diff --git a/examples/CryptoTrader/OKEXF_connect.json b/examples/CryptoTrader/OKEXF_connect.json new file mode 100644 index 00000000..d2c8a7c2 --- /dev/null +++ b/examples/CryptoTrader/OKEXF_connect.json @@ -0,0 +1,8 @@ +{ + "apiKey": "", + "apiSecret": "", + "passphrase": "", + "leverage": 10, + "sessionCount": 3, + "trace": false +} \ No newline at end of file diff --git a/examples/CryptoTrader/run.py b/examples/CryptoTrader/run.py index 8acad184..76bdeea2 100644 --- a/examples/CryptoTrader/run.py +++ b/examples/CryptoTrader/run.py @@ -15,7 +15,7 @@ from vnpy.trader.vtEngine import MainEngine from vnpy.trader.uiQt import createQApp # 加载底层接口 -from vnpy.trader.gateway import (huobiGateway, okexGateway, okexFuturesGateway, +from vnpy.trader.gateway import (huobiGateway, okexGateway, okexfGateway, binanceGateway, bitfinexGateway, bitmexGateway, fcoinGateway, bigoneGateway, lbankGateway, @@ -40,7 +40,7 @@ def main(): me = MainEngine(ee) # 添加交易接口 - me.addGateway(okexFuturesGateway) + me.addGateway(okexfGateway) me.addGateway(ccxtGateway) me.addGateway(coinbaseGateway) me.addGateway(lbankGateway) diff --git a/examples/CryptoTrader/uiCryptoWidget.py b/examples/CryptoTrader/uiCryptoWidget.py index c4b8e08a..8d46e3df 100644 --- a/examples/CryptoTrader/uiCryptoWidget.py +++ b/examples/CryptoTrader/uiCryptoWidget.py @@ -837,6 +837,9 @@ class TradingWidget(QtWidgets.QFrame): priceTypeList = [PRICETYPE_LIMITPRICE, PRICETYPE_MARKETPRICE] + offsetList = [OFFSET_OPEN, + OFFSET_CLOSE] + gatewayList = [''] #---------------------------------------------------------------------- @@ -870,10 +873,14 @@ class TradingWidget(QtWidgets.QFrame): labelSymbol = QtWidgets.QLabel(u'VT代码') labelPrice = QtWidgets.QLabel(vtText.PRICE) labelVolume = QtWidgets.QLabel(u'数量') + labelOffset = QtWidgets.QLabel(u'开平') self.comboPriceType = QtWidgets.QComboBox() self.comboPriceType.addItems(self.priceTypeList) + self.comboOffset = QtWidgets.QComboBox() + self.comboOffset.addItems(self.offsetList) + self.lineSymbol = QtWidgets.QLineEdit() validator = QtGui.QDoubleValidator() @@ -887,14 +894,16 @@ class TradingWidget(QtWidgets.QFrame): gridLeft = QtWidgets.QGridLayout() gridLeft.addWidget(labelPriceType, 0, 0) - gridLeft.addWidget(labelSymbol, 1, 0) - gridLeft.addWidget(labelPrice, 2, 0) - gridLeft.addWidget(labelVolume, 3, 0) + gridLeft.addWidget(labelOffset, 1, 0) + gridLeft.addWidget(labelSymbol, 2, 0) + gridLeft.addWidget(labelPrice, 3, 0) + gridLeft.addWidget(labelVolume, 4, 0) gridLeft.addWidget(self.comboPriceType, 0, 1) - gridLeft.addWidget(self.lineSymbol, 1, 1) - gridLeft.addWidget(self.linePrice, 2, 1) - gridLeft.addWidget(self.lineVolume, 3, 1) + gridLeft.addWidget(self.comboOffset, 1, 1) + gridLeft.addWidget(self.lineSymbol, 2, 1) + gridLeft.addWidget(self.linePrice, 3, 1) + gridLeft.addWidget(self.lineVolume, 4, 1) # 右边部分 self.depthMonitor = DepthMonitor(self.mainEngine, self.eventEngine) @@ -1011,6 +1020,7 @@ class TradingWidget(QtWidgets.QFrame): req.volume = volume req.direction = direction req.priceType = text_type(self.comboPriceType.currentText()) + req.offset = text_type(self.comboOffset.currentText()) self.mainEngine.sendOrder(req, contract.gatewayName) diff --git a/vnpy/trader/gateway/okexfGateway/__init__.py b/vnpy/trader/gateway/okexfGateway/__init__.py new file mode 100644 index 00000000..2dd8c008 --- /dev/null +++ b/vnpy/trader/gateway/okexfGateway/__init__.py @@ -0,0 +1,11 @@ +# encoding: UTF-8 + +from __future__ import absolute_import +from vnpy.trader import vtConstant +from .okexfGateway import OkexfGateway + +gatewayClass = OkexfGateway +gatewayName = 'OKEXF' +gatewayDisplayName = 'OKEXF' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True diff --git a/vnpy/trader/gateway/okexfGateway/okexfGateway.py b/vnpy/trader/gateway/okexfGateway/okexfGateway.py new file mode 100644 index 00000000..ff87cd93 --- /dev/null +++ b/vnpy/trader/gateway/okexfGateway/okexfGateway.py @@ -0,0 +1,836 @@ +# encoding: UTF-8 + +''' +''' + + +from __future__ import print_function + +import logging +import os +import json +import hashlib +import hmac +import sys +import time +import traceback +import base64 +import zlib +from datetime import datetime, timedelta +from copy import copy +from math import pow +from urllib import urlencode + +from requests import ConnectionError + +from vnpy.api.rest import RestClient, Request +from vnpy.api.websocket import WebsocketClient +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath, getTempPath + + +REST_HOST = 'https://www.okex.com' +WEBSOCKET_HOST = 'wss://real.okex.com:10440/websocket/okexapi?compress=true' + + +# 委托状态类型映射 +statusMapReverse = {} +statusMapReverse['0'] = STATUS_NOTTRADED +statusMapReverse['1'] = STATUS_PARTTRADED +statusMapReverse['2'] = STATUS_ALLTRADED +statusMapReverse['-1'] = STATUS_CANCELLED + +# 方向和开平映射 +typeMap = {} +typeMap[(DIRECTION_LONG, OFFSET_OPEN)] = '1' +typeMap[(DIRECTION_SHORT, OFFSET_OPEN)] = '2' +typeMap[(DIRECTION_LONG, OFFSET_CLOSE)] = '3' +typeMap[(DIRECTION_SHORT, OFFSET_CLOSE)] = '4' +typeMapReverse = {v:k for k,v in typeMap.items()} + + + + + +######################################################################## +class OkexfGateway(VtGateway): + """OKEX期货接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName=''): + """Constructor""" + super(OkexfGateway, self).__init__(eventEngine, gatewayName) + + self.qryEnabled = False # 是否要启动循环查询 + self.localRemoteDict = {} # localID:remoteID + self.orderDict = {} # remoteID:order + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + self.restApi = OkexfRestApi(self) + self.wsApi = OkexfWebsocketApi(self) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + try: + f = open(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) + f.close() + + try: + apiKey = str(setting['apiKey']) + apiSecret = str(setting['apiSecret']) + passphrase = str(setting['passphrase']) + leverage = int(setting['leverage']) + sessionCount = int(setting['sessionCount']) + 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 + + # 创建行情和交易接口对象 + self.restApi.connect(apiKey, apiSecret, passphrase, leverage, sessionCount) + self.wsApi.connect(apiKey, apiSecret, passphrase) + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + self.wsApi.subscribe(subscribeReq) + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.restApi.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.restApi.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.restApi.stop() + self.wsApi.stop() + + #---------------------------------------------------------------------- + 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.queryInfo] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 4 # 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 + + #---------------------------------------------------------------------- + def queryInfo(self): + """""" + self.restApi.queryAccount() + self.restApi.queryPosition() + + + +######################################################################## +class OkexfRestApi(RestClient): + """REST API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(OkexfRestApi, self).__init__() + + self.gateway = gateway # type: BitmexGateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.apiKey = '' + self.apiSecret = '' + self.passphrase = '' + self.leverage = 0 + + self.orderID = 1000000 + self.loginTime = 0 + + self.contractDict = {} + self.cancelDict = {} + self.localRemoteDict = gateway.localRemoteDict + self.orderDict = gateway.orderDict + + #---------------------------------------------------------------------- + def sign(self, request): + """BitMEX的签名方案""" + # 生成签名 + timestamp = str(time.time()) + request.data = json.dumps(request.data) + + if request.params: + path = request.path + '?' + urlencode(request.params) + else: + path = request.path + + msg = timestamp + request.method + path + request.data + signature = generateSignature(msg, self.apiSecret) + + # 添加表头 + request.headers = { + 'OK-ACCESS-KEY': self.apiKey, + 'OK-ACCESS-SIGN': signature, + 'OK-ACCESS-TIMESTAMP': timestamp, + 'OK-ACCESS-PASSPHRASE': self.passphrase, + 'Content-Type': 'application/json' + } + return request + + #---------------------------------------------------------------------- + def connect(self, apiKey, apiSecret, passphrase, leverage, sessionCount): + """连接服务器""" + self.apiKey = apiKey + self.apiSecret = apiSecret + self.passphrase = passphrase + self.leverage = leverage + self.loginTime = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderID + + self.init(REST_HOST) + self.start(sessionCount) + self.writeLog(u'REST API启动成功') + + self.queryContract() + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq):# type: (VtOrderReq)->str + """""" + self.orderID += 1 + orderID = str(self.loginTime + self.orderID) + vtOrderID = '.'