更新bitmex data
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msincenselee
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vnpy/data/bitmex/__init__.py
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vnpy/data/bitmex/__init__.py
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vnpy/data/bitmex/bitmex_data.py
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vnpy/data/bitmex/bitmex_data.py
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# encoding: UTF-8
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# 从bitmex下载数据
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from datetime import datetime, timezone,timedelta
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from time import time
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import sys
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import requests
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import execjs
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import traceback
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import hashlib
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import hmac
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from urllib.parse import urlencode
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from collections import OrderedDict
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from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData
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period_list = ['1min','5min','1day','1hour']
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class BitmexData(object):
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# ----------------------------------------------------------------------
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def __init__(self, strategy=None,apiKey=None,apiSecret=None):
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"""
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构造函数
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:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
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"""
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self.strategy = strategy
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self.apiKey = apiKey
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self.apiSecret = apiSecret
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# 设置HTTP请求的尝试次数，建立连接session
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self.session = requests.session()
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self.session.keep_alive = False
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# ----------------------------------------------------------------------
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def generateSignature(self, method, path, expires, params=None, body=None):
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"""生成签名"""
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# 对params在HTTP报文路径中，以请求字段方式序列化
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if params:
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query = urlencode(sorted(params.items()))
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path = path + '?' + query
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if body is None:
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body = ''
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msg = method + '/api/v1' + path + str(expires) + body
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signature = hmac.new(self.apiSecret.encode('utf-8'), msg.encode('utf-8'),
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digestmod=hashlib.sha256).hexdigest()
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return signature
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def writeLog(self,content):
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if self.strategy and hasattr(self.strategy,'writeCtaLog'):
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self.strategy.writeCtaLog(content)
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else:
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print(content)
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def writeError(self,content):
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if self.strategy:
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self.strategy.writeCtaError(content)
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else:
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print(content,file=sys.stderr)
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def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
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"""
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返回k线数据
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symbol：合约
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period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
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"""
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ret_bars = []
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if period not in period_list:
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self.strategy.writeCtaError('{} not in {}'.format(period,period_list))
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return False,ret_bars
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period = period.replace('min','m').replace('hour','h').replace('day','d')
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count = 750
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if start_dt is None:
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if period=='1d':
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start_dt = datetime.utcnow() - timedelta(days=count-1)
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elif period=='1h':
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print(u'utc now():{}'.format(datetime.utcnow()))
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start_dt = datetime.utcnow() - timedelta(hours=count-1)
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print(u'start_dt():{}'.format(start_dt))
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elif period == '5m':
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start_dt = datetime.utcnow() - timedelta(minutes=(count-1) * 5)
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else:
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start_dt = datetime.utcnow() - timedelta(minutes=count-1)
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path = '/trade/bucketed'
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url = u'https://www.bitmex.com/api/v1'+path
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params = {'binSize':period,'partial':True,'symbol':symbol,'startTime':start_dt.strftime('%Y-%m-%d %H:%M'),'count':count}
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params = OrderedDict(sorted(params.items()))
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expires = int(time() + 5)
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rq = requests.Request(url=url)
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p = rq.prepare()
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header = {
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'Content-Type': 'application/x-www-form-urlencoded',
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'Accept': 'application/json',
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'api-expires': str(expires),
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'api-key':self.apiKey,
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'api-signature': self.generateSignature('GET', path, expires, params, body=p.body)
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}
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print(header)
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session = requests.Session()
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resp = session.request('GET', url, headers=header, params=params,data=None)
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self.writeLog('{}开始下载:{} {}数据.开始时间:{} URL:{}'.format(datetime.now(), symbol, period,start_dt,url))
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bars = None
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code = resp.status_code
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bars = resp.json()
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if code != 200:
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self.strategy.writeCtaError('get_bars {},{}'.format(code, bars))
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return False, ret_bars
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bar_len = len(bars)
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self.writeLog(u'共下载:{}条'.format(bar_len))
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for i, bar in enumerate(bars):
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add_bar = CtaBarData()
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try:
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add_bar.vtSymbol = symbol
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add_bar.symbol = symbol
