[Add] 增加okexFutureApi.trade
[Add] okexFutureApi:增加自动登录
This commit is contained in:
nanoric
parent
46dda98d07
commit
1f37a5ebeb
@ -1,4 +1,5 @@
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# encoding: UTF-8
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from enum import Enum
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from typing import Any, Callable, List, Union
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from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase, OkexFutureWebSocketBase
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@ -126,6 +127,68 @@ class OkexFuturePositionDetail(object):
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self.contractType = None
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########################################################################
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class OkexFutureTickInfo(object):
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#----------------------------------------------------------------------
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def __init__(self, symbol, remoteContractType, last, limitHigh, limitLow, vol, sell, buy, unitAmount, holdAmount,
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contractId, high, low):
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self.symbol = symbol
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self.remoteContractType = remoteContractType
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self.last = last
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self.limitHigh = limitHigh # type: str # 最高买入限制价格
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self.limitLow = limitLow # type: str # 最低卖出限制价格
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self.vol = vol # type: float # 24 小时成交量
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self.sell = sell # type: float # 卖一价格
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self.buy = buy # type: float # 买一价格
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self.unitAmount = unitAmount # type: float # 合约价值
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self.holdAmount = holdAmount # type: float # 当前持仓量
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self.contractId = contractId # type: long # 合约ID
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self.high = high # type: float # 24 小时最高价格
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self.low = low # type: float # 24 小时最低价格
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########################################################################
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class OkexFutureTradeInfo(object):
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#----------------------------------------------------------------------
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def __init__(self, symbol, remoteContractType, index, price, volume, time, direction, coinVolume):
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self.symbol = symbol
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self.remoteContractType = remoteContractType
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self.index = index
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self.price = price
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self.volume = volume
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self.time = time
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self.direction = direction
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self.coinVolume = coinVolume
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########################################################################
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class OkexFutureUserTradeInfo(object):
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#----------------------------------------------------------------------
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def __init__(self, symbol, remoteContractType, amount,
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contractName, createdDate, createDateStr, dealAmount, fee,
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orderId, price, priceAvg, status, type, unitAmount, leverRate, systemType
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):
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self.symbol = symbol # type: str # btcUsd ltcUsd ethUsd etcUsd bchUsd
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self.remoteContractType = remoteContractType
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self.amount = amount # type: float # 委托数量
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self.contractName = contractName # type: str # 合约名称
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self.createdDate = createdDate # type: long # 委托时间
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self.createDateStr = createDateStr # type: str # 委托时间字符串
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self.dealAmount = dealAmount # type: float # 成交数量
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self.fee = fee # type: float # 手续费
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self.remoteId = orderId # type: long # 订单ID
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self.price = price # type: float # 订单价格
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self.priceAvg = priceAvg # type: float # 平均价格
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self.status = status # type: int # 订单状态(0等待成交 1部分成交 2全部成交 -1撤单 4撤单处理中)
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self.type = type # type: int # 订单类型 1：开多 2：开空 3：平多 4：平空
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self.unitAmount = unitAmount # type: float # 合约面值
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self.leverRate = leverRate # type: float # 杠杆倍数 value:10/20 默认10
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self.systemType = systemType # type: int # 订单类型 0:普通 1:交割 2:强平 4:全平 5:系统反单
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########################################################################
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class OkexFutureRestClient(OkexFutureRestBase):
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@ -442,7 +505,13 @@ class OkexFutureRestClient(OkexFutureRestBase):
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########################################################################
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class OkexFutureWebSocketClient(OkexFutureWebSocketBase):
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#----------------------------------------------------------------------
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def __init__(self):
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super(OkexFutureWebSocketClient, self).__init__()
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self.onTick = self.defaultOnTick
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self.onUserTrade = self.defaultOnUserTrade
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#----------------------------------------------------------------------
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def subscribe(self, easySymbol, contractType): # type: (OkexFutureEasySymbol, OkexFutureContractType)->None
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self.sendPacket({