.join([self.gatewayName, orderID]) + + type_ = typeMap[(orderReq.direction, orderReq.offset)] + data = { + 'client_oid': orderID, + 'instrument_id': orderReq.symbol, + 'type': type_, + 'price': orderReq.price, + 'size': orderReq.volume, + 'leverage': self.leverage, + } + + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = orderReq.symbol + order.exchange = 'OKEX' + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + order.orderID = orderID + order.vtOrderID = vtOrderID + order.direction = orderReq.direction + order.offset = orderReq.offset + order.price = orderReq.price + order.totalVolume = orderReq.volume + + self.addRequest('POST', '/api/futures/v3/order', + callback=self.onSendOrder, + data=data, + extra=order, + onFailed=self.onSendOrderFailed, + onError=self.onSendOrderError) + return vtOrderID + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """""" + symbol = cancelOrderReq.symbol + orderID = cancelOrderReq.orderID + remoteID = self.localRemoteDict.get(orderID, None) + if not remoteID: + self.cancelDict[orderID] = cancelOrderReq + return + + req = { + 'instrument_id': symbol, + 'order_id': remoteID + } + path = '/api/futures/v3/cancel_order/%s/%s' %(symbol, remoteID) + self.addRequest('POST', path, + callback=self.onCancelOrder, + data=req) + + #---------------------------------------------------------------------- + def queryContract(self): + """""" + self.addRequest('GET', '/api/futures/v3/instruments', + callback=self.onQueryContract) + + #---------------------------------------------------------------------- + def queryAccount(self): + """""" + self.addRequest('GET', '/api/futures/v3/accounts', + callback=self.onQueryAccount) + + #---------------------------------------------------------------------- + def queryPosition(self): + """""" + self.addRequest('GET', '/api/futures/v3/position', + callback=self.onQueryPosition) + + #---------------------------------------------------------------------- + def queryOrder(self): + """""" + for symbol in self.contractDict.keys(): + # 未成交 + req = { + 'instrument_id': symbol, + 'status': 0 + } + path = '/api/futures/v3/orders/%s' %symbol + self.addRequest('GET', path, params=req, + callback=self.onQueryOrder) + + # 部分成交 + req2 = { + 'instrument_id': symbol, + 'status': 1 + } + self.addRequest('GET', path, params=req2, + callback=self.onQueryOrder) + + #---------------------------------------------------------------------- + def onQueryContract(self, data, request): + """""" + for d in data: + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = d['instrument_id'] + contract.exchange = 'OKEX' + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + + contract.name = contract.symbol + contract.productClass = PRODUCT_FUTURES + contract.priceTick = float(d['tick_size']) + contract.size = int(d['trade_increment']) + + self.contractDict[contract.symbol] = contract + self.gateway.onContract(contract) + + self.writeLog(u'合约信息查询成功') + + self.queryOrder() + self.queryAccount() + self.queryPosition() + + #---------------------------------------------------------------------- + def onQueryAccount(self, data, request): + """""" + for currency, d in data['info'].items(): + account = VtAccountData() + account.gatewayName = self.gatewayName + + account.accountID = currency + account.vtAccountID = '.'.join([account.gatewayName, account.accountID]) + + account.balance = float(d['equity']) + account.available = float(d['total_avail_balance']) + #account.margin = float(d['margin']) + #account.positionProfit = float(d['unrealized_pnl']) + #account.closeProfit = float(d['realized_pnl']) + + self.gateway.onAccount(account) + + #---------------------------------------------------------------------- + def onQueryPosition(self, data, request): + """""" + for d in data['holding']: + longPosition = VtPositionData() + longPosition.gatewayName = self.gatewayName + longPosition.symbol = d['instrument_id'] + longPosition.exchange = 'OKEX' + longPosition.vtSymbol = '.'