From 926aad586aff659a20160dd0e6437688a8f159be Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 27 May 2018 22:18:56 +0800 Subject: [PATCH 001/135] =?UTF-8?q?[Mod]=E9=83=A8=E5=88=863.0=E4=BB=A3?= =?UTF-8?q?=E7=A0=81=E5=85=BC=E5=AE=B9=E6=80=A7=E4=BF=AE=E6=94=B9?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/ctaStrategy/language/__init__.py | 2 +- vnpy/trader/app/riskManager/__init__.py | 4 ++-- vnpy/trader/app/riskManager/language/__init__.py | 2 +- vnpy/trader/gateway/futuGateway/__init__.py | 2 +- vnpy/trader/gateway/futuGateway/futuGateway.py | 12 ++++++++---- vnpy/trader/vtEngine.py | 11 ----------- 6 files changed, 13 insertions(+), 20 deletions(-) diff --git a/vnpy/trader/app/ctaStrategy/language/__init__.py b/vnpy/trader/app/ctaStrategy/language/__init__.py index a058945f..f5c4ca18 100644 --- a/vnpy/trader/app/ctaStrategy/language/__init__.py +++ b/vnpy/trader/app/ctaStrategy/language/__init__.py @@ -5,7 +5,7 @@ import os import traceback # 默认设置 -from chinese import text +from .chinese import text # 是否要使用英文 from vnpy.trader.vtGlobal import globalSetting diff --git a/vnpy/trader/app/riskManager/__init__.py b/vnpy/trader/app/riskManager/__init__.py index c58c8c61..04e66bc5 100644 --- a/vnpy/trader/app/riskManager/__init__.py +++ b/vnpy/trader/app/riskManager/__init__.py @@ -1,7 +1,7 @@ # encoding: UTF-8 -from rmEngine import RmEngine -from uiRmWidget import RmEngineManager +from .rmEngine import RmEngine +from .uiRmWidget import RmEngineManager appName = 'RiskManager' appDisplayName = u'风险管理' diff --git a/vnpy/trader/app/riskManager/language/__init__.py b/vnpy/trader/app/riskManager/language/__init__.py index a058945f..f5c4ca18 100644 --- a/vnpy/trader/app/riskManager/language/__init__.py +++ b/vnpy/trader/app/riskManager/language/__init__.py @@ -5,7 +5,7 @@ import os import traceback # 默认设置 -from chinese import text +from .chinese import text # 是否要使用英文 from vnpy.trader.vtGlobal import globalSetting diff --git a/vnpy/trader/gateway/futuGateway/__init__.py b/vnpy/trader/gateway/futuGateway/__init__.py index 0b477e7f..827c2b6c 100644 --- a/vnpy/trader/gateway/futuGateway/__init__.py +++ b/vnpy/trader/gateway/futuGateway/__init__.py @@ -1,7 +1,7 @@ # encoding: UTF-8 from vnpy.trader import vtConstant -from futuGateway import FutuGateway +from .futuGateway import FutuGateway gatewayClass = FutuGateway gatewayName = 'FUTU' diff --git a/vnpy/trader/gateway/futuGateway/futuGateway.py b/vnpy/trader/gateway/futuGateway/futuGateway.py index 63f5ba3c..d557abcb 100644 --- a/vnpy/trader/gateway/futuGateway/futuGateway.py +++ b/vnpy/trader/gateway/futuGateway/futuGateway.py @@ -12,10 +12,14 @@ from datetime import datetime from copy import copy import futuquant as ft -from futuquant.open_context import (RET_ERROR, RET_OK, PriceRegularMode, - StockQuoteHandlerBase, OrderBookHandlerBase, - USTradeOrderHandlerBase, USTradeDealHandlerBase, - HKTradeOrderHandlerBase, HKTradeDealHandlerBase) +from futuquant import (RET_ERROR, RET_OK, PriceRegularMode, + StockQuoteHandlerBase, OrderBookHandlerBase, + TradeOrderHandlerBase, TradeDealHandlerBase) + +#from futuquant.open_context import (RET_ERROR, RET_OK, PriceRegularMode, + #StockQuoteHandlerBase, OrderBookHandlerBase, + #USTradeOrderHandlerBase, USTradeDealHandlerBase, + #HKTradeOrderHandlerBase, HKTradeDealHandlerBase) from vnpy.trader.vtGateway import * from vnpy.trader.vtConstant import GATEWAYTYPE_INTERNATIONAL diff --git a/vnpy/trader/vtEngine.py b/vnpy/trader/vtEngine.py index cfd1c5f1..75584a1f 100644 --- a/vnpy/trader/vtEngine.py +++ b/vnpy/trader/vtEngine.py @@ -872,8 +872,6 @@ class PositionDetail(object): self.shortPnl = pos.positionProfit self.shortPrice = pos.price - #self.output() - #---------------------------------------------------------------------- def updateOrderReq(self, req, vtOrderID): """发单更新""" @@ -986,15 +984,6 @@ class PositionDetail(object): self.longPosFrozen = self.longYdFrozen + self.longTdFrozen self.shortPosFrozen = self.shortYdFrozen + self.shortTdFrozen - #---------------------------------------------------------------------- - def output(self): - """""" - print self.vtSymbol, '-'*30 - print 'long, total:%s, td:%s, yd:%s' %(self.longPos, self.longTd, self.longYd) - print 'long frozen, total:%s, td:%s, yd:%s' %(self.longPosFrozen, self.longTdFrozen, self.longYdFrozen) - print 'short, total:%s, td:%s, yd:%s' %(self.shortPos, self.shortTd, self.shortYd) - print 'short frozen, total:%s, td:%s, yd:%s' %(self.shortPosFrozen, self.shortTdFrozen, self.shortYdFrozen) - #---------------------------------------------------------------------- def convertOrderReq(self, req): """转换委托请求""" From 277d2b1287da8aced04d2c6aeb7226b40af72fb5 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 27 May 2018 23:58:19 +0800 Subject: [PATCH 002/135] =?UTF-8?q?[Mod]=E8=BF=90=E8=A1=8C=E7=8E=AF?= =?UTF-8?q?=E5=A2=83=E5=8D=87=E7=BA=A7=E5=88=B0Anaconda=205.1.0?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/VnTrader/run.py | 3 +-- vnpy/trader/uiQt.py | 2 +- 2 files changed, 2 insertions(+), 3 deletions(-) diff --git a/examples/VnTrader/run.py b/examples/VnTrader/run.py index f09170eb..24a54f97 100644 --- a/examples/VnTrader/run.py +++ b/examples/VnTrader/run.py @@ -27,7 +27,7 @@ if system == 'Linux': from vnpy.trader.gateway import xtpGateway elif system == 'Windows': from vnpy.trader.gateway import (femasGateway, xspeedGateway, - futuGateway, secGateway) + secGateway) # 加载上层应用 from vnpy.trader.app import (riskManager, ctaStrategy, spreadTrading) @@ -54,7 +54,6 @@ def main(): me.addGateway(femasGateway) me.addGateway(xspeedGateway) me.addGateway(secGateway) - me.addGateway(futuGateway) if system == 'Linux': me.addGateway(xtpGateway) diff --git a/vnpy/trader/uiQt.py b/vnpy/trader/uiQt.py index c31e2bce..6001457e 100644 --- a/vnpy/trader/uiQt.py +++ b/vnpy/trader/uiQt.py @@ -30,7 +30,7 @@ def createQApp(): if globalSetting['darkStyle']: try: import qdarkstyle - qApp.setStyleSheet(qdarkstyle.load_stylesheet(pyside=False)) + qApp.setStyleSheet(qdarkstyle.load_stylesheet_from_environment()) except ImportError: pass From 481797cea768942e834e4405aa6fe225cb23847e Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 27 May 2018 23:58:52 +0800 Subject: [PATCH 003/135] =?UTF-8?q?[Mod]=E4=BF=AE=E6=94=B9ctaHistoryData.p?= =?UTF-8?q?y=E4=B8=AD=E7=9A=84=E6=A8=A1=E5=9D=97=E5=8A=A0=E8=BD=BD?= =?UTF-8?q?=E8=A7=84=E5=88=99?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/ctaStrategy/ctaHistoryData.py | 11 +---------- 1 file changed, 1 insertion(+), 10 deletions(-) diff --git a/vnpy/trader/app/ctaStrategy/ctaHistoryData.py b/vnpy/trader/app/ctaStrategy/ctaHistoryData.py index 070a2cd6..aa49d82e 100644 --- a/vnpy/trader/app/ctaStrategy/ctaHistoryData.py +++ b/vnpy/trader/app/ctaStrategy/ctaHistoryData.py @@ -11,6 +11,7 @@ import csv from datetime import datetime, timedelta from time import time +from struct import unpack import pymongo @@ -73,8 +74,6 @@ def downloadEquityDailyBarts(self, symbol): #---------------------------------------------------------------------- def loadMcCsv(fileName, dbName, symbol): """将Multicharts导出的csv格式的历史数据插入到Mongo数据库中""" - import csv - start = time() print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) @@ -107,8 +106,6 @@ def loadMcCsv(fileName, dbName, symbol): #---------------------------------------------------------------------- def loadTbCsv(fileName, dbName, symbol): """将TradeBlazer导出的csv格式的历史分钟数据插入到Mongo数据库中""" - import csv - start = time() print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) @@ -142,8 +139,6 @@ def loadTbCsv(fileName, dbName, symbol): #---------------------------------------------------------------------- def loadTbPlusCsv(fileName, dbName, symbol): """将TB极速版导出的csv格式的历史分钟数据插入到Mongo数据库中""" - import csv - start = time() print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) @@ -189,8 +184,6 @@ def loadTbPlusCsv(fileName, dbName, symbol): """ def loadTdxCsv(fileName, dbName, symbol): """将通达信导出的csv格式的历史分钟数据插入到Mongo数据库中""" - import csv - start = time() date_correct = "" print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) @@ -236,8 +229,6 @@ def loadTdxCsv(fileName, dbName, symbol): """ def loadTdxLc1(fileName, dbName, symbol): """将通达信导出的lc1格式的历史分钟数据插入到Mongo数据库中""" - from struct import * - start = time() print u'开始读取通达信Lc1文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) From 9546b1100defb2ff41209deaf6930c7a703e546b Mon Sep 17 00:00:00 2001 From: cclauss Date: Tue, 29 May 2018 12:32:14 +0200 Subject: [PATCH 004/135] Modernize vnpy/api/xspeed --- vnpy/api/xspeed/__init__.py | 7 ++-- .../api/xspeed/pyscript/generate_data_type.py | 13 ++++---- .../xspeed/pyscript/generate_md_functions.py | 7 ++-- vnpy/api/xspeed/pyscript/generate_struct.py | 5 +-- .../xspeed/pyscript/generate_td_functions.py | 13 ++++---- .../xspeed/pyscript/old/generate_data_type.py | 13 ++++---- .../xspeed/pyscript/old/generate_struct.py | 3 +- vnpy/api/xspeed/test/xspeedmdtest.py | 9 ++--- vnpy/api/xspeed/test/xspeedtdtest.py | 33 ++++++++++--------- 9 files changed, 56 insertions(+), 47 deletions(-) diff --git a/vnpy/api/xspeed/__init__.py b/vnpy/api/xspeed/__init__.py index 697e5c75..0c4659fc 100644 --- a/vnpy/api/xspeed/__init__.py +++ b/vnpy/api/xspeed/__init__.py @@ -1,5 +1,6 @@ # encoding: UTF-8 -from vnxspeedmd import MdApi -from vnxspeedtd import TdApi -from xspeed_data_type import defineDict \ No newline at end of file +from __future__ import absolute_import +from .vnxspeedmd import MdApi +from .vnxspeedtd import TdApi +from .xspeed_data_type import defineDict \ No newline at end of file diff --git a/vnpy/api/xspeed/pyscript/generate_data_type.py b/vnpy/api/xspeed/pyscript/generate_data_type.py index df43f654..4595939d 100644 --- a/vnpy/api/xspeed/pyscript/generate_data_type.py +++ b/vnpy/api/xspeed/pyscript/generate_data_type.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' # C++和python类型的映射字典 @@ -48,7 +49,7 @@ def process_typedef(line): else: keyword = content[-1] keyword = keyword.replace(';\n', '') - print content, keyword + print(content, keyword) if '[' in keyword: i = keyword.index('[') @@ -97,15 +98,15 @@ def main(): py_line = process_line(line) if py_line: fpy.write(py_line.decode('gbk').encode('utf-8')) - print n + print(n) fcpp.close() fpy.close() - print u'data_type.py生成过程完成' - except Exception, e: - print u'data_type.py生成过程出错' - print e + print(u'data_type.py生成过程完成') + except Exception as e: + print(u'data_type.py生成过程出错') + print(e) if __name__ == '__main__': diff --git a/vnpy/api/xspeed/pyscript/generate_md_functions.py b/vnpy/api/xspeed/pyscript/generate_md_functions.py index 9b380665..fb28de80 100644 --- a/vnpy/api/xspeed/pyscript/generate_md_functions.py +++ b/vnpy/api/xspeed/pyscript/generate_md_functions.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' from string import join @@ -224,7 +225,7 @@ def processFunction(line): fcArgsTypeList.append(content[1]) # 参数类型列表 fcArgsValueList.append(content[3]) # 参数数据列表 - print fcArgsTypeList + print(fcArgsTypeList) if len(fcArgsTypeList)>0 and fcArgsTypeList[0] in structDict: createFunction(fcName, fcArgsTypeList, fcArgsValueList) @@ -286,10 +287,10 @@ define_count = 1 for line in fcpp: if " virtual void On" in line: - print 'callback' + print('callback') processCallBack(line) elif " virtual int" in line: - print 'function' + print('function') processFunction(line) fcpp.close() diff --git a/vnpy/api/xspeed/pyscript/generate_struct.py b/vnpy/api/xspeed/pyscript/generate_struct.py index ad0ff1c5..5f5a35fd 100644 --- a/vnpy/api/xspeed/pyscript/generate_struct.py +++ b/vnpy/api/xspeed/pyscript/generate_struct.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' from xspeed_data_type import * @@ -47,10 +48,10 @@ def main(): n = line.index('//') line = line[:n] - print no, ':', line + print(no, ':', line) content = line.split('\t') - print content + print(content) typedef = content[1] type_ = typedefDict[typedef] diff --git a/vnpy/api/xspeed/pyscript/generate_td_functions.py b/vnpy/api/xspeed/pyscript/generate_td_functions.py index 52530211..a5dbe885 100644 --- a/vnpy/api/xspeed/pyscript/generate_td_functions.py +++ b/vnpy/api/xspeed/pyscript/generate_td_functions.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' from string import join @@ -33,7 +34,7 @@ def processCallBack(line): cbArgsTypeList.append(content[0]) # 参数类型列表 cbArgsValueList.append(content[1]) # 参数数据列表 else: - print content + print(content) cbArgsTypeList.append(content[1]) # 参数类型列表 cbArgsValueList.append(content[2]+content[3]) # 参数数据列表 @@ -230,8 +231,8 @@ def processFunction(line): fcArgsTypeList.append(content[1]) # 参数类型列表 fcArgsValueList.append(content[3]) # 参数数据列表 - print line - print fcArgsTypeList + print(line) + print(fcArgsTypeList) if len(fcArgsTypeList)>0 and fcArgsTypeList[0] in structDict: createFunction(fcName, fcArgsTypeList, fcArgsValueList) @@ -263,7 +264,7 @@ def createFunction(fcName, fcArgsTypeList, fcArgsValueList): elif value == 'short': line = '\tgetShort(req, "' + key + '", &myreq.' + key + ');\n' elif value == 'float': - print line + print(line) line = '\tgetDouble(req, "' + key + '", &myreq.' + key + ');\n' ffunction.write(line) @@ -294,10 +295,10 @@ define_count = 1 for line in fcpp: if " virtual void On" in line: - print 'callback' + print('callback') processCallBack(line) elif " virtual int" in line: - print 'function' + print('function') processFunction(line) fcpp.close() diff --git a/vnpy/api/xspeed/pyscript/old/generate_data_type.py b/vnpy/api/xspeed/pyscript/old/generate_data_type.py index 477d5288..e833bad2 100644 --- a/vnpy/api/xspeed/pyscript/old/generate_data_type.py +++ b/vnpy/api/xspeed/pyscript/old/generate_data_type.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' # C++和python类型的映射字典 @@ -48,7 +49,7 @@ def process_typedef(line): else: keyword = content[-1] keyword = keyword.replace(';\n', '') - print content, keyword + print(content, keyword) if '[' in keyword: i = keyword.index('[') @@ -91,15 +92,15 @@ def main(): py_line = process_line(line) if py_line: fpy.write(py_line.decode('gbk').encode('utf-8')) - print n + print(n) fcpp.close() fpy.close() - print u'data_type.py生成过程完成' - except Exception, e: - print u'data_type.py生成过程出错' - print e + print(u'data_type.py生成过程完成') + except Exception as e: + print(u'data_type.py生成过程出错') + print(e) if __name__ == '__main__': diff --git a/vnpy/api/xspeed/pyscript/old/generate_struct.py b/vnpy/api/xspeed/pyscript/old/generate_struct.py index df86652b..60f9662b 100644 --- a/vnpy/api/xspeed/pyscript/old/generate_struct.py +++ b/vnpy/api/xspeed/pyscript/old/generate_struct.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' from ksgold_data_type import * @@ -47,7 +48,7 @@ def main(): n = line.index('//') line = line[:n] - print no, ':', line + print(no, ':', line) content = line.split('\t') diff --git a/vnpy/api/xspeed/test/xspeedmdtest.py b/vnpy/api/xspeed/test/xspeedmdtest.py index 44484002..08a6eb51 100644 --- a/vnpy/api/xspeed/test/xspeedmdtest.py +++ b/vnpy/api/xspeed/test/xspeedmdtest.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function import sys from time import sleep import datetime @@ -13,7 +14,7 @@ from vnxspeedmd import * def print_dict(d): """按照键值打印一个字典""" for key,value in d.items(): - print key + ':' + str(value) + print(key + ':' + str(value)) def parseDateTime(date,time,milli): @@ -32,8 +33,8 @@ def parseDateTime(date,time,milli): def simple_log(func): """简单装饰器用于输出函数名""" def wrapper(*args, **kw): - print "" - print str(func.__name__) + print("") + print(str(func.__name__)) return func(*args, **kw) return wrapper @@ -57,7 +58,7 @@ class TestMdApi(MdApi): @simple_log def onFrontDisconnected(self, n): """服务器断开""" - print n + print(n) #---------------------------------------------------------------------- @simple_log diff --git a/vnpy/api/xspeed/test/xspeedtdtest.py b/vnpy/api/xspeed/test/xspeedtdtest.py index 6dcedd32..9b69a2c7 100644 --- a/vnpy/api/xspeed/test/xspeedtdtest.py +++ b/vnpy/api/xspeed/test/xspeedtdtest.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function import sys from time import sleep @@ -12,15 +13,15 @@ from vnxspeedtd import * def print_dict(d): """按照键值打印一个字典""" for key,value in d.items(): - print key + ':' + str(value) + print(key + ':' + str(value)) #---------------------------------------------------------------------- def simple_log(func): """简单装饰器用于输出函数名""" def wrapper(*args, **kw): - print "" - print str(func.__name__) + print("") + print(str(func.__name__)) return func(*args, **kw) return wrapper @@ -43,7 +44,7 @@ class TestTdApi(TdApi): @simple_log def onFrontDisconnected(self, n): """服务器断开""" - print n + print(n) #---------------------------------------------------------------------- @simple_log @@ -82,7 +83,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -90,7 +91,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -105,7 +106,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -113,7 +114,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -145,7 +146,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -153,7 +154,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -161,7 +162,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -188,7 +189,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -203,7 +204,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -217,7 +218,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -225,7 +226,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- @simple_log @@ -233,7 +234,7 @@ class TestTdApi(TdApi): """查询持仓""" print_dict(data) print_dict(error) - print last + print(last) #---------------------------------------------------------------------- From fc4699bc3915d61c839810b4ce1412e23b55fe36 Mon Sep 17 00:00:00 2001 From: cclauss Date: Tue, 29 May 2018 12:47:36 +0200 Subject: [PATCH 005/135] Modernize vnpy/api/xtp --- vnpy/api/xtp/__init__.py | 7 +- vnpy/api/xtp/pyscript/generate_data_type.py | 3 +- .../api/xtp/pyscript/generate_md_functions.py | 3 +- vnpy/api/xtp/pyscript/generate_struct_oms.py | 5 +- .../api/xtp/pyscript/generate_struct_quote.py | 3 +- .../api/xtp/pyscript/generate_td_functions.py | 7 +- vnpy/api/xtp/test/quotetest.py | 17 ++-- vnpy/api/xtp/test/tradertest.py | 77 ++++++++++--------- 8 files changed, 66 insertions(+), 56 deletions(-) diff --git a/vnpy/api/xtp/__init__.py b/vnpy/api/xtp/__init__.py index 4978cf9f..792f0dcc 100644 --- a/vnpy/api/xtp/__init__.py +++ b/vnpy/api/xtp/__init__.py @@ -1,5 +1,6 @@ # encoding: UTF-8 -from vnxtpquote import QuoteApi -from vnxtptrader import TraderApi -from xtp_data_type import * \ No newline at end of file +from __future__ import absolute_import +from .vnxtpquote import QuoteApi +from .vnxtptrader import TraderApi +from .xtp_data_type import * \ No newline at end of file diff --git a/vnpy/api/xtp/pyscript/generate_data_type.py b/vnpy/api/xtp/pyscript/generate_data_type.py index e04ae76e..ba72d668 100644 --- a/vnpy/api/xtp/pyscript/generate_data_type.py +++ b/vnpy/api/xtp/pyscript/generate_data_type.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = u'用Python的交易员' # C++和python类型的映射字典 @@ -128,7 +129,7 @@ def main(): fcpp.close() fpy.close() - print u'data_type.py生成过程完成' + print(u'data_type.py生成过程完成') if __name__ == '__main__': diff --git a/vnpy/api/xtp/pyscript/generate_md_functions.py b/vnpy/api/xtp/pyscript/generate_md_functions.py index 94aa92e2..54e089be 100644 --- a/vnpy/api/xtp/pyscript/generate_md_functions.py +++ b/vnpy/api/xtp/pyscript/generate_md_functions.