update coinbase
This commit is contained in:
LimingFang
parent
851c22528f
commit
2ab2e49121
@ -23,7 +23,6 @@ from vnpy.trader.constant import (
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OrderType,
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Product,
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Status,
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Offset,
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Interval
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)
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from vnpy.trader.gateway import BaseGateway
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@ -31,7 +30,6 @@ from vnpy.trader.object import (
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TickData,
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OrderData,
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TradeData,
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PositionData,
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AccountData,
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ContractData,
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BarData,
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@ -49,8 +47,6 @@ SANDBOX_WEBSOCKET_HOST = "wss://ws-feed-public.sandbox.pro.coinbase.com"
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DIRECTION_VT2COINBASE = {Direction.LONG: "buy", Direction.SHORT: "sell"}
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DIRECTION_COINBASE2VT = {v: k for k, v in DIRECTION_VT2COINBASE.items()}
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STOP_VT2COINBASE = {Direction.LONG: "entry", Direction.SHORT: "loss"}
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ORDERTYPE_VT2COINBASE = {
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OrderType.LIMIT: "limit",
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OrderType.MARKET: "market",
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@ -96,13 +92,6 @@ class CoinbaseGateway(BaseGateway):
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self.rest_api = CoinbaseRestApi(self)
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self.ws_api = CoinbaseWebsocketApi(self)
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self.rest_api_inited = False
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self.product_id = []
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self.received_instrument = False
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event_engine.register(EVENT_TIMER, self.process_timer_event)
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def connect(self, setting: dict):
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""""""
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key = setting["ID"]
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@ -120,10 +109,7 @@ class CoinbaseGateway(BaseGateway):
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self.rest_api.connect(key, secret, passphrase, session_number, server,
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proxy_host, proxy_port)
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while not self.received_instrument:
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time.sleep(0.5)
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self.write_log("合约查询成功")
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self.ws_api.connect(
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key,
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secret,
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@ -146,7 +132,7 @@ class CoinbaseGateway(BaseGateway):
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def query_account(self):
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""""""
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return self.rest_api.qry_account()
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return self.rest_api.query_account()
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def query_position(self):
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"""
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@ -168,12 +154,11 @@ class CoinbaseGateway(BaseGateway):
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def process_timer_event(self, event: Event):
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""""""
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self.rest_api.reset_rate_limit()
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if self.rest_api_inited:
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self.init_query()
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def init_query(self):
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""""""
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self.rest_api.qry_account()
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self.rest_api.query_account()
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class CoinbaseWebsocketApi(WebsocketClient):
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@ -226,6 +211,8 @@ class CoinbaseWebsocketApi(WebsocketClient):
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self.init(SANDBOX_WEBSOCKET_HOST, proxy_host, proxy_port)
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self.start()
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self.gateway.event_engine.register(EVENT_TIMER, self.gateway.process_timer_event)
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def subscribe(self, req: SubscribeRequest):
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""""""
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symbol = req.symbol
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@ -269,10 +256,11 @@ class CoinbaseWebsocketApi(WebsocketClient):
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"""
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callback when data is received and unpacked
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"""
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if packet['type'] == 'error':
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self.gateway.write_log("Websocket API报错： %s" % packet['message'])
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self.gateway.write_log("Websocket API报错原因是： %s" % packet['reason'])
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self.gateway.write_log(
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"Websocket API报错： %s" % packet['message'])
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self.gateway.write_log(
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"Websocket API报错原因是： %s" % packet['reason'])
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self.active = False
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else:
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@ -385,6 +373,7 @@ class OrderBook():
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self.gateway = gateway
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self.newest_tick = TickData(
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"COINBASE", symbol, exchange, datetime.now())
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self.first_update = False
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def on_message(self, d: dict):
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"""
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@ -426,21 +415,19 @@ class OrderBook():
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self.generate_tick(dt)
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def on_ticker(self, d: dict):
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"""
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call back when type is ticker
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"""
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tick = self.newest_tick
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tick.openPrice = float(d['open_24h'])
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tick.highPrice = float(d['high_24h'])
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tick.lowPrice = float(d['low_24h'])
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tick.lastPrice = float(d['price'])
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tick.open_price = float(d['open_24h'])
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tick.high_price = float(d['high_24h'])
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tick.low_price = float(d['low_24h'])
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tick.last_price = float(d['price'])
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tick.volume = float(d['volume_24h'])
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dt = datetime.strptime(
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d['time'], "%Y-%m-%dT%H:%M:%S.%fZ")
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self.gateway.on_tick(copy(tick))
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def on_snapshot(self, asks: Sequence[List], bids: Sequence[List]):
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@ -556,47 +543,44 @@ class CoinbaseRestApi(RestClient):
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self.init(SANDBOX_REST_HOST, proxy_host, proxy_port)
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self.start(session_number)
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self.gateway.rest_api_inited = True
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self.qry_instrument()
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# self.qry_orders()
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self.query_instrument()
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self.query_orders()
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self.gateway.write_log("REST API启动成功")
