修改期货的下单数量，为合约张数
This commit is contained in:
msincenselee
parent
06a271e5ee
commit
252f54b366
@ -412,7 +412,7 @@ class OkexSpotApi(WsSpotApi):
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:param symbol_pairs: set[]
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:return:
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"""
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if isinstance(symbol_pairs ,list):
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if isinstance(symbol_pairs,list):
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self.use_symbol_pairs = set(symbol_pairs)
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elif isinstance(symbol_pairs, set):
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@ -500,8 +500,11 @@ class OkexSpotApi(WsSpotApi):
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error = VtErrorData()
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error.gatewayName = self.gatewayName
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error.errorID = 0
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decom_evt = self.inflate(evt)
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error.errorMsg = str(decom_evt)
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if isinstance(evt,bytes):
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decom_evt = self.inflate(evt)
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error.errorMsg = str(decom_evt)
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else:
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error.errorMsg = str(evt)
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self.gateway.onError(error)
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# ----------------------------------------------------------------------
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@ -1640,9 +1643,11 @@ class OkexFuturesApi(WsFuturesApi):
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"""重载WsFutureApi.onError错误Event推送"""
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error = VtErrorData()
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error.gatewayName = self.gatewayName
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#error.errorMsg = str(evt)
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decom_evt = self.inflate(evt)
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error.errorMsg = str(decom_evt)
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if isinstance(evt,bytes):
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decom_evt = self.inflate(evt)
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error.errorMsg = str(decom_evt)
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else:
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error.errorMsg = str(evt)
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self.gateway.onError(error)
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# #----------------------------------------------------------------------
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@ -2142,7 +2147,6 @@ h_this_week_usd'}
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del tick_bids_depth[price1]
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else:
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tick_bids_depth[price1] = float(vol1)
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volume_rate = 100 if symbol.startswith('btc') else 10
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try:
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# 根据bidPrice价格排序
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@ -2150,15 +2154,11 @@ h_this_week_usd'}
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# 取后五个
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tick.bidPrice1, tick.bidVolume1 = arr[-1]
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tick.bidVolume1 = (tick.bidVolume1 / tick.bidPrice1) * volume_rate
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tick.bidPrice2, tick.bidVolume2 = arr[-2]
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tick.bidVolume2 = (tick.bidVolume2 / tick.bidPrice2) * volume_rate
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tick.bidPrice3, tick.bidVolume3 = arr[-3]
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tick.bidVolume3 = (tick.bidVolume3 / tick.bidPrice3) * volume_rate
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tick.bidPrice4, tick.bidVolume4 = arr[-4]
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tick.bidVolume4 = (tick.bidVolume4 / tick.bidPrice4) * volume_rate
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tick.bidPrice5, tick.bidVolume5 = arr[-5]
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tick.bidVolume5 = (tick.bidVolume5 / tick.bidPrice5) * volume_rate
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except Exception as ex:
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self.writeLog(u'ContractApi.onDepth exception:{},{}'.format(str(ex), traceback.format_exc()))
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@ -2173,15 +2173,10 @@ h_this_week_usd'}
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arr = sorted(tick_asks_depth.items(), key=lambda x: x[0])
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# 取前五个
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tick.askPrice1, tick.askVolume1 = arr[0]
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tick.askVolume1 = (tick.askVolume1 / tick.askPrice1) * volume_rate
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tick.askPrice2, tick.askVolume2 = arr[1]
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tick.askVolume2 = (tick.askVolume2 / tick.askPrice2) * volume_rate
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tick.askPrice3, tick.askVolume3 = arr[2]
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tick.askVolume3 = (tick.askVolume3 / tick.askPrice3) * volume_rate
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tick.askPrice4, tick.askVolume4 = arr[3]
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tick.askVolume4 = (tick.askVolume4 / tick.askPrice4) * volume_rate
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tick.askPrice5, tick.askVolume5 = arr[4]
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tick.askVolume5 = (tick.askVolume5 / tick.askPrice5) * volume_rate
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except Exception as ex:
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self.writeLog(u'ContractApi.onDepth exception:{},{}'.format(str(ex), traceback.format_exc()))
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@ -2477,7 +2472,7 @@ h_this_week_usd'}
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# 更新持仓信息
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName + u'_Future'
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pos.gatewayName = self.gatewayName #+ u'_Future'
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pos.symbol = u'{}.{}_Future'.format(symbol, EXCHANGE_OKEX)
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pos.vtSymbol = u'{}.{}_Future'.format(symbol, EXCHANGE_OKEX)
