vn.py
GitHub
commit
4541673f58
@ -1,7 +1,8 @@
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# encoding: UTF-8
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from enum import Enum
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from typing import Any, Callable, List, Union
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from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase
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from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase, OkexFutureWebSocketBase
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from vnpy.api.rest import Request
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@ -12,8 +13,20 @@ class _OkexFutureCustomExtra(object):
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self.onFailed = onFailed
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self.onSuccess = onSuccess
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self.extra = extra
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########################################################################
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class OkexFutureEasySymbol(object):
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BTC = 'btc'
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LTC = 'ltc'
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ETH = 'eth'
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ETC = 'etc'
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BCH = 'bch'
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EOS = 'eos'
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XRP = 'xrp'
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BTG = 'btg'
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########################################################################
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class OkexFutureSymbol(object):
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BTC = 'btc_usd'
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@ -114,6 +127,68 @@ class OkexFuturePositionDetail(object):
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self.contractType = None
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########################################################################
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class OkexFutureTickInfo(object):
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#----------------------------------------------------------------------
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def __init__(self, symbol, remoteContractType, last, limitHigh, limitLow, vol, sell, buy, unitAmount, holdAmount,
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contractId, high, low):
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self.symbol = symbol
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self.remoteContractType = remoteContractType
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self.last = last
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self.limitHigh = limitHigh # type: str # 最高买入限制价格
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self.limitLow = limitLow # type: str # 最低卖出限制价格
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self.vol = vol # type: float # 24 小时成交量
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self.sell = sell # type: float # 卖一价格
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self.buy = buy # type: float # 买一价格
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self.unitAmount = unitAmount # type: float # 合约价值
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self.holdAmount = holdAmount # type: float # 当前持仓量
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self.contractId = contractId # type: long # 合约ID
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self.high = high # type: float # 24 小时最高价格
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self.low = low # type: float # 24 小时最低价格
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########################################################################
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class OkexFutureTradeInfo(object):
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#----------------------------------------------------------------------
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def __init__(self, symbol, remoteContractType, index, price, volume, time, direction, coinVolume):
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self.symbol = symbol
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self.remoteContractType = remoteContractType
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self.index = index
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self.price = price
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self.volume = volume
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self.time = time
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self.direction = direction
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self.coinVolume = coinVolume
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########################################################################
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class OkexFutureUserTradeInfo(object):
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#----------------------------------------------------------------------
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def __init__(self, symbol, remoteContractType, amount,
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contractName, createdDate, createDateStr, dealAmount, fee,
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orderId, price, priceAvg, status, type, unitAmount, leverRate, systemType
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):
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self.symbol = symbol # type: str # btcUsd ltcUsd ethUsd etcUsd bchUsd
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self.remoteContractType = remoteContractType
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self.amount = amount # type: float # 委托数量
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self.contractName = contractName # type: str # 合约名称
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self.createdDate = createdDate # type: long # 委托时间
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self.createDateStr = createDateStr # type: str # 委托时间字符串
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self.dealAmount = dealAmount # type: float # 成交数量
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self.fee = fee # type: float # 手续费
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self.remoteId = orderId # type: long # 订单ID
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self.price = price # type: float # 订单价格
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self.priceAvg = priceAvg # type: float # 平均价格
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self.status = status # type: int # 订单状态(0等待成交 1部分成交 2全部成交 -1撤单 4撤单处理中)
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self.type = type # type: int # 订单类型 1：开多 2：开空 3：平多 4：平空
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self.unitAmount = unitAmount # type: float # 合约面值
