self.gatewayName
+            posLtc.position = data['available_ltc_display']
+            posLtc.frozen = data['frozen_ltc_display']
+            self.gateway.onPosition(posLtc)
+        else:
+            posUsd = VtPositionData()
+            posUsd.gatewayName = self.gatewayName
+            posUsd.position = data['available_usd_display']
+            posUsd.frozen = data['frozen_usd_display']
+            self.gateway.onPosition(posUsd)     
+            
+        posBtc = VtPositionData()
+        posBtc.gatewayName = self.gatewayName
+        posBtc.position = data['available_btc_display']
+        posBtc.frozen = data['frozen_btc_display']
+        self.gateway.onPosition(posBtc)        
+    
+    #----------------------------------------------------------------------
+    def onGetOrders(self, data, reqID):
+        """查询委托回调"""
+        for d in data:
+            order = VtOrderData()
+            order.gatewayName = self.gatewayName
+            
+            order
+        
+    #----------------------------------------------------------------------
+    def onOrderInfo(self, data, reqID):
+        """委托详情回调"""
+        print data
+
+    #----------------------------------------------------------------------
+    def onBuy(self, data, reqID):
+        """买入回调"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onSell(self, data, reqID):
+        """卖出回调"""
+        print data    
+        
+    #----------------------------------------------------------------------
+    def onBuyMarket(self, data, reqID):
+        """市价买入回调"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onSellMarket(self, data, reqID):
+        """市价卖出回调"""
+        print data        
+        
+    #----------------------------------------------------------------------
+    def onCancelOrder(self, data, reqID):
+        """撤单回调"""
+        print data
+    
+    #----------------------------------------------------------------------
+    def onGetNewDealOrders(self, data, reqID):
+        """查询最新成交回调"""
+        print data    
+        
+    #----------------------------------------------------------------------
+    def onGetOrderIdByTradeId(self, data, reqID):
+        """通过成交编号查询委托编号回调"""
+        print data    
+        
+    #----------------------------------------------------------------------
+    def onWithdrawCoin(self, data, reqID):
+        """提币回调"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onCancelWithdrawCoin(self, data, reqID):
+        """取消提币回调"""
+        print data      
+        
+    #----------------------------------------------------------------------
+    def onGetWithdrawCoinResult(self, data, reqID):
+        """查询提币结果回调"""
+        print data           
+        
+    #----------------------------------------------------------------------
+    def onTransfer(self, data, reqID):
+        """转账回调"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onLoan(self, data, reqID):
+        """申请杠杆回调"""
+        print data      
+        
+    #----------------------------------------------------------------------
+    def onRepayment(self, data, reqID):
+        """归还杠杆回调"""
+        print data    
+    
+    #----------------------------------------------------------------------
+    def onLoanAvailable(self, data, reqID):
+        """查询杠杆额度回调"""
+        print data      
+        
+    #----------------------------------------------------------------------
+    def onGetLoans(self, data, reqID):
+        """查询杠杆列表"""
+        print data        
+    
+    #----------------------------------------------------------------------
+    def connect(self, accessKey, secretKey, market):
+        """连接服务器"""
+        self.market = market
+        
+        self.init(accessKey, secretKey)
+        
+        
+########################################################################
+class HuobiDataApi(vnhuobi.DataApi):
+    """行情接口"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, gateway):
+        """Constructor"""
+        super(HuobiDataApi, self).__init__()
+        
+        self.gateway = gateway
+    
+    #----------------------------------------------------------------------
+    def onTick(self, data):
+        """实时成交推送"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onQuote(self, data):
+        """实时报价推送"""
+        print data    
+    
+    #----------------------------------------------------------------------
