[Add] 增加okexFutureApi.trade

[Add] okexFutureApi:增加自动登录

vnpy/api/okexfuture/OkexFutureApi.py

@@ -1,4 +1,5 @@
 # encoding: UTF-8
+from enum import Enum
 from typing import Any, Callable, List, Union
 
 from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase, OkexFutureWebSocketBase
@@ -126,6 +127,68 @@ class OkexFuturePositionDetail(object):
         self.contractType = None
 
 
+########################################################################
+class OkexFutureTickInfo(object):
+    
+    #----------------------------------------------------------------------
+    def __init__(self, symbol, remoteContractType, last, limitHigh, limitLow, vol, sell, buy, unitAmount, holdAmount,
+                 contractId, high, low):
+        self.symbol = symbol
+        self.remoteContractType = remoteContractType
+        self.last = last
+        self.limitHigh = limitHigh  # type: str  # 最高买入限制价格
+        self.limitLow = limitLow  # type: str  # 最低卖出限制价格
+        self.vol = vol  # type: float  # 24 小时成交量
+        self.sell = sell  # type: float  # 卖一价格
+        self.buy = buy  # type: float  #  买一价格
+        self.unitAmount = unitAmount  # type: float  # 合约价值
+        self.holdAmount = holdAmount  # type: float  # 当前持仓量
+        self.contractId = contractId  # type: long  # 合约ID
+        self.high = high  # type: float  # 24 小时最高价格
+        self.low = low  # type: float  # 24 小时最低价格
+
+
+########################################################################
+class OkexFutureTradeInfo(object):
+    
+    #----------------------------------------------------------------------
+    def __init__(self, symbol, remoteContractType, index, price, volume, time, direction, coinVolume):
+        self.symbol = symbol
+        self.remoteContractType = remoteContractType
+        self.index = index
+        self.price = price
+        self.volume = volume
+        self.time = time
+        self.direction = direction
+        self.coinVolume = coinVolume
+
+
+########################################################################
+class OkexFutureUserTradeInfo(object):
+    
+    #----------------------------------------------------------------------
+    def __init__(self, symbol, remoteContractType, amount,
+                 contractName, createdDate, createDateStr, dealAmount, fee,
+                 orderId, price, priceAvg, status, type, unitAmount, leverRate, systemType
+                 ):
+        self.symbol = symbol  # type: str  #  btcUsd   ltcUsd   ethUsd   etcUsd   bchUsd
+        self.remoteContractType = remoteContractType
+        self.amount = amount  # type: float  #  委托数量
+        self.contractName = contractName  # type: str  #  合约名称
+        self.createdDate = createdDate  # type: long  #  委托时间
+        self.createDateStr = createDateStr  # type: str  # 委托时间字符串
+        self.dealAmount = dealAmount  # type: float  #  成交数量
+        self.fee = fee  # type: float  #  手续费
+        self.remoteId = orderId  # type: long  #  订单ID
+        self.price = price  # type: float  #  订单价格
+        self.priceAvg = priceAvg  # type: float  #  平均价格
+        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)
+        self.type = type  # type: int  #  订单类型 1：开多 2：开空 3：平多 4：平空
+        self.unitAmount = unitAmount  # type: float  # 合约面值
+        self.leverRate = leverRate  # type: float  # 杠杆倍数  value:10/20  默认10
+        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
+
+
 ########################################################################
 class OkexFutureRestClient(OkexFutureRestBase):
     
@@ -443,6 +506,12 @@ class OkexFutureRestClient(OkexFutureRestBase):
 ########################################################################
 class OkexFutureWebSocketClient(OkexFutureWebSocketBase):
 
+    #----------------------------------------------------------------------
+    def __init__(self):
+        super(OkexFutureWebSocketClient, self).__init__()
+        self.onTick = self.defaultOnTick
+        self.onUserTrade = self.defaultOnUserTrade
+
     #----------------------------------------------------------------------
     def subscribe(self, easySymbol, contractType):  # type: (OkexFutureEasySymbol, OkexFutureContractType)->None
         self.sendPacket({
@@ -450,6 +519,72 @@ class OkexFutureWebSocketClient(OkexFutureWebSocketBase):
             'channel': 'ok_sub_futureusd_' + easySymbol + '_ticker_' + contractType
         })
     
