vn.py
GitHub
commit
24ec262bef
@ -3,29 +3,29 @@ from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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from vnpy.trader.ui import MainWindow, create_qapp
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# from vnpy.gateway.bitmex import BitmexGateway
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# from vnpy.gateway.futu import FutuGateway
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# from vnpy.gateway.ib import IbGateway
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# from vnpy.gateway.ctp import CtpGateway
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# # from vnpy.gateway.ctptest import CtptestGateway
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# from vnpy.gateway.femas import FemasGateway
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# from vnpy.gateway.tiger import TigerGateway
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# from vnpy.gateway.oes import OesGateway
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# from vnpy.gateway.okex import OkexGateway
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# from vnpy.gateway.huobi import HuobiGateway
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# from vnpy.gateway.bitfinex import BitfinexGateway
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# from vnpy.gateway.onetoken import OnetokenGateway
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# from vnpy.gateway.okexf import OkexfGateway
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# from vnpy.gateway.xtp import XtpGateway
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from vnpy.gateway.hbdm import HbdmGateway
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# from vnpy.gateway.tap import TapGateway
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from vnpy.gateway.binance import BinanceGateway
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#from vnpy.gateway.bitmex import BitmexGateway
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#from vnpy.gateway.futu import FutuGateway
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#from vnpy.gateway.ib import IbGateway
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#from vnpy.gateway.ctp import CtpGateway
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# from vnpy.gateway.ctptest import CtptestGateway
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#from vnpy.gateway.femas import FemasGateway
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#from vnpy.gateway.tiger import TigerGateway
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#from vnpy.gateway.oes import OesGateway
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#from vnpy.gateway.okex import OkexGateway
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#from vnpy.gateway.huobi import HuobiGateway
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#from vnpy.gateway.bitfinex import BitfinexGateway
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#from vnpy.gateway.onetoken import OnetokenGateway
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#from vnpy.gateway.okexf import OkexfGateway
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#from vnpy.gateway.xtp import XtpGateway
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#from vnpy.gateway.hbdm import HbdmGateway
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# from vnpy.app.cta_strategy import CtaStrategyApp
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# from vnpy.app.csv_loader import CsvLoaderApp
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# from vnpy.app.algo_trading import AlgoTradingApp
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# from vnpy.app.cta_backtester import CtaBacktesterApp
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# from vnpy.app.data_recorder import DataRecorderApp
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# from vnpy.app.risk_manager import RiskManagerApp
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#from vnpy.app.cta_strategy import CtaStrategyApp
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#from vnpy.app.csv_loader import CsvLoaderApp
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#from vnpy.app.algo_trading import AlgoTradingApp
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#from vnpy.app.cta_backtester import CtaBacktesterApp
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#from vnpy.app.data_recorder import DataRecorderApp
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#from vnpy.app.risk_manager import RiskManagerApp
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def main():
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@ -35,29 +35,30 @@ def main():
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event_engine = EventEngine()
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main_engine = MainEngine(event_engine)
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# main_engine.add_gateway(XtpGateway)
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# main_engine.add_gateway(CtpGateway)
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# # main_engine.add_gateway(CtptestGateway)
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# main_engine.add_gateway(FemasGateway)
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# main_engine.add_gateway(IbGateway)
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# main_engine.add_gateway(FutuGateway)
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# main_engine.add_gateway(BitmexGateway)
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# main_engine.add_gateway(TigerGateway)
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# main_engine.add_gateway(OesGateway)
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# main_engine.add_gateway(OkexGateway)
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# main_engine.add_gateway(HuobiGateway)
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# main_engine.add_gateway(BitfinexGateway)
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# main_engine.add_gateway(OnetokenGateway)
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# main_engine.add_gateway(OkexfGateway)
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main_engine.add_gateway(HbdmGateway)
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# main_engine.add_gateway(TapGateway)
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# main_engine.add_app(CtaStrategyApp)
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# main_engine.add_app(CtaBacktesterApp)
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# main_engine.add_app(CsvLoaderApp)
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# main_engine.add_app(AlgoTradingApp)
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# main_engine.add_app(DataRecorderApp)
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# main_engine.add_app(RiskManagerApp)
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main_engine.add_gateway(BinanceGateway)
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#main_engine.add_gateway(XtpGateway)
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#main_engine.add_gateway(CtpGateway)