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self.leverRate = leverRate # type: float # 杠杆倍数 value:10/20 默认10
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self.systemType = systemType # type: int # 订单类型 0:普通 1:交割 2:强平 4:全平 5:系统反单
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########################################################################
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class OkexFutureRestClient(OkexFutureRestBase):
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@ -424,11 +499,104 @@ class OkexFutureRestClient(OkexFutureRestBase):
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#---------------------------------------------------------------------
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@staticmethod
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def errorCodeToString(code):
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assert code in errorCodeMap
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return errorCodeMap[code]
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assert code in restErrorCodeMap
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return restErrorCodeMap[code]
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errorCodeMap = {
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########################################################################
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class OkexFutureWebSocketClient(OkexFutureWebSocketBase):
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#----------------------------------------------------------------------
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def __init__(self):
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super(OkexFutureWebSocketClient, self).__init__()
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self.onTick = self.defaultOnTick
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self.onUserTrade = self.defaultOnUserTrade
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#----------------------------------------------------------------------
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def subscribe(self, easySymbol, contractType): # type: (OkexFutureEasySymbol, OkexFutureContractType)->None
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self.sendPacket({
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'event': 'addChannel',
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'channel': 'ok_sub_futureusd_' + easySymbol + '_ticker_' + contractType
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})
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#----------------------------------------------------------------------
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def subscribeUserTrade(self):
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# todo: 没有测试条件
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self.sendPacket({
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'event': 'addChannel',
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'channel': 'ok_sub_futureusd_trades'
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})
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#----------------------------------------------------------------------
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def defaultOnPacket(self, packets):
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for packet in packets:
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print('packets:')
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print(packets)
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channelName = None
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if 'channel' in packet:
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channelName = packet['channel']
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if not channelName or channelName == 'addChannel':
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return
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packet = packet['data']
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channel = parseChannel(channelName) # type: ExtraSymbolChannel
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if channel.type == ChannelType.Tick:
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self.onTick(OkexFutureTickInfo(
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symbol=channel.symbol,
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remoteContractType=channel.remoteContractType,
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last=packet['last'], # float # 最高买入限制价格
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limitHigh=packet['limitHigh'], # str # 最高买入限制价格
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limitLow=packet['limitLow'], # str # 最低卖出限制价格
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vol=packet['vol'], # float # 24 小时成交量
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sell=packet['sell'], # float # 卖一价格
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buy=packet['buy'], # float # 买一价格
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unitAmount=packet['unitAmount'], # float # 合约价值
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holdAmount=packet['hold_amount'], # float # 当前持仓量
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contractId=packet['contractId'], # long # 合约ID
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high=packet['high'], # float # 24 小时最高价格
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low=packet['low'], # float # 24 小时最低价格
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))
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# elif channel.type == ChannelType.Trade:
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# trades = []
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# for tradeInfo in packet:
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# trades.append(OkexFutureTradeInfo(
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# channel.symbol, channel.remoteContractType, *tradeInfo
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# ))
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# self.onTrades(trades)
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# todo: 没有测试条件
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elif channel.type == ChannelType.UserTrade:
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self.onUserTrade(OkexFutureUserTradeInfo(
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symbol=packet['symbol'], # str # btc_usd ltc_usd eth_usd etc_usd bch_usd
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remoteContractType=packet['contract_type'],
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amount=packet['amount'], # float # 委托数量
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contractName=packet['contract_name'], # str # 合约名称
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createdDate=packet['created_date'], # long # 委托时间
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createDateStr=packet['create_date_str'], # str # 委托时间字符串
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dealAmount=packet['deal_amount'], # float # 成交数量
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fee=packet['fee'], # float # 手续费
