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Merge pull request #1912 from nioss/dev

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Dev 修改okex深度数据（ondepth）重复
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vn.py 2019-07-12 15:10:36 +08:00 committed by GitHub
commit 33bd9c56c7
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2 changed files with 33 additions and 35 deletions
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35
vnpy/gateway/okex/okex_gateway.py
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@ -644,27 +644,26 @@ class OkexWebsocketApi(WebsocketClient):
def on_depth(self, d):
""""""
for tick_data in d:
symbol = d["instrument_id"]
tick = self.ticks.get(symbol, None)
if not tick:
return
symbol = d["instrument_id"]
tick = self.ticks.get(symbol, None)
if not tick:
return
bids = d["bids"]
asks = d["asks"]
for n, buf in enumerate(bids):
price, volume, _ = buf
tick.__setattr__("bid_price_%s" % (n + 1), float(price))
tick.__setattr__("bid_volume_%s" % (n + 1), float(volume))
bids = d["bids"]
asks = d["asks"]
for n, buf in enumerate(bids):
price, volume, _ = buf
tick.__setattr__("bid_price_%s" % (n + 1), float(price))
tick.__setattr__("bid_volume_%s" % (n + 1), float(volume))
for n, buf in enumerate(asks):
price, volume, _ = buf
tick.__setattr__("ask_price_%s" % (n + 1), float(price))
tick.__setattr__("ask_volume_%s" % (n + 1), float(volume))
for n, buf in enumerate(asks):
price, volume, _ = buf
tick.__setattr__("ask_price_%s" % (n + 1), float(price))
tick.__setattr__("ask_volume_%s" % (n + 1), float(volume))
tick.datetime = datetime.strptime(
d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
self.gateway.on_tick(copy(tick))
tick.datetime = datetime.strptime(
d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
self.gateway.on_tick(copy(tick))
def on_order(self, d):
""""""

33
vnpy/gateway/okexf/okexf_gateway.py
View File

@ -709,26 +709,25 @@ class OkexfWebsocketApi(WebsocketClient):
def on_depth(self, d):
""""""
for tick_data in d:
symbol = d["instrument_id"]
tick = self.ticks.get(symbol, None)
if not tick:
return
symbol = d["instrument_id"]
tick = self.ticks.get(symbol, None)
if not tick:
return
bids = d["bids"]
asks = d["asks"]
for n, buf in enumerate(bids):
price, volume, _, __ = buf
tick.__setattr__("bid_price_%s" % (n + 1), price)
tick.__setattr__("bid_volume_%s" % (n + 1), volume)
bids = d["bids"]
asks = d["asks"]
for n, buf in enumerate(bids):
price, volume, _, __ = buf
tick.__setattr__("bid_price_%s" % (n + 1), price)
tick.__setattr__("bid_volume_%s" % (n + 1), volume)
for n, buf in enumerate(asks):
price, volume, _, __ = buf
tick.__setattr__("ask_price_%s" % (n + 1), price)
tick.__setattr__("ask_volume_%s" % (n + 1), volume)
for n, buf in enumerate(asks):
price, volume, _, __ = buf
tick.__setattr__("ask_price_%s" % (n + 1), price)
tick.__setattr__("ask_volume_%s" % (n + 1), volume)
tick.datetime = utc_to_local(d["timestamp"])
self.gateway.on_tick(copy(tick))
tick.datetime = utc_to_local(d["timestamp"])
self.gateway.on_tick(copy(tick))
def on_order(self, d):
""""""