+    #----------------------------------------------------------------------
+    def defaultOnPacket(self, packets):
+        
+        for packet in packets:
+            print('packets:')
+            print(packets)
+            channelName = None
+            if 'channel' in packet:
+                channelName = packet['channel']
+            if not channelName or channelName == 'addChannel':
+                return
+            
+            packet = packet['data']
+            channel = parseChannel(channelName)  # type: ExtraSymbolChannel
+            
+            if channel.type == ChannelType.Tick:
+                self.onTick(OkexFutureTickInfo(
+                    symbol=channel.symbol,
+                    remoteContractType=channel.remoteContractType,
+                    last=packet['last'],  # float   # 最高买入限制价格
+                    limitHigh=packet['limitHigh'],  # str   # 最高买入限制价格
+                    limitLow=packet['limitLow'],  # str   # 最低卖出限制价格
+                    vol=packet['vol'],  # float   # 24 小时成交量
+                    sell=packet['sell'],  # float   # 卖一价格
+                    buy=packet['buy'],  # float   #  买一价格
+                    unitAmount=packet['unitAmount'],  # float   # 合约价值
+                    holdAmount=packet['hold_amount'],  # float   # 当前持仓量
+                    contractId=packet['contractId'],  # long   # 合约ID
+                    high=packet['high'],  # float   # 24 小时最高价格
+                    low=packet['low'],  # float   # 24 小时最低价格
+                ))
+            # elif channel.type == ChannelType.Trade:
+            #     trades = []
+            #     for tradeInfo in packet:
+            #         trades.append(OkexFutureTradeInfo(
+            #             channel.symbol, channel.remoteContractType, *tradeInfo
+            #         ))
+            #     self.onTrades(trades)
+            elif channel.type == ChannelType.UserTrade:
+                self.onUserTrade(OkexFutureUserTradeInfo(
+                    symbol=packet['symbol'],  # str  #  btc_usd   ltc_usd   eth_usd   etc_usd   bch_usd
+                    remoteContractType=packet['contract_type'],
+                    amount=packet['amount'],  # float  #  委托数量
+                    contractName=packet['contract_name'],  # str  #  合约名称
+                    createdDate=packet['created_date'],  # long  #  委托时间
+                    createDateStr=packet['create_date_str'],  # str  # 委托时间字符串
+                    dealAmount=packet['deal_amount'],  # float  #  成交数量
+                    fee=packet['fee'],  # float  #  手续费
+                    orderId=packet['order_id'],  # long  #  订单ID
+                    price=packet['price'],  # float  #  订单价格
+                    priceAvg=packet['price_avg'],  # float  #  平均价格
+                    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)
+                    type=packet['type'],  # int  #  订单类型 1：开多 2：开空 3：平多 4：平空
+                    unitAmount=packet['unit_amount'],  # float  # 合约面值
+                    leverRate=packet['lever_rate'],  # float  # 杠杆倍数  value:10/20  默认10
+                    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
+                ))
+    
+    #----------------------------------------------------------------------
+    def defaultOnTick(self, tick):  # type: (OkexFutureTickInfo)->None
+        pass
+    
+    #----------------------------------------------------------------------
+    def defaultOnUserTrade(self, tick):  # type: (OkexFutureUserTradeInfo)->None
+        pass
+
 
