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[Mod]完成火币接口的测试

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This commit is contained in:
vn.py 2018-12-27 16:44:44 +08:00
parent a4614a6f27
commit 2faac219a0
3 changed files with 89 additions and 94 deletions
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1
examples/CryptoTrader/HUOBI_connect.json
View File

@ -1,5 +1,4 @@
{ {
"exchange": "huobi",
"accessKey": "", "accessKey": "",
"secretKey": "", "secretKey": "",
"symbols": ["btcusdt","ethusdt","ethbtc"] "symbols": ["btcusdt","ethusdt","ethbtc"]

5
vnpy/trader/gateway/huobiGateway/HUOBI_connect.json Normal file
View File

@ -0,0 +1,5 @@
{
"accessKey": "",
"secretKey": "",
"symbols": ["btcusdt","ethusdt","ethbtc"]
}

177
vnpy/trader/gateway/huobiGateway/huobiGateway.py
View File

@ -26,6 +26,18 @@ WEBSOCKET_MARKET_HOST = 'wss://api.huobi.pro/ws' # Global站行情
WEBSOCKET_TRADE_HOST = 'wss://api.huobi.pro/ws/v1' # 资产和订单 WEBSOCKET_TRADE_HOST = 'wss://api.huobi.pro/ws/v1' # 资产和订单
# 委托状态类型映射
statusMapReverse = {}
statusMapReverse['pre-submitted'] = STATUS_UNKNOWN
statusMapReverse['submitting'] = STATUS_UNKNOWN
statusMapReverse['submitted'] = STATUS_NOTTRADED
statusMapReverse['partial-filled'] = STATUS_PARTTRADED
statusMapReverse['partial-canceled'] = STATUS_CANCELLED
statusMapReverse['filled'] = STATUS_ALLTRADED
statusMapReverse['canceled'] = STATUS_CANCELLED
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def _split_url(url): def _split_url(url):
""" """
@ -226,6 +238,7 @@ class HuobiRestApi(RestClient):
self.accountid = '' # self.accountid = '' #
self.cancelReqDict = {} self.cancelReqDict = {}
self.orderBufDict = {}
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def sign(self, request): def sign(self, request):
@ -243,6 +256,9 @@ class HuobiRestApi(RestClient):
if request.method == "POST": if request.method == "POST":
request.headers['Content-Type'] = 'application/json' request.headers['Content-Type'] = 'application/json'
if request.data:
request.data = json.dumps(request.data)
return request return request
#---------------------------------------------------------------------- #----------------------------------------------------------------------
@ -316,6 +332,25 @@ class HuobiRestApi(RestClient):
path = '/v1/order/orders/place' path = '/v1/order/orders/place'
self.addRequest('POST', path, self.onSendOrder, self.addRequest('POST', path, self.onSendOrder,
data=params, extra=localID) data=params, extra=localID)
# 缓存委托
order = VtOrderData()
order.gatewayName = self.gatewayName
order.orderID = localID
order.vtOrderID = '.'.join([order.gatewayName, order.orderID])
order.symbol = orderReq.symbol
order.exchange = EXCHANGE_HUOBI
order.vtSymbol = '.'.join([order.symbol, order.exchange])
order.price = orderReq.price
order.totalVolume = orderReq.volume
order.direction = orderReq.direction
order.offset = OFFSET_NONE
order.status = STATUS_UNKNOWN
self.orderBufDict[localID] = order
# 返回订单号 # 返回订单号
return vtOrderID return vtOrderID
@ -323,7 +358,7 @@ class HuobiRestApi(RestClient):
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def cancelOrder(self, cancelReq): def cancelOrder(self, cancelReq):
"""""" """"""
localID = cancelOrderReq.orderID localID = cancelReq.orderID
orderID = self.localOrderDict.get(localID, None) orderID = self.localOrderDict.get(localID, None)
if orderID: if orderID:
@ -333,7 +368,7 @@ class HuobiRestApi(RestClient):
if localID in self.cancelReqDict: if localID in self.cancelReqDict:
del self.cancelReqDict[localID] del self.cancelReqDict[localID]
else: else:
self.cancelReqDict[localID] = cancelOrderReq self.cancelReqDict[localID] = cancelReq
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def onQueryAccount(self, data, request): # type: (dict, Request)->None def onQueryAccount(self, data, request): # type: (dict, Request)->None
@ -397,8 +432,8 @@ class HuobiRestApi(RestClient):
orderID = d['id'] orderID = d['id']
strOrderID = str(orderID) strOrderID = str(orderID)
self.localID += 1 self.gateway.localID += 1
localID = str(self.localID) localID = str(self.gateway.localID)
self.orderLocalDict[strOrderID] = localID self.orderLocalDict[strOrderID] = localID
self.localOrderDict[localID] = strOrderID self.localOrderDict[localID] = strOrderID
@ -428,7 +463,7 @@ class HuobiRestApi(RestClient):
if d['canceled-at']: if d['canceled-at']:
order.cancelTime = datetime.fromtimestamp(d['canceled-at']/1000).strftime('%H:%M:%S') order.cancelTime = datetime.fromtimestamp(d['canceled-at']/1000).strftime('%H:%M:%S')
self.orderDict[orderID] = order self.orderDict[strOrderID] = order
self.gateway.onOrder(order) self.gateway.onOrder(order)
#---------------------------------------------------------------------- #----------------------------------------------------------------------
@ -462,17 +497,24 @@ class HuobiRestApi(RestClient):
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def onSendOrder(self, data, request): # type: (dict, Request)->None def onSendOrder(self, data, request): # type: (dict, Request)->None
"""""" """"""
print('on send order', data) localID = request.extra
order = self.orderBufDict[localID]
status = data.get('status', None) status = data.get('status', None)
if status == 'error': if status == 'error':