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orderId=packet['order_id'], # long # 订单ID
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price=packet['price'], # float # 订单价格
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priceAvg=packet['price_avg'], # float # 平均价格
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status=packet['status'], # int # 订单状态(0等待成交 1部分成交 2全部成交 -1撤单 4撤单处理中)
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type=packet['type'], # int # 订单类型 1：开多 2：开空 3：平多 4：平空
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unitAmount=packet['unit_amount'], # float # 合约面值
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leverRate=packet['lever_rate'], # float # 杠杆倍数 value:10/20 默认10
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systemType=packet['system_type'], # int # 订单类型 0:普通 1:交割 2:强平 4:全平 5:系统反单
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))
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#----------------------------------------------------------------------
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def defaultOnTick(self, tick): # type: (OkexFutureTickInfo)->None
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pass
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#----------------------------------------------------------------------
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def defaultOnUserTrade(self, tick): # type: (OkexFutureUserTradeInfo)->None
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pass
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restErrorCodeMap = {
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0: '远程服务器并未给出错误代码',
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20001: '用户不存在',
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@ -473,3 +641,187 @@ errorCodeMap = {
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21026: '您的账户已被限制开仓操作',
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20119: '接口已下线或无法使用',
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}
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webSocketErrorCodeMap = {
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10000: '必填参数为空',
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10001: '参数错误',
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10002: '验证失败',
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10003: '该连接已经请求了其他用户的实时交易数据',
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10004: '该连接没有请求此用户的实时交易数据',
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10005: 'api_key或者sign不合法',
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10008: '非法参数',
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10009: '订单不存在',
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10010: '余额不足',
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10011: '卖的数量小于BTC/LTC最小买卖额度',
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10012: '当前网站暂时只支持btc_usd ltc_usd',
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10014: '下单价格不得≤0或≥1000000',
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10015: '暂不支持此channel订阅',
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10016: '币数量不足',
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10017: 'WebSocket鉴权失败',
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10100: '用户被冻结',
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10049: '小额委托（<0.15BTC)的未成交委托数量不得大于50个',
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10216: '非开放API',
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20001: '用户不存在',
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20002: '用户被冻结',
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20003: '用户被爆仓冻结',
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20004: '合约账户被冻结',
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20005: '用户合约账户不存在',
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20006: '必填参数为空',
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20007: '参数错误',
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20008: '合约账户余额为空',
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20009: '虚拟合约状态错误',
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20010: '合约风险率信息不存在',
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20011: '开仓前保证金率超过90%',
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20012: '开仓后保证金率超过90%',
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20013: '暂无对手价',
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20014: '系统错误',
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20015: '订单信息不存在',
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20016: '平仓数量是否大于同方向可用持仓数量',
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20017: '非本人操作',
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20018: '下单价格高于前一分钟的105%或低于95%',
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20019: '该IP限制不能请求该资源',
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20020: '密钥不存在',
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20021: '指数信息不存在',
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20022: '接口调用错误',
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20023: '逐仓用户',
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20024: 'sign签名不匹配',
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20025: '杠杆比率错误',
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20100: '请求超时',
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20101: '数据格式无效',
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20102: '登录无效',
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20103: '数据事件类型无效',
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20104: '数据订阅类型无效',
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20107: 'JSON格式错误',
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20115: 'quote参数未匹配到',
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20116: '参数不匹配',
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1002: '交易金额大于余额',
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1003: '交易金额小于最小交易值',
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1004: '交易金额小于0',
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1007: '没有交易市场信息',
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1008: '没有最新行情信息',
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1009: '没有订单',
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1010: '撤销订单与原订单用户不一致',
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1011: '没有查询到该用户',
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1013: '没有订单类型',
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1014: '没有登录',
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1015: '没有获取到行情深度信息',
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1017: '日期参数错误',
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1018: '下单失败',
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1019: '撤销订单失败',
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1024: '币种不存在',
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1025: '没有K线类型',
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1026: '没有基准币数量',
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1027: '参数不合法可能超出限制',
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1028: '保留小数位失败',
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1029: '正在准备中',
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1030: '有融资融币无法进行交易',
