vn.py
GitHub
commit
309a7e2c0a
@ -2,10 +2,10 @@
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import unittest
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from Promise import Promise
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from vnpy.api.websocket import WebSocketClient
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from vnpy.api.websocket import WebsocketClient
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class TestWebsocketClient(WebSocketClient):
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class TestWebsocketClient(WebsocketClient):
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def __init__(self):
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host = 'wss://echo.websocket.org'
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File diff suppressed because it is too large
Load Diff
@ -1,6 +0,0 @@
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from .OkexFuturesApi import OkexFuturesAccountInfoV3, OkexFuturesContractType, \
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OkexFuturesContractsInfoV3, OkexFuturesOrder, OkexFuturesOrderDetailV3, \
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OkexFuturesOrderSentInfoV3, OkexFuturesOrderStatus, OkexFuturesPosition, \
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OkexFuturesPositionDetail, OkexFuturesPositionInfoV3, OkexFuturesPriceType, \
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OkexFuturesRestClientV1, OkexFuturesRestClientV3, OkexFuturesSymbol, OkexFuturesUserInfo, \
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OkexFuturesWebSocketClient
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@ -88,7 +88,7 @@ class RestClient(object):
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self.urlBase = urlBase
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#----------------------------------------------------------------------
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def _generateSession(self):
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def _createSession(self):
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""""""
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return requests.session()
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@ -127,7 +127,7 @@ class RestClient(object):
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params=None, # type: dict
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data=None, # type: dict
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headers=None, # type: dict
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onFailed=None, # type: Callable[[dict, Request], Any]
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onFailed=None, # type: Callable[[int, Request], Any]
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extra=None # type: Any
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): # type: (...)->Request
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"""
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@ -151,7 +151,7 @@ class RestClient(object):
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#----------------------------------------------------------------------
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def _run(self):
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session = self._generateSession()
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session = self._createSession()
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while self._active:
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try:
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request = self._queue.get(timeout=1)
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@ -11,7 +11,7 @@ import websocket
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from threading import Lock, Thread
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class WebSocketClient(object):
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class WebsocketClient(object):
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"""
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Websocket API
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@ -36,8 +36,6 @@ class WebSocketClient(object):
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def __init__(self):
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"""Constructor"""
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self.host = None # type: str
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self._createConnection = websocket.create_connection
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self._ws_lock = Lock()
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self._ws = None # type: websocket.WebSocket
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@ -70,7 +68,8 @@ class WebSocketClient(object):
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"""
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self._active = False
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self._disconnect()
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#----------------------------------------------------------------------
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def join(self):
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"""
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等待所有工作线程退出
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@ -100,6 +99,10 @@ class WebSocketClient(object):
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if self._active:
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self._disconnect()
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self._connect()
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#----------------------------------------------------------------------
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def _createConnection(self, *args, **kwargs):
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return websocket.create_connection(*args, **kwargs)
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#----------------------------------------------------------------------
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def _connect(self):
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@ -1 +1 @@
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from .WebSocketClient import WebSocketClient
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from .WebsocketClient import WebsocketClient
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1
vnpy/trader/gateway/okexFuturesGateway/OkexFuturesApi.py
Normal file
1
vnpy/trader/gateway/okexFuturesGateway/OkexFuturesApi.py
Normal file
@ -0,0 +1 @@
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@ -8,7 +8,7 @@ import urllib
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import time
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from vnpy.api.rest import Request, RestClient
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from vnpy.api.websocket import WebSocketClient
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from vnpy.api.websocket import WebsocketClient
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#----------------------------------------------------------------------
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@ -36,6 +36,7 @@ def signV1(dataWithApiKey, apiSecret):
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def signV3(dataToSign, apiSecret):
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return base64.b64encode( hmac.new(apiSecret, dataToSign.encode(), hashlib.sha256).digest())
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########################################################################
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class OkexFuturesRestBaseV1(RestClient):
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host = 'https://www.okex.com/api/v1'
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@ -115,7 +116,7 @@ class OkexFuturesRestBaseV3(RestClient):
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########################################################################
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class OkexFuturesWebSocketBase(WebSocketClient):
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class OkexFuturesWebSocketBase(WebsocketClient):
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"""
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Okex期货websocket客户端
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实例化后使用init设置apiKey和secretKey（apiSecret）
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@ -0,0 +1,11 @@
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# encoding: UTF-8
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from __future__ import absolute_import
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from vnpy.trader import vtConstant
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from .okexFuturesGateway import OkexFuturesGateway
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gatewayClass = OkexFuturesGateway
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gatewayName = 'OKEXFUTURES'
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gatewayDisplayName = 'OKEXFUTURES'
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gatewayType = vtConstant.GATEWAYTYPE_BTC
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gatewayQryEnabled = True
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@ -1,420 +0,0 @@
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# encoding: UTF-8
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from __future__ import print_function
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import json
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from typing import Dict
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from vnpy.api.okexfutures.OkexFuturesApi import *
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from vnpy.trader.vtFunction import getJsonPath
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from vnpy.trader.vtGateway import *
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########################################################################
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class _Order(object):
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_lastLocalId = 0
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#----------------------------------------------------------------------
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def __init__(self):
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_Order._lastLocalId += 1
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self.localId = str(_Order._lastLocalId)
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self.remoteId = None
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self.vtOrder = None # type: VtOrderData
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########################################################################
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class OkexFuturesGateway(VtGateway):
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"""OKEX期货交易接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, *_, **__): # args, kwargs is needed for compatibility
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"""Constructor"""
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super(OkexFuturesGateway, self).__init__(eventEngine, 'OkexFuturesGateway')
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self.exchange = constant.EXCHANGE_OKEXFUTURE
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self.apiKey = None # type: str
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self.apiSecret = None # type: str
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self.apiPassphrase = None # type: str
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self.restApi = OkexFuturesRestClientV3()
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self.webSocket = OkexFuturesWebSocketClient()
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self.webSocket.onTick = self._onTick
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self.webSocket.onUserTrade = self._onUserTrade
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self.leverRate = 1
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self.symbols = []
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self.tradeID = 0
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self._orders = {} # type: Dict[str, _Order]
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self._remoteIds = {} # type: Dict[str, _Order]
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#----------------------------------------------------------------------
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def readConfig(self):
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"""
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从json文件中读取设置，并将其内容返回为一个dict
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:一个一个return:
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"""
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fileName = self.gatewayName + '_connect.json'
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filePath = getJsonPath(fileName, __file__)
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try:
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with open(filePath, 'rt') as f:
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return json.load(f)
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except IOError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'读取连接配置出错，请检查'
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# todo: pop a message box is better
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self.onLog(log)
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return None
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#----------------------------------------------------------------------
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def loadSetting(self):
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"""载入设置"""
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setting = self.readConfig()
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if setting:
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"""连接"""
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# 载入json文件
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try:
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# todo: check by predefined settings names and types
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# or check by validator
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self.apiKey = str(setting['apiKey'])
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self.apiSecret = str(setting['secretKey'])