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@ -450,6 +519,72 @@ class OkexFutureWebSocketClient(OkexFutureWebSocketBase):
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'channel': 'ok_sub_futureusd_' + easySymbol + '_ticker_' + contractType
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})
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#----------------------------------------------------------------------
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def defaultOnPacket(self, packets):
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for packet in packets:
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print('packets:')
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print(packets)
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channelName = None
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if 'channel' in packet:
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channelName = packet['channel']
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if not channelName or channelName == 'addChannel':
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return
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packet = packet['data']
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channel = parseChannel(channelName) # type: ExtraSymbolChannel
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if channel.type == ChannelType.Tick:
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self.onTick(OkexFutureTickInfo(
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symbol=channel.symbol,
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remoteContractType=channel.remoteContractType,
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last=packet['last'], # float # 最高买入限制价格
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limitHigh=packet['limitHigh'], # str # 最高买入限制价格
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limitLow=packet['limitLow'], # str # 最低卖出限制价格
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vol=packet['vol'], # float # 24 小时成交量
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sell=packet['sell'], # float # 卖一价格
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buy=packet['buy'], # float # 买一价格
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unitAmount=packet['unitAmount'], # float # 合约价值
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holdAmount=packet['hold_amount'], # float # 当前持仓量
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contractId=packet['contractId'], # long # 合约ID
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high=packet['high'], # float # 24 小时最高价格
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low=packet['low'], # float # 24 小时最低价格
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))
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# elif channel.type == ChannelType.Trade:
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# trades = []
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# for tradeInfo in packet:
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# trades.append(OkexFutureTradeInfo(
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# channel.symbol, channel.remoteContractType, *tradeInfo
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# ))
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# self.onTrades(trades)
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elif channel.type == ChannelType.UserTrade:
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self.onUserTrade(OkexFutureUserTradeInfo(
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symbol=packet['symbol'], # str # btc_usd ltc_usd eth_usd etc_usd bch_usd
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remoteContractType=packet['contract_type'],
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amount=packet['amount'], # float # 委托数量
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contractName=packet['contract_name'], # str # 合约名称
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createdDate=packet['created_date'], # long # 委托时间
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createDateStr=packet['create_date_str'], # str # 委托时间字符串
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dealAmount=packet['deal_amount'], # float # 成交数量
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fee=packet['fee'], # float # 手续费
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orderId=packet['order_id'], # long # 订单ID
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price=packet['price'], # float # 订单价格
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priceAvg=packet['price_avg'], # float # 平均价格
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status=packet['status'], # int # 订单状态(0等待成交 1部分成交 2全部成交 -1撤单 4撤单处理中)
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type=packet['type'], # int # 订单类型 1：开多 2：开空 3：平多 4：平空
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unitAmount=packet['unit_amount'], # float # 合约面值
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leverRate=packet['lever_rate'], # float # 杠杆倍数 value:10/20 默认10
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systemType=packet['system_type'], # int # 订单类型 0:普通 1:交割 2:强平 4:全平 5:系统反单
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))
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#----------------------------------------------------------------------
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def defaultOnTick(self, tick): # type: (OkexFutureTickInfo)->None
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pass
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#----------------------------------------------------------------------
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def defaultOnUserTrade(self, tick): # type: (OkexFutureUserTradeInfo)->None
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pass
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restErrorCodeMap = {
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0: '远程服务器并未给出错误代码',
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@ -597,3 +732,86 @@ webSocketErrorCodeMap = {
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1208: '没有该转账用户',
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1209: '当前api不可用',
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}
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########################################################################
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class ChannelType(Enum):
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Login = 1
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ForecastPrice = 2
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Tick = 3
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Depth = 4
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Trade = 5
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Index = 6
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UserTrade = 7
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UserInfo = 8
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########################################################################
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class Channel(object):
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#----------------------------------------------------------------------
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def __init__(self, type):
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self.type = type