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1031: '转账余额不足',
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1032: '该币种不能转账',
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1035: '密码不合法',
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1036: '谷歌验证码不合法',
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1037: '谷歌验证码不正确',
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1038: '谷歌验证码重复使用',
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1039: '短信验证码输错限制',
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1040: '短信验证码不合法',
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1041: '短信验证码不正确',
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1042: '谷歌验证码输错限制',
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1043: '登陆密码不允许与交易密码一致',
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1044: '原密码错误',
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1045: '未设置二次验证',
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1046: '原密码未输入',
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1048: '用户被冻结',
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1050: '订单已撤销或者撤销中',
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1051: '订单已完成交易',
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1201: '账号零时删除',
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1202: '账号不存在',
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1203: '转账金额大于余额',
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1204: '不同种币种不能转账',
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1205: '账号不存在主从关系',
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1206: '提现用户被冻结',
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1207: '不支持转账',
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1208: '没有该转账用户',
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1209: '当前api不可用',
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}
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########################################################################
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class ChannelType(Enum):
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Login = 1
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ForecastPrice = 2
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Tick = 3
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Depth = 4
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Trade = 5
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Index = 6
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UserTrade = 7
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UserInfo = 8
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########################################################################
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class Channel(object):
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#----------------------------------------------------------------------
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def __init__(self, type):
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self.type = type
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########################################################################
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class SymbolChannel(Channel):
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#----------------------------------------------------------------------
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def __init__(self, type, symbol):
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super(SymbolChannel, self).__init__(type)
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self.symbol = symbol
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########################################################################
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class FutureSymbolChannel(SymbolChannel):
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#----------------------------------------------------------------------
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def __init__(self, type, symbol, remoteContractType):
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super(FutureSymbolChannel, self).__init__(type, symbol)
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self.remoteContractType = remoteContractType
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########################################################################
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class ExtraSymbolChannel(FutureSymbolChannel):
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#----------------------------------------------------------------------
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def __init__(self, type, symbol, remoteContractType, extra):
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super(ExtraSymbolChannel, self).__init__(type, symbol, remoteContractType)
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self.extra = extra
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#----------------------------------------------------------------------
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def parseChannel(channel): # type: (str)->Channel
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if channel == 'login':
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return Channel(ChannelType.Login)
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# 还未提供订阅的channel都注释掉
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# elif channel[4:12] == 'forecast': # eg: 'btc_forecast_price'
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# return SymbolChannel(ChannelType.ForecastPrice, channel[:3])
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sp = channel.split('_')
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if sp[-1] == 'trades': # eg: 'ok_sub_futureusd_trades'
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return Channel(ChannelType.UserTrade)
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# if sp[-1] == 'userinfo': # eg: 'ok_sub_futureusd_btc_userinfo'
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# return Channel(ChannelType.UserInfo)
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# if sp[-1] == 'index': # eg: 'ok_sub_futureusd_btc_index'
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# return SymbolChannel(ChannelType.Index, channel[17:20])
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# if len(sp) == 9:
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# _, _, _, easySymbol, crash, typeName, contractTypePrefix, _, depth = sp
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# return ExtraSymbolChannel(ChannelType.Depth, easySymbol + '_' + crash,
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# remotePrefixToRemoteContractType(contractTypePrefix),
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# depth)
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_, _, _, easySymbol, crash, typeName, contractTypePrefix, _ = sp
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return FutureSymbolChannel(ChannelType.Tick, easySymbol + '_' + crash,
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remotePrefixToRemoteContractType(contractTypePrefix))
