[Mod] change code struction and complete test of BybitGateway
This commit is contained in:
vn.py
parent
765bb5078a
commit
5df4e6f738
@ -194,7 +194,7 @@ class BybitRestApi(RestClient):
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api_params["api_key"] = self.key
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api_params["recv_window"] = 30 * 1000
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api_params["timestamp"] = generate_timestamp(-1)
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api_params["timestamp"] = generate_timestamp(-5)
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data2sign = "&".join(
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[f"{k}={v}" for k, v in sorted(api_params.items())])
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@ -265,87 +265,6 @@ class BybitRestApi(RestClient):
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self.order_manager.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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data = {
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"order_id": sys_orderid,
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"symbol": req.symbol,
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}
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self.add_request(
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"POST",
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path="/open-api/order/cancel",
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data=data,
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callback=self.on_cancel_order
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)
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def query_history(self, req: HistoryRequest) -> List[BarData]:
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""""""
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history = []
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count = 200
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start_time = int(req.start.timestamp())
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while True:
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# Create query params
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params = {
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"symbol": req.symbol,
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"interval": INTERVAL_VT2BYBIT[req.interval],
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"from": start_time,
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"limit": count
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}
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# Get response from server
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resp = self.request(
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"GET",
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"/v2/public/kline/list",
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params=params
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)
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# Break if request failed with other status code
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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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break
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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，开始时间：{start_time}，数量：{count}"
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break
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buf = []
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for d in data["result"]:
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dt = datetime.fromtimestamp(d["open_time"])
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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=dt,
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interval=req.interval,
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volume=int(d["volume"]),
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open_price=float(d["open"]),
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high_price=float(d["high"]),
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low_price=float(d["low"]),
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close_price=float(d["close"]),
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gateway_name=self.gateway_name
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)
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buf.append(bar)
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history.extend(buf)
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begin = buf[0].datetime
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end = buf[-1].datetime
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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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# Break if last data collected
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if len(buf) < count:
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break
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# Update start time
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start_time = int((bar.datetime + TIMEDELTA_MAP[req.interval]).timestamp())
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return history
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def on_send_order_failed(self, status_code: int, request: Request):
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"""
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Callback when sending order failed on server.
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@ -385,6 +304,21 @@ class BybitRestApi(RestClient):
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result["order_id"]
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)
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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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data = {
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"order_id": sys_orderid,
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"symbol": req.symbol,
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}
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self.add_request(
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"POST",
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path="/open-api/order/cancel",
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data=data,
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callback=self.on_cancel_order
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)
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def on_cancel_order_error(
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self, exception_type: type, exception_value: Exception, tb, request: Request
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):
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@ -563,6 +497,72 @@ class BybitRestApi(RestClient):
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else:
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self.gateway.write_log("委托信息查询成功")
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def query_history(self, req: HistoryRequest) -> List[BarData]:
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""""""
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history = []
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count = 200
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start_time = int(req.start.timestamp())
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while True:
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# Create query params
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params = {
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"symbol": req.symbol,
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"interval": INTERVAL_VT2BYBIT[req.interval],
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"from": start_time,
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"limit": count
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}
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# Get response from server
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resp = self.request(
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"GET",
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"/v2/public/kline/list",
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params=params
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)
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# Break if request failed with other status code
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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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break
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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，开始时间：{start_time}，数量：{count}"
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break
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buf = []
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for d in data["result"]:
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dt = datetime.fromtimestamp(d["open_time"])
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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=dt,
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interval=req.interval,
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volume=int(d["volume"]),
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open_price=float(d["open"]),
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high_price=float(d["high"]),
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low_price=float(d["low"]),
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close_price=float(d["close"]),
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gateway_name=self.gateway_name
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)
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buf.append(bar)
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history.extend(buf)
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begin = buf[0].datetime
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end = buf[-1].datetime
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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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# Break if last data collected
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if len(buf) < count:
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break
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# Update start time
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start_time = int((bar.datetime + TIMEDELTA_MAP[req.interval]).timestamp())
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return history
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class BybitWebsocketApi(WebsocketClient):
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""""""
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@ -635,6 +635,18 @@ class BybitWebsocketApi(WebsocketClient):
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f"instrument_info.100ms.{req.symbol}", self.on_tick)
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self.subscribe_topic(f"orderBookL2_25.{req.symbol}", self.on_depth)
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def subscribe_topic(self, topic: str, callback: Callable[[str, dict], Any]):
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"""
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Subscribe to all private topics.
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"""
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self.callbacks[topic] = callback
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req = {
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"op": "subscribe",
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"args": [topic],
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}
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self.send_packet(req)
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def on_connected(self):
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""""""
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self.gateway.write_log("Websocket API连接成功")
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@ -678,18 +690,6 @@ class BybitWebsocketApi(WebsocketClient):
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else:
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self.gateway.write_log("Websocket API登录失败")
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def subscribe_topic(self, topic: str, callback: Callable[[str, dict], Any]):
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"""
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Subscribe to all private topics.
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"""
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self.callbacks[topic] = callback
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req = {
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"op": "subscribe",
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"args": [topic],
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}
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self.send_packet(req)
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def on_tick(self, packet: dict):
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""""""
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topic = packet["topic"]
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