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Merge branch 'dev' of https://github.com/vnpy/vnpy into dev

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This commit is contained in:
vn.py 2018-10-12 14:46:55 +08:00
commit 69606087c5
14 changed files with 211 additions and 49 deletions
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3
tests/all_test.py
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@ -1,8 +1,7 @@
import unittest
# noinspection PyUnresolvedReferences
from tests.network.RestfulClientTest import *
from tests.network.WebSocketClientTest import *
from api.base import *
if __name__ == "__main__":
unittest.main()

0
tests/network/__init__.py → tests/api/__init__.py
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2
tests/network/RestfulClientTest.py → tests/api/base/RestClientTest.py
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@ -6,7 +6,7 @@ import unittest
from simplejson import JSONDecodeError
from Promise import Promise
from vnpy.network.RestClient import RestClient, Request
from vnpy.api.rest.RestClient import RestClient, Request
class FailedError(RuntimeError):

3
tests/network/WebSocketClientTest.py → tests/api/base/WebSocketClientTest.py
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@ -1,9 +1,8 @@
# encoding: UTF-8
import json
import unittest
from Promise import Promise
from vnpy.network.WebSocketClient import WebsocketClient
from vnpy.api.websocket import WebsocketClient
class TestWebsocketClient(WebsocketClient):