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self.apiPassphrase = str(setting['passphrase'])
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self.leverRate = setting['leverRate']
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self.symbols = setting['symbols']
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'连接配置缺少字段，请检查'
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self.onLog(log)
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return
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#----------------------------------------------------------------------
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def connect(self):
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"""连接"""
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self.loadSetting()
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self.restApi.init(self.apiKey, self.apiSecret, self.apiPassphrase)
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self.webSocket.init(self.apiKey, self.apiSecret, self.apiPassphrase)
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self.restApi.start()
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self.webSocket.start()
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq): # type: (VtSubscribeReq)->None
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"""订阅行情"""
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remoteSymbol, remoteContractType = localSymbolToRemote(subscribeReq.symbol)
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return self.webSocket.subscribe(remoteSymbol, remoteContractType)
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#----------------------------------------------------------------------
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def _getOrderByLocalId(self, localId):
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"""从本地Id获取对应的内部Order对象"""
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if localId in self._orders:
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return self._orders[localId]
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return None
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#----------------------------------------------------------------------
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def _getOrderByRemoteId(self, remoteId):
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"""从Api的OrderId获取对应的内部Order对象"""
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if remoteId in self._remoteIds:
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return self._remoteIds[remoteId]
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return None
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#----------------------------------------------------------------------
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def _saveRemoteId(self, remoteId, myorder):
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"""将remoteId和队友的"""
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myorder.remoteId = remoteId
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self._remoteIds[remoteId] = myorder
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#----------------------------------------------------------------------
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def _generateLocalOrder(self, symbol, price, volume, direction, offset):
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myorder = _Order()
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localId = myorder.localId
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self._orders[localId] = myorder
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myorder.vtOrder = VtOrderData.createFromGateway(self,
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self.exchange,
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localId,
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symbol,
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price,
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volume,
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direction,
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offset)
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return myorder
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#----------------------------------------------------------------------
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def sendOrder(self, vtRequest): # type: (VtOrderReq)->str
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"""发单"""
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myorder = self._generateLocalOrder(vtRequest.symbol,
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vtRequest.price,
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vtRequest.volume,
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vtRequest.direction,
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vtRequest.offset)
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orderType = _orderTypeMap[(vtRequest.direction, vtRequest.offset)] # 开多、开空、平多、平空
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userMarketPrice = False
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if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE:
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userMarketPrice = True
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self.restApi.sendOrder(symbol=vtRequest.symbol,
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orderType=orderType,
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volume=vtRequest.volume,
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price=vtRequest.price,
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matchPrice=userMarketPrice,
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leverRate=self.leverRate,
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onSuccess=self._onOrderSent,
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onFailed=self._onSendOrderFailed,
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extra=myorder,
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)
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return myorder.localId
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#----------------------------------------------------------------------
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def cancelOrder(self, vtCancel): # type: (VtCancelOrderReq)->None
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"""撤单"""
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myorder = self._getOrderByLocalId(vtCancel.orderID)
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assert myorder is not None, u"理论上是无法取消一个不存在的本地单的"
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self.restApi.cancelOrder(vtCancel.symbol,
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myorder.remoteId,
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onSuccess=self._onOrderCanceled,
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extra=myorder
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)
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#----------------------------------------------------------------------
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def queryContracts(self):
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self.restApi.queryContracts(onSuccess=self._onQueryContracts)
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#----------------------------------------------------------------------
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def queryOrders(self, symbol, status): # type: (str, OkexFuturesOrderStatus)->None
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"""
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:param symbol:
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:param status: OkexFuturesOrderStatus
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:return:
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"""
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self.restApi.queryOrders(symbol=symbol,
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status=status,
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onSuccess=self._onQueryOrders,
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)
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#----------------------------------------------------------------------
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def qryAccount(self):
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self.restApi.queryAccount(onSuccess=self._onQueryAccount)
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"""查询账户资金"""
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pass
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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self.restApi.queryPositions(onSuccess=self._onQueryPosition)
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.restApi.stop()
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self.webSocket.stop()
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#----------------------------------------------------------------------
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def _onOrderSent(self, order, myorder): #type: (OkexFuturesOrderSentInfoV3, _Order)->None
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myorder.remoteId = order.orderId
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myorder.vtOrder.status = constant.STATUS_NOTTRADED
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self._saveRemoteId(myorder.remoteId, myorder)
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self.onOrder(myorder.vtOrder)
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#----------------------------------------------------------------------
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@staticmethod
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def _onSendOrderFailed(order, myorder): #type: (OkexFuturesOrderSentInfoV3, _Order)->None
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myorder.vtOrder.status = constant.STATUS_REJECTED
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#----------------------------------------------------------------------
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@staticmethod
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def _onOrderCanceled(myorder): # type: (_Order)->Any
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myorder.vtOrder.status = constant.STATUS_CANCELLED
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#----------------------------------------------------------------------
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def _onQueryContracts(self, contracts, extra): # type: (List[OkexFuturesContractsInfoV3], Any)->None
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for contract in contracts:
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vtContract = VtContractData.createFromGateway(
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gateway=self,
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exchange=self.exchange,
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symbol=contract.symbol,
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productClass=constant.PRODUCT_FUTURES,
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priceTick=contract.tickSize,
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size=contract.quoteIncrement,
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name=contract.symbol,
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expiryDate=contract.delivery,
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underlyingSymbol=contract.underlyingIndex
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)
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self.onContract(vtContract)
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#----------------------------------------------------------------------
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def _onQueryOrders(self, orders, extra): # type: (List[OkexFuturesOrderDetailV3], Any)->None
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localContractType = extra
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for order in orders:
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remoteId = order.remoteId
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myorder = self._getOrderByRemoteId(remoteId)
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if myorder:
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# 如果订单已经缓存在本地，则尝试更新订单状态
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# 有新交易才推送更新
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if order.tradedVolume != myorder.vtOrder.tradedVolume:
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myorder.vtOrder.tradedVolume = order.tradedVolume
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myorder.vtOrder.status = constant.STATUS_PARTTRADED
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self.onOrder(myorder.vtOrder)
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else:
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# 本地无此订单的缓存（例如，用其他工具的下单）
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# 缓存该订单，并推送
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symbol = remoteSymbolToLocal(order.symbol, localContractType)
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direction, offset = remoteOrderTypeToLocal(order.orderType)
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myorder = self._generateLocalOrder(symbol, order.price, order.volume, direction, offset)
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myorder.vtOrder.tradedVolume = order.tradedVolume
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myorder.remoteId = order.remoteId
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self._saveRemoteId(myorder.remoteId, myorder)
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self.onOrder(myorder.vtOrder)
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#----------------------------------------------------------------------
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def _onQueryAccount(self, infos, _): # type: (List[OkexFuturesAccountInfoV3], Any)->None
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for info in infos:
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vtAccount = VtAccountData()
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vtAccount.accountID = info.currency
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vtAccount.vtAccountID = self.gatewayName + '.' + vtAccount.accountID
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vtAccount.balance = info.balance
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vtAccount.available = info.available
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vtAccount.margin = info.hold # todo: is this right?
