diff --git a/vnpy/trader/gateway/okexGateway/okexGateway.py b/vnpy/trader/gateway/okexGateway/okexGateway.py index 309cb6fd..92b830d9 100644 --- a/vnpy/trader/gateway/okexGateway/okexGateway.py +++ b/vnpy/trader/gateway/okexGateway/okexGateway.py @@ -412,7 +412,7 @@ class OkexSpotApi(WsSpotApi): :param symbol_pairs: set[] :return: """ - if isinstance(symbol_pairs ,list): + if isinstance(symbol_pairs,list): self.use_symbol_pairs = set(symbol_pairs) elif isinstance(symbol_pairs, set): @@ -500,8 +500,11 @@ class OkexSpotApi(WsSpotApi): error = VtErrorData() error.gatewayName = self.gatewayName error.errorID = 0 - decom_evt = self.inflate(evt) - error.errorMsg = str(decom_evt) + if isinstance(evt,bytes): + decom_evt = self.inflate(evt) + error.errorMsg = str(decom_evt) + else: + error.errorMsg = str(evt) self.gateway.onError(error) # ---------------------------------------------------------------------- @@ -1640,9 +1643,11 @@ class OkexFuturesApi(WsFuturesApi): """重载WsFutureApi.onError错误Event推送""" error = VtErrorData() error.gatewayName = self.gatewayName - #error.errorMsg = str(evt) - decom_evt = self.inflate(evt) - error.errorMsg = str(decom_evt) + if isinstance(evt,bytes): + decom_evt = self.inflate(evt) + error.errorMsg = str(decom_evt) + else: + error.errorMsg = str(evt) self.gateway.onError(error) # #---------------------------------------------------------------------- @@ -2142,7 +2147,6 @@ h_this_week_usd'} del tick_bids_depth[price1] else: tick_bids_depth[price1] = float(vol1) - volume_rate = 100 if symbol.startswith('btc') else 10 try: # 根据bidPrice价格排序 @@ -2150,15 +2154,11 @@ h_this_week_usd'} # 取后五个 tick.bidPrice1, tick.bidVolume1 = arr[-1] - tick.bidVolume1 = (tick.bidVolume1 / tick.bidPrice1) * volume_rate tick.bidPrice2, tick.bidVolume2 = arr[-2] - tick.bidVolume2 = (tick.bidVolume2 / tick.bidPrice2) * volume_rate tick.bidPrice3, tick.bidVolume3 = arr[-3] - tick.bidVolume3 = (tick.bidVolume3 / tick.bidPrice3) * volume_rate tick.bidPrice4, tick.bidVolume4 = arr[-4] - tick.bidVolume4 = (tick.bidVolume4 / tick.bidPrice4) * volume_rate tick.bidPrice5, tick.bidVolume5 = arr[-5] - tick.bidVolume5 = (tick.bidVolume5 / tick.bidPrice5) * volume_rate + except Exception as ex: self.writeLog(u'ContractApi.onDepth exception:{},{}'.format(str(ex), traceback.format_exc())) @@ -2173,15 +2173,10 @@ h_this_week_usd'} arr = sorted(tick_asks_depth.items(), key=lambda x: x[0]) # 取前五个 tick.askPrice1, tick.askVolume1 = arr[0] - tick.askVolume1 = (tick.askVolume1 / tick.askPrice1) * volume_rate tick.askPrice2, tick.askVolume2 = arr[1] - tick.askVolume2 = (tick.askVolume2 / tick.askPrice2) * volume_rate tick.askPrice3, tick.askVolume3 = arr[2] - tick.askVolume3 = (tick.askVolume3 / tick.askPrice3) * volume_rate tick.askPrice4, tick.askVolume4 = arr[3] - tick.askVolume4 = (tick.askVolume4 / tick.askPrice4) * volume_rate tick.askPrice5, tick.askVolume5 = arr[4] - tick.askVolume5 = (tick.askVolume5 / tick.askPrice5) * volume_rate except Exception as ex: self.writeLog(u'ContractApi.onDepth exception:{},{}'.format(str(ex), traceback.format_exc())) @@ -2477,7 +2472,7 @@ h_this_week_usd'} # 更新持仓信息 pos = VtPositionData() - pos.gatewayName = self.gatewayName + u'_Future' + pos.gatewayName = self.gatewayName #+ u'_Future' pos.symbol = u'{}.{}_Future'.format(symbol, EXCHANGE_OKEX) pos.vtSymbol = u'{}.