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[Mod] use utc time for ByBit gateway

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vn.py 2019-11-07 15:28:02 +08:00
parent 2e01bef96f
commit 65fc733a02
1 changed files with 9 additions and 2 deletions
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11
vnpy/gateway/bybit/bybit_gateway.py
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@ -3,6 +3,7 @@ import hashlib
import hmac import hmac
import time import time
import sys import sys
import pytz
from datetime import datetime, timedelta from datetime import datetime, timedelta
from typing import Any, Dict, List, Callable from typing import Any, Dict, List, Callable
from threading import Lock from threading import Lock
@ -81,6 +82,9 @@ WEBSOCKET_HOST = "wss://stream.bybit.com/realtime"
TESTNET_REST_HOST = "https://api-testnet.bybit.com" TESTNET_REST_HOST = "https://api-testnet.bybit.com"
TESTNET_WEBSOCKET_HOST = "wss://stream-testnet.bybit.com/realtime" TESTNET_WEBSOCKET_HOST = "wss://stream-testnet.bybit.com/realtime"
CHINA_TZ = pytz.timezone("Asia/Shanghai")
UTC_TZ = pytz.utc
class BybitGateway(BaseGateway): class BybitGateway(BaseGateway):
""" """
@ -711,7 +715,8 @@ class BybitWebsocketApi(WebsocketClient):
if "volume_24h" in update: if "volume_24h" in update:
tick.volume = update["volume_24h"] tick.volume = update["volume_24h"]
tick.datetime = datetime.fromtimestamp(timestamp / 1_000_000) local_dt = datetime.fromtimestamp(timestamp / 1_000_000)
tick.datetime = local_dt.astimezone(UTC_TZ)
self.gateway.on_tick(copy(tick)) self.gateway.on_tick(copy(tick))
def on_depth(self, packet: dict): def on_depth(self, packet: dict):
@ -770,7 +775,8 @@ class BybitWebsocketApi(WebsocketClient):
setattr(tick, f"ask_price_{n}", ask_price) setattr(tick, f"ask_price_{n}", ask_price)
setattr(tick, f"ask_volume_{n}", ask_data["size"]) setattr(tick, f"ask_volume_{n}", ask_data["size"])
tick.datetime = datetime.fromtimestamp(timestamp / 1_000_000) local_dt = datetime.fromtimestamp(timestamp / 1_000_000)
tick.datetime = local_dt.astimezone(UTC_TZ)
self.gateway.on_tick(copy(tick)) self.gateway.on_tick(copy(tick))
def on_trade(self, packet: dict): def on_trade(self, packet: dict):
@ -803,6 +809,7 @@ class BybitWebsocketApi(WebsocketClient):
if order: if order:
order.traded = d["cum_exec_qty"] order.traded = d["cum_exec_qty"]
order.status = STATUS_BYBIT2VT[d["order_status"]] order.status = STATUS_BYBIT2VT[d["order_status"]]
order.time = d["timestamp"]
else: else:
# Use sys_orderid as local_orderid when # Use sys_orderid as local_orderid when
# order placed from other source # order placed from other source