0
vnpy/network/__init__.py → tests/api/base/__init__.py
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163
vnpy/api/okexfuture/OkexFutureApi.py
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@ -1,48 +1,59 @@
# encoding: UTF-8
from enum import Enum
from typing import Any, Callable, List, Union
from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase
from vnpy.network.RestClient import Request
from vnpy.api.rest import Request
########################################################################
class _OkexFutureCustomExtra(object):
def __init__(self, onSuccess, onFailed, extra):
self.onFailed = onFailed
self.onSuccess = onSuccess
self.extra = extra
########################################################################
class OkexFutureSymbol(object):
BTC = 'btc_usd'
LTC = 'ltc_usd'
ETH = 'eth_usd'
ETC = 'etc_usd'
BCH = 'bch_usd'
class OkexFuturePriceType(Enum):
########################################################################
class OkexFuturePriceType(object):
Buy = 'buy'
Sell = 'sell'
class OkexFutureContractType(Enum):
########################################################################
class OkexFutureContractType(object):
ThisWeek = 'this_week'
NextWeek = 'next_week'
Quarter = 'quarter'
class OkexFutureStatus(Enum):
NoTraded = '0'
PartialTraded = '1'
AllTraded = '2'
Canceled = '-1'
CancelProcessing = '4'
Canceling = '5'
class OkexFutureOrderType(Enum):
########################################################################
class OkexFutureOrderType(object):
OpenLong = '1'
OpenShort = '2'
CloseLong = '3'
CloseShort = '4'
########################################################################
class OkexFutureOrderStatus(object):
NotFinished = '1'
Finished = '2'
########################################################################
class OkexFutureOrder(object):
#----------------------------------------------------------------------
def __init__(self):
self.volume = None
self.contractName = None
@ -59,8 +70,10 @@ class OkexFutureOrder(object):
self.unitAmount = None
########################################################################
class OkexFutureUserInfo(object):
#----------------------------------------------------------------------
def __init__(self):
self.accountRights = None
self.keepDeposit = None
@ -69,15 +82,19 @@ class OkexFutureUserInfo(object):
self.riskRate = None
########################################################################
class OkexFuturePosition(object):
#----------------------------------------------------------------------
def __init__(self, ):
self.forceLiquidatePrice = None
self.holding = [] # type: List[OkexFuturePositionDetail]
########################################################################
class OkexFuturePositionDetail(object):
#----------------------------------------------------------------------
def __init__(self, ):
self.buyAmount = None
self.buyAvailable = None
@ -125,7 +142,7 @@ class OkexFutureRestClient(OkexFutureRestBase):
def sendOrder(self, symbol, contractType, orderType, volume,
onSuccess, onFailed=None,
price=None, useMarketPrice=False, leverRate=None,
extra=None): # type:(str, OkexFutureContractType, OkexFutureOrderType, float, Callable[[int, Any], Any], Callable[[Any], Any], float, bool, Union[int, None], Any)->Request
extra=None): # type:(str, OkexFutureContractType, OkexFutureOrderType, float, Callable[[int, Any], Any], Callable[[int, Any], Any], float, bool, Union[int, None], Any)->Request
"""
:param symbol: str
:param contractType: OkexFutureContractType
@ -163,7 +180,7 @@ class OkexFutureRestClient(OkexFutureRestBase):
#----------------------------------------------------------------------
def cancelOrder(self, symbol, contractType, orderId, onSuccess, onFailed=None,
extra=None): # type: (str, OkexFutureContractType, str, Callable[[object], Any], Callable[[Any], Any], Any)->Request
extra=None): # type: (str, OkexFutureContractType, str, Callable[[object], Any], Callable[[int, Any], Any], Any)->Request
"""
:param symbol: str
:param contractType: OkexFutureContractType
@ -186,7 +203,7 @@ class OkexFutureRestClient(OkexFutureRestBase):
#----------------------------------------------------------------------
def queryOrder(self, symbol, contractType, orderId, onSuccess, onFailed=None,
extra=None): # type: (str, OkexFutureContractType, str, Callable[[OkexFutureOrder, Any], Any], Callable[[Any], Any], Any)->Request
extra=None): # type: (str, OkexFutureContractType, str, Callable[[OkexFutureOrder, Any], Any], Callable[[int, Any], Any], Any)->Request
"""
:param symbol: str
:param contractType: OkexFutureContractType
@ -206,10 +223,40 @@ class OkexFutureRestClient(OkexFutureRestBase):