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' from string import join @@ -331,4 +332,4 @@ fheaderon.close() fheaderfunction.close() fwrap.close() -print 'md functions done' \ No newline at end of file +print('md functions done') \ No newline at end of file diff --git a/vnpy/api/xtp/pyscript/generate_struct_oms.py b/vnpy/api/xtp/pyscript/generate_struct_oms.py index b230050c..dbab14ef 100644 --- a/vnpy/api/xtp/pyscript/generate_struct_oms.py +++ b/vnpy/api/xtp/pyscript/generate_struct_oms.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' from xtp_data_type import * @@ -27,7 +28,7 @@ def main(): fpy.write('\n') for row, line in enumerate(fcpp): - print row + print(row) # 结构体申明注释 if '///' in line and '\t' not in line: py_line = '#' + line[3:] @@ -38,7 +39,7 @@ def main(): # 结构体申明 elif 'struct ' in line: - print line + print(line) content = line.split(' ') name = content[1].replace('\n','') name = name.replace('\r', '') diff --git a/vnpy/api/xtp/pyscript/generate_struct_quote.py b/vnpy/api/xtp/pyscript/generate_struct_quote.py index 0f4e7833..b8ade4d7 100644 --- a/vnpy/api/xtp/pyscript/generate_struct_quote.py +++ b/vnpy/api/xtp/pyscript/generate_struct_quote.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' from xtp_data_type import * @@ -38,7 +39,7 @@ def main(): lcpp = replaceTabs(fcpp) for n, line in enumerate(lcpp): - print n + print(n) # 结构体申明注释 if '///' in line and '\t' not in line: py_line = '#' + line[3:] diff --git a/vnpy/api/xtp/pyscript/generate_td_functions.py b/vnpy/api/xtp/pyscript/generate_td_functions.py index ede47e4a..7d4081f3 100644 --- a/vnpy/api/xtp/pyscript/generate_td_functions.py +++ b/vnpy/api/xtp/pyscript/generate_td_functions.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function __author__ = 'CHENXY' from string import join @@ -194,7 +195,7 @@ def createProcess(cbName, cbArgsTypeList, cbArgsValueList): fprocess.write(" PyLock lock;\n") onArgsList = [] - print cbName, cbArgsTypeList + print(cbName, cbArgsTypeList) for i, type_ in enumerate(cbArgsTypeList): if 'XTPRI' in type_: @@ -258,7 +259,7 @@ def processFunction(line): fcArgs = fcArgs.replace(')', '') fcArgsList = fcArgs.split(', ') # 将每个参数转化为列表 - print fcArgsList + print(fcArgsList) fcArgsTypeList = [] fcArgsValueList = [] @@ -352,4 +353,4 @@ fheaderon.close() fheaderfunction.close() fwrap.close() -print 'td functions done' \ No newline at end of file +print('td functions done') \ No newline at end of file diff --git a/vnpy/api/xtp/test/quotetest.py b/vnpy/api/xtp/test/quotetest.py index e353940b..deec29e8 100644 --- a/vnpy/api/xtp/test/quotetest.py +++ b/vnpy/api/xtp/test/quotetest.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function import os from time import sleep @@ -8,11 +9,11 @@ from vnxtpquote import * #---------------------------------------------------------------------- def printDict(d): """""" - print '-' * 50 + print('-' * 50) l = d.keys() l.sort() for k in l: - print k, d[k] + print(k, d[k]) @@ -28,32 +29,32 @@ class TestApi(QuoteApi): #---------------------------------------------------------------------- def onDisconnected(self, reason): """""" - print 'disconnect', reason + print('disconnect', reason) #---------------------------------------------------------------------- def onError(self, data): """""" - print 'error' + print('error') printDict(data) #---------------------------------------------------------------------- def onSubMarketData(self, data, error, last): """""" - print 'sub market data' + print('sub market data') printDict(data) printDict(error) #---------------------------------------------------------------------- def onUnSubMarketData(self, data, error, last): """""" - print 'unsub market data' + print('unsub market data') printDict(data) printDict(error) #---------------------------------------------------------------------- def onMarketData(self, data): """""" - print 'new market data' + print('new market data') printDict(data) #---------------------------------------------------------------------- @@ -75,7 +76,7 @@ if __name__ == '__main__': # 登录 n = api.login(ip, port, user, password, 1) - print 'login result', n + print('login result', n) # 订阅行情 api.subscribeMarketData('000001', 2) diff --git a/vnpy/api/xtp/test/tradertest.py b/vnpy/api/xtp/test/tradertest.py index 86f012d3..843e3b8f 100644 --- a/vnpy/api/xtp/test/tradertest.py +++ b/vnpy/api/xtp/test/tradertest.py @@ -1,20 +1,23 @@ # encoding: UTF-8 +from __future__ import print_function import os from time import sleep +from six.moves import input + from vnxtptrader import * + #---------------------------------------------------------------------- def printDict(d): """""" - print '-' * 50 + print('-' * 50) l = d.keys() l.sort() for k in l: - print k, d[k] - - + print(k, d[k]) + ######################################################################## class TestApi(TraderApi): @@ -28,79 +31,79 @@ class TestApi(TraderApi): #---------------------------------------------------------------------- def onDisconnected(self, reason): """""" - print '-' * 30 - print 'onDisconnected' - print reason + print('-' * 30) + print('onDisconnected') + print(reason) #---------------------------------------------------------------------- def onError(self, data): """""" - print '-' * 30 - print 'onError' + print('-' * 30) + print('onError') printDict(data) #---------------------------------------------------------------------- def onOrderEvent(self, data, error): """""" - print '-' * 30 - print 'onOrderEvent' + print('-' * 30) + print('onOrderEvent') printDict(data) printDict(error) #---------------------------------------------------------------------- def onTradeEvent(self, data): """""" - print '-' * 30 - print 'onTradeEvent' + print('-' * 30) + print('onTradeEvent') printDict(data) #---------------------------------------------------------------------- def onCancelOrderError(self, data, error): """""" - print '-' * 30 - print 'onCancelOrderError' + print('-' * 30) + print('onCancelOrderError') printDict(data) printDict(error) #---------------------------------------------------------------------- def onQueryOrder(self, data, error, reqid, last): """""" - print '-' * 30 - print 'onQueryOrder' + print('-' * 30) + print('onQueryOrder') printDict(data) printDict(error) - print reqid - print last + print(reqid) + print(last) #---------------------------------------------------------------------- def onQueryTrade(self, data, error, reqid, last): """""" - print '-' * 30 - print 'onQueryTrade' + print('-' * 30) + print('onQueryTrade') printDict(data) printDict(error) - print reqid - print last + print(reqid) + print(last) #---------------------------------------------------------------------- def onQueryPosition(self, data, error, reqid, last): """""" - print '-' * 30 - print 'onQueryPosition' + print('-' * 30) + print('onQueryPosition') printDict(data) printDict(error) - print reqid - print last + print(reqid) + print(last) #---------------------------------------------------------------------- def onQueryAsset(self, data, error, reqid, last): """""" - print '-' * 30 - print 'onQueryAsset' + print('-' * 30) + print('onQueryAsset') printDict(data) printDict(error) - print reqid - print last + print(reqid) + print(last) @@ -121,12 +124,12 @@ if __name__ == '__main__': # 登录 session = api.login(ip, port, user, password, 1) - print 'login result', session + print('login result', session) # 调用同步函数查询一些信息 - print 'trading day is:', api.getTradingDay() - print 'api version is:', api.getApiVersion() - print 'last error is:', api.getApiLastError() + print('trading day is:', api.getTradingDay()) + print('api version is:', api.getApiVersion()) + print('last error is:', api.getApiLastError()) # 查询资产 sleep(2) @@ -166,7 +169,7 @@ if __name__ == '__main__': # 登出 sleep(5) - print 'logout:', api.logout(session) + print('logout:', api.logout(session)) # 阻塞 - raw_input() + input() From 6f9167303710a6a501da0153b95566836701a7c0 Mon Sep 17 00:00:00 2001 From: cclauss Date: Tue, 29 May 2018 13:21:14 +0200 Subject: [PATCH 006/135] Modernize vnpy/api/shzd --- vnpy/api/shzd/__init__.py | 3 ++- vnpy/api/shzd/test/test.py | 17 +++++++++-------- 2 files changed, 11 insertions(+), 9 deletions(-) diff --git a/vnpy/api/shzd/__init__.py b/vnpy/api/shzd/__init__.py index 7a5e03d5..f76a6d69 100644 --- a/vnpy/api/shzd/__init__.py +++ b/vnpy/api/shzd/__init__.py @@ -1,3 +1,4 @@ # encoding: UTF-8 -from vnshzd import ShzdApi \ No newline at end of file +from __future__ import absolute_import +from .vnshzd import ShzdApi \ No newline at end of file diff --git a/vnpy/api/shzd/test/test.py b/vnpy/api/shzd/test/test.py index 13bb2c5f..a958d450 100644 --- a/vnpy/api/shzd/test/test.py +++ b/vnpy/api/shzd/test/test.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function from time import sleep from vnshzd import * @@ -10,7 +11,7 @@ def printDict(d): l = d.keys() l.sort() for key in l: - print '%s:%s' %(key, d[key]) + print('%s:%s' %(key, d[key])) ######################################################################## @@ -26,19 +27,19 @@ class TestApi(ShzdApi): #---------------------------------------------------------------------- def onReceiveErrorInfo(self, errcode, errmsg): """""" - print '-' * 50 - print 'errorcode %s, error msg %s' %(errcode, errmsg) + print('-' * 50) + print('errorcode %s, error msg %s' %(errcode, errmsg)) #---------------------------------------------------------------------- def onReceiveMarketInfo(self, data): """""" - print '-' * 50 + print('-' * 50) printDict(data) #---------------------------------------------------------------------- def onReceiveTradeInfo(self, data): """""" - print '-' * 50 + print('-' * 50) printDict(data) if __name__ == '__main__': @@ -49,8 +50,8 @@ if __name__ == '__main__': api.initShZdServer() # 注册前置机地址 - print api.registerFront('222.73.119.230', 7003) - print api.registerMarket('222.73.119.230', 9003) + print(api.registerFront('222.73.119.230', 7003)) + print(api.registerMarket('222.73.119.230', 9003)) # 登录 sleep(1) @@ -68,7 +69,7 @@ if __name__ == '__main__': data['201'] = '+' #data['307'] = "CME,6J1609" data['307'] = 'ICE,WBS1611' - print data + print(data) api.shzdSendInfoToMarket(data) # # 查询合约 From 0594e6dc46fee9849aa272684ac5422f9de261e1 Mon Sep 17 00:00:00 2001 From: cclauss Date: Tue, 29 May 2018 13:43:06 +0200 Subject: [PATCH 007/135] Modernize vnpy/api/sec --- vnpy/api/sec/__init__.py | 7 +- vnpy/api/sec/pyscript/generate_data_type.py | 3 +- .../api/sec/pyscript/generate_md_functions.py | 5 +- vnpy/api/sec/pyscript/generate_struct.py | 3 +- .../api/sec/pyscript/generate_td_functions.py | 5 +- vnpy/api/sec/test/md_test.py | 86 ++-- vnpy/api/sec/test/td_test.py | 376 +++++++++--------- 7 files changed, 247 insertions(+), 238 deletions(-) diff --git a/vnpy/api/sec/__init__.py b/vnpy/api/sec/__init__.py index 58843bbd..98f521e9 100644 --- a/vnpy/api/sec/__init__.py +++ b/vnpy/api/sec/__init__.py @@ -1,5 +1,6 @@ # encoding: UTF-8 -from vnsecmd import MdApi -from vnsectd import TdApi -import sec_data_type as DATA_TYPE \ No newline at end of file +from __future__ import absolute_import +from .vnsecmd import MdApi +from .vnsectd import TdApi +from . import sec_data_type as DATA_TYPE \ No newline at end of file diff --git a/vnpy/api/sec/pyscript/generate_data_type.py b/vnpy/api/sec/pyscript/generate_data_type.py index 9be99c04..1d4ffc4c 100644 --- a/vnpy/api/sec/pyscript/generate_data_type.py +++ b/vnpy/api/sec/pyscript/generate_data_type.py @@ -2,6 +2,7 @@ # C++和Python类型映射 +from __future__ import print_function type_map = { 'int': 'int', 'long': 'long', @@ -97,7 +98,7 @@ def main(cpp_filename, py_filename): cpp_f.close() py_f.close() - print u'data_type处理完成' + print(u'data_type处理完成') if __name__ == '__main__': diff --git a/vnpy/api/sec/pyscript/generate_md_functions.py b/vnpy/api/sec/pyscript/generate_md_functions.py index b11f90d7..87d778ad 100644 --- a/vnpy/api/sec/pyscript/generate_md_functions.py +++ b/vnpy/api/sec/pyscript/generate_md_functions.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function from generate_data_type import pre_process import sec_struct @@ -69,7 +70,7 @@ def process_function(cpp_line): args_type_list.append(l[0]) args_name_list.append(l[1]) - print args_type_list + print(args_type_list) if args_type_list and args_type_list[0] in STRUCT_DICT: create_function(fc_name, args_type_list, args_name_list) @@ -298,4 +299,4 @@ header_process_f.close() header_on_f.close() header_function_f.close() -print API_NAME + u'处理完成' \ No newline at end of file +print(API_NAME + u'处理完成') \ No newline at end of file diff --git a/vnpy/api/sec/pyscript/generate_struct.py b/vnpy/api/sec/pyscript/generate_struct.py index 9048ccb8..8bee3e6a 100644 --- a/vnpy/api/sec/pyscript/generate_struct.py +++ b/vnpy/api/sec/pyscript/generate_struct.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function from generate_data_type import pre_process import sec_data_type @@ -62,7 +63,7 @@ def main(cpp_filename, py_filename): cpp_f.close() py_f.close() - print u'struct处理完成' + print(u'struct处理完成') if __name__ == '__main__': diff --git a/vnpy/api/sec/pyscript/generate_td_functions.py b/vnpy/api/sec/pyscript/generate_td_functions.py index 1a574fdb..c3bc68dd 100644 --- a/vnpy/api/sec/pyscript/generate_td_functions.py +++ b/vnpy/api/sec/pyscript/generate_td_functions.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function from generate_data_type import pre_process import sec_struct @@ -69,7 +70,7 @@ def process_function(cpp_line): args_type_list.append(l[0]) args_name_list.append(l[1]) - print args_type_list + print(args_type_list) if args_type_list and args_type_list[0] in STRUCT_DICT: create_function(fc_name, args_type_list, args_name_list) @@ -298,4 +299,4 @@ header_process_f.close() header_on_f.close() header_function_f.close() -print API_NAME + u'处理完成' \ No newline at end of file +print(API_NAME + u'处理完成') \ No newline at end of file diff --git a/vnpy/api/sec/test/md_test.py b/vnpy/api/sec/test/md_test.py index cd2ab5a4..c304e392 100644 --- a/vnpy/api/sec/test/md_test.py +++ b/vnpy/api/sec/test/md_test.py @@ -1,7 +1,9 @@ # encoding: UTF-8 +from __future__ import print_function import sys +from six.moves import input from vnsecmd import MdApi @@ -9,7 +11,7 @@ from vnsecmd import MdApi def print_dict(d): """输出字典""" for k, v in d.items(): - print '%s:%s' %(k, v) + print('%s:%s' %(k, v)) ######################################################################## @@ -24,119 +26,119 @@ class TestMdApi(MdApi): #---------------------------------------------------------------------- def onFrontConnected(self): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onFrontDisconnected(self, reason): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRtnNotice(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspError(self, error): """""" - print sys._getframe().f_code.co_name - print locals() - print dict(error) + print(sys._getframe().f_code.co_name) + print(locals()) + print(dict(error)) #---------------------------------------------------------------------- def onRspStockUserLogin(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockUserLogout(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPUserLogin(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) print_dict(data) print_dict(error) #---------------------------------------------------------------------- def onRspSOPUserLogout(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLUserLogin(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLUserLogout(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockSubMarketData(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockUnSubMarketData(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPSubMarketData(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPUnSubMarketData(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onStockMarketData(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onSOPMarketData(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockAvailableQuot(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSopAvailableQuot(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspUserMDPasswordUpdate(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) if __name__ == '__main__': @@ -157,5 +159,5 @@ if __name__ == '__main__': } api.reqSOPUserLogin(req) - - raw_input() \ No newline at end of file + + input() diff --git a/vnpy/api/sec/test/td_test.py b/vnpy/api/sec/test/td_test.py index 742845ce..b12474b3 100644 --- a/vnpy/api/sec/test/td_test.py +++ b/vnpy/api/sec/test/td_test.py @@ -1,7 +1,9 @@ # encoding: UTF-8 +from __future__ import print_function import sys +from six.moves import input from vnsectd import TdApi @@ -9,7 +11,7 @@ from vnsectd import TdApi def print_dict(d): """输出字典""" for k, v in d.items(): - print '%s:%s' %(k, v) + print('%s:%s' %(k, v)) ######################################################################## @@ -24,556 +26,556 @@ class TestTdApi(TdApi): #---------------------------------------------------------------------- def onFrontConnected(self, ): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onFrontDisconnected(self, reason): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRtnNotice(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspError(self, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockUserLogin(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockUserLogout(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockUserPasswordUpdate(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockEntrustOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockWithdrawOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryEntrustOrder(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryRealTimeTrade(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQrySerialTrade(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryPosition(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryCapitalAccountInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryAccountInfo(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryShareholderInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockTransferFunds(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockEntrustBatchOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockWithdrawBatchOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockCalcAbleEntrustQty(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockCalcAblePurchaseETFQty(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryFreezeFundsDetail(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryFreezeStockDetail(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryTransferStockDetail(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryTransferFundsDetail(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryStockInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryStockStaticInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspStockQryTradeTime(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onStockEntrustOrderRtn(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onStockTradeRtn(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onStockWithdrawOrderRtn(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPUserLogin(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) print_dict(data) print_dict(error) #---------------------------------------------------------------------- def