[Del]移除beta目录下的OKEX接口
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vn.py
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### 简介
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OKEX的比特币交易接口，基于Websocket API开发，实现了以下功能：
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1. 发送、撤销委托
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2. 查询委托、持仓、资金、成交历史
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3. 实时行情、成交、资金更新的推送
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### API信息
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链接：[https://www.okex.com/ws_getStarted.html](https://www.okex.com/ws_getStarted.html)
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# encoding: UTF-8
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from __future__ import absolute_import
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from .vnokex import OkexSpotApi, OkexFuturesApi, CONTRACT_SYMBOL, SPOT_CURRENCY
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# encoding: UTF-8
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from __future__ import absolute_import
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from .vnokex import *
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# 在OkCoin网站申请这两个Key，分别对应用户名和密码
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apiKey = '你的accessKey'
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secretKey = '你的secretKey'
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# 创建API对象
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api = OkexSpotApi()
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api.connect(apiKey, secretKey, True)
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sleep(3)
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#api.login()
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api.subscribeSpotTicker("bch_btc")
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api.subscribeSpotDepth("bch_btc")
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api.subscribeSpotDepth("bch_btc", 5)
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api.subscribeSpotDeals("bch_btc")
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api.subscribeSpotKlines("bch_btc","30min")
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#api.spotTrade("etc_usdt","sell", "50" , "0.01")
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#api.spotCancelOrder("etc_btc","44274138")
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#api.spotUserInfo()
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#api.spotOrderInfo("etc_btc", 44284731)
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# api = OkexFuturesApi()
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# api.connect(apiKey, secretKey, True)
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# sleep(3)
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#api.subsribeFutureTicker("btc","this_week")
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#api.subscribeFutureKline("btc","this_week", "30min")
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#api.subscribeFutureDepth("btc","this_week")
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#api.subscribeFutureDepth("btc","this_week", 5)
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#api.subscribeFutureTrades("btc","this_week")
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#api.subscribeFutureIndex("btc")
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#api.subscribeFutureForecast_price("btc")
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#api.login()
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#api.futureTrade( "etc_usd", "this_week" ,"1" , 20 , 1 , _match_price = '0' , _lever_rate = '10') # 14245727693
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#api.futureCancelOrder("etc_usd","14245727693" , "this_week")
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#api.futureUserInfo()
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#api.futureOrderInfo("etc_usd" , "14245727693" , "this_week" , '1', '1' , '10')
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# api.subscribeFutureTrades()
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'''
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合约账户信息、 持仓信息等，在登录后都会自动推送。。。官方文档这样写的，还没实际验证过
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'''
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input()
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# encoding: UTF-8
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from __future__ import print_function
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import hashlib
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import zlib
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import json
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from time import sleep
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from threading import Thread
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import websocket
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# OKEX网站
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OKEX_USD_SPOT = 'wss://real.okex.com:10441/websocket' # OKEX 现货地址
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OKEX_USD_CONTRACT = 'wss://real.okex.com:10440/websocket/okexapi' # OKEX 期货地址
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SPOT_CURRENCY = ["usdt",
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"btc",
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"ltc",
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"eth",
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"etc",
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"bch"]
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SPOT_SYMBOL = ["ltc_btc",
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"eth_btc",
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"etc_btc",
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"bch_btc",
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"btc_usdt",
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"eth_usdt",
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"ltc_usdt",
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"etc_usdt",
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"bch_usdt",
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"etc_eth",
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"bt1_btc",
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"bt2_btc",
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"btg_btc",
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"qtum_btc",
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"hsr_btc",
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"neo_btc",
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"gas_btc",
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"qtum_usdt",
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"hsr_usdt",
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"neo_usdt",
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"gas_usdt"]
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KLINE_PERIOD = ["1min",
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"3min",
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"5min",
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"15min",
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"30min",
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"1hour",
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"2hour",
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"4hour",
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"6hour",
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"12hour",
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"day",
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"3day",
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"week"]
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CONTRACT_SYMBOL = ["btc",
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"ltc",
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"eth",
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"etc",
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"bch"]
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CONTRACT_TYPE = ["this_week",
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"next_week",
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"quarter"]
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########################################################################
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class OkexApi(object):
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"""交易接口"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.host = '' # 服务器
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self.apiKey = '' # 用户名
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self.secretKey = '' # 密码
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self.ws = None # websocket应用对象 现货对象
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self.thread = None # 初始化线程
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#----------------------------------------------------------------------
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def reconnect(self):
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"""重新连接"""
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# 首先关闭之前的连接
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self.close()
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# 再执行重连任务
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self.ws = websocket.WebSocketApp(self.host,
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on_message=self.onMessage,
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on_error=self.onError,
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on_close=self.onClose,
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on_open=self.onOpen)
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self.thread = Thread(target=self.ws.run_forever)
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self.thread.start()
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#----------------------------------------------------------------------
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def connect(self, apiKey, secretKey, trace=False):
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self.host = OKEX_USD_SPOT
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self.apiKey = apiKey
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self.secretKey = secretKey
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websocket.enableTrace(trace)
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self.ws = websocket.WebSocketApp(self.host,