+    def onDepth(self, data):
+        """实时深度推送"""
+        print data        
+        
+    #----------------------------------------------------------------------
+    def connect(self, interval):
+        """连接服务器"""
+        self.init(interval)
+    
+    
+    
+    
+    
+    
+
+

vn.trader/huobiGateway/vnhuobi.py

@@ -0,0 +1,650 @@
+# encoding: utf-8
+
+import urllib
+import hashlib
+
+import json
+import requests
+from time import time, sleep
+from Queue import Queue, Empty
+from threading import Thread
+
+
+# 常量定义
+COINTYPE_BTC = 1
+COINTYPE_LTC = 2
+
+ACCOUNTTYPE_CNY = 1
+ACCOUNTTYPE_USD = 2
+
+LOANTYPE_CNY = 1
+LOANTYPE_BTC = 2
+LOANTYPE_LTC = 3
+LOANTYPE_USD = 4
+
+MARKETTYPE_CNY = 'cny'
+MARKETTYPE_USD = 'usd'
+
+SYMBOL_BTCCNY = 'BTC_CNY'
+SYMBOL_LTCCNY = 'LTC_CNY'
+SYMBOL_BTCUSD = 'BTC_USD'
+
+PERIOD_1MIN = '001'
+PERIOD_5MIN = '005'
+PERIOD_15MIN = '015'
+PERIOD_30MIN = '030'
+PERIOD_60MIN = '060'
+PERIOD_DAILY = '100'
+PERIOD_WEEKLY = '200'
+PERIOD_MONTHLY = '300'
+PERIOD_ANNUALLY = '400'
+
+# API相关定义
+HUOBI_TRADE_API = 'https://api.huobi.com/apiv3'
+
+# 功能代码
+FUNCTIONCODE_GETACCOUNTINFO = 'get_account_info'
+FUNCTIONCODE_GETORDERS = 'get_orders'
+FUNCTIONCODE_ORDERINFO = 'order_info'
+FUNCTIONCODE_BUY = 'buy'
+FUNCTIONCODE_SELL = 'sell'
+FUNCTIONCODE_BUYMARKET = 'buy_market'
+FUNCTIONCODE_SELLMARKET = 'sell_market'
+FUNCTIONCODE_CANCELORDER = 'cancel_order'
+FUNCTIONCODE_GETNEWDEALORDERS = 'get_new_deal_orders'
+FUNCTIONCODE_GETORDERIDBYTRADEID = 'get_order_id_by_trade_id'
+FUNCTIONCODE_WITHDRAWCOIN = 'withdraw_coin'
+FUNCTIONCODE_CANCELWITHDRAWCOIN = 'cancel_withdraw_coin'
+FUNCTIONCODE_GETWITHDRAWCOINRESULT = 'get_withdraw_coin_result'
+FUNCTIONCODE_TRANSFER = 'transfer'
+FUNCTIONCODE_LOAN = 'loan'
+FUNCTIONCODE_REPAYMENT = 'repayment'
+FUNCTIONCODE_GETLOANAVAILABLE = 'get_loan_available'
+FUNCTIONCODE_GETLOANS = 'get_loans'
+
+
+#----------------------------------------------------------------------
+def signature(params):
+    """生成签名"""
+    params = sorted(params.iteritems(), key=lambda d:d[0], reverse=False)
+    message = urllib.urlencode(params)
+    
+    m = hashlib.md5()
+    m.update(message)
+    m.digest()
+
+    sig=m.hexdigest()
+    return sig    
+    
+
+########################################################################
+class TradeApi(object):
+    """交易接口"""
+    DEBUG = True
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.accessKey = ''
+        self.secretKey = ''
+        
+        self.active = False         # API工作状态   
+        self.reqID = 0              # 请求编号
+        self.reqQueue = Queue()     # 请求队列
+        self.reqThread = Thread(target=self.processQueue)   # 请求处理线程        
+    
+    #----------------------------------------------------------------------
+    def processRequest(self, req):
+        """处理请求"""
+        # 读取方法和参数
+        method = req['method']
+        params = req['params']
+        optional = req['optional']
+        
+        # 在参数中增加必须的字段
+        params['created'] = long(time())
+        params['access_key'] = self.accessKey
+        params['secret_key'] = self.secretKey
+        params['method'] = method
+        
+        # 添加签名
+        sign = signature(params)
+        params['sign'] = sign
+        del params['secret_key']
+        
+        # 添加选填参数
+        if optional:
+            params.update(optional)
+        
+        # 发送请求
+        payload = urllib.urlencode(params)
+        
+        r = requests.post(HUOBI_TRADE_API_API, params=payload)
+        if r.status_code == 200:
+            data = r.json()
+            return data
+        else:
+            return None        
+    
+    #----------------------------------------------------------------------
+    def processQueue(self):
+        """处理请求队列中的请求"""
+        while self.active:
+            try:
+                req = self.reqQueue.get(block=True, timeout=1)  # 获取请求的阻塞为一秒
+                callback = req['callback']
+                reqID = req['reqID']
+                
+                data = self.processRequest(req)
+                
+                # 请求失败
+                if 'code' in data and 'message' in data:
+                    error = u'错误信息：%s' %data['message']
+                    self.onError(error, reqID)
+                # 请求成功
+                else:
+                    if self.DEBUG:
+                        print callback.__name__                        
+                    callback(data, reqID)    
+                
+            except Empty:
+                pass    
+            
+    #----------------------------------------------------------------------
+    def sendRequest(self, method, params, callback, optional=None):
+        """发送请求"""
+        # 请求编号加1
+        self.reqID += 1
+        
+        # 生成请求字典并放入队列中
+        req = {}
+        req['method'] = method
+        req['params'] = params
+        req['callback'] = callback
+        req['optional'] = optional
+        req['reqID'] = self.reqID
+        self.reqQueue.put(req)
+        
+        # 返回请求编号
+        return self.reqID
+        
+    ####################################################
+    ## 主动函数
+    ####################################################    
+    
+    #----------------------------------------------------------------------
+    def init(self, accessKey, secretKey):
+        """初始化"""
+        self.accessKey = accessKey
+        self.secretKey = secretKey
+        
+        self.active = True
+        self.reqThread.start()
+        
+    #----------------------------------------------------------------------
+    def exit(self):
+        """退出"""
+        self.active = False
+        self.reqThread.join()    
+    
+    #----------------------------------------------------------------------
+    def getAccountInfo(self, market='cny'):
+        """查询账户"""
+        method = FUNCTIONCODE_GETACCOUNTINFO
+        params = {}
+        callback = self.onGetAccountInfo
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)
+    
+    #----------------------------------------------------------------------
+    def getOrders(self, coinType=COINTYPE_BTC, market='cny'):
+        """查询委托"""
+        method = FUNCTIONCODE_GETORDERS
+        params = {'coin_type': coinType}
+        callback = self.onGetOrders
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)
+        
+    #----------------------------------------------------------------------
+    def orderInfo(self, id_, coinType=COINTYPE_BTC, market='cny'):
+        """获取委托详情"""
+        method = FUNCTIONCODE_ORDERINFO
+        params = {
+            'coin_type': coinType,
+            'id': id_
+        }
+        callback = self.onOrderInfo
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)
+    
+    #----------------------------------------------------------------------
+    def buy(self, price, amount, coinType=COINTYPE_BTC, 
+            tradePassword='', tradeId = '', market='cny'):
+        """委托买入"""
+        method = FUNCTIONCODE_BUY
+        params = {
+            'coin_type': coinType,
+            'price': price,
+            'amount': amount
+        }
+        callback = self.onBuy
+        optional = {
+            'trade_password': tradePassword,
+            'trade_id': tradeId,
+            'market': market
+        }
+        return self.sendRequest(method, params, callback, optional)
+
+    #----------------------------------------------------------------------
+    def sell(self, price, amount, coinType=COINTYPE_BTC, 
+            tradePassword='', tradeId = '', market='cny'):
+        """委托卖出"""
+        method = FUNCTIONCODE_SELL
+        params = {
+            'coin_type': coinType,
+            'price': price,
+            'amount': amount
+        }
+        callback = self.onSell
+        optional = {
+            'trade_password': tradePassword,
+            'trade_id': tradeId,
+            'market': market
+        }
+        return self.sendRequest(method, params, callback, optional)
+    
+    #----------------------------------------------------------------------
+    def buyMarket(self, amount, coinType=COINTYPE_BTC, 
+                  tradePassword='', tradeId = '', market='cny'):
+        """市价买入"""
+        method = FUNCTIONCODE_BUYMARKET
+        params = {
+            'coin_type': coinType,
+            'amount': amount
+        }
+        callback = self.onBuyMarket
+        optional = {
+            'trade_password': tradePassword,
+            'trade_id': tradeId,
+            'market': market
+        }
+        return self.sendRequest(method, params, callback, optional) 
+    
+    #----------------------------------------------------------------------
+    def sellMarket(self, amount, coinType=COINTYPE_BTC, 
