[Add] OkexGateway:增加深度信息
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nanoric
parent
3fd5d398a8
commit
59d82042c5
@ -150,6 +150,8 @@ class OkexFuturesGateway(VtGateway):
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self.tradeID = 0
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self._orders = {} # type: Dict[str, Order]
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self._remoteIds = {} # type: Dict[str, Order]
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self._lastTicker = None # type: VtTickData
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self._utcOffset = datetime.now() - datetime.utcnow()
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#----------------------------------------------------------------------
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def readConfig(self):
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@ -211,9 +213,18 @@ class OkexFuturesGateway(VtGateway):
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remoteSymbol = s.v1Symbol.lower()
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remoteContractType = s.remoteContractType
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# ticker
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self.webSocket.sendPacket({
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'event': 'addChannel',
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'channel': 'ok_sub_futureusd_' + remoteSymbol.lower() + '_ticker_' + remoteContractType
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'channel':
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'ok_sub_futureusd_' + remoteSymbol.lower() + '_ticker_' + remoteContractType
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})
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# depth
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self.webSocket.sendPacket({
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'event': 'addChannel',
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'channel':
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'ok_sub_futureusd_' + remoteSymbol.lower() + '_depth' + remoteContractType + '_5'
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})
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#----------------------------------------------------------------------
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@ -620,18 +631,64 @@ class OkexFuturesGateway(VtGateway):
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uiSymbol = remoteSymbolToLocal(channel.symbol,
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remoteContractTypeToLocal(
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channel.remoteContractType))
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self.onTick(VtTickData.createFromGateway(
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gateway=self,
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symbol=uiSymbol,
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exchange=self.exchange,
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lastPrice=data['last'],
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lastVolume=data['vol'],
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highPrice=data['high'],
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lowPrice=data['low'],
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openInterest=data['hold_amount'],
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lowerLimit=data['limitLow'],
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upperLimit=data['limitHigh'],
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))
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if self._lastTicker is None:
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self._lastTicker = VtTickData.createFromGateway(
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gateway=self,
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symbol=uiSymbol,
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exchange=self.exchange,
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lastPrice=float(data['last']),
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lastVolume=float(data['vol']),
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highPrice=float(data['high']),
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lowPrice=float(data['low']),
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openInterest=float(data['hold_amount']),
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lowerLimit=float(data['limitLow']),
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upperLimit=float(data['limitHigh']),
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)
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else:
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self._lastTicker.lastPrice = float(data['last'])
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self._lastTicker.lastVolume = float(data['vol'])
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self._lastTicker.highPrice = float(data['high'])
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self._lastTicker.lowPrice = float(data['low'])
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self._lastTicker.openInterest = float(data['hold_amount'])
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self._lastTicker.lowerLimit = float(data['limitLow'])
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self._lastTicker.upperLimit = float(data['limitHigh'])
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self._lastTicker.datetime = datetime.now()
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self._lastTicker.date = self._lastTicker.datetime.strftime('%Y%m%d')
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self._lastTicker.time = self._lastTicker.datetime.strftime('%H:%M:%S')
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self.onTick(self._lastTicker)
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elif channel.type == ChannelType.Depth:
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asks = data['asks']
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bids = data['bids']
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if self._lastTicker is not None:
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timestamp = float(data['timestamp'])
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ts = datetime.utcfromtimestamp(timestamp/1000) + self._utcOffset
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self._lastTicker.askPrice1 = asks[0][0]
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self._lastTicker.askPrice2 = asks[1][0]
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self._lastTicker.askPrice3 = asks[2][0]
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self._lastTicker.askPrice4 = asks[3][0]
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self._lastTicker.askPrice5 = asks[4][0]
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self._lastTicker.askVolume1 = asks[0][1]
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self._lastTicker.askVolume2 = asks[1][1]
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self._lastTicker.askVolume3 = asks[2][1]
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self._lastTicker.askVolume4 = asks[3][1]
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self._lastTicker.askVolume5 = asks[4][1]
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self._lastTicker.bidPrice1 = bids[0][0]
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self._lastTicker.bidPrice2 = bids[1][0]
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self._lastTicker.bidPrice3 = bids[2][0]
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self._lastTicker.bidPrice4 = bids[3][0]
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self._lastTicker.bidPrice5 = bids[4][0]
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self._lastTicker.bidVolume1 = bids[0][1]
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self._lastTicker.bidVolume2 = bids[1][1]
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self._lastTicker.bidVolume3 = bids[2][1]
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self._lastTicker.bidVolume4 = bids[3][1]
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self._lastTicker.bidVolume5 = bids[4][1]
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self._lastTicker.datetime = ts
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self._lastTicker.date = self._lastTicker.datetime.strftime('%Y%m%d')
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self._lastTicker.time = self._lastTicker.datetime.strftime('%H:%M:%S')
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self.onTick(self._lastTicker)
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elif channel.type == ChannelType.Position:
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symbol = data['symbol']
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positions = data['positions']
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@ -771,16 +828,22 @@ def parseChannel(channel): # type: (str)->Channel
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easySymbol + '_' + crash,
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remotePrefixToRemoteContractType(contractTypePrefix))
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elif sp[-1] == 'week':
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# if lsp == 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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if lsp == 8:
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_, _, _, easySymbol, crash, typeName, contractTypePrefix, _ = sp
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return Channel(ChannelType.Tick,
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easySymbol + '_' + crash,
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remotePrefixToRemoteContractType(contractTypePrefix))
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if sp[-1] == '5':
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if lsp == 7: # eg "ok_sub_futureusd_eth_usd_depthquarter_5"
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_, _, _, easySymbol, crash, typeName_contractTypePrefix, depth = sp
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return Channel(ChannelType.Depth, easySymbol + '_' + crash,
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remotePrefixToRemoteContractType(typeName_contractTypePrefix[5:]),
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depth)
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if lsp == 8: # eg "ok_sub_futureusd_eth_usd_depthnext_week_5"
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_, _, _, easySymbol, crash, typeName_contractTypePrefix, _, depth = sp
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return Channel(ChannelType.Depth, easySymbol + '_' + crash,
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remotePrefixToRemoteContractType(typeName_contractTypePrefix[5:]),
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depth)
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#----------------------------------------------------------------------
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