Create gateiof_gateway.py
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KeKe
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04224b5e13
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vnpy/gateway/gateio_f/gateiof_gateway.py
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868
vnpy/gateway/gateio_f/gateiof_gateway.py
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"""
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Gate.io 期货接口
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"""
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import hashlib
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import hmac
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import json
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import sys
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import time
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from copy import copy
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from datetime import datetime, timedelta
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from threading import Lock
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from urllib.parse import urlencode
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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.event import Event
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from vnpy.trader.constant import (Direction, Exchange, Interval, OrderType,
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Product, Status)
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from vnpy.trader.event import EVENT_TIMER
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from vnpy.trader.gateway import BaseGateway, LocalOrderManager
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from vnpy.trader.object import (AccountData, BarData, CancelRequest,
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ContractData, HistoryRequest, OrderData,
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OrderRequest, PositionData, SubscribeRequest,
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TickData, TradeData)
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TESTNET_REST_HOST = "https://fx-api-testnet.gateio.ws/"
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REST_HOST = "https://api.gateio.ws"
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TESTNET_WEBSOCKET_HOST = "wss://fx-ws-testnet.gateio.ws/v4/ws"
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WEBSOCKET_HOST = "wss://fx-ws.gateio.ws/v4/ws"
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STATUS_GATEIO2VT = {
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"open": Status.NOTTRADED,
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"finished": Status.ALLTRADED,
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}
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INTERVAL_VT2GATEIO = {
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Interval.MINUTE: "1m",
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Interval.HOUR: "1h",
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Interval.DAILY: "1d",
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}
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TIMEDELTA_MAP = {
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Interval.MINUTE: timedelta(minutes=1),
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Interval.HOUR: timedelta(hours=1),
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Interval.DAILY: timedelta(days=1),
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}
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class GateiofGateway(BaseGateway):
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"""
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VN Trader Gateway for Gate.io future connection.
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"""
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default_setting = {
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"API Key": "",
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"Secret Key": "",
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"会话数": 3,
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"服务器": ["REAL", "TESTNET"],
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"代理地址": "",
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"代理端口": "",
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}
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exchanges = [Exchange.GATEIO]
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def __init__(self, event_engine):
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"""Constructor"""
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super(GateiofGateway, self).__init__(event_engine, "GATEIO")
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self.order_manager = LocalOrderManager(self)
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self.ws_api = GateiofWebsocketApi(self)
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self.rest_api = GateiofRestApi(self)
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def connect(self, setting: dict):
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""""""
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key = setting["API Key"]
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secret = setting["Secret Key"]
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session_number = setting["会话数"]
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server = setting["服务器"]
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proxy_host = setting["代理地址"]
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proxy_port = setting["代理端口"]
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if proxy_port.isdigit():
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proxy_port = int(proxy_port)
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else:
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proxy_port = 0
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self.rest_api.connect(key, secret, session_number, server,
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proxy_host, proxy_port)
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self.ws_api.connect(key, secret, server, proxy_host, proxy_port)
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self.query_account()
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self.query_position()
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self.cycle_query()
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def subscribe(self, req: SubscribeRequest):
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""""""
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self.ws_api.subscribe(req)
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def send_order(self, req: OrderRequest):
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""""""
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return self.rest_api.send_order(req)
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def cancel_order(self, req: CancelRequest):
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""""""
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self.rest_api.cancel_order(req)
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def query_account(self):
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""""""
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self.rest_api.query_account()
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def query_position(self):
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""""""
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self.rest_api.query_position()
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def query_history(self, req: HistoryRequest):
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""""""
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return self.rest_api.query_history(req)
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def close(self):
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""""""
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self.rest_api.stop()
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self.ws_api.stop()
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def process_timer_event(self, event: Event):
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""""""
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if self.rest_api.cycle_query:
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self.count += 1
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if self.count < 3:
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return
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self.query_account()
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self.query_position()
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def cycle_query(self):
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""""""
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self.count = 0
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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class GateiofRestApi(RestClient):
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"""
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Gateiof REST API
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"""
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def __init__(self, gateway: BaseGateway):
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""""""
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super().__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.order_manager = gateway.order_manager
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self.ws_api = self.gateway.ws_api
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self.key = ""
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self.secret = ""
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self.account_id = ""
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self.order_count = 10000
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self.trade_count = 0
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self.order_count_lock = Lock()
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self.connect_date = 0
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self.contracts = []
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self.cycle_query = False
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self.contract_query = False
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def sign(self, request):
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"""
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Generate HBDM signature.