+                  tradePassword='', tradeId = '', market='cny'):
+        """市价卖出"""
+        method = FUNCTIONCODE_SELLMARKET
+        params = {
+            'coin_type': coinType,
+            'amount': amount
+        }
+        callback = self.onSellMarket
+        optional = {
+            'trade_password': tradePassword,
+            'trade_id': tradeId,
+            'market': market
+        }
+        return self.sendRequest(method, params, callback, optional)      
+    
+    #----------------------------------------------------------------------
+    def cancelOrder(self, id_, coinType=COINTYPE_BTC, market='cny'):
+        """撤销委托"""
+        method = FUNCTIONCODE_CANCELORDER
+        params = {
+            'coin_type': coinType,
+            'id': id_
+        }
+        callback = self.onCancelOrder
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)    
+
+    #----------------------------------------------------------------------
+    def getNewDealOrders(self, market='cny'):
+        """查询最新10条成交"""
+        method = FUNCTIONCODE_GETNEWDEALORDERS
+        params = {}
+        callback = self.onGetNewDealOrders
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)
+    
+    #----------------------------------------------------------------------
+    def getOrderIdByTradeId(self, tradeId, coinType=COINTYPE_BTC, 
+                            market='cny'):
+        """通过成交编号查询委托编号"""
+        method = FUNCTIONCODE_GETORDERIDBYTRADEID
+        params = {
+            'coin_type': coinType,
+            'trade_id': tradeId
+        }
+        callback = self.onGetOrderIdByTradeId
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional) 
+    
+    #----------------------------------------------------------------------
+    def withdrawCoin(self, withdrawAddress, withdrawAmount,
+                     coinType=COINTYPE_BTC, tradePassword='',
+                     market='cny', withdrawFee=0.0001):
+        """提币"""
+        method = FUNCTIONCODE_WITHDRAWCOIN
+        params = {
+            'coin_type': coinType,
+            'withdraw_address': withdrawAddress,
+            'withdraw_amount': withdrawAmount
+        }
+        callback = self.onWithdrawCoin
+        optional = {
+            'market': market,
+            'withdraw_fee': withdrawFee
+        }
+        return self.sendRequest(method, params, callback, optional)  
+    
+    #----------------------------------------------------------------------
+    def cancelWithdrawCoin(self, id_, market='cny'):
+        """取消提币"""
+        method = FUNCTIONCODE_CANCELWITHDRAWCOIN
+        params = {'withdraw_coin_id': id_}
+        callback = self.onCancelWithdrawCoin
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)         
+    
+    #----------------------------------------------------------------------
+    def onGetWithdrawCoinResult(self, id_, market='cny'):
+        """查询提币结果"""
+        method = FUNCTIONCODE_GETWITHDRAWCOINRESULT
+        params = {'withdraw_coin_id': id_}
+        callback = self.onGetWithdrawCoinResult
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)         
+    
+    #----------------------------------------------------------------------
+    def transfer(self, amountFrom, amountTo, amount, 
+                 coinType=COINTYPE_BTC ):
+        """账户内转账"""
+        method = FUNCTIONCODE_TRANSFER
+        params = {
+            'amount_from': amountFrom,
+            'amount_to': amountTo,
+            'amount': amount,
+            'coin_type': coinType
+        }
+        callback = self.onTransfer
+        optional = {}
+        return self.sendRequest(method, params, callback, optional)          
+        
+    #----------------------------------------------------------------------
+    def loan(self, amount, loan_type=LOANTYPE_CNY, 
+             market=MARKETTYPE_CNY):
+        """申请杠杆"""
+        method = FUNCTIONCODE_LOAN
+        params = {
+            'amount': amount,
+            'loan_type': loan_type
+        }
+        callback = self.onLoan
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)
+    
+    #----------------------------------------------------------------------
+    def repayment(self, id_, amount, repayAll=0,
+                  market=MARKETTYPE_CNY):
+        """归还杠杆"""
+        method = FUNCTIONCODE_REPAYMENT
+        params = {
+            'loan_id': id_,
+            'amount': amount
+        }
