[Add]新增fcoinGateway
This commit is contained in:
vn.py
parent
e968c3e583
commit
69310cf420
10
vnpy/trader/gateway/fcoinGateway/__init__.py
Normal file
10
vnpy/trader/gateway/fcoinGateway/__init__.py
Normal file
@ -0,0 +1,10 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
from vnpy.trader import vtConstant
|
||||
from .fcoinGateway import FcoinGateay
|
||||
|
||||
gatewayClass = FcoinGateay
|
||||
gatewayName = 'FCOIN'
|
||||
gatewayDisplayName = 'FCOIN'
|
||||
gatewayType = vtConstant.GATEWAYTYPE_BTC
|
||||
gatewayQryEnabled = True
|
||||
582
vnpy/trader/gateway/fcoinGateway/fcoinGateway.py
Normal file
582
vnpy/trader/gateway/fcoinGateway/fcoinGateway.py
Normal file
@ -0,0 +1,582 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
'''
|
||||
vnpy.api.fcoin的gateway接入
|
||||
'''
|
||||
|
||||
import os
|
||||
import json
|
||||
import time
|
||||
import traceback
|
||||
from datetime import datetime, timedelta
|
||||
from copy import copy
|
||||
from math import pow
|
||||
|
||||
from vnpy.api.fcoin import FcoinRestApi, FcoinWebsocketApi
|
||||
from vnpy.trader.vtGateway import *
|
||||
from vnpy.trader.vtFunction import getJsonPath, getTempPath
|
||||
|
||||
# 委托状态类型映射
|
||||
statusMapReverse = {}
|
||||
statusMapReverse['submitted'] = STATUS_NOTTRADED
|
||||
statusMapReverse['partial_filled'] = STATUS_PARTTRADED
|
||||
statusMapReverse['partial_canceled'] = STATUS_CANCELLED
|
||||
statusMapReverse['filled'] = STATUS_ALLTRADED
|
||||
statusMapReverse['canceled'] = STATUS_CANCELLED
|
||||
statusMapReverse['pending_cancel'] = STATUS_UNKNOWN
|
||||
|
||||
# 方向映射
|
||||
directionMap = {}
|
||||
directionMap[DIRECTION_LONG] = 'buy'
|
||||
directionMap[DIRECTION_SHORT] = 'sell'
|
||||
directionMapReverse = {v:k for k,v in directionMap.items()}
|
||||
|
||||
# 价格类型映射
|
||||
priceTypeMap = {}
|
||||
priceTypeMap[PRICETYPE_LIMITPRICE] = 'limit'
|
||||
priceTypeMap[PRICETYPE_MARKETPRICE] = 'market'
|
||||
|
||||
|
||||
|
||||
########################################################################
|
||||
class FcoinGateay(VtGateway):
|
||||
"""FCOIN接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, gatewayName=''):
|
||||
"""Constructor"""
|
||||
super(FcoinGateay, self).__init__(eventEngine, gatewayName)
|
||||
|
||||
self.restApi = RestApi(self)
|
||||
self.wsApi = WebsocketApi(self)
|
||||
|
||||
self.qryEnabled = False # 是否要启动循环查询
|
||||
|
||||
self.fileName = self.gatewayName + '_connect.json'
|
||||
self.filePath = getJsonPath(self.fileName, __file__)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
try:
|
||||
f = file(self.filePath)
|
||||
except IOError:
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'读取连接配置出错，请检查'
|
||||
self.onLog(log)
|
||||
return
|
||||
|
||||
# 解析json文件
|
||||
setting = json.load(f)
|
||||
try:
|
||||
apiKey = str(setting['apiKey'])
|
||||
apiSecret = str(setting['apiSecret'])
|
||||
symbols = setting['symbols']
|
||||
except KeyError:
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'连接配置缺少字段，请检查'
|
||||
self.onLog(log)
|
||||
return
|
||||
|
||||
# 创建行情和交易接口对象
|
||||
self.restApi.connect(apiKey, apiSecret, symbols)
|
||||
self.wsApi.connect(apiKey, apiSecret, symbols)
|
||||
|
||||
# 初始化并启动查询
|
||||
self.initQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
return self.restApi.sendOrder(orderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
self.restApi.cancelOrder(cancelOrderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.restApi.close()
|
||||
self.wsApi.close()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initQuery(self):
|
||||
"""初始化连续查询"""
|
||||
if self.qryEnabled:
|
||||
# 需要循环的查询函数列表
|
||||
self.qryFunctionList = [self.restApi.qryPosition,
|
||||
self.restApi.qryOrderSubmitted,
|
||||
self.restApi.qryOrderPartialFilled,
|
||||
self.restApi.qryOrderCanceled,
|
||||
self.restApi.qryOrderFilled,
|
||||
self.restApi.qryOrderPartialCanceled]
|
||||
|
||||
self.qryCount = 0 # 查询触发倒计时
|
||||
self.qryTrigger = 3 # 查询触发点
|
||||
self.qryNextFunction = 0 # 上次运行的查询函数索引
|
||||
|
||||
self.startQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def query(self, event):
|