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"""
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headers_with_signature = generate_sign(
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self.key,
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self.secret,
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request.method,
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request.path,
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get_params=request.params,
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get_data=request.data
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)
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request.headers = headers_with_signature
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# if request.params:
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# query = urlencode(request.params)
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# path = request.path + "?" + query
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# else:
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# path = request.path
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if not request.data:
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request.data = ""
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return request
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def connect(
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self,
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key: str,
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secret: str,
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session_number: int,
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server: str,
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proxy_host: str,
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proxy_port: int
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):
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"""
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Initialize connection to REST server.
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"""
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self.key = key
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self.secret = secret
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self.connect_date = int(datetime.now().strftime("%y%m%d"))
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if server == "REAL":
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self.init(REST_HOST, proxy_host, proxy_port)
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else:
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self.init(TESTNET_REST_HOST, proxy_host, proxy_port)
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self.start(session_number)
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self.gateway.write_log("REST API启动成功")
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def query_account(self):
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""""""
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self.add_request(
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method="GET",
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path="/api/v4/futures/accounts",
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callback=self.on_query_account
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)
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def query_position(self):
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""""""
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self.add_request(
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method="GET",
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path="/api/v4/futures/positions",
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callback=self.on_query_position
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)
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def query_order(self):
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""""""
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for contract in self.contracts:
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params = {
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"contract": contract,
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"status": "open",
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}
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self.add_request(
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method="GET",
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path="/api/v4/futures/orders",
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callback=self.on_query_order,
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params=params
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)
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def query_trade(self):
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""""""
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self.add_request(
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method="GET",
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path="/api/v4/futures/my_trades",
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callback=self.on_query_trade
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)
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def query_contract(self):
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""""""
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self.add_request(
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method="GET",
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path="/api/v4/futures/contracts",
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callback=self.on_query_contract
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)
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def query_history(self, req: HistoryRequest):
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""""""
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history = []
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interval = INTERVAL_VT2GATEIO[req.interval]
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params = {
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"contract": req.symbol,
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"limit": 2000,
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"interval": interval,
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}
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resp = self.request(
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method="GET",
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path="/api/v4/futures/candlesticks",
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params=params
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)
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if resp.status_code // 100 != 2:
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msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
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self.gateway.write_log(msg)
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else:
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data = resp.json()
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if not data:
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msg = f"获取历史数据为空"
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for d in data:
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bar = BarData(
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symbol=req.symbol,
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exchange=req.exchange,
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datetime=datetime.fromtimestamp(d["t"]),
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interval=req.interval,
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volume=d["v"],
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open_price=float(d["o"]),
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high_price=float(d["h"]),
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low_price=float(d["l"]),
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close_price=float(d["c"]),
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gateway_name=self.gateway_name
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)
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history.append(bar)
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begin = datetime.fromtimestamp(data[0]["t"])
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end = datetime.fromtimestamp(data[-1]["t"])
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msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}"
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self.gateway.write_log(msg)
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return history
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def new_local_orderid(self):
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""""""
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with self.order_count_lock:
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self.order_count += 1
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local_orderid = f"{self.connect_date}{self.order_count}"
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return local_orderid
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def send_order(self, req: OrderRequest):
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""""""
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local_orderid = self.new_local_orderid()
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order = req.create_order_data(
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local_orderid,
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self.gateway_name
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)
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order.time = datetime.now().strftime("%H:%M:%S")
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if req.direction == Direction.SHORT:
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volume = -int(req.volume)
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else:
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volume = int(req.volume)
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request_body = {
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"contract": req.symbol,
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"size": volume,
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"price": str(req.price),
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"close": False,
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"tif": "gtc",
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"text": f"t-{local_orderid}"
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}
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data = json.dumps(request_body)
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self.add_request(
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method="POST",
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path="/api/v4/futures/orders",
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callback=self.on_send_order,