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on_message=self.onMessage,
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on_error=self.onError,
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on_close=self.onClose,
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on_open=self.onOpen)
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self.thread = Thread(target=self.ws.run_forever)
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self.thread.start()
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#----------------------------------------------------------------------
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def readData(self, evt):
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"""解码推送收到的数据"""
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data = json.loads(evt)
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return data
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#----------------------------------------------------------------------
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def close(self):
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"""关闭接口"""
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if self.thread and self.thread.isAlive():
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self.ws.close()
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self.thread.join()
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#----------------------------------------------------------------------
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def onMessage(self, ws, evt):
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"""信息推送"""
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print(evt)
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#----------------------------------------------------------------------
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def onError(self, ws, evt):
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"""错误推送"""
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print('onError')
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print(evt)
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#----------------------------------------------------------------------
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def onClose(self, ws):
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"""接口断开"""
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print('onClose')
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#----------------------------------------------------------------------
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def onOpen(self, ws):
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"""接口打开"""
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print('onOpen')
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#----------------------------------------------------------------------
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def generateSign(self, params):
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"""生成签名"""
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l = []
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for key in sorted(params.keys()):
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l.append('%s=%s' %(key, params[key]))
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l.append('secret_key=%s' %self.secretKey)
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sign = '&'.join(l)
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return hashlib.md5(sign.encode('utf-8')).hexdigest().upper()
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#----------------------------------------------------------------------
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def sendTradingRequest(self, channel, params):
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"""发送交易请求"""
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# 在参数字典中加上api_key和签名字段
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params['api_key'] = self.apiKey
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params['sign'] = self.generateSign(params)
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# 生成请求
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d = {}
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d['event'] = 'addChannel'
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d['channel'] = channel
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d['parameters'] = params
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# 使用json打包并发送
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j = json.dumps(d)
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# 若触发异常则重连
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try:
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self.ws.send(j)
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except websocket.WebSocketConnectionClosedException:
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pass
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#----------------------------------------------------------------------
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def sendDataRequest(self, channel):
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"""发送数据请求"""
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d = {}
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d['event'] = 'addChannel'
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d['channel'] = channel
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j = json.dumps(d)
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# 若触发异常则重连
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try:
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self.ws.send(j)
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except websocket.WebSocketConnectionClosedException:
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pass
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#----------------------------------------------------------------------
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def login(self):
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params = {}
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params['api_key'] = self.apiKey
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params['sign'] = self.generateSign(params)
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# 生成请求
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d = {}
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d['event'] = 'login'
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d['parameters'] = params
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# 使用json打包并发送
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j = json.dumps(d)
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# 若触发异常则重连
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try:
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self.ws.send(j)
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return True
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except websocket.WebSocketConnectionClosedException:
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return False
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########################################################################
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class OkexSpotApi(OkexApi):
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"""现货交易接口"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(OkexSpotApi, self).__init__()
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#----------------------------------------------------------------------
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def subscribeSpotTicker(self, symbol):
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"""订阅现货的Tick"""
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channel = 'ok_sub_spot_%s_ticker' %symbol
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self.sendDataRequest(channel)
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#----------------------------------------------------------------------
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def subscribeSpotDepth(self, symbol, depth=0):
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"""订阅现货的深度"""
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channel = 'ok_sub_spot_%s_depth' %symbol
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if depth:
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channel = channel + '_' + str(depth)
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self.sendDataRequest(channel)
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#----------------------------------------------------------------------
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def subscribeSpotDeals(self, symbol):
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channel = 'ok_sub_spot_%s_deals' %symbol
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self.sendDataRequest(channel)
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#----------------------------------------------------------------------
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def subscribeSpotKlines(self, symbol, period):
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channel = 'ok_sub_spot_%s_kline_%s' %(symbol, period)
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self.sendDataRequest(channel)
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#----------------------------------------------------------------------
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def spotTrade(self, symbol, type_, price, amount):
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"""现货委托"""
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params = {}
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params['symbol'] = str(symbol)
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params['type'] = str(type_)
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params['price'] = str(price)
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params['amount'] = str(amount)
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channel = 'ok_spot_order'
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self.sendTradingRequest(channel, params)
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#----------------------------------------------------------------------
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def spotCancelOrder(self, symbol, orderid):
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"""现货撤单"""
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params = {}