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# main_engine.add_gateway(CtptestGateway)
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#main_engine.add_gateway(FemasGateway)
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#main_engine.add_gateway(IbGateway)
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#main_engine.add_gateway(FutuGateway)
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#main_engine.add_gateway(BitmexGateway)
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#main_engine.add_gateway(TigerGateway)
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#main_engine.add_gateway(OesGateway)
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#main_engine.add_gateway(OkexGateway)
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#main_engine.add_gateway(HuobiGateway)
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#main_engine.add_gateway(BitfinexGateway)
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#main_engine.add_gateway(OnetokenGateway)
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#main_engine.add_gateway(OkexfGateway)
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#main_engine.add_gateway(HbdmGateway)
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#main_engine.add_app(CtaStrategyApp)
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#main_engine.add_app(CtaBacktesterApp)
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#main_engine.add_app(CsvLoaderApp)
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#main_engine.add_app(AlgoTradingApp)
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#main_engine.add_app(DataRecorderApp)
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#main_engine.add_app(RiskManagerApp)
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main_window = MainWindow(main_engine, event_engine)
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main_window.showMaximized()
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1
vnpy/gateway/binance/__init__.py
Normal file
1
vnpy/gateway/binance/__init__.py
Normal file
@ -0,0 +1 @@
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from .binance_gateway import BinanceGateway
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861
vnpy/gateway/binance/binance_gateway.py
Normal file
861
vnpy/gateway/binance/binance_gateway.py
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@ -0,0 +1,861 @@
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# encoding: UTF-8
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"""
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币安交易接口
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"""
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import re
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import urllib
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import base64
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import json
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import zlib
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import hashlib
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import hmac
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import time
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from copy import copy
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from datetime import datetime
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from threading import Thread
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from vnpy.event import Event
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from vnpy.api.rest import RestClient, Request
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from vnpy.api.websocket import WebsocketClient
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from vnpy.trader.constant import (
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Direction,
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Exchange,
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Product,
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Status,
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OrderType
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)
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from vnpy.trader.gateway import BaseGateway, LocalOrderManager
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from vnpy.trader.object import (
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TickData,
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OrderData,
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TradeData,
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AccountData,
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ContractData,
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OrderRequest,
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CancelRequest,
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SubscribeRequest
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)
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from vnpy.trader.event import EVENT_TIMER
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REST_HOST = "https://www.binance.com"
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WEBSOCKET_TRADE_HOST = "wss://stream.binance.com:9443/ws/" # Account and Order
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WEBSOCKET_DATA_HOST = "wss://stream.binance.com:9443/stream?streams=" # Market Data
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STATUS_BINANCE2VT = {
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"NEW": Status.NOTTRADED,
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"PARTIALLY_FILLED": Status.PARTTRADED,
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"FILLED": Status.ALLTRADED,
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"CANCELED": Status.CANCELLED,
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"REJECTED": Status.REJECTED
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}
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ORDERTYPE_VT2BINANCE = {
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OrderType.LIMIT: "LIMIT",
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OrderType.MARKET: "MARKET",
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OrderType.STOP: "STOP_LOSS",
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}
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ORDERTYPE_BINANCE2VT = {v: k for k, v in ORDERTYPE_VT2BINANCE.items()}
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DIRECTION_VT2BINANCE = {
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Direction.LONG: "BUY",
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Direction.SHORT: "SELL"
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}
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DIRECTION_BINANCE2VT = {v: k for k, v in DIRECTION_VT2BINANCE.items()}
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binance_symbols = set()
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symbol_name_map = {}
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class BinanceGateway(BaseGateway):
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"""
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VN Trader Gateway for Binance connection.