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self.onAccount(vtAccount)
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#----------------------------------------------------------------------
|
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def _onQueryPosition(self, posex, extra): # type: (List[OkexFuturesPositionInfoV3], Any)->None
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localContractType = extra
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for pos in posex:
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# 多头持仓
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posex = VtPositionData.createFromGateway(
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gateway=self,
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exchange=self.exchange,
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symbol=remoteSymbolToLocal(pos.symbol, localContractType),
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direction=constant.DIRECTION_NET,
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position=float(pos.longQty),
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price=pos.longAvgCost,
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)
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self.onPosition(posex)
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# 空头持仓
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posex = VtPositionData.createFromGateway(
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gateway=self,
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exchange=self.exchange,
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symbol=remoteSymbolToLocal(pos.symbol, localContractType),
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direction=constant.DIRECTION_SHORT,
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position=float(pos.shortQty),
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price=pos.shortAvgCost,
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)
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self.onPosition(posex)
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#----------------------------------------------------------------------
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def _onTick(self, info): # type: (OkexFuturesTickInfo)->None
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uiSymbol = remoteSymbolToLocal(info.symbol, remoteContractTypeToLocal(info.remoteContractType))
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self.onTick(VtTickData.createFromGateway(
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gateway=self,
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symbol=uiSymbol,
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exchange=self.exchange,
|
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lastPrice=info.last,
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lastVolume=info.vol,
|
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highPrice=info.high,
|
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lowPrice=info.low,
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openInterest=info.holdAmount,
|
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lowerLimit=info.limitLow,
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upperLimit=info.limitHigh,
|
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))
|
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|
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def _onUserTrade(self, info): # type: (OkexFuturesUserTradeInfo)->None
|
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tradeID = str(self.tradeID)
|
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self.tradeID += 1
|
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order = self._getOrderByRemoteId(info.remoteId)
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if order:
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self.onTrade(VtTradeData.createFromOrderData(
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order=order.vtOrder,
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tradeID=tradeID,
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tradePrice=info.price,
|
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tradeVolume=info.dealAmount # todo: 这里应该填写的到底是order总共成交了的数量，还是该次trade成交的数量
|
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))
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else:
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# todo: 与order无关联的trade该如何处理？
|
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# uiSymbol = remoteSymbolToLocal(info.symbol, remoteContractTypeToLocal(info.remoteContractType))
|
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pass
|
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return
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localOrderTypeToRemote(direction, offset): # type: (str, str)->str
|
||||
return _orderTypeMap[(direction, offset)]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteOrderTypeToLocal(orderType): # type: (str)->(str, str)
|
||||
"""
|
||||
:param orderType:
|
||||
:return: direction, offset
|
||||
"""
|
||||
return _orderTypeMapReverse[orderType]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localContractTypeToRemote(localContractType):
|
||||
return _contractTypeMap[localContractType]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteContractTypeToLocal(remoteContractType):
|
||||
return _contractTypeMapReverse[remoteContractType]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localSymbolToRemote(symbol): # type: (str)->(OkexFuturesSymbol, OkexFuturesContractType)
|
||||
"""
|
||||
:return: remoteSymbol, remoteContractType
|
||||
"""
|
||||
return _symbolsForUi[symbol]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteSymbolToLocal(remoteSymbol, localContractType):
|
||||
return remoteSymbol.upper() + '_' + localContractType
|
||||
|
||||
|
||||
_orderTypeMap = {
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFuturesOrderType.OpenLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFuturesOrderType.OpenShort,
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFuturesOrderType.CloseLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFuturesOrderType.CloseShort,
|
||||
}
|
||||
_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()}
|
||||
|
||||
_contractTypeMap = {
|
||||
k.upper(): v for k, v in OkexFuturesContractType.__dict__.items() if not k.startswith('_')
|
||||
}
|
||||
_contractTypeMapReverse = {v: k for k, v in _contractTypeMap.items()}
|
||||
|
||||
_easySymbols = {
|
||||
v for k, v in OkexFuturesEasySymbol.__dict__.items() if not k.startswith('_')
|
||||
}
|
||||
|
||||
_remoteSymbols = {
|
||||
v for k, v in OkexFuturesSymbol.__dict__.items() if not k.startswith('_')
|
||||
}
|
||||
|
||||
# symbols for ui,
|
||||
# keys:给用户看的symbols : f"{internalSymbol}_{contractType}"
|
||||
# values: API接口使用的symbol和contractType字段
|
||||
_symbolsForUi = {(remoteSymbol.upper() + '_' + upperContractType.upper()): (remoteSymbol, remoteContractType)
|
||||
for remoteSymbol in _remoteSymbols
|
||||
for upperContractType, remoteContractType in
|
||||