+        callback = self.onRepayment
+        optional = {
+            'repay_all': repayAll,
+            'market': market
+        }
+        return self.sendRequest(method, params, callback, optional)
+    
+    #----------------------------------------------------------------------
+    def getLoanAvailable(self, market='cny'):
+        """查询杠杆额度"""
+        method = FUNCTIONCODE_GETLOANAVAILABLE
+        params = {}
+        callback = self.onLoanAvailable
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)
+    
+    #----------------------------------------------------------------------
+    def getLoans(self, market='cny'):
+        """查询杠杆列表"""
+        method = FUNCTIONCODE_GETLOANS
+        params = {}
+        callback = self.onGetLoans
+        optional = {'market': market}
+        return self.sendRequest(method, params, callback, optional)    
+    
+    ####################################################
+    ## 回调函数
+    ####################################################
+    
+    #----------------------------------------------------------------------
+    def onError(self, error, reqID):
+        """错误推送"""
+        print error, reqID    
+
+    #----------------------------------------------------------------------
+    def onGetAccountInfo(self, data, reqID):
+        """查询账户回调"""
+        print data
+    
+    #----------------------------------------------------------------------
+    def onGetOrders(self, data, reqID):
+        """查询委托回调"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onOrderInfo(self, data, reqID):
+        """委托详情回调"""
+        print data
+
+    #----------------------------------------------------------------------
+    def onBuy(self, data, reqID):
+        """买入回调"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onSell(self, data, reqID):
+        """卖出回调"""
+        print data    
+        
+    #----------------------------------------------------------------------
+    def onBuyMarket(self, data, reqID):
+        """市价买入回调"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onSellMarket(self, data, reqID):
+        """市价卖出回调"""
+        print data        
+        
+    #----------------------------------------------------------------------
+    def onCancelOrder(self, data, reqID):
+        """撤单回调"""
+        print data
+    
+    #----------------------------------------------------------------------
+    def onGetNewDealOrders(self, data, reqID):
+        """查询最新成交回调"""
+        print data    
+        
+    #----------------------------------------------------------------------
+    def onGetOrderIdByTradeId(self, data, reqID):
+        """通过成交编号查询委托编号回调"""
+        print data    
+        
+    #----------------------------------------------------------------------
+    def onWithdrawCoin(self, data, reqID):
+        """提币回调"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onCancelWithdrawCoin(self, data, reqID):
+        """取消提币回调"""
+        print data      
+        
+    #----------------------------------------------------------------------
+    def onGetWithdrawCoinResult(self, data, reqID):
+        """查询提币结果回调"""
+        print data           
+        
+    #----------------------------------------------------------------------
+    def onTransfer(self, data, reqID):
+        """转账回调"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onLoan(self, data, reqID):
+        """申请杠杆回调"""
+        print data      
+        
+    #----------------------------------------------------------------------
+    def onRepayment(self, data, reqID):
+        """归还杠杆回调"""
+        print data    
+    
+    #----------------------------------------------------------------------
+    def onLoanAvailable(self, data, reqID):
+        """查询杠杆额度回调"""
+        print data      
+        
+    #----------------------------------------------------------------------
+    def onGetLoans(self, data, reqID):
+        """查询杠杆列表"""
+        print data        
+        
+
+########################################################################
+class DataApi(object):
+    """行情接口"""
+    TICK_SYMBOL_URL = {
+        SYMBOL_BTCCNY: 'http://api.huobi.com/staticmarket/detail_btc_json.js',
+        SYMBOL_LTCCNY: 'http://api.huobi.com/staticmarket/detail_ltc_json.js',
+        SYMBOL_BTCUSD: 'http://api.huobi.com/usdmarket/detail_btc_json.js'
+    }
+    
+    QUOTE_SYMBOL_URL = {