{}_Future'.format(symbol, EXCHANGE_OKEX) pos.position = account.balance @@ -2499,7 +2494,7 @@ h_this_week_usd'} #if t_balance > 0 or t_rights > 0: account = VtAccountData() - account.gatewayName = self.gatewayName + u'_Future' + account.gatewayName = self.gatewayName #+ u'_Future' account.accountID = u'[逐仓]{}'.format(symbol) account.vtAccountID = account.accountID account.balance = t_rights @@ -2507,7 +2502,7 @@ h_this_week_usd'} # 更新持仓信息 pos = VtPositionData() - pos.gatewayName = self.gatewayName + u'_Future' + pos.gatewayName = self.gatewayName #+ u'_Future' pos.symbol = u'{}.{}_Future'.format(symbol,EXCHANGE_OKEX) pos.vtSymbol = u'{}.{}_Future'.format(symbol,EXCHANGE_OKEX) pos.position = t_rights @@ -2541,13 +2536,10 @@ h_this_week_usd'} result = resp.get('result', False) holdings = resp.get('holding', []) - # 100美金（btc）；10美金（其他）/每份合约 - volume_rate = 100 if symbol.startswith('btc') else 10 - if result and len(holdings) > 0: for holding in holdings: pos = VtPositionData() - pos.gatewayName = self.gatewayName + pos.gatewayName = self.gatewayName #+ u'_Future' contract_symbol = holding.get('symbol', '{}_usd'.format(symbol)) + ':' + contractType + ':' + str( holding.get('lever_rate', leverage)) # 如果此合约不在已订阅清单中，重新订阅 @@ -2569,9 +2561,11 @@ h_this_week_usd'} if price == 0.0: continue - pos.position = volume_rate * holding.get('buy_amount') / price + # 20181110 ，改回用多少份合约 + pos.position = holding.get('buy_amount') + if holding.get('buy_available') > 0: - pos.frozen = pos.position - (volume_rate * holding.get('buy_available') / price) + pos.frozen = pos.position - holding.get('buy_available',0) else: pos.frozen = 0 @@ -2585,9 +2579,11 @@ h_this_week_usd'} price = tick.lastPrice if tick is not None else sell_pos.price if price == 0: continue - sell_pos.position = volume_rate * holding.get('sell_amount') / price + + # 20181110 改回用多少份合约 + sell_pos.position =holding.get('sell_amount') if holding.get('sell_available', 0) > 0: - sell_pos.frozen = sell_pos.position - volume_rate * holding.get('sell_available') / price + sell_pos.frozen = sell_pos.position - holding.get('sell_available') else: sell_pos.frozen = 0 sell_pos.positionProfit = holding.get('sell_profit_real', 0.0) @@ -2610,13 +2606,10 @@ h_this_week_usd'} result = resp.get('result', False) holdings = resp.get('holding', []) - # 100美金（btc）；10美金（其他）/每份合约 - volume_rate = 100 if symbol.startswith('btc') else 10 - if result and len(holdings) > 0: for holding in holdings: pos = VtPositionData() - pos.gatewayName = self.gatewayName + pos.gatewayName = self.gatewayName #+ u'_Future' contract_symbol = holding.get('symbol', '{}_usd'.format(symbol)) + ':' + contractType + ':' + str( holding.get('lever_rate', 10)) # 如果此合约不在已订阅清单中，重新订阅 @@ -2628,7 +2621,7 @@ h_this_week_usd'} pos.symbol = '.'.join([contract_symbol, EXCHANGE_OKEX]) pos.vtSymbol = pos.symbol tick = self.tickDict.get(contract_symbol, None) - + pos.gatewayName = self.gatewayName #+ u'_Future' if holding.get('buy_amount', 0) > 0: # 持有多仓 pos.direction = DIRECTION_LONG @@ -2638,12 +2631,12 @@ h_this_week_usd'} if price == 0.0: continue - pos.position = volume_rate * holding.get('buy_amount') / price + pos.position =holding.get('buy_amount') if holding.get('buy_available') > 0: - pos.frozen = pos.position - (volume_rate * holding.get('buy_available') / price) + pos.frozen = pos.position - holding.get('buy_available',0) else: pos.frozen = 0 - pos.positionProfit = holding.get('buy_profit_real', 