_contractTypeMap.items()} # type: Dict[str, List[str, str]]
|
||||
_symbolsForUiReverse = {v: k for k, v in _symbolsForUi.items()}
|
||||
|
||||
_channel_for_subscribe = {
|
||||
'ok_sub_futureusd_' + easySymbol + '_ticker_' + remoteContractType: (easySymbol, remoteContractType)
|
||||
for easySymbol in _easySymbols
|
||||
for remoteContractType in _contractTypeMap.values()
|
||||
}
|
||||
836
vnpy/trader/gateway/okexFuturesGateway/okexFuturesGateway.py
Normal file
836
vnpy/trader/gateway/okexFuturesGateway/okexFuturesGateway.py
Normal file
@ -0,0 +1,836 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
from __future__ import print_function
|
||||
|
||||
import json
|
||||
import sys
|
||||
import traceback
|
||||
from collections import defaultdict
|
||||
|
||||
from enum import Enum
|
||||
from typing import Dict, List
|
||||
|
||||
from vnpy.api.rest import Request
|
||||
from vnpy.trader.gateway.okexFuturesGateway.OkexFuturesBase import \
|
||||
OkexFuturesRestBaseV3, \
|
||||
OkexFuturesWebSocketBase
|
||||
from vnpy.trader.vtFunction import getJsonPath
|
||||
from vnpy.trader.vtGateway import *
|
||||
|
||||
|
||||
########################################################################
|
||||
class ApiError(Exception):
|
||||
"""Okex的API常常变动，当API发生奇葩的变动的时候，会发升这个异常"""
|
||||
pass
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFuturesEasySymbol(object):
|
||||
BTC = 'btc'
|
||||
LTC = 'ltc'
|
||||
ETH = 'eth'
|
||||
ETC = 'etc'
|
||||
BCH = 'bch'
|
||||
EOS = 'eos'
|
||||
XRP = 'xrp'
|
||||
BTG = 'btg'
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFuturesSymbol(object):
|
||||
BTC = 'btc_usd'
|
||||
LTC = 'ltc_usd'
|
||||
ETH = 'eth_usd'
|
||||
ETC = 'etc_usd'
|
||||
BCH = 'bch_usd'
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFuturesPriceType(object):
|
||||
Buy = 'buy'
|
||||
Sell = 'sell'
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFuturesContractType(object):
|
||||
ThisWeek = 'this_week'
|
||||
NextWeek = 'next_week'
|
||||
Quarter = 'quarter'
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFuturesOrderType(object):
|
||||
OpenLong = '1'
|
||||
OpenShort = '2'
|
||||
CloseLong = '3'
|
||||
CloseShort = '4'
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFuturesOrderStatus(object):
|
||||
NotTraded = 0
|
||||
PartialTraded = 1
|
||||
Finished = 2
|
||||
|
||||
|
||||
########################################################################
|
||||
class Order(object):
|
||||
_lastLocalId = 0
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
Order._lastLocalId += 1
|
||||
self.localId = str(Order._lastLocalId)
|
||||
self.remoteId = None
|
||||
self.vtOrder = None # type: VtOrderData
|
||||
|
||||
|
||||
########################################################################
|
||||
class Symbol(object):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
self.v3 = None # type: str # BTC_USD_1891201
|
||||
self.ui = None # type: str # BTC_USD_NEXTWEEK
|
||||
self.v1Symbol = None # type: str # btc_usd
|
||||
self.uiSymbol = None # type: str # btc_usd
|
||||
self.easySymbol = None # type: str # btc
|
||||
self.localContractTYpe = None # type: str # THISWEEK
|
||||
self.remoteContractType = None # type: str # this_week
|
||||
|
||||
|
||||
########################################################################
|
||||
class ChannelType(Enum):
|
||||
Login = 1
|
||||
ForecastPrice = 2
|
||||
Tick = 3
|
||||
Depth = 4
|
||||
Trade = 5
|
||||
Index = 6
|
||||
UserTrade = 7
|
||||
UserInfo = 8
|
||||
Position = 9
|
||||
Order = 10
|
||||
|
||||
|
||||
########################################################################
|
||||
class Channel(object):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, type_, symbol=None, remoteContractType=None, extra_=None):
|
||||
self.type = type_
|
||||
self.symbol = symbol
|
||||
self.remoteContractType = remoteContractType
|
||||
self.extra = extra_
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFuturesGateway(VtGateway):
|
||||
"""OKEX期货交易接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, gatewayName='OKEXFUTURES'):
|
||||
"""Constructor"""
|
||||
super(OkexFuturesGateway, self).__init__(eventEngine, gatewayName)
|
||||
self.exchange = constant.EXCHANGE_OKEXFUTURE
|
||||
self.apiKey = None # type: str
|
||||
self.apiSecret = None # type: str
|
||||
self.apiPassphrase = None # type: str
|
||||
|
||||
self.restClient = OkexFuturesRestBaseV3()
|
||||
|
||||
self.webSocket = OkexFuturesWebSocketBase()
|
||||
self.webSocket.onPacket = self.onWebSocketPacket
|
||||
|
||||
self.leverRate = 1
|
||||
self.symbols = []
|
||||
|
||||
self._symbolDict = {} # type: Dict[str, Symbol]
|
||||
|
||||
self.tradeID = 0
|
||||
self._orders = {} # type: Dict[str, Order]
|
||||
self._remoteIds = {} # type: Dict[str, Order]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def readConfig(self):
|
||||
"""
|
||||
从json文件中读取设置，并将其内容返回为一个dict
|
||||
:一个一个return:
|
||||
"""
|
||||
fileName = self.gatewayName + '_connect.json'
|
||||
filePath = getJsonPath(fileName, __file__)
|
||||
|
||||
try:
|
||||
with open(filePath, 'rt') as f:
|
||||
return json.load(f)
|
||||
except IOError:
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'读取连接配置出错，请检查'
|
||||
# todo: pop a message box is better
|
||||
self.onLog(log)
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadSetting(self):
|
||||
"""载入设置"""
|
||||
setting = self.readConfig()
|
||||
if setting:
|
||||
"""连接"""
|
||||
# 载入json文件
|
||||
try:
|
||||
# todo: check by predefined settings names and types
|
||||
# or check by validator
|
||||
self.apiKey = str(setting['apiKey'])
|
||||
self.apiSecret = str(setting['secretKey'])
|
||||
self.apiPassphrase = str(setting['passphrase'])
|
||||
self.leverRate = setting['leverRate']
|
||||
self.symbols = setting['symbols']
|
||||
except KeyError:
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'连接配置缺少字段，请检查'
|
||||
self.onLog(log)
|
||||
return
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
self.loadSetting()
|
||||
self.restClient.init(self.apiKey, self.apiSecret, self.apiPassphrase)
|
||||
self.webSocket.init(self.apiKey, self.apiSecret, self.apiPassphrase)
|
||||
self.restClient.start()
|
||||
self.webSocket.start()
|
||||
|
||||
self.queryContracts()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq): # type: (VtSubscribeReq)->None
|
||||
"""订阅行情"""
|
||||
s = self.parseSymbol(subscribeReq.symbol)
|
||||
remoteSymbol = s.v1Symbol.lower()
|
||||
remoteContractType = s.remoteContractType
|
||||
|
||||
self.webSocket.sendPacket({
|
||||
'event': 'addChannel',
|
||||
'channel': 'ok_sub_futureusd_' + remoteSymbol.lower() + '_ticker_' + remoteContractType
|
||||
})
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribeUserTrade(self):
|
||||
self.webSocket.sendPacket({
|
||||
'event': 'addChannel',
|
||||
'channel': 'ok_sub_futureusd_trades'
|
||||
})
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _writeError(self, msg): # type: (str)->None
|
||||
e = VtErrorData()
|
||||
e.gatewayName = self.gatewayName
|
||||
e.errorMsg = msg
|
||||
self.onError(e)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _getOrderByLocalId(self, localId):
|
||||
"""从本地Id获取对应的内部Order对象"""
|
||||
if localId in self._orders:
|
||||
return self._orders[localId]
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _getOrderByRemoteId(self, remoteId):
|
||||
"""从Api的OrderId获取对应的内部Order对象"""
|
||||
if remoteId in self._remoteIds:
|
||||
return self._remoteIds[remoteId]
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _saveRemoteId(self, remoteId, myorder):
|
||||
"""将remoteId和队友的"""
|
||||
myorder.remoteId = remoteId
|
||||
self._remoteIds[remoteId] = myorder
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _generateLocalOrder(self, symbol, price, volume, direction, offset):
|
||||
myorder = Order()
|
||||
localId = myorder.localId
|
||||
self._orders[localId] = myorder
|
||||
myorder.vtOrder = VtOrderData.createFromGateway(self,
|
||||
localId,
|
||||
symbol,
|
||||
self.exchange,
|
||||
price,
|
||||
volume,
|
||||
direction,
|
||||
offset)
|
||||
return myorder
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def parseSymbol(self, symbol):
|
||||
return self._symbolDict[symbol]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, vtRequest): # type: (VtOrderReq)->str
|
||||
"""发单"""
|
||||
symbol = self.parseSymbol(vtRequest.symbol).v3
|
||||
myorder = self._generateLocalOrder(symbol,
|
||||
vtRequest.price,
|
||||
vtRequest.volume,
|
||||
vtRequest.direction,
|
||||
vtRequest.offset)
|
||||
|
||||
orderType = _orderTypeMap[(vtRequest.direction, vtRequest.offset)] # 开多、开空、平多、平空
|
||||
|
||||
data = {
|
||||
'client_oid': None,
|
||||
'instrument_id': symbol,
|
||||
'type': orderType,
|
||||
'size': vtRequest.volume,
|
||||
'leverage': self.leverRate,
|
||||
}
|
||||
if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE:
|
||||
data['match_price'] = '1'
|
||||
else:
|
||||
data['price'] = vtRequest.price
|
||||
|
||||
self.restClient.addRequest('POST', '/api/futures/v3/order',
|
||||
callback=self._onOrderSent,
|
||||
onFailed=self._onSendOrderFailed,
|
||||
data=data,
|
||||
extra=myorder
|
||||
)
|
||||
return myorder.vtOrder.vtOrderID
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, vtCancel): # type: (VtCancelOrderReq)->None
|
||||
"""撤单"""
|
||||
myorder = self._getOrderByLocalId(vtCancel.orderID)
|
||||
assert myorder is not None, u"理论上是无法取消一个不存在的本地单的"
|
||||
|
||||
symbol = vtCancel.symbol
|
||||
remoteId = myorder.remoteId
|
||||
|
||||
path = '/api/futures/v3/cancel_order/' + symbol + '/' + remoteId
|
||||
self.restClient.addRequest('POST', path,
|
||||
callback=self._onOrderCanceled,
|
||||
onFailed=self._onCancelOrderFailed,
|
||||
data={
|
||||
'instrument_id': symbol,
|
||||
'order_id': remoteId
|
||||
},
|
||||
extra=myorder
|
||||
)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def queryContracts(self):
|
||||
return self.restClient.addRequest('GET', '/api/futures/v3/instruments',
|
||||
callback=self._onQueryContracts,
|
||||
)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def queryOrders(self, symbol, status): # type: (str, OkexFuturesOrderStatus)->None
|
||||
"""
|
||||
:param symbol:
|
||||
:param status: OkexFuturesOrderStatus
|
||||
:return:
|
||||
"""
|
||||
symbol = self.parseSymbol(symbol).v3
|
||||
path = '/api/futures/v3/orders/' + symbol
|
||||
self.restClient.addRequest("POST", path,
|
||||
data={
|
||||
'status': status,
|
||||
'instrument_id': symbol,
|
||||
# 'from': 0,
|
||||
# 'to': 2,
|
||||
# 'limit': 100,
|
||||
},
|
||||
callback=self._onQueryOrders,
|
||||
)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryAccount(self):
|
||||
"""查询账户资金
|
||||
Okex 的API变化太大，不单独实现API了，所有东西都封装在这里面
|
||||
"""
|
||||
return self.restClient.addRequest('GET', '/api/futures/v3/accounts',
|
||||
callback=self._onQryAccounts,
|
||||
)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onQryAccounts(self, data, _):
|
||||
if 'info' not in data:
|
||||
raise ApiError("unable to parse account data")
|
||||
|
||||
for easySymbol, detail in data['info'].items(): # type: str, dict
|
||||
acc = VtAccountData()
|
||||
acc.gatewayName = self.gatewayName
|
||||
acc.accountID = easySymbol
|
||||
acc.vtAccountID = acc.gatewayName + '.' + acc.accountID
|
||||
|
||||
acc.balance = detail.get('equity', 0)
|
||||
acc.available = detail['total_avail_balance']
|
||||
if 'contracts' in detail:
|
||||
keys = {'available_qty': 'available_qty',
|
||||
'fixed_balance': 'fixed_balance',
|
||||
'margin_for_unfilled': 'margin',
|
||||
'margin_frozen': 'margin',
|
||||
'realized_pnl': 'realized_pnl',
|
||||
'unrealized_pnl': 'unrealized_pnl'}
|
||||
for v in keys.values():
|
||||
detail[v] = 0.0
|
||||
for c in detail['contracts']:
|
||||
for k, v in keys.items():
|
||||
detail[v] += float(c[k])
|
||||
acc.margin = detail['margin']
|
||||
acc.positionProfit = data.get('unrealized_pnl', 0)
|
||||
acc.closeProfit = data.get('realized_pnl', 0)
|
||||
self.onAccount(acc)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryPosition(self):
|
||||
"""查询持仓"""
|
||||
return self.restClient.addRequest('GET', '/api/futures/v3/position',
|
||||
callback=self._onQueryPosition,
|
||||
)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.restClient.stop()
|
||||
self.webSocket.stop()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onOrderSent(self, data, request): #type: (dict, Request)->None
|
||||
"""下单回调"""
|
||||
# errorCode = data['error_code'],
|
||||
# errorMessage = data['error_message'],
|
||||
myorder = request.extra # type: Order
|
||||
remoteId = data['order_id']
|
||||
if remoteId != '-1':
|
||||
myorder.remoteId = remoteId
|
||||
myorder.vtOrder.status = constant.STATUS_NOTTRADED
|
||||
self._saveRemoteId(myorder.remoteId, myorder)
|
||||
else:
|
||||
myorder.vtOrder.status = constant.STATUS_REJECTED
|
||||
self.onOrder(myorder.vtOrder)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onSendOrderFailed(self, _, request): # type:(int, Request)->None
|
||||
myorder = request.extra # type: Order
|
||||
myorder.vtOrder.status = constant.STATUS_REJECTED
|
||||
self.onOrder(myorder.vtOrder)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onOrderCanceled(self, data, request): #type: (dict, Request)->None
|
||||
myorder = request.extra # type: Order
|
||||
result = data['result']
|
||||
if result is True:
|
||||
myorder.vtOrder.status = constant.STATUS_CANCELLED
|
||||
self.onOrder(myorder.vtOrder)
|
||||
else:
|
||||
# todo: more detail about error
|
||||
print('failed to cancel order: ' + json.dumps(data))
|
||||
self._writeError('Failed to cancel order {}'.format(myorder.localId))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onCancelOrderFailed(self, _, request): # type:(int, Request)->None
|
||||
myorder = request.extra # type: Order
|
||||
self._writeError(u'Failed to cancel order {}'.format(myorder.localId))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onQueryContracts(self, data, _): #type: (dict, Request)->None
|
||||
|
||||
# 首先建立THISWEEK, NEXTWEEK, QUARTER和相应Contract的映射
|
||||
symbols = set()
|
||||
for contract in data:
|
||||
symbol = contract['instrument_id']
|
||||
symbols.add(symbol)
|
||||
|
||||
# 一般来说，一个币种对有三种到期日期不同的symbol。
|
||||
# 将这三种symbol按顺序排列，就能依次得到ThisWeek, NextWeek和Quarter三种symbol
|
||||
s2 = defaultdict(list)
|
||||
for symbol in sorted(symbols):
|
||||
easySymbol = symbol[:3]
|
||||
s2[easySymbol].append(symbol)
