From 22535f7acfc1e2df36796ad26cd7357a4e115f81 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sat, 4 Jul 2020 22:40:20 +0800 Subject: [PATCH] =?UTF-8?q?[=E5=A2=9E=E5=BC=BA=E5=8A=9F=E8=83=BD]=20?= =?UTF-8?q?=E5=8A=A0=E5=9B=BA=E8=AE=A2=E5=8D=95=E5=A7=94=E6=89=98?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/gateway/binance/binance_gateway.py | 98 ++++++++++++++++++----- vnpy/gateway/binancef/binancef_gateway.py | 2 +- 2 files changed, 81 insertions(+), 19 deletions(-) diff --git a/vnpy/gateway/binance/binance_gateway.py b/vnpy/gateway/binance/binance_gateway.py index e0144707..d8a93e67 100644 --- a/vnpy/gateway/binance/binance_gateway.py +++ b/vnpy/gateway/binance/binance_gateway.py @@ -6,6 +6,8 @@ import urllib import hashlib import hmac import time +import json + from copy import copy from datetime import datetime, timedelta from enum import Enum @@ -37,7 +39,7 @@ from vnpy.trader.object import ( ) from vnpy.trader.event import EVENT_TIMER from vnpy.event import Event - +from vnpy.trader.utility import print_dict REST_HOST = "https://www.binance.com" WEBSOCKET_TRADE_HOST = "wss://stream.binance.com:9443/ws/" WEBSOCKET_DATA_HOST = "wss://stream.binance.com:9443/stream?streams=" @@ -168,6 +170,9 @@ class BinanceGateway(BaseGateway): func() self.query_functions.append(func) + def get_order(self, orderid: str): + return self.rest_api.get_order(orderid) + class BinanceRestApi(RestClient): """ BINANCE REST API @@ -197,6 +202,10 @@ class BinanceRestApi(RestClient): self.assets = {} # 币资产的合约信息， symbol: contract self.positions = {} # 币持仓信息， symbol: position + self.orders = {} + + self.accountid = "" + def sign(self, request): """ Generate BINANCE signature. @@ -333,6 +342,10 @@ class BinanceRestApi(RestClient): self.order_count += 1 return self.order_count + def get_order(self, orderid: str): + """返回缓存的Order""" + return self.orders.get(orderid, None) + def send_order(self, req: OrderRequest): """""" orderid = str(self.connect_time + self._new_order_id()) @@ -340,6 +353,11 @@ class BinanceRestApi(RestClient): orderid, self.gateway_name ) + order.accountid = self.accountid + order.vt_accountid = f"{self.gateway_name}.{self.accountid}" + order.datetime = datetime.now() + self.orders.update({orderid: copy(order)}) + self.gateway.write_log(f'委托返回订单更新:{order.__dict__}') self.gateway.on_order(order) data = { @@ -439,8 +457,11 @@ class BinanceRestApi(RestClient): def on_query_account(self, data, request): """""" # ==》 account event + if not self.accountid: + self.accountid = self.gateway_name + account = AccountData( - accountid=self.gateway_name, + accountid=self.accountid, balance=0, frozen=0, gateway_name=self.gateway_name @@ -476,6 +497,7 @@ class BinanceRestApi(RestClient): time = dt.strftime("%Y-%m-%d %H:%M:%S") order = OrderData( + accountid=self.accountid, orderid=d["clientOrderId"], symbol=d["symbol"], exchange=Exchange.BINANCE, @@ -488,6 +510,8 @@ class BinanceRestApi(RestClient): time=time, gateway_name=self.gateway_name, ) + self.orders.update({order.orderid: copy(order)}) + self.gateway.write_log(f'返回订单查询结果：{order.__dict__}') self.gateway.on_order(order) self.gateway.write_log("委托信息查询成功") @@ -551,6 +575,13 @@ class BinanceRestApi(RestClient): """ order = request.extra order.status = Status.REJECTED + self.orders.update({order.orderid: copy(order)}) + self.gateway.write_log(f'订单委托失败:{order.__dict__}') + if not order.accountid: + order.accountid = self.accountid + order.vt_accountid = f"{self.gateway_name}.