.join([longPosition.symbol, longPosition.exchange]) + longPosition.direction = DIRECTION_LONG + longPosition.vtPositionName = '.'.join([longPosition.vtSymbol, longPosition.direction]) + longPosition.position = int(d['long_qty']) + longPosition.frozen = longPosition.position - int(d['long_avail_qty']) + longPosition.price = float(d['long_avg_cost']) + + shortPosition = copy(longPosition) + shortPosition.direction = DIRECTION_SHORT + shortPosition.vtPositionName = '.'.join([shortPosition.vtSymbol, shortPosition.direction]) + shortPosition.position = int(d['short_qty']) + shortPosition.frozen = shortPosition.position - int(d['short_avail_qty']) + shortPosition.price = float(d['short_avg_cost']) + + self.gateway.onPosition(longPosition) + self.gateway.onPosition(shortPosition) + + #---------------------------------------------------------------------- + def onQueryOrder(self, data, request): + """""" + for d in data['order_info']: + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = d['instrument_id'] + order.exchange = 'OKEX' + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + self.orderID += 1 + order.orderID = str(self.loginTime + self.orderID) + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + self.localRemoteDict[order.orderID] = d['order_id'] + + order.price = float(d['price']) + order.totalVolume = int(d['size']) + order.tradedVolume = int(d['filled_qty']) + order.status = statusMapReverse[d['status']] + order.direction, order.offset = typeMapReverse[d['type']] + + dt = datetime.strptime(d['timestamp'], '%Y-%m-%dT%H:%M:%S.%fZ') + order.orderTime = dt.strftime('%H:%M:%S') + + self.gateway.onOrder(order) + self.orderDict[d['order_id']] = order + + #---------------------------------------------------------------------- + def onSendOrderFailed(self, data, request): + """ + 下单失败回调：服务器明确告知下单失败 + """ + order = request.extra + order.status = STATUS_REJECTED + self.gateway.onOrder(order) + + #---------------------------------------------------------------------- + def onSendOrderError(self, exceptionType, exceptionValue, tb, request): + """ + 下单失败回调：连接错误 + """ + order = request.extra + order.status = STATUS_REJECTED + self.gateway.onOrder(vtOrder) + + #---------------------------------------------------------------------- + def onSendOrder(self, data, request): + """""" + self.localRemoteDict[data['client_oid']] = data['order_id'] + self.orderDict[data['order_id']] = request.extra + + if data['client_oid'] in self.cancelDict: + req = self.cancelDict.pop(data['client_oid']) + self.cancelOrder(req) + + #---------------------------------------------------------------------- + def onCancelOrder(self, data, request): + """""" + pass + + #---------------------------------------------------------------------- + def onFailed(self, httpStatusCode, request): # type:(int, Request)->None + """ + 请求失败处理函数（HttpStatusCode!=2xx）. + 默认行为是打印到stderr + """ + e = VtErrorData() + e.gatewayName = self.gatewayName + e.errorID = httpStatusCode + e.errorMsg = request.response.text + self.gateway.onError(e) + print(request.response.text) + + #---------------------------------------------------------------------- + def onError(self, exceptionType, exceptionValue, tb, request): + """ + Python内部错误处理：默认行为是仍给excepthook + """ + e = VtErrorData() + e.gatewayName = self.gatewayName + e.errorID = exceptionType + e.errorMsg = exceptionValue + self.gateway.onError(e) + + sys.stderr.write(self.exceptionDetail(exceptionType, exceptionValue, tb, request)) + + +######################################################################## +class OkexfWebsocketApi(WebsocketClient): + """""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(OkexfWebsocketApi, self).