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pos.position = account.balance
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@ -2499,7 +2494,7 @@ h_this_week_usd'}
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#if t_balance > 0 or t_rights > 0:
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account = VtAccountData()
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account.gatewayName = self.gatewayName + u'_Future'
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account.gatewayName = self.gatewayName #+ u'_Future'
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account.accountID = u'[逐仓]{}'.format(symbol)
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account.vtAccountID = account.accountID
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account.balance = t_rights
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@ -2507,7 +2502,7 @@ h_this_week_usd'}
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# 更新持仓信息
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName + u'_Future'
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pos.gatewayName = self.gatewayName #+ u'_Future'
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pos.symbol = u'{}.{}_Future'.format(symbol,EXCHANGE_OKEX)
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pos.vtSymbol = u'{}.{}_Future'.format(symbol,EXCHANGE_OKEX)
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pos.position = t_rights
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@ -2541,13 +2536,10 @@ h_this_week_usd'}
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result = resp.get('result', False)
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holdings = resp.get('holding', [])
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# 100美金（btc）；10美金（其他）/每份合约
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volume_rate = 100 if symbol.startswith('btc') else 10
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if result and len(holdings) > 0:
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for holding in holdings:
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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pos.gatewayName = self.gatewayName #+ u'_Future'
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contract_symbol = holding.get('symbol', '{}_usd'.format(symbol)) + ':' + contractType + ':' + str(
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holding.get('lever_rate', leverage))
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# 如果此合约不在已订阅清单中，重新订阅
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@ -2569,9 +2561,11 @@ h_this_week_usd'}
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if price == 0.0:
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continue
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pos.position = volume_rate * holding.get('buy_amount') / price
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# 20181110 ，改回用多少份合约
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pos.position = holding.get('buy_amount')
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if holding.get('buy_available') > 0:
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pos.frozen = pos.position - (volume_rate * holding.get('buy_available') / price)
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pos.frozen = pos.position - holding.get('buy_available',0)
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else:
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pos.frozen = 0
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@ -2585,9 +2579,11 @@ h_this_week_usd'}
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price = tick.lastPrice if tick is not None else sell_pos.price
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if price == 0:
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continue
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sell_pos.position = volume_rate * holding.get('sell_amount') / price
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# 20181110 改回用多少份合约
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sell_pos.position =holding.get('sell_amount')
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if holding.get('sell_available', 0) > 0:
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sell_pos.frozen = sell_pos.position - volume_rate * holding.get('sell_available') / price
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sell_pos.frozen = sell_pos.position - holding.get('sell_available')
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else:
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sell_pos.frozen = 0
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sell_pos.positionProfit = holding.get('sell_profit_real', 0.0)
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@ -2610,13 +2606,10 @@ h_this_week_usd'}
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result = resp.get('result', False)
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holdings = resp.get('holding', [])
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# 100美金（btc）；10美金（其他）/每份合约
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volume_rate = 100 if symbol.startswith('btc') else 10
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if result and len(holdings) > 0:
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for holding in holdings:
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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pos.gatewayName = self.gatewayName #+ u'_Future'
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contract_symbol = holding.get('symbol', '{}_usd'.format(symbol)) + ':' + contractType + ':' + str(
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holding.get('lever_rate', 10))
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# 如果此合约不在已订阅清单中，重新订阅
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@ -2628,7 +2621,7 @@ h_this_week_usd'}
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pos.symbol = '.'.join([contract_symbol, EXCHANGE_OKEX])
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pos.vtSymbol = pos.symbol
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tick = self.tickDict.get(contract_symbol, None)
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pos.gatewayName = self.gatewayName #+ u'_Future'
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if holding.get('buy_amount', 0) > 0:
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# 持有多仓
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pos.direction = DIRECTION_LONG
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@ -2638,12 +2631,12 @@ h_this_week_usd'}
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if price == 0.0:
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continue
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pos.position = volume_rate * holding.get('buy_amount') / price
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pos.position =holding.get('buy_amount')
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if holding.get('buy_available') > 0:
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pos.frozen = pos.position - (volume_rate * holding.get('buy_available') / price)
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pos.frozen = pos.position - holding.get('buy_available',0)
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else:
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pos.frozen = 0
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pos.positionProfit = holding.get('buy_profit_real', 0.0)
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pos.positionProfit = holding.get('profit_real', 0.0)
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self.gateway.onPosition(pos)
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if holding.get('sell_amount', 0) > 0:
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sell_pos = copy(pos)
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@ -2653,12 +2646,12 @@ h_this_week_usd'}
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price = tick.lastPrice if tick is not None else sell_pos.price
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if price == 0:
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continue
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sell_pos.position = volume_rate * holding.get('sell_amount') / price
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sell_pos.position =holding.get('sell_amount')
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if holding.get('sell_available', 0) > 0:
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sell_pos.frozen = sell_pos.position - volume_rate * holding.get('sell_available') / price
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sell_pos.frozen = sell_pos.position - holding.get('sell_available',0)
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else:
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sell_pos.frozen = 0
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sell_pos.positionProfit = holding.get('sell_profit_real', 0.0)
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sell_pos.positionProfit = holding.get('profit_real', 0.0)
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self.gateway.onPosition(sell_pos)
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# ----------------------------------------------------------------------
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""" 所有委托查询回报 ws_data
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@ -2736,18 +2729,17 @@ h_this_week_usd'}
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order.orderID = self.orderIdDict[orderId] # 更新orderId为本地的序列号
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order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
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order.price = order_data['price']
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volume_rate = 100 if order.symbol.startswith('btc') else 10
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order.totalVolume = order_data['amount'] * volume_rate
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order.direction, offset = priceContractOffsetTypeMap[str(order_data['type'])]
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order.price = order_data.get('price')
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#volume_rate = 100 if order.symbol.startswith('btc') else 10
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order.totalVolume = order_data.get('amount')
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order.direction, offset = priceContractOffsetTypeMap.get(str(order_data.get('type')))
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order.orderTime = datetime.now().strftime("%H:%M:%S.%f")
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self.orderDict[orderId] = order
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self.gateway.writeLog(u'新增本地orderDict缓存,okex orderId:{},order.orderid:{}'.format(orderId, order.orderID))
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else:
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order = self.orderDict[orderId]
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volume_rate = 100 if order.symbol.startswith('btc') else 10
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order.tradedVolume = order_data['deal_amount'] * volume_rate
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order.tradedVolume = order_data['deal_amount']
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order.status = statusMap[int(order_data['status'])]
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# 推送期货委托单到vtGatway.OnOrder中
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self.gateway.onOrder(copy(order))
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@ -2838,22 +2830,21 @@ user_id': 6548935, u'contract_id': 201802160040063L, u'price': 24.555, u'create_
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order.orderID = localNo
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order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
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order.price = float(data['price'])
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volume_rate = 100 if order.symbol.startswith('btc') else 10
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order.totalVolume = float(data['amount'])* volume_rate
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order.totalVolume = float(data['amount'])
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order.direction, order.offset = priceContractOffsetTypeMap[str(data['type'])]
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order.tradedVolume = float(data['deal_amount']) * volume_rate
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order.tradedVolume = float(data['deal_amount'])
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order.status = statusMap[data['status']]
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self.orderDict[orderId] = order
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self.gateway.writeLog(u'新增order,orderid:{},symbol:{},data:{}'.format(order.orderID,order.symbol,data))
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else:
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# 更新成交数量/状态
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order = self.orderDict[orderId]
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volume_rate = 100 if order.symbol.startswith('btc') else 10
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self.gateway.writeLog(u'orderid:{},tradedVolume:{}=>{},status:{}=>{}'
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.format(order.orderID,
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order.tradedVolume, float(data['deal_amount']*volume_rate),
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order.tradedVolume, float(data['deal_amount']),
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order.status, statusMap[data['status']]))
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order.tradedVolume = float(data['deal_amount']) * volume_rate
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order.tradedVolume = float(data['deal_amount'])