|
||||
|
||||
# 按顺序取出排列好的symbols，对应上ThisWeek, NextWeek和Quarter
|
||||
# 然后记录下来他们的几种symbols形式和相应的一些常量：
|
||||
# v1Symbol: BTC_USD_THISWEEK
|
||||
# v3Symbol: BTC_USD_181222
|
||||
# easySymbol: btc, eth, ...
|
||||
# remoteContractType: this_week, next_week, ...
|
||||
# localContractType: THISWEEK, NEXTWEEK, ...
|
||||
|
||||
symbolDict = {}
|
||||
for easySymbol, sortedSymbols in s2.items():
|
||||
if len(sortedSymbols) == 3:
|
||||
for contractType, v3symbol in zip(_contractTypeMap.keys(), sortedSymbols):
|
||||
uiSymbol = '{}_USD_{}'.format(easySymbol, contractType) # ETC_USD_THISWEEK
|
||||
remoteContractName = '{}{}'.format(easySymbol, v3symbol[-4:]) # ETC1201
|
||||
|
||||
s = Symbol()
|
||||
s.v1Symbol = '{}_{}'.format(easySymbol.lower(), "usd")
|
||||
s.v3 = v3symbol
|
||||
s.easySymbol = easySymbol
|
||||
s.remoteContractType = _contractTypeMap[contractType]
|
||||
s.localContractTYpe = contractType
|
||||
s.uiSymbol = uiSymbol
|
||||
|
||||
# normal map
|
||||
symbolDict[uiSymbol.upper()] = s
|
||||
symbolDict[uiSymbol.lower()] = s
|
||||
symbolDict[uiSymbol] = s
|
||||
symbolDict[v3symbol] = s
|
||||
|
||||
# switch between '-' and '_'
|
||||
symbolDict[uiSymbol.upper().replace('_', '-')] = s
|
||||
symbolDict[uiSymbol.lower().replace('_', '-')] = s
|
||||
symbolDict[uiSymbol.replace('_', '-')] = s
|
||||
symbolDict[v3symbol.replace('-', '_')] = s
|
||||
|
||||
# BTCUSD181228 BTCUSDTHISWEEK, btcusdthisweek
|
||||
symbolDict[v3symbol.upper().replace('-', '')] = s
|
||||
symbolDict[uiSymbol.upper().replace('_', '')] = s
|
||||
symbolDict[uiSymbol.lower().replace('_', '')] = s
|
||||
|
||||
symbolDict[remoteContractName.upper()] = s
|
||||
symbolDict[remoteContractName.lower()] = s
|
||||
|
||||
# unicode and str
|
||||
for k, v in symbolDict.items():
|
||||
self._symbolDict[str(k)] = v
|
||||
self._symbolDict[unicode(k)] = v
|
||||
|
||||
# 其次响应onContract，也是该函数的本职工作
|
||||
for contract in data:
|
||||
symbol = contract['instrument_id']
|
||||
size = contract['quote_increment'] if 'quote_increment' in contract else contract[
|
||||
'trade_increment'],
|
||||
vtContract = VtContractData.createFromGateway(
|
||||
gateway=self,
|
||||
exchange=self.exchange,
|
||||
symbol=symbol,
|
||||
productClass=constant.PRODUCT_FUTURES,
|
||||
priceTick=contract['tick_size'],
|
||||
size=size,
|
||||
name=symbol,
|
||||
expiryDate=contract['delivery'],
|
||||
underlyingSymbol=contract['underlying_index'],
|
||||
)
|
||||
self.onContract(vtContract)
|
||||
|
||||
# 最后订阅symbols，还有查询其他东西
|
||||
for symbol in self.symbols:
|
||||
s = self.parseSymbol(symbol)
|
||||
# noinspection PyTypeChecker
|
||||
req = VtSubscribeReq()
|
||||
req.symbol = s.v3
|
||||
self.subscribe(req)
|
||||
|
||||
# 查询账户啊，持仓啊，委托单啊之类的东西
|
||||
self.qryAccount()
|
||||
self.qryPosition()
|
||||
|
||||
# 查询所有未成交的委托
|
||||
# v3 API尚未支持该操作
|
||||
# for symbol in symbols:
|
||||
# # noinspection PyTypeChecker
|
||||
# self.queryOrders(symbol, OkexFuturesOrderStatus.NotTraded)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onQueryOrders(self, data, _): #type: (dict, Request)->None
|
||||
if data['result'] is True:
|
||||
for info in data['orders']:
|
||||
remoteId = info['order_id']
|
||||
tradedVolume = info['filled_qty']
|
||||
|
||||
myorder = self._getOrderByRemoteId(remoteId)
|
||||
if myorder:
|
||||
# 如果订单已经缓存在本地，则尝试更新订单状态
|
||||
|
||||
# 有新交易才推送更新
|
||||
if tradedVolume != myorder.vtOrder.tradedVolume:
|
||||
myorder.vtOrder.tradedVolume = tradedVolume
|
||||
myorder.vtOrder.status = constant.STATUS_PARTTRADED
|
||||
self.onOrder(myorder.vtOrder)
|
||||
else:
|
||||
# 本地无此订单的缓存（例如，用其他工具的下单）
|
||||
# 缓存该订单，并推送
|
||||
symbol = info['instrument_id']
|
||||
direction, offset = remoteOrderTypeToLocal(info['type'])
|
||||
myorder = self._generateLocalOrder(symbol,
|
||||
info['price'],
|
||||
info['size'],
|
||||
direction,
|
||||
offset)
|
||||
myorder.vtOrder.tradedVolume = tradedVolume
|
||||
myorder.remoteId = remoteId
|
||||
self._saveRemoteId(myorder.remoteId, myorder)
|
||||
self.onOrder(myorder.vtOrder)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onQueryPosition(self, data, _): #type: (dict, Request)->None
|
||||
if 'holding' in data:
|
||||
posex = data['holding']
|
||||
elif 'position' in data:
|
||||
posex = data['position']
|
||||
else:
|
||||
raise ApiError("Failed to parse position data")
|
||||
for pos in posex:
|
||||
symbol = self.parseSymbol(pos['instrument_id']).uiSymbol
|
||||
|
||||
# 多头持仓
|
||||
vtPos = VtPositionData.createFromGateway(
|
||||
gateway=self,
|
||||
exchange=self.exchange,
|
||||
symbol=symbol,
|
||||
direction=constant.DIRECTION_NET,
|
||||
position=pos['long_qty'],
|
||||
price=pos['long_avg_cost'],
|
||||
)
|
||||
self.onPosition(vtPos)
|
||||
|
||||
# 多头持仓
|
||||
vtPos = VtPositionData.createFromGateway(
|
||||
gateway=self,
|
||||
exchange=self.exchange,
|
||||
symbol=symbol,
|
||||
direction=constant.DIRECTION_NET,
|
||||
position=pos['short_qty'],
|
||||
price=pos['short_avg_cost'],
|
||||
)
|
||||
self.onPosition(vtPos)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onWebSocketPacket(self, packets):
|
||||
for packet in packets:
|
||||
channelName = None
|
||||
if 'channel' in packet:
|
||||
channelName = packet['channel']
|
||||
if not channelName or channelName == 'addChannel':
|
||||
return
|