msg = u'错误代码：%s, 错误信息：%s' %(data['err-code'], data['err-msg']) msg = u'错误代码：%s, 错误信息：%s' %(data['err-code'], data['err-msg'])
self.gateway.writeLog(msg) self.gateway.writeLog(msg)
return
order.status = STATUS_REJECTED
self.gateway.onOrder(order)
return
localID = request.extra orderID = data['data']
orderID = data strOrderID = str(orderID)
self.localOrderDict[localID] = orderID
self.localOrderDict[localID] = strOrderID
self.orderDict[strOrderID] = order
req = self.cancelReqDict.get(localID, None) req = self.cancelReqDict.get(localID, None)
if req: if req:
@ -551,7 +593,6 @@ class HuobiWebsocketApiBase(WebsocketClient):
return return
if 'err-msg' in packet: if 'err-msg' in packet:
print(packet)
return self.onErrorMsg(packet) return self.onErrorMsg(packet)
if "op" in packet and packet["op"] == "auth": if "op" in packet and packet["op"] == "auth":
@ -664,7 +705,7 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def onOrder(self, data): def onOrder(self, data):
"""""" """"""
orderID = data['id'] orderID = data['order-id']
strOrderID = str(orderID) strOrderID = str(orderID)
order = self.orderDict.get(strOrderID, None) order = self.orderDict.get(strOrderID, None)
@ -690,102 +731,40 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
dt = datetime.fromtimestamp(data['created-at']/1000) dt = datetime.fromtimestamp(data['created-at']/1000)
order.orderTime = dt.strftime('%H:%M:%S') order.orderTime = dt.strftime('%H:%M:%S')
if 'buy' in data['order-type']:
order.direction = DIRECTION_LONG
else:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_NONE
self.orderDict[strOrderID] = order
order.tradedVolume += float(data['filled-amount']) order.tradedVolume += float(data['filled-amount'])
order.status = statusMapReverse.get(data['order-state'], STATUS_UNKNOWN) order.status = statusMapReverse.get(data['order-state'], STATUS_UNKNOWN)
self.gateway.onOrder(order) self.gateway.onOrder(order)
if float(data['filled-amount']):
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.tradeID = data['seq-id']
trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName])
trade.symbol = data['symbol']
trade.exchange = EXCHANGE_HUOBI
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
trade.direction = order.direction
trade.offset = order.offset
trade.orderID = order.orderID
trade.vtOrderID = order.vtOrderID
trade.price = float(data['price'])
trade.volume = float(data['filled-amount'])
dt = datetime.now()
trade.tradeTime = dt.strftime('%H:%M:%S')
self.gateway.onTrade(trade)
#----------------------------------------------------------------------
def onOrderOld(self, data):
""""""
orderID = data['id']
strOrderID = str(orderID)
newTrade = False
order = self.orderDict.get(strOrderID, None)
if not order:
self.gateway.localID += 1
localID = str(self.gateway.localID)
self.orderLocalDict[strOrderID] = localID
self.localOrderDict[localID] = strOrderID
order = VtOrderData()
order.gatewayName = self.gatewayName
order.orderID = localID
order.vtOrderID = '.'.join([order.gatewayName, order.orderID])
order.symbol = data['symbol']
order.exchange = EXCHANGE_HUOBI
order.vtSymbol = '.'.join([order.symbol, order.exchange])
order.price = float(data['order-price'])
order.totalVolume = float(data['order-amount'])
dt = datetime.fromtimestamp(data['created-at']/1000)
order.orderTime = dt.strftime('%H:%M:%S')
else:
oldTradedVolume = order.tradedVolume
if oldTradedVolume != float(data['filled-amount']):
newTrade = True
order.tradedVolume = float(data['filled-amount'])
order.status = statusMapReverse.get(data['order-state'], STATUS_UNKNOWN)
self.gateway.onOrder(order)
if newTrade:
trade = VtTradeData() trade = VtTradeData()
trade.gatewayName = self.gatewayName trade.gatewayName = self.gatewayName
trade.tradeID = data['seq-id'] trade.tradeID = str(data['seq-id'])
trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName]) trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName])
trade.symbol = data['symbol'] trade.symbol = data['symbol']
trade.exchange = EXCHANGE_HUOBI trade.exchange = EXCHANGE_HUOBI
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange]) trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
trade.direction = order.direction
if 'buy' in data['order-type']: trade.offset = order.offset
trade.direction = DIRECTION_LONG
else:
trade.direction = DIRECTION_SHORT
trade.offset = OFFSET_NONE
trade.orderID = order.orderID trade.orderID = order.orderID
trade.vtOrderID = order.vtOrderID trade.vtOrderID = order.vtOrderID
trade.price = float(data['price']) trade.price = float(data['price'])
trade.volume = order.tradedVolume - oldTradedVolume trade.volume = float(data['filled-amount'])
dt = datetime.fromtimestamp(d['created-at']/1000) dt = datetime.now()
trade.tradeTime = dt.strftime('%H:%M:%S') trade.tradeTime = dt.strftime('%H:%M:%S')
self.gateway.onTrade(trade) self.gateway.onTrade(trade)
@ -905,4 +884,16 @@ class HuobiMarketWebsocketApi(HuobiWebsocketApiBase):
if tick.bidPrice1: if tick.bidPrice1:
newtick = copy(tick) newtick = copy(tick)
self.gateway.onTick(newtick) self.gateway.onTick(newtick)
#----------------------------------------------------------------------
def printDict(d):
""""""
print('-' * 30)
l = d.keys()
l.sort()
for k in l:
print(type(k), k, d[k])