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########################################################################
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class SymbolChannel(Channel):
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#----------------------------------------------------------------------
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def __init__(self, type, symbol):
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super(SymbolChannel, self).__init__(type)
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self.symbol = symbol
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########################################################################
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class FutureSymbolChannel(SymbolChannel):
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#----------------------------------------------------------------------
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def __init__(self, type, symbol, remoteContractType):
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super(FutureSymbolChannel, self).__init__(type, symbol)
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self.remoteContractType = remoteContractType
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########################################################################
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class ExtraSymbolChannel(FutureSymbolChannel):
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#----------------------------------------------------------------------
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def __init__(self, type, symbol, remoteContractType, extra):
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super(ExtraSymbolChannel, self).__init__(type, symbol, remoteContractType)
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self.extra = extra
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#----------------------------------------------------------------------
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def parseChannel(channel): # type: (str)->Channel
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if channel == 'login':
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return Channel(ChannelType.Login)
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# 还未提供订阅的channel都注释掉
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# elif channel[4:12] == 'forecast': # eg: 'btc_forecast_price'
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# return SymbolChannel(ChannelType.ForecastPrice, channel[:3])
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sp = channel.split('_')
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if sp[-1] == 'trades': # eg: 'ok_sub_futureusd_trades'
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return Channel(ChannelType.UserTrade)
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# if sp[-1] == 'userinfo': # eg: 'ok_sub_futureusd_btc_userinfo'
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# return Channel(ChannelType.UserInfo)
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# if sp[-1] == 'index': # eg: 'ok_sub_futureusd_btc_index'
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# return SymbolChannel(ChannelType.Index, channel[17:20])
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# if len(sp) == 9:
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# _, _, _, easySymbol, crash, typeName, contractTypePrefix, _, depth = sp
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# return ExtraSymbolChannel(ChannelType.Depth, easySymbol + '_' + crash,
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# remotePrefixToRemoteContractType(contractTypePrefix),
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# depth)
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_, _, _, easySymbol, crash, typeName, contractTypePrefix, _ = sp
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return FutureSymbolChannel(ChannelType.Tick, easySymbol + '_' + crash,
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remotePrefixToRemoteContractType(contractTypePrefix))
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#----------------------------------------------------------------------
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def remotePrefixToRemoteContractType(prefix):
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return _prefixForRemoteContractType[prefix]
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_prefixForRemoteContractType = {v.split('_')[0]: v for k, v in OkexFutureContractType.__dict__.items() if
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not k.startswith('_')}
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@ -6,9 +6,20 @@ from vnpy.api.rest import Request, RestClient
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from vnpy.api.websocket import WebSocketClient
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#----------------------------------------------------------------------
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def paramsToData(params):
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return urllib.urlencode(sorted(params.items()))
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#----------------------------------------------------------------------
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def sign(dataWithApiKey, apiSecret):
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"""
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usage:
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params = { ... , 'api_key': ...}
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data = paramsToData(params)
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signature = sign(data, apiSecret)
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data += "&sign" + signature
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:param dataWithApiKey: sorted urlencoded args with apiKey
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:return: param 'sign' for okex api
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"""
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@ -42,7 +53,7 @@ class OkexFutureRestBase(RestClient):
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args.pop('sign')
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if 'apiKey' not in args:
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args['api_key'] = self.apiKey
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data = urllib.urlencode(sorted(args.items()))
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data = paramsToData(args)
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signature = sign(data, self.apiSecret)
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data += "&sign=" + signature
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@ -64,13 +75,17 @@ class OkexFutureWebSocketBase(WebSocketClient):
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super(OkexFutureWebSocketBase, self).init(OkexFutureWebSocketBase.host)
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self.apiKey = None
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self.apiSecret = None
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self.autoLogin = True
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self.onConnected = self._onConnected
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#----------------------------------------------------------------------