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"""
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default_setting = {
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"key": "",
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"secret": "",
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"session_number": 3,
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"proxy_host": "127.0.0.1",
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"proxy_port": 1080,
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}
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exchanges = [Exchange.BINANCE]
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def __init__(self, event_engine):
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"""Constructor"""
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super(BinanceGateway, self).__init__(event_engine, "BINANCE")
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self.order_manager = LocalOrderManager(self)
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self.rest_api = BinanceRestApi(self)
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self.trade_ws_api = BinanceTradeWebsocketApi(self)
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self.market_ws_api = BinanceDataWebsocketApi(self)
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def connect(self, setting: dict):
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""""""
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key = setting["key"]
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secret = setting["secret"]
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session_number = setting["session_number"]
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proxy_host = setting["proxy_host"]
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proxy_port = setting["proxy_port"]
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self.rest_api.connect(key, secret, session_number,
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proxy_host, proxy_port)
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#self.trade_ws_api.connect(key, secret, proxy_host, proxy_port)
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self.market_ws_api.connect(key, secret, proxy_host, proxy_port)
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#self.init_query()
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def subscribe(self, req: SubscribeRequest):
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""""""
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self.market_ws_api.subscribe(req)
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self.trade_ws_api.subscribe(req)
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def send_order(self, req: OrderRequest):
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""""""
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return self.rest_api.send_order(req)
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def cancel_order(self, req: CancelRequest):
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""""""
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self.rest_api.cancel_order(req)
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def query_account(self):
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""""""
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self.rest_api.query_account()
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def query_position(self):
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""""""
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pass
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def close(self):
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""""""
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self.rest_api.stop()
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self.trade_ws_api.stop()
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self.market_ws_api.stop()
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def process_timer_event(self, event: Event):
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""""""
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self.count += 1
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if self.count < 3:
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return
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self.query_account()
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def init_query(self):
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""""""
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self.count = 0
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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class BinanceRestApi(RestClient):
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"""
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BINANCE REST API
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"""
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def __init__(self, gateway: BaseGateway):
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""""""
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super(BinanceRestApi, self).__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.order_manager = gateway.order_manager
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self.trade_ws_api = BinanceTradeWebsocketApi(self.gateway)
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self.host = ""
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self.key = ""
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self.secret = ""
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self.userStreamKey = ""
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self.keepaliveCount = 0
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self.recvWindow = 5000
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self.time_offset = 0
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self.cancel_requests = {}
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self.orders = {}
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def sign(self, request):
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"""
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Generate BINANCE signature.
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"""
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if request.params:
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path = request.path + "?" + urllib.parse.urlencode(request.params)
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else:
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request.params = dict()
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path = request.path
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security = "NONE"
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if request.data:
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security = request.data['security']
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if security == "SIGNED":
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timestamp = int(time.time() * 1000)
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if self.time_offset > 0:
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timestamp -= abs(self.time_offset)
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elif self.time_offset < 0:
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timestamp += abs(self.time_offset)
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request.params['timestamp'] = timestamp
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request.params['recvWindow'] = self.recvWindow
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query = urllib.parse.urlencode(sorted(request.params.items()))
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signature = hmac.new(self.secret, query.encode('utf-8'), hashlib.sha256).hexdigest()
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query += "&signature={}".format(signature)
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path = request.path + "?" + query
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request.path = path
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request.params = {}
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request.data = {}
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# Add headers
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headers = {
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"Content-Type": "application/x-www-form-urlencoded",
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"Accept": "application/json",
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"X-MBX-APIKEY": self.key
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}
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if security == "SIGNED" or security == "API-KEY":
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request.headers = headers
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return request
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def connect(
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self,
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key: str,
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secret: str,
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session_number: int,
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proxy_host: str,
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proxy_port: int
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):
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"""
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Initialize connection to REST server.