callback=self.onOrder,
data=data,
extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
#----------------------------------------------------------------------
def queryOrders(self, symbol, contractType, status,
onSuccess, onFailed=None,
pageIndex=None, pageLength=50,
extra=None): # type: (str, OkexFutureContractType, OkexFutureOrderStatus, Callable[[OkexFutureOrder, Any], Any], Callable[[int, Any], Any], int, int, Any)->Request
"""
:param symbol: str
:param contractType: OkexFutureContractType
:param orderId: str
:param onSuccess: (OkexFutureOrder, extra:Any)->Any
:param onFailed: (extra: Any)->Any
:param extra: Any
:return: Request
"""
data = {
'symbol': symbol,
'contractType': contractType,
'status': status,
'order_id': '-1',
'pageLength': 50
}
if pageIndex:
data['page_index'] = pageIndex
return self.addReq('POST',
'/future_order_info.do',
callback=self.onOrder,
data=data,
extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
#----------------------------------------------------------------------
def queryUserInfo(self, onSuccess, onFailed=None,
extra=None): # type: (Callable[[List[OkexFutureUserInfo], Any], Any], Callable[[Any], Any], Any)->Request
extra=None): # type: (Callable[[List[OkexFutureUserInfo], Any], Any], Callable[[int, Any], Any], Any)->Request
"""
查询用户信息
:param onSuccess: (userInfos: List[OkexFutureUserInfo], extra: Any)->Any
@ -225,7 +272,7 @@ class OkexFutureRestClient(OkexFutureRestBase):
#----------------------------------------------------------------------
def queryPosition(self, symbol, contractType,
onSuccess, onFailed=None,
extra=None): # type: (str, OkexFutureContractType, Callable[[OkexFuturePosition, Any], Any], Callable[[Any], Any], Any)->Request
extra=None): # type: (str, OkexFutureContractType, Callable[[OkexFuturePosition, Any], Any], Callable[[int, Any], Any], Any)->Request
data = {
'symbol': symbol,
'contractType': contractType
@ -248,7 +295,10 @@ class OkexFutureRestClient(OkexFutureRestBase):
extra.onSuccess(remoteId, extra.extra)
else:
if extra.onFailed:
extra.onFailed(extra.extra)
code = 0
if 'error_code' in data:
code = data['error_code']
extra.onFailed(code, extra.extra)
#----------------------------------------------------------------------
@staticmethod
@ -262,7 +312,10 @@ class OkexFutureRestClient(OkexFutureRestBase):
extra.onSuccess(extra.extra)
else:
if extra.onFailed:
extra.onFailed(extra.extra)
code = 0
if 'error_code' in data:
code = data['error_code']
extra.onFailed(code, extra.extra)
#----------------------------------------------------------------------
@staticmethod
@ -290,7 +343,10 @@ class OkexFutureRestClient(OkexFutureRestBase):
extra.onSuccess(okexOrder, extra.extra)
else:
if extra.onFailed:
extra.onFailed(extra.extra)
code = 0
if 'error_code' in data:
code = data['error_code']
extra.onFailed(code, extra.extra)
#----------------------------------------------------------------------
@staticmethod
@ -311,7 +367,10 @@ class OkexFutureRestClient(OkexFutureRestBase):
extra.onSuccess(uis, extra.extra)
else:
if extra.onFailed:
extra.onFailed(extra.extra)
code = 0
if 'error_code' in data:
code = data['error_code']
extra.onFailed(code, extra.extra)
#----------------------------------------------------------------------
@staticmethod
@ -342,4 +401,60 @@ class OkexFutureRestClient(OkexFutureRestBase):
extra.onSuccess(pos, extra.extra)
else:
if extra.onFailed:
extra.onFailed(extra.extra)
code = 0
if 'error_code' in data:
code = data['error_code']
extra.onFailed(code, extra.extra)
#----------------------------------------------------------------------
@staticmethod
def errorCode2String(code):
assert code in errorCodeMap
return errorCodeMap[code]
errorCodeMap = {
0: '远程服务器并未给出错误代码',
20001: '用户不存在',
20002: '用户被冻结',
20003: '用户被爆仓冻结',
20004: '合约账户被冻结',
20005: '用户合约账户不存在',
20006: '必填参数为空',
20007: '参数错误',
20008: '合约账户余额为空',
20009: '虚拟合约状态错误',
20010: '合约风险率信息不存在',
20011: '10倍/20倍杠杆开BTC前保证金率低于90%/80%，10倍/20倍杠杆开LTC前保证金率低于80%/60%',
20012: '10倍/20倍杠杆开BTC后保证金率低于90%/80%，10倍/20倍杠杆开LTC后保证金率低于80%/60%',
20013: '暂无对手价',
20014: '系统错误',
20015: '订单信息不存在',
20016: '平仓数量是否大于同方向可用持仓数量',
20017: '非本人操作',
20018: '下单价格高于前一分钟的103%或低于97%',
20019: '该IP限制不能请求该资源',
20020: '密钥不存在',
20021: '指数信息不存在',
20022: '接口调用错误（全仓模式调用全仓接口，逐仓模式调用逐仓接口）',
20023: '逐仓用户',
20024: 'sign签名不匹配',
20025: '杠杆比率错误',
20026: 'API鉴权错误',
20027: '无交易记录',
20028: '合约不存在',
20029: '转出金额大于可转金额',
20030: '账户存在借款',
20038: '根据相关法律，您所在的国家或地区不能使用该功能。',
20049: '用户请求接口过于频繁',
20061: '合约相同方向只支持一个杠杆，若有10倍多单，就不能再下20倍多单',
21005: '请求接口失败，请您重试',
21020: '合约交割中，无法下单',
21021: '合约清算中，无法下单',
21023: '当前全仓方向仓位已超过最大可开张数',
21024: '当前逐仓方向仓位已超过最大可开张数',
21025: '下单后保证金率小于对应档位要求的最低保证金率',
21026: '您的账户已被限制开仓操作',
20119: '接口已下线或无法使用',
}

