From 28a1beabbc108d8b726aac04511a7bed529da63b Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sat, 15 Dec 2018 13:58:18 +0800 Subject: [PATCH] =?UTF-8?q?=E6=9B=B4=E6=96=B0bitmex=20data?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/data/bitmex/__init__.py | 0 vnpy/data/bitmex/bitmex_data.py | 254 ++++++++++++++++++++++++++++++++ 2 files changed, 254 insertions(+) create mode 100644 vnpy/data/bitmex/__init__.py create mode 100644 vnpy/data/bitmex/bitmex_data.py diff --git a/vnpy/data/bitmex/__init__.py b/vnpy/data/bitmex/__init__.py new file mode 100644 index 00000000..e69de29b diff --git a/vnpy/data/bitmex/bitmex_data.py b/vnpy/data/bitmex/bitmex_data.py new file mode 100644 index 00000000..2e9f15ba --- /dev/null +++ b/vnpy/data/bitmex/bitmex_data.py @@ -0,0 +1,254 @@ +# encoding: UTF-8 + +# 从bitmex下载数据 +from datetime import datetime, timezone,timedelta +from time import time +import sys +import requests +import execjs +import traceback +import hashlib +import hmac +from urllib.parse import urlencode +from collections import OrderedDict +from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData + +period_list = ['1min','5min','1day','1hour'] + +class BitmexData(object): + # ---------------------------------------------------------------------- + def __init__(self, strategy=None,apiKey=None,apiSecret=None): + """ + 构造函数 + :param strategy: 上层策略，主要用与使用strategy.writeCtaLog（） + """ + self.strategy = strategy + self.apiKey = apiKey + self.apiSecret = apiSecret + + # 设置HTTP请求的尝试次数，建立连接session + self.session = requests.session() + self.session.keep_alive = False + + # ---------------------------------------------------------------------- + def generateSignature(self, method, path, expires, params=None, body=None): + """生成签名""" + # 对params在HTTP报文路径中，以请求字段方式序列化 + if params: + query = urlencode(sorted(params.items())) + path = path + '?' + query + + if body is None: + body = '' + + msg = method + '/api/v1' + path + str(expires) + body + signature = hmac.new(self.apiSecret.encode('utf-8'), msg.encode('utf-8'), + digestmod=hashlib.sha256).hexdigest() + + return signature + + def writeLog(self,content): + if self.strategy and hasattr(self.strategy,'writeCtaLog'): + self.strategy.writeCtaLog(content) + else: + print(content) + + def writeError(self,content): + if self.strategy: + self.strategy.writeCtaError(content) + else: + print(content,file=sys.stderr) + + def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None): + """ + 返回k线数据 + symbol：合约 + period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour + """ + ret_bars = [] + if period not in period_list: + self.strategy.writeCtaError('{} not in {}'.format(period,period_list)) + return False,ret_bars + + period = period.replace('min','m').replace('hour','h').replace('day','d') + count = 750 + if start_dt is None: + if period=='1d': + start_dt = datetime.utcnow() - timedelta(days=count-1) + elif period=='1h': + print(u'utc now():{}'.format(datetime.utcnow())) + start_dt = datetime.utcnow() - timedelta(hours=count-1) + print(u'start_dt():{}'.format(start_dt)) + elif period == '5m': + start_dt = datetime.utcnow() - timedelta(minutes=(count-1) * 5) + else: + start_dt = datetime.utcnow() - timedelta(minutes=count-1) + + path = '/trade/bucketed' + url = u'https://www.bitmex.com/api/v1'+path + params = {'binSize':period,'partial':True,'symbol':symbol,'startTime':start_dt.strftime('%Y-%m-%d %H:%M'),'count':count} + + params = OrderedDict(sorted(params.items())) + + expires = int(time() + 5) + rq = requests.Request(url=url) + p = rq.prepare() + + header = { + 'Content-Type': 'application/x-www-form-urlencoded', + 'Accept': 'application/json', + 'api-expires': str(expires), + 'api-key':self.apiKey, + 'api-signature': self.generateSignature('GET', path, expires, params, body=p.body) + } + print(header) + + session = requests.Session() + resp = session.request('GET', url, headers=header, params=params,data=None) + + self.writeLog('{}开始下载:{} {}数据.