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[Mod] change order lifecycle management detail of coinbase gateway

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This commit is contained in:
vn.py 2019-09-05 22:55:03 +08:00
parent 8152682a2b
commit 6b0bb3cbdb
1 changed files with 36 additions and 29 deletions
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65
vnpy/gateway/coinbase/coinbase_gateway.py
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@ -65,9 +65,7 @@ TIMEDELTA_MAP = {
Interval.DAILY: timedelta(days=1), Interval.DAILY: timedelta(days=1),
} }
cancelDict = {} # orderid:cancelreq sys_order_map = {}
orderDict = {} # sysid:order
orderSysDict = {} # orderid:sysid
symbol_name_map = {} symbol_name_map = {}
@ -296,30 +294,23 @@ class CoinbaseWebsocketApi(WebsocketClient):
""" """
Call back when order is received by Coinbase Call back when order is received by Coinbase
""" """
client_oid = packet['client_oid'] orderid = packet['client_oid']
sysid = packet['order_id'] sysid = packet['order_id']
order = OrderData( order = OrderData(
symbol=packet['product_id'], symbol=packet['product_id'],
exchange=Exchange.COINBASE, exchange=Exchange.COINBASE,
type=ORDERTYPE_COINBASE2VT[packet['order_type']], type=ORDERTYPE_COINBASE2VT[packet['order_type']],
orderid=sysid, orderid=orderid,
direction=DIRECTION_COINBASE2VT[packet['side']], direction=DIRECTION_COINBASE2VT[packet['side']],
price=float(packet['price']), price=float(packet['price']),
volume=float(packet['size']), volume=float(packet['size']),
time=packet['time'], time=packet['time'],
status=Status.NOTTRADED,
gateway_name=self.gateway_name, gateway_name=self.gateway_name,
) )
order.traded = 0 sys_order_map[sysid] = order
order.status = Status.NOTTRADED
orderSysDict[client_oid] = sysid
orderDict[sysid] = order
if client_oid in cancelDict:
req = cancelDict[client_oid]
self.gateway.cancel_order(req)
self.gateway.on_order(copy(order)) self.gateway.on_order(copy(order))
@ -327,9 +318,10 @@ class CoinbaseWebsocketApi(WebsocketClient):
""" """
Call back when the order is on the orderbook Call back when the order is on the orderbook
""" """
orderid = packet['order_id'] sysid = packet['order_id']
order = orderDict.get(orderid) order = sys_order_map[sysid]
order.traded = float(order.volume) - float(packet['remaining_size'])
order.traded = order.volume - float(packet['remaining_size'])
if order.traded: if order.traded:
order.status = Status.PARTTRADED order.status = Status.PARTTRADED
@ -339,8 +331,10 @@ class CoinbaseWebsocketApi(WebsocketClient):
""" """
Call back when the order is done Call back when the order is done
""" """
order = orderDict.get(packet['order_id'], None) sysid = packet['order_id']
if not order: order = sys_order_map[sysid]
if order.status == Status.CANCELLED:
return return
order.traded = order.volume - float(packet['remaining_size']) order.traded = order.volume - float(packet['remaining_size'])
@ -354,10 +348,10 @@ class CoinbaseWebsocketApi(WebsocketClient):
def on_order_match(self, packet: dict): def on_order_match(self, packet: dict):
"""""" """"""
if packet['maker_order_id'] in orderDict: if packet['maker_order_id'] in sys_order_map:
order = orderDict[packet['maker_order_id']] order = sys_order_map[packet['maker_order_id']]
else: else:
order = orderDict[packet['taker_order_id']] order = sys_order_map[packet['taker_order_id']]
trade = TradeData( trade = TradeData(
symbol=packet['product_id'], symbol=packet['product_id'],
@ -634,8 +628,7 @@ class CoinbaseRestApi(RestClient):
) )
self.gateway.on_order(copy(order)) self.gateway.on_order(copy(order))
orderDict[order.orderid] = order sys_order_map[order.orderid] = order
orderSysDict[order.orderid] = order.orderid
self.gateway.write_log(u'委托信息查询成功') self.gateway.write_log(u'委托信息查询成功')
@ -663,6 +656,8 @@ class CoinbaseRestApi(RestClient):
def send_order(self, req: OrderRequest): def send_order(self, req: OrderRequest):
"""""" """"""
orderid = str(uuid.uuid1()) orderid = str(uuid.uuid1())
order = req.create_order_data(orderid, self.gateway_name)
self.gateway.on_order(order)
data = { data = {
"size": req.volume, "size": req.volume,
@ -675,7 +670,6 @@ class CoinbaseRestApi(RestClient):
if req.type == OrderType.LIMIT: if req.type == OrderType.LIMIT:
data['price'] = req.price data['price'] = req.price
order = req.create_order_data(orderid, self.gateway_name)
self.add_request( self.add_request(
"POST", "POST",
"/orders", "/orders",
@ -687,7 +681,6 @@ class CoinbaseRestApi(RestClient):
on_error=self.on_send_order_error, on_error=self.on_send_order_error,
) )
self.gateway.on_order(order)
return order.vt_orderid return order.vt_orderid
def on_send_order_failed(self, status_code: str, request: Request): def on_send_order_failed(self, status_code: str, request: Request):
@ -734,16 +727,30 @@ class CoinbaseRestApi(RestClient):
"""""" """"""
orderid = req.orderid orderid = req.orderid
# For open orders from previous trading session, use sysid to cancel
if orderid in sys_order_map:
path = f"/orders/{orderid}"
# For open orders from currenct trading session, use client_oid to cancel
else:
path = f"/orders/client:{orderid}"
self.add_request( self.add_request(
"DELETE", "DELETE",
f"/orders/client:{orderid}", path,
callback=self.on_cancel_order, callback=self.on_cancel_order,
on_failed=self.on_cancel_order_failed, on_failed=self.on_cancel_order_failed,
) )
def on_cancel_order(self, data, request): def on_cancel_order(self, data, request):
"""Websocket will push a new order status""" """
pass Callback when order cancelled
"""
sysid = data[0]
order = sys_order_map[sysid]
if order.status != Status.CANCELLED:
order.status = Status.CANCELLED
self.gateway.on_order(copy(order))
def on_cancel_order_failed(self, status_code: str, request: Request): def on_cancel_order_failed(self, status_code: str, request: Request):
""" """