onRspSOPUserLogout(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPUserPasswordUpdate(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPEntrustOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPGroupSplit(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryGroupPosition(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPLockOUnLockStock(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPWithdrawOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryEntrustOrder(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQrySerialTrade(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryPosition(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryCollateralPosition(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryCapitalAccountInfo(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryAccountInfo(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryShareholderInfo(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPCalcAbleEntrustQty(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryAbleLockStock(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryContactInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPExectueOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryExecAssiInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryTradeTime(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryExchangeInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryCommission(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryDeposit(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspSOPQryContractObjectInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onSOPEntrustOrderRtn(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onSOPTradeRtn(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onSOPWithdrawOrderRtn(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLUserLogin(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLUserLogout(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryAbleFinInfo(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryAbleSloInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLTransferCollateral(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLDirectRepayment(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLRepayStockTransfer(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLEntrustCrdtOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLEntrustOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLCalcAbleEntrustCrdtQty(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryCrdtFunds(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryCrdtContract(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryCrdtConChangeInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLTransferFunds(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryAccountInfo(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryCapitalAccountInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryShareholderInfo(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryPosition(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryEntrustOrder(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQrySerialTrade(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryRealTimeTrade(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryFreezeFundsDetail(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryFreezeStockDetail(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryTransferFundsDetail(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLWithdrawOrder(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQrySystemTime(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryTransferredContract(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLDesirableFundsOut(self, data, error): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryGuaranteedContract(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onRspFASLQryUnderlyingContract(self, data, error, flag): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onFASLEntrustOrderRtn(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onFASLTradeRtn(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def onFASLWithdrawOrderRtn(self, data): """""" - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) @@ -595,5 +597,5 @@ if __name__ == '__main__': } api.reqSOPUserLogin(req) - - raw_input() \ No newline at end of file + + input() From 7a4432e02eb40a986f50b6456d512cba7513f4ee Mon Sep 17 00:00:00 2001 From: cclauss Date: Thu, 17 May 2018 08:33:04 +0200 Subject: [PATCH 008/135] Modernize vnpy/api/h* and vnpy/api/i* --- vnpy/api/huobi/__init__.py | 3 +- vnpy/api/huobi/testmd.py | 3 +- vnpy/api/huobi/testtd.py | 12 +- vnpy/api/huobi/vnhuobi.py | 37 +++--- vnpy/api/ib/__init__.py | 3 +- vnpy/api/ib/test/test.py | 237 +++++++++++++++++++------------------ 6 files changed, 152 insertions(+), 143 deletions(-) diff --git a/vnpy/api/huobi/__init__.py b/vnpy/api/huobi/__init__.py index 66fc387d..4f930268 100644 --- a/vnpy/api/huobi/__init__.py +++ b/vnpy/api/huobi/__init__.py @@ -1,3 +1,4 @@ # encoding: UTF-8 -from vnhuobi import TradeApi, DataApi \ No newline at end of file +from __future__ import absolute_import +from .vnhuobi import TradeApi, DataApi \ No newline at end of file diff --git a/vnpy/api/huobi/testmd.py b/vnpy/api/huobi/testmd.py index 89b320fc..ec44543a 100644 --- a/vnpy/api/huobi/testmd.py +++ b/vnpy/api/huobi/testmd.py @@ -5,7 +5,8 @@ #import zlib #import time -from vnhuobi import DataApi +from __future__ import absolute_import +from .vnhuobi import DataApi #if __name__ == '__main__': #while(1): diff --git a/vnpy/api/huobi/testtd.py b/vnpy/api/huobi/testtd.py index b3b1f8cd..8ce61ce1 100644 --- a/vnpy/api/huobi/testtd.py +++ b/vnpy/api/huobi/testtd.py @@ -1,6 +1,8 @@ # encoding: utf-8 -from vnhuobi import * +from __future__ import print_function +from __future__ import absolute_import +from .vnhuobi import * #---------------------------------------------------------------------- def testTrade(): @@ -15,9 +17,9 @@ def testTrade(): api.start() # 查询 - print api.getSymbols() - print api.getCurrencys() - print api.getTimestamp() + print(api.getSymbols()) + print(api.getCurrencys()) + print(api.getTimestamp()) #accountid = '' @@ -27,7 +29,7 @@ def testTrade(): #api.getAccountBalance(accountid) #api.getOrders(symbol, 'pre-submitted,submitted,partial-filled,partial-canceled,filled,canceled') #api.getOrders(symbol, 'filled') - print api.getMatchResults(symbol) + print(api.getMatchResults(symbol)) #api.getOrder('2440401255') #api.getMatchResult('2440401255') diff --git a/vnpy/api/huobi/vnhuobi.py b/vnpy/api/huobi/vnhuobi.py index 0f5f8a5a..ca9db9a3 100644 --- a/vnpy/api/huobi/vnhuobi.py +++ b/vnpy/api/huobi/vnhuobi.py @@ -1,5 +1,6 @@ # encoding: utf-8 +from __future__ import print_function import urllib import hmac import base64 @@ -419,71 +420,71 @@ class TradeApi(object): #---------------------------------------------------------------------- def onError(self, msg, reqid): """错误回调""" - print msg, reqid + print(msg, reqid) #---------------------------------------------------------------------- def onGetSymbols(self, data, reqid): """查询代码回调""" #print reqid, data for d in data: - print d + print(d) #---------------------------------------------------------------------- def onGetCurrencys(self, data, reqid): """查询货币回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onGetTimestamp(self, data, reqid): """查询时间回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onGetAccounts(self, data, reqid): """查询账户回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onGetAccountBalance(self, data, reqid): """查询余额回调""" - print reqid, data + print(reqid, data) for d in data['data']['list']: - print d + print(d) #---------------------------------------------------------------------- def onGetOrders(self, data, reqid): """查询委托回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onGetMatchResults(self, data, reqid): """查询成交回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onGetOrder(self, data, reqid): """查询单一委托回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onGetMatchResult(self, data, reqid): """查询单一成交回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onPlaceOrder(self, data, reqid): """委托回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onCancelOrder(self, data, reqid): """撤单回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onBatchCancel(self, data, reqid): """批量撤单回调""" - print reqid, data + print(reqid, data) ######################################################################## @@ -644,7 +645,7 @@ class DataApi(object): #---------------------------------------------------------------------- def onError(self, msg): """错误推送""" - print msg + print(msg) #---------------------------------------------------------------------- def onData(self, data): @@ -664,14 +665,14 @@ class DataApi(object): #---------------------------------------------------------------------- def onMarketDepth(self, data): """行情深度推送 """ - print data + print(data) #---------------------------------------------------------------------- def onTradeDetail(self, data): """成交细节推送""" - print data + print(data) #---------------------------------------------------------------------- def onMarketDetail(self, data): """市场细节推送""" - print data \ No newline at end of file + print(data) \ No newline at end of file diff --git a/vnpy/api/ib/__init__.py b/vnpy/api/ib/__init__.py index 37b3bd13..75445132 100644 --- a/vnpy/api/ib/__init__.py +++ b/vnpy/api/ib/__init__.py @@ -1,3 +1,4 @@ # encoding: UTF-8 -from vnib import * \ No newline at end of file +from __future__ import absolute_import +from .vnib import * \ No newline at end of file diff --git a/vnpy/api/ib/test/test.py b/vnpy/api/ib/test/test.py index 6f4ab062..acb39a12 100644 --- a/vnpy/api/ib/test/test.py +++ b/vnpy/api/ib/test/test.py @@ -1,15 +1,18 @@ # encoding: UTF-8 +from __future__ import print_function import sys from time import sleep +from six.moves import input + from vnib import IbApi ######################################################################## class TestApi(IbApi): - print sys._getframe().f_code.co_name + print(sys._getframe().f_code.co_name) #---------------------------------------------------------------------- def __init__(self): @@ -18,283 +21,283 @@ class TestApi(IbApi): #---------------------------------------------------------------------- def nextValidId(self, orderId): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def currentTime(self, time): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def connectAck(self): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def error(self, id_, errorCode, errorString): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def accountSummary(self, reqId, account, tag, value, curency): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def accountSummaryEnd(self, reqId): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def tickPrice(self, tickerId, field, price, canAutoExecute): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def tickSize(self, tickerId, field, size): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def tickOptionComputation(self, tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def tickGeneric(self, tickerId, tickType, value): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def tickString(self, tickerId, tickType, value): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureLastTradeDate, dividendImpact, dividendsToLastTradeDate): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def orderStatus(self, orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def openOrder(self, orderId, contract, order, orderState): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def openOrderEnd(self): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def winError(self, str_, lastError): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def connectionClosed(self): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def updateAccountValue(self, key, val, currency, accountName): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def updateAccountTime(self, timeStamp): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def accountDownloadEnd(self, accountName): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def contractDetails(self, reqId, contractDetails): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def bondContractDetails(self, reqId, contractDetails): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def contractDetailsEnd(self, reqId): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def execDetails(self, reqId, contract, execution): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def execDetailsEnd(self, reqId): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def updateMktDepth(self, id_, position, operation, side, price, size): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def updateMktDepthL2(self, id_, position, marketMaker, operation, side, price, size): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def updateNewsBulletin(self, msgId, msgType, newsMessage, originExch): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def managedAccounts(self, accountsList): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def receiveFA(self, pFaDataType, cxml): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def historicalData(self, reqId, date, open_, high, low, close, volume, barCount, WAP, hasGaps): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def scannerParameters(self, xml): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def scannerData(self, reqId, rank, contractDetails, distance, benchmark, projection, legsStr): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def scannerDataEnd(self, reqId): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def realtimeBar(self, reqId, time, open_, high, low, close, volume, wap, count): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def fundamentalData(self, reqId, data): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def deltaNeutralValidation(self, reqId, underComp): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def tickSnapshotEnd(self, reqId): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def marketDataType(self, reqId, marketDataType): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def commissionReport(self, commissionReport): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def position(self, account, contract, position, avgCost): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def positionEnd(self): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def verifyMessageAPI(self, apiData): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def verifyCompleted(self, isSuccessful, errorText): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def displayGroupList(self, reqId, groups): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def displayGroupUpdated(self, reqId, contractInfo): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def verifyAndAuthMessageAPI(self, apiData, xyzChallange): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def verifyAndAuthCompleted(self, isSuccessful, errorText): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def positionMulti(self, reqId, account, modelCode, contract, pos, avgCost): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def positionMultiEnd(self, reqId): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def accountUpdateMulti(self, reqId, account, modelCode, key, value, currency): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def accountUpdateMultiEnd(self, reqId): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def securityDefinitionOptionalParameter(self, reqId, exchange, underlyingConId, tradingClass, multiplier, expirations, strikes): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def securityDefinitionOptionalParameterEnd(self, reqId): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) #---------------------------------------------------------------------- def softDollarTiers(self, reqId, tiers): - print sys._getframe().f_code.co_name - print locals() + print(sys._getframe().f_code.co_name) + print(locals()) @@ -302,14 +305,14 @@ if __name__ == '__main__': api = TestApi() n = api.eConnect('127.0.0.1', 7497, 123, False) - print n + print(n) #t = api.TwsConnectionTime() #print t # sleep(1) - print 'req time' + print('req time') api.reqCurrentTime() # @@ -319,6 +322,6 @@ if __name__ == '__main__': #print 'disconnect' #api.eDisconnect() - raw_input() + input() + - \ No newline at end of file From 7a13aec4ecec431b7a86f6fe3a9e90d147912e91 Mon Sep 17 00:00:00 2001 From: cclauss Date: Mon, 14 May 2018 15:47:19 +0200 Subject: [PATCH 009/135] Modernize vnpy/trader/app --- vnpy/trader/app/ctaStrategy/ctaBacktesting.py | 7 ++-- vnpy/trader/app/ctaStrategy/ctaHistoryData.py | 39 ++++++++++--------- .../app/ctaStrategy/language/__init__.py | 3 +- .../app/ctaStrategy/strategy/__init__.py | 1 + vnpy/trader/app/dataRecorder/__init__.py | 5 ++- .../app/dataRecorder/language/__init__.py | 5 ++- vnpy/trader/app/jaqsService/__init__.py | 5 ++- vnpy/trader/app/jaqsService/jrpc_server.py | 23 +++++------ vnpy/trader/app/jaqsService/jsEngine.py | 3 +- vnpy/trader/app/jaqsService/service.py | 10 +++-- vnpy/trader/app/optionMaster/omDate.py | 10 +++-- .../app/optionMaster/strategy/__init__.py | 1 + .../app/optionMaster/uiOmManualTrader.py | 3 +- vnpy/trader/app/optionMaster/uiOmWidget.py | 4 +- vnpy/trader/app/riskManager/__init__.py | 3 +- .../app/riskManager/language/__init__.py | 3 +- vnpy/trader/app/spreadTrading/uiStWidget.py | 6 ++- 17 files changed, 76 insertions(+), 55 deletions(-) diff --git a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py index c0bb5c6d..8adffc5d 100644 --- a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py +++ b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py @@ -5,6 +5,7 @@ 可以使用和实盘相同的代码进行回测。 ''' from __future__ import division +from __future__ import print_function from datetime import datetime, timedelta from collections import OrderedDict @@ -112,7 +113,7 @@ class BacktestingEngine(object): #---------------------------------------------------------------------- def output(self, content): """输出内容""" - print str(datetime.now()) + "\t" + content + print(str(datetime.now()) + "\t" + content) #------------------------------------------------ # 参数设置相关 @@ -1213,11 +1214,11 @@ class OptimizationSetting(object): return if end < start: - print u'参数起始点必须不大于终止点' + print(u'参数起始点必须不大于终止点') return if step <= 0: - print u'参数布进必须大于0' + print(u'参数布进必须大于0') return l = [] diff --git a/vnpy/trader/app/ctaStrategy/ctaHistoryData.py b/vnpy/trader/app/ctaStrategy/ctaHistoryData.py index aa49d82e..362a66e2 100644 --- a/vnpy/trader/app/ctaStrategy/ctaHistoryData.py +++ b/vnpy/trader/app/ctaStrategy/ctaHistoryData.py @@ -7,6 +7,7 @@ 3. 将交易开拓者导出的历史数据载入到MongoDB中的函数 4. 