 restErrorCodeMap = {
     0: '远程服务器并未给出错误代码',
@@ -597,3 +732,86 @@ webSocketErrorCodeMap = {
     1208: '没有该转账用户',
     1209: '当前api不可用',
 }
+
+
+########################################################################
+class ChannelType(Enum):
+    Login = 1
+    ForecastPrice = 2
+    Tick = 3
+    Depth = 4
+    Trade = 5
+    Index = 6
+    UserTrade = 7
+    UserInfo = 8
+
+
+########################################################################
+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)
+    
+    # 还未提供订阅的channel都注释掉
+    # elif channel[4:12] == 'forecast':  # eg: 'btc_forecast_price'
+    #     return SymbolChannel(ChannelType.ForecastPrice, channel[:3])
+    
+    sp = channel.split('_')
+    if sp[-1] == 'trades':  # eg: 'ok_sub_futureusd_trades'
+        return Channel(ChannelType.UserTrade)
+    # if sp[-1] == 'userinfo':  # eg: 'ok_sub_futureusd_btc_userinfo'
+    #     return Channel(ChannelType.UserInfo)
+    # if sp[-1] == 'index':  # eg: 'ok_sub_futureusd_btc_index'
+    #     return SymbolChannel(ChannelType.Index, channel[17:20])
+    
+    # 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))
+
+
+#----------------------------------------------------------------------
+def remotePrefixToRemoteContractType(prefix):
+    return _prefixForRemoteContractType[prefix]
+
+
+_prefixForRemoteContractType = {v.split('_')[0]: v for k, v in OkexFutureContractType.__dict__.items() if
+                                not k.startswith('_')}

vnpy/api/okexfuture/vnokexFuture.py

@@ -6,9 +6,20 @@ from vnpy.api.rest import Request, RestClient
 from vnpy.api.websocket import WebSocketClient
 
 
+#----------------------------------------------------------------------
+def paramsToData(params):
+    return urllib.urlencode(sorted(params.items()))
+
+
 #----------------------------------------------------------------------
 def sign(dataWithApiKey, apiSecret):
     """
+    usage:
+    params = { ... , 'api_key': ...}
+    data = paramsToData(params)
+    signature = sign(data, apiSecret)
+    data += "&sign" + signature
+    
     :param dataWithApiKey: sorted urlencoded args with apiKey
     :return: param 'sign' for okex api
     """
@@ -42,7 +53,7 @@ class OkexFutureRestBase(RestClient):
             args.pop('sign')
         if 'apiKey' not in args:
             args['api_key'] = self.apiKey
-        data = urllib.urlencode(sorted(args.items()))
+        data = paramsToData(args)
         signature = sign(data, self.apiSecret)
         data += "&sign=" + signature
 
@@ -64,13 +75,17 @@ class OkexFutureWebSocketBase(WebSocketClient):
         super(OkexFutureWebSocketBase, self).init(OkexFutureWebSocketBase.host)
         self.apiKey = None
         self.apiSecret = None
+        self.autoLogin = True
+
+        self.onConnected = self._onConnected
     
     #----------------------------------------------------------------------
     # noinspection PyMethodOverriding
-    def init(self, apiKey, secretKey):
+    def init(self, apiKey, secretKey, autoLogin=True):
         
         self.apiKey = apiKey
         self.apiSecret = secretKey
+        self.autoLogin = autoLogin
     
     #----------------------------------------------------------------------
     def sendPacket(self, dictObj, authenticate=False):
@@ -79,3 +94,21 @@ class OkexFutureWebSocketBase(WebSocketClient):
             signature = sign(data, self.apiSecret)
             dictObj['sign'] = signature
         return super(OkexFutureWebSocketBase, self).sendPacket(dictObj)
+
+    #----------------------------------------------------------------------
+    def _login(self, ):
+        
+        params = {"api_key": self.apiKey, }
+        data = paramsToData(params)
+        signature = sign(data, self.apiSecret)
+        params['sign'] = signature
+        
+        self.sendPacket({
+            "event": "login",
+            "parameters": params
+        }, authenticate=False)
+
+    #----------------------------------------------------------------------
+    def _onConnected(self):
+        if self.autoLogin:
+            self._login()

vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py

@@ -3,9 +3,8 @@
 from __future__ import print_function
 
 import json
-from abc import abstractmethod, abstractproperty
+from abc import abstractmethod
 
-from enum import Enum
 from typing import Dict
 
 from vnpy.api.okexfuture.OkexFutureApi import *
@@ -75,7 +74,8 @@ class OkexFutureGateway(VnpyGateway):
         self.restApi = OkexFutureRestClient()
 
         self.webSocket = OkexFutureWebSocketClient()
-        self.webSocket.onPacket = self._onWebsocketPacket
+        self.webSocket.onTick = self._onTick
+        self.webSocket.onUserTrade = self._onUserTrade
         
         self.leverRate = 1
         self.symbols = []
@@ -125,11 +125,15 @@ class OkexFutureGateway(VnpyGateway):
 