0.0) + pos.positionProfit = holding.get('profit_real', 0.0) self.gateway.onPosition(pos) if holding.get('sell_amount', 0) > 0: sell_pos = copy(pos) @@ -2653,12 +2646,12 @@ h_this_week_usd'} price = tick.lastPrice if tick is not None else sell_pos.price if price == 0: continue - sell_pos.position = volume_rate * holding.get('sell_amount') / price + sell_pos.position =holding.get('sell_amount') if holding.get('sell_available', 0) > 0: - sell_pos.frozen = sell_pos.position - volume_rate * holding.get('sell_available') / price + sell_pos.frozen = sell_pos.position - holding.get('sell_available',0) else: sell_pos.frozen = 0 - sell_pos.positionProfit = holding.get('sell_profit_real', 0.0) + sell_pos.positionProfit = holding.get('profit_real', 0.0) self.gateway.onPosition(sell_pos) # ---------------------------------------------------------------------- """ 所有委托查询回报 ws_data @@ -2736,18 +2729,17 @@ h_this_week_usd'} order.orderID = self.orderIdDict[orderId] # 更新orderId为本地的序列号 order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) - order.price = order_data['price'] - volume_rate = 100 if order.symbol.startswith('btc') else 10 - order.totalVolume = order_data['amount'] * volume_rate - order.direction, offset = priceContractOffsetTypeMap[str(order_data['type'])] + order.price = order_data.get('price') + #volume_rate = 100 if order.symbol.startswith('btc') else 10 + order.totalVolume = order_data.get('amount') + order.direction, offset = priceContractOffsetTypeMap.get(str(order_data.get('type'))) order.orderTime = datetime.now().strftime("%H:%M:%S.%f") self.orderDict[orderId] = order self.gateway.writeLog(u'新增本地orderDict缓存,okex orderId:{},order.orderid:{}'.format(orderId, order.orderID)) else: order = self.orderDict[orderId] - volume_rate = 100 if order.symbol.startswith('btc') else 10 - order.tradedVolume = order_data['deal_amount'] * volume_rate + order.tradedVolume = order_data['deal_amount'] order.status = statusMap[int(order_data['status'])] # 推送期货委托单到vtGatway.OnOrder中 self.gateway.onOrder(copy(order)) @@ -2838,22 +2830,21 @@ user_id': 6548935, u'contract_id': 201802160040063L, u'price': 24.555, u'create_ order.orderID = localNo order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.price = float(data['price']) - volume_rate = 100 if order.symbol.startswith('btc') else 10 - order.totalVolume = float(data['amount'])* volume_rate + order.totalVolume = float(data['amount']) order.direction, order.offset = priceContractOffsetTypeMap[str(data['type'])] - order.tradedVolume = float(data['deal_amount']) * volume_rate + order.tradedVolume = float(data['deal_amount']) order.status = statusMap[data['status']] self.orderDict[orderId] = order self.gateway.writeLog(u'新增order,orderid:{},symbol:{},data:{}'.format(order.orderID,order.symbol,data)) else: # 更新成交数量/状态 order = self.orderDict[orderId] - volume_rate = 100 if order.symbol.startswith('btc') else 10 + self.gateway.writeLog(u'orderid:{},tradedVolume:{}=>{},status:{}=>{}' .format(order.orderID, - order.tradedVolume, float(data['deal_amount']*volume_rate), + order.tradedVolume, float(data['deal_amount']), order.status, statusMap[data['status']])) - order.tradedVolume = float(data['deal_amount']) * volume_rate + order.tradedVolume = float(data['deal_amount']) order.status = statusMap[data['status']] # 发出期货委托事件 @@ -2876,8 +2867,7 @@ user_id': 6548935, u'contract_id': 201802160040063L, u'price': 