开始时间:{} URL:{}'.format(datetime.now(), symbol, period,start_dt,url)) + + bars = None + code = resp.status_code + bars = resp.json() + if code != 200: + self.strategy.writeCtaError('get_bars {},{}'.format(code, bars)) + return False, ret_bars + + bar_len = len(bars) + self.writeLog(u'共下载:{}条'.format(bar_len)) + for i, bar in enumerate(bars): + add_bar = CtaBarData() + try: + add_bar.vtSymbol = symbol + add_bar.symbol = symbol + + utc_str_time = bar.get('timestamp').replace('T',' ').replace('Z','') + utc_datetime = datetime.strptime(utc_str_time,'%Y-%m-%d %H:%M:%S.%f') + + add_bar.datetime = utc_datetime + timedelta(hours=8) + # 时区得调整 +8 + if period == '1h': + add_bar.datetime = add_bar.datetime - timedelta(hours=1) + elif period == '5m': + add_bar.datetime = add_bar.datetime - timedelta(minutes=5) + elif period == '1m': + add_bar.datetime = add_bar.datetime - timedelta(minutes=1) + + # 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 + + add_bar.date = add_bar.datetime.strftime('%Y-%m-%d') + add_bar.time = add_bar.datetime.strftime('%H:%M:%S') + add_bar.tradingDay = add_bar.date + add_bar.open = float(bar.get('open', 0.0)) + add_bar.high = float(bar.get('high', 0.0)) + add_bar.low = float(bar.get('low', 0.0)) + add_bar.close = float(bar.get('close', 0.0)) + add_bar.volume = float(bar.get('volume', 0.0)) + ret_bars.append(add_bar) + except Exception as ex: + self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc())) + return False,ret_bars + + if start_dt is not None and add_bar.datetime < start_dt: + continue + + if callback is not None: + # 最后一个bar，可能是不完整的，强制修改 + if i == bar_len -1 and bar_is_completed: + # 根据秒数算的话，要+1，例如13:31,freq=31，第31根bar + freq = int((datetime.now() - add_bar.datetime).total_seconds()/60)+1 + callback(add_bar,False,freq) + else: + callback(add_bar, bar_is_completed, bar_freq) + + return True,ret_bars + + def download_bars(self, symbol, period, size_=None, start_dt=None): + """ + 返回k线数据 + symbol：合约 + period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour + """ + ret_bars = [] + + url = u'https://www.okex.com/api/v1/kline.do?symbol={}&type={}'.format(symbol, period) + if isinstance(size_,int): + url = url + u'&size={}'.format(size_) + if start_dt is not None and isinstance(start_dt,datetime): + url = url + u'&since={}'.format(int(start_dt.timestamp()*1000)) + self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period,url)) + + content = None + try: + content = self.session.get(url).content.decode('gbk') + except Exception as ex: + self.writeError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc())) + return ret_bars + + bars = execjs.eval(content) + + if not isinstance(bars,list): + self.writeError('返回数据不是list:{}'.format(content)) + return ret_bars + + for i, bar in enumerate(bars): + if len(bar) < 5: + self.writeError('error when get bar:{}'.format(bar)) + return ret_bars + if i == 0: + continue + add_bar = {} + try: + + bar_datetime= datetime.fromtimestamp(bar[0] / 1000) + add_bar['datetime'] = bar_datetime.strftime('%Y-%m-%d %H:%M:%S') + add_bar['date'] = bar_datetime.strftime('%Y-%m-%d') + add_bar['time'] = bar_datetime.strftime('%H:%M:%S') + add_bar['open'] = float(bar[1]) + add_bar['high'] = float(bar[2]) + add_bar['low'] = float(bar[3]) + add_bar['close'] = float(bar[4]) + add_bar['volume'] = float(bar[5]) + except Exception as ex: + self.writeError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc())) + + ret_bars.append(add_bar) + + return ret_bars + + +class TestStrategy(object): + + def __init__(self): + + self.minDiff = 1 + self.shortSymbol = 'btc' + self.vtSymbol = 'btc' + + self.TMinuteInterval = 1 + def addBar(self,bar,bar_is_completed, bar_freq): + 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)) + def onBar(self, bar): + 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)) + + def writeCtaLog(self, content): + print(content) + + def writeCtaError(self, content): + print(content) + +if __name__ == '__main__': + t = TestStrategy() + # 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。 + API_KEY = 'xx' + API_SECRET = 'xxx-xxx-xx' + + bitmex_data = BitmexData(t,API_KEY,API_SECRET) + + #bitmex_data.get_bars(symbol='XBTUSD',period='1hour',callback=t.addBar,bar_is_completed=True,bar_freq=60) + bitmex_data.get_bars(symbol='XBTUSD',period='5min',callback=t.addBar,bar_is_completed=True,bar_freq=60) + + +