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data=data,
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extra=order,
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on_error=self.on_send_order_error,
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on_failed=self.on_send_order_failed
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)
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self.gateway.on_order(order)
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return order.vt_orderid
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def cancel_order(self, req: CancelRequest):
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""""""
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sys_orderid = self.order_manager.get_sys_orderid(req.orderid)
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self.add_request(
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method="DELETE",
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path=f"/api/v4/futures/orders/{sys_orderid}",
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callback=self.on_cancel_order,
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on_failed=self.on_cancel_order_failed,
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extra=req
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)
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def on_query_account(self, data, request):
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""""""
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self.account_id = str(data["user"])
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account = AccountData(
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accountid=self.account_id,
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balance=float(data["total"]),
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frozen=float(data["total"]) - float(data["available"]),
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gateway_name=self.gateway_name,
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)
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self.gateway.on_account(account)
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if not self.contract_query:
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self.query_contract()
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def on_query_position(self, data, request):
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""""""
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for d in data:
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volume = float(d["size"])
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position = PositionData(
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symbol=d["contract"],
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exchange=Exchange.GATEIO,
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volume=volume,
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direction=Direction.NET,
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price=float(d["entry_price"]),
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pnl=float(d["unrealised_pnl"]),
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gateway_name=self.gateway_name,
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)
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self.gateway.on_position(position)
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def on_query_trade(self, data, request):
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""""""
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data = list(
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reversed(data)
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)
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for d in data:
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local_orderid = self.new_local_orderid()
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self.trade_count += 1
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volume = d["size"]
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if volume > 0:
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direction = Direction.LONG
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else:
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direction = Direction.SHORT
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dt = datetime.fromtimestamp(d["create_time"]).strftime("%H:%M:%S")
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trade = TradeData(
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symbol=d["contract"],
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exchange=Exchange.GATEIO,
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orderid=local_orderid,
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tradeid=str(self.trade_count).rjust(8, "0"),
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direction=direction,
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price=d["price"],
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volume=abs(volume),
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time=dt,
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gateway_name=self.gateway_name,
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)
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self.gateway.on_trade(trade)
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self.gateway.write_log("成交查询成功")
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self.ws_api.trade_count = self.trade_count
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self.query_order()
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def on_query_order(self, data, request):
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""""""
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if not data:
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return
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for d in data:
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local_orderid = self.new_local_orderid()
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sys_orderid = str(d["id"])
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self.order_manager.update_orderid_map(
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local_orderid=local_orderid,
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sys_orderid=sys_orderid
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)
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volume = d["size"]
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if volume > 0:
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direction = Direction.LONG
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else:
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direction = Direction.SHORT
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dt = datetime.fromtimestamp(d["create_time"]).strftime("%H:%M:%S")
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order = OrderData(
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orderid=local_orderid,
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symbol=d["contract"],
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exchange=Exchange.GATEIO,
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price=float(d["price"]),
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volume=abs(volume),
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type=OrderType.LIMIT,
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direction=direction,
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status=STATUS_GATEIO2VT[d["status"]],
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time=dt,
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gateway_name=self.gateway_name,
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)
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self.order_manager.on_order(order)
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self.gateway.write_log(f"{order.symbol}合约委托信息查询成功")
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def on_query_contract(self, data, request): # type: (dict, Request)->None
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""""""
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for d in data:
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symbol = d["name"]
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self.contracts.append(symbol)
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contract = ContractData(
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symbol=symbol,
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exchange=Exchange.GATEIO,
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name=symbol,
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pricetick=d["order_price_round"],
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size=int(d["leverage_min"]),
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min_volume=d["order_size_min"],
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product=Product.FUTURES,
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gateway_name=self.gateway_name,
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history_data=True
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)
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self.gateway.on_contract(contract)
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self.gateway.write_log("合约信息查询成功")
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self.contract_query = True
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self.query_trade()
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self.update_info(self.contracts, self.account_id)
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def update_info(self, symbols, account_id):
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""""""
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self.cycle_query = True
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for symbol in symbols:
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self.ws_api.update_info(symbol, account_id)
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def on_send_order(self, data, request):
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""""""
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order = request.extra
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order.status = STATUS_GATEIO2VT[data["status"]]
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if order.status == Status.ALLTRADED:
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order.traded = order.volume
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dt = datetime.fromtimestamp(data["create_time"])
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order.time = dt.strftime("%H:%M:%S")
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sys_orderid = data["id"]
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self.order_manager.on_order(order)
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self.order_manager.update_orderid_map(order.orderid, sys_orderid)
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def on_send_order_failed(self, status_code: str, request: Request):
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"""
|
||||
Callback when sending order failed on server.