24.555, u'create_ trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) trade.price = float(data['price']) - volume_rate = 100 if trade.symbol.startswith('btc') else 10 - trade.volume = float(now_volume) * volume_rate + trade.volume = float(now_volume) trade.direction, trade.offset = priceContractOffsetTypeMap[str(data['type'])] @@ -3142,7 +3132,7 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'} # print dic_inf pos = VtPositionData() - pos.gatewayName = self.gatewayName + pos.gatewayName = self.gatewayName #+ u'_Future' if int(inf["position"]) == 1: pos.direction = DIRECTION_LONG @@ -3166,11 +3156,9 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'} if price == 0.0: continue - volume_rate = 100 if symbol.startswith('btc') else 10 - pos.frozen = volume_rate * float(inf.get("hold_amount",0.0)) - float(inf.get('eveningup',0.0)) / price - pos.position = volume_rate * float(inf.get("hold_amount",0.0)) / price + pos.frozen = float(inf.get("hold_amount",0.0)) - float(inf.get('eveningup',0.0)) + pos.position = float(inf.get("hold_amount",0.0)) pos.positionProfit = float(inf.get("profitreal",0.0)) - # print inf , pos.symbol self.gateway.onPosition(pos) else: @@ -3182,7 +3170,7 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'} # pos = VtPositionData() - pos.gatewayName = self.gatewayName + pos.gatewayName = self.gatewayName #+ u'_Future' # 持仓合约的方向 pos.direction = DIRECTION_LONG if int(inf.get("position",0)) == 1 else DIRECTION_SHORT @@ -3198,9 +3186,9 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'} if price == 0.0: continue # 计算持仓量/冻结量： 100(或10) * hold_amount/ 价格 - volume_rate = 100 if symbol.startswith('btc') else 10 - pos.frozen = volume_rate * (float(inf.get('hold_amount',0.0)) - float(inf.get('eveningup',0.0)))/price - pos.position = volume_rate * float(inf.get('hold_amount',0.0)) / price + + pos.frozen = (float(inf.get('hold_amount',0.0)) - float(inf.get('eveningup',0.0))) + pos.position = float(inf.get('hold_amount',0.0)) pos.positionProfit = float(inf.get('realized',0.0)) # print inf , pos.symbol @@ -3244,13 +3232,22 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'} order.orderTime = dt.strftime("%H:%M:%S.%f") self.localOrderDict[vtOrderID] = order - self.writeLog(u'futureSendOrder 发送:symbol:{},合约类型:{},交易类型:{},价格:{},委托量:{}'. - format(symbol + "_usd", contract_type , type_ , str(req.price), str(req.volume))) + # 100美金（btc）；10美金（其他）/每份合约 + volume_rate = 100 if symbol.startswith('btc') else 10 + # 预计冻结的币量 + frozend_quote = (volume_rate/order.price) * req.volume + # 计算杠杆后的币量 + order_amount = frozend_quote * int(leverage) + + 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:{}'. + format(symbol + "_usd", contract_type , type_ , str(req.price), str(req.volume), + frozend_quote,symbol,order_amount,symbol)) try: - volume_rate = 100 if symbol.startswith('btc') else 10 - orginal_volume = req.volume - req.volume = 1 if round((req.volume * req.price)/volume_rate) == 0 else round((req.volume * req.price)/volume_rate) - self.writeLog(u'转换为ok合约数:{}=>{}'.format(orginal_volume, req.volume)) + + #orginal_volume = req.volume + #amount = round((req.volume * req.price)/volume_rate) + #req.volume = 1 if amount== 0 else amount + #self.writeLog(u'转换为ok合约数:{}=>{}'.format(orginal_volume, req.volume)) self.futureTrade(symbol + "_usd", contract_type, type_, str(req.price), str(req.volume), _lever_rate=self._use_leverage)