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"""
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self.key = key
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self.secret = secret.encode()
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self.proxy_port = proxy_port
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self.proxy_host = proxy_host
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self.host, _ = _split_url(REST_HOST)
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self.init(REST_HOST, proxy_host, proxy_port)
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self.start(session_number)
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self.gateway.write_log("REST API启动成功")
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self.query_time()
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self.query_account()
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self.query_order()
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self.query_contract()
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self.start_userStream()
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def query_time(self):
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""""""
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data = {
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"security": "NONE"
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}
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path = '/api/v1/time'
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return self.add_request(
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"GET",
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path,
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callback=self.on_query_time,
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data=data
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)
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def query_account(self):
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""""""
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data = {
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"security": "SIGNED"
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}
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self.add_request(
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method="GET",
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path="/api/v3/account",
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callback=self.on_query_account,
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data=data
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)
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def query_order(self):
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""""""
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data = {
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"security": "SIGNED"
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}
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self.add_request(
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method="GET",
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path="/api/v3/openOrders",
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callback=self.on_query_order,
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data=data
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)
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def query_contract(self):
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""""""
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data = {
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"security": "NONE"
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}
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self.add_request(
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method="GET",
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path="/api/v1/exchangeInfo",
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callback=self.on_query_contract,
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data=data
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)
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def send_order(self, req: OrderRequest):
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""""""
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local_orderid = self.order_manager.new_local_orderid()
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order = req.create_order_data(
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local_orderid,
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self.gateway_name
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)
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order.time = datetime.now().strftime("%H:%M:%S")
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data = {
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"security": "SIGNED"
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}
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params = {
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"symbol": req.symbol,
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"timeInForce": "GTC",
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"side": DIRECTION_VT2BINANCE[req.direction],
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"type": ORDERTYPE_VT2BINANCE[req.type],
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"price": str(req.price),
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"quantity": str(req.volume)
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}
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self.add_request(
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method="POST",
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path="/api/v3/order",
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callback=self.on_send_order,
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data=data,
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params=params,
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extra=order,
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on_error=self.on_send_order_error,
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on_failed=self.on_send_order_failed
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)
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self.order_manager.on_order(order)
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return order.vt_orderid
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def cancel_order(self, req: CancelRequest):
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""""""
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sys_orderid = self.order_manager.get_sys_orderid(req.orderid)
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data = {