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utc_str_time = bar.get('timestamp').replace('T',' ').replace('Z','')
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utc_datetime = datetime.strptime(utc_str_time,'%Y-%m-%d %H:%M:%S.%f')
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add_bar.datetime = utc_datetime + timedelta(hours=8)
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# 时区得调整 +8
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if period == '1h':
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add_bar.datetime = add_bar.datetime - timedelta(hours=1)
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elif period == '5m':
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add_bar.datetime = add_bar.datetime - timedelta(minutes=5)
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elif period == '1m':
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add_bar.datetime = add_bar.datetime - timedelta(minutes=1)
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# bitmex是以bar得结束时间，作为bar得datetime，vnpy是以bar得开始时间作为datetime
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add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
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add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
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add_bar.tradingDay = add_bar.date
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add_bar.open = float(bar.get('open', 0.0))
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add_bar.high = float(bar.get('high', 0.0))
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add_bar.low = float(bar.get('low', 0.0))
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add_bar.close = float(bar.get('close', 0.0))
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add_bar.volume = float(bar.get('volume', 0.0))
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ret_bars.append(add_bar)
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except Exception as ex:
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self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
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return False,ret_bars
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if start_dt is not None and add_bar.datetime < start_dt:
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continue
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if callback is not None:
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# 最后一个bar，可能是不完整的，强制修改
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if i == bar_len -1 and bar_is_completed:
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# 根据秒数算的话，要+1，例如13:31,freq=31，第31根bar
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freq = int((datetime.now() - add_bar.datetime).total_seconds()/60)+1
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callback(add_bar,False,freq)
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else:
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callback(add_bar, bar_is_completed, bar_freq)
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return True,ret_bars
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def download_bars(self, symbol, period, size_=None, start_dt=None):
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"""
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返回k线数据
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symbol：合约
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period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
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"""
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ret_bars = []
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url = u'https://www.okex.com/api/v1/kline.do?symbol={}&type={}'.format(symbol, period)
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if isinstance(size_,int):
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url = url + u'&size={}'.format(size_)
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if start_dt is not None and isinstance(start_dt,datetime):
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url = url + u'&since={}'.format(int(start_dt.timestamp()*1000))
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self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period,url))
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content = None
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try:
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content = self.session.get(url).content.decode('gbk')
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except Exception as ex:
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self.writeError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
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return ret_bars
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bars = execjs.eval(content)
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if not isinstance(bars,list):
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self.writeError('返回数据不是list:{}'.format(content))
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return ret_bars
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for i, bar in enumerate(bars):
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if len(bar) < 5:
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self.writeError('error when get bar:{}'.format(bar))
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return ret_bars
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if i == 0:
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continue
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add_bar = {}
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try:
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bar_datetime= datetime.fromtimestamp(bar[0] / 1000)
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add_bar['datetime'] = bar_datetime.strftime('%Y-%m-%d %H:%M:%S')
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add_bar['date'] = bar_datetime.strftime('%Y-%m-%d')
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add_bar['time'] = bar_datetime.strftime('%H:%M:%S')
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add_bar['open'] = float(bar[1])
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add_bar['high'] = float(bar[2])
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add_bar['low'] = float(bar[3])
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add_bar['close'] = float(bar[4])
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add_bar['volume'] = float(bar[5])
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except Exception as ex:
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self.writeError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
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ret_bars.append(add_bar)
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return ret_bars
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class TestStrategy(object):
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def __init__(self):
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self.minDiff = 1
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self.shortSymbol = 'btc'
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self.vtSymbol = 'btc'
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self.TMinuteInterval = 1
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def addBar(self,bar,bar_is_completed, bar_freq):
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print(u'tradingDay:{},dt:{},{} o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay, bar.datetime,bar.vtSymbol, bar.open, bar.high,
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bar.low, bar.close, bar.volume))
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def onBar(self, bar):
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print(u'tradingDay:{},dt:{},{} o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay,bar.datetime,bar.vtSymbol, bar.open, bar.high, bar.low, bar.close, bar.volume))
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def writeCtaLog(self, content):
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print(content)
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def writeCtaError(self, content):
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print(content)
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if __name__ == '__main__':
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t = TestStrategy()
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# 这里要用生产系统的API，不要用testnet的API, 生产和testnet的行情不一样的。
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API_KEY = 'xx'
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API_SECRET = 'xxx-xxx-xx'
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bitmex_data = BitmexData(t,API_KEY,API_SECRET)
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#bitmex_data.get_bars(symbol='XBTUSD',period='1hour',callback=t.addBar,bar_is_completed=True,bar_freq=60)
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bitmex_data.get_bars(symbol='XBTUSD',period='5min',callback=t.addBar,bar_is_completed=True,bar_freq=60)
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