{self.accountid}" + if not order.datetime: + order.datetime = datetime.now() self.gateway.on_order(order) msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}" @@ -564,6 +595,13 @@ class BinanceRestApi(RestClient): """ order = request.extra order.status = Status.REJECTED + self.orders.update({order.orderid: copy(order)}) + self.gateway.write_log(f'发送订单异常:{order.__dict__}') + if not order.accountid: + order.accountid = self.accountid + order.vt_accountid = f"{self.gateway_name}.{self.accountid}" + if not order.datetime: + order.datetime = datetime.now() self.gateway.on_order(order) # Record exception if not ConnectionError @@ -691,7 +729,10 @@ class BinanceTradeWebsocketApi(WebsocketClient): self.on_order(packet) def on_account(self, packet): - """""" + """web socket的账号更新信息""" + + # 这里不处理，改为定时resful查询进行更新 + """ for d in packet["B"]: account = AccountData( accountid=d["a"], @@ -702,31 +743,49 @@ class BinanceTradeWebsocketApi(WebsocketClient): if account.balance: self.gateway.on_account(account) + """ + return def on_order(self, packet: dict): """""" + self.gateway.write_log('ws返回订单更新:\n'.format(json.dumps(packet, indent=2))) dt = datetime.fromtimestamp(packet["O"] / 1000) time = dt.strftime("%Y-%m-%d %H:%M:%S") - if packet["C"] == "null": + if packet["C"] == "null" or len(packet['C']) == 0: orderid = packet["c"] else: orderid = packet["C"] - order = OrderData( - symbol=packet["s"], - exchange=Exchange.BINANCE, - orderid=orderid, - type=ORDERTYPE_BINANCE2VT[packet["o"]], - direction=DIRECTION_BINANCE2VT[packet["S"]], - price=float(packet["p"]), - volume=float(packet["q"]), - traded=float(packet["z"]), - status=STATUS_BINANCE2VT[packet["X"]], - time=time, - gateway_name=self.gateway_name - ) - + # 尝试从缓存中获取订单 + order = self.gateway.get_order(orderid) + if order: + order.traded = float(packet["z"]) + order.status = STATUS_BINANCE2VT[packet["X"]] + if order.status in [Status.CANCELLED, Status.REJECTED]: + order.cancel_time = time + if len(order.sys_orderid) == 0: + order.sys_orderid = str(packet["i"]) + else: + self.gateway.write_log(f'缓存中根据orderid:{orderid} 找不到Order,创建一个新的') + self.gateway.write_log(print_dict(packet)) + order = OrderData( + accountid=self.gateway_name, + symbol=packet["s"], + exchange=Exchange.BINANCE, + orderid=orderid, + sys_orderid=str(packet['i']), + type=ORDERTYPE_BINANCE2VT[packet["o"]], + direction=DIRECTION_BINANCE2VT[packet["S"]], + price=float(packet["p"]), + volume=float(packet["q"]), + traded=float(packet["z"]), + status=STATUS_BINANCE2VT[packet["X"]], + datetime=dt, + time=time, + gateway_name=self.gateway_name + ) + self.gateway.write_log(f'WS订单更新:\n{order.__dict__}') self.gateway.on_order(order) # Push trade event @@ -738,6 +797,7 @@ class BinanceTradeWebsocketApi(WebsocketClient): trade_time = trade_dt.strftime("%Y-%m-%d %H:%M:%S") trade = TradeData( + accountid=self.gateway_name, symbol=order.symbol, exchange=order.exchange, orderid=order.orderid, @@ -746,8 +806,10 @@ class BinanceTradeWebsocketApi(WebsocketClient): price=float(packet["L"]), volume=trade_volume, time=trade_time, + datetime=trade_dt, gateway_name=self.gateway_name, ) + self.gateway.write_log(f'WS成交更新:\n{trade.__dict__}') self.gateway.on_trade(trade) diff --git a/vnpy/gateway/binancef/binancef_gateway.py b/vnpy/gateway/binancef/binancef_gateway.py index a86b7d3c..ef28538d 100644 --- a/vnpy/gateway/binancef/binancef_gateway.py +++ b/vnpy/gateway/binancef/binancef_gateway.py @@ -959,7 +959,7 @@ class BinancefTradeWebsocketApi(WebsocketClient): price=float(ord_data["L"]), volume=trade_volume, time=trade_time, - datetime=trade_time, + datetime=trade_dt, gateway_name=self.gateway_name, ) self.gateway.write_log(f'WS成交更新:\n{trade.__dict__}')