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"security": "SIGNED"
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}
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params = {
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"symbol": req.symbol,
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"orderId": req.orderid
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}
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self.add_request(
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method="DELETE",
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path="/api/v3/order",
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callback=self.on_cancel_order,
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params=params,
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data=data,
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extra=req
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)
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def start_userStream(self):
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""""""
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data = {
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"security": "API-KEY"
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}
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self.add_request(
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method="POST",
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path='/api/v1/userDataStream',
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callback=self.on_start_userStream,
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data=data
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)
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def keepalive_userStream(self):
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""""""
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self.keepaliveCount += 1
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if self.keepaliveCount < 1800:
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return
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data = {
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"security": "SIGNED"
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}
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params = {
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'listenKey': self.userStreamKey
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}
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self.add_request(
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method='PUT',
|
||||
path='/api/v1/userDataStream',
|
||||
callback=self.on_keepalive_userStream,
|
||||
params=params,
|
||||
data=data
|
||||
)
|
||||
|
||||
def close_userStream(self, listenKey):
|
||||
""""""
|
||||
data = {
|
||||
"security": "SIGNED"
|
||||
}
|
||||
params = {
|
||||
'listenKey': listenKey
|
||||
}
|
||||
self.add_request(
|
||||
method='DELETE',
|
||||
path='/api/v1/userDataStream',
|
||||
callback=self.on_close_userStream,
|
||||
params=params,
|
||||
data=data
|
||||
)
|
||||
|
||||
def on_query_time(self, data, request):
|
||||
""""""
|
||||
time_now = int(time.time() * 1000)
|
||||
time_server = int(data["serverTime"])
|
||||
server_local_time = time.localtime(float(time_server / 1000))
|
||||
now_local_time = time.localtime(float(time_now / 1000))
|
||||
self.time_offset = time_now - time_server
|
||||
server_time = time.strftime("%Y-%m-%d %H:%M:%S", server_local_time)
|
||||
local_time = time.strftime("%Y-%m-%d %H:%M:%S", now_local_time)
|
||||
msg = f"服务器时间：{server_time}，本机时间：{local_time}"
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
def on_query_account(self, data, request):
|
||||
""""""
|
||||
for account_data in data["balances"]:
|
||||
account = AccountData(
|
||||
accountid=account_data["asset"],
|
||||
balance=float(account_data["free"]),
|
||||
frozen=float(account_data["locked"]),
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_account(account)
|
||||
|
||||
self.gateway.write_log("账户资金查询成功")
|
||||
|
||||
def on_query_order(self, data, request):
|
||||
""""""
|
||||
for d in data:
|
||||
sys_orderid = d["orderId"]
|
||||
local_orderid = self.order_manager.get_local_orderid(sys_orderid)
|
||||
|
||||
direction = DIRECTION_BINANCE2VT[d["side"]]
|
||||
order_type = ORDERTYPE_BINANCE2VT[d["type"]]
|
||||
dt = datetime.fromtimestamp(d["time"] / 1000)
|
||||
time = dt.strftime("%Y-%m-%d %H:%M:%S")
|
||||
|
||||
order = OrderData(
|
||||
orderid=sys_orderid,
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.BINANCE,
|
||||
price=float(d["price"]),
|
||||
volume=float(d["origQty"]),
|
||||
type=order_type,
|
||||
direction=direction,
|
||||
traded=float(d["executedQty"]),
|
||||
status=STATUS_BINANCE2VT.get(d["status"], None),
|
||||
time=time,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
self.gateway.write_log("委托信息查询成功")
|
||||
|
||||
def on_query_contract(self, data, request):
|
||||
""""""
|
||||
for d in data["symbols"]:
|
||||
base_currency = d["baseAsset"]
|
||||
quote_currency = d["quoteAsset"]
|
||||
name = f"{base_currency.upper()}/{quote_currency.upper()}"
|
||||
pricetick = 0
|
||||
min_volume = 0
|
||||
for f in d["filters"]:
|
||||
if f["filterType"] == "PRICE_FILTER":
|
||||
pricetick = f["tickSize"]
|
||||
if f["filterType"] == "LOT_SIZE":
|
||||
min_volume = f["stepSize"]
|
||||
contract = ContractData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.BINANCE,
|
||||
name=name,
|
||||
pricetick=pricetick,
|
||||
size=1,
|
||||
min_volume=min_volume,
|
||||
product=Product.SPOT,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
binance_symbols.add(contract.symbol)
|
||||
symbol_name_map[contract.symbol] = contract.name
|
||||
|
||||
self.gateway.write_log("合约信息查询成功")
|
||||
|
||||
def on_send_order(self, data, request):
|
||||
""""""
|
||||
order = request.extra
|
||||
if self.check_error(data, "委托"):
|
||||
order.status = Status.REJECTED
|
||||
self.order_manager.on_order(order)
|
||||
return
|
||||
order.status = STATUS_BINANCE2VT.get(data["status"], None)
|
||||
sys_orderid = data["orderId"]
|
||||
self.order_manager.on_order(order)
|
||||
self.order_manager.update_orderid_map(order.orderid, sys_orderid)
|
||||
|
||||
def on_send_order_failed(self, status_code: str, request: Request):
|
||||
"""
|
||||
Callback when sending order failed on server.
|
||||
"""
|
||||
order = request.extra
|
||||
order.status = Status.REJECTED
|
||||
self.gateway.on_order(order)
|
||||
|
||||
msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}"
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
def on_send_order_error(
|
||||
self, exception_type: type, exception_value: Exception, tb, request: Request
|
||||
):
|
||||
"""
|
||||
Callback when sending order caused exception.