|
||||
"""
|
||||
order = request.extra
|
||||
order.status = Status.REJECTED
|
||||
self.gateway.on_order(order)
|
||||
|
||||
msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}"
|
||||
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
def on_send_order_error(
|
||||
self, exception_type: type, exception_value: Exception, tb, request: Request
|
||||
):
|
||||
"""
|
||||
Callback when sending order caused exception.
|
||||
"""
|
||||
order = request.extra
|
||||
order.status = Status.REJECTED
|
||||
self.gateway.on_order(order)
|
||||
|
||||
# Record exception if not ConnectionError
|
||||
if not issubclass(exception_type, ConnectionError):
|
||||
self.on_error(exception_type, exception_value, tb, request)
|
||||
|
||||
def on_cancel_order(self, data, request):
|
||||
""""""
|
||||
cancel_request = request.extra
|
||||
local_orderid = cancel_request.orderid
|
||||
order = self.order_manager.get_order_with_local_orderid(local_orderid)
|
||||
|
||||
if self.check_error(data, "撤单"):
|
||||
order.status = Status.REJECTED
|
||||
else:
|
||||
order.status = Status.CANCELLED
|
||||
self.gateway.write_log(f"委托撤单成功：{order.orderid}")
|
||||
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
def on_cancel_order_failed(self, status_code: str, request: Request):
|
||||
"""
|
||||
Callback when canceling order failed on server.
|
||||
"""
|
||||
|
||||
msg = f"撤单失败，状态码：{status_code}，信息：{request.response.text}"
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
def check_error(self, data: dict, func: str = ""):
|
||||
""""""
|
||||
if data["status"] != "error":
|
||||
return False
|
||||
|
||||
error_code = data["err_code"]
|
||||
error_msg = data["err_msg"]
|
||||
|
||||
self.gateway.write_log(f"{func}请求出错，代码：{error_code}，信息：{error_msg}")
|
||||
return True
|
||||
|
||||
|
||||
class GateiofWebsocketApi(WebsocketClient):
|
||||
""""""
|
||||
|
||||
def __init__(self, gateway):
|
||||
""""""
|
||||
super(GateiofWebsocketApi, self).__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
self.order_manager = gateway.order_manager
|
||||
|
||||
self.key = ""
|
||||
self.secret = ""
|
||||
self.account_id = ""
|
||||
self.trade_count = 0
|
||||
|
||||
self.ticks = {}
|
||||
|
||||
def connect(
|
||||
self,
|
||||
key: str,
|
||||
secret: str,
|
||||
server: str,
|
||||
proxy_host: str,
|
||||
proxy_port: int
|
||||
):
|
||||
""""""
|
||||
self.key = key
|
||||
self.secret = secret
|
||||
|
||||
if server == "REAL":
|
||||
self.init(WEBSOCKET_HOST, proxy_host, proxy_port)
|
||||
else:
|
||||
self.init(TESTNET_WEBSOCKET_HOST, proxy_host, proxy_port)
|
||||
self.start()
|
||||
|
||||
def on_connected(self):
|
||||
""""""
|
||||
self.gateway.write_log("Websocket API连接成功")
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
"""
|
||||
Subscribe to tick data upate.