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#----------------------------------------------------------------------
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def remotePrefixToRemoteContractType(prefix):
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return _prefixForRemoteContractType[prefix]
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_prefixForRemoteContractType = {v.split('_')[0]: v for k, v in OkexFutureContractType.__dict__.items() if
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not k.startswith('_')}
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@ -1,2 +1,2 @@
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from .OkexFutureApi import OkexFutureSymbol, OkexFutureContractType, OkexFutureOrder, OkexFutureOrderStatus, OkexFuturePosition, \
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OkexFuturePositionDetail, OkexFuturePriceType, OkexFutureRestClient, OkexFutureUserInfo
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from .OkexFutureApi import OkexFutureRestClient, OkexFutureWebSocketClient, OkexFutureSymbol, OkexFutureContractType, OkexFutureOrder, OkexFutureOrderStatus, OkexFuturePosition, \
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OkexFuturePositionDetail, OkexFuturePriceType, OkexFutureUserInfo
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@ -3,11 +3,23 @@ import hashlib
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import urllib
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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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#----------------------------------------------------------------------
|
||||
def paramsToData(params):
|
||||
return urllib.urlencode(sorted(params.items()))
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sign(dataWithApiKey, apiSecret):
|
||||
"""
|
||||
usage:
|
||||
params = { ... , 'api_key': ...}
|
||||
data = paramsToData(params)
|
||||
signature = sign(data, apiSecret)
|
||||
data += "&sign" + signature
|
||||
|
||||
:param dataWithApiKey: sorted urlencoded args with apiKey
|
||||
:return: param 'sign' for okex api
|
||||
"""
|
||||
@ -41,10 +53,62 @@ class OkexFutureRestBase(RestClient):
|
||||
args.pop('sign')
|
||||
if 'apiKey' not in args:
|
||||
args['api_key'] = self.apiKey
|
||||
data = urllib.urlencode(sorted(args.items()))
|
||||
data = paramsToData(args)
|
||||
signature = sign(data, self.apiSecret)
|
||||
data += "&sign=" + signature
|
||||
|
||||
req.headers = {'Content-Type': 'application/x-www-form-urlencoded'}
|
||||
req.data = data
|
||||
return req
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFutureWebSocketBase(WebSocketClient):
|
||||
"""
|
||||
Okex期货websocket客户端
|
||||
实例化后使用init设置apiKey和secretKey（apiSecret）
|
||||
"""
|
||||
host = 'wss://real.okex.com:10440/websocket/okexapi'
|
||||
|
||||
def __init__(self):
|
||||
super(OkexFutureWebSocketBase, self).__init__()
|
||||
super(OkexFutureWebSocketBase, self).init(OkexFutureWebSocketBase.host)
|
||||
self.apiKey = None
|
||||
self.apiSecret = None
|
||||
self.autoLogin = True
|
||||
|
||||
self.onConnected = self._onConnected
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# noinspection PyMethodOverriding
|
||||
def init(self, apiKey, secretKey, autoLogin=True):
|
||||
|
||||
self.apiKey = apiKey
|
||||
self.apiSecret = secretKey
|
||||
self.autoLogin = autoLogin
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendPacket(self, dictObj, authenticate=False):
|
||||
if authenticate:
|
||||
data = urllib.urlencode(sorted(dictObj.items()))
|
||||
signature = sign(data, self.apiSecret)
|
||||
dictObj['sign'] = signature
|
||||
return super(OkexFutureWebSocketBase, self).sendPacket(dictObj)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _login(self, ):
|
||||
|
||||
params = {"api_key": self.apiKey, }
|
||||
data = paramsToData(params)
|
||||
signature = sign(data, self.apiSecret)
|
||||
params['sign'] = signature
|
||||
|
||||
self.sendPacket({
|
||||
"event": "login",
|
||||
"parameters": params
|
||||
}, authenticate=False)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onConnected(self):
|
||||
if self.autoLogin:
|
||||
self._login()
|
||||
|
||||
@ -3,7 +3,6 @@
|
||||
|
||||
import sys
|
||||
from Queue import Empty, Queue
|
||||
from abc import abstractmethod
|
||||
from multiprocessing.dummy import Pool
|
||||
|
||||
import requests
|
||||
@ -79,10 +78,10 @@ class RestClient(object):
|
||||
"""
|
||||
HTTP 客户端。目前是为了对接各种RESTfulAPI而设计的。
|
||||
|
||||
如果需要给请求加上签名，请重载beforeRequest函数。
|
||||
如果需要处理非200的请求，请重载onFailed函数。
|
||||
如果需要给请求加上签名，请设置beforeRequest, 函数类型请参考defaultBeforeRequest。
|
||||
如果需要处理非200的请求，请设置onFailed，函数类型请参考defaultOnFailed。
|
||||
如果每一个请求的非200返回都需要单独处理，使用addReq函数的onFailed参数
|
||||
如果捕获Python内部错误，例如网络连接失败等等，请重载onError函数。
|
||||
如果捕获Python内部错误，例如网络连接失败等等，请设置onError，函数类型请参考defaultOnError
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -92,6 +91,9 @@ class RestClient(object):
|
||||
"""
|
||||
self.urlBase = None # type: str
|
||||
self.sessionProvider = requestsSessionProvider
|
||||
self.beforeRequest = self.defaultBeforeRequest # 任何请求在发送之前都会经过这个函数，让其加工
|
||||
self.onError = self.defaultOnError # Python内部错误处理
|
||||
self.onFailed = self.defaultOnFailed # statusCode != 2xx 时触发
|
||||
|
||||
self._active = False
|
||||
|
||||
@ -157,39 +159,40 @@ class RestClient(object):
|
||||
:return: Request
|
||||
"""
|
||||
|
||||
req = Request(method, path, callback, params, data, headers)
|
||||
req.onFailed = onFailed
|
||||
req.skipDefaultOnFailed = skipDefaultOnFailed
|
||||
req.extra = extra
|
||||
self._queue.put(req)
|
||||
return req
|
||||
request = Request(method, path, callback, params, data, headers)
|
||||
request.onFailed = onFailed
|
||||
request.skipDefaultOnFailed = skipDefaultOnFailed
|
||||
request.extra = extra
|
||||
self._queue.put(request)
|
||||
return request
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _run(self):
|
||||
session = self.sessionProvider()
|
||||
while self._active:
|
||||
try:
|
||||
req = self._queue.get(timeout=1)
|
||||
request = self._queue.get(timeout=1)
|
||||
try:
|
||||
self._processRequest(req, session)
|
||||
self._processRequest(request, session)
|
||||
finally:
|
||||
self._queue.task_done()
|
||||
except Empty:
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def beforeRequest(self, req): # type: (Request)->Request
|
||||
@staticmethod
|
||||
def defaultBeforeRequest(request): # type: (Request)->Request
|
||||
"""
|
||||
所有请求在发送之前都会经过这个函数
|
||||
签名之类的前奏可以在这里面实现
|
||||
需要对request进行什么修改就做什么修改吧
|
||||
@:return (req)
|
||||
@:return (request)
|
||||
"""
|
||||
return req
|
||||
return request
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onFailed(self, httpStatusCode, req): # type:(int, Request)->None
|
||||
@staticmethod
|
||||
def defaultOnFailed(httpStatusCode, request): # type:(int, Request)->None
|
||||
"""
|
||||
请求失败处理函数（HttpStatusCode!=200）.
|
||||
默认行为是打印到stderr
|
||||
@ -200,51 +203,52 @@ class RestClient(object):
|
||||
"data: {}\n"
|
||||
"response:"
|
||||
"{}\n"
|
||||
.format(req.method, req.path, httpStatusCode,
|
||||
req.headers,
|
||||
req.params,
|
||||
req.data,
|
||||
req._response.raw))
|
||||
.format(request.method, request.path, httpStatusCode,
|
||||
request.headers,
|
||||