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params['symbol'] = str(symbol)
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params['order_id'] = str(orderid)
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channel = 'ok_spot_cancel_order'
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self.sendTradingRequest(channel, params)
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#----------------------------------------------------------------------
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def spotUserInfo(self):
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"""查询现货账户"""
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channel = 'ok_spot_userinfo'
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self.sendTradingRequest(channel, {})
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#----------------------------------------------------------------------
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def spotOrderInfo(self, symbol, orderid):
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"""查询现货委托信息"""
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params = {}
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params['symbol'] = str(symbol)
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params['order_id'] = str(orderid)
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channel = 'ok_spot_orderinfo'
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self.sendTradingRequest(channel, params)
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########################################################################
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class OkexFuturesApi(OkexApi):
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"""期货交易接口
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交割推送信息：
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[{
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"channel": "btc_forecast_price",
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"timestamp":"1490341322021",
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"data": "998.8"
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}]
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data(string): 预估交割价格
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timestamp(string): 时间戳
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无需订阅，交割前一小时自动返回
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"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(OkexFuturesApi, self).__init__()
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#----------------------------------------------------------------------
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def subsribeFuturesTicker(self, symbol, contractType):
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"""订阅期货行情"""
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channel ='ok_sub_futureusd_%s_ticker_%s' %(symbol, contractType)
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self.sendDataRequest(channel)
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#----------------------------------------------------------------------
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def subscribeFuturesKline(self, symbol, contractType, period):
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"""订阅期货K线"""
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channel = 'ok_sub_futureusd_%s_kline_%s_%s' %(symbol, contractType, period)
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self.sendDataRequest(channel)
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#----------------------------------------------------------------------
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def subscribeFuturesDepth(self, symbol, contractType, depth=0):
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"""订阅期货深度"""
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channel = 'ok_sub_futureusd_%s_depth_%s' %(symbol, contractType)
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if depth:
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channel = channel + '_' + str(depth)
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self.sendDataRequest(channel)
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#----------------------------------------------------------------------
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def subscribeFuturesTrades(self, symbol, contractType):
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"""订阅期货成交"""
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channel = 'ok_sub_futureusd_%s_trade_%s' %(symbol, contractType)
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self.sendDataRequest(channel)
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#----------------------------------------------------------------------
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def subscribeFuturesIndex(self, symbol):
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"""订阅期货指数"""
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channel = 'ok_sub_futureusd_%s_index' %symbol
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self.sendDataRequest(channel)
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#----------------------------------------------------------------------
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def futuresTrade(self, symbol, contractType, type_, price, amount, matchPrice='0', leverRate='10'):
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"""期货委托"""
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params = {}
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params['symbol'] = str(symbol)
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params['contract_type'] = str(contractType)
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params['price'] = str(price)
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params['amount'] = str(amount)
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params['type'] = type_ # 1:开多 2:开空 3:平多 4:平空
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params['match_price'] = matchPrice # 是否为对手价： 0:不是 1:是 当取值为1时,price无效
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params['lever_rate'] = leverRate
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channel = 'ok_futureusd_trade'
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self.sendTradingRequest(channel, params)
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#----------------------------------------------------------------------
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def futuresCancelOrder(self, symbol, orderid, contractType):
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"""期货撤单"""
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params = {}
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params['symbol'] = str(symbol)
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params['order_id'] = str(orderid)
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params['contract_type'] = str(contractType)
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channel = 'ok_futureusd_cancel_order'
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self.sendTradingRequest(channel, params)
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#----------------------------------------------------------------------
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def futuresUserInfo(self):
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"""查询期货账户"""
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channel = 'ok_futureusd_userinfo'
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self.sendTradingRequest(channel, {})
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#----------------------------------------------------------------------
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def futuresOrderInfo(self, symbol, orderid, contractType, status, current_page, page_length=10):
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"""查询期货委托"""
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params = {}
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params['symbol'] = str(symbol)
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params['order_id'] = str(orderid)
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params['contract_type'] = str(contractType)
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params['status'] = str(status)
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params['current_page'] = str(current_page)
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params['page_length'] = str(page_length)
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channel = 'ok_futureusd_orderinfo'
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self.sendTradingRequest(channel, params)
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#----------------------------------------------------------------------
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def subscribeFuturesTrades( self):
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channel = 'ok_sub_futureusd_trades'
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self.sendTradingRequest(channel, {})
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#----------------------------------------------------------------------
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def subscribeFuturesUserInfo(self):
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"""订阅期货账户信息"""
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channel = 'ok_sub_futureusd_userinfo'
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self.sendTradingRequest(channel, {})
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#----------------------------------------------------------------------
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def subscribeFuturesPositions(self):
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"""订阅期货持仓信息"""
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channel = 'ok_sub_futureusd_positions'
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self.sendTradingRequest(channel, {})
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@ -1,6 +0,0 @@
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{
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"apiKey": "你的apiKey",
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"secretKey": "你的secretKey",
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"trace": false,
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"leverage": 10
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}
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@ -1,12 +0,0 @@
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# encoding: UTF-8