||||
|
||||
data = packet['data']
|
||||
channel = parseChannel(channelName) # type: Channel
|
||||
if not channel:
|
||||
print("unknown websocket channel : ", json.dumps(packet, indent=2))
|
||||
return
|
||||
try:
|
||||
if channel.type == ChannelType.Tick:
|
||||
uiSymbol = remoteSymbolToLocal(channel.symbol,
|
||||
remoteContractTypeToLocal(
|
||||
channel.remoteContractType))
|
||||
self.onTick(VtTickData.createFromGateway(
|
||||
gateway=self,
|
||||
symbol=uiSymbol,
|
||||
exchange=self.exchange,
|
||||
lastPrice=data['last'],
|
||||
lastVolume=data['vol'],
|
||||
highPrice=data['high'],
|
||||
lowPrice=data['low'],
|
||||
openInterest=data['hold_amount'],
|
||||
lowerLimit=data['limitLow'],
|
||||
upperLimit=data['limitHigh'],
|
||||
))
|
||||
elif channel.type == ChannelType.Position:
|
||||
symbol = data['symbol']
|
||||
positions = data['positions']
|
||||
for pos in positions:
|
||||
if pos['position'] == '1':
|
||||
direction = constant.DIRECTION_LONG
|
||||
else:
|
||||
direction = constant.DIRECTION_SHORT
|
||||
total = pos['hold_amount']
|
||||
usable = pos['eveningup']
|
||||
# margin = _tryGetValue(pos, 'margin', 'fixmargin')
|
||||
profit = _tryGetValue(pos, 'profitreal', 'realized')
|
||||
symbol = self.parseSymbol(pos['contract_name']).uiSymbol
|
||||
self.onPosition(VtPositionData.createFromGateway(
|
||||
gateway=self,
|
||||
exchange=self.exchange,
|
||||
symbol=symbol,
|
||||
direction=direction,
|
||||
position=total,
|
||||
frozen=total - usable,
|
||||
price=pos['avgprice'],
|
||||
profit=profit,
|
||||
))
|
||||
elif channel.type == ChannelType.UserInfo:
|
||||
# ws 的acc没有分货币，没法用
|
||||
pass
|
||||
elif channel.type == ChannelType.UserTrade:
|
||||
tradeID = str(self.tradeID)
|
||||
self.tradeID += 1
|
||||
order = self._getOrderByRemoteId(data['orderid'])
|
||||
if order:
|
||||
self.onTrade(VtTradeData.createFromOrderData(
|
||||
order=order.vtOrder,
|
||||
tradeID=tradeID,
|
||||
tradePrice=data['price'],
|
||||
|
||||
# todo: 这里应该填写的到底是order总共成交了的数量，还是该次trade成交的数量
|
||||
tradeVolume=data['deal_amount'],
|
||||
))
|
||||
else:
|
||||
# todo: 与order无关联的trade该如何处理？
|
||||
# uiSymbol = remoteSymbolToLocal(info.symbol,
|
||||
# remoteContractTypeToLocal(info.remoteContractType))
|
||||
pass
|
||||
except KeyError:
|
||||
print("WebSocket error: parsing {}:\n{}".format(channelName, data))
|
||||
traceback.print_exception(*sys.exc_info())
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# noinspection PyUnusedLocal
|
||||
def onApiError(self, exceptionType, exceptionValue, tb,
|
||||
request=None # type: Request
|
||||
):
|
||||
msg = traceback.format_exception(exceptionType, exceptionValue, tb)
|
||||
self._writeError(msg)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onApiFailed(self, _, request): # type:(int, Request)->None
|
||||
self._writeError(str(request))
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setQryEnabled(self, _):
|
||||
"""dummy function"""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localOrderTypeToRemote(direction, offset): # type: (str, str)->str
|
||||
return _orderTypeMap[(direction, offset)]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteOrderTypeToLocal(orderType): # type: (str)->(str, str)
|
||||
"""
|
||||
:param orderType:
|
||||
:return: direction, offset
|
||||
"""
|
||||
return _orderTypeMapReverse[orderType]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localContractTypeToRemote(localContractType):
|
||||
return _contractTypeMap[localContractType]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteContractTypeToLocal(remoteContractType):
|
||||
return _contractTypeMapReverse[remoteContractType]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localSymbolToRemote(symbol): # type: (str)->(OkexFuturesSymbol, OkexFuturesContractType)
|
||||
"""
|
||||
:return: remoteSymbol, remoteContractType
|
||||
"""
|
||||
return _symbolsForUi[symbol]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteSymbolToLocal(remoteSymbol, localContractType):
|
||||
return remoteSymbol.upper() + '_' + localContractType
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remotePrefixToRemoteContractType(prefix):
|
||||
return _prefixForRemoteContractType[prefix]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def parseChannel(channel): # type: (str)->Channel
|
||||
if channel == 'login':
|
||||
return Channel(ChannelType.Login)
|
||||
|
||||
# 还未提供订阅的channel都注释掉
|
||||
# elif channel[4:12] == 'forecast': # eg: 'btc_forecast_price'
|
||||
# return SymbolChannel(ChannelType.ForecastPrice, channel[:3])
|
||||
|
||||
sp = channel.split('_')
|
||||
if sp[-1] == 'trades': # eg: 'ok_sub_futureusd_trades'
|
||||
return Channel(ChannelType.UserTrade)
|
||||
# if sp[-1] == 'userinfo': # eg: 'ok_sub_futureusd_btc_userinfo'
|
||||
# return Channel(ChannelType.UserInfo)
|
||||
# if sp[-1] == 'index': # eg: 'ok_sub_futureusd_btc_index'
|
||||
# return SymbolChannel(ChannelType.Index, channel[17:20])
|
||||
if sp[-1] == 'positions': # eg: 'ok_sub_futureusd_positions'
|
||||
return Channel(ChannelType.Position)
|
||||
|
||||
if sp[-1] == 'userinfo': # eg: 'ok_sub_futureusd_positions'
|
||||
return Channel(ChannelType.UserInfo)
|
||||
|
||||
lsp = len(sp)
|
||||
if sp[-1] == 'quarter':
|
||||
if lsp == 7:
|
||||
_, _, _, easySymbol, crash, typeName, contractTypePrefix = sp
