From 4d36b5198b633dc87afa3fd4e3cf711ab7cfc2a4 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 16 Jul 2019 14:43:20 +0800 Subject: [PATCH] [Add] query_history function for BinanceGateway --- examples/vn_trader/run.py | 8 +- vnpy/app/cta_backtester/ui/widget.py | 7 +- vnpy/gateway/binance/binance_gateway.py | 112 ++++++++++++++++++++++-- 3 files changed, 114 insertions(+), 13 deletions(-) diff --git a/examples/vn_trader/run.py b/examples/vn_trader/run.py index f2a58c8e..73e313c3 100644 --- a/examples/vn_trader/run.py +++ b/examples/vn_trader/run.py @@ -4,11 +4,11 @@ from vnpy.event import EventEngine from vnpy.trader.engine import MainEngine from vnpy.trader.ui import MainWindow, create_qapp -# from vnpy.gateway.binance import BinanceGateway +from vnpy.gateway.binance import BinanceGateway # from vnpy.gateway.bitmex import BitmexGateway # from vnpy.gateway.futu import FutuGateway # from vnpy.gateway.ib import IbGateway -from vnpy.gateway.ctp import CtpGateway +# from vnpy.gateway.ctp import CtpGateway # from vnpy.gateway.ctptest import CtptestGateway # from vnpy.gateway.femas import FemasGateway # from vnpy.gateway.tiger import TigerGateway @@ -42,8 +42,8 @@ def main(): main_engine = MainEngine(event_engine) - # main_engine.add_gateway(BinanceGateway) - main_engine.add_gateway(CtpGateway) + main_engine.add_gateway(BinanceGateway) + # main_engine.add_gateway(CtpGateway) # main_engine.add_gateway(CtptestGateway) # main_engine.add_gateway(FemasGateway) # main_engine.add_gateway(IbGateway) diff --git a/vnpy/app/cta_backtester/ui/widget.py b/vnpy/app/cta_backtester/ui/widget.py index b73b4f54..4efec8ac 100644 --- a/vnpy/app/cta_backtester/ui/widget.py +++ b/vnpy/app/cta_backtester/ui/widget.py @@ -315,8 +315,11 @@ class BacktesterManager(QtWidgets.QWidget): """""" vt_symbol = self.symbol_line.text() interval = self.interval_combo.currentText() - start = self.start_date_edit.date().toPyDate() - end = self.end_date_edit.date().toPyDate() + start_date = self.start_date_edit.date() + end_date = self.end_date_edit.date() + + start = datetime(start_date.year(), start_date.month(), start_date.day()) + end = datetime(end_date.year(), end_date.month(), end_date.day()) self.backtester_engine.start_downloading( vt_symbol, diff --git a/vnpy/gateway/binance/binance_gateway.py b/vnpy/gateway/binance/binance_gateway.py index ab1ef8c8..2f6f907d 100644 --- a/vnpy/gateway/binance/binance_gateway.py +++ b/vnpy/gateway/binance/binance_gateway.py @@ -7,7 +7,7 @@ import hashlib import hmac import time from copy import copy -from datetime import datetime +from datetime import datetime, timedelta from enum import Enum from threading import Lock @@ -18,7 +18,8 @@ from vnpy.trader.constant import ( Exchange, Product, Status, - OrderType + OrderType, + Interval ) from vnpy.trader.gateway import BaseGateway from vnpy.trader.object import ( @@ -27,9 +28,11 @@ from vnpy.trader.object import ( TradeData, AccountData, ContractData, + BarData, OrderRequest, CancelRequest, - SubscribeRequest + SubscribeRequest, + HistoryRequest ) from vnpy.trader.event import EVENT_TIMER from vnpy.event import Event @@ -59,6 +62,18 @@ DIRECTION_VT2BINANCE = { } DIRECTION_BINANCE2VT = {v: k for k, v in DIRECTION_VT2BINANCE.items()} +INTERVAL_VT2BINANCE = { + Interval.MINUTE: "1m", + Interval.HOUR: "1h", + Interval.DAILY: "1d", +} + +TIMEDELTA_MAP = { + Interval.MINUTE: timedelta(minutes=1), + Interval.HOUR: timedelta(hours=1), + Interval.DAILY: timedelta(days=1), +} + class Security(Enum): NONE = 0 @@ -126,6 +141,10 @@ class BinanceGateway(BaseGateway): """""" pass + def query_history(self, req: HistoryRequest): + """""" + return self.rest_api.query_history(req) + def close(self): """""" self.rest_api.stop() @@ -167,14 +186,17 @@ class BinanceRestApi(RestClient): """ Generate BINANCE signature. """ + security = request.data["security"] + if security == Security.NONE: + request.data = None + return request + if request.params: path = request.path + "?" + urllib.parse.urlencode(request.params) else: request.params = dict() path = request.path - security = request.data["security"] - if security == Security.SIGNED: timestamp = int(time.time() * 1000) @@ -184,7 +206,6 @@ class BinanceRestApi(RestClient): timestamp += abs(self.time_offset) request.params["timestamp"] = timestamp - # request.params["recv_window"] = self.recv_window query = urllib.parse.urlencode(sorted(request.params.items())) signature = hmac.new(self.secret, query.encode( @@ -204,7 +225,7 @@ class BinanceRestApi(RestClient): "X-MBX-APIKEY": self.key } - if security == Security.SIGNED or security == Security.API_KEY: + if security in [Security.SIGNED, Security.API_KEY]: request.headers = headers return request @@ -454,6 +475,7 @@ class BinanceRestApi(RestClient): size=1, min_volume=min_volume, product=Product.SPOT, + history_data=True, gateway_name=self.gateway_name, ) self.gateway.on_contract(contract) @@ -507,6 +529,82 @@ class BinanceRestApi(RestClient): """""" pass + def query_history(self, req: HistoryRequest): + """""" + history = [] + limit = 1000 + start_time = int(datetime.timestamp(req.start)) + + while True: + # Create query params + params = { + "symbol": req.symbol, + "interval": INTERVAL_VT2BINANCE[req.interval], + "limit": limit, + "startTime": start_time * 1000, # convert to millisecond + } + + # Add end time if specified + if req.end: + end_time = int(datetime.timestamp(req.end)) + params["endTime"] = end_time * 1000 # convert to millisecond + + # Get response from server + resp = self.request( + "GET", + "/api/v1/klines", + data={"security": Security.NONE}, + params=params + ) + + # Break if request failed with other status code + if resp.status_code // 100 != 2: + msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}" + self.gateway.write_log(msg) + break + else: + data = resp.json() + if not data: + msg = f"获取历史数据为空，开始时间：{start_time}" + self.gateway.write_log(msg) + break + + buf = [] + + for l in data: + dt = datetime.fromtimestamp(l[0] / 1000) # convert to second + + bar = BarData( + symbol=req.symbol, + exchange=req.exchange, + datetime=dt, + interval=req.interval, + volume=float(l[5]), + open_price=float(l[1]), + high_price=float(l[2]), + low_price=float(l[3]), + close_price=float(l[4]), + gateway_name=self.gateway_name + ) + buf.append(bar) + + history.extend(buf) + + begin = buf[0].datetime + end = buf[-1].datetime + msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}" + self.gateway.write_log(msg) + + # Break if total data count less than limit (latest date collected) + if len(data) < limit: + break + + # Update start time + start_dt = bar.datetime + TIMEDELTA_MAP[req.interval] + start_time = int(datetime.timestamp(start_dt)) + + return history + class BinanceTradeWebsocketApi(WebsocketClient): """"""