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from __future__ import absolute_import
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from vnpy.trader import vtConstant
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from .okexGateway import okexGateway
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gatewayClass = okexGateway
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gatewayName = 'OKEX'
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gatewayDisplayName = u'OKEX'
|
||||
gatewayType = vtConstant.GATEWAYTYPE_BTC
|
||||
gatewayQryEnabled = True
|
||||
|
||||
@ -1,965 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
'''
|
||||
vnpy.api.okex的gateway接入
|
||||
|
||||
注意：
|
||||
1. 目前仅支持USD现货交易
|
||||
'''
|
||||
from __future__ import print_function
|
||||
|
||||
import os
|
||||
import json
|
||||
from datetime import datetime
|
||||
from time import sleep
|
||||
from copy import copy
|
||||
from threading import Condition
|
||||
from Queue import Queue
|
||||
from threading import Thread
|
||||
from time import sleep
|
||||
|
||||
from vnpy.api.okex import OkexSpotApi, CONTRACT_SYMBOL, SPOT_CURRENCY
|
||||
from vnpy.trader.vtGateway import *
|
||||
from vnpy.trader.vtFunction import getJsonPath
|
||||
|
||||
# 价格类型映射
|
||||
# 买卖类型： 限价单（buy/sell） 市价单（buy_market/sell_market）
|
||||
priceTypeMap = {}
|
||||
priceTypeMap['buy'] = (DIRECTION_LONG, PRICETYPE_LIMITPRICE)
|
||||
priceTypeMap['buy_market'] = (DIRECTION_LONG, PRICETYPE_MARKETPRICE)
|
||||
priceTypeMap['sell'] = (DIRECTION_SHORT, PRICETYPE_LIMITPRICE)
|
||||
priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE)
|
||||
priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
|
||||
|
||||
# 委托状态印射
|
||||
statusMap = {}
|
||||
statusMap[-1] = STATUS_CANCELLED
|
||||
statusMap[0] = STATUS_NOTTRADED
|
||||
statusMap[1] = STATUS_PARTTRADED
|
||||
statusMap[2] = STATUS_ALLTRADED
|
||||
statusMap[4] = STATUS_UNKNOWN
|
||||
|
||||
|
||||
okex_all_symbol_pairs = ['ref_usdt', 'soc_usdt', 'light_usdt', 'avt_usdt', 'of_usdt', 'brd_usdt', 'ast_usdt', 'int_usdt', 'zrx_usdt', 'ctr_usdt', 'dgd_usdt', 'aidoc_usdt', 'wtc_usdt', 'swftc_usdt', 'wrc_usdt', 'sub_usdt', 'dna_usdt', 'knc_usdt', 'kcash_usdt', 'mdt_usdt', 'theta_usdt', 'ppt_usdt', 'utk_usdt', 'qvt_usdt', 'salt_usdt', 'la_usdt', 'itc_usdt', 'fair_usdt', 'yee_usdt', '1st_usdt', 'fun_usdt', 'iost_usdt', 'mkr_usdt', 'tio_usdt', 'req_usdt', 'ubtc_usdt', 'icx_usdt', 'tct_usdt', 'san_usdt', 'lrc_usdt', 'icn_usdt', 'cvc_usdt', 'eth_usdt', 'poe_usdt', 'xlm_usdt', 'iota_usdt', 'eos_usdt', 'nuls_usdt', 'mot_usdt', 'neo_usdt', 'gnx_usdt', 'dgb_usdt', 'evx_usdt', 'ltc_usdt', 'mda_usdt', 'etc_usdt', 'dpy_usdt', 'tnb_usdt', 'nas_usdt', 'btc_usdt', 'smt_usdt', 'ssc_usdt', 'oax_usdt', 'yoyo_usdt', 'snc_usdt', 'sngls_usdt', 'bch_usdt', 'mana_usdt', 'mof_usdt', 'mco_usdt', 'vib_usdt', 'topc_usdt', 'pra_usdt', 'bnt_usdt', 'xmr_usdt', 'edo_usdt', 'snt_usdt', 'eng_usdt', 'stc_usdt', 'qtum_usdt', 'key_usdt', 'ins_usdt', 'rnt_usdt', 'bcd_usdt', 'amm_usdt', 'lend_usdt', 'btm_usdt', 'elf_usdt', 'xuc_usdt', 'cag_usdt', 'snm_usdt', 'act_usdt', 'dash_usdt', 'zec_usdt', 'storj_usdt', 'pay_usdt', 'vee_usdt', 'show_usdt', 'trx_usdt', 'atl_usdt', 'ark_usdt', 'ost_usdt', 'gnt_usdt', 'dat_usdt', 'rcn_usdt', 'qun_usdt', 'mth_usdt', 'rct_usdt', 'read_usdt', 'gas_usdt', 'btg_usdt', 'mtl_usdt', 'cmt_usdt', 'xrp_usdt', 'spf_usdt', 'aac_usdt', 'can_usdt', 'omg_usdt', 'hsr_usdt', 'link_usdt', 'dnt_usdt', 'true_usdt', 'ukg_usdt', 'xem_usdt', 'ngc_usdt', 'lev_usdt', 'rdn_usdt', 'ace_usdt', 'ipc_usdt', 'ugc_usdt', 'viu_usdt', 'mag_usdt', 'hot_usdt', 'pst_usdt',
|
||||
'ref_btc', 'soc_btc', 'light_btc', 'avt_btc', 'of_btc', 'brd_btc', 'ast_btc', 'int_btc', 'zrx_btc', 'ctr_btc', 'dgd_btc', 'aidoc_btc', 'wtc_btc', 'swftc_btc', 'wrc_btc', 'sub_btc', 'dna_btc', 'knc_btc', 'kcash_btc', 'mdt_btc', 'theta_btc', 'ppt_btc', 'utk_btc', 'qvt_btc', 'salt_btc', 'la_btc', 'itc_btc', 'fair_btc', 'yee_btc', '1st_btc', 'fun_btc', 'iost_btc', 'mkr_btc', 'tio_btc', 'req_btc', 'ubtc_btc', 'icx_btc', 'tct_btc', 'san_btc', 'lrc_btc', 'icn_btc', 'cvc_btc', 'eth_btc', 'poe_btc', 'xlm_btc', 'iota_btc', 'eos_btc', 'nuls_btc', 'mot_btc', 'neo_btc', 'gnx_btc', 'dgb_btc', 'evx_btc', 'ltc_btc', 'mda_btc', 'etc_btc', 'dpy_btc', 'tnb_btc', 'nas_btc', 'btc_btc', 'smt_btc', 'ssc_btc', 'oax_btc', 'yoyo_btc', 'snc_btc', 'sngls_btc', 'bch_btc', 'mana_btc', 'mof_btc', 'mco_btc', 'vib_btc', 'topc_btc', 'pra_btc', 'bnt_btc', 'xmr_btc', 'edo_btc', 'snt_btc', 'eng_btc', 'stc_btc', 'qtum_btc', 'key_btc', 'ins_btc', 'rnt_btc', 'bcd_btc', 'amm_btc', 'lend_btc', 'btm_btc', 'elf_btc', 'xuc_btc', 'cag_btc', 'snm_btc', 'act_btc', 'dash_btc', 'zec_btc', 'storj_btc', 'pay_btc', 'vee_btc', 'show_btc', 'trx_btc', 'atl_btc', 'ark_btc', 'ost_btc', 'gnt_btc', 'dat_btc', 'rcn_btc', 'qun_btc', 'mth_btc', 'rct_btc', 'read_btc', 'gas_btc', 'btg_btc', 'mtl_btc', 'cmt_btc', 'xrp_btc', 'spf_btc', 'aac_btc', 'can_btc', 'omg_btc', 'hsr_btc', 'link_btc', 'dnt_btc', 'true_btc', 'ukg_btc', 'xem_btc', 'ngc_btc', 'lev_btc', 'rdn_btc', 'ace_btc', 'ipc_btc', 'ugc_btc', 'viu_btc', 'mag_btc', 'hot_btc', 'pst_btc']
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexGateway(VtGateway):
|
||||
"""OKEX交易接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, gatewayName='OKEX'):
|
||||
"""Constructor"""
|
||||
super(OkexGateway, self).__init__(eventEngine, gatewayName)
|
||||
|
||||
self.api_spot = SpotApi(self)
|
||||
# self.api_contract = Api_contract(self)
|
||||
|
||||
self.leverage = 0
|
||||
self.connected = False
|
||||
|
||||
self.fileName = self.gatewayName + '_connect.json'
|
||||
self.filePath = getJsonPath(self.fileName, __file__)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
# 载入json文件
|
||||
try:
|
||||
f = file(self.filePath)
|
||||
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:
|
||||
apiKey = str(setting['apiKey'])
|
||||
secretKey = str(setting['secretKey'])
|
||||
trace = setting['trace']
|
||||
leverage = setting['leverage']
|
||||
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.leverage = leverage
|
||||
|
||||
self.api_spot.active = True
|
||||
self.api_spot.connect(apiKey, secretKey, trace)
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'接口初始化成功'
|
||||
self.onLog(log)
|
||||
|
||||
# 启动查询
|
||||
# self.initQuery()
|
||||
# self.startQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
self.api_spot.subscribe(subscribeReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
return self.api_spot.spotSendOrder(orderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
self.api_spot.spotCancel(cancelOrderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryAccount(self):
|
||||
"""查询账户资金"""
|
||||
self.api_spot.spotUserInfo()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryOrderInfo(self):
|
||||
self.api_spot.spotAllOrders()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryPosition(self):
|
||||
"""查询持仓"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.api_spot.active = False
|
||||
self.api_spot.close()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
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.qryOrderInfo]
|
||||
self.qryFunctionList = [ self.qryOrderInfo]
|
||||
#self.qryFunctionList = []
|
||||
|
||||
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 SpotApi(OkexSpotApi):
|
||||
"""okex的API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(SpotApi, self).__init__()
|
||||
|
||||
self.gateway = gateway # gateway对象
|
||||
self.gatewayName = gateway.gatewayName # gateway对象名称
|
||||
self.active = False # 若为True则会在断线后自动重连
|
||||
|
||||
self.cbDict = {}
|
||||
self.tickDict = {}
|
||||
self.orderDict = {}
|
||||
|
||||
self.channelSymbolMap = {}
|
||||
|
||||
self.localNo = 0 # 本地委托号
|
||||
self.localNoQueue = Queue() # 未收到系统委托号的本地委托号队列
|
||||
self.localNoDict = {} # key为本地委托号，value为系统委托号
|
||||
self.orderIdDict = {} # key为系统委托号，value为本地委托号
|
||||
self.cancelDict = {} # key为本地委托号，value为撤单请求
|
||||
|
||||
self.recordOrderId_BefVolume = {} # 记录的之前处理的量
|
||||
|
||||
self.cache_some_order = {}
|
||||
self.tradeID = 0
|
||||
|
||||
self.registerSymbolPairArray = set([])
|
||||
|
||||
self.initCallback()
|
||||
|
||||
'''
|
||||
登录后，每次订单执行撤销后又这样的 推送。。不知道干啥的。先过滤掉了
|
||||
{u'binary': 1, u'product': u'spot', u'type': u'order', u'base': u'etc'
|
||||
, u'quote': u'usdt', u'data': {u'status': -1, u'orderType': 0, u'price': u'25.4050', u'modifyTime':
|
||||
1512288275000L, u'userId': 6548935, u'createTime': 1512288275000L, u'source': 0, u'quoteSize': u'0.0
|
||||
0000000', u'executedValue': u'0.00000000', u'id': 62877909, u'filledSize': u'0.00000000', u'side': 1
|
||||
, u'size': u'0.01000000'}}
|
||||
'''
|
||||
#----------------------------------------------------------------------
|
||||
def onMessage(self, ws, evt):
|
||||
"""信息推送"""
|
||||
# print evt
|
||||
|
||||
data = self.readData(evt)[0]
|
||||
try:
|
||||
channel = data['channel']
|
||||
except Exception as ex:
|
||||
channel = None
|
||||
if channel == None:
|
||||
return
|
||||
# try:
|
||||
if channel == "addChannel" and 'data' in data:
|
||||
channel = data['data']["channel"]
|
||||
if channel != "addChannel" and 'future' not in channel and channel != 'login':
|
||||
|
||||
# print channel
|
||||
callback = self.cbDict[channel]
|
||||
callback(data)
|
||||
|
||||
# if 'depth' not in channel and 'ticker' not in channel and 'deals' not in channel and 'userinfo' not in channel and 'future' not in channel:
|
||||
# print data
|
||||
|
||||
# except Exception,ex:
|
||||
# print "Error in callback cbDict ", channel
|
||||
|
||||
#print self.cbDict
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, ws, evt):
|
||||
"""错误推送"""
|
||||
error = VtErrorData()
|
||||
error.gatewayName = self.gatewayName
|
||||
error.errorMsg = str(evt)
|
||||
self.gateway.onError(error)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, data):
|
||||
error = VtErrorData()
|
||||
error.gatewayName = self.gatewayName
|
||||
error.errorMsg = str(data["data"]["error_code"])
|
||||
self.gateway.onError(error)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onClose(self, ws):
|
||||
"""接口断开"""
|
||||
# 如果尚未连上，则忽略该次断开提示
|
||||
if not self.gateway.connected:
|
||||
return
|
||||
|
||||
self.gateway.connected = False
|
||||
self.writeLog(u'服务器连接断开')
|
||||
|
||||
# 重新连接
|
||||
if self.active:
|
||||
def reconnect():
|
||||
while not self.gateway.connected:
|
||||
self.writeLog(u'等待10秒后重新连接')
|
||||
sleep(10)
|
||||
if not self.gateway.connected:
|
||||
self.reconnect()
|
||||
|
||||
t = Thread(target=reconnect)
|
||||
t.start()
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
symbol_pair_gateway = subscribeReq.symbol
|
||||
arr = symbol_pair_gateway.split('.')