|
||||
"""
|
||||
order = request.extra
|
||||
order.status = Status.REJECTED
|
||||
self.gateway.on_order(order)
|
||||
|
||||
# Record exception if not ConnectionError
|
||||
if not issubclass(exception_type, ConnectionError):
|
||||
self.on_error(exception_type, exception_value, tb, request)
|
||||
|
||||
def on_cancel_order(self, data, request):
|
||||
""""""
|
||||
cancel_request = request.extra
|
||||
local_orderid = cancel_request.orderid
|
||||
order = self.order_manager.get_order_with_local_orderid(local_orderid)
|
||||
|
||||
if self.check_error(data, "撤单"):
|
||||
order.status = Status.REJECTED
|
||||
else:
|
||||
order.status = Status.CANCELLED
|
||||
self.gateway.write_log(f"委托撤单成功：{order.orderid}")
|
||||
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
def on_start_userStream(self, data, request):
|
||||
self.userStreamKey = data['listenKey']
|
||||
self.keepaliveCount = 0
|
||||
url = WEBSOCKET_TRADE_HOST + self.userStreamKey
|
||||
self.trade_ws_api.connect(
|
||||
key=self.key,
|
||||
secret=self.secret,
|
||||
url=url,
|
||||
proxy_host=self.proxy_host,
|
||||
proxy_port=self.proxy_port)
|
||||
|
||||
def on_keepalive_userStream(self, data, request):
|
||||
self.gateway.write_log("交易推送刷新成功")
|
||||
if self.keepaliveCount >= 1800:
|
||||
self.keepaliveCount = 0
|
||||
self.keepalive_userStream(self.userStreamKey)
|
||||
|
||||
def on_close_userStream(self, listenKey):
|
||||
self.gateway.write_log("交易推送关闭")
|
||||
|
||||
def check_error(self, data: dict, func: str = ""):
|
||||
""""""
|
||||
if data["status"] != "error":
|
||||
return False
|
||||
|
||||
error_code = data["err-code"]
|
||||
error_msg = data["err-msg"]
|
||||
|
||||
self.gateway.write_log(f"{func}请求出错，代码：{error_code}，信息：{error_msg}")
|
||||
return True
|
||||
|
||||
|
||||
class BinanceWebsocketApiBase(WebsocketClient):
|
||||
""""""
|
||||
|
||||
def __init__(self, gateway):
|
||||
""""""
|
||||
super(BinanceWebsocketApiBase, self).__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
self.key = ""
|
||||
self.secret = ""
|
||||
#self.sign_host = ""
|
||||
self.path = ""
|
||||
|
||||
def connect(
|
||||
self,
|
||||
key: str,
|
||||
secret: str,
|
||||
url: str,
|
||||
proxy_host: str,
|
||||
proxy_port: int
|
||||
):
|
||||
""""""
|
||||
self.key = key
|
||||
self.secret = secret
|
||||
|
||||
#host, path = _split_url(url)
|
||||
#self.sign_host = host
|
||||
#self.path = path
|
||||
|
||||
self.init(url, proxy_host, proxy_port)
|
||||
self.start()
|
||||
|
||||
def login(self):
|
||||
""""""
|
||||
params = {"op": "auth"}
|
||||
#params.update(create_signature(self.key, "GET", self.sign_host, self.path, self.secret))
|
||||
return self.send_packet(params)
|
||||
|
||||
def on_login(self, packet):
|
||||
""""""
|
||||
pass
|
||||
|
||||
@staticmethod
|
||||
def unpack_data(data):
|
||||
""""""
|
||||
print("==============unpack_data============")
|
||||
print(data)
|
||||
return json.loads(data)
|
||||
#return json.loads(zlib.decompress(data, zlib.Z_BEST_COMPRESSION))
|
||||
|
||||
def on_packet(self, packet):
|
||||
""""""
|
||||
print("=============on_packet=============")
|
||||
print("event type:"+packet["e"])
|
||||
print(packet)
|
||||
#if packet["e"] == "executionReport":
|
||||
if "ping" in packet:
|
||||
req = {"pong": packet["ping"]}
|
||||
self.send_packet(req)
|
||||
elif "op" in packet and packet["op"] == "ping":
|
||||
req = {
|
||||
"op": "pong",
|
||||
"ts": packet["ts"]
|
||||
}
|
||||