     #----------------------------------------------------------------------
     def _getOrderByLocalId(self, localId):
+        if localId in self._orders:
             return self._orders[localId]
+        return None
 
     #----------------------------------------------------------------------
     def _getOrderByRemoteId(self, remoteId):
+        if remoteId in self._remoteIds:
             return self._remoteIds[remoteId]
+        return None
 
     #----------------------------------------------------------------------
     def _saveRemoteId(self, remoteId, myorder):
@@ -184,6 +188,8 @@ class OkexFutureGateway(VnpyGateway):
     def cancelOrder(self, vtCancel):  # type: (VtCancelOrderReq)->None
         """撤单"""
         myorder = self._getOrderByLocalId(vtCancel.orderID)
+        assert myorder is not None, u"理论上是无法取消一个不存在的本地单的"
+        
         symbol, contractType = localSymbolToRemote(vtCancel.symbol)
         self.restApi.cancelOrder(symbol=symbol,
                                  contractType=contractType,
@@ -257,9 +263,9 @@ class OkexFutureGateway(VnpyGateway):
         for order in orders:
             remoteId = order.remoteId
 
-            if remoteId in self._remoteIds:
-                # 如果订单已经缓存在本地，则尝试更新订单状态
             myorder = self._getOrderByRemoteId(remoteId)
+            if myorder:
+                # 如果订单已经缓存在本地，则尝试更新订单状态
             
                 # 有新交易才推送更新
                 if order.tradedVolume != myorder.vtOrder.tradedVolume:
@@ -316,35 +322,37 @@ class OkexFutureGateway(VnpyGateway):
             self.onPosition(pos)
 
     #----------------------------------------------------------------------
-    def _onWebsocketPacket(self, packets):  # type: (dict)->None
+    def _onTick(self, info):  # type: (OkexFutureTickInfo)->None
-    
+        uiSymbol = remoteSymbolToLocal(info.symbol, remoteContractTypeToLocal(info.remoteContractType))
-        for packet in packets:
+        self.onTick(VtTickData.createFromGateway(
-            print('packets:')
-            print(packets)
-            channelName = None
-            if 'channel' in packet:
-                channelName = packet['channel']
-            if not channelName or channelName == 'addChannel':
-                return
-
-            packet = packet['data']
-            channel = parseChannel(channelName)  # type: ExtraSymbolChannel
-        
-            if channel.type == ChannelType.Tick:
-                uiSymbol = remoteSymbolToLocal(channel.symbol, remoteContractTypeToLocal(channel.remoteContractType))
-                tick = VtTickData.createFromGateway(
             gateway=self,
             symbol=uiSymbol,
             exchange=self.exchange,
-                    lastPrice=float(packet['last']),
+            lastPrice=info.last,
-                    lastVolume=float(packet['vol']),
+            lastVolume=info.vol,
-                    highPrice=float(packet['high']),
+            highPrice=info.high,
-                    lowPrice=float(packet['low']),
+            lowPrice=info.low,
-                    openInterest=int(packet['hold_amount']),
+            openInterest=info.holdAmount,
-                    lowerLimit=float(packet['limitLow']),
+            lowerLimit=info.limitLow,
-                    upperLimit=float(packet['limitHigh'])
+            upperLimit=info.limitHigh,
-                )
+        ))
-                self.onTick(tick)
+
+    def _onUserTrade(self, info):  # type: (OkexFutureUserTradeInfo)->None
+        tradeID = str(self.tradeID)
+        self.tradeID += 1
+        order = self._getOrderByRemoteId(info.remoteId)
+        if order:
+            self.onTrade(VtTradeData.createFromOrderData(
+                order=order.vtOrder,
+                tradeID=tradeID,
+                tradePrice=info.price,
+                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
+            ))
+        else:
+            # todo: 与order无关联的trade该如何处理？
+            # uiSymbol = remoteSymbolToLocal(info.symbol, remoteContractTypeToLocal(info.remoteContractType))
+            pass
+        return
         
 
 #----------------------------------------------------------------------
@@ -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('_')
 }