[增强功能] 加固订单委托
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msincenselee
parent
3a086af423
commit
22535f7acf
@ -6,6 +6,8 @@ import urllib
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import hashlib
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import hmac
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import time
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import json
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from copy import copy
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from datetime import datetime, timedelta
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from enum import Enum
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@ -37,7 +39,7 @@ from vnpy.trader.object import (
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)
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from vnpy.trader.event import EVENT_TIMER
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from vnpy.event import Event
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from vnpy.trader.utility import print_dict
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REST_HOST = "https://www.binance.com"
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WEBSOCKET_TRADE_HOST = "wss://stream.binance.com:9443/ws/"
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WEBSOCKET_DATA_HOST = "wss://stream.binance.com:9443/stream?streams="
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@ -168,6 +170,9 @@ class BinanceGateway(BaseGateway):
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func()
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self.query_functions.append(func)
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def get_order(self, orderid: str):
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return self.rest_api.get_order(orderid)
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class BinanceRestApi(RestClient):
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"""
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BINANCE REST API
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@ -197,6 +202,10 @@ class BinanceRestApi(RestClient):
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self.assets = {} # 币资产的合约信息， symbol: contract
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self.positions = {} # 币持仓信息， symbol: position
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self.orders = {}
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self.accountid = ""
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def sign(self, request):
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"""
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Generate BINANCE signature.
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@ -333,6 +342,10 @@ class BinanceRestApi(RestClient):
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self.order_count += 1
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return self.order_count
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def get_order(self, orderid: str):
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"""返回缓存的Order"""
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return self.orders.get(orderid, None)
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def send_order(self, req: OrderRequest):
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""""""
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orderid = str(self.connect_time + self._new_order_id())
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@ -340,6 +353,11 @@ class BinanceRestApi(RestClient):
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orderid,
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self.gateway_name
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)
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order.accountid = self.accountid
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order.vt_accountid = f"{self.gateway_name}.{self.accountid}"
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order.datetime = datetime.now()
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self.orders.update({orderid: copy(order)})
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self.gateway.write_log(f'委托返回订单更新:{order.__dict__}')
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self.gateway.on_order(order)
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data = {
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@ -439,8 +457,11 @@ class BinanceRestApi(RestClient):
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def on_query_account(self, data, request):
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""""""
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# ==》 account event
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if not self.accountid:
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self.accountid = self.gateway_name
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account = AccountData(
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accountid=self.gateway_name,
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accountid=self.accountid,
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balance=0,
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frozen=0,
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gateway_name=self.gateway_name
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@ -476,6 +497,7 @@ class BinanceRestApi(RestClient):
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time = dt.strftime("%Y-%m-%d %H:%M:%S")
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order = OrderData(
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accountid=self.accountid,
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orderid=d["clientOrderId"],
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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@ -488,6 +510,8 @@ class BinanceRestApi(RestClient):
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time=time,
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gateway_name=self.gateway_name,
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)
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self.orders.update({order.orderid: copy(order)})
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self.gateway.write_log(f'返回订单查询结果：{order.__dict__}')
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self.gateway.on_order(order)
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self.gateway.write_log("委托信息查询成功")
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@ -551,6 +575,13 @@ class BinanceRestApi(RestClient):
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"""
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order = request.extra
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order.status = Status.REJECTED
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self.orders.update({order.orderid: copy(order)})
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self.gateway.write_log(f'订单委托失败:{order.__dict__}')
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if not order.accountid:
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order.accountid = self.accountid
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order.vt_accountid = f"{self.gateway_name}.{self.accountid}"
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if not order.datetime:
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order.datetime = datetime.now()
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self.gateway.on_order(order)
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msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}"
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@ -564,6 +595,13 @@ class BinanceRestApi(RestClient):
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"""
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order = request.extra
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order.status = Status.REJECTED
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self.orders.update({order.orderid: copy(order)})
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self.gateway.write_log(f'发送订单异常:{order.__dict__}')
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if not order.accountid:
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order.accountid = self.accountid
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order.vt_accountid = f"{self.gateway_name}.{self.accountid}"
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if not order.datetime:
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order.datetime = datetime.now()
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self.gateway.on_order(order)
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# Record exception if not ConnectionError
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@ -691,7 +729,10 @@ class BinanceTradeWebsocketApi(WebsocketClient):
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self.on_order(packet)
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def on_account(self, packet):
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""""""
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"""web socket的账号更新信息"""
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# 这里不处理，改为定时resful查询进行更新
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"""
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for d in packet["B"]:
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account = AccountData(
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accountid=d["a"],
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@ -702,31 +743,49 @@ class BinanceTradeWebsocketApi(WebsocketClient):
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if account.balance:
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self.gateway.on_account(account)
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"""
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return
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def on_order(self, packet: dict):
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""""""
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self.gateway.write_log('ws返回订单更新:\n'.format(json.dumps(packet, indent=2)))
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dt = datetime.fromtimestamp(packet["O"] / 1000)
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time = dt.strftime("%Y-%m-%d %H:%M:%S")
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if packet["C"] == "null":
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if packet["C"] == "null" or len(packet['C']) == 0:
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orderid = packet["c"]
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else:
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orderid = packet["C"]
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order = OrderData(
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symbol=packet["s"],
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exchange=Exchange.BINANCE,
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orderid=orderid,
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type=ORDERTYPE_BINANCE2VT[packet["o"]],
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direction=DIRECTION_BINANCE2VT[packet["S"]],
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price=float(packet["p"]),
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volume=float(packet["q"]),
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traded=float(packet["z"]),
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status=STATUS_BINANCE2VT[packet["X"]],
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time=time,
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gateway_name=self.gateway_name
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)
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# 尝试从缓存中获取订单
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order = self.gateway.get_order(orderid)
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if order:
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order.traded = float(packet["z"])
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order.status = STATUS_BINANCE2VT[packet["X"]]
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if order.status in [Status.CANCELLED, Status.REJECTED]:
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order.cancel_time = time
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if len(order.sys_orderid) == 0:
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order.sys_orderid = str(packet["i"])
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else:
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self.gateway.write_log(f'缓存中根据orderid:{orderid} 找不到Order,创建一个新的')
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self.gateway.write_log(print_dict(packet))
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order = OrderData(
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accountid=self.gateway_name,
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symbol=packet["s"],
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exchange=Exchange.BINANCE,
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orderid=orderid,
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sys_orderid=str(packet['i']),
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type=ORDERTYPE_BINANCE2VT[packet["o"]],
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direction=DIRECTION_BINANCE2VT[packet["S"]],
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price=float(packet["p"]),
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volume=float(packet["q"]),
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traded=float(packet["z"]),
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status=STATUS_BINANCE2VT[packet["X"]],
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datetime=dt,
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time=time,
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gateway_name=self.gateway_name
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)
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self.gateway.write_log(f'WS订单更新:\n{order.__dict__}')
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self.gateway.on_order(order)
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# Push trade event
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@ -738,6 +797,7 @@ class BinanceTradeWebsocketApi(WebsocketClient):
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trade_time = trade_dt.strftime("%Y-%m-%d %H:%M:%S")
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trade = TradeData(
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accountid=self.gateway_name,
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symbol=order.symbol,
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exchange=order.exchange,
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orderid=order.orderid,
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@ -746,8 +806,10 @@ class BinanceTradeWebsocketApi(WebsocketClient):
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price=float(packet["L"]),
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volume=trade_volume,
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time=trade_time,
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datetime=trade_dt,
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gateway_name=self.gateway_name,
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)
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self.gateway.write_log(f'WS成交更新:\n{trade.__dict__}')
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self.gateway.on_trade(trade)
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@ -959,7 +959,7 @@ class BinancefTradeWebsocketApi(WebsocketClient):
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price=float(ord_data["L"]),
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volume=trade_volume,
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time=trade_time,
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datetime=trade_time,
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datetime=trade_dt,
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gateway_name=self.gateway_name,
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)
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self.gateway.write_log(f'WS成交更新:\n{trade.__dict__}')
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