request.params,
|
||||
request.data,
|
||||
request._response.raw))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, exceptionType, exceptionValue, tb, req):
|
||||
@staticmethod
|
||||
def defaultOnError(exceptionType, exceptionValue, tb, request):
|
||||
"""
|
||||
Python内部错误处理：默认行为是仍给excepthook
|
||||
"""
|
||||
print("error in req : {}\n".format(req))
|
||||
print("error in request : {}\n".format(request))
|
||||
sys.excepthook(exceptionType, exceptionValue, tb)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _processRequest(self, req, session): # type: (Request, requests.Session)->None
|
||||
def _processRequest(self, request, session): # type: (Request, requests.Session)->None
|
||||
"""
|
||||
用于内部：将请求发送出去
|
||||
"""
|
||||
try:
|
||||
req = self.beforeRequest(req)
|
||||
request = self.beforeRequest(request)
|
||||
|
||||
url = self.makeFullUrl(req.path)
|
||||
url = self.makeFullUrl(request.path)
|
||||
|
||||
response = session.request(req.method, url, headers=req.headers, params=req.params, data=req.data)
|
||||
req._response = response
|
||||
response = session.request(request.method, url, headers=request.headers, params=request.params, data=request.data)
|
||||
request._response = response
|
||||
|
||||
httpStatusCode = response.status_code
|
||||
if httpStatusCode/100 == 2:
|
||||
jsonBody = response.json()
|
||||
req.callback(jsonBody, req)
|
||||
req._status = RequestStatus.success
|
||||
request.callback(jsonBody, request)
|
||||
request._status = RequestStatus.success
|
||||
else:
|
||||
req._status = RequestStatus.failed
|
||||
request._status = RequestStatus.failed
|
||||
|
||||
if req.onFailed:
|
||||
req.onFailed(httpStatusCode, response.raw, req)
|
||||
if request.onFailed:
|
||||
request.onFailed(httpStatusCode, response.raw, request)
|
||||
|
||||
# 若没有onFailed或者没设置skipDefaultOnFailed，则调用默认的处理函数
|
||||
if not req.onFailed or not req.skipDefaultOnFailed:
|
||||
self.onFailed(httpStatusCode, req)
|
||||
if not request.onFailed or not request.skipDefaultOnFailed:
|
||||
self.onFailed(httpStatusCode, request)
|
||||
except:
|
||||
req._status = RequestStatus.error
|
||||
request._status = RequestStatus.error
|
||||
t, v, tb = sys.exc_info()
|
||||
self.onError(t, v, tb, req)
|
||||
self.onError(t, v, tb, request)
|
||||
|
||||
def makeFullUrl(self, path):
|
||||
url = self.urlBase + path
|
||||
|
||||
@ -3,38 +3,46 @@
|
||||
|
||||
########################################################################
|
||||
import json
|
||||
import ssl
|
||||
import sys
|
||||
import time
|
||||
from abc import abstractmethod
|
||||
from threading import Thread, Lock
|
||||
|
||||
import ssl
|
||||
import time
|
||||
import websocket
|
||||
from threading import Lock, Thread
|
||||
|
||||
|
||||
class WebSocketClient(object):
|
||||
"""
|
||||
Websocket API
|
||||
|
||||
继承使用该类。
|
||||
实例化之后，应调用start开始后台线程。调用start()函数会自动连接websocket。
|
||||
若要终止后台线程，请调用stop()。 stop()函数会顺便断开websocket。
|
||||
|
||||
可以重写以下函数：
|
||||
该类默认打包方式为json，若从服务器返回的数据不为json，则会触发onError。
|
||||
|
||||
可以覆盖以下回调：
|
||||
onConnected
|
||||
onDisconnected
|
||||
onPacket
|
||||
onPacket # 数据回调，只有在返回的数据帧为text并且内容为json时才会回调
|
||||
onError
|
||||
|
||||
当然，为了不让用户随意自定义，用自己的init函数覆盖掉原本的init(host)也是个不错的选择。
|
||||
|
||||
@note 继承使用该类
|
||||
关于ping：
|
||||
在调用start()之后，该类每60s会自动发送一个ping帧至服务器。
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
self.host = None # type: str
|
||||
|
||||
self.onConnected = self.defaultOnConnected
|
||||
self.onDisconnected = self.defaultOnDisconnected
|
||||
self.onPacket = self.defaultOnPacket
|
||||
self.onError = self.defaultOnError
|
||||
|
||||
self.createConnection = websocket.create_connection
|
||||
|
||||
self._ws_lock = Lock()
|
||||
self._ws = None # type: websocket.WebSocket
|
||||
@ -42,13 +50,12 @@ class WebSocketClient(object):
|
||||
self._workerThread = None # type: Thread
|
||||
self._pingThread = None # type: Thread
|
||||
self._active = False
|
||||
|
||||
self.createConnection = websocket.create_connection
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setCreateConnection(self, func):
|
||||
"""
|
||||
for internal usage
|
||||
:param func: a function like websocket.create_connection
|
||||
"""
|
||||
self.createConnection = func
|
||||
|
||||
@ -68,8 +75,6 @@ class WebSocketClient(object):
|
||||
self._pingThread = Thread(target=self._runPing)
|
||||
self._pingThread.start()
|
||||
|
||||
self.onConnected()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""
|
||||
@ -136,6 +141,9 @@ class WebSocketClient(object):
|
||||
|
||||
data = json.loads(stream)
|
||||
self.onPacket(data)
|
||||
except websocket.WebSocketConnectionClosedException:
|
||||
if self._active:
|
||||
self._reconnect()
|
||||
except:
|
||||
et, ev, tb = sys.exc_info()
|
||||
self.onError(et, ev, tb)
|
||||
@ -154,22 +162,24 @@ class WebSocketClient(object):
|
||||
return self._get_ws().send('ping', websocket.ABNF.OPCODE_PING)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onConnected(self):
|
||||
@staticmethod
|
||||
def defaultOnConnected():
|
||||
"""
|
||||
连接成功回调
|
||||
"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onDisconnected(self):
|
||||
@staticmethod
|
||||
def defaultOnDisconnected():
|
||||
"""
|
||||
连接断开回调
|
||||
"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def onPacket(self, packet):
|
||||
@staticmethod
|
||||
def defaultOnPacket(packet):
|
||||
"""
|
||||
数据回调。
|
||||
只有在数据为json包的时候才会触发这个回调
|
||||
@ -179,6 +189,7 @@ class WebSocketClient(object):
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, exceptionType, exceptionValue, tb):
|
||||
@staticmethod
|
||||
def defaultOnError(exceptionType, exceptionValue, tb):
|
||||
"""Python错误回调"""
|
||||
return sys.excepthook(exceptionType, exceptionValue, tb)
|
||||
|
||||
@ -3,8 +3,7 @@
|
||||
from __future__ import print_function
|
||||
|
||||
import json
|
||||
from abc import abstractmethod, abstractproperty
|
||||
from datetime import datetime
|
||||
from abc import abstractmethod
|
||||
|
||||
from typing import Dict
|
||||
|
||||
@ -12,75 +11,6 @@ from vnpy.api.okexfuture.OkexFutureApi import *
|
||||
from vnpy.trader.vtFunction import getJsonPath
|
||||
from vnpy.trader.vtGateway import *
|
||||
|
||||
_orderTypeMap = {
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort,
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseShort,
|
||||
}
|
||||
_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()}
|
||||
|
||||
_contractTypeMap = {
|
||||
'THISWEEK': OkexFutureContractType.ThisWeek,
|
||||
'NEXTWEEK': OkexFutureContractType.NextWeek,
|
||||
'QUARTER': OkexFutureContractType.Quarter,
|
||||
}
|
||||
_contractTypeMapReverse = {v: k for k, v in _contractTypeMap.items()}
|
||||
|
||||
_remoteSymbols = {
|
||||
OkexFutureSymbol.BTC,
|
||||
OkexFutureSymbol.LTC,
|
||||
OkexFutureSymbol.ETH,
|
||||
OkexFutureSymbol.ETC,
|
||||
OkexFutureSymbol.BCH,
|
||||
}
|
||||
|
||||
# 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()}
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
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)->(OkexFutureSymbol, OkexFutureContractType)
|
||||
"""
|
||||
:return: remoteSymbol, remoteContractType
|
||||
"""
|
||||
return _symbolsForUi[symbol]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteSymbolToLocal(remoteSymbol, localContractType):