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# noinspection PyMethodOverriding
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def init(self, apiKey, secretKey):
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def init(self, apiKey, secretKey, autoLogin=True):
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self.apiKey = apiKey
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self.apiSecret = secretKey
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self.autoLogin = autoLogin
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#----------------------------------------------------------------------
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def sendPacket(self, dictObj, authenticate=False):
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@ -79,3 +94,21 @@ class OkexFutureWebSocketBase(WebSocketClient):
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signature = sign(data, self.apiSecret)
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dictObj['sign'] = signature
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return super(OkexFutureWebSocketBase, self).sendPacket(dictObj)
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#----------------------------------------------------------------------
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def _login(self, ):
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params = {"api_key": self.apiKey, }
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data = paramsToData(params)
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signature = sign(data, self.apiSecret)
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params['sign'] = signature
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self.sendPacket({
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"event": "login",
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"parameters": params
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}, authenticate=False)
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#----------------------------------------------------------------------
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def _onConnected(self):
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if self.autoLogin:
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self._login()
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@ -3,9 +3,8 @@
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from __future__ import print_function
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import json
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from abc import abstractmethod, abstractproperty
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from abc import abstractmethod
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from enum import Enum
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from typing import Dict
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from vnpy.api.okexfuture.OkexFutureApi import *
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@ -75,7 +74,8 @@ class OkexFutureGateway(VnpyGateway):
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self.restApi = OkexFutureRestClient()
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self.webSocket = OkexFutureWebSocketClient()
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self.webSocket.onPacket = self._onWebsocketPacket
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self.webSocket.onTick = self._onTick
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self.webSocket.onUserTrade = self._onUserTrade
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self.leverRate = 1
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self.symbols = []
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@ -125,11 +125,15 @@ class OkexFutureGateway(VnpyGateway):
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#----------------------------------------------------------------------
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def _getOrderByLocalId(self, localId):
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return self._orders[localId]
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if localId in self._orders:
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return self._orders[localId]
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return None
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#----------------------------------------------------------------------
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def _getOrderByRemoteId(self, remoteId):
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return self._remoteIds[remoteId]
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if remoteId in self._remoteIds:
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return self._remoteIds[remoteId]
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return None
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#----------------------------------------------------------------------
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def _saveRemoteId(self, remoteId, myorder):
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@ -184,6 +188,8 @@ class OkexFutureGateway(VnpyGateway):
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def cancelOrder(self, vtCancel): # type: (VtCancelOrderReq)->None
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"""撤单"""
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myorder = self._getOrderByLocalId(vtCancel.orderID)
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assert myorder is not None, u"理论上是无法取消一个不存在的本地单的"
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symbol, contractType = localSymbolToRemote(vtCancel.symbol)
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self.restApi.cancelOrder(symbol=symbol,
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contractType=contractType,
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@ -256,10 +262,10 @@ class OkexFutureGateway(VnpyGateway):
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localContractType = extra
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for order in orders:
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remoteId = order.remoteId
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if remoteId in self._remoteIds:
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myorder = self._getOrderByRemoteId(remoteId)
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if myorder:
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# 如果订单已经缓存在本地，则尝试更新订单状态
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myorder = self._getOrderByRemoteId(remoteId)
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# 有新交易才推送更新
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if order.tradedVolume != myorder.vtOrder.tradedVolume:
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@ -316,36 +322,38 @@ class OkexFutureGateway(VnpyGateway):
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self.onPosition(pos)
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#----------------------------------------------------------------------
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def _onWebsocketPacket(self, packets): # type: (dict)->None
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for packet in packets:
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print('packets:')
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print(packets)
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channelName = None