__init__() + + self.gateway = gateway + self.gatewayName = gateway.gatewayName + + self.apiKey = '' + self.apiSecret = '' + self.passphrase = '' + + self.orderDict = gateway.orderDict + self.localRemoteDict = gateway.localRemoteDict + + self.tradeID = 0 + self.callbackDict = {} + self.channelSymbolDict = {} + self.tickDict = {} + + #---------------------------------------------------------------------- + def unpackData(self, data): + """重载""" + return json.loads(zlib.decompress(data, -zlib.MAX_WBITS)) + + #---------------------------------------------------------------------- + def connect(self, apiKey, apiSecret, passphrase): + """""" + self.apiKey = apiKey + self.apiSecret = apiSecret + self.passphrase = passphrase + + self.init(WEBSOCKET_HOST) + self.start() + + #---------------------------------------------------------------------- + def onConnected(self): + """连接回调""" + self.writeLog(u'Websocket API连接成功') + self.login() + + #---------------------------------------------------------------------- + def onDisconnected(self): + """连接回调""" + self.writeLog(u'Websocket API连接断开') + + #---------------------------------------------------------------------- + def onPacket(self, packet): + """数据回调""" + d = packet[0] + + channel = d['channel'] + callback = self.callbackDict.get(channel, None) + if callback: + callback(d) + + #---------------------------------------------------------------------- + def onError(self, exceptionType, exceptionValue, tb): + """Python错误回调""" + e = VtErrorData() + e.gatewayName = self.gatewayName + e.errorID = exceptionType + e.errorMsg = exceptionValue + self.gateway.onError(e) + + sys.stderr.write(self.exceptionDetail(exceptionType, exceptionValue, tb)) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def login(self): + """""" + timestamp = str(time.time()) + + msg = timestamp + 'GET' + '/users/self/verify' + signature = generateSignature(msg, self.apiSecret) + + req = { + "event": "login", + "parameters": { + "api_key": self.apiKey, + "timestamp": timestamp, + "passphrase": self.passphrase, + "sign": signature + } + } + self.sendPacket(req) + + self.callbackDict['login'] = self.onLogin + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """""" + # V3到V1的代码转换 + currency, contractType = convertSymbol(subscribeReq.symbol) + + # 订阅成交 + channel1 = 'ok_sub_futureusd_%s_ticker_%s' %(currency, contractType) + self.callbackDict[channel1] = self.onTick + self.channelSymbolDict[channel1] = subscribeReq.symbol + + req1 = { + 'event': 'addChannel', + 'channel': channel1 + } + self.sendPacket(req1) + + # 订阅深度 + channel2 = 'ok_sub_futureusd_%s_depth_%s_5' %(currency, contractType) + self.callbackDict[channel2] = self.onDepth + self.channelSymbolDict[channel2] = subscribeReq.symbol + + req2 = { + 'event': 'addChannel', + 'channel': channel2 + } + self.sendPacket(req2) + + # 创建Tick对象 + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = subscribeReq.symbol + tick.exchange = 'OKEX' + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + self.tickDict[tick.symbol] = tick + + #---------------------------------------------------------------------- + def onLogin(self, d): + """""" + data = d['data'] + if not data['result']: + return + + # 订阅交易相关推送 + self.sendPacket({'event': 'addChannel', 'channel': 'ok_sub_futureusd_trades'}) + self.sendPacket({'event': 'addChannel', 'channel': 'ok_sub_futureusd_userinfo'}) + self.sendPacket({'event': 'addChannel', 'channel': 'ok_sub_futureusd_positions'}) + + self.callbackDict['ok_sub_futureusd_trades'] = self.onTrade + self.callbackDict['ok_sub_futureusd_userinfo'] = self.onAccount + self.callbackDict['ok_sub_futureusd_positions'] = self.onPosition + + #---------------------------------------------------------------------- + def onTick(self, d): + """""" + data = d['data'] + channel = d['channel'] + + symbol = self.channelSymbolDict[channel] + tick = self.tickDict[symbol] + + tick.lastPrice = float(data['last']) + tick.highPrice = float(data['high']) + tick.lowPrice = float(data['low']) + tick.volume = float(data['vol']) + + tick = copy(tick) + self.gateway.onTick(tick) + + #---------------------------------------------------------------------- + def onDepth(self, d): + """""" + data = d['data'] + channel = d['channel'] + + symbol = self.channelSymbolDict[channel] + tick = self.tickDict[symbol] + + for n, buf in enumerate(data['bids']): + price, volume = buf[:2] + tick.__setattr__('bidPrice%s' %(n+1), float(price)) + tick.__setattr__('bidVolume%s' %(n+1), int(volume)) + + for n, buf in enumerate(data['asks']): + price, volume = buf[:2] + tick.__setattr__('askPrice%s' %(n+1), float(price)) + tick.