||||
"""注册到事件处理引擎上的查询函数"""
|
||||
self.qryCount += 1
|
||||
|
||||
if self.qryCount > self.qryTrigger:
|
||||
# 清空倒计时
|
||||
self.qryCount = 0
|
||||
|
||||
# 执行查询函数
|
||||
function = self.qryFunctionList[self.qryNextFunction]
|
||||
function()
|
||||
|
||||
# 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
|
||||
self.qryNextFunction += 1
|
||||
if self.qryNextFunction == len(self.qryFunctionList):
|
||||
self.qryNextFunction = 0
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def startQuery(self):
|
||||
"""启动连续查询"""
|
||||
self.eventEngine.register(EVENT_TIMER, self.query)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setQryEnabled(self, qryEnabled):
|
||||
"""设置是否要启动循环查询"""
|
||||
self.qryEnabled = qryEnabled
|
||||
|
||||
|
||||
########################################################################
|
||||
class RestApi(FcoinRestApi):
|
||||
"""REST API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(RestApi, self).__init__()
|
||||
|
||||
self.gateway = gateway # gateway对象
|
||||
self.gatewayName = gateway.gatewayName # gateway对象名称
|
||||
|
||||
self.localID = 0
|
||||
self.tradeID = 0
|
||||
|
||||
self.orderDict = {} # sysID:order
|
||||
self.localSysDict = {} # localID:sysID
|
||||
self.reqOrderDict = {} # reqID:order
|
||||
self.cancelDict = {} # localID:req
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self, apiKey, apiSecret, symbols):
|
||||
"""连接服务器"""
|
||||
self.init(apiKey, apiSecret)
|
||||
self.start()
|
||||
|
||||
self.symbols = symbols
|
||||
self.writeLog(u'REST API启动成功')
|
||||
|
||||
self.qryContract()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def writeLog(self, content):
|
||||
"""发出日志"""
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = content
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
""""""
|
||||
#orderReq.price = 300.0
|
||||
#orderReq.volume = 0.01
|
||||
|
||||
self.localID += 1
|
||||
orderID = str(self.localID)
|
||||
vtOrderID = '.'.join([self.gatewayName, orderID])
|
||||
|
||||
req = {
|
||||
'symbol': orderReq.symbol,
|
||||
'side': directionMap[orderReq.direction],
|
||||
'type': priceTypeMap[orderReq.priceType],
|
||||
'price': orderReq.price,
|
||||
'amount': orderReq.volume
|
||||
}
|
||||
|
||||
reqid = self.addReq('POST', '/orders', self.onSendOrder, postdict=req)
|
||||
|
||||
# 缓存委托数据对象
|
||||
order = VtOrderData()
|
||||
order.gatewayName = self.gatewayName
|
||||
order.symbol = orderReq.symbol
|
||||
order.exchange = EXCHANGE_FCOIN
|
||||
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
||||
order.orderID = orderID
|
||||
order.vtOrderID = vtOrderID
|
||||
order.price = orderReq.price
|
||||
order.totalVolume = orderReq.volume
|
||||
order.direction = orderReq.direction
|
||||
order.status = STATUS_UNKNOWN
|
||||
|
||||
self.reqOrderDict[reqid] = order
|
||||
|
||||
return vtOrderID
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
""""""
|
||||
localID = cancelOrderReq.orderID
|
||||
|
||||
if localID in self.localSysDict:
|
||||
sysID = self.localSysDict[localID]
|
||||
path = '/orders/%s/submit-cancel' %sysID
|
||||
self.addReq('POST', path, self.onCancelOrder)
|
||||
else:
|
||||
self.cancelDict[localID] = cancelOrderReq
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryContract(self):
|
||||
""""""
|
||||
self.addReq('GET', '/public/symbols', self.onQryContract)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryOrder(self, state):
|
||||
""""""
|
||||
for symbol in self.symbols:
|
||||
req = {
|
||||
'symbol': symbol,
|
||||
'states': state,
|
||||
'limit': 50
|
||||
}
|
||||
self.addReq('GET', '/orders', self.onQryOrder, params=req)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryOrderSubmitted(self):
|
||||
""""""
|
||||
self.qryOrder('submitted')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryOrderPartialFilled(self):
|
||||
""""""
|
||||
self.qryOrder('partial_filled')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryOrderPartialCanceled(self):
|
||||
""""""
|
||||
self.qryOrder('partial_canceled')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryOrderFilled(self):
|
||||
""""""
|
||||
