[Mod]完成火币接口的测试
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vn.py
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a4614a6f27
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@ -1,5 +1,4 @@
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{
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"exchange": "huobi",
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"accessKey": "",
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"secretKey": "",
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"symbols": ["btcusdt","ethusdt","ethbtc"]
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5
vnpy/trader/gateway/huobiGateway/HUOBI_connect.json
Normal file
5
vnpy/trader/gateway/huobiGateway/HUOBI_connect.json
Normal file
@ -0,0 +1,5 @@
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{
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"accessKey": "",
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"secretKey": "",
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"symbols": ["btcusdt","ethusdt","ethbtc"]
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}
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@ -26,6 +26,18 @@ WEBSOCKET_MARKET_HOST = 'wss://api.huobi.pro/ws' # Global站行情
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WEBSOCKET_TRADE_HOST = 'wss://api.huobi.pro/ws/v1' # 资产和订单
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# 委托状态类型映射
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statusMapReverse = {}
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statusMapReverse['pre-submitted'] = STATUS_UNKNOWN
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statusMapReverse['submitting'] = STATUS_UNKNOWN
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statusMapReverse['submitted'] = STATUS_NOTTRADED
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statusMapReverse['partial-filled'] = STATUS_PARTTRADED
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statusMapReverse['partial-canceled'] = STATUS_CANCELLED
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statusMapReverse['filled'] = STATUS_ALLTRADED
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statusMapReverse['canceled'] = STATUS_CANCELLED
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#----------------------------------------------------------------------
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def _split_url(url):
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"""
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@ -226,6 +238,7 @@ class HuobiRestApi(RestClient):
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self.accountid = '' #
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self.cancelReqDict = {}
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self.orderBufDict = {}
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#----------------------------------------------------------------------
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def sign(self, request):
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@ -243,6 +256,9 @@ class HuobiRestApi(RestClient):
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if request.method == "POST":
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request.headers['Content-Type'] = 'application/json'
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if request.data:
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request.data = json.dumps(request.data)
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return request
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#----------------------------------------------------------------------
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@ -317,13 +333,32 @@ class HuobiRestApi(RestClient):
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self.addRequest('POST', path, self.onSendOrder,
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data=params, extra=localID)
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# 缓存委托
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.orderID = localID
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order.vtOrderID = '.'.join([order.gatewayName, order.orderID])
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order.symbol = orderReq.symbol
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order.exchange = EXCHANGE_HUOBI
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order.vtSymbol = '.'.join([order.symbol, order.exchange])
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order.price = orderReq.price
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order.totalVolume = orderReq.volume
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order.direction = orderReq.direction
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order.offset = OFFSET_NONE
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order.status = STATUS_UNKNOWN
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self.orderBufDict[localID] = order
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# 返回订单号
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return vtOrderID
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelReq):
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""""""
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localID = cancelOrderReq.orderID
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localID = cancelReq.orderID
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orderID = self.localOrderDict.get(localID, None)
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if orderID:
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@ -333,7 +368,7 @@ class HuobiRestApi(RestClient):
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if localID in self.cancelReqDict:
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del self.cancelReqDict[localID]
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else:
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self.cancelReqDict[localID] = cancelOrderReq
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self.cancelReqDict[localID] = cancelReq
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#----------------------------------------------------------------------
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def onQueryAccount(self, data, request): # type: (dict, Request)->None
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@ -397,8 +432,8 @@ class HuobiRestApi(RestClient):
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orderID = d['id']
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strOrderID = str(orderID)
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self.localID += 1
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localID = str(self.localID)
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self.gateway.localID += 1
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localID = str(self.gateway.localID)
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self.orderLocalDict[strOrderID] = localID
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self.localOrderDict[localID] = strOrderID
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@ -428,7 +463,7 @@ class HuobiRestApi(RestClient):
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if d['canceled-at']:
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order.cancelTime = datetime.fromtimestamp(d['canceled-at']/1000).strftime('%H:%M:%S')
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self.orderDict[orderID] = order
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self.orderDict[strOrderID] = order
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self.gateway.onOrder(order)
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#----------------------------------------------------------------------
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@ -462,17 +497,24 @@ class HuobiRestApi(RestClient):
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#----------------------------------------------------------------------
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def onSendOrder(self, data, request): # type: (dict, Request)->None
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""""""
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print('on send order', data)
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localID = request.extra
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order = self.orderBufDict[localID]
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status = data.get('status', None)
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if status == 'error':
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msg = u'错误代码：%s, 错误信息：%s' %(data['err-code'], data['err-msg'])
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self.gateway.writeLog(msg)
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order.status = STATUS_REJECTED
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self.gateway.onOrder(order)
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return
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localID = request.extra
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orderID = data