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if 'channel' in packet:
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channelName = packet['channel']
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if not channelName or channelName == 'addChannel':
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return
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def _onTick(self, info): # type: (OkexFutureTickInfo)->None
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uiSymbol = remoteSymbolToLocal(info.symbol, remoteContractTypeToLocal(info.remoteContractType))
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self.onTick(VtTickData.createFromGateway(
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gateway=self,
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symbol=uiSymbol,
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exchange=self.exchange,
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lastPrice=info.last,
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lastVolume=info.vol,
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highPrice=info.high,
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lowPrice=info.low,
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openInterest=info.holdAmount,
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lowerLimit=info.limitLow,
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upperLimit=info.limitHigh,
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))
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packet = packet['data']
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channel = parseChannel(channelName) # type: ExtraSymbolChannel
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def _onUserTrade(self, info): # type: (OkexFutureUserTradeInfo)->None
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tradeID = str(self.tradeID)
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self.tradeID += 1
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order = self._getOrderByRemoteId(info.remoteId)
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if order:
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self.onTrade(VtTradeData.createFromOrderData(
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order=order.vtOrder,
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tradeID=tradeID,
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tradePrice=info.price,
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tradeVolume=info.dealAmount # todo: 这里应该填写的到底是order总共成交了的数量，还是该次trade成交的数量
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))
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else:
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# todo: 与order无关联的trade该如何处理？
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# uiSymbol = remoteSymbolToLocal(info.symbol, remoteContractTypeToLocal(info.remoteContractType))
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pass
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return
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if channel.type == ChannelType.Tick:
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uiSymbol = remoteSymbolToLocal(channel.symbol, remoteContractTypeToLocal(channel.remoteContractType))
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tick = VtTickData.createFromGateway(
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gateway=self,
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symbol=uiSymbol,
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exchange=self.exchange,
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lastPrice=float(packet['last']),
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lastVolume=float(packet['vol']),
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highPrice=float(packet['high']),
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lowPrice=float(packet['low']),
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openInterest=int(packet['hold_amount']),
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lowerLimit=float(packet['limitLow']),
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upperLimit=float(packet['limitHigh'])
|
||||
)
|
||||
self.onTick(tick)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localOrderTypeToRemote(direction, offset): # type: (str, str)->str
|
||||
@ -384,77 +392,6 @@ def remoteSymbolToLocal(remoteSymbol, localContractType):
|
||||
return remoteSymbol.upper() + '_' + localContractType
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remotePrefixToRemoteContractType(prefix):
|
||||
return _prefixForRemoteContractType[prefix]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
class ChannelType(Enum):
|
||||
Login = 1
|
||||
ForecastPrice = 2
|
||||
Tick = 3
|
||||
Depth = 4
|
||||
Trade = 5
|
||||
Index = 6
|
||||
|
||||
|
||||
########################################################################
|
||||
class Channel(object):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, type):
|
||||
self.type = type
|
||||
|
||||
|
||||
########################################################################
|
||||
class SymbolChannel(Channel):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, type, symbol):
|
||||
super(SymbolChannel, self).__init__(type)
|
||||
self.symbol = symbol
|
||||
|
||||
|
||||
########################################################################
|
||||
class FutureSymbolChannel(SymbolChannel):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, type, symbol, remoteContractType):
|
||||
super(FutureSymbolChannel, self).__init__(type, symbol)
|
||||
self.remoteContractType = remoteContractType
|
||||
|
||||
|
||||
########################################################################
|
||||
class ExtraSymbolChannel(FutureSymbolChannel):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, type, symbol, remoteContractType, extra):
|
||||
super(ExtraSymbolChannel, self).__init__(type, symbol, remoteContractType)
|
||||
self.extra = extra
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def parseChannel(channel): # type: (str)->Channel
|
||||
if channel == 'login':
|
||||
return Channel(ChannelType.Login)
|
||||
elif channel[4:12] == 'forecast': # eg: 'btc_forecast_price'
|
||||
return SymbolChannel(ChannelType.ForecastPrice, channel[:3])
|
||||
sp = channel.split('_')
|
||||
if sp[-1] == 'index': # eg: 'ok_sub_futureusd_btc_index'
|
||||
return SymbolChannel(ChannelType.Index, channel[17:20])
|
||||
|
||||
l = len(sp)
|
||||
if len(sp) == 9:
|
||||
_, _, _, easySymbol, crash, typeName, contractTypePrefix, _, depth = sp
|
||||
return ExtraSymbolChannel(ChannelType.Depth, easySymbol + '_' + crash,
|
||||
remotePrefixToRemoteContractType(contractTypePrefix),
|
||||
depth)
|
||||
_, _, _, easySymbol, crash, typeName, contractTypePrefix, _ = sp
|
||||
return FutureSymbolChannel(ChannelType.Tick, easySymbol + '_' + crash,
|
||||
remotePrefixToRemoteContractType(contractTypePrefix))
|
||||
|
||||
|
||||
_orderTypeMap = {
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort,
|
||||
@ -463,9 +400,6 @@ _orderTypeMap = {
|
||||
}
|
||||
_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()}
|
||||
|
||||
_prefixForRemoteContractType = {v.split('_')[0]: v for k, v in OkexFutureContractType.__dict__.items() if
|
||||
not k.startswith('_')}
|
||||
|
||||
_contractTypeMap = {
|
||||
k.upper(): v for k, v in OkexFutureContractType.__dict__.items() if not k.startswith('_')
|
||||
}
|
||||
|
||||
Loading…
Reference in New Issue
Block a user