Merge pull request #1820 from 1122455801/binance_gateway_0611
[Add] Binance gateway
This commit is contained in:
vn.py
GitHub
commit
719aa2ac49
@ -81,7 +81,7 @@ class BinanceGateway(BaseGateway):
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"secret": "",
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"session_number": 3,
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"proxy_host": "127.0.0.1",
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"proxy_port": 1080,
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"proxy_port": 2000,
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}
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exchanges = [Exchange.BINANCE]
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@ -107,14 +107,14 @@ class BinanceGateway(BaseGateway):
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self.rest_api.connect(key, secret, session_number,
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proxy_host, proxy_port)
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#self.trade_ws_api.connect(key, secret, proxy_host, proxy_port)
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self.market_ws_api.connect(key, secret, proxy_host, proxy_port)
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#self.market_ws_api.connect(key, secret, proxy_host, proxy_port)
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#self.init_query()
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def subscribe(self, req: SubscribeRequest):
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""""""
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self.market_ws_api.subscribe(req)
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self.trade_ws_api.subscribe(req)
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#self.trade_ws_api.subscribe(req)
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def send_order(self, req: OrderRequest):
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""""""
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@ -188,7 +188,7 @@ class BinanceRestApi(RestClient):
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security = "NONE"
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if request.data:
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security = request.data['security']
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if security == "SIGNED":
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timestamp = int(time.time() * 1000)
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if self.time_offset > 0:
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@ -243,7 +243,7 @@ class BinanceRestApi(RestClient):
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self.query_order()
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self.query_contract()
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self.start_userStream()
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def query_time(self):
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""""""
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data = {
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@ -256,7 +256,7 @@ class BinanceRestApi(RestClient):
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callback=self.on_query_time,
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data=data
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)
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def query_account(self):
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""""""
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data = {
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@ -338,7 +338,7 @@ class BinanceRestApi(RestClient):
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}
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params = {
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"symbol": req.symbol,
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"orderId": req.orderid
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"orderId": sys_orderid
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}
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self.add_request(
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method="DELETE",
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@ -349,6 +349,8 @@ class BinanceRestApi(RestClient):
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extra=req
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)
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print("撤单本地id：", req.orderid, "撤单远端id：", sys_orderid)
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def start_userStream(self):
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""""""
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data = {
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@ -433,7 +435,7 @@ class BinanceRestApi(RestClient):
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time = dt.strftime("%Y-%m-%d %H:%M:%S")
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order = OrderData(
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orderid=sys_orderid,
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orderid=local_orderid,
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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price=float(d["price"]),
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@ -446,6 +448,7 @@ class BinanceRestApi(RestClient):
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gateway_name=self.gateway_name,
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)
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print("委托查询--远端id：",sys_orderid, "本地Id：", local_orderid)
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self.order_manager.on_order(order)
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self.gateway.write_log("委托信息查询成功")
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@ -522,15 +525,15 @@ class BinanceRestApi(RestClient):
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cancel_request = request.extra
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local_orderid = cancel_request.orderid
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order = self.order_manager.get_order_with_local_orderid(local_orderid)
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if self.check_error(data, "撤单"):
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order.status = Status.REJECTED
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else:
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order.status = Status.CANCELLED
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self.gateway.write_log(f"委托撤单成功：{order.orderid}")
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self.order_manager.on_order(order)
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def on_start_userStream(self, data, request):
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self.userStreamKey = data['listenKey']
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self.keepaliveCount = 0
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@ -550,12 +553,12 @@ class BinanceRestApi(RestClient):
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def on_close_userStream(self, listenKey):
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self.gateway.write_log("交易推送关闭")
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def check_error(self, data: dict, func: str = ""):
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""""""
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if data["status"] != "error":
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return False
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error_code = data["err-code"]
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error_msg = data["err-msg"]
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@ -589,7 +592,7 @@ class BinanceWebsocketApiBase(WebsocketClient):
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""""""
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self.key = key
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self.secret = secret
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#host, path = _split_url(url)
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#self.sign_host = host
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#self.path = path
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@ -636,7 +639,7 @@ class BinanceWebsocketApiBase(WebsocketClient):
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return self.on_login()
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else:
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self.on_data(packet)
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def on_data(self, packet):
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""""""
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print("data : {}".format(packet))
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@ -646,7 +649,7 @@ class BinanceWebsocketApiBase(WebsocketClient):
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msg = packet["err-msg"]
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if msg == "invalid pong":
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return
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self.gateway.write_log(packet["err-msg"])
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@ -690,17 +693,20 @@ class BinanceTradeWebsocketApi(BinanceWebsocketApiBase):
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print("==========on_data1=========")
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# push order data change
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if packet["e"] == "executionReport":
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order = OrderData(
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symbol=packet["s"],
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exchange=Exchange.BINANCE,
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orderid=packet["i"],
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status=STATUS_BINANCE2VT.get(packet["X"], None),
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traded=float(packet["Z"]),
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price=float(packet["L"]),
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time=packet["O"],
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gateway_name=self.gateway_name
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)
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self.on_order(order)
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self.on_order(packet)
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# order = OrderData(
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# symbol=packet["s"],
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# exchange=Exchange.BINANCE,
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# orderid=packet["i"],
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# status=STATUS_BINANCE2VT.get(packet["X"], None),
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# traded=float(packet["Z"]),
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# price=float(packet["L"]),
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# time=packet["O"],
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# gateway_name=self.gateway_name
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# )
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# self.on_order(order)
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# push account data change
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if packet["e"] == "outboundAccountInfo":
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for account_data in packet["B"]:
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@ -714,18 +720,25 @@ class BinanceTradeWebsocketApi(BinanceWebsocketApiBase):
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def on_order(self, data: dict):
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""""""
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sys_orderid = data.orderid
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sys_orderid = str(data["i"])
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order = self.order_manager.get_order_with_sys_orderid(sys_orderid)
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if not order:
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self.order_manager.add_push_data(sys_orderid, data)
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return
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traded_volume = float(data["Z"])
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# Push order event
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order.traded = data.traded
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order.status = data.status
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order.traded += traded_volume
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order.status = STATUS_BINANCE2VT.get(packet["X"], None)
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order.price = float(data["L"])
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order.time = data["O"]
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order.symbol = data["s"]
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print("远端ID：", sys_orderid, "本地ID：", order)
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self.order_manager.on_order(order)
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# Push trade event
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traded_volume = data.traded
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if not traded_volume:
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@ -765,7 +778,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
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def on_connected(self):
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""""""
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pass
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def subscribe(self, req: SubscribeRequest):
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""""""
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symbol = req.symbol
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@ -780,7 +793,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
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gateway_name=self.gateway_name,
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)
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self.ticks[symbol] = tick
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# Subscribe to market depth update
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self.req_id += 1
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req = {
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@ -788,7 +801,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
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"id": str(self.req_id)
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}
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self.send_packet(req)
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# Subscribe to market detail update
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self.req_id += 1
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req = {
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@ -801,7 +814,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
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""""""
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print("===================on_data=====================")
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print(packet)
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channel = packet.get("ch", None)
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if channel:
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if "depth.step" in channel:
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@ -818,7 +831,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
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symbol = data["ch"].split(".")[1]
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tick = self.ticks[symbol]
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tick.datetime = datetime.fromtimestamp(data["ts"] / 1000)
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bids = data["tick"]["bids"]
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for n in range(5):
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price, volume = bids[n]
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@ -839,7 +852,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
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symbol = data["ch"].split(".")[1]
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tick = self.ticks[symbol]
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tick.datetime = datetime.fromtimestamp(data["ts"] / 1000)
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tick_data = data["tick"]
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tick.open_price = float(tick_data["open"])
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tick.high_price = float(tick_data["high"])
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