|
||||
return remoteSymbol.upper() + localContractType
|
||||
|
||||
|
||||
########################################################################
|
||||
class VnpyGateway(VtGateway):
|
||||
@ -89,15 +19,6 @@ class VnpyGateway(VtGateway):
|
||||
于是我设计了这个类，将重复代码抽取出来，简化gateway的实现
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine):
|
||||
super(VnpyGateway, self).__init__(eventEngine, self.gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractproperty
|
||||
def gatewayName(self): # type: ()->str
|
||||
return 'VnpyGateway'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def readConfig(self):
|
||||
"""
|
||||
@ -146,10 +67,16 @@ class OkexFutureGateway(VnpyGateway):
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, *_, **__): # args, kwargs is needed for compatibility
|
||||
"""Constructor"""
|
||||
super(OkexFutureGateway, self).__init__(eventEngine)
|
||||
super(OkexFutureGateway, self).__init__(eventEngine, 'OkexFutureGateway')
|
||||
self.apiKey = None # type: str
|
||||
self.apiSecret = None # type: str
|
||||
self.api = OkexFutureRestClient()
|
||||
|
||||
self.restApi = OkexFutureRestClient()
|
||||
|
||||
self.webSocket = OkexFutureWebSocketClient()
|
||||
self.webSocket.onTick = self._onTick
|
||||
self.webSocket.onUserTrade = self._onUserTrade
|
||||
|
||||
self.leverRate = 1
|
||||
self.symbols = []
|
||||
|
||||
@ -157,11 +84,6 @@ class OkexFutureGateway(VnpyGateway):
|
||||
self._orders = {} # type: Dict[str, _Order]
|
||||
self._remoteIds = {} # type: Dict[str, _Order]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def gatewayName(self):
|
||||
return 'OkexFutureGateway'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def exchange(self): # type: ()->str
|
||||
@ -190,20 +112,28 @@ class OkexFutureGateway(VnpyGateway):
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
self.loadSetting()
|
||||
self.api.init(self.apiKey, self.apiSecret)
|
||||
self.restApi.init(self.apiKey, self.apiSecret)
|
||||
self.webSocket.init(self.apiKey, self.apiSecret)
|
||||
self.restApi.start()
|
||||
self.webSocket.start()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
def subscribe(self, subscribeReq): # type: (VtSubscribeReq)->None
|
||||
"""订阅行情"""
|
||||
pass
|
||||
remoteSymbol, remoteContractType = localSymbolToRemote(subscribeReq.symbol)
|
||||
return self.webSocket.subscribe(remoteSymbol, remoteContractType)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _getOrderByLocalId(self, localId):
|
||||
return self._orders[localId]
|
||||
if localId in self._orders:
|
||||
return self._orders[localId]
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _getOrderByRemoteId(self, remoteId):
|
||||
return self._remoteIds[remoteId]
|
||||
if remoteId in self._remoteIds:
|
||||
return self._remoteIds[remoteId]
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _saveRemoteId(self, remoteId, myorder):
|
||||
@ -241,16 +171,16 @@ class OkexFutureGateway(VnpyGateway):
|
||||
if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE:
|
||||
userMarketPrice = True
|
||||
|
||||
self.api.sendOrder(symbol=remoteSymbol,
|
||||
contractType=remoteContractType,
|
||||
orderType=orderType,
|
||||
volume=vtRequest.volume,
|
||||
price=vtRequest.price,
|
||||
useMarketPrice=userMarketPrice,
|
||||
leverRate=self.leverRate,
|
||||
onSuccess=self._onOrderSent,
|
||||
extra=None,
|
||||
)
|
||||
self.restApi.sendOrder(symbol=remoteSymbol,
|
||||
contractType=remoteContractType,
|
||||
orderType=orderType,
|
||||
volume=vtRequest.volume,
|
||||
price=vtRequest.price,
|
||||
useMarketPrice=userMarketPrice,
|
||||
leverRate=self.leverRate,
|
||||
onSuccess=self._onOrderSent,
|
||||
extra=None,
|
||||
)
|
||||
|
||||
return myorder.localId
|
||||
|
||||
@ -258,13 +188,15 @@ class OkexFutureGateway(VnpyGateway):
|
||||
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, contractType = localSymbolToRemote(vtCancel.symbol)
|
||||
self.api.cancelOrder(symbol=symbol,
|
||||
contractType=contractType,
|
||||
orderId=myorder.remoteId,
|
||||
onSuccess=self._onOrderCanceled,
|
||||
extra=myorder,
|
||||
)
|
||||
self.restApi.cancelOrder(symbol=symbol,
|
||||
contractType=contractType,
|
||||
orderId=myorder.remoteId,
|
||||
onSuccess=self._onOrderCanceled,
|
||||
extra=myorder,
|
||||
)
|
||||
# cancelDict: 不存在的，没有localId就没有remoteId，没有remoteId何来cancel
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -284,15 +216,15 @@ class OkexFutureGateway(VnpyGateway):
|
||||
remoteContractType = contractType
|
||||
localContractType = remoteContractTypeToLocal(remoteContractType)
|
||||
|
||||
self.api.queryOrders(symbol=symbol,
|
||||
contractType=remoteContractType,
|
||||
status=status,
|
||||
onSuccess=self._onQueryOrders,
|
||||
extra=localContractType)
|
||||
self.restApi.queryOrders(symbol=symbol,
|
||||
contractType=remoteContractType,
|
||||
status=status,
|
||||
onSuccess=self._onQueryOrders,
|
||||
extra=localContractType)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryAccount(self):
|
||||
self.api.queryUserInfo(onSuccess=self._onQueryAccount)
|
||||
self.restApi.queryUserInfo(onSuccess=self._onQueryAccount)
|
||||
"""查询账户资金"""
|
||||
pass
|
||||
|
||||
@ -301,16 +233,17 @@ class OkexFutureGateway(VnpyGateway):
|
||||
"""查询持仓"""
|
||||
for remoteSymbol in _remoteSymbols:
|
||||
for localContractType, remoteContractType in _contractTypeMap.items():
|
||||
self.api.queryPosition(remoteSymbol,
|
||||
remoteContractType,
|
||||
onSuccess=self._onQueryPosition,
|
||||
extra=localContractType
|
||||
)
|
||||
self.restApi.queryPosition(remoteSymbol,
|
||||
remoteContractType,
|
||||
onSuccess=self._onQueryPosition,
|
||||
extra=localContractType
|
||||
)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.api.stop()
|
||||
self.restApi.stop()
|
||||
self.webSocket.stop()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onOrderSent(self, remoteId, myorder): #type: (str, _Order)->None
|
||||
@ -319,23 +252,6 @@ class OkexFutureGateway(VnpyGateway):
|
||||
self._saveRemoteId(remoteId, myorder)
|
||||
self.onOrder(myorder.vtOrder)
|
||||
|
||||
# #----------------------------------------------------------------------
|
||||
# def _pushOrderAsTraded(self, order):
|
||||
# trade = VtTradeData()
|
||||
# trade.gatewayName = order.gatewayName
|
||||
# trade.symbol = order.symbol
|
||||
# trade.vtSymbol = order.vtSymbol
|
||||
# trade.orderID = order.orderID
|
||||
# trade.vtOrderID = order.vtOrderID
|
||||
# self.tradeID += 1
|
||||
# trade.tradeID = str(self.tradeID)
|
||||
# trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||||
# trade.direction = order.direction
|
||||
# trade.price = order.price
|
||||
# trade.volume = order.tradedVolume
|
||||
# trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||||
# self.onTrade(trade)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def _onOrderCanceled(myorder): #type: (_Order)->None
|
||||
@ -346,10 +262,10 @@ class OkexFutureGateway(VnpyGateway):
|
||||
localContractType = extra
|
||||
for order in orders:
|
||||
remoteId = order.remoteId
|
||||
|
||||
if remoteId in self._remoteIds:
|
||||
|
||||
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
|
||||
myorder = self._getOrderByRemoteId(remoteId)
|
||||
|
||||
# 有新交易才推送更新
|
||||
if order.tradedVolume != myorder.vtOrder.tradedVolume:
|
||||
@ -367,12 +283,6 @@ class OkexFutureGateway(VnpyGateway):
|
||||
self._saveRemoteId(myorder.remoteId, myorder)
|
||||
self.onOrder(myorder.vtOrder)
|
||||
|
||||
# # 如果该订单已经交易完成，推送交易完成消息
|
||||
# # todo: 这样写会导致同一个订单产生多次交易完成消息
|
||||
# if order.status == OkexFutureOrderStatus.Finished:
|
||||
# myorder.vtOrder.status = constant.STATUS_ALLTRADED
|
||||
# self._pushOrderAsTraded(myorder.vtOrder)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onQueryAccount(self, infos, _): # type: (List[OkexFutureUserInfo], Any)->None
|
||||
for info in infos:
|
||||
@ -390,27 +300,130 @@ class OkexFutureGateway(VnpyGateway):
|
||||
localContractType = extra
|
||||
for info in posinfo.holding:
|
||||
# 先生成多头持仓
|
||||
pos = VtPositionData()
|
||||
pos.gatewayName = self.gatewayName
|
||||
pos.symbol = remoteSymbolToLocal(pos.symbol, localContractType)
|
||||
pos.exchange = self.exchange
|
||||
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
|
||||
|
||||
pos.direction = constant.DIRECTION_NET
|
||||
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
|
||||
pos.position = float(info.buyAmount)
|
||||
pos = VtPositionData.createFromGateway(
|
||||
gateway=self,
|
||||
exchange=self.exchange,
|
||||
symbol=remoteSymbolToLocal(info.symbol, localContractType),
|
||||
direction=constant.DIRECTION_NET,
|
||||
position=float(info.buyAmount),
|
||||
)
|
||||
|
||||
self.onPosition(pos)
|
||||
|
||||
# 再生存空头持仓
|
||||
pos = VtPositionData()
|
||||
pos.gatewayName = self.gatewayName
|
||||
pos.symbol = remoteSymbolToLocal(pos.symbol, localContractType)
|
||||
pos.exchange = self.exchange
|
||||
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
|
||||
|
||||
pos.direction = constant.DIRECTION_SHORT
|
||||
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
|
||||
pos.position = float(info.sellAmount)
|
||||
pos = VtPositionData.createFromGateway(
|
||||
gateway=self,
|
||||
exchange=self.exchange,
|
||||
symbol=remoteSymbolToLocal(info.symbol, localContractType),
|
||||
direction=constant.DIRECTION_SHORT,
|
||||
position=float(info.sellAmount),
|
||||
)
|
||||
|
||||
self.onPosition(pos)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onTick(self, info): # type: (OkexFutureTickInfo)->None
|
||||
uiSymbol = remoteSymbolToLocal(info.symbol, remoteContractTypeToLocal(info.remoteContractType))
|
||||
self.onTick(VtTickData.createFromGateway(
|
||||
gateway=self,
|
||||
symbol=uiSymbol,
|
||||
exchange=self.exchange,
|
||||
lastPrice=info.last,
|
||||
lastVolume=info.vol,
|
||||
highPrice=info.high,
|
||||
lowPrice=info.low,
|
||||
openInterest=info.holdAmount,
|
||||
lowerLimit=info.limitLow,
|
||||
upperLimit=info.limitHigh,
|
||||
))
|
||||
|
||||
def _onUserTrade(self, info): # type: (OkexFutureUserTradeInfo)->None
|
||||
tradeID = str(self.tradeID)
|
||||
self.tradeID += 1
|
||||
order = self._getOrderByRemoteId(info.remoteId)
|
||||
if order:
|
||||
self.onTrade(VtTradeData.createFromOrderData(
|
||||
order=order.vtOrder,
|
||||
tradeID=tradeID,
|
||||
tradePrice=info.price,
|
||||
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
|
||||
))
|
||||
else:
|
||||
# todo: 与order无关联的trade该如何处理？
|
||||
# uiSymbol = remoteSymbolToLocal(info.symbol, remoteContractTypeToLocal(info.remoteContractType))
|
||||
pass
|
||||
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)->(OkexFutureSymbol, OkexFutureContractType)
|
||||
"""
|
||||
:return: remoteSymbol, remoteContractType
|
||||
"""
|
||||
return _symbolsForUi[symbol]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteSymbolToLocal(remoteSymbol, localContractType):
|
||||
return remoteSymbol.upper() + '_' + localContractType
|
||||
|
||||
|
||||
_orderTypeMap = {
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort,
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseShort,
|
||||
}
|
||||
_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()}
|
||||
|
||||
_contractTypeMap = {
|
||||
k.upper(): v for k, v in OkexFutureContractType.__dict__.items() if not k.startswith('_')
|
||||
}
|
||||
_contractTypeMapReverse = {v: k for k, v in _contractTypeMap.items()}
|
||||
|
||||
_easySymbols = {
|
||||
v for k, v in OkexFutureEasySymbol.__dict__.items() if not k.startswith('_')
|
||||
}
|
||||
|
||||
_remoteSymbols = {
|
||||
v for k, v in OkexFutureSymbol.__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()
|
||||
}
|
||||
|
||||
@ -1,8 +1,9 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
from logging import INFO
|
||||
|
||||
import time
|
||||
from datetime import datetime
|
||||
from logging import INFO
|
||||
|
||||
from vnpy.trader.language import constant
|
||||
from vnpy.trader.vtConstant import (EMPTY_FLOAT, EMPTY_INT, EMPTY_STRING, EMPTY_UNICODE)
|
||||
@ -74,8 +75,37 @@ class VtTickData(VtBaseData):
|
||||
self.askVolume2 = EMPTY_INT
|
||||
self.askVolume3 = EMPTY_INT
|
||||
self.askVolume4 = EMPTY_INT
|
||||
self.askVolume5 = EMPTY_INT
|
||||
self.askVolume5 = EMPTY_INT
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def createFromGateway(gateway, symbol, exchange,
|
||||
lastPrice, lastVolume,
|
||||
highPrice, lowPrice,
|
||||
openPrice=EMPTY_FLOAT,
|
||||
openInterest=EMPTY_INT,
|
||||
upperLimit=EMPTY_FLOAT,
|
||||
lowerLimit=EMPTY_FLOAT):
|
||||
tick = VtTickData()
|
||||
tick.gatewayName = gateway.gatewayName
|
||||
tick.symbol = symbol
|
||||
tick.exchange = exchange
|
||||
tick.vtSymbol = symbol + '.' + exchange
|
||||
|
||||
tick.lastPrice = lastPrice
|
||||
tick.lastVolume = lastVolume
|
||||
tick.openInterest = openInterest
|
||||
tick.datetime = datetime.now()
|
||||
tick.date = tick.datetime.strftime('%Y%m%d')
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S')
|
||||
|
||||
tick.openPrice = openPrice
|
||||
tick.highPrice = highPrice
|
||||
tick.lowPrice = lowPrice
|
||||
tick.upperLimit = upperLimit
|
||||
tick.lowerLimit = lowerLimit
|
||||
return tick
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtBarData(VtBaseData):
|
||||
@ -133,7 +163,27 @@ class VtTradeData(VtBaseData):
|
||||
self.price = EMPTY_FLOAT # 成交价格
|
||||
self.volume = EMPTY_INT # 成交数量
|
||||
self.tradeTime = EMPTY_STRING # 成交时间
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def createFromGateway(gateway, symbol, exchange, tradeID, orderID, direction, tradePrice, tradeVolume):
|
||||
trade = VtTradeData()
|
||||
trade.gatewayName = gateway.gatewayName
|
||||
trade.symbol = symbol
|
||||
trade.exchange = exchange
|
||||
trade.vtSymbol = symbol + '.' + exchange
|
||||
|
||||
trade.orderID = orderID
|
||||
trade.vtOrderID = trade.gatewayName + '.' + trade.tradeID
|
||||
|
||||
trade.tradeID = tradeID
|
||||
trade.vtTradeID = trade.gatewayName + '.' + tradeID
|
||||
|
||||
trade.direction = direction
|
||||
trade.price = tradePrice
|
||||
trade.volume = tradeVolume
|
||||
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||||
return trade
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def createFromOrderData(order,
|
||||
@ -144,6 +194,7 @@ class VtTradeData(VtBaseData):
|
||||
trade.gatewayName = order.gatewayName
|
||||
trade.symbol = order.symbol
|
||||
trade.vtSymbol = order.vtSymbol
|
||||
|
||||
trade.orderID = order.orderID
|
||||
trade.vtOrderID = order.vtOrderID
|
||||
trade.tradeID = tradeID
|
||||
|
||||
Loading…
Reference in New Issue
Block a user