|
||||
symbol_pair = arr[0]
|
||||
|
||||
if symbol_pair not in self.registerSymbolPairArray:
|
||||
self.registerSymbolPairArray.add(symbol_pair)
|
||||
self.subscribeSingleSymbol(symbol_pair)
|
||||
|
||||
self.spotOrderInfo(symbol_pair, '-1')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribeSingleSymbol(self, symbol):
|
||||
if symbol in okex_all_symbol_pairs:
|
||||
self.subscribeSpotTicker(symbol)
|
||||
self.subscribeSpotDepth5(symbol)
|
||||
#self.subscribeSpotDeals(symbol)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def spotAllOrders(self):
|
||||
print(spotAllOrders)
|
||||
for symbol in registerSymbolPairArray:
|
||||
if symbol in okex_all_symbol_pairs:
|
||||
self.spotOrderInfo(symbol, '-1')
|
||||
|
||||
for orderId in self.orderIdDict.keys():
|
||||
order = self.orderDict.get(orderId, None)
|
||||
if order != None:
|
||||
symbol_pair = (order.symbol.split('.'))[0]
|
||||
self.spotOrderInfo(symbol_pair, orderId)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOpen(self, ws):
|
||||
"""连接成功"""
|
||||
self.gateway.connected = True
|
||||
self.writeLog(u'服务器连接成功')
|
||||
|
||||
self.login()
|
||||
# 连接后查询账户和委托数据
|
||||
self.spotUserInfo()
|
||||
|
||||
self.subscribeSingleSymbol("etc_usdt")
|
||||
for symbol in okex_all_symbol_pairs:
|
||||
# self.subscribeSpotTicker(symbol)
|
||||
# self.subscribeSpotDepth5(symbol)
|
||||
# self.subscribeSpotDeals(symbol)
|
||||
|
||||
#Ticker数据
|
||||
self.channelSymbolMap["ok_sub_spot_%s_ticker" % symbol] = symbol
|
||||
#盘口的深度
|
||||
self.channelSymbolMap["ok_sub_spot_%s_depth_5" % symbol] = symbol
|
||||
#所有人的交易数据
|
||||
self.channelSymbolMap["ok_sub_spot_%s_deals" % symbol] = symbol
|
||||
|
||||
contract = VtContractData()
|
||||
contract.gatewayName = self.gatewayName
|
||||
contract.symbol = symbol
|
||||
contract.exchange = EXCHANGE_OKEX
|
||||
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||||
contract.name = u'OKEX现货%s' % symbol
|
||||
contract.size = 0.00001
|
||||
contract.priceTick = 0.00001
|
||||
contract.productClass = PRODUCT_SPOT
|
||||
self.gateway.onContract(contract)
|
||||
|
||||
'''
|
||||
[{
|
||||
"channel":"ok_sub_spot_bch_btc_deals",
|
||||
"data":[["1001","2463.86","0.052","16:34:07","ask"]]
|
||||
}]
|
||||
'''
|
||||
#----------------------------------------------------------------------
|
||||
def onSpotSubDeals(self, data):
|
||||
if 'data' not in data:
|
||||
return
|
||||
rawData = data["data"]
|
||||
|
||||
# print rawData
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def writeLog(self, content):
|
||||
"""快速记录日志"""
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = content
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initCallback(self):
|
||||
"""初始化回调函数"""
|
||||
# USD_SPOT
|
||||
for symbol_pair in okex_all_symbol_pairs:
|
||||
self.cbDict["ok_sub_spot_%s_ticker" % symbol_pair] = self.onTicker
|
||||
self.cbDict["ok_sub_spot_%s_depth_5" % symbol_pair] = self.onDepth
|
||||
self.cbDict["ok_sub_spot_%s_deals" % symbol_pair] = self.onSpotSubDeals
|
||||
|
||||
self.cbDict["ok_sub_spot_%s_order" % symbol_pair] = self.onSpotSubOrder
|
||||
self.cbDict["ok_sub_spot_%s_balance" % symbol_pair] = self.onSpotBalance
|
||||
|
||||
self.cbDict['ok_spot_userinfo'] = self.onSpotUserInfo
|
||||
self.cbDict['ok_spot_orderinfo'] = self.onSpotOrderInfo
|
||||
|
||||
# 下面这两个好像废弃了
|
||||
#self.cbDict['ok_sub_spot_userinfo'] = self.onSpotSubUserInfo
|
||||
#self.cbDict['ok_sub_spot_trades'] = self.onSpotSubTrades
|
||||
|
||||
self.cbDict['ok_spot_order'] = self.onSpotOrder
|
||||
self.cbDict['ok_spot_cancel_order'] = self.onSpotCancelOrder
|
||||
|
||||
'''
|
||||
[
|
||||
{
|
||||
"binary": 0,
|
||||
"channel": "ok_sub_spot_bch_btc_ticker",
|
||||
"data": {
|
||||
"high": "10000",
|
||||
"vol": "185.03743858",
|
||||
"last": "111",
|
||||
"low": "0.00000001",
|
||||
"buy": "115",
|
||||
"change": "101",
|
||||
"sell": "115",
|
||||
"dayLow": "0.00000001",
|
||||
"dayHigh": "10000",
|
||||
"timestamp": 1500444626000
|
||||
}
|
||||
}
|
||||
]
|
||||
'''
|
||||
#----------------------------------------------------------------------
|
||||
def onTicker(self, data):
|
||||
""""""
|
||||
if 'data' not in data:
|
||||
return
|
||||
|
||||
channel = data['channel']
|
||||
if channel == 'addChannel':
|
||||
return
|
||||
try:
|
||||
symbol = self.channelSymbolMap[channel]
|
||||
|
||||
if symbol not in self.tickDict:
|
||||
tick = VtTickData()
|
||||
tick.exchange = EXCHANGE_OKEX
|
||||
tick.symbol = '.'.join([symbol, tick.exchange])
|
||||
tick.vtSymbol = '.'.join([symbol, tick.exchange])
|
||||
|
||||
tick.gatewayName = self.gatewayName
|
||||
self.tickDict[symbol] = tick
|
||||
else:
|
||||
tick = self.tickDict[symbol]
|
||||
|
||||
rawData = data['data']
|
||||
tick.highPrice = float(rawData['high'])
|
||||
tick.lowPrice = float(rawData['low'])
|
||||
tick.lastPrice = float(rawData['last'])
|
||||
tick.volume = float(rawData['vol'].replace(',', ''))
|
||||
# tick.date, tick.time = self.generateDateTime(rawData['timestamp'])
|
||||
|
||||
# print "ticker", tick.date, tick.time
|
||||
# newtick = copy(tick)
|
||||
# self.gateway.onTick(newtick)
|
||||
except Exception as ex:
|
||||
print("Error in onTicker ", channel)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onDepth(self, data):
|
||||
""""""
|
||||
if 'data' not in data:
|
||||
return
|
||||
try:
|
||||
channel = data['channel']
|
||||
symbol = self.channelSymbolMap[channel]
|
||||
except Exception as ex:
|
||||
symbol = None
|
||||
|
||||
if symbol == None:
|
||||
return