将OKEX下载的历史数据载入到MongoDB中的函数 """ +from __future__ import print_function import csv from datetime import datetime, timedelta @@ -26,7 +27,7 @@ def downloadEquityDailyBarts(self, symbol): """ 下载股票的日行情，symbol是股票代码 """ - print u'开始下载%s日行情' %symbol + print(u'开始下载%s日行情' %symbol) # 查询数据库中已有数据的最后日期 cl = self.dbClient[DAILY_DB_NAME][symbol] @@ -62,20 +63,20 @@ def downloadEquityDailyBarts(self, symbol): bar.datetime = datetime.strptime(bar.date, '%Y%m%d') bar.volume = d.get('volume') except KeyError: - print d + print(d) flt = {'datetime': bar.datetime} self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True) - print u'%s下载完成' %symbol + print(u'%s下载完成' %symbol) else: - print u'找不到合约%s' %symbol + print(u'找不到合约%s' %symbol) #---------------------------------------------------------------------- def loadMcCsv(fileName, dbName, symbol): """将Multicharts导出的csv格式的历史数据插入到Mongo数据库中""" start = time() - print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) + print(u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)) # 锁定集合，并创建索引 client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort']) @@ -99,15 +100,15 @@ def loadMcCsv(fileName, dbName, symbol): flt = {'datetime': bar.datetime} collection.update_one(flt, {'$set':bar.__dict__}, upsert=True) - print bar.date, bar.time + print(bar.date, bar.time) - print u'插入完毕，耗时：%s' % (time()-start) + print(u'插入完毕，耗时：%s' % (time()-start)) #---------------------------------------------------------------------- def loadTbCsv(fileName, dbName, symbol): """将TradeBlazer导出的csv格式的历史分钟数据插入到Mongo数据库中""" start = time() - print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) + print(u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)) # 锁定集合，并创建索引 client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort']) @@ -132,15 +133,15 @@ def loadTbCsv(fileName, dbName, symbol): flt = {'datetime': bar.datetime} collection.update_one(flt, {'$set':bar.__dict__}, upsert=True) - print bar.date, bar.time + print(bar.date, bar.time) - print u'插入完毕，耗时：%s' % (time()-start) + print(u'插入完毕，耗时：%s' % (time()-start)) #---------------------------------------------------------------------- def loadTbPlusCsv(fileName, dbName, symbol): """将TB极速版导出的csv格式的历史分钟数据插入到Mongo数据库中""" start = time() - print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) + print(u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)) # 锁定集合，并创建索引 client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort']) @@ -167,9 +168,9 @@ def loadTbPlusCsv(fileName, dbName, symbol): bar.openInterest = d[7] flt = {'datetime': bar.datetime} collection.update_one(flt, {'$set':bar.__dict__}, upsert=True) - print bar.date, bar.time + print(bar.date, bar.time) - print u'插入完毕，耗时：%s' % (time()-start) + print(u'插入完毕，耗时：%s' % (time()-start)) #---------------------------------------------------------------------- """ @@ -186,7 +187,7 @@ def loadTdxCsv(fileName, dbName, symbol): """将通达信导出的csv格式的历史分钟数据插入到Mongo数据库中""" start = time() date_correct = "" - print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) + print(u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)) # 锁定集合，并创建索引 client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort']) @@ -218,7 +219,7 @@ def loadTdxCsv(fileName, dbName, symbol): flt = {'datetime': bar.datetime} collection.update_one(flt, {'$set':bar.__dict__}, upsert=True) - print u'插入完毕，耗时：%s' % (time()-start) + print(u'插入完毕，耗时：%s' % (time()-start)) #---------------------------------------------------------------------- """ @@ -231,7 +232,7 @@ def loadTdxLc1(fileName, dbName, symbol): """将通达信导出的lc1格式的历史分钟数据插入到Mongo数据库中""" start = time() - print u'开始读取通达信Lc1文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) + print(u'开始读取通达信Lc1文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)) # 锁定集合，并创建索引 client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort']) @@ -267,13 +268,13 @@ def loadTdxLc1(fileName, dbName, symbol): flt = {'datetime': bar.datetime} collection.update_one(flt, {'$set':bar.__dict__}, upsert=True) - print u'插入完毕，耗时：%s' % (time()-start) + print(u'插入完毕，耗时：%s' % (time()-start)) #---------------------------------------------------------------------- def loadOKEXCsv(fileName, dbName, symbol): """将OKEX导出的csv格式的历史分钟数据插入到Mongo数据库中""" start = time() - print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol) + print(u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)) # 锁定集合，并创建索引 client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort']) @@ -304,5 +305,5 @@ def loadOKEXCsv(fileName, dbName, symbol): collection.update_one(flt, {'$set':bar.__dict__}, upsert=True) print('%s \t %s' % (bar.date, bar.time)) - print u'插入完毕，耗时：%s' % (time()-start) + print(u'插入完毕，耗时：%s' % (time()-start)) diff --git a/vnpy/trader/app/ctaStrategy/language/__init__.py b/vnpy/trader/app/ctaStrategy/language/__init__.py index f5c4ca18..e402c4f5 100644 --- a/vnpy/trader/app/ctaStrategy/language/__init__.py +++ b/vnpy/trader/app/ctaStrategy/language/__init__.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import absolute_import import json import os import traceback @@ -10,4 +11,4 @@ from .chinese import text # 是否要使用英文 from vnpy.trader.vtGlobal import globalSetting if globalSetting['language'] == 'english': - from english import text + from .english import text diff --git a/vnpy/trader/app/ctaStrategy/strategy/__init__.py b/vnpy/trader/app/ctaStrategy/strategy/__init__.py index 7a14afa9..5b10bc02 100644 --- a/vnpy/trader/app/ctaStrategy/strategy/__init__.py +++ b/vnpy/trader/app/ctaStrategy/strategy/__init__.py @@ -3,6 +3,7 @@ ''' 动态载入所有的策略类 ''' +from __future__ import print_function import os import importlib diff --git a/vnpy/trader/app/dataRecorder/__init__.py b/vnpy/trader/app/dataRecorder/__init__.py index 84020dfe..8d3ddf78 100644 --- a/vnpy/trader/app/dataRecorder/__init__.py +++ b/vnpy/trader/app/dataRecorder/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 -from drEngine import DrEngine -from uiDrWidget import DrEngineManager +from __future__ import absolute_import +from .drEngine import DrEngine +from .uiDrWidget import DrEngineManager appName = 'DataRecorder' appDisplayName = u'行情记录' diff --git a/vnpy/trader/app/dataRecorder/language/__init__.py b/vnpy/trader/app/dataRecorder/language/__init__.py index ecf72358..09d8fba7 100644 --- a/vnpy/trader/app/dataRecorder/language/__init__.py +++ b/vnpy/trader/app/dataRecorder/language/__init__.py @@ -1,13 +1,14 @@ # encoding: UTF-8 +from __future__ import absolute_import import json import os import traceback # 默认设置 -from chinese import text +from .chinese import text # 是否要使用英文 from vnpy.trader.vtGlobal import globalSetting if globalSetting['language'] == 'english': - from english import text \ No newline at end of file + from .english import text \ No newline at end of file diff --git a/vnpy/trader/app/jaqsService/__init__.py b/vnpy/trader/app/jaqsService/__init__.py index f0bf3d26..4f7abcdd 100644 --- a/vnpy/trader/app/jaqsService/__init__.py +++ b/vnpy/trader/app/jaqsService/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 -from jsEngine import JsEngine -from uiJsWidget import JsEngineManager +from __future__ import absolute_import +from .jsEngine import JsEngine +from .uiJsWidget import JsEngineManager appName = 'JaqsService' appDisplayName = u'Jaqs服务' diff --git a/vnpy/trader/app/jaqsService/jrpc_server.py b/vnpy/trader/app/jaqsService/jrpc_server.py index d49037c1..a80edda3 100644 --- a/vnpy/trader/app/jaqsService/jrpc_server.py +++ b/vnpy/trader/app/jaqsService/jrpc_server.py @@ -1,3 +1,4 @@ +from __future__ import print_function import zmq import Queue import threading @@ -108,11 +109,11 @@ class JRpcServer : #client_addr_map[client_id] = identity self._on_data_arrived(identity, data) - except zmq.error.Again, e: + except zmq.error.Again as e: #print "RECV timeout: ", e pass - except Exception, e: - print("_recv_run:", e) + except Exception as e: + print(("_recv_run:", e)) def _callback_run(self): while not self._should_close: @@ -120,12 +121,12 @@ class JRpcServer : r = self._callback_queue.get(timeout = 1) if r : r() - except Queue.Empty, e: + except Queue.Empty as e: pass - except Exception, e: + except Exception as e: traceback.print_exc(e) - print "_callback_run", type(e), e + print("_callback_run", type(e), e) def _async_call(self, func): self._callback_queue.put( func ) @@ -164,12 +165,12 @@ class JRpcServer : #print "RECV", msg if not msg: - print "wrong message format" + print("wrong message format") return - method = msg['method'] if msg.has_key('method') else None + method = msg['method'] if 'method' in msg else None - call_id = msg['id'] if msg.has_key('id') and msg['id'] else None + call_id = msg['id'] if 'id' in msg and msg['id'] else None if call_id and method: if method == ".sys.heartbeat": @@ -183,8 +184,8 @@ class JRpcServer : if self.on_call : self._async_call( lambda : self.on_call(identity, msg)) - except Exception, e: - print( "_on_data_arrived:", e) + except Exception as e: + print(( "_on_data_arrived:", e)) pass diff --git a/vnpy/trader/app/jaqsService/jsEngine.py b/vnpy/trader/app/jaqsService/jsEngine.py index 8a072b57..15c6265c 100644 --- a/vnpy/trader/app/jaqsService/jsEngine.py +++ b/vnpy/trader/app/jaqsService/jsEngine.py @@ -1,9 +1,10 @@ # encoding: UTF-8 +from __future__ import absolute_import import json from collections import defaultdict -import jrpc_server +from . import jrpc_server from vnpy.event import Event from vnpy.trader.vtFunction import getJsonPath diff --git a/vnpy/trader/app/jaqsService/service.py b/vnpy/trader/app/jaqsService/service.py index 39bf6485..38cbae97 100644 --- a/vnpy/trader/app/jaqsService/service.py +++ b/vnpy/trader/app/jaqsService/service.py @@ -1,6 +1,8 @@ # -*- coding: utf-8 -*- -import jrpc_server +from __future__ import print_function +from __future__ import absolute_import +from . import jrpc_server import time import pandas as pd from qdata.database import DatabaseConn @@ -15,7 +17,7 @@ db = None def on_call(client_id, req): if req['method'] != '.sys.heartbeat': - print "on_call", req + print("on_call", req) if req['method'] == 'auth.login': server.send_rsp(client_id, req, result = { "username" : "fixme", "name": "fixme" }) @@ -25,7 +27,7 @@ def on_call(client_id, req): server.send_rsp(client_id, req, error=[-1, "unknown method"]) return - if not req.has_key('params'): + if 'params' not in req: server.send_rsp(client_id, req, error=[-1, "missing params"]) return @@ -55,7 +57,7 @@ def run(): server = jrpc_server.JRpcServer() server.on_call = on_call addr = "tcp://%s:%s"%(st.HOST, st.PORT) - print "listen at " + addr + print("listen at " + addr) server.listen(addr) while True: diff --git a/vnpy/trader/app/optionMaster/omDate.py b/vnpy/trader/app/optionMaster/omDate.py index 1211c166..795f3068 100644 --- a/vnpy/trader/app/optionMaster/omDate.py +++ b/vnpy/trader/app/optionMaster/omDate.py @@ -159,9 +159,11 @@ class CalendarManager(QtWidgets.QWidget): #---------------------------------------------------------------------- def runCalendarEditor(): """运行日历编辑器""" - reload(sys) - sys.setdefaultencoding('utf8') - + try: # Python 2 + reload(sys) + sys.setdefaultencoding('utf8') + except NameError: # Python 3 + pass app = QtWidgets.QApplication(sys.argv) app.setFont(QtGui.QFont(u'微软雅黑', 12)) @@ -249,4 +251,4 @@ def getTimeToMaturity(expiryDate): if __name__ == '__main__': - runCalendarEditor() \ No newline at end of file + runCalendarEditor() diff --git a/vnpy/trader/app/optionMaster/strategy/__init__.py b/vnpy/trader/app/optionMaster/strategy/__init__.py index 5e349490..0035381d 100644 --- a/vnpy/trader/app/optionMaster/strategy/__init__.py +++ b/vnpy/trader/app/optionMaster/strategy/__init__.py @@ -3,6 +3,7 @@ ''' 动态载入所有的策略类 ''' +from __future__ import print_function import os import importlib diff --git a/vnpy/trader/app/optionMaster/uiOmManualTrader.py b/vnpy/trader/app/optionMaster/uiOmManualTrader.py index 1652be06..d29743f9 100644 --- a/vnpy/trader/app/optionMaster/uiOmManualTrader.py +++ b/vnpy/trader/app/optionMaster/uiOmManualTrader.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.event import Event from vnpy.trader.vtConstant import DIRECTION_LONG, DIRECTION_SHORT, OFFSET_OPEN, OFFSET_CLOSE, PRICETYPE_LIMITPRICE @@ -7,7 +8,7 @@ from vnpy.trader.vtObject import VtOrderReq from vnpy.trader.vtEvent import EVENT_TICK, EVENT_TRADE from vnpy.trader.uiBasicWidget import WorkingOrderMonitor, PositionMonitor -from uiOmBase import * +from .uiOmBase import * diff --git a/vnpy/trader/app/optionMaster/uiOmWidget.py b/vnpy/trader/app/optionMaster/uiOmWidget.py index ea770808..956a6372 100644 --- a/vnpy/trader/app/optionMaster/uiOmWidget.py +++ b/vnpy/trader/app/optionMaster/uiOmWidget.py @@ -5,6 +5,8 @@ from __future__ import division import os from datetime import datetime +from six import text_type + from vnpy.event import Event from .omBase import EVENT_OM_LOG @@ -113,7 +115,7 @@ class OmManager(QtWidgets.QWidget): def initOmEngine(self): """初始化引擎""" path = os.getcwd() - fileName = unicode(self.comboSettingFile.currentText()) + fileName = text_type(self.comboSettingFile.currentText()) fileName = os.path.join(path, fileName) result = self.omEngine.initEngine(fileName) diff --git a/vnpy/trader/app/riskManager/__init__.py b/vnpy/trader/app/riskManager/__init__.py index 04e66bc5..daa917c0 100644 --- a/vnpy/trader/app/riskManager/__init__.py +++ b/vnpy/trader/app/riskManager/__init__.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import absolute_import from .rmEngine import RmEngine from .uiRmWidget import RmEngineManager @@ -7,4 +8,4 @@ appName = 'RiskManager' appDisplayName = u'风险管理' appEngine = RmEngine appWidget = RmEngineManager -appIco = 'rm.ico' \ No newline at end of file +appIco = 'rm.ico' diff --git a/vnpy/trader/app/riskManager/language/__init__.py b/vnpy/trader/app/riskManager/language/__init__.py index f5c4ca18..e402c4f5 100644 --- a/vnpy/trader/app/riskManager/language/__init__.py +++ b/vnpy/trader/app/riskManager/language/__init__.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import absolute_import import json import os import traceback @@ -10,4 +11,4 @@ from .chinese import text # 是否要使用英文 from vnpy.trader.vtGlobal import globalSetting if globalSetting['language'] == 'english': - from english import text + from .english import text diff --git a/vnpy/trader/app/spreadTrading/uiStWidget.py b/vnpy/trader/app/spreadTrading/uiStWidget.py index 7f505c8b..76b932fd 100644 --- a/vnpy/trader/app/spreadTrading/uiStWidget.py +++ b/vnpy/trader/app/spreadTrading/uiStWidget.py @@ -2,6 +2,8 @@ from collections import OrderedDict +from six import text_type + from vnpy.event import Event from vnpy.trader.uiQt import QtWidgets, QtCore from vnpy.trader.uiBasicWidget import (BasicMonitor, BasicCell, PnlCell, @@ -338,7 +340,7 @@ class StModeComboBox(QtWidgets.QComboBox): #---------------------------------------------------------------------- def setMode(self): """设置模式""" - mode = unicode(self.currentText()) + mode = text_type(self.currentText()) self.algoEngine.setAlgoMode(self.spreadName, mode) #---------------------------------------------------------------------- @@ -582,4 +584,4 @@ class StManager(QtWidgets.QWidget): - \ No newline at end of file + From 314dece44b8864d4f61b460a516692f83720e703 Mon Sep 17 00:00:00 2001 From: cclauss Date: Mon, 14 May 2018 16:02:15 +0200 Subject: [PATCH 010/135] Modernize vnpy/trader/gateway --- .../trader/gateway/cshshlpGateway/__init__.py | 3 ++- vnpy/trader/gateway/ctpGateway/__init__.py | 3 ++- .../gateway/ctpGateway/language/__init__.py | 5 +++-- vnpy/trader/gateway/femasGateway/__init__.py | 3 ++- .../gateway/femasGateway/femasGateway.py | 5 +++-- vnpy/trader/gateway/futuGateway/__init__.py | 1 + vnpy/trader/gateway/fxcmGateway/__init__.py | 3 ++- .../trader/gateway/fxcmGateway/fxcmGateway.py | 9 ++++---- vnpy/trader/gateway/huobiGateway/__init__.py | 3 ++- .../gateway/huobiGateway/huobiGateway.py | 21 ++++++++----------- vnpy/trader/gateway/ibGateway/__init__.py | 3 ++- vnpy/trader/gateway/ibGateway/ibGateway.py | 5 +++-- .../gateway/ibGateway/language/__init__.py | 12 +++++------ vnpy/trader/gateway/ksgoldGateway/__init__.py | 3 ++- vnpy/trader/gateway/ksotpGateway/__init__.py | 3 ++- vnpy/trader/gateway/lbankGateway/__init__.py | 3 ++- .../gateway/lbankGateway/lbankGateway.py | 5 +++-- vnpy/trader/gateway/ltsGateway/__init__.py | 3 ++- vnpy/trader/gateway/ltsGateway/ltsGateway.py | 3 ++- vnpy/trader/gateway/oandaGateway/__init__.py | 3 ++- vnpy/trader/gateway/qdpGateway/__init__.py | 3 ++- vnpy/trader/gateway/secGateway/__init__.py | 3 ++- vnpy/trader/gateway/secGateway/secGateway.py | 5 +++-- vnpy/trader/gateway/sgitGateway/__init__.py | 3 ++- vnpy/trader/gateway/shzdGateway/__init__.py | 3 ++- .../trader/gateway/shzdGateway/shzdGateway.py | 5 +++-- .../gateway/tkproGateway/tkproGateway.py | 2 +- vnpy/trader/gateway/windGateway/__init__.py | 3 ++- .../trader/gateway/windGateway/windGateway.py | 3 ++- vnpy/trader/gateway/xspeedGateway/__init__.py | 3 ++- vnpy/trader/gateway/xtpGateway/__init__.py | 3 ++- 31 files changed, 80 insertions(+), 55 deletions(-) diff --git a/vnpy/trader/gateway/cshshlpGateway/__init__.py b/vnpy/trader/gateway/cshshlpGateway/__init__.py index ff1cd68e..e340ebe5 100644 --- a/vnpy/trader/gateway/cshshlpGateway/__init__.py +++ b/vnpy/trader/gateway/cshshlpGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from cshshlpGateway import CshshlpGateway +from .cshshlpGateway import CshshlpGateway gatewayClass = CshshlpGateway gatewayName = 'CSHSHLP' diff --git a/vnpy/trader/gateway/ctpGateway/__init__.py b/vnpy/trader/gateway/ctpGateway/__init__.py index 3078d854..8a8d5827 100644 --- a/vnpy/trader/gateway/ctpGateway/__init__.py +++ b/vnpy/trader/gateway/ctpGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from ctpGateway import CtpGateway +from .ctpGateway import CtpGateway gatewayClass = CtpGateway gatewayName = 'CTP' diff --git a/vnpy/trader/gateway/ctpGateway/language/__init__.py b/vnpy/trader/gateway/ctpGateway/language/__init__.py index 2ca0ef80..8f68ed7f 100644 --- a/vnpy/trader/gateway/ctpGateway/language/__init__.py +++ b/vnpy/trader/gateway/ctpGateway/language/__init__.py @@ -1,15 +1,16 @@ # encoding: UTF-8 +from __future__ import absolute_import import json import os import traceback # 默认设置 -from chinese import text +from .chinese import text # 获取全局配置 from vnpy.trader.vtGlobal import globalSetting # 打开配置文件，读取语言配置 if globalSetting['language'] == 'english': - from english import text + from .english import text diff --git a/vnpy/trader/gateway/femasGateway/__init__.py b/vnpy/trader/gateway/femasGateway/__init__.py index 646b363e..e6897beb 100644 --- a/vnpy/trader/gateway/femasGateway/__init__.py +++ b/vnpy/trader/gateway/femasGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from femasGateway import FemasGateway +from .femasGateway import FemasGateway gatewayClass = FemasGateway gatewayName = 'FEMAS' diff --git a/vnpy/trader/gateway/femasGateway/femasGateway.py b/vnpy/trader/gateway/femasGateway/femasGateway.py index c5962a49..88ba3d42 100644 --- a/vnpy/trader/gateway/femasGateway/femasGateway.py +++ b/vnpy/trader/gateway/femasGateway/femasGateway.py @@ -5,6 +5,7 @@ vn.femas的gateway接入 考虑到飞马只对接期货（目前只有中金所）, vtSymbol直接使用symbol ''' +from __future__ import print_function import os @@ -599,10 +600,10 @@ class FemasTdApi(TdApi): # 如果登录成功，推送日志信息 if error['ErrorID'] == 0: for k, v in data.items(): - print k, ':', v + print(k, ':', v) if data['MaxOrderLocalID']: self.localID = int(data['MaxOrderLocalID']) # 目前最大本地报单号 - print 'id now', self.localID + print('id now', self.localID) self.loginStatus = True self.gateway.mdConnected = True diff --git a/vnpy/trader/gateway/futuGateway/__init__.py b/vnpy/trader/gateway/futuGateway/__init__.py index 827c2b6c..3778ebc6 100644 --- a/vnpy/trader/gateway/futuGateway/__init__.py +++ b/vnpy/trader/gateway/futuGateway/__init__.