|
||||
return Channel(ChannelType.Tick,
|
||||
easySymbol + '_' + crash,
|
||||
remotePrefixToRemoteContractType(contractTypePrefix))
|
||||
elif sp[-1] == 'week':
|
||||
# if lsp == 9:
|
||||
# _, _, _, easySymbol, crash, typeName, contractTypePrefix, _, depth = sp
|
||||
# return ExtraSymbolChannel(ChannelType.Depth, easySymbol + '_' + crash,
|
||||
# remotePrefixToRemoteContractType(contractTypePrefix),
|
||||
# depth)
|
||||
if lsp == 8:
|
||||
_, _, _, easySymbol, crash, typeName, contractTypePrefix, _ = sp
|
||||
return Channel(ChannelType.Tick,
|
||||
easySymbol + '_' + crash,
|
||||
remotePrefixToRemoteContractType(contractTypePrefix))
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _tryGetValue(dict, *keys):
|
||||
"""尝试从字典中获取某些键中的一个"""
|
||||
for k in keys:
|
||||
if k in dict:
|
||||
return dict[k]
|
||||
return None
|
||||
|
||||
|
||||
_prefixForRemoteContractType = {v.split('_')[0]: v for k, v in
|
||||
OkexFuturesContractType.__dict__.items() if
|
||||
not k.startswith('_')}
|
||||
|
||||
_orderTypeMap = {
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFuturesOrderType.OpenLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFuturesOrderType.OpenShort,
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFuturesOrderType.CloseLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFuturesOrderType.CloseShort,
|
||||
}
|
||||
_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()}
|
||||
|
||||
_contractTypeMap = {
|
||||
k.upper(): v for k, v in OkexFuturesContractType.__dict__.items() if not k.startswith('_')
|
||||
}
|
||||
_contractTypeMapReverse = {v: k for k, v in _contractTypeMap.items()}
|
||||
|
||||
_easySymbols = {
|
||||
v for k, v in OkexFuturesEasySymbol.__dict__.items() if not k.startswith('_')
|
||||
}
|
||||
|
||||
_remoteSymbols = {
|
||||
v for k, v in OkexFuturesSymbol.__dict__.items() if not k.startswith('_')
|
||||
}
|
||||
|
||||
# symbols for ui,
|
||||
# keys:给用户看的symbols : f"{internalSymbol}_{contractType}"
|
||||
# values: API接口使用的symbol和contractType字段
|
||||
_symbolsForUi = {(remoteSymbol.upper() + '_' + upperContractType.upper())
|
||||
: (remoteSymbol, remoteContractType)
|
||||
for remoteSymbol in _remoteSymbols
|
||||
for upperContractType, remoteContractType in
|
||||
_contractTypeMap.items()
|
||||
} # type: Dict[str, List[str, str]]
|
||||
_symbolsForUiReverse = {v: k for k, v in _symbolsForUi.items()}
|
||||
|
||||
_channel_for_subscribe = {
|
||||
'ok_sub_futureusd_' + easySymbol + '_ticker_' + remoteContractType
|
||||
: (easySymbol, remoteContractType)
|
||||
for easySymbol in _easySymbols
|
||||
for remoteContractType in _contractTypeMap.values()
|
||||
}
|
||||
@ -184,6 +184,7 @@ class VtTradeData(VtBaseData):
|
||||
trade.volume = tradeVolume
|
||||
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||||
return trade
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def createFromOrderData(order,
|
||||
@ -240,13 +241,19 @@ class VtOrderData(VtBaseData):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def createFromGateway(gateway, orderId, symbol, exchange, price, volume, direction,
|
||||
offset=EMPTY_UNICODE,
|
||||
tradedVolume=EMPTY_INT,
|
||||
status=constant.STATUS_UNKNOWN,
|
||||
orderTime=EMPTY_UNICODE,
|
||||
cancelTime=EMPTY_UNICODE,
|
||||
): # type: (VtGateway, str, str, str, float, float, str, str, int, str, str, str)->VtOrderData
|
||||
def createFromGateway(gateway, # type: VtGateway
|
||||
orderId, # type: str
|
||||
symbol, # type: str
|
||||
exchange, # type: str
|
||||
price, # type: float
|
||||
volume, # type: int
|
||||
direction, # type: str
|
||||
offset=EMPTY_UNICODE, # type: str
|
||||
tradedVolume=EMPTY_INT, # type: int
|
||||
status=constant.STATUS_UNKNOWN, # type: str
|
||||
orderTime=EMPTY_UNICODE, # type: str
|
||||
cancelTime=EMPTY_UNICODE, # type: str
|
||||
): # type: (...)->VtOrderData
|
||||
vtOrder = VtOrderData()
|
||||
vtOrder.gatewayName = gateway.gatewayName
|
||||
vtOrder.symbol = symbol
|
||||
@ -291,12 +298,16 @@ class VtPositionData(VtBaseData):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def createFromGateway(gateway, exchange, symbol, direction, position,
|
||||
frozen=EMPTY_INT,
|
||||
price=EMPTY_FLOAT,
|
||||
yestordayPosition=EMPTY_INT,
|
||||
profit=EMPTY_FLOAT
|
||||
): # type: (VtGateway, str, str, str, float, int, float, int, float)->VtPositionData
|
||||
def createFromGateway(gateway, # type: VtGateway
|
||||
exchange, # type: str
|
||||
symbol, # type: str
|
||||
direction, # type: str
|
||||
position, # type: int
|
||||
frozen=EMPTY_INT, # type: int
|
||||
price=EMPTY_FLOAT, # type: float
|
||||
yestordayPosition=EMPTY_INT, # type: int
|
||||
profit=EMPTY_FLOAT # type: float
|
||||
): # type: (...)->VtPositionData
|
||||
vtPosition = VtPositionData()
|
||||
vtPosition.gatewayName = gateway.gatewayName
|
||||
vtPosition.symbol = symbol
|
||||
@ -421,7 +432,6 @@ class VtContractData(VtBaseData):
|
||||
return d
|
||||
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtHistoryData(object):
|
||||
"""K线时间序列数据"""
|
||||
@ -531,6 +541,3 @@ class VtSingleton(type):
|
||||
cls._instances[cls] = super(VtSingleton, cls).__call__(*args, **kwargs)
|
||||
|
||||
return cls._instances[cls]
|
||||
|
||||
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user