diff --git a/vnpy/gateway/binance/binance_gateway.py b/vnpy/gateway/binance/binance_gateway.py index 4345067f..3c67ff2e 100644 --- a/vnpy/gateway/binance/binance_gateway.py +++ b/vnpy/gateway/binance/binance_gateway.py @@ -81,7 +81,7 @@ class BinanceGateway(BaseGateway): "secret": "", "session_number": 3, "proxy_host": "127.0.0.1", - "proxy_port": 1080, + "proxy_port": 2000, } exchanges = [Exchange.BINANCE] @@ -107,14 +107,14 @@ class BinanceGateway(BaseGateway): self.rest_api.connect(key, secret, session_number, proxy_host, proxy_port) #self.trade_ws_api.connect(key, secret, proxy_host, proxy_port) - self.market_ws_api.connect(key, secret, proxy_host, proxy_port) + #self.market_ws_api.connect(key, secret, proxy_host, proxy_port) #self.init_query() def subscribe(self, req: SubscribeRequest): """""" self.market_ws_api.subscribe(req) - self.trade_ws_api.subscribe(req) + #self.trade_ws_api.subscribe(req) def send_order(self, req: OrderRequest): """""" @@ -188,7 +188,7 @@ class BinanceRestApi(RestClient): security = "NONE" if request.data: security = request.data['security'] - + if security == "SIGNED": timestamp = int(time.time() * 1000) if self.time_offset > 0: @@ -243,7 +243,7 @@ class BinanceRestApi(RestClient): self.query_order() self.query_contract() self.start_userStream() - + def query_time(self): """""" data = { @@ -256,7 +256,7 @@ class BinanceRestApi(RestClient): callback=self.on_query_time, data=data ) - + def query_account(self): """""" data = { @@ -338,7 +338,7 @@ class BinanceRestApi(RestClient): } params = { "symbol": req.symbol, - "orderId": req.orderid + "orderId": sys_orderid } self.add_request( method="DELETE", @@ -349,6 +349,8 @@ class BinanceRestApi(RestClient): extra=req ) + print("撤单本地id：", req.orderid, "撤单远端id：", sys_orderid) + def start_userStream(self): """""" data = { @@ -433,7 +435,7 @@ class BinanceRestApi(RestClient): time = dt.strftime("%Y-%m-%d %H:%M:%S") order = OrderData( - orderid=sys_orderid, + orderid=local_orderid, symbol=d["symbol"], exchange=Exchange.BINANCE, price=float(d["price"]), @@ -446,6 +448,7 @@ class BinanceRestApi(RestClient): gateway_name=self.gateway_name, ) + print("委托查询--远端id：",sys_orderid, "本地Id：", local_orderid) self.order_manager.on_order(order) self.gateway.write_log("委托信息查询成功") @@ -522,15 +525,15 @@ class BinanceRestApi(RestClient): cancel_request = request.extra local_orderid = cancel_request.orderid order = self.order_manager.get_order_with_local_orderid(local_orderid) - + if self.check_error(data, "撤单"): order.status = Status.REJECTED else: order.status = Status.CANCELLED self.gateway.write_log(f"委托撤单成功：{order.orderid}") - + self.order_manager.on_order(order) - + def on_start_userStream(self, data, request): self.userStreamKey = data['listenKey'] self.keepaliveCount = 0 @@ -550,12 +553,12 @@ class BinanceRestApi(RestClient): def on_close_userStream(self, listenKey): self.gateway.write_log("交易推送关闭") - + def check_error(self, data: dict, func: str = ""): """""" if data["status"] != "error": return False - + error_code = data["err-code"] error_msg = data["err-msg"] @@ -589,7 +592,7 @@ class BinanceWebsocketApiBase(WebsocketClient): """""" self.key = key self.secret = secret - + #host, path = _split_url(url) #self.sign_host = host #self.path = path @@ -636,7 +639,7 @@ class BinanceWebsocketApiBase(WebsocketClient): return self.on_login() else: self.on_data(packet) - + def on_data(self, packet): """""" print("data : {}".format(packet)) @@ -646,7 +649,7 @@ class BinanceWebsocketApiBase(WebsocketClient): msg = packet["err-msg"] if msg == "invalid pong": return - + self.gateway.write_log(packet["err-msg"]) @@ -690,17 +693,20 @@ class BinanceTradeWebsocketApi(BinanceWebsocketApiBase): print("==========on_data1=========") # push order data change if packet["e"] == "executionReport": - order = OrderData( - symbol=packet["s"], - exchange=Exchange.BINANCE, - orderid=packet["i"], - status=STATUS_BINANCE2VT.get(packet["X"], None), - traded=float(packet["Z"]), - price=float(packet["L"]), - time=packet["O"], - gateway_name=self.gateway_name - ) - self.on_order(order) + self.on_order(packet) + + # order = OrderData( + # symbol=packet["s"], + # exchange=Exchange.BINANCE, + # orderid=packet["i"], + # status=STATUS_BINANCE2VT.get(packet["X"], None), + # traded=float(packet["Z"]), + # price=float(packet["L"]), + # time=packet["O"], + # gateway_name=self.gateway_name + # ) + # self.on_order(order) + # push account data change if packet["e"] == "outboundAccountInfo": for account_data in packet["B"]: @@ -714,18 +720,25 @@ class BinanceTradeWebsocketApi(BinanceWebsocketApiBase): def on_order(self, data: dict): """""" - sys_orderid = data.orderid - + sys_orderid = str(data["i"]) + order = self.order_manager.get_order_with_sys_orderid(sys_orderid) if not order: self.order_manager.add_push_data(sys_orderid, data) return + traded_volume = float(data["Z"]) # Push order event - order.traded = data.traded - order.status = data.status + + order.traded += traded_volume + order.status = STATUS_BINANCE2VT.get(packet["X"], None) + order.price = float(data["L"]) + order.time = data["O"] + order.symbol = data["s"] + + print("远端ID：", sys_orderid, "本地ID：", order) self.order_manager.on_order(order) - + # Push trade event traded_volume = data.traded if not traded_volume: @@ -765,7 +778,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase): def on_connected(self): """""" pass - + def subscribe(self, req: SubscribeRequest): """""" symbol = req.symbol @@ -780,7 +793,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase): gateway_name=self.gateway_name, ) self.ticks[symbol] = tick - + # Subscribe to market depth update self.req_id += 1 req = { @@ -788,7 +801,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase): "id": str(self.req_id) } self.send_packet(req) - + # Subscribe to market detail update self.req_id += 1 req = { @@ -801,7 +814,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase): """""" print("===================on_data=====================") print(packet) - + channel = packet.get("ch", None) if channel: if "depth.step" in channel: @@ -818,7 +831,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase): symbol = data["ch"].split(".")[1] tick = self.ticks[symbol] tick.datetime = datetime.fromtimestamp(data["ts"] / 1000) - + bids = data["tick"]["bids"] for n in range(5): price, volume = bids[n] @@ -839,7 +852,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase): symbol = data["ch"].split(".")[1] tick = self.ticks[symbol] tick.datetime = datetime.fromtimestamp(data["ts"] / 1000) - + tick_data = data["tick"] tick.open_price = float(tick_data["open"]) tick.high_price = float(tick_data["high"])