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant from .futuGateway import FutuGateway diff --git a/vnpy/trader/gateway/fxcmGateway/__init__.py b/vnpy/trader/gateway/fxcmGateway/__init__.py index 26e36c12..53254b47 100644 --- a/vnpy/trader/gateway/fxcmGateway/__init__.py +++ b/vnpy/trader/gateway/fxcmGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from fxcmGateway import FxcmGateway +from .fxcmGateway import FxcmGateway gatewayClass = FxcmGateway gatewayName = 'FXCM' diff --git a/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py b/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py index 712b0692..fc5f323f 100644 --- a/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py +++ b/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function import os import json from datetime import datetime @@ -434,22 +435,22 @@ class Api(FxcmApi): #---------------------------------------------------------------------- def onOpenTrade(self, data, reqid): """开仓回调""" - print data, reqid + print(data, reqid) #---------------------------------------------------------------------- def onCloseTrade(self, data, reqid): """平仓回调""" - print data, reqid + print(data, reqid) #---------------------------------------------------------------------- def onChangeOrder(self, data, reqid): """改单回调""" - print data, reqid + print(data, reqid) #---------------------------------------------------------------------- def onDeleteOrder(self, data, reqid): """撤单回调""" - print data, reqid + print(data, reqid) #---------------------------------------------------------------------- def onPriceUpdate(self, data): diff --git a/vnpy/trader/gateway/huobiGateway/__init__.py b/vnpy/trader/gateway/huobiGateway/__init__.py index b6bb6efe..34044316 100644 --- a/vnpy/trader/gateway/huobiGateway/__init__.py +++ b/vnpy/trader/gateway/huobiGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from huobiGateway import HuobiGateway +from .huobiGateway import HuobiGateway gatewayClass = HuobiGateway gatewayName = 'HUOBI' diff --git a/vnpy/trader/gateway/huobiGateway/huobiGateway.py b/vnpy/trader/gateway/huobiGateway/huobiGateway.py index b3fc31d4..b84cf580 100644 --- a/vnpy/trader/gateway/huobiGateway/huobiGateway.py +++ b/vnpy/trader/gateway/huobiGateway/huobiGateway.py @@ -3,8 +3,8 @@ ''' vn.sec的gateway接入 ''' +from __future__ import print_function -import os import json from datetime import datetime, timedelta from copy import copy @@ -12,7 +12,7 @@ from math import pow from vnpy.api.huobi import TradeApi, DataApi from vnpy.trader.vtGateway import * -from vnpy.trader.vtFunction import getJsonPath, getTempPath +from vnpy.trader.vtFunction import getJsonPath # 委托状态类型映射 @@ -29,11 +29,9 @@ statusMapReverse['canceled'] = STATUS_CANCELLED #---------------------------------------------------------------------- def print_dict(d): """""" - print '-' * 30 - l = d.keys() - l.sort() - for k in l: - print '%s:%s' %(k, d[k]) + print('-' * 30) + for key in sorted(d): + print('%s:%s' % (key, d[key])) ######################################################################## @@ -60,7 +58,7 @@ class HuobiGateway(VtGateway): def connect(self): """连接""" try: - f = file(self.filePath) + f = open(self.filePath) except IOError: log = VtLogData() log.gatewayName = self.gatewayName @@ -294,7 +292,7 @@ class HuobiDataApi(DataApi): #---------------------------------------------------------------------- def onTradeDetail(self, data): """成交细节推送""" - print data + print(data) #---------------------------------------------------------------------- def onMarketDetail(self, data): @@ -322,7 +320,6 @@ class HuobiDataApi(DataApi): self.gateway.onTick(tick) - ######################################################################## class HuobiTradeApi(TradeApi): """交易API实现""" @@ -693,7 +690,7 @@ class HuobiTradeApi(TradeApi): #---------------------------------------------------------------------- def onGetMatchResult(self, data, reqid): """查询单一成交回调""" - print reqid, data + print(reqid, data) #---------------------------------------------------------------------- def onPlaceOrder(self, data, reqid): @@ -717,4 +714,4 @@ class HuobiTradeApi(TradeApi): #---------------------------------------------------------------------- def onBatchCancel(self, data, reqid): """批量撤单回调""" - print reqid, data + print(reqid, data) diff --git a/vnpy/trader/gateway/ibGateway/__init__.py b/vnpy/trader/gateway/ibGateway/__init__.py index c7be4fdd..8d6335a4 100644 --- a/vnpy/trader/gateway/ibGateway/__init__.py +++ b/vnpy/trader/gateway/ibGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from ibGateway import IbGateway +from .ibGateway import IbGateway gatewayClass = IbGateway gatewayName = 'IB' diff --git a/vnpy/trader/gateway/ibGateway/ibGateway.py b/vnpy/trader/gateway/ibGateway/ibGateway.py index 9c6c251e..3f70826b 100644 --- a/vnpy/trader/gateway/ibGateway/ibGateway.py +++ b/vnpy/trader/gateway/ibGateway/ibGateway.py @@ -10,6 +10,7 @@ Interactive Brokers的gateway接入，已经替换为vn.ib封装。 4. 目前只支持股票和期货交易，ib api里期权合约的确定是基于Contract对象的多个字段，比较复杂暂时没做 5. 海外市场的交易规则和国内有很多细节上的不同，所以一些字段类型的映射可能不合理，如果发现问题欢迎指出 ''' +from __future__ import print_function import os import json @@ -375,7 +376,7 @@ class IbWrapper(IbApi): newtick = copy(tick) self.gateway.onTick(newtick) else: - print field + print(field) #---------------------------------------------------------------------- def tickSize(self, tickerId, field, size): @@ -385,7 +386,7 @@ class IbWrapper(IbApi): key = tickFieldMap[field] tick.__setattr__(key, size) else: - print field + print(field) #---------------------------------------------------------------------- def tickOptionComputation(self, tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice): diff --git a/vnpy/trader/gateway/ibGateway/language/__init__.py b/vnpy/trader/gateway/ibGateway/language/__init__.py index 8325ae0c..e9efec4b 100644 --- a/vnpy/trader/gateway/ibGateway/language/__init__.py +++ b/vnpy/trader/gateway/ibGateway/language/__init__.py @@ -1,11 +1,12 @@ # encoding: UTF-8 +from __future__ import absolute_import import json import os import traceback # 默认设置 -from chinese import text +from .chinese import text # 获取目录上级路径 path = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..')) @@ -14,10 +15,9 @@ SETTING_FILENAME = os.path.join(path, SETTING_FILENAME) # 打开配置文件，读取语言配置 try: - f = file(SETTING_FILENAME) - setting = json.load(f) + with open(SETTING_FILENAME) as f: + setting = json.load(f) if setting['language'] == 'english': - from english import text - f.close() -except: + from .english import text +except Exception: traceback.print_exc() diff --git a/vnpy/trader/gateway/ksgoldGateway/__init__.py b/vnpy/trader/gateway/ksgoldGateway/__init__.py index b81b6ef3..cc9ef208 100644 --- a/vnpy/trader/gateway/ksgoldGateway/__init__.py +++ b/vnpy/trader/gateway/ksgoldGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from ksgoldGateway import KsgoldGateway +from .ksgoldGateway import KsgoldGateway gatewayClass = KsgoldGateway gatewayName = 'KSGOLD' diff --git a/vnpy/trader/gateway/ksotpGateway/__init__.py b/vnpy/trader/gateway/ksotpGateway/__init__.py index cf9c5dbb..d18f121a 100644 --- a/vnpy/trader/gateway/ksotpGateway/__init__.py +++ b/vnpy/trader/gateway/ksotpGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from ksotpGateway import KsotpGateway +from .ksotpGateway import KsotpGateway gatewayClass = KsotpGateway gatewayName = 'KSOTP' diff --git a/vnpy/trader/gateway/lbankGateway/__init__.py b/vnpy/trader/gateway/lbankGateway/__init__.py index 4d5d6e00..72ba49d8 100644 --- a/vnpy/trader/gateway/lbankGateway/__init__.py +++ b/vnpy/trader/gateway/lbankGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from lbankGateway import LbankGateway +from .lbankGateway import LbankGateway gatewayClass = LbankGateway gatewayName = 'LBANK' diff --git a/vnpy/trader/gateway/lbankGateway/lbankGateway.py b/vnpy/trader/gateway/lbankGateway/lbankGateway.py index 85f82ae3..3cade80e 100644 --- a/vnpy/trader/gateway/lbankGateway/lbankGateway.py +++ b/vnpy/trader/gateway/lbankGateway/lbankGateway.py @@ -3,6 +3,7 @@ ''' vn.lhang的gateway接入 ''' +from __future__ import print_function import os @@ -244,11 +245,11 @@ class LbankApi(LbankApi): # ---------------------------------------------------------------------- def onGetTrades(self, data, req, reqID): """查询历史成交""" - print data, reqID + print(data, reqID) # ---------------------------------------------------------------------- def onGetKline(self, data, req, reqID): - print data, reqID + print(data, reqID) # ---------------------------------------------------------------------- def onGetUserInfo(self, data, req, reqID): diff --git a/vnpy/trader/gateway/ltsGateway/__init__.py b/vnpy/trader/gateway/ltsGateway/__init__.py index cbb88696..72306493 100644 --- a/vnpy/trader/gateway/ltsGateway/__init__.py +++ b/vnpy/trader/gateway/ltsGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from ltsGateway import LtsGateway +from .ltsGateway import LtsGateway gatewayClass = LtsGateway gatewayName = 'LTS' diff --git a/vnpy/trader/gateway/ltsGateway/ltsGateway.py b/vnpy/trader/gateway/ltsGateway/ltsGateway.py index 83610ac2..00942059 100644 --- a/vnpy/trader/gateway/ltsGateway/ltsGateway.py +++ b/vnpy/trader/gateway/ltsGateway/ltsGateway.py @@ -3,6 +3,7 @@ ''' vn.lts的gateway接入 ''' +from __future__ import print_function import os import json @@ -980,7 +981,7 @@ class LtsQryApi(QryApi): elif data['ProductClass'] == '8': contract.productClass = PRODUCT_EQUITY else: - print data['ProductClass'] + print(data['ProductClass']) # 期权类型 if data['InstrumentType'] == '1': diff --git a/vnpy/trader/gateway/oandaGateway/__init__.py b/vnpy/trader/gateway/oandaGateway/__init__.py index 0ce2fb0d..7ba3dbdb 100644 --- a/vnpy/trader/gateway/oandaGateway/__init__.py +++ b/vnpy/trader/gateway/oandaGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from oandaGateway import OandaGateway +from .oandaGateway import OandaGateway gatewayClass = OandaGateway gatewayName = 'OANDA' diff --git a/vnpy/trader/gateway/qdpGateway/__init__.py b/vnpy/trader/gateway/qdpGateway/__init__.py index 4fb85e9b..2c8b6685 100644 --- a/vnpy/trader/gateway/qdpGateway/__init__.py +++ b/vnpy/trader/gateway/qdpGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from qdpGateway import QdpGateway +from .qdpGateway import QdpGateway gatewayClass = QdpGateway gatewayName = 'QDP' diff --git a/vnpy/trader/gateway/secGateway/__init__.py b/vnpy/trader/gateway/secGateway/__init__.py index c919bb29..ba50b638 100644 --- a/vnpy/trader/gateway/secGateway/__init__.py +++ b/vnpy/trader/gateway/secGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from secGateway import SecGateway +from .secGateway import SecGateway gatewayClass = SecGateway gatewayName = 'SEC' diff --git a/vnpy/trader/gateway/secGateway/secGateway.py b/vnpy/trader/gateway/secGateway/secGateway.py index 095341b8..a5ff3d01 100644 --- a/vnpy/trader/gateway/secGateway/secGateway.py +++ b/vnpy/trader/gateway/secGateway/secGateway.py @@ -3,6 +3,7 @@ ''' vn.sec的gateway接入 ''' +from __future__ import print_function import os import json @@ -50,11 +51,11 @@ exchangeMapReverse = {v:k for k,v in exchangeMap.items()} #---------------------------------------------------------------------- def print_dict(d): """""" - print '-' * 30 + print('-' * 30) l = d.keys() l.sort() for k in l: - print '%s:%s' %(k, d[k]) + print('%s:%s' %(k, d[k])) ######################################################################## diff --git a/vnpy/trader/gateway/sgitGateway/__init__.py b/vnpy/trader/gateway/sgitGateway/__init__.py index 2be6983b..52c55412 100644 --- a/vnpy/trader/gateway/sgitGateway/__init__.py +++ b/vnpy/trader/gateway/sgitGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from sgitGateway import SgitGateway +from .sgitGateway import SgitGateway gatewayClass = SgitGateway gatewayName = 'SGIT' diff --git a/vnpy/trader/gateway/shzdGateway/__init__.py b/vnpy/trader/gateway/shzdGateway/__init__.py index 7f5d3497..fd10bb58 100644 --- a/vnpy/trader/gateway/shzdGateway/__init__.py +++ b/vnpy/trader/gateway/shzdGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from shzdGateway import ShzdGateway +from .shzdGateway import ShzdGateway gatewayClass = ShzdGateway gatewayName = 'SHZD' diff --git a/vnpy/trader/gateway/shzdGateway/shzdGateway.py b/vnpy/trader/gateway/shzdGateway/shzdGateway.py index 3ed9f305..d49ba6b0 100644 --- a/vnpy/trader/gateway/shzdGateway/shzdGateway.py +++ b/vnpy/trader/gateway/shzdGateway/shzdGateway.py @@ -8,6 +8,7 @@ vn.shzd的gateway接入 3. 持仓全部平光后，再次查询时会没有该合约的推送（和CTP不同），为了避免最后平仓 不更新的情况，使用缓存机制来处理 ''' +from __future__ import print_function import os @@ -721,9 +722,9 @@ class ShzdGatewayApi(ShzdApi): #---------------------------------------------------------------------- def printDict(d): """打印字典""" - print '-' * 50 + print('-' * 50) l = d.keys() l.sort() for k in l: - print k, ':', d[k] + print(k, ':', d[k]) \ No newline at end of file diff --git a/vnpy/trader/gateway/tkproGateway/tkproGateway.py b/vnpy/trader/gateway/tkproGateway/tkproGateway.py index 85d406cc..ddd53e4a 100644 --- a/vnpy/trader/gateway/tkproGateway/tkproGateway.py +++ b/vnpy/trader/gateway/tkproGateway/tkproGateway.py @@ -570,7 +570,7 @@ class TkproDataApi(object): tick.lowerLimit = data['limit_down'] self.gateway.onTick(tick) - except Exception, e: + except Exception as e: self.writeLog(u'行情更新失败，错误信息：%s' % str(e)) #---------------------------------------------------------------------- diff --git a/vnpy/trader/gateway/windGateway/__init__.py b/vnpy/trader/gateway/windGateway/__init__.py index f2508aee..fc9949b4 100644 --- a/vnpy/trader/gateway/windGateway/__init__.py +++ b/vnpy/trader/gateway/windGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from windGateway import WindGateway +from .windGateway import WindGateway gatewayClass = WindGateway gatewayName = 'WIND' diff --git a/vnpy/trader/gateway/windGateway/windGateway.py b/vnpy/trader/gateway/windGateway/windGateway.py index 1a872cdf..e244b6c5 100644 --- a/vnpy/trader/gateway/windGateway/windGateway.py +++ b/vnpy/trader/gateway/windGateway/windGateway.py @@ -3,6 +3,7 @@ ''' Wind Python API的gateway接入 ''' +from __future__ import print_function from copy import copy @@ -11,7 +12,7 @@ w = None try: from WindPy import w except ImportError: - print u'请先安装WindPy接口' + print(u'请先安装WindPy接口') from vnpy.trader.vtGateway import * diff --git a/vnpy/trader/gateway/xspeedGateway/__init__.py b/vnpy/trader/gateway/xspeedGateway/__init__.py index 50d26714..ee1f848b 100644 --- a/vnpy/trader/gateway/xspeedGateway/__init__.py +++ b/vnpy/trader/gateway/xspeedGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from xspeedGateway import XspeedGateway +from .xspeedGateway import XspeedGateway gatewayClass = XspeedGateway gatewayName = 'XSPEED' diff --git a/vnpy/trader/gateway/xtpGateway/__init__.py b/vnpy/trader/gateway/xtpGateway/__init__.py index bd4dfe6d..b9ea0af4 100644 --- a/vnpy/trader/gateway/xtpGateway/__init__.py +++ b/vnpy/trader/gateway/xtpGateway/__init__.py @@ -1,7 +1,8 @@ # encoding: UTF-8 +from __future__ import absolute_import from vnpy.trader import vtConstant -from xtpGateway import XtpGateway +from .xtpGateway import XtpGateway gatewayClass = XtpGateway gatewayName = 'XTP' From 762a838b3d0acaa07f29c26f4afb6eb8f0211d20 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Fri, 1 Jun 2018 09:34:01 +0800 Subject: [PATCH 011/135] =?UTF-8?q?[Add]=E5=88=9D=E6=AD=A5=E5=AE=8C?= =?UTF-8?q?=E6=88=90=E6=9B=B4=E6=96=B0=E5=90=8E=E7=9A=84OKEX=E6=8E=A5?= =?UTF-8?q?=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/okex/README.md | 14 + vnpy/api/okex/__init__.py | 4 + vnpy/api/okex/vnokex.py | 332 ++++++++++ .../gateway/okexGateway/OKEX_connect.json | 6 + vnpy/trader/gateway/okexGateway/__init__.py | 12 + .../trader/gateway/okexGateway/okexGateway.py | 611 ++++++++++++++++++ 6 files changed, 979 insertions(+) create mode 100644 vnpy/api/okex/README.md create mode 100644 vnpy/api/okex/__init__.py create mode 100644 vnpy/api/okex/vnokex.py create mode 100644 vnpy/trader/gateway/okexGateway/OKEX_connect.json create mode 100644 vnpy/trader/gateway/okexGateway/__init__.py create mode 100644 vnpy/trader/gateway/okexGateway/okexGateway.py diff --git a/vnpy/api/okex/README.md b/vnpy/api/okex/README.md new file mode 100644 index 00000000..f98f155c --- /dev/null +++ b/vnpy/api/okex/README.md @@ -0,0 +1,14 @@ +### 简介 + +OKEX的比特币交易接口，基于Websocket API开发，实现了以下功能： + +1. 发送、撤销委托 + +2. 查询委托、持仓、资金、成交历史 + +3. 