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order.status = statusMap[data['status']]
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# 发出期货委托事件
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@ -2876,8 +2867,7 @@ user_id': 6548935, u'contract_id': 201802160040063L, u'price': 24.555, u'create_
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trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
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trade.price = float(data['price'])
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volume_rate = 100 if trade.symbol.startswith('btc') else 10
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trade.volume = float(now_volume) * volume_rate
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trade.volume = float(now_volume)
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trade.direction, trade.offset = priceContractOffsetTypeMap[str(data['type'])]
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@ -3142,7 +3132,7 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'}
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# print dic_inf
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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pos.gatewayName = self.gatewayName #+ u'_Future'
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if int(inf["position"]) == 1:
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pos.direction = DIRECTION_LONG
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@ -3166,11 +3156,9 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'}
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if price == 0.0:
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continue
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volume_rate = 100 if symbol.startswith('btc') else 10
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pos.frozen = volume_rate * float(inf.get("hold_amount",0.0)) - float(inf.get('eveningup',0.0)) / price
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pos.position = volume_rate * float(inf.get("hold_amount",0.0)) / price
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pos.frozen = float(inf.get("hold_amount",0.0)) - float(inf.get('eveningup',0.0))
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pos.position = float(inf.get("hold_amount",0.0))
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pos.positionProfit = float(inf.get("profitreal",0.0))
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# print inf , pos.symbol
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self.gateway.onPosition(pos)
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else:
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@ -3182,7 +3170,7 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'}
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#
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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pos.gatewayName = self.gatewayName #+ u'_Future'
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# 持仓合约的方向
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pos.direction = DIRECTION_LONG if int(inf.get("position",0)) == 1 else DIRECTION_SHORT
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@ -3198,9 +3186,9 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'}
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if price == 0.0:
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continue
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# 计算持仓量/冻结量： 100(或10) * hold_amount/ 价格
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volume_rate = 100 if symbol.startswith('btc') else 10
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pos.frozen = volume_rate * (float(inf.get('hold_amount',0.0)) - float(inf.get('eveningup',0.0)))/price
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pos.position = volume_rate * float(inf.get('hold_amount',0.0)) / price
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pos.frozen = (float(inf.get('hold_amount',0.0)) - float(inf.get('eveningup',0.0)))
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pos.position = float(inf.get('hold_amount',0.0))
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pos.positionProfit = float(inf.get('realized',0.0))
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# print inf , pos.symbol
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@ -3244,13 +3232,22 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'}
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order.orderTime = dt.strftime("%H:%M:%S.%f")
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self.localOrderDict[vtOrderID] = order
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self.writeLog(u'futureSendOrder 发送:symbol:{},合约类型:{},交易类型:{},价格:{},委托量:{}'.
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format(symbol + "_usd", contract_type , type_ , str(req.price), str(req.volume)))
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# 100美金（btc）；10美金（其他）/每份合约
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volume_rate = 100 if symbol.startswith('btc') else 10
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# 预计冻结的币量
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frozend_quote = (volume_rate/order.price) * req.volume
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# 计算杠杆后的币量
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order_amount = frozend_quote * int(leverage)
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self.writeLog(u'futureSendOrder 发送:symbol:{},合约类型:{},交易类型:{},价格:{},合约委托数:{},预计冻结{}:{},期货总额:{}'.
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format(symbol + "_usd", contract_type , type_ , str(req.price), str(req.volume),
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frozend_quote,symbol,order_amount,symbol))
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try:
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volume_rate = 100 if symbol.startswith('btc') else 10
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orginal_volume = req.volume
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req.volume = 1 if round((req.volume * req.price)/volume_rate) == 0 else round((req.volume * req.price)/volume_rate)
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self.writeLog(u'转换为ok合约数:{}=>{}'.format(orginal_volume, req.volume))
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#orginal_volume = req.volume
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#amount = round((req.volume * req.price)/volume_rate)
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#req.volume = 1 if amount== 0 else amount
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#self.writeLog(u'转换为ok合约数:{}=>{}'.format(orginal_volume, req.volume))
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self.futureTrade(symbol + "_usd", contract_type, type_, str(req.price), str(req.volume),
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_lever_rate=self._use_leverage)
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