|
||||
|
||||
if symbol not in self.tickDict:
|
||||
tick = VtTickData()
|
||||
tick.symbol = symbol
|
||||
tick.vtSymbol = symbol
|
||||
tick.gatewayName = self.gatewayName
|
||||
self.tickDict[symbol] = tick
|
||||
else:
|
||||
tick = self.tickDict[symbol]
|
||||
|
||||
if 'data' not in data:
|
||||
return
|
||||
rawData = data['data']
|
||||
|
||||
|
||||
tick.bidPrice1, tick.bidVolume1 = rawData['bids'][0]
|
||||
tick.bidPrice2, tick.bidVolume2 = rawData['bids'][1]
|
||||
tick.bidPrice3, tick.bidVolume3 = rawData['bids'][2]
|
||||
tick.bidPrice4, tick.bidVolume4 = rawData['bids'][3]
|
||||
tick.bidPrice5, tick.bidVolume5 = rawData['bids'][4]
|
||||
|
||||
tick.askPrice1, tick.askVolume1 = rawData['asks'][-1]
|
||||
tick.askPrice2, tick.askVolume2 = rawData['asks'][-2]
|
||||
tick.askPrice3, tick.askVolume3 = rawData['asks'][-3]
|
||||
tick.askPrice4, tick.askVolume4 = rawData['asks'][-4]
|
||||
tick.askPrice5, tick.askVolume5 = rawData['asks'][-5]
|
||||
|
||||
tick.date, tick.time = self.generateDateTime(rawData['timestamp'])
|
||||
# print "Depth", tick.date, tick.time
|
||||
|
||||
newtick = copy(tick)
|
||||
self.gateway.onTick(newtick)
|
||||
|
||||
'''
|
||||
[
|
||||
{
|
||||
"base": "bch",
|
||||
"binary": 0,
|
||||
"channel": "ok_sub_spot_bch_btc_balance",
|
||||
"data": {
|
||||
"info": {
|
||||
"free": {
|
||||
"btc": 5814.850605790395
|
||||
},
|
||||
"freezed": {
|
||||
"btc": 7341
|
||||
}
|
||||
}
|
||||
},
|
||||
"product": "spot",
|
||||
"quote": "btc",
|
||||
"type": "order"
|
||||
}
|
||||
]
|
||||
'''
|
||||
def onSpotBalance(self, data):
|
||||
"""交易发生金额变动之后会触发这个函数"""
|
||||
# print data
|
||||
|
||||
rawData = data['data']
|
||||
info = rawData['info']
|
||||
|
||||
for symbol in info["freezed"].keys():
|
||||
pos = VtPositionData()
|
||||
pos.gatewayName = self.gatewayName
|
||||
pos.symbol = symbol + "." + EXCHANGE_OKEX
|
||||
pos.vtSymbol = symbol + "." + EXCHANGE_OKEX
|
||||
pos.direction = DIRECTION_NET
|
||||
pos.frozen = float(info['freezed'][symbol])
|
||||
pos.position = pos.frozen + float(info['free'][symbol])
|
||||
|
||||
self.gateway.onPosition(pos)
|
||||
|
||||
'''
|
||||
[{"binary":0,"channel":"ok_spot_userinfo","data":{"result":true,"info":{"funds":{"borrow":{"dgd":"0"
|
||||
,"bcd":"0","bcc":"0","bch":"0","hsr":"0","xuc":"0","omg":"0","eos":"0","qtum":"0","btc":"0","act":"0
|
||||
","bcs":"0","btg":"0","etc":"0","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0","ltc":"0","bt1":"
|
||||
0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"},"free":{"dgd":"0","bcd
|
||||
":"0","bcc":"0","bch":"0","hsr":"0","xuc":"3","omg":"0","eos":"0","qtum":"0","btc":"0.00266884258369
|
||||
","act":"0","bcs":"0","btg":"0","etc":"7.9909635","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0"
|
||||
,"ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"},"fre
|
||||
ezed":{"dgd":"0","bcd":"0","bcc":"0","bch":"0","hsr":"0","xuc":"0","omg":"0","eos":"0","qtum":"0","b
|
||||
tc":"0","act":"0","bcs":"0","btg":"0","etc":"0","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0","
|
||||
ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"}}}}}]
|
||||
{u'binary': 0, u'data': {u'info': {u'funds': {u'freezed': {u'zec': u'0', u'usdt': u'0', u'btg': u'0'
|
||||
, u'btc': u'0', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj': u'0', u'iota': u'0', u'omg': u'0
|
||||
', u'dgd': u'0', u'bt2': u'0', u'xuc': u'0', u'gas': u'0', u'hsr': u'0', u'snt': u'0', u'dash': u'0'
|
||||
, u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc': u'0', u'eos': u'0', u'etc': u'0',
|
||||
u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, u'borrow': {u'zec': u'0', u'usdt': u'0', u
|
||||
'btg': u'0', u'btc': u'0', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj': u'0', u'iota': u'0',
|
||||
u'omg': u'0', u'dgd': u'0', u'bt2': u'0', u'xuc': u'0', u'gas': u'0', u'hsr': u'0', u'snt': u'0', u'
|
||||
dash': u'0', u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc': u'0', u'eos': u'0', u'
|
||||
etc': u'0', u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, u'free': {u'zec': u'0', u'usdt'
|
||||
: u'0', u'btg': u'0', u'btc': u'0.00266884258369', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj
|
||||
': u'0', u'iota': u'0', u'omg': u'0', u'dgd': u'0', u'bt2': u'0', u'xuc': u'3', u'gas': u'0', u'hsr'
|
||||
: u'0', u'snt': u'0', u'dash': u'0', u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc'
|
||||
: u'0', u'eos': u'0', u'etc': u'7.9909635', u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}}
|
||||
}, u'result': True}, u'channel': u'ok_spot_userinfo'}
|
||||
'''
|
||||
#----------------------------------------------------------------------
|
||||
def onSpotUserInfo(self, data):
|
||||
"""现货账户资金推送"""
|
||||
rawData = data['data']
|
||||
info = rawData['info']
|
||||
funds = rawData['info']['funds']
|
||||
|
||||
# 持仓信息
|
||||
for symbol in ['btc', 'ltc','eth', self.currency]:
|
||||
#for symbol in :
|
||||
if symbol in funds['free']:
|
||||
pos = VtPositionData()
|
||||
pos.gatewayName = self.gatewayName
|
||||
|
||||
pos.symbol = symbol + "." + EXCHANGE_OKEX
|
||||
pos.vtSymbol = symbol + "." + EXCHANGE_OKEX
|
||||
pos.vtPositionName = symbol
|
||||
pos.direction = DIRECTION_NET
|
||||
|
||||
pos.frozen = float(funds['freezed'][symbol])
|
||||
pos.position = pos.frozen + float(funds['free'][symbol])
|
||||
|
||||
self.gateway.onPosition(pos)
|
||||
|
||||
# 账户资金
|
||||
account = VtAccountData()
|
||||
account.gatewayName = self.gatewayName
|
||||
account.accountID = self.gatewayName