实时行情、成交、资金更新的推送 + +### API信息 + +链接：[https://www.okex.com/ws_getStarted.html](https://www.okex.com/ws_getStarted.html) + diff --git a/vnpy/api/okex/__init__.py b/vnpy/api/okex/__init__.py new file mode 100644 index 00000000..2b7ddb71 --- /dev/null +++ b/vnpy/api/okex/__init__.py @@ -0,0 +1,4 @@ +# encoding: UTF-8 + +from __future__ import absolute_import +from .vnokex import OkexSpotApi, SPOT_CURRENCY, SPOT_SYMBOL, OKEX_SPOT_HOST \ No newline at end of file diff --git a/vnpy/api/okex/vnokex.py b/vnpy/api/okex/vnokex.py new file mode 100644 index 00000000..b2b86db0 --- /dev/null +++ b/vnpy/api/okex/vnokex.py @@ -0,0 +1,332 @@ +# encoding: UTF-8 + +from __future__ import print_function + +import hashlib +import json +from threading import Thread +from time import sleep + +import websocket + +# 常量定义 +OKEX_SPOT_HOST = 'wss://real.okex.com:10441/websocket' + + +SPOT_CURRENCY = ["usdt", + "btc", + "ltc", + "eth", + "etc", + "bch"] + +SPOT_SYMBOL = ["ltc_btc", + "eth_btc", + "etc_btc", + "bch_btc", + "btc_usdt", + "eth_usdt", + "ltc_usdt", + "etc_usdt", + "bch_usdt", + "etc_eth", + "bt1_btc", + "bt2_btc", + "btg_btc", + "qtum_btc", + "hsr_btc", + "neo_btc", + "gas_btc", + "qtum_usdt", + "hsr_usdt", + "neo_usdt", + "gas_usdt"] + +KLINE_PERIOD = ["1min", + "3min", + "5min", + "15min", + "30min", + "1hour", + "2hour", + "4hour", + "6hour", + "12hour", + "day", + "3day", + "week"] + + +######################################################################## +class OkexApi(object): + """交易接口""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.host = '' # 服务器 + self.apiKey = '' # 用户名 + self.secretKey = '' # 密码 + + self.active = False # 工作状态 + self.ws = None # websocket应用对象 + self.wsThread = None # websocket工作线程 + + self.heartbeatCount = 0 # 心跳计数 + self.heartbeatThread = None # 心跳线程 + self.heartbeatReceived = True # 心跳是否收到 + + #---------------------------------------------------------------------- + def heartbeat(self): + """""" + while self.active: + self.heartbeatCount += 1 + + if self.heartbeatCount < 30: + sleep(1) + else: + self.heartbeatCount = 0 + + if not self.heartbeatReceived: + self.reconnect() + else: + d = {'event': 'ping'} + j = json.dumps(d) + self.ws.send(j) + self.heartbeatReceived = False + + #---------------------------------------------------------------------- + def reconnect(self): + """重新连接""" + self.close() # 首先关闭之前的连接 + self.initWebsocket() + + #---------------------------------------------------------------------- + def connect(self, host, apiKey, secretKey, trace=False): + """连接""" + self.host = host + self.apiKey = apiKey + self.secretKey = secretKey + + websocket.enableTrace(trace) + + self.initWebsocket() + self.active = True + + #---------------------------------------------------------------------- + def initWebsocket(self): + """""" + self.ws = websocket.WebSocketApp(self.host, + on_message=self.onMessageCallback, + on_error=self.onErrorCallback, + on_close=self.onCloseCallback, + on_open=self.onOpenCallback) + + self.wsThread = Thread(target=self.ws.run_forever) + self.wsThread.start() + + #---------------------------------------------------------------------- + def readData(self, evt): + """解码推送收到的数据""" + data = json.loads(evt) + return data + + #---------------------------------------------------------------------- + def close(self): + """关闭接口""" + if self.heartbeatThread and self.heartbeatThread.isAlive(): + self.active = False + self.heartbeatThread.join() + + if self.wsThread and self.wsThread.isAlive(): + self.ws.close() + self.wsThread.join() + + #---------------------------------------------------------------------- + def onMessage(self, data): + """信息推送""" + print('onMessage') + print(evt) + + #---------------------------------------------------------------------- + def onError(self, data): + """错误推送""" + print('onError') + print(evt) + + #---------------------------------------------------------------------- + def onClose(self): + """接口断开""" + print('onClose') + + #---------------------------------------------------------------------- + def onOpen(self): + """接口打开""" + print('onOpen') + + #---------------------------------------------------------------------- + def onMessageCallback(self, ws, evt): + """""" + data = self.readData(evt) + if 'event' in data: + self.heartbeatReceived = True + else: + self.onMessage(data[0]) + + #---------------------------------------------------------------------- + def onErrorCallback(self, ws, evt): + """""" + self.onError(evt) + + #---------------------------------------------------------------------- + def onCloseCallback(self, ws): + """""" + self.onClose() + + #---------------------------------------------------------------------- + def onOpenCallback(self, ws): + """""" + self.heartbeatThread = Thread(target=self.heartbeat) + self.heartbeatThread.start() + + self.onOpen() + + #---------------------------------------------------------------------- + def generateSign(self, params): + """生成签名""" + l = [] + for key in sorted(params.keys()): + l.append('%s=%s' %(key, params[key])) + l.append('secret_key=%s' %self.secretKey) + sign = '&'.join(l) + return hashlib.md5(sign.encode('utf-8')).hexdigest().upper() + + #---------------------------------------------------------------------- + def sendRequest(self, channel, params=None): + """发送请求""" + # 生成请求 + d = {} + d['event'] = 'addChannel' + d['channel'] = channel + + # 如果有参数，在参数字典中加上api_key和签名字段 + if params is not None: + params['api_key'] = self.apiKey + params['sign'] = self.generateSign(params) + d['parameters'] = params + + # 使用json打包并发送 + j = json.dumps(d) + + # 若触发异常则重连 + try: + self.ws.send(j) + except websocket.WebSocketConnectionClosedException: + pass + + #---------------------------------------------------------------------- + def login(self): + params = {} + params['api_key'] = self.apiKey + params['sign'] = self.generateSign(params) + + # 生成请求 + d = {} + d['event'] = 'login' + d['parameters'] = params + j = json.dumps(d) + + # 若触发异常则重连 + try: + self.ws.send(j) + return True + except websocket.WebSocketConnectionClosedException: + return False + + +######################################################################## +class OkexSpotApi(OkexApi): + """现货交易接口""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + super(OkexSpotApi, self).__init__() + + #---------------------------------------------------------------------- + def subscribeSpotTicker(self, symbol): + """订阅现货的Tick""" + channel = 'ok_sub_spot_%s_ticker' %symbol + self.sendRequest(channel) + + #---------------------------------------------------------------------- + def subscribeSpotDepth(self, symbol, depth=0): + """订阅现货的深度""" + channel = 'ok_sub_spot_%s_depth' %symbol + if depth: + channel = channel + '_' + str(depth) + self.sendRequest(channel) + + #---------------------------------------------------------------------- + def subscribeSpotDeals(self, symbol): + channel = 'ok_sub_spot_%s_deals' %symbol + self.sendRequest(channel) + + #---------------------------------------------------------------------- + def subscribeSpotKlines(self, symbol, period): + channel = 'ok_sub_spot_%s_kline_%s' %(symbol, period) + self.sendRequest(channel) + + #---------------------------------------------------------------------- + def spotOrder(self, symbol, type_, price, amount): + """现货委托""" + params = {} + params['symbol'] = str(symbol) + params['type'] = str(type_) + params['price'] = str(price) + params['amount'] = str(amount) + + channel = 'ok_spot_order' + + self.sendRequest(channel, params) + + #---------------------------------------------------------------------- + def spotCancelOrder(self, symbol, orderid): + """现货撤单""" + params = {} + params['symbol'] = str(symbol) + params['order_id'] = str(orderid) + + channel = 'ok_spot_cancel_order' + + self.sendRequest(channel, params) + + #---------------------------------------------------------------------- + def spotUserInfo(self): + """查询现货账户""" + channel = 'ok_spot_userinfo' + self.sendRequest(channel, {}) + + #---------------------------------------------------------------------- + def spotOrderInfo(self, symbol, orderid): + """查询现货委托信息""" + params = {} + params['symbol'] = str(symbol) + params['order_id'] = str(orderid) + + channel = 'ok_spot_orderinfo' + + self.sendRequest(channel, params) + + #---------------------------------------------------------------------- + def subSpotOrder(self, symbol): + """订阅委托推送""" + channel = 'ok_sub_spot_%s_order' %symbol + self.sendRequest(channel) + + #---------------------------------------------------------------------- + def subSpotBalance(self, symbol): + """订阅资金推送""" + channel = 'ok_sub_spot_%s_balance' %symbol + self.sendRequest(channel) + diff --git a/vnpy/trader/gateway/okexGateway/OKEX_connect.json b/vnpy/trader/gateway/okexGateway/OKEX_connect.json new file mode 100644 index 00000000..5c77f027 --- /dev/null +++ b/vnpy/trader/gateway/okexGateway/OKEX_connect.json @@ -0,0 +1,6 @@ +{ + "apiKey": "", + "secretKey": "", + "trace": false, + "symbols": ["eth_btc", "btc_usdt", "eth_usdt"] +} \ No newline at end of file diff --git a/vnpy/trader/gateway/okexGateway/__init__.py b/vnpy/trader/gateway/okexGateway/__init__.py new file mode 100644 index 00000000..5f0265a9 --- /dev/null +++ b/vnpy/trader/gateway/okexGateway/__init__.py @@ -0,0 +1,12 @@ +# encoding: UTF-8 + +from __future__ import absolute_import +from vnpy.trader import vtConstant +from .okexGateway import OkexGateway + +gatewayClass = OkexGateway +gatewayName = 'OKEX' +gatewayDisplayName = u'OKEX' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True + diff --git a/vnpy/trader/gateway/okexGateway/okexGateway.py b/vnpy/trader/gateway/okexGateway/okexGateway.py new file mode 100644 index 00000000..9ee1cf79 --- /dev/null +++ b/vnpy/trader/gateway/okexGateway/okexGateway.py @@ -0,0 +1,611 @@ +# encoding: UTF-8 + +''' +vnpy.api.okex的gateway接入 +''' +from __future__ import print_function + + +import os +import json +from datetime import datetime +from time import sleep +from copy import copy +from threading import Condition +from queue import Queue, Empty +from threading import Thread +from time import sleep + +from vnpy.api.okex import OkexSpotApi, OKEX_SPOT_HOST +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath + +# 价格类型映射 +# 买卖类型： 限价单（buy/sell） 市价单（buy_market/sell_market） +priceTypeMap = {} +priceTypeMap['buy'] = (DIRECTION_LONG, PRICETYPE_LIMITPRICE) +priceTypeMap['buy_market'] = (DIRECTION_LONG, PRICETYPE_MARKETPRICE) +priceTypeMap['sell'] = (DIRECTION_SHORT, PRICETYPE_LIMITPRICE) +priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE) +priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} + +# 委托状态印射 +statusMap = {} +statusMap[-1] = STATUS_CANCELLED +statusMap[0] = STATUS_NOTTRADED +statusMap[1] = STATUS_PARTTRADED +statusMap[2] = STATUS_ALLTRADED +statusMap[4] = STATUS_UNKNOWN + + +######################################################################## +class OkexGateway(VtGateway): + """OKEX交易接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName='OKEX'): + """Constructor""" + super(OkexGateway, self).__init__(eventEngine, gatewayName) + + self.spotApi = SpotApi(self) + # self.api_contract = Api_contract(self) + + self.leverage = 0 + self.connected = False + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + # 载入json文件 + try: + f = file(self.filePath) + except IOError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'读取连接配置出错，请检查' + self.onLog(log) + return + + # 解析json文件 + setting = json.load(f) + try: + apiKey = str(setting['apiKey']) + secretKey = str(setting['secretKey']) + trace = setting['trace'] + symbols = setting['symbols'] + except KeyError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'连接配置缺少字段，请检查' + self.onLog(log) + return + + # 初始化接口 + self.spotApi.init(apiKey, secretKey, trace, symbols) + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.spotApi.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.spotApi.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def qryAccount(self): + """查询账户资金""" + pass + + #---------------------------------------------------------------------- + def qryPosition(self): + """查询持仓""" + self.spotApi.spotUserInfo() + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.spotApi.close() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.qryPosition] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 2 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class SpotApi(OkexSpotApi): + """OKEX的API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(SpotApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.cbDict = {} + self.tickDict = {} + self.orderDict = {} + + self.channelSymbolMap = {} + + self.localNo = 0 # 本地委托号 + self.localNoQueue = Queue() # 未收到系统委托号的本地委托号队列 + self.localNoDict = {} # key为本地委托号，value为系统委托号 + self.localOrderDict = {} # key为本地委托号, value为委托对象 + self.orderIdDict = {} # key为系统委托号，value为本地委托号 + self.cancelDict = {} # key为本地委托号，value为撤单请求 + + self.recordOrderId_BefVolume = {} # 记录的之前处理的量 + + self.cache_some_order = {} + self.tradeID = 0 + + self.registerSymbolPairArray = set([]) + + #---------------------------------------------------------------------- + def onMessage(self, data): + """信息推送""" + channel = data.get('channel', '') + if not channel: + return + + if channel in self.cbDict: + callback = self.cbDict[channel] + callback(data) + + #---------------------------------------------------------------------- + def onError(self, data): + """错误推送""" + error = VtErrorData() + error.gatewayName = self.gatewayName + error.errorMsg = str(data) + self.gateway.onError(error) + + #---------------------------------------------------------------------- + def onClose(self): + """接口断开""" + self.gateway.connected = False + self.writeLog(u'服务器连接断开') + + #---------------------------------------------------------------------- + def onOpen(self): + """连接成功""" + self.gateway.connected = True + self.writeLog(u'服务器连接成功') + + self.login() + + # 推送合约数据 + for symbol in self.symbols: + contract = VtContractData() + contract.gatewayName = self.gatewayName + contract.symbol = symbol + contract.exchange = EXCHANGE_OKEX + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = symbol + contract.size = 0.00001 + contract.priceTick = 0.00001 + contract.productClass = PRODUCT_SPOT + self.gateway.onContract(contract) + + #---------------------------------------------------------------------- + def initCallback(self): + """初始化回调函数""" + for symbol in self.symbols: + # channel和symbol映射 + self.channelSymbolMap["ok_sub_spot_%s_ticker" % symbol] = symbol + self.channelSymbolMap["ok_sub_spot_%s_depth_5" % symbol] = symbol + + # channel和callback映射 + self.cbDict["ok_sub_spot_%s_ticker" % symbol] = self.onTicker + self.cbDict["ok_sub_spot_%s_depth_5" % symbol] = self.onDepth + self.cbDict["ok_sub_spot_%s_order" % symbol] = self.onSubSpotOrder + self.cbDict["ok_sub_spot_%s_balance" % symbol] = self.onSubSpotBalance + + self.cbDict['ok_spot_userinfo'] = self.onSpotUserInfo + self.cbDict['ok_spot_orderinfo'] = self.onSpotOrderInfo + self.cbDict['ok_spot_order'] = self.onSpotOrder + self.cbDict['ok_spot_cancel_order'] = self.onSpotCancelOrder + self.cbDict['login'] = self.onLogin + + #---------------------------------------------------------------------- + def onLogin(self, data): + """""" + self.writeLog(u'服务器登录成功') + + # 查询持仓 + self.spotUserInfo() + + # 订阅推送 + for symbol in self.symbols: + self.subscribe(symbol) + + #---------------------------------------------------------------------- + def onTicker(self, data): + """""" + channel = data['channel'] + symbol = self.channelSymbolMap[channel] + + if symbol not in self.tickDict: + tick = VtTickData() + tick.symbol = symbol + tick.exchange = EXCHANGE_OKEX + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + tick.gatewayName = self.gatewayName + + self.tickDict[symbol] = tick + else: + tick = self.tickDict[symbol] + + d = data['data'] + tick.highPrice = float(d['high']) + tick.lowPrice = float(d['low']) + tick.lastPrice = float(d['last']) + tick.volume = float(d['vol'].replace(',', '')) + tick.date, tick.time = self.generateDateTime(d['timestamp']) + + if tick.bidPrice1: + newtick = copy(tick) + self.gateway.onTick(newtick) + + #---------------------------------------------------------------------- + def onDepth(self, data): + """""" + channel = data['channel'] + symbol = self.channelSymbolMap[channel] + + if symbol not in self.tickDict: + tick = VtTickData() + tick.symbol = symbol + tick.exchange = EXCHANGE_OKEX + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + tick.gatewayName = self.gatewayName + + self.tickDict[symbol] = tick + else: + tick = self.tickDict[symbol] + + d = data['data'] + + tick.bidPrice1, tick.bidVolume1 = d['bids'][0] + tick.bidPrice2, tick.bidVolume2 = d['bids'][1] + tick.bidPrice3, tick.bidVolume3 = d['bids'][2] + tick.bidPrice4, tick.bidVolume4 = d['bids'][3] + tick.bidPrice5, tick.bidVolume5 = d['bids'][4] + + tick.askPrice1, tick.askVolume1 = d['asks'][-1] + tick.askPrice2, tick.askVolume2 = d['asks'][-2] + tick.askPrice3, tick.askVolume3 = d['asks'][-3] + tick.askPrice4, tick.askVolume4 = d['asks'][-4] + tick.askPrice5, tick.askVolume5 = d['asks'][-5] + + tick.date, tick.time = self.generateDateTime(d['timestamp']) + + if tick.lastPrice: + newtick = copy(tick) + self.gateway.onTick(newtick) + + #---------------------------------------------------------------------- + def onSpotOrder(self, data): + """""" + # 如果委托失败，则通知委托被拒单的信息 + if self.checkDataError(data): + try: + localNo = self.localNoQueue.get_nowait() + except Empty: + return + + order = self.localOrderDict[localNo] + order.status = STATUS_REJECTED + self.gateway.onOrder(order) + + #---------------------------------------------------------------------- + def onSpotCancelOrder(self, data): + """""" + self.checkDataError(data) + + #---------------------------------------------------------------------- + def onSpotUserInfo(self, data): + """现货账户资金推送""" + if self.checkDataError(data): + return + + funds = data['data']['info']['funds'] + free = funds['free'] + freezed = funds['freezed'] + + # 持仓信息 + for symbol in free.keys(): + frozen = float(freezed[symbol]) + available = float(free[symbol]) + + if frozen or available: + pos = VtPositionData() + pos.gatewayName = self.gatewayName + + pos.symbol = symbol + pos.exchange = EXCHANGE_OKEX + pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) + pos.direction = DIRECTION_LONG + pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) + + pos.frozen = frozen + pos.position = frozen + available + + self.gateway.onPosition(pos) + + self.writeLog(u'持仓信息查询成功') + + # 查询委托 + for symbol in self.symbols: + self.spotOrderInfo(symbol, '-1') + + #---------------------------------------------------------------------- + def onSpotOrderInfo(self, data): + """委托信息查询回调""" + if self.checkDataError(data): + return + + rawData = data['data'] + + for d in rawData['orders']: + self.localNo += 1 + localNo = str(self.localNo) + orderId = str(d['order_id']) + + self.localNoDict[localNo] = orderId + self.orderIdDict[orderId] = localNo + + if orderId not in self.orderDict: + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = d['symbol'] + order.exchange = EXCHANGE_OKEX + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + order.orderID = localNo + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + + order.price = d['price'] + order.totalVolume = d['amount'] + order.direction, priceType = priceTypeMap[d['type']] + date, order.orderTime = self.generateDateTime(d['create_date']) + + self.orderDict[orderId] = order + else: + order = self.orderDict[orderId] + + order.tradedVolume = d['deal_amount'] + order.status = statusMap[d['status']] + + self.gateway.onOrder(copy(order)) + + #---------------------------------------------------------------------- + def onSubSpotOrder(self, data): + """交易数据""" + rawData = data["data"] + orderId = str(rawData['orderId']) + + # 获取本地委托号 + if orderId in self.orderIdDict: + localNo = self.orderIdDict[orderId] + else: + try: + localNo = self.localNoQueue.get_nowait() + except Empty: + self.localNo += 1 + localNo = str(self.localNo) + + self.localNoDict[localNo] = orderId + self.orderIdDict[orderId] = localNo + + # 获取委托对象 + if orderId in self.orderDict: + order = self.orderDict[orderId] + else: + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = rawData['symbol'] + order.exchange = EXCHANGE_OKEX + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + order.orderID = localNo + order.vtOrderID = '.'.join([self.gatewayName, localNo]) + order.direction, priceType = priceTypeMap[rawData['tradeType']] + order.price = float(rawData['tradeUnitPrice']) + order.totalVolume = float(rawData['tradeAmount']) + date, order.orderTime = self.generateDateTime(rawData['createdDate']) + + lastTradedVolume = order.tradedVolume + + order.status = statusMap[rawData['status']] + order.tradedVolume = float(rawData['completedTradeAmount']) + self.gateway.onOrder(copy(order)) + + # 成交信息 + if order.tradedVolume > lastTradedVolume: + trade = VtTradeData() + trade.gatewayName = self.gatewayName + + trade.symbol = order.symbol + trade.exchange = order.exchange + trade.vtSymbol = order.vtSymbol + + self.tradeID += 1 + trade.tradeID = str(self.tradeID) + trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) + + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + + trade.direction = order.direction + trade.price = float(rawData['averagePrice']) + trade.volume = order.tradedVolume - lastTradedVolume + + trade.tradeTime = datetime.now().strftime('%H:%M:%S') + self.gateway.onTrade(trade) + + # 撤单 + if localNo in self.cancelDict: + req = self.cancelDict[localNo] + self.spotCancel(req) + del self.cancelDict[localNo] + + #---------------------------------------------------------------------- + def onSubSpotBalance(self, data): + """""" + rawData = data['data'] + free = rawData['info']['free'] + freezed = rawData['info']['freezed'] + + for symbol in free.keys(): + pos = VtPositionData() + pos.gatewayName = self.gatewayName + pos.symbol = symbol + pos.exchange = EXCHANGE_OKEX + pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) + pos.direction = DIRECTION_LONG + pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) + pos.frozen = float(freezed[symbol]) + pos.position = pos.frozen + float(free[symbol]) + + self.gateway.onPosition(pos) + + #---------------------------------------------------------------------- + def init(self, apiKey, secretKey, trace, symbols): + """初始化接口""" + self.symbols = symbols + self.initCallback() + + self.connect(OKEX_SPOT_HOST, apiKey, secretKey, trace) + self.writeLog(u'接口初始化成功') + + #---------------------------------------------------------------------- + def sendOrder(self, req): + """发单""" + type_ = priceTypeMapReverse[(req.direction, req.priceType)] + req.volume = 0.001 + self.spotOrder(req.symbol, type_, str(req.price), str(req.volume)) + + # 本地委托号加1，并将对应字符串保存到队列中，返回基于本地委托号的vtOrderID + self.localNo += 1 + self.localNoQueue.put(str(self.localNo)) + vtOrderID = '.'