2
vnpy/api/okexfuture/__init__.py
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@ -0,0 +1,2 @@
from .OkexFutureApi import OkexFutureSymbol, OkexFutureContractType, OkexFutureOrder, OkexFutureOrderStatus, OkexFuturePosition, \
OkexFuturePositionDetail, OkexFuturePriceType, OkexFutureRestClient, OkexFutureUserInfo

2
vnpy/api/okexfuture/vnokexFuture.py
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@ -4,7 +4,7 @@ import urllib
########################################################################
from vnpy.network.RestClient import RestClient, Request
from vnpy.api.rest import RestClient, Request
########################################################################

17
vnpy/network/RestClient.py → vnpy/api/rest/RestClient.py
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@ -127,6 +127,16 @@ class RestClient(object):
:return:
"""
self._active = False
#----------------------------------------------------------------------
def join(self):
"""
等待所有请求处理结束
如果要并确保RestClient的退出，请在调用stop之后紧接着调用join。
如果只是要确保所有的请求都处理完，直接调用join即可。
:return:
"""
self._queue.join()
#----------------------------------------------------------------------
def addReq(self, method, path, callback,
@ -160,7 +170,10 @@ class RestClient(object):
while self._active:
try:
req = self._queue.get(timeout=1)
self.processReq(req, session)
try:
self._processReq(req, session)
finally:
self._queue.task_done()
except Empty:
pass
@ -202,7 +215,7 @@ class RestClient(object):
sys.excepthook(exceptionType, exceptionValue, tb)
#----------------------------------------------------------------------
def processReq(self, req, session): # type: (Request, requests.Session)->None
def _processReq(self, req, session): # type: (Request, requests.Session)->None
"""处理请求"""
try:
req = self.beforeRequest(req)

1
vnpy/api/rest/__init__.py Normal file
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@ -0,0 +1 @@
from .RestClient import Request, RequestStatus, RestClient, requestsSessionProvider

10
vnpy/network/WebSocketClient.py → vnpy/api/websocket/WebSocketClient.py
View File

@ -9,7 +9,7 @@ import time
from abc import abstractmethod
from threading import Thread, Lock
import websocket
import vnpy.api.websocket
class WebsocketClient(object):
@ -57,12 +57,12 @@ class WebsocketClient(object):
#----------------------------------------------------------------------
def sendReq(self, req): # type: (dict)->None
"""发出请求"""
return self._get_ws().send(json.dumps(req), opcode=websocket.ABNF.OPCODE_TEXT)
return self._get_ws().send(json.dumps(req), opcode=vnpy.api.websocket.ABNF.OPCODE_TEXT)
#----------------------------------------------------------------------
def sendText(self, text): # type: (str)->None
"""发出请求"""
return self._get_ws().send(text, opcode=websocket.ABNF.OPCODE_TEXT)
return self._get_ws().send(text, opcode=vnpy.api.websocket.ABNF.OPCODE_TEXT)
#----------------------------------------------------------------------
def sendData(self, data): # type: (bytes)->None
@ -78,7 +78,7 @@ class WebsocketClient(object):
#----------------------------------------------------------------------
def _connect(self):
""""""
self._ws = websocket.create_connection(self.host, sslopt={'cert_reqs': ssl.CERT_NONE})
self._ws = vnpy.api.websocket.create_connection(self.host, sslopt={'cert_reqs': ssl.CERT_NONE})
self.onConnect()
#----------------------------------------------------------------------
@ -125,7 +125,7 @@ class WebsocketClient(object):
#----------------------------------------------------------------------
def _ping(self):
return self._get_ws().send('ping', websocket.ABNF.OPCODE_PING)
return self._get_ws().send('ping', vnpy.api.websocket.ABNF.OPCODE_PING)
#----------------------------------------------------------------------
@abstractmethod

1
vnpy/api/websocket/__init__.py Normal file
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@ -0,0 +1 @@
from .WebSocketClient import WebsocketClient