__setattr__('askVolume%s' %(n+1), int(volume)) + + dt = datetime.fromtimestamp(data['timestamp']/1000) + tick.date = dt.strftime('%Y%m%d') + tick.time = dt.strftime('%H:%M:%S') + + tick = copy(tick) + self.gateway.onTick(tick) + + #---------------------------------------------------------------------- + def onTrade(self, d): + """""" + data = d['data'] + order = self.orderDict.get(str(data['orderid']), None) + if not order: + currency = data['contract_name'][:3] + expiry = str(data['contract_id'])[2:8] + + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = '%s-USD-%s' %(currency, expiry) + order.exchange = 'OKEX' + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + restApi = self.gateway.restApi + restApi.orderID += 1 + order.orderID = str(restApi.loginTime + restApi.orderID) + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + order.orderTime = data['create_date_str'].split(' ')[-1] + order.price = data['price'] + order.totalVolume = int(data['amount']) + order.direction, order.offset = typeMapReverse[str(data['type'])] + + self.localRemoteDict[order.orderID] = str(data['orderid']) + self.orderDict[str(data['orderid'])] = order + + volumeChange = int(data['deal_amount']) - order.tradedVolume + + order.status = statusMapReverse[str(data['status'])] + order.tradedVolume = int(data['deal_amount']) + self.gateway.onOrder(copy(order)) + + if volumeChange: + self.tradeID += 1 + + trade = VtTradeData() + trade.gatewayName = order.gatewayName + trade.symbol = order.symbol + trade.exchange = order.exchange + trade.vtSymbol = order.vtSymbol + + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + trade.tradeID = str(self.tradeID) + trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) + + trade.direction = order.direction + trade.offset = order.offset + trade.volume = volumeChange + trade.price = float(data['price_avg']) + trade.tradeTime = datetime.now().strftime('%H:%M:%S') + self.gateway.onTrade(trade) + + #---------------------------------------------------------------------- + def onAccount(self, d): + """""" + data = d['data'] + currency = data['symbol'].split('_')[0] + + account = VtAccountData() + account.gatewayName = self.gatewayName + account.accountID = currency + account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) + + account.balance = data['balance'] + account.available = data['balance'] - data['keep_deposit'] + + self.gateway.onAccount(account) + + #---------------------------------------------------------------------- + def onPosition(self, d): + """""" + data = d['data'] + + for buf in data['positions']: + position = VtPositionData() + position.gatewayName = self.gatewayName + + currency = buf['contract_name'][:3] + expiry = str(buf['contract_id'])[2:8] + position.symbol = '%s-USD-%s' %(currency, expiry) + position.exchange = 'OKEX' + position.vtSymbol = '.'.join([position.symbol, position.exchange]) + position.position = int(buf['hold_amount']) + position.frozen = int(buf['hold_amount']) - int(buf['eveningup']) + position.price = float(buf['avgprice']) + + if buf['position'] == 1: + position.direction = DIRECTION_LONG + else: + position.direction = DIRECTION_SHORT + position.vtPositionName = '.'.join([position.vtSymbol, position.direction]) + self.gateway.onPosition(position) + + +#---------------------------------------------------------------------- +def generateSignature(msg, apiSecret): + """签名V3""" + return base64.b64encode(hmac.new(apiSecret, msg.encode(), hashlib.sha256).digest()) + + + +symbolMap = {} # 代码映射v3 symbol:(v1 currency, contractType) + +#---------------------------------------------------------------------- +def convertSymbol(symbol3): + """转换代码""" + if symbol3 in symbolMap: + return symbolMap[symbol3] + + # 拆分代码 + currency, usd, expire = symbol3.split('-') + + # 计算到期时间 + expireDt = datetime.strptime(expire, '%y%m%d') + now = datetime.now() + delta = expireDt - now + + # 根据时间转换 + if delta <= timedelta(days=7): + contractType = 'this_week' + elif delta <= timedelta(days=14): + contractType = 'next_week' + else: + contractType = 'quarter' + + result = (currency.lower(), contractType) + symbolMap[symbol3] = result + return result + + +#---------------------------------------------------------------------- +def printDict(d): + """""" + print('-' * 30) + l = d.keys() + l.sort() + for k in l: + print(k, d[k]) +