.join([self.gatewayName, str(self.localNo)]) + + # 缓存委托信息 + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = req.symbol + order.exchange = EXCHANGE_OKEX + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + order.orderID= str(self.localNo) + order.vtOrderID = vtOrderID + order.direction = req.direction + order.price = req.price + order.totalVolume = req.volume + + self.localOrderDict[str(self.localNo)] = order + + return vtOrderID + + #---------------------------------------------------------------------- + def cancelOrder(self, req): + """撤单""" + localNo = req.orderID + if localNo in self.localNoDict: + orderID = self.localNoDict[localNo] + self.spotCancelOrder(req.symbol, orderID) + else: + # 如果在系统委托号返回前客户就发送了撤单请求，则保存 + # 在cancelDict字典中，等待返回后执行撤单任务 + self.cancelDict[localNo] = req + + #---------------------------------------------------------------------- + def generateDateTime(self, s): + """生成时间""" + dt = datetime.fromtimestamp(float(s)/1e3) + time = dt.strftime("%H:%M:%S.%f") + date = dt.strftime("%Y%m%d") + return date, time + + #---------------------------------------------------------------------- + def writeLog(self, content): + """快速记录日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def checkDataError(self, data): + """检查回报是否存在错误""" + rawData = data['data'] + if 'error_code' not in rawData: + return False + else: + error = VtErrorData() + error.gatewayName = self.gatewayName + error.errorID = rawData['error_code'] + error.errorMsg = u'请求失败，功能：%s' %data['channel'] + self.gateway.onError(error) + return True + + #---------------------------------------------------------------------- + def subscribe(self, symbol): + """订阅行情""" + symbol = symbol + + self.subscribeSpotTicker(symbol) + self.subscribeSpotDepth(symbol, 5) + self.subSpotOrder(symbol) + self.subSpotBalance(symbol) + \ No newline at end of file From 230688dea854662639f7c919b67292874fdae8f9 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Fri, 1 Jun 2018 12:27:36 +0800 Subject: [PATCH 012/135] =?UTF-8?q?[Del]=E7=A7=BB=E9=99=A4beta=E7=9B=AE?= =?UTF-8?q?=E5=BD=95=E4=B8=8B=E7=9A=84OKEX=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- beta/api/okex/README.md | 14 - beta/api/okex/__init__.py | 4 - beta/api/okex/test.py | 52 - beta/api/okex/vnokex.py | 413 -------- beta/gateway/okexGateway/OKEX_connect.json | 6 - beta/gateway/okexGateway/__init__.py | 12 - beta/gateway/okexGateway/okexGateway.py | 965 ------------------ .../gateway/huobiGateway/huobiGateway.py | 1 - 8 files changed, 1467 deletions(-) delete mode 100644 beta/api/okex/README.md delete mode 100644 beta/api/okex/__init__.py delete mode 100644 beta/api/okex/test.py delete mode 100644 beta/api/okex/vnokex.py delete mode 100644 beta/gateway/okexGateway/OKEX_connect.json delete mode 100644 beta/gateway/okexGateway/__init__.py delete mode 100644 beta/gateway/okexGateway/okexGateway.py diff --git a/beta/api/okex/README.md b/beta/api/okex/README.md deleted file mode 100644 index f98f155c..00000000 --- a/beta/api/okex/README.md +++ /dev/null @@ -1,14 +0,0 @@ -### 简介 - -OKEX的比特币交易接口，基于Websocket API开发，实现了以下功能： - -1. 发送、撤销委托 - -2. 查询委托、持仓、资金、成交历史 - -3. 实时行情、成交、资金更新的推送 - -### API信息 - -链接：[https://www.okex.com/ws_getStarted.html](https://www.okex.com/ws_getStarted.html) - diff --git a/beta/api/okex/__init__.py b/beta/api/okex/__init__.py deleted file mode 100644 index a0b1b632..00000000 --- a/beta/api/okex/__init__.py +++ /dev/null @@ -1,4 +0,0 @@ -# encoding: UTF-8 - -from __future__ import absolute_import -from .vnokex import OkexSpotApi, OkexFuturesApi, CONTRACT_SYMBOL, SPOT_CURRENCY \ No newline at end of file diff --git a/beta/api/okex/test.py b/beta/api/okex/test.py deleted file mode 100644 index 2e20cb82..00000000 --- a/beta/api/okex/test.py +++ /dev/null @@ -1,52 +0,0 @@ -# encoding: UTF-8 - -from __future__ import absolute_import -from .vnokex import * - -# 在OkCoin网站申请这两个Key，分别对应用户名和密码 -apiKey = '你的accessKey' -secretKey = '你的secretKey' - -# 创建API对象 -api = OkexSpotApi() - -api.connect(apiKey, secretKey, True) - -sleep(3) - -#api.login() -api.subscribeSpotTicker("bch_btc") -api.subscribeSpotDepth("bch_btc") -api.subscribeSpotDepth("bch_btc", 5) -api.subscribeSpotDeals("bch_btc") -api.subscribeSpotKlines("bch_btc","30min") - -#api.spotTrade("etc_usdt","sell", "50" , "0.01") -#api.spotCancelOrder("etc_btc","44274138") -#api.spotUserInfo() -#api.spotOrderInfo("etc_btc", 44284731) - -# api = OkexFuturesApi() -# api.connect(apiKey, secretKey, True) - -# sleep(3) -#api.subsribeFutureTicker("btc","this_week") -#api.subscribeFutureKline("btc","this_week", "30min") -#api.subscribeFutureDepth("btc","this_week") -#api.subscribeFutureDepth("btc","this_week", 5) -#api.subscribeFutureTrades("btc","this_week") -#api.subscribeFutureIndex("btc") -#api.subscribeFutureForecast_price("btc") - -#api.login() -#api.futureTrade( "etc_usd", "this_week" ,"1" , 20 , 1 , _match_price = '0' , _lever_rate = '10') # 14245727693 -#api.futureCancelOrder("etc_usd","14245727693" , "this_week") -#api.futureUserInfo() -#api.futureOrderInfo("etc_usd" , "14245727693" , "this_week" , '1', '1' , '10') -# api.subscribeFutureTrades() - -''' -合约账户信息、 持仓信息等，在登录后都会自动推送。。。官方文档这样写的，还没实际验证过 -''' - -input() \ No newline at end of file diff --git a/beta/api/okex/vnokex.py b/beta/api/okex/vnokex.py deleted file mode 100644 index 18267b97..00000000 --- a/beta/api/okex/vnokex.py +++ /dev/null @@ -1,413 +0,0 @@ -# encoding: UTF-8 - -from __future__ import print_function -import hashlib -import zlib -import json -from time import sleep -from threading import Thread - -import websocket - -# OKEX网站 -OKEX_USD_SPOT = 'wss://real.okex.com:10441/websocket' # OKEX 现货地址 -OKEX_USD_CONTRACT = 'wss://real.okex.com:10440/websocket/okexapi' # OKEX 期货地址 - -SPOT_CURRENCY = ["usdt", - "btc", - "ltc", - "eth", - "etc", - "bch"] - -SPOT_SYMBOL = ["ltc_btc", - "eth_btc", - "etc_btc", - "bch_btc", - "btc_usdt", - "eth_usdt", - "ltc_usdt", - "etc_usdt", - "bch_usdt", - "etc_eth", - "bt1_btc", - "bt2_btc", - "btg_btc", - "qtum_btc", - "hsr_btc", - "neo_btc", - "gas_btc", - "qtum_usdt", - "hsr_usdt", - "neo_usdt", - "gas_usdt"] - -KLINE_PERIOD = ["1min", - "3min", - "5min", - "15min", - "30min", - "1hour", - "2hour", - "4hour", - "6hour", - "12hour", - "day", - "3day", - "week"] - -CONTRACT_SYMBOL = ["btc", - "ltc", - "eth", - "etc", - "bch"] - -CONTRACT_TYPE = ["this_week", - "next_week", - "quarter"] - - -######################################################################## -class OkexApi(object): - """交易接口""" - - #---------------------------------------------------------------------- - def __init__(self): - """Constructor""" - self.host = '' # 服务器 - self.apiKey = '' # 用户名 - self.secretKey = '' # 密码 - - self.ws = None # websocket应用对象 现货对象 - self.thread = None # 初始化线程 - - #---------------------------------------------------------------------- - def reconnect(self): - """重新连接""" - # 首先关闭之前的连接 - self.close() - - # 再执行重连任务 - self.ws = websocket.WebSocketApp(self.host, - on_message=self.onMessage, - on_error=self.onError, - on_close=self.onClose, - on_open=self.onOpen) - - self.thread = Thread(target=self.ws.run_forever) - self.thread.start() - - #---------------------------------------------------------------------- - def connect(self, apiKey, secretKey, trace=False): - self.host = OKEX_USD_SPOT - self.apiKey = apiKey - self.secretKey = secretKey - - websocket.enableTrace(trace) - - self.ws = websocket.WebSocketApp(self.host, - on_message=self.onMessage, - on_error=self.onError, - on_close=self.onClose, - on_open=self.onOpen) - - self.thread = Thread(target=self.ws.run_forever) - self.thread.start() - - #---------------------------------------------------------------------- - def readData(self, evt): - """解码推送收到的数据""" - data = json.loads(evt) - return data - - #---------------------------------------------------------------------- - def close(self): - """关闭接口""" - if self.thread and self.thread.isAlive(): - self.ws.close() - self.thread.join() - - #---------------------------------------------------------------------- - def onMessage(self, ws, evt): - """信息推送""" - print(evt) - - #---------------------------------------------------------------------- - def onError(self, ws, evt): - """错误推送""" - print('onError') - print(evt) - - #---------------------------------------------------------------------- - def onClose(self, ws): - """接口断开""" - print('onClose') - - #---------------------------------------------------------------------- - def onOpen(self, ws): - """接口打开""" - print('onOpen') - - #---------------------------------------------------------------------- - def generateSign(self, params): - """生成签名""" - l = [] - for key in sorted(params.keys()): - l.append('%s=%s' %(key, params[key])) - l.append('secret_key=%s' %self.secretKey) - sign = '&'.join(l) - return hashlib.md5(sign.encode('utf-8')).hexdigest().upper() - - #---------------------------------------------------------------------- - def sendTradingRequest(self, channel, params): - """发送交易请求""" - # 在参数字典中加上api_key和签名字段 - params['api_key'] = self.apiKey - params['sign'] = self.generateSign(params) - - # 生成请求 - d = {} - d['event'] = 'addChannel' - d['channel'] = channel - d['parameters'] = params - - # 使用json打包并发送 - j = json.dumps(d) - - # 若触发异常则重连 - try: - self.ws.send(j) - except websocket.WebSocketConnectionClosedException: - pass - - #---------------------------------------------------------------------- - def sendDataRequest(self, channel): - """发送数据请求""" - d = {} - d['event'] = 'addChannel' - d['channel'] = channel - j = json.dumps(d) - - # 若触发异常则重连 - try: - self.ws.send(j) - except websocket.WebSocketConnectionClosedException: - pass - - #---------------------------------------------------------------------- - def login(self): - params = {} - params['api_key'] = self.apiKey - params['sign'] = self.generateSign(params) - - # 生成请求 - d = {} - d['event'] = 'login' - d['parameters'] = params - - # 使用json打包并发送 - j = json.dumps(d) - - # 若触发异常则重连 - try: - self.ws.send(j) - return True - except websocket.WebSocketConnectionClosedException: - return False - - -######################################################################## -class OkexSpotApi(OkexApi): - """现货交易接口""" - - #---------------------------------------------------------------------- - def __init__(self): - """Constructor""" - super(OkexSpotApi, self).__init__() - - #---------------------------------------------------------------------- - def subscribeSpotTicker(self, symbol): - """订阅现货的Tick""" - channel = 'ok_sub_spot_%s_ticker' %symbol - self.sendDataRequest(channel) - - #---------------------------------------------------------------------- - def subscribeSpotDepth(self, symbol, depth=0): - """订阅现货的深度""" - channel = 'ok_sub_spot_%s_depth' %symbol - if depth: - channel = channel + '_' + str(depth) - self.sendDataRequest(channel) - - #---------------------------------------------------------------------- - def subscribeSpotDeals(self, symbol): - channel = 'ok_sub_spot_%s_deals' %symbol - self.sendDataRequest(channel) - - #---------------------------------------------------------------------- - def subscribeSpotKlines(self, symbol, period): - channel = 'ok_sub_spot_%s_kline_%s' %(symbol, period) - self.sendDataRequest(channel) - - #---------------------------------------------------------------------- - def spotTrade(self, symbol, type_, price, amount): - """现货委托""" - params = {} - params['symbol'] = str(symbol) - params['type'] = str(type_) - params['price'] = str(price) - params['amount'] = str(amount) - - channel = 'ok_spot_order' - - self.sendTradingRequest(channel, params) - - #---------------------------------------------------------------------- - def spotCancelOrder(self, symbol, orderid): - """现货撤单""" - params = {} - params['symbol'] = str(symbol) - params['order_id'] = str(orderid) - - channel = 'ok_spot_cancel_order' - - self.sendTradingRequest(channel, params) - - #---------------------------------------------------------------------- - def spotUserInfo(self): - """查询现货账户""" - channel = 'ok_spot_userinfo' - self.sendTradingRequest(channel, {}) - - #---------------------------------------------------------------------- - def spotOrderInfo(self, symbol, orderid): - """查询现货委托信息""" - params = {} - params['symbol'] = str(symbol) - params['order_id'] = str(orderid) - - channel = 'ok_spot_orderinfo' - - self.sendTradingRequest(channel, params) - - - -######################################################################## -class OkexFuturesApi(OkexApi): - """期货交易接口 - - 交割推送信息： - [{ - "channel": "btc_forecast_price", - "timestamp":"1490341322021", - "data": "998.8" - }] - data(string): 预估交割价格 - timestamp(string): 时间戳 - - 无需订阅，交割前一小时自动返回 - """ - - #---------------------------------------------------------------------- - def __init__(self): - """Constructor""" - super(OkexFuturesApi, self).__init__() - - #---------------------------------------------------------------------- - def subsribeFuturesTicker(self, symbol, contractType): - """订阅期货行情""" - channel ='ok_sub_futureusd_%s_ticker_%s' %(symbol, contractType) - self.sendDataRequest(channel) - - #---------------------------------------------------------------------- - def subscribeFuturesKline(self, symbol, contractType, period): - """订阅期货K线""" - channel = 'ok_sub_futureusd_%s_kline_%s_%s' %(symbol, contractType, period) - self.sendDataRequest(channel) - - #---------------------------------------------------------------------- - def subscribeFuturesDepth(self, symbol, contractType, depth=0): - """订阅期货深度""" - channel = 'ok_sub_futureusd_%s_depth_%s' %(symbol, contractType) - if depth: - channel = channel + '_' + str(depth) - self.sendDataRequest(channel) - - #---------------------------------------------------------------------- - def subscribeFuturesTrades(self, symbol, contractType): - """订阅期货成交""" - channel = 'ok_sub_futureusd_%s_trade_%s' %(symbol, contractType) - self.sendDataRequest(channel) - - #---------------------------------------------------------------------- - def subscribeFuturesIndex(self, symbol): - """订阅期货指数""" - channel = 'ok_sub_futureusd_%s_index' %symbol - self.sendDataRequest(channel) - - #---------------------------------------------------------------------- - def futuresTrade(self, symbol, contractType, type_, price, amount, matchPrice='0', leverRate='10'): - """期货委托""" - params = {} - params['symbol'] = str(symbol) - params['contract_type'] = str(contractType) - params['price'] = str(price) - params['amount'] = str(amount) - params['type'] = type_ # 1:开多 2:开空 3:平多 4:平空 - params['match_price'] = matchPrice # 是否为对手价： 0:不是 1:是 当取值为1时,price无效 - params['lever_rate'] = leverRate - - channel = 'ok_futureusd_trade' - - self.sendTradingRequest(channel, params) - - #---------------------------------------------------------------------- - def futuresCancelOrder(self, symbol, orderid, contractType): - """期货撤单""" - params = {} - params['symbol'] = str(symbol) - params['order_id'] = str(orderid) - params['contract_type'] = str(contractType) - - channel = 'ok_futureusd_cancel_order' - - self.sendTradingRequest(channel, params) - - #---------------------------------------------------------------------- - def futuresUserInfo(self): - """查询期货账户""" - channel = 'ok_futureusd_userinfo' - self.sendTradingRequest(channel, {}) - - #---------------------------------------------------------------------- - def futuresOrderInfo(self, symbol, orderid, contractType, status, current_page, page_length=10): - """查询期货委托""" - params = {} - params['symbol'] = str(symbol) - params['order_id'] = str(orderid) - params['contract_type'] = str(contractType) - params['status'] = str(status) - params['current_page'] = str(current_page) - params['page_length'] = str(page_length) - - channel = 'ok_futureusd_orderinfo' - - self.sendTradingRequest(channel, params) - - #---------------------------------------------------------------------- - def subscribeFuturesTrades( self): - channel = 'ok_sub_futureusd_trades' - self.sendTradingRequest(channel, {}) - - #---------------------------------------------------------------------- - def subscribeFuturesUserInfo(self): - """订阅期货账户信息""" - channel = 'ok_sub_futureusd_userinfo' - self.sendTradingRequest(channel, {}) - - #---------------------------------------------------------------------- - def subscribeFuturesPositions(self): - """订阅期货持仓信息""" - channel = 'ok_sub_futureusd_positions' - self.sendTradingRequest(channel, {}) - \ No newline at end of file diff --git a/beta/gateway/okexGateway/OKEX_connect.json b/beta/gateway/okexGateway/OKEX_connect.json deleted file mode 100644 index a0224e4c..00000000 --- a/beta/gateway/okexGateway/OKEX_connect.json +++ /dev/null @@ -1,6 +0,0 @@ -{ - "apiKey": "你的apiKey", - "secretKey": "你的secretKey", - "trace": false, - "leverage": 10 -} \ No newline at end of file diff --git a/beta/gateway/okexGateway/__init__.py b/beta/gateway/okexGateway/__init__.py deleted file mode 100644 index bafb2366..00000000 --- a/beta/gateway/okexGateway/__init__.py +++ /dev/null @@ -1,12 +0,0 @@ -# encoding: UTF-8 - -from __future__ import absolute_import -from vnpy.trader import vtConstant -from .okexGateway import okexGateway - -gatewayClass = okexGateway -gatewayName = 'OKEX' -gatewayDisplayName = u'OKEX' -gatewayType = vtConstant.GATEWAYTYPE_BTC -gatewayQryEnabled = True - diff --git a/beta/gateway/okexGateway/okexGateway.py b/beta/gateway/okexGateway/okexGateway.py deleted file mode 100644 index ba8deb48..00000000 --- a/beta/gateway/okexGateway/okexGateway.py +++ /dev/null @@ -1,965 +0,0 @@ -# encoding: UTF-8 - -''' -vnpy.api.okex的gateway接入 - -注意： -1. 