self.send_packet(req)
|
||||
elif "err-msg" in packet:
|
||||
return self.on_error_msg(packet)
|
||||
elif "op" in packet and packet["op"] == "auth":
|
||||
return self.on_login()
|
||||
else:
|
||||
self.on_data(packet)
|
||||
|
||||
def on_data(self, packet):
|
||||
""""""
|
||||
print("data : {}".format(packet))
|
||||
|
||||
def on_error_msg(self, packet):
|
||||
""""""
|
||||
msg = packet["err-msg"]
|
||||
if msg == "invalid pong":
|
||||
return
|
||||
|
||||
self.gateway.write_log(packet["err-msg"])
|
||||
|
||||
|
||||
class BinanceTradeWebsocketApi(BinanceWebsocketApiBase):
|
||||
""""""
|
||||
def __init__(self, gateway):
|
||||
""""""
|
||||
super().__init__(gateway)
|
||||
|
||||
self.order_manager = gateway.order_manager
|
||||
self.order_manager.push_data_callback = self.on_data
|
||||
|
||||
self.req_id = 0
|
||||
|
||||
def connect(self, key, secret, url, proxy_host, proxy_port):
|
||||
""""""
|
||||
super().connect(key, secret, url, proxy_host, proxy_port)
|
||||
self.gateway.write_log("交易Websocket API连接成功")
|
||||
self.gateway.rest_api.keepalive_userStream()
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
""""""
|
||||
self.req_id += 1
|
||||
req = {
|
||||
"op": "sub",
|
||||
"cid": str(self.req_id),
|
||||
"topic": f"orders.{req.symbol}"
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
def on_connected(self):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def on_login(self):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def on_data(self, packet): # type: (dict)->None
|
||||
""""""
|
||||
print("==========on_data1=========")
|
||||
# push order data change
|
||||
if packet["e"] == "executionReport":
|
||||
order = OrderData(
|
||||
symbol=packet["s"],
|
||||
exchange=Exchange.BINANCE,
|
||||
orderid=packet["i"],
|
||||
status=STATUS_BINANCE2VT.get(packet["X"], None),
|
||||
traded=float(packet["Z"]),
|
||||
price=float(packet["L"]),
|
||||
time=packet["O"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.on_order(order)
|
||||
# push account data change
|
||||
if packet["e"] == "outboundAccountInfo":
|
||||
for account_data in packet["B"]:
|
||||
account = AccountData(
|
||||
accountid=account_data["a"],
|
||||
balance=float(account_data["f"]),
|
||||
frozen=float(account_data["l"]),
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.on_account(account)
|
||||
|
||||
def on_order(self, data: dict):
|
||||
""""""
|
||||
sys_orderid = data.orderid
|
||||
|
||||
order = self.order_manager.get_order_with_sys_orderid(sys_orderid)
|
||||
if not order:
|
||||
self.order_manager.add_push_data(sys_orderid, data)
|
||||
return
|
||||
|
||||
# Push order event
|
||||
order.traded = data.traded
|
||||
order.status = data.status
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
# Push trade event
|
||||
traded_volume = data.traded
|
||||
if not traded_volume:
|
||||
return
|
||||
|
||||
trade = TradeData(
|
||||
symbol=order.symbol,
|
||||
exchange=Exchange.BINANCE,
|
||||
orderid=order.orderid,
|
||||
direction=order.direction,
|
||||
price=float(order.price),
|
||||
volume=float(order.traded),
|
||||
time=datetime.now().strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def on_account(self, data: dict):
|
||||
""""""
|
||||
self.gateway.on_account(data)
|
||||
|
||||
class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
|
||||
""""""
|
||||
|
||||
def __init__(self, gateway):
|
||||
""""""
|
||||
super().__init__(gateway)
|
||||
|
||||
self.req_id = 0
|
||||