|
||||
account.vtAccountID = account.accountID
|
||||
account.balance = 0.0
|
||||
#account.balance = float(funds['asset']['net'])
|
||||
self.gateway.onAccount(account)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# 这个 API 现在文档没找到。。 好像废弃了
|
||||
def onSpotSubUserInfo(self, data):
|
||||
"""现货账户资金推送"""
|
||||
if 'data' not in data:
|
||||
return
|
||||
|
||||
rawData = data['data']
|
||||
info = rawData['info']
|
||||
|
||||
# 持仓信息
|
||||
#for symbol in ['btc', 'ltc','eth', self.currency]:
|
||||
for symbol in SPOT_CURRENCY:
|
||||
if symbol in info['free']:
|
||||
pos = VtPositionData()
|
||||
pos.gatewayName = self.gatewayName
|
||||
|
||||
pos.symbol = symbol + "." + EXCHANGE_OKEX
|
||||
pos.vtSymbol = symbol + "." + EXCHANGE_OKEX
|
||||
pos.vtPositionName = symbol
|
||||
pos.direction = DIRECTION_NET
|
||||
|
||||
pos.frozen = float(info['freezed'][symbol])
|
||||
pos.position = pos.frozen + float(info['free'][symbol])
|
||||
|
||||
self.gateway.onPosition(pos)
|
||||
|
||||
'''
|
||||
交易数据
|
||||
[
|
||||
{
|
||||
"base": "bch",
|
||||
"binary": 0,
|
||||
"channel": "ok_sub_spot_bch_btc_order",
|
||||
"data": {
|
||||
"symbol": "bch_btc",
|
||||
"tradeAmount": "1.00000000",
|
||||
"createdDate": "1504530228987",
|
||||
"orderId": 6191,
|
||||
"completedTradeAmount": "0.00000000",
|
||||
"averagePrice": "0",
|
||||
"tradePrice": "0.00000000",
|
||||
"tradeType": "buy",
|
||||
"status": 0,
|
||||
"tradeUnitPrice": "113.00000000"
|
||||
},
|
||||
"product": "spot",
|
||||
"quote": "btc",
|
||||
"type": "balance"
|
||||
}
|
||||
]
|
||||
|
||||
{u'binary': 0, u'data': {u'orderId': 62870564, u'status': 0, u'tradeType': u'sell', u'tradeUnitPrice
|
||||
': u'25.3500', u'symbol': u'etc_usdt', u'tradePrice': u'0.0000', u'createdDate': u'1512287172393', u
|
||||
'averagePrice': u'0', u'tradeAmount': u'0.01000000', u'completedTradeAmount': u'0.00000000'}, u'chan
|
||||
nel': u'ok_sub_spot_etc_usdt_order'}
|
||||
'''
|
||||
#----------------------------------------------------------------------
|
||||
def onSpotSubOrder(self, data):
|
||||
"""交易数据"""
|
||||
if 'data' not in data:
|
||||
return
|
||||
|
||||
rawData = data["data"]
|
||||
|
||||
# 本地和系统委托号
|
||||
orderId = str(rawData['orderId'])
|
||||
|
||||
# 这时候出现None, 情况是 已经发出了单子，但是系统这里还没建立 索引
|
||||
# 先这样返回试一下
|
||||
# 因为 发完单，订单变化是先推送的。。导致不清楚他的localID
|
||||
# 现在的处理方式是， 先缓存这里的信息，等到出现了 localID，再来处理这一段
|
||||
localNo = self.orderIdDict.get(orderId, None)
|
||||
if localNo == None:
|
||||
arr = self.cache_some_order.get(orderId, None)
|
||||
if arr == None:
|
||||
arr = []
|
||||
arr.append(data)
|
||||
self.cache_some_order[orderId] = arr
|
||||
else:
|
||||
arr.append(data)
|
||||
return
|
||||
|
||||
# 委托信息
|
||||
if orderId not in self.orderDict:
|
||||
order = VtOrderData()
|
||||
order.gatewayName = self.gatewayName
|
||||
|
||||
order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX])
|
||||
#order.symbol = spotSymbolMap[rawData['symbol']]
|
||||
order.vtSymbol = order.symbol
|
||||
|
||||
order.orderID = localNo
|
||||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||||
|
||||
order.price = float(rawData['tradeUnitPrice'])
|
||||
order.totalVolume = float(rawData['tradeAmount'])
|
||||
order.direction, priceType = priceTypeMap[rawData['tradeType']]
|
||||
|
||||
self.orderDict[orderId] = order
|
||||
else:
|
||||
order = self.orderDict[orderId]
|
||||
|
||||
order.tradedVolume = float(rawData['completedTradeAmount'])
|
||||
order.status = statusMap[rawData['status']]
|
||||
|
||||
self.gateway.onOrder(copy(order))
|
||||
|
||||
|
||||
bef_volume = self.recordOrderId_BefVolume.get(orderId, 0.0 )
|
||||
now_volume = float(rawData['completedTradeAmount']) - bef_volume
|
||||
|
||||
if now_volume > 0.000001:
|
||||
trade = VtTradeData()
|
||||
trade.gatewayName = self.gatewayName
|
||||
|
||||
trade.symbol = order.symbol
|
||||
trade.vtSymbol = order.symbol
|
||||
|
||||
self.tradeID += 1
|
||||
trade.tradeID = str(self.tradeID)
|
||||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||||
|
||||
trade.orderID = localNo
|
||||
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
||||
|
||||
trade.price = float(rawData['tradeUnitPrice'])
|
||||
trade.volume = float(now_volume)
|
||||
|
||||
trade.direction, priceType = priceTypeMap[rawData['tradeType']]
|
||||
|
||||
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||||
|
||||
self.gateway.onTrade(trade)
|
||||
|
||||
"""
|
||||
原来的OK coin方式，不过数据一直没有 所以换一种方式
|
||||
# 成交信息
|
||||
if 'sigTradeAmount' in rawData and float(rawData['sigTradeAmount'])>0:
|
||||
trade = VtTradeData()
|
||||
trade.gatewayName = self.gatewayName
|
||||
|
||||
trade.symbol = spotSymbolMap[rawData['symbol']]
|
||||
trade.vtSymbol = order.symbol
|
||||
|
||||
trade.tradeID = str(rawData['id'])
|
||||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||||
|
||||
trade.orderID = localNo
|
||||
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
||||
|
||||
trade.price = float(rawData['sigTradePrice'])
|
||||
trade.volume = float(rawData['sigTradeAmount'])
|
||||
|
||||
trade.direction, priceType = priceTypeMap[rawData['tradeType']]
|
||||
|
||||
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||||
|
||||
self.gateway.onTrade(trade)
|
||||
"""
|
||||
'''
|
||||
[
|
||||
{
|
||||
"binary": 0,
|
||||
"channel": "ok_spot_orderinfo",
|
||||
"data": {
|
||||
"result": true,
|
||||
"orders": [
|
||||
{
|
||||
"symbol": "bch_btc",
|
||||
"amount": "0.10000000",
|
||||
"price": "1.00000000",
|
||||
"avg_price": 0,
|
||||
"create_date": 1504529828000,
