Merge pull request #1205 from nanoric/okex_compressed_websocket

[Fix] Okex compressed websocket

vnpy/api/websocket/WebsocketClient.py

@@ -155,7 +155,7 @@ class WebsocketClient(object):
                             continue
                         self._recordLastReceivedText(text)
                         try:
-                            data = json.loads(text)
+                            data = self.unpackData(text)
                         except ValueError as e:
                             print('websocket unable to parse data: ' + text)
                             raise e
@@ -170,6 +170,17 @@ class WebsocketClient(object):
             et, ev, tb = sys.exc_info()
             self.onError(et, ev, tb)
             self._reconnect()
+    
+    #----------------------------------------------------------------------
+    @staticmethod
+    def unpackData(data):
+        """
+        解密数据，默认使用json解密为dict
+        解密后的数据将会传入onPacket
+        如果需要使用不同的解密方式，就重载这个函数。
+        :param data 收到的数据，可能是text frame，也可能是binary frame, 目前并没有区分这两者
+        """
+        return json.loads(data)
 
     #----------------------------------------------------------------------
     def _runPing(self):

vnpy/trader/gateway/okexFuturesGateway/OkexFuturesBase.py

@@ -121,7 +121,7 @@ class OkexFuturesWebSocketBase(WebsocketClient):
     Okex期货websocket客户端
     实例化后使用init设置apiKey和secretKey（apiSecret）
     """
-    host = 'wss://real.okex.com:10440/websocket/okexapi'
+    host = 'wss://real.okex.com:10440/websocket/okexapi?compress=true'
     
     def __init__(self):
         super(OkexFuturesWebSocketBase, self).__init__()

vnpy/trader/gateway/okexFuturesGateway/okexFuturesGateway.py

@@ -5,6 +5,7 @@ from __future__ import print_function
 import json
 import sys
 import traceback
+import zlib
 from collections import defaultdict
 
 from enum import Enum
@@ -141,6 +142,7 @@ class OkexFuturesGateway(VtGateway):
 
         self.webSocket = OkexFuturesWebSocketBase()
         self.webSocket.onPacket = self.onWebSocketPacket
+        self.webSocket.unpackData = self.webSocketUnpackData
         
         self.leverRate = 1
         self.symbols = []
@@ -611,6 +613,12 @@ class OkexFuturesGateway(VtGateway):
                 price=pos['short_avg_cost'],
             )
             self.onPosition(vtPos)
+            
+    #----------------------------------------------------------------------
+    @staticmethod
+    def webSocketUnpackData(data):
+        """重载websocket.unpackData"""
+        return json.loads(zlib.decompress(data, -zlib.MAX_WBITS))
     
     #----------------------------------------------------------------------
     def onWebSocketPacket(self, packets):