self.qryOrder('filled')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryOrderCanceled(self):
|
||||
""""""
|
||||
self.qryOrder('canceled')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryPosition(self):
|
||||
""""""
|
||||
self.addReq('GET', '/accounts/balance', self.onQryPosition)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onSendOrder(self, data, reqid):
|
||||
""""""
|
||||
if 'msg' in data:
|
||||
self.writeLog(data['msg'])
|
||||
return
|
||||
|
||||
if 'data' in data:
|
||||
order = self.reqOrderDict[reqid]
|
||||
localID = order.orderID
|
||||
sysID = data['data']
|
||||
|
||||
self.localSysDict[localID] = sysID
|
||||
self.orderDict[sysID] = order
|
||||
|
||||
self.gateway.onOrder(order)
|
||||
|
||||
# 发出等待的撤单委托
|
||||
if localID in self.cancelDict:
|
||||
req = self.cancelDict[localID]
|
||||
self.cancelOrder(req)
|
||||
del self.cancelDict[localID]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onCancelOrder(self, data, reqid):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, code, error):
|
||||
""""""
|
||||
msg = u'发生异常，错误代码：%s，错误信息：%s' %(code, error)
|
||||
self.writeLog(msg)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onQryOrder(self, data, reqid):
|
||||
""""""
|
||||
data['data'].reverse()
|
||||
|
||||
for d in data['data']:
|
||||
orderUpdated = False
|
||||
tradeUpdated = False
|
||||
|
||||
# 获取委托对象
|
||||
sysID = d['id']
|
||||
if sysID in self.orderDict:
|
||||
order = self.orderDict[sysID]
|
||||
else:
|
||||
order = VtOrderData()
|
||||
order.gatewayName = self.gatewayName
|
||||
|
||||
order.symbol = d['symbol']
|
||||
order.exchange = EXCHANGE_FCOIN
|
||||
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
||||
|
||||
self.localID += 1
|
||||
localID = str(self.localID)
|
||||
self.localSysDict[localID] = sysID
|
||||
|
||||
order.orderID = localID
|
||||
order.vtOrderID = '.'.join([order.gatewayName, order.orderID])
|
||||
|
||||
order.direction = directionMapReverse[d['side']]
|
||||
order.price = float(d['price'])
|
||||
order.totalVolume = float(d['amount'])
|
||||
|
||||
dt = datetime.fromtimestamp(d['created_at']/1000)
|
||||
order.orderTime = dt.strftime('%H:%M:%S')
|
||||
|
||||
self.orderDict[sysID] = order
|
||||
orderUpdated = True
|
||||
|
||||
# 检查是否委托有变化
|
||||
newTradedVolume = float(d['filled_amount'])
|
||||
newStatus = statusMapReverse[d['state']]
|
||||
|
||||
if newTradedVolume != float(order.tradedVolume) or newStatus != order.status:
|
||||
orderUpdated = True
|
||||
|
||||
if newTradedVolume != float(order.tradedVolume):
|
||||
tradeUpdated = True
|
||||
newVolume = newTradedVolume - order.tradedVolume
|
||||
|
||||
order.tradedVolume = newTradedVolume
|
||||
order.status = newStatus
|
||||
|
||||
# 若有更新才推送
|
||||
if orderUpdated:
|
||||
self.gateway.onOrder(order)
|
||||
|
||||
if tradeUpdated:
|
||||
# 推送成交
|
||||
trade = VtTradeData()
|
||||
trade.gatewayName = order.gatewayName
|
||||
|
||||
trade.symbol = order.symbol
|
||||
trade.vtSymbol = order.vtSymbol
|
||||
|
||||
trade.orderID = order.orderID
|
||||
trade.vtOrderID = order.vtOrderID
|
||||
|
||||
self.tradeID += 1
|
||||
trade.tradeID = str(self.tradeID)
|
||||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||||
|
||||
trade.direction = order.direction
|
||||
trade.price = order.price
|
||||
trade.volume = newTradedVolume
|
||||
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||||
|
||||
self.gateway.onTrade(trade)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onQryPosition(self, data, reqid):
|
||||
""""""
|
||||
for d in data['data']:
|
||||
pos = VtPositionData()
|
||||
pos.gatewayName = self.gatewayName
|
||||
|
||||
pos.symbol = d['currency']
|
||||
pos.exchange = EXCHANGE_FCOIN
|
||||
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
|
||||
pos.direction = DIRECTION_NET
|
||||
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
|
||||
pos.position = d['balance']
|
||||
pos.frozen = d['frozen']
|
||||
|
||||
self.gateway.onPosition(pos)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onQryContract(self, data, reqid):
|
||||
""""""
|
||||
for d in data['data']:
|
||||
contract = VtContractData()
|
||||
contract.gatewayName = self.gatewayName
|
||||
|
||||
contract.symbol = d['name']
|
||||
contract.exchange = EXCHANGE_FCOIN
|
||||
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||||
contract.name = contract.vtSymbol
|
||||
contract.productClass = PRODUCT_SPOT
|
||||
contract.priceTick = pow(10, -int(d['price_decimal']))
|
||||
contract.size = 1
|
||||
|
||||
self.gateway.onContract(contract)
|
||||
|
||||
self.writeLog(u'合约信息查询完成')
|
||||
|
||||
|
||||
########################################################################
|
||||
class WebsocketApi(FcoinWebsocketApi):
|
||||
""""""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(WebsocketApi, self).__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.gatewayName = gateway.gatewayName
|
||||
|
||||
self.apiKey = ''
|
||||
self.apiSecret = ''
|
||||
self.symbols = []
|
||||
|
||||
self.tickDict = {}
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self, apiKey, apiSecret, symbols):
|
||||
""""""
|
||||
self.apiKey = apiKey
|
||||
self.apiSecret = apiSecret
|
||||
self.symbols = symbols
|
||||
|
||||
self.start()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onConnect(self):
|
||||
"""连接回调"""
|
||||
self.writeLog(u'Websocket API连接成功')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self):
|
||||
""""""
|
||||
l = []
|
||||
for symbol in self.symbols:
|
||||
l.append('ticker.' + symbol)
|
||||
l.append('depth.L20.' + symbol)
|
||||
|
||||
tick = VtTickData()
|
||||
tick.gatewayName = self.gatewayName
|
||||
tick.symbol = symbol
|
||||
tick.exchange = EXCHANGE_FCOIN
|
||||
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
|
||||
self.tickDict[symbol] = tick
|
||||
|
||||
req = {
|
||||
'cmd': 'sub',
|
||||
'args': l,
|
||||
'id': 1
|
||||
}
|
||||
self.sendReq(req)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onData(self, data):
|
||||
"""数据回调"""
|
||||
type_ = data['type']
|
||||
if 'hello' in type_:
|
||||
self.subscribe()
|
||||
elif 'ticker' in type_:
|
||||
self.onTick(data)
|
||||
elif 'depth' in type_:
|
||||
self.onDepth(data)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, msg):
|
||||
"""错误回调"""
|
||||
self.writeLog(msg)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def writeLog(self, content):
|
||||
"""发出日志"""
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = content
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, d):
|
||||
""""""
|
||||
symbol = d['type'].split('.')[-1]
|
||||
tick = self.tickDict[symbol]
|
||||
|
||||
ticker = d['ticker']
|
||||
tick.openPrice = ticker[6]
|
||||
tick.highPrice = ticker[7]
|
||||
tick.lowPrice = ticker[8]
|
||||
tick.lastPrice = ticker[0]
|
||||
tick.volume = ticker[9]
|
||||
|
||||
self.gateway.onTick(copy(tick))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onDepth(self, d):
|
||||
""""""
|
||||
symbol = d['type'].split('.')[-1]
|
||||
tick = self.tickDict[symbol]
|
||||
|
||||
bids = d['bids']
|
||||
asks = d['asks']
|
||||
|
||||
tick.bidPrice1 = bids[0]
|
||||
tick.bidPrice2 = bids[2]
|
||||
tick.bidPrice3 = bids[4]
|
||||
tick.bidPrice4 = bids[6]
|
||||
tick.bidPrice5 = bids[8]
|
||||
|
||||
tick.askPrice1 = asks[0]
|
||||
tick.askPrice2 = asks[2]
|
||||
tick.askPrice3 = asks[4]
|
||||
tick.askPrice4 = asks[6]
|
||||
tick.askPrice5 = asks[8]
|
||||
|
||||
tick.bidVolume1 = bids[1]
|
||||
tick.bidVolume2 = bids[3]
|
||||
tick.bidVolume3 = bids[5]
|
||||
tick.bidVolume4 = bids[7]
|
||||
tick.bidVolume5 = bids[9]
|
||||
|
||||
tick.askVolume1 = asks[1]
|
||||
tick.askVolume2 = asks[3]
|
||||
tick.askVolume3 = asks[5]
|
||||
tick.askVolume4 = asks[7]
|
||||
tick.askVolume5 = asks[9]
|
||||
|
||||
tick.datetime = datetime.fromtimestamp(d['ts']/1000)
|
||||
tick.date = tick.datetime.strftime('%Y%m%d')
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S')
|
||||
|
||||
self.gateway.onTick(copy(tick))
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def printDict(d):
|
||||
""""""
|
||||
print '-' * 30
|
||||
l = d.keys()
|
||||
l.sort()
|
||||
for k in l:
|
||||
print k, d[k]
|
||||
|
||||
Loading…
Reference in New Issue
Block a user