50
vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py
View File

@ -5,6 +5,8 @@ from __future__ import print_function
import json
from abc import abstractmethod, abstractproperty
from typing import Dict
from vnpy.api.okexfuture.OkexFutureApi import *
from vnpy.trader.vtFunction import getJsonPath
from vnpy.trader.vtGateway import *
@ -94,6 +96,7 @@ class _Order(object):
self.remoteId = None
self.vtOrder = None # type: VtOrderData
########################################################################
class OkexFutureGateway(VnpyGateway):
"""OKEX期货交易接口"""
@ -107,8 +110,8 @@ class OkexFutureGateway(VnpyGateway):
self.api = OkexFutureRestClient()
self.leverRate = 1
self.symbols = []
self.orders =
self._orders = {} # type: Dict[str, _Order]
#----------------------------------------------------------------------
@property
def gatewayName(self):
@ -148,6 +151,15 @@ class OkexFutureGateway(VnpyGateway):
def subscribe(self, subscribeReq):
"""订阅行情"""
pass
#----------------------------------------------------------------------
@staticmethod
def _contractTypeFromSymbol(symbol):
return symbolsForUi[symbol]
#----------------------------------------------------------------------
def _getOrder(self, localId):
return self._orders[localId]
#----------------------------------------------------------------------
def sendOrder(self, vtRequest): # type: (VtOrderReq)->str
@ -167,8 +179,8 @@ class OkexFutureGateway(VnpyGateway):
vtOrder.direction = vtRequest.direction
myorder.vtOrder = vtOrder
symbol, contractType = symbolsForUi[vtRequest.symbol]
symbol, contractType = self._contractTypeFromSymbol(vtRequest.symbol)
orderType = orderTypeMap[(vtRequest.priceType, vtRequest.offset)] # 开多、开空、平多、平空
userMarketPrice = False
@ -183,14 +195,26 @@ class OkexFutureGateway(VnpyGateway):
useMarketPrice=userMarketPrice,
leverRate=self.leverRate,
onSuccess=self.onOrderSent,
extra=None)
extra=None,
)
return myorder.localId
#----------------------------------------------------------------------
def cancelOrder(self, vtCancel): # type: (VtCancelOrderReq)->None
"""撤单"""
myorder = self._getOrder(vtCancel.orderID)
symbol, contractType = self._contractTypeFromSymbol(vtCancel.symbol)
self.api.cancelOrder(symbol=symbol,
contractType=contractType,
orderId=myorder.remoteId,
onSuccess=self.onOrderCanceled,
extra=myorder,
)
# cancelDict: 不存在的，没有localId就没有remoteId，没有remoteId何来cancel
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
"""撤单"""
self.api.cancelOrder(cancelOrderReq)
def queryOrder(self):
#----------------------------------------------------------------------
def qryAccount(self):
@ -207,8 +231,16 @@ class OkexFutureGateway(VnpyGateway):
"""关闭"""
self.api.close()
#----------------------------------------------------------------------
def onOrderSent(self, remoteId, myorder): #type: (int, _Order)->None
myorder.remoteId = remoteId
myorder.vtOrder.status = constant.STATUS_NOTTRADED
self.onOrder(myorder.vtOrder)
#----------------------------------------------------------------------
@staticmethod
def onOrderCanceled(myorder): #type: (_Order)->None
myorder.vtOrder.status = constant.STATUS_CANCELLED

6
vnpy/trader/vtObject.py
View File

@ -143,10 +143,10 @@ class VtOrderData(VtBaseData):
# 代码编号相关
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
self.vtSymbol = EMPTY_STRING # 统一格式：f"{symbol}.{exchange}"
self.orderID = EMPTY_STRING # 订单编号
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
self.orderID = EMPTY_STRING # 订单编号 gateway内部自己生成的编号
self.vtOrderID = EMPTY_STRING # 统一格式：f"{gatewayName}.{orderId}"
# 报单相关
self.direction = EMPTY_UNICODE # 报单方向