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def qry_instrument(self):
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def query_instrument(self):
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"""
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Get the instrument of Coinbase
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"""
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self.add_request(
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"GET",
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"/products",
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callback=self.on_qry_instrument,
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callback=self.on_query_instrument,
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params={},
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on_error=self.on_qry_instrument_error,
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on_error=self.on_query_instrument_error,
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)
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def qry_orders(self):
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def query_orders(self):
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""""""
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params = {"status": "all"}
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self.add_request(
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"GET",
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"/orders",
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callback=self.on_qry_orders,
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params=params,
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on_error=self.on_qry_orders_error,
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"/orders?status=all",
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callback=self.on_query_orders,
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params={},
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on_error=self.on_query_orders_error,
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)
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def qry_account(self):
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def query_account(self):
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""""""
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self.add_request(
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"GET",
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"/accounts",
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callback=self.on_qry_account,
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callback=self.on_query_account,
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params={},
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on_error=self.on_qry_account_error,
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on_error=self.on_query_account_error,
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)
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def on_qry_account(self, data, request):
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def on_query_account(self, data, request):
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""""""
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for acc in data:
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account_id = str(acc['id'])
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@ -612,7 +596,7 @@ class CoinbaseRestApi(RestClient):
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self.gateway.on_account(copy(account))
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def on_qry_account_error(
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def on_query_account_error(
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self,
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exception_type: type,
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exception_value: Exception,
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@ -622,7 +606,7 @@ class CoinbaseRestApi(RestClient):
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if not issubclass(exception_type, ConnectionError):
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self.on_error(exception_type, exception_value, tb, request)
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def on_qry_orders_error(
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def on_query_orders_error(
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self,
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exception_type: type,
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exception_value: Exception,
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@ -632,12 +616,12 @@ class CoinbaseRestApi(RestClient):
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if not issubclass(exception_type, ConnectionError):
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self.on_error(exception_type, exception_value, tb, request)
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def on_qry_orders(self, data, request):
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def on_query_orders(self, data, request):
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""""""
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for d in data:
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date, time = d['created_at'].split('T')
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if d['status'] == 'open':
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if not d['filled_size']:
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if not float(d['filled_size']):
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status = Status.NOTTRADED
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else:
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status = Status.PARTTRADED
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@ -661,11 +645,11 @@ class CoinbaseRestApi(RestClient):
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self.gateway.on_order(copy(order))
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orderDict[order.orderid] = order
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orderSysDict[order.orderid] = order.orderID
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orderSysDict[order.orderid] = order.orderid
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self.gateway.writeLog(u'委托信息查询成功')
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self.gateway.write_log(u'委托信息查询成功')
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def on_qry_instrument_error(
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def on_query_instrument_error(
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self,
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exception_type: type,
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exception_value: Exception,
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@ -678,7 +662,7 @@ class CoinbaseRestApi(RestClient):
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if not issubclass(exception_type, ConnectionError):
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self.on_error(exception_type, exception_value, tb, request)
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def on_qry_instrument(self, data, request):
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def on_query_instrument(self, data, request):
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""""""
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for d in data:
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contract = ContractData(
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@ -688,7 +672,7 @@ class CoinbaseRestApi(RestClient):
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product=Product.SPOT,
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pricetick=d['quote_increment'],
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size=d['base_min_size'],
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stop_supported=(not d['limit_only']),
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stop_supported=False,
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net_position=True,
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history_data=False,
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gateway_name=self.gateway_name,
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@ -696,8 +680,7 @@ class CoinbaseRestApi(RestClient):
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self.gateway.on_contract(contract)
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self.gateway.product_id.append(d['id'])
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self.gateway.received_instrument = True
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self.gateway.write_log("")
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def send_order(self, req: OrderRequest):
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""""""
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@ -716,9 +699,7 @@ class CoinbaseRestApi(RestClient):
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if req.type == OrderType.LIMIT:
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data['price'] = req.price
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elif req.type == OrderType.STOP:
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data['stop_price'] = req.price
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data['stop'] = STOP_VT2COINBASE[req.Direction]
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order = req.create_order_data(orderid, self.gateway_name)
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self.add_request(
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