self.ticks = {}
|
||||
|
||||
def connect(self, key: str, secret: str, proxy_host: str, proxy_port: int):
|
||||
""""""
|
||||
super().connect(key, secret, WEBSOCKET_DATA_HOST, proxy_host, proxy_port)
|
||||
self.gateway.write_log("行情Websocket API连接成功")
|
||||
|
||||
def on_connected(self):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
""""""
|
||||
symbol = req.symbol
|
||||
print("============BinanceDataWebsocketApi.subscribe===========")
|
||||
print("symbol"+symbol)
|
||||
# Create tick data buffer
|
||||
tick = TickData(
|
||||
symbol=symbol,
|
||||
name=symbol_name_map.get(symbol, ""),
|
||||
exchange=Exchange.BINANCE,
|
||||
datetime=datetime.now(),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.ticks[symbol] = tick
|
||||
|
||||
# Subscribe to market depth update
|
||||
self.req_id += 1
|
||||
req = {
|
||||
"sub": f"market.{symbol}.depth.step0",
|
||||
"id": str(self.req_id)
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
# Subscribe to market detail update
|
||||
self.req_id += 1
|
||||
req = {
|
||||
"sub": f"market.{symbol}.detail",
|
||||
"id": str(self.req_id)
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
def on_data(self, packet): # type: (dict)->None
|
||||
""""""
|
||||
print("===================on_data=====================")
|
||||
print(packet)
|
||||
|
||||
channel = packet.get("ch", None)
|
||||
if channel:
|
||||
if "depth.step" in channel:
|
||||
self.on_market_depth(packet)
|
||||
elif "detail" in channel:
|
||||
self.on_market_detail(packet)
|
||||
elif "err-code" in packet:
|
||||
code = packet["err-code"]
|
||||
msg = packet["err-msg"]
|
||||
self.gateway.write_log(f"错误代码：{code}, 错误信息：{msg}")
|
||||
|
||||
def on_market_depth(self, data):
|
||||
"""行情深度推送 """
|
||||
symbol = data["ch"].split(".")[1]
|
||||
tick = self.ticks[symbol]
|
||||
tick.datetime = datetime.fromtimestamp(data["ts"] / 1000)
|
||||
|
||||
bids = data["tick"]["bids"]
|
||||
for n in range(5):
|
||||
price, volume = bids[n]
|
||||
tick.__setattr__("bid_price_" + str(n + 1), float(price))
|
||||
tick.__setattr__("bid_volume_" + str(n + 1), float(volume))
|
||||
|
||||
asks = data["tick"]["asks"]
|
||||
for n in range(5):
|
||||
price, volume = asks[n]
|
||||
tick.__setattr__("ask_price_" + str(n + 1), float(price))
|
||||
tick.__setattr__("ask_volume_" + str(n + 1), float(volume))
|
||||
|
||||
if tick.last_price:
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
def on_market_detail(self, data):
|
||||
"""市场细节推送"""
|
||||
symbol = data["ch"].split(".")[1]
|
||||
tick = self.ticks[symbol]
|
||||
tick.datetime = datetime.fromtimestamp(data["ts"] / 1000)
|
||||
|
||||
tick_data = data["tick"]
|
||||
tick.open_price = float(tick_data["open"])
|
||||
tick.high_price = float(tick_data["high"])
|
||||
tick.low_price = float(tick_data["low"])
|
||||
tick.last_price = float(tick_data["close"])
|
||||
tick.volume = float(tick_data["vol"])
|
||||
|
||||
if tick.bid_price_1:
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
|
||||
def _split_url(url):
|
||||
"""
|
||||
将url拆分为host和path
|
||||
:return: host, path
|
||||
"""
|
||||
result = re.match("\w+://([^/]*)(.*)", url) # noqa
|
||||
if result:
|
||||
return result.group(1), result.group(2)
|
||||
@ -114,6 +114,7 @@ class Exchange(Enum):
|
||||
OKEX = "OKEX"
|
||||
HUOBI = "HUOBI"
|
||||
BITFINEX = "BITFINEX"
|
||||
BINANCE = "BINANCE"
|
||||
|
||||
|
||||
class Currency(Enum):
|
||||
|
||||
Loading…
Reference in New Issue
Block a user