+        SYMBOL_BTCCNY: 'http://api.huobi.com/staticmarket/ticker_btc_json.js',
+        SYMBOL_LTCCNY: 'http://api.huobi.com/staticmarket/ticker_ltc_json.js',
+        SYMBOL_BTCUSD: 'http://api.huobi.com/usdmarket/ticker_btc_json.js'
+    }  
+    
+    DEPTH_SYMBOL_URL = {
+        SYMBOL_BTCCNY: 'http://api.huobi.com/staticmarket/depth_btc_json.js',
+        SYMBOL_LTCCNY: 'http://api.huobi.com/staticmarket/depth_ltc_json.js',
+        SYMBOL_BTCUSD: 'http://api.huobi.com/usdmarket/depth_btc_json.js'
+    }    
+    
+    KLINE_SYMBOL_URL = {
+        SYMBOL_BTCCNY: 'http://api.huobi.com/staticmarket/btc_kline_[period]_json.js',
+        SYMBOL_LTCCNY: 'http://api.huobi.com/staticmarket/btc_kline_[period]_json.js',
+        SYMBOL_BTCUSD: 'http://api.huobi.com/usdmarket/btc_kline_[period]_json.js'
+    }        
+    
+    DEBUG = True
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.active = False
+        
+        self.taskInterval = 0                       # 每轮请求延时
+        self.taskList = []                          # 订阅的任务列表
+        self.taskThread = Thread(target=self.run)   # 处理任务的线程
+    
+    #----------------------------------------------------------------------
+    def init(self, interval):
+        """初始化"""
+        self.taskInterval = interval
+        self.DEBUG = debug
+        
+        self.active = True
+        self.taskThread.start()
+        
+    #----------------------------------------------------------------------
+    def exit(self):
+        """退出"""
+        self.active = False
+        
+        if self.taskThread.isAlive():
+            self.taskThread.join()
+        
+    #----------------------------------------------------------------------
+    def run(self):
+        """连续运行"""
+        while self.active:
+            for url, callback in self.taskList:
+                try:
+                    r = requests.get(url)
+                    if r.status_code == 200:
+                        data = r.json()
+                        if self.DEBUG:
+                            print callback.__name__
+                        callback(data)
+                except Exception, e:
+                    print e
+                    
+            sleep(self.taskInterval)
+            
+    #----------------------------------------------------------------------
+    def subscribeTick(self, symbol):
+        """订阅实时成交数据"""
+        url = self.TICK_SYMBOL_URL[symbol]
+        task = (url, self.onTick)
+        self.taskList.append(task)
+        
+    #----------------------------------------------------------------------
+    def subscribeQuote(self, symbol):
+        """订阅实时报价数据"""
+        url = self.QUOTE_SYMBOL_URL[symbol]
+        task = (url, self.onQuote)
+        self.taskList.append(task)
+        
+    #----------------------------------------------------------------------
+    def subscribeDepth(self, symbol, level=0):
+        """订阅深度数据"""
+        url = self.DEPTH_SYMBOL_URL[symbol]
+        
+        if level:
+            url = url.replace('json', str(level))
+        
+        task = (url, self.onDepth)
+        self.taskList.append(task)        
+        
+    #----------------------------------------------------------------------
+    def onTick(self, data):
+        """实时成交推送"""
+        print data
+        
+    #----------------------------------------------------------------------
+    def onQuote(self, data):
+        """实时报价推送"""
+        print data    
+    
+    #----------------------------------------------------------------------
+    def onDepth(self, data):
+        """实时深度推送"""
+        print data        
+
+    #----------------------------------------------------------------------
+    def getKline(self, symbol, period, length=0):
+        """查询K线数据"""
+        url = self.KLINE_SYMBOL_URL[symbol]
+        url = url.replace('[period]', period)
+        
+        if length:
+            url = url + '?length=' + str(length)
+            
+        try:
+            r = requests.get(url)
+            if r.status_code == 200:
+                data = r.json()
+                return data
+        except Exception, e:
+            print e
+            return None

vn.trader/okcoinGateway/okcoinGateway.py

@@ -4,8 +4,7 @@
 vn.okcoin的gateway接入
 
 注意：
-1. 该接口尚处于测试阶段，用于实盘请谨慎
-2. 目前仅支持USD和CNY的现货交易，USD的期货合约交易暂不支持
+1. 前仅支持USD和CNY的现货交易，USD的期货合约交易暂不支持
 '''