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self.localOrderDict[localID] = orderID
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orderID = data['data']
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strOrderID = str(orderID)
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self.localOrderDict[localID] = strOrderID
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self.orderDict[strOrderID] = order
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req = self.cancelReqDict.get(localID, None)
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if req:
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@ -551,7 +593,6 @@ class HuobiWebsocketApiBase(WebsocketClient):
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return
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if 'err-msg' in packet:
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print(packet)
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return self.onErrorMsg(packet)
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if "op" in packet and packet["op"] == "auth":
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@ -664,7 +705,7 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
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#----------------------------------------------------------------------
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def onOrder(self, data):
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""""""
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orderID = data['id']
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orderID = data['order-id']
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strOrderID = str(orderID)
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order = self.orderDict.get(strOrderID, None)
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@ -691,16 +732,23 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
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dt = datetime.fromtimestamp(data['created-at']/1000)
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order.orderTime = dt.strftime('%H:%M:%S')
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if 'buy' in data['order-type']:
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order.direction = DIRECTION_LONG
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else:
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order.direction = DIRECTION_SHORT
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order.offset = OFFSET_NONE
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self.orderDict[strOrderID] = order
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order.tradedVolume += float(data['filled-amount'])
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order.status = statusMapReverse.get(data['order-state'], STATUS_UNKNOWN)
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self.gateway.onOrder(order)
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if float(data['filled-amount']):
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trade = VtTradeData()
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trade.gatewayName = self.gatewayName
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trade.tradeID = data['seq-id']
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trade.tradeID = str(data['seq-id'])
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trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName])
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trade.symbol = data['symbol']
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@ -719,75 +767,6 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
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self.gateway.onTrade(trade)
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#----------------------------------------------------------------------
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def onOrderOld(self, data):
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""""""
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orderID = data['id']
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strOrderID = str(orderID)
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newTrade = False
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order = self.orderDict.get(strOrderID, None)
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if not order:
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self.gateway.localID += 1
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localID = str(self.gateway.localID)
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self.orderLocalDict[strOrderID] = localID
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self.localOrderDict[localID] = strOrderID
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.orderID = localID
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order.vtOrderID = '.'.join([order.gatewayName, order.orderID])
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order.symbol = data['symbol']
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order.exchange = EXCHANGE_HUOBI
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order.vtSymbol = '.'.join([order.symbol, order.exchange])
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order.price = float(data['order-price'])
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order.totalVolume = float(data['order-amount'])
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dt = datetime.fromtimestamp(data['created-at']/1000)
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order.orderTime = dt.strftime('%H:%M:%S')
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else:
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oldTradedVolume = order.tradedVolume
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if oldTradedVolume != float(data['filled-amount']):
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newTrade = True
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order.tradedVolume = float(data['filled-amount'])
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order.status = statusMapReverse.get(data['order-state'], STATUS_UNKNOWN)
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self.gateway.onOrder(order)
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if newTrade:
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trade = VtTradeData()
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trade.gatewayName = self.gatewayName
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trade.tradeID = data['seq-id']
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trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName])
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trade.symbol = data['symbol']
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trade.exchange = EXCHANGE_HUOBI
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trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
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if 'buy' in data['order-type']:
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trade.direction = DIRECTION_LONG
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else:
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trade.direction = DIRECTION_SHORT
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trade.offset = OFFSET_NONE
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trade.orderID = order.orderID
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trade.vtOrderID = order.vtOrderID
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trade.price = float(data['price'])
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trade.volume = order.tradedVolume - oldTradedVolume
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dt = datetime.fromtimestamp(d['created-at']/1000)
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trade.tradeTime = dt.strftime('%H:%M:%S')
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self.gateway.onTrade(trade)
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########################################################################
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class HuobiMarketWebsocketApi(HuobiWebsocketApiBase):
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@ -906,3 +885,15 @@ class HuobiMarketWebsocketApi(HuobiWebsocketApiBase):
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if tick.bidPrice1:
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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#----------------------------------------------------------------------
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def printDict(d):
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""""""
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print('-' * 30)
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l = d.keys()
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l.sort()
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for k in l:
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print(type(k), k, d[k])
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