|
||||
"type": "buy",
|
||||
"deal_amount": 0,
|
||||
"order_id": 6189,
|
||||
"status": -1
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
]
|
||||
'''
|
||||
#----------------------------------------------------------------------
|
||||
def onSpotOrderInfo(self, data):
|
||||
"""委托信息查询回调"""
|
||||
if "error_code" in data.keys():
|
||||
print(data)
|
||||
return
|
||||
rawData = data['data']
|
||||
for d in rawData['orders']:
|
||||
self.localNo += 1
|
||||
localNo = str(self.localNo)
|
||||
orderId = str(d['order_id'])
|
||||
|
||||
self.localNoDict[localNo] = orderId
|
||||
self.orderIdDict[orderId] = localNo
|
||||
|
||||
if orderId not in self.orderDict:
|
||||
order = VtOrderData()
|
||||
order.gatewayName = self.gatewayName
|
||||
|
||||
#order.symbol = spotSymbolMap[d['symbol']]
|
||||
order.symbol = '.'.join([d["symbol"], EXCHANGE_OKEX])
|
||||
order.vtSymbol = order.symbol
|
||||
|
||||
order.orderID = localNo
|
||||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||||
|
||||
order.price = d['price']
|
||||
order.totalVolume = d['amount']
|
||||
order.direction, priceType = priceTypeMap[d['type']]
|
||||
|
||||
self.orderDict[orderId] = order
|
||||
else:
|
||||
order = self.orderDict[orderId]
|
||||
|
||||
order.tradedVolume = d['deal_amount']
|
||||
order.status = statusMap[d['status']]
|
||||
|
||||
self.gateway.onOrder(copy(order))
|
||||
|
||||
'''
|
||||
[
|
||||
{
|
||||
"binary": 0,
|
||||
"channel": "ok_spot_order",
|
||||
"data": {
|
||||
"result": true,
|
||||
"order_id": 6189
|
||||
}
|
||||
}
|
||||
]
|
||||
'''
|
||||
def onSpotOrder(self, data):
|
||||
rawData = data['data']
|
||||
if 'error_code' in rawData.keys():
|
||||
print(data)
|
||||
return
|
||||
|
||||
orderId = str(rawData['order_id'])
|
||||
|
||||
# 尽管websocket接口的委托号返回是异步的，但经过测试是
|
||||
# 符合先发现回的规律，因此这里通过queue获取之前发送的
|
||||
# 本地委托号，并把它和推送的系统委托号进行映射
|
||||
|
||||
# localNo = self.orderIdDict.get(orderId, None)
|
||||
# if localNo == None:
|
||||
|
||||
localNo = self.localNoQueue.get_nowait()
|
||||
|
||||
self.localNoDict[localNo] = orderId
|
||||
self.orderIdDict[orderId] = localNo
|
||||
|
||||
# print orderId, self.cache_some_order
|
||||
if orderId in self.cache_some_order.keys():
|
||||
arr = self.cache_some_order[orderId]
|
||||
for d in arr:
|
||||
self.onSpotSubOrder(d)
|
||||
|
||||
# 处理完就删除掉这里
|
||||
del self.cache_some_order[orderId]
|
||||
|
||||
# 检查是否有系统委托号返回前就发出的撤单请求，若有则进
|
||||
# 行撤单操作
|
||||
if localNo in self.cancelDict:
|
||||
req = self.cancelDict[localNo]
|
||||
self.spotCancel(req)
|
||||
del self.cancelDict[localNo]
|
||||
|
||||
|
||||
'''
|
||||
[
|
||||
{
|
||||
"binary": 0,
|
||||
"channel": "ok_spot_cancel_order",
|
||||
"data": {
|
||||
"result": true,
|
||||
"order_id": "125433027"
|
||||
}
|
||||
}
|
||||
]
|
||||
'''
|
||||
#----------------------------------------------------------------------
|
||||
def onSpotCancelOrder(self, data):
|
||||
"""撤单回报"""
|
||||
if 'data' not in data:
|
||||
return
|
||||
|
||||
if 'error' in data["data"].keys():
|
||||
self.onError(data)
|
||||
return
|
||||
|
||||
rawData = data['data']
|
||||
orderId = str(rawData['order_id'])
|
||||
|
||||
localNo = self.orderIdDict[orderId]
|
||||
|
||||
if orderId not in self.orderDict:
|
||||
order = VtOrderData()
|
||||
order.gatewayName = self.gatewayName
|
||||
|
||||
order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX])
|
||||
order.vtSymbol = order.symbol
|
||||
|
||||
order.orderID = localNo
|
||||
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
||||
|
||||
self.orderDict[orderId] = order
|
||||
else:
|
||||
order = self.orderDict[orderId]
|
||||
|
||||
order.status = STATUS_CANCELLED
|
||||
self.gateway.onOrder(order)
|
||||
|
||||
del self.orderDict[orderId]
|
||||
del self.orderIdDict[orderId]
|
||||
del self.localNoDict[localNo]
|
||||
|
||||
|
||||
if orderId in self.cache_some_order.keys():
|
||||
del self.cache_some_order[orderId]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def spotSendOrder(self, req):
|
||||
"""发单"""
|
||||
#symbol = spotSymbolMapReverse[req.symbol][:4]
|
||||
symbol = (req.symbol.split('.'))[0]
|
||||
type_ = priceTypeMapReverse[(req.direction, req.priceType)]
|
||||
|
||||
self.spotTrade(symbol, type_, str(req.price), str(req.volume))
|
||||
|
||||
# 本地委托号加1，并将对应字符串保存到队列中，返回基于本地委托号的vtOrderID
|
||||
self.localNo += 1
|
||||
self.localNoQueue.put(str(self.localNo))
|
||||
vtOrderID = '.'.join([self.gatewayName, str(self.localNo)])
|
||||
return vtOrderID
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def spotCancel(self, req):
|
||||
"""撤单"""
|
||||
#symbol = spotSymbolMapReverse[req.symbol][:4]
|
||||
symbol = (req.symbol.split('.'))[0]
|
||||
localNo = req.orderID
|
||||
|
||||
if localNo in self.localNoDict:
|
||||
orderID = self.localNoDict[localNo]
|
||||
self.spotCancelOrder(symbol, orderID)
|
||||
else:
|
||||
# 如果在系统委托号返回前客户就发送了撤单请求，则保存
|
||||
# 在cancelDict字典中，等待返回后执行撤单任务
|
||||
self.cancelDict[localNo] = req
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def generateDateTime(self, s):
|
||||
"""生成时间"""
|
||||
dt = datetime.fromtimestamp(float(s)/1e3)
|
||||
time = dt.strftime("%H:%M:%S.%f")
|
||||
date = dt.strftime("%Y%m%d")
|
||||
return date, time
|
||||
@ -322,7 +322,6 @@ class HuobiDataApi(DataApi):
|
||||
self.gateway.onTick(tick)
|
||||
|
||||
|
||||
|
||||
########################################################################
|
||||
class HuobiTradeApi(TradeApi):
|
||||
"""交易API实现"""
|
||||
|
||||
Loading…
Reference in New Issue
Block a user