|
||||
"""
|
||||
tick = TickData(
|
||||
symbol=req.symbol,
|
||||
exchange=req.exchange,
|
||||
name=req.symbol,
|
||||
datetime=datetime.now(),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.ticks[req.symbol] = tick
|
||||
|
||||
self.subscribe_data(req.symbol)
|
||||
|
||||
def subscribe_data(self, symbol: str):
|
||||
""""""
|
||||
update_tick = self.construct_req(
|
||||
channel="futures.tickers",
|
||||
event="subscribe",
|
||||
pay_load=[symbol]
|
||||
)
|
||||
self.send_packet(update_tick)
|
||||
|
||||
update_depth = self.construct_req(
|
||||
channel="futures.order_book",
|
||||
event="subscribe",
|
||||
pay_load=[symbol, "5", "0"]
|
||||
)
|
||||
self.send_packet(update_depth)
|
||||
|
||||
def update_info(self, symbol: str, account_id: str):
|
||||
""""""
|
||||
|
||||
update_order = self.construct_req(
|
||||
channel="futures.orders",
|
||||
event="subscribe",
|
||||
pay_load=[account_id, symbol]
|
||||
)
|
||||
self.send_packet(update_order)
|
||||
|
||||
update_position = self.construct_req(
|
||||
channel="futures.position_closes",
|
||||
event="subscribe",
|
||||
pay_load=[account_id, symbol]
|
||||
)
|
||||
self.send_packet(update_position)
|
||||
|
||||
def on_disconnected(self):
|
||||
""""""
|
||||
self.gateway.write_log("Websocket API连接断开")
|
||||
|
||||
def on_packet(self, packet: dict):
|
||||
""""""
|
||||
|
||||
timestamp = packet["time"]
|
||||
channel = packet["channel"]
|
||||
event = packet["event"]
|
||||
result = packet["result"]
|
||||
error = packet["error"]
|
||||
|
||||
if error:
|
||||
self.gateway.write_log("Websocket API报错：%s" % error)
|
||||
return
|
||||
|
||||
if channel == "futures.tickers":
|
||||
if event == "update":
|
||||
self.on_tick(result, timestamp)
|
||||
|
||||
elif channel == "futures.order_book":
|
||||
if event == "all":
|
||||
self.on_depth(result, timestamp)
|
||||
|
||||
elif channel == "futures.orders":
|
||||
if event == "update":
|
||||
self.on_order(result, timestamp)
|
||||
|
||||
def on_error(self, exception_type: type, exception_value: Exception, tb):
|
||||
""""""
|
||||
msg = f"触发异常，状态码：{exception_type}，信息：{exception_value}"
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
sys.stderr.write(self.exception_detail(
|
||||
exception_type, exception_value, tb))
|
||||
|
||||
def construct_req(self, channel: str, event: str, pay_load: list):
|
||||
""""""
|
||||
expires = int(time.time())
|
||||
signature = generate_websocket_sign(
|
||||
self.secret, channel, event, expires)
|
||||
|
||||
req = {
|
||||
"time": expires,
|
||||
"channel": channel,
|
||||
"event": event,
|
||||
"payload": pay_load,
|
||||
"auth": {
|
||||
"method": "api_key",
|
||||
"KEY": self.key,
|
||||
"SIGN": signature
|
||||
}
|
||||
}
|
||||
|
||||
return req
|
||||
|
||||
def on_tick(self, l: list, t: int):
|
||||
""""""
|
||||
|
||||
d = l[0]
|
||||
symbol = d["contract"]
|
||||
tick = self.ticks.get(symbol, None)
|
||||
if not tick:
|
||||
return
|
||||
|
||||
tick.last_price = float(d["last"])
|
||||
tick.datetime = datetime.fromtimestamp(t)
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
def on_depth(self, d: dict, t: int):
|
||||
""""""
|
||||
symbol = d["contract"]
|
||||
tick = self.ticks.get(symbol, None)
|
||||
if not tick:
|
||||
return
|
||||
|
||||
for n, buf in enumerate(d["bids"][:5]):
|
||||
price = float(buf["p"])
|
||||
volume = buf["s"]
|
||||
tick.__setattr__("bid_price_%s" % (n + 1), price)
|
||||
tick.__setattr__("bid_volume_%s" % (n + 1), volume)
|
||||
|
||||
for n, buf in enumerate(d["asks"][:5]):
|
||||
price = float(buf["p"])
|
||||
volume = buf["s"]
|
||||
tick.__setattr__("ask_price_%s" % (n + 1), price)
|
||||
tick.__setattr__("ask_volume_%s" % (n + 1), volume)
|
||||
|
||||
tick.datetime = datetime.fromtimestamp(t)
|
||||
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
def on_order(self, l: list, t: int):
|
||||
""""""
|
||||
d = l[0]
|
||||
|
||||
local_orderid = str(d["text"])[2:]
|
||||
|
||||
volume = d["size"]
|
||||
if volume > 0:
|
||||
direction = Direction.LONG
|
||||
else:
|
||||
direction = Direction.SHORT
|
||||
|
||||
order = OrderData(
|
||||
orderid=local_orderid,
|
||||
symbol=d["contract"],
|
||||
exchange=Exchange.GATEIO,
|
||||
price=float(d["price"]),
|
||||
volume=abs(volume),
|
||||
type=OrderType.LIMIT,
|
||||
direction=direction,
|
||||
status=STATUS_GATEIO2VT[d["status"]],
|
||||
time=datetime.fromtimestamp(t).strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.order_manager.on_order(copy(order))
|
||||
|
||||
# Update trade
|
||||
if order.status == Status.ALLTRADED:
|
||||
self.trade_count += 1
|
||||
|
||||
trade = TradeData(
|
||||
symbol=order.symbol,
|
||||
exchange=order.exchange,
|
||||
orderid=order.orderid,
|
||||
tradeid=str(self.trade_count).rjust(8, "0"),
|
||||
direction=order.direction,
|
||||
price=float(d["fill_price"]),
|
||||
volume=order.volume,
|
||||
time=order.time,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
|
||||
def generate_sign(key, secret, method, path, get_params=None, get_data=None):
|
||||
""""""
|
||||
if get_params:
|
||||
params = urlencode(get_params)
|
||||
else:
|
||||
params = ""
|
||||
|
||||
hashed_data = get_hashed_data(get_data)
|
||||
|
||||
timestamp = str(time.time())
|
||||
|
||||
pay_load = [method, path, params, hashed_data, timestamp]
|
||||
pay_load = "\n".join(pay_load)
|
||||
|
||||
signature = hmac.new(
|
||||
secret.encode("utf-8"),
|
||||
pay_load.encode("utf-8"),
|
||||
hashlib.sha512
|
||||
).hexdigest()
|
||||
|
||||
headers = {
|
||||
"Accept": "application/json",
|
||||
"Content-Type": "application/json",
|
||||
"KEY": key,
|
||||
"Timestamp": str(timestamp),
|
||||
"SIGN": signature
|
||||
}
|
||||
|
||||
return headers
|
||||
|
||||
|
||||
def get_hashed_data(get_data):
|
||||
""""""
|
||||
hashed_data = hashlib.sha512()
|
||||
if get_data:
|
||||
data = get_data
|
||||
hashed_data.update(data.encode("utf-8"))
|
||||
|
||||
return hashed_data.hexdigest()
|
||||
|
||||
|
||||
def generate_websocket_sign(secret, channel, event, time):
|
||||
""""""
|
||||
message = 'channel=%s&event=%s&time=%s' % (channel, event, time)
|
||||
|
||||
signature = hmac.new(
|
||||
secret.encode("utf-8"),
|
||||
message.encode("utf-8"),
|
||||
hashlib.sha512
|
||||
).hexdigest()
|
||||
|
||||
return signature
|
||||
Loading…
Reference in New Issue
Block a user