目前仅支持USD现货交易 -''' -from __future__ import print_function - -import os -import json -from datetime import datetime -from time import sleep -from copy import copy -from threading import Condition -from Queue import Queue -from threading import Thread -from time import sleep - -from vnpy.api.okex import OkexSpotApi, CONTRACT_SYMBOL, SPOT_CURRENCY -from vnpy.trader.vtGateway import * -from vnpy.trader.vtFunction import getJsonPath - -# 价格类型映射 -# 买卖类型： 限价单（buy/sell） 市价单（buy_market/sell_market） -priceTypeMap = {} -priceTypeMap['buy'] = (DIRECTION_LONG, PRICETYPE_LIMITPRICE) -priceTypeMap['buy_market'] = (DIRECTION_LONG, PRICETYPE_MARKETPRICE) -priceTypeMap['sell'] = (DIRECTION_SHORT, PRICETYPE_LIMITPRICE) -priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE) -priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} - -# 委托状态印射 -statusMap = {} -statusMap[-1] = STATUS_CANCELLED -statusMap[0] = STATUS_NOTTRADED -statusMap[1] = STATUS_PARTTRADED -statusMap[2] = STATUS_ALLTRADED -statusMap[4] = STATUS_UNKNOWN - - -okex_all_symbol_pairs = ['ref_usdt', 'soc_usdt', 'light_usdt', 'avt_usdt', 'of_usdt', 'brd_usdt', 'ast_usdt', 'int_usdt', 'zrx_usdt', 'ctr_usdt', 'dgd_usdt', 'aidoc_usdt', 'wtc_usdt', 'swftc_usdt', 'wrc_usdt', 'sub_usdt', 'dna_usdt', 'knc_usdt', 'kcash_usdt', 'mdt_usdt', 'theta_usdt', 'ppt_usdt', 'utk_usdt', 'qvt_usdt', 'salt_usdt', 'la_usdt', 'itc_usdt', 'fair_usdt', 'yee_usdt', '1st_usdt', 'fun_usdt', 'iost_usdt', 'mkr_usdt', 'tio_usdt', 'req_usdt', 'ubtc_usdt', 'icx_usdt', 'tct_usdt', 'san_usdt', 'lrc_usdt', 'icn_usdt', 'cvc_usdt', 'eth_usdt', 'poe_usdt', 'xlm_usdt', 'iota_usdt', 'eos_usdt', 'nuls_usdt', 'mot_usdt', 'neo_usdt', 'gnx_usdt', 'dgb_usdt', 'evx_usdt', 'ltc_usdt', 'mda_usdt', 'etc_usdt', 'dpy_usdt', 'tnb_usdt', 'nas_usdt', 'btc_usdt', 'smt_usdt', 'ssc_usdt', 'oax_usdt', 'yoyo_usdt', 'snc_usdt', 'sngls_usdt', 'bch_usdt', 'mana_usdt', 'mof_usdt', 'mco_usdt', 'vib_usdt', 'topc_usdt', 'pra_usdt', 'bnt_usdt', 'xmr_usdt', 'edo_usdt', 'snt_usdt', 'eng_usdt', 'stc_usdt', 'qtum_usdt', 'key_usdt', 'ins_usdt', 'rnt_usdt', 'bcd_usdt', 'amm_usdt', 'lend_usdt', 'btm_usdt', 'elf_usdt', 'xuc_usdt', 'cag_usdt', 'snm_usdt', 'act_usdt', 'dash_usdt', 'zec_usdt', 'storj_usdt', 'pay_usdt', 'vee_usdt', 'show_usdt', 'trx_usdt', 'atl_usdt', 'ark_usdt', 'ost_usdt', 'gnt_usdt', 'dat_usdt', 'rcn_usdt', 'qun_usdt', 'mth_usdt', 'rct_usdt', 'read_usdt', 'gas_usdt', 'btg_usdt', 'mtl_usdt', 'cmt_usdt', 'xrp_usdt', 'spf_usdt', 'aac_usdt', 'can_usdt', 'omg_usdt', 'hsr_usdt', 'link_usdt', 'dnt_usdt', 'true_usdt', 'ukg_usdt', 'xem_usdt', 'ngc_usdt', 'lev_usdt', 'rdn_usdt', 'ace_usdt', 'ipc_usdt', 'ugc_usdt', 'viu_usdt', 'mag_usdt', 'hot_usdt', 'pst_usdt', -'ref_btc', 'soc_btc', 'light_btc', 'avt_btc', 'of_btc', 'brd_btc', 'ast_btc', 'int_btc', 'zrx_btc', 'ctr_btc', 'dgd_btc', 'aidoc_btc', 'wtc_btc', 'swftc_btc', 'wrc_btc', 'sub_btc', 'dna_btc', 'knc_btc', 'kcash_btc', 'mdt_btc', 'theta_btc', 'ppt_btc', 'utk_btc', 'qvt_btc', 'salt_btc', 'la_btc', 'itc_btc', 'fair_btc', 'yee_btc', '1st_btc', 'fun_btc', 'iost_btc', 'mkr_btc', 'tio_btc', 'req_btc', 'ubtc_btc', 'icx_btc', 'tct_btc', 'san_btc', 'lrc_btc', 'icn_btc', 'cvc_btc', 'eth_btc', 'poe_btc', 'xlm_btc', 'iota_btc', 'eos_btc', 'nuls_btc', 'mot_btc', 'neo_btc', 'gnx_btc', 'dgb_btc', 'evx_btc', 'ltc_btc', 'mda_btc', 'etc_btc', 'dpy_btc', 'tnb_btc', 'nas_btc', 'btc_btc', 'smt_btc', 'ssc_btc', 'oax_btc', 'yoyo_btc', 'snc_btc', 'sngls_btc', 'bch_btc', 'mana_btc', 'mof_btc', 'mco_btc', 'vib_btc', 'topc_btc', 'pra_btc', 'bnt_btc', 'xmr_btc', 'edo_btc', 'snt_btc', 'eng_btc', 'stc_btc', 'qtum_btc', 'key_btc', 'ins_btc', 'rnt_btc', 'bcd_btc', 'amm_btc', 'lend_btc', 'btm_btc', 'elf_btc', 'xuc_btc', 'cag_btc', 'snm_btc', 'act_btc', 'dash_btc', 'zec_btc', 'storj_btc', 'pay_btc', 'vee_btc', 'show_btc', 'trx_btc', 'atl_btc', 'ark_btc', 'ost_btc', 'gnt_btc', 'dat_btc', 'rcn_btc', 'qun_btc', 'mth_btc', 'rct_btc', 'read_btc', 'gas_btc', 'btg_btc', 'mtl_btc', 'cmt_btc', 'xrp_btc', 'spf_btc', 'aac_btc', 'can_btc', 'omg_btc', 'hsr_btc', 'link_btc', 'dnt_btc', 'true_btc', 'ukg_btc', 'xem_btc', 'ngc_btc', 'lev_btc', 'rdn_btc', 'ace_btc', 'ipc_btc', 'ugc_btc', 'viu_btc', 'mag_btc', 'hot_btc', 'pst_btc'] - - -######################################################################## -class OkexGateway(VtGateway): - """OKEX交易接口""" - - #---------------------------------------------------------------------- - def __init__(self, eventEngine, gatewayName='OKEX'): - """Constructor""" - super(OkexGateway, self).__init__(eventEngine, gatewayName) - - self.api_spot = SpotApi(self) - # self.api_contract = Api_contract(self) - - self.leverage = 0 - self.connected = False - - self.fileName = self.gatewayName + '_connect.json' - self.filePath = getJsonPath(self.fileName, __file__) - - #---------------------------------------------------------------------- - def connect(self): - """连接""" - # 载入json文件 - try: - f = file(self.filePath) - except IOError: - log = VtLogData() - log.gatewayName = self.gatewayName - log.logContent = u'读取连接配置出错，请检查' - self.onLog(log) - return - - # 解析json文件 - setting = json.load(f) - try: - apiKey = str(setting['apiKey']) - secretKey = str(setting['secretKey']) - trace = setting['trace'] - leverage = setting['leverage'] - except KeyError: - log = VtLogData() - log.gatewayName = self.gatewayName - log.logContent = u'连接配置缺少字段，请检查' - self.onLog(log) - return - - # 初始化接口 - self.leverage = leverage - - self.api_spot.active = True - self.api_spot.connect(apiKey, secretKey, trace) - - log = VtLogData() - log.gatewayName = self.gatewayName - log.logContent = u'接口初始化成功' - self.onLog(log) - - # 启动查询 - # self.initQuery() - # self.startQuery() - - #---------------------------------------------------------------------- - def subscribe(self, subscribeReq): - """订阅行情""" - self.api_spot.subscribe(subscribeReq) - - #---------------------------------------------------------------------- - def sendOrder(self, orderReq): - """发单""" - return self.api_spot.spotSendOrder(orderReq) - - #---------------------------------------------------------------------- - def cancelOrder(self, cancelOrderReq): - """撤单""" - self.api_spot.spotCancel(cancelOrderReq) - - #---------------------------------------------------------------------- - def qryAccount(self): - """查询账户资金""" - self.api_spot.spotUserInfo() - - #---------------------------------------------------------------------- - def qryOrderInfo(self): - self.api_spot.spotAllOrders() - - #---------------------------------------------------------------------- - def qryPosition(self): - """查询持仓""" - pass - - #---------------------------------------------------------------------- - def close(self): - """关闭""" - self.api_spot.active = False - self.api_spot.close() - - #---------------------------------------------------------------------- - def initQuery(self): - """初始化连续查询""" - if self.qryEnabled: - # 需要循环的查询函数列表 - #self.qryFunctionList = [self.qryAccount, self.qryOrderInfo] - self.qryFunctionList = [ self.qryOrderInfo] - #self.qryFunctionList = [] - - self.qryCount = 0 # 查询触发倒计时 - self.qryTrigger = 2 # 查询触发点 - self.qryNextFunction = 0 # 上次运行的查询函数索引 - - self.startQuery() - - #---------------------------------------------------------------------- - def query(self, event): - """注册到事件处理引擎上的查询函数""" - self.qryCount += 1 - - if self.qryCount > self.qryTrigger: - # 清空倒计时 - self.qryCount = 0 - - # 执行查询函数 - function = self.qryFunctionList[self.qryNextFunction] - function() - - # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 - self.qryNextFunction += 1 - if self.qryNextFunction == len(self.qryFunctionList): - self.qryNextFunction = 0 - - #---------------------------------------------------------------------- - def startQuery(self): - """启动连续查询""" - self.eventEngine.register(EVENT_TIMER, self.query) - - #---------------------------------------------------------------------- - def setQryEnabled(self, qryEnabled): - """设置是否要启动循环查询""" - self.qryEnabled = qryEnabled - - -######################################################################## -class SpotApi(OkexSpotApi): - """okex的API实现""" - - #---------------------------------------------------------------------- - def __init__(self, gateway): - """Constructor""" - super(SpotApi, self).__init__() - - self.gateway = gateway # gateway对象 - self.gatewayName = gateway.gatewayName # gateway对象名称 - self.active = False # 若为True则会在断线后自动重连 - - self.cbDict = {} - self.tickDict = {} - self.orderDict = {} - - self.channelSymbolMap = {} - - self.localNo = 0 # 本地委托号 - self.localNoQueue = Queue() # 未收到系统委托号的本地委托号队列 - self.localNoDict = {} # key为本地委托号，value为系统委托号 - self.orderIdDict = {} # key为系统委托号，value为本地委托号 - self.cancelDict = {} # key为本地委托号，value为撤单请求 - - self.recordOrderId_BefVolume = {} # 记录的之前处理的量 - - self.cache_some_order = {} - self.tradeID = 0 - - self.registerSymbolPairArray = set([]) - - self.initCallback() - - ''' - 登录后，每次订单执行撤销后又这样的 推送。。不知道干啥的。先过滤掉了 - {u'binary': 1, u'product': u'spot', u'type': u'order', u'base': u'etc' -, u'quote': u'usdt', u'data': {u'status': -1, u'orderType': 0, u'price': u'25.4050', u'modifyTime': -1512288275000L, u'userId': 6548935, u'createTime': 1512288275000L, u'source': 0, u'quoteSize': u'0.0 -0000000', u'executedValue': u'0.00000000', u'id': 62877909, u'filledSize': u'0.00000000', u'side': 1 -, u'size': u'0.01000000'}} - ''' - #---------------------------------------------------------------------- - def onMessage(self, ws, evt): - """信息推送""" - # print evt - - data = self.readData(evt)[0] - try: - channel = data['channel'] - except Exception as ex: - channel = None - if channel == None: - return - # try: - if channel == "addChannel" and 'data' in data: - channel = data['data']["channel"] - if channel != "addChannel" and 'future' not in channel and channel != 'login': - - # print channel - callback = self.cbDict[channel] - callback(data) - - # if 'depth' not in channel and 'ticker' not in channel and 'deals' not in channel and 'userinfo' not in channel and 'future' not in channel: - # print data - - # except Exception,ex: - # print "Error in callback cbDict ", channel - - #print self.cbDict - - #---------------------------------------------------------------------- - def onError(self, ws, evt): - """错误推送""" - error = VtErrorData() - error.gatewayName = self.gatewayName - error.errorMsg = str(evt) - self.gateway.onError(error) - - #---------------------------------------------------------------------- - def onError(self, data): - error = VtErrorData() - error.gatewayName = self.gatewayName - error.errorMsg = str(data["data"]["error_code"]) - self.gateway.onError(error) - - #---------------------------------------------------------------------- - def onClose(self, ws): - """接口断开""" - # 如果尚未连上，则忽略该次断开提示 - if not self.gateway.connected: - return - - self.gateway.connected = False - self.writeLog(u'服务器连接断开') - - # 重新连接 - if self.active: - def reconnect(): - while not self.gateway.connected: - self.writeLog(u'等待10秒后重新连接') - sleep(10) - if not self.gateway.connected: - self.reconnect() - - t = Thread(target=reconnect) - t.start() - #---------------------------------------------------------------------- - def subscribe(self, subscribeReq): - symbol_pair_gateway = subscribeReq.symbol - arr = symbol_pair_gateway.split('.') - symbol_pair = arr[0] - - if symbol_pair not in self.registerSymbolPairArray: - self.registerSymbolPairArray.add(symbol_pair) - self.subscribeSingleSymbol(symbol_pair) - - self.spotOrderInfo(symbol_pair, '-1') - - #---------------------------------------------------------------------- - def subscribeSingleSymbol(self, symbol): - if symbol in okex_all_symbol_pairs: - self.subscribeSpotTicker(symbol) - self.subscribeSpotDepth5(symbol) - #self.subscribeSpotDeals(symbol) - - #---------------------------------------------------------------------- - def spotAllOrders(self): - print(spotAllOrders) - for symbol in registerSymbolPairArray: - if symbol in okex_all_symbol_pairs: - self.spotOrderInfo(symbol, '-1') - - for orderId in self.orderIdDict.keys(): - order = self.orderDict.get(orderId, None) - if order != None: - symbol_pair = (order.symbol.split('.'))[0] - self.spotOrderInfo(symbol_pair, orderId) - - #---------------------------------------------------------------------- - def onOpen(self, ws): - """连接成功""" - self.gateway.connected = True - self.writeLog(u'服务器连接成功') - - self.login() - # 连接后查询账户和委托数据 - self.spotUserInfo() - - self.subscribeSingleSymbol("etc_usdt") - for symbol in okex_all_symbol_pairs: - # self.subscribeSpotTicker(symbol) - # self.subscribeSpotDepth5(symbol) - # self.subscribeSpotDeals(symbol) - - #Ticker数据 - self.channelSymbolMap["ok_sub_spot_%s_ticker" % symbol] = symbol - #盘口的深度 - self.channelSymbolMap["ok_sub_spot_%s_depth_5" % symbol] = symbol - #所有人的交易数据 - self.channelSymbolMap["ok_sub_spot_%s_deals" % symbol] = symbol - - contract = VtContractData() - contract.gatewayName = self.gatewayName - contract.symbol = symbol - contract.exchange = EXCHANGE_OKEX - contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) - contract.name = u'OKEX现货%s' % symbol - contract.size = 0.00001 - contract.priceTick = 0.00001 - contract.productClass = PRODUCT_SPOT - self.gateway.onContract(contract) - - ''' - [{ - "channel":"ok_sub_spot_bch_btc_deals", - "data":[["1001","2463.86","0.052","16:34:07","ask"]] - }] - ''' - #---------------------------------------------------------------------- - def onSpotSubDeals(self, data): - if 'data' not in data: - return - rawData = data["data"] - - # print rawData - - - #---------------------------------------------------------------------- - def writeLog(self, content): - """快速记录日志""" - log = VtLogData() - log.gatewayName = self.gatewayName - log.logContent = content - self.gateway.onLog(log) - - #---------------------------------------------------------------------- - def initCallback(self): - """初始化回调函数""" - # USD_SPOT - for symbol_pair in okex_all_symbol_pairs: - self.cbDict["ok_sub_spot_%s_ticker" % symbol_pair] = self.onTicker - self.cbDict["ok_sub_spot_%s_depth_5" % symbol_pair] = self.onDepth - self.cbDict["ok_sub_spot_%s_deals" % symbol_pair] = self.onSpotSubDeals - - self.cbDict["ok_sub_spot_%s_order" % symbol_pair] = self.onSpotSubOrder - self.cbDict["ok_sub_spot_%s_balance" % symbol_pair] = self.onSpotBalance - - self.cbDict['ok_spot_userinfo'] = self.onSpotUserInfo - self.cbDict['ok_spot_orderinfo'] = self.onSpotOrderInfo - - # 下面这两个好像废弃了 - #self.cbDict['ok_sub_spot_userinfo'] = self.onSpotSubUserInfo - #self.cbDict['ok_sub_spot_trades'] = self.onSpotSubTrades - - self.cbDict['ok_spot_order'] = self.onSpotOrder - self.cbDict['ok_spot_cancel_order'] = self.onSpotCancelOrder - - ''' - [ - { - "binary": 0, - "channel": "ok_sub_spot_bch_btc_ticker", - "data": { - "high": "10000", - "vol": "185.03743858", - "last": "111", - "low": "0.00000001", - "buy": "115", - "change": "101", - "sell": "115", - "dayLow": "0.00000001", - "dayHigh": "10000", - "timestamp": 1500444626000 - } - } - ] - ''' - #---------------------------------------------------------------------- - def onTicker(self, data): - """""" - if 'data' not in data: - return - - channel = data['channel'] - if channel == 'addChannel': - return - try: - symbol = self.channelSymbolMap[channel] - - if symbol not in self.tickDict: - tick = VtTickData() - tick.exchange = EXCHANGE_OKEX - tick.symbol = '.'.join([symbol, tick.exchange]) - tick.vtSymbol = '.'.join([symbol, tick.exchange]) - - tick.gatewayName = self.gatewayName - self.tickDict[symbol] = tick - else: - tick = self.tickDict[symbol] - - rawData = data['data'] - tick.highPrice = float(rawData['high']) - tick.lowPrice = float(rawData['low']) - tick.lastPrice = float(rawData['last']) - tick.volume = float(rawData['vol'].replace(',', '')) - # tick.date, tick.time = self.generateDateTime(rawData['timestamp']) - - # print "ticker", tick.date, tick.time - # newtick = copy(tick) - # self.gateway.onTick(newtick) - except Exception as ex: - print("Error in onTicker ", channel) - - #---------------------------------------------------------------------- - def onDepth(self, data): - """""" - if 'data' not in data: - return - try: - channel = data['channel'] - symbol = self.channelSymbolMap[channel] - except Exception as ex: - symbol = None - - if symbol == None: - return - - if symbol not in self.tickDict: - tick = VtTickData() - tick.symbol = symbol - tick.vtSymbol = symbol - tick.gatewayName = self.gatewayName - self.tickDict[symbol] = tick - else: - tick = self.tickDict[symbol] - - if 'data' not in data: - return - rawData = data['data'] - - - tick.bidPrice1, tick.bidVolume1 = rawData['bids'][0] - tick.bidPrice2, tick.bidVolume2 = rawData['bids'][1] - tick.bidPrice3, tick.bidVolume3 = rawData['bids'][2] - tick.bidPrice4, tick.bidVolume4 = rawData['bids'][3] - tick.bidPrice5, tick.bidVolume5 = rawData['bids'][4] - - tick.askPrice1, tick.askVolume1 = rawData['asks'][-1] - tick.askPrice2, tick.askVolume2 = rawData['asks'][-2] - tick.askPrice3, tick.askVolume3 = rawData['asks'][-3] - tick.askPrice4, tick.askVolume4 = rawData['asks'][-4] - tick.askPrice5, tick.askVolume5 = rawData['asks'][-5] - - tick.date, tick.time = self.generateDateTime(rawData['timestamp']) - # print "Depth", tick.date, tick.time - - newtick = copy(tick) - self.gateway.onTick(newtick) - - ''' - [ - { - "base": "bch", - "binary": 0, - "channel": "ok_sub_spot_bch_btc_balance", - "data": { - "info": { - "free": { - "btc": 5814.850605790395 - }, - "freezed": { - "btc": 7341 - } - } - }, - "product": "spot", - "quote": "btc", - "type": "order" - } - ] - ''' - def onSpotBalance(self, data): - """交易发生金额变动之后会触发这个函数""" - # print data - - rawData = data['data'] - info = rawData['info'] - - for symbol in info["freezed"].keys(): - pos = VtPositionData() - pos.gatewayName = self.gatewayName - pos.symbol = symbol + "." + EXCHANGE_OKEX - pos.vtSymbol = symbol + "." + EXCHANGE_OKEX - pos.direction = DIRECTION_NET - pos.frozen = float(info['freezed'][symbol]) - pos.position = pos.frozen + float(info['free'][symbol]) - - self.gateway.onPosition(pos) - - ''' - [{"binary":0,"channel":"ok_spot_userinfo","data":{"result":true,"info":{"funds":{"borrow":{"dgd":"0" -,"bcd":"0","bcc":"0","bch":"0","hsr":"0","xuc":"0","omg":"0","eos":"0","qtum":"0","btc":"0","act":"0 -","bcs":"0","btg":"0","etc":"0","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0","ltc":"0","bt1":" -0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"},"free":{"dgd":"0","bcd -":"0","bcc":"0","bch":"0","hsr":"0","xuc":"3","omg":"0","eos":"0","qtum":"0","btc":"0.00266884258369 -","act":"0","bcs":"0","btg":"0","etc":"7.9909635","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0" -,"ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"},"fre -ezed":{"dgd":"0","bcd":"0","bcc":"0","bch":"0","hsr":"0","xuc":"0","omg":"0","eos":"0","qtum":"0","b -tc":"0","act":"0","bcs":"0","btg":"0","etc":"0","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0"," -ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"}}}}}] -{u'binary': 0, u'data': {u'info': {u'funds': {u'freezed': {u'zec': u'0', u'usdt': u'0', u'btg': u'0' -, u'btc': u'0', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj': u'0', u'iota': u'0', u'omg': u'0 -', u'dgd': u'0', u'bt2': u'0', u'xuc': u'0', u'gas': u'0', u'hsr': u'0', u'snt': u'0', u'dash': u'0' -, u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc': u'0', u'eos': u'0', u'etc': u'0', - u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, u'borrow': {u'zec': u'0', u'usdt': u'0', u -'btg': u'0', u'btc': u'0', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj': u'0', u'iota': u'0', -u'omg': u'0', u'dgd': u'0', u'bt2': u'0', u'xuc': u'0', u'gas': u'0', u'hsr': u'0', u'snt': u'0', u' -dash': u'0', u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc': u'0', u'eos': u'0', u' -etc': u'0', u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, u'free': {u'zec': u'0', u'usdt' -: u'0', u'btg': u'0', u'btc': u'0.00266884258369', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj -': u'0', u'iota': u'0', u'omg': u'0', u'dgd': u'0', u'bt2': u'0', u'xuc': u'3', u'gas': u'0', u'hsr' -: u'0', u'snt': u'0', u'dash': u'0', u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc' -: u'0', u'eos': u'0', u'etc': u'7.9909635', u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}} -}, u'result': True}, u'channel': u'ok_spot_userinfo'} - ''' - #---------------------------------------------------------------------- - def onSpotUserInfo(self