senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[Add] query_history function for BinanceGateway

Browse Source
This commit is contained in:
vn.py 2019-07-16 14:43:20 +08:00
parent 28b9ce6d8d
commit 4d36b5198b
3 changed files with 114 additions and 13 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

8
examples/vn_trader/run.py
View File

@ -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)

7
vnpy/app/cta_backtester/ui/widget.py
View File

@ -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,

112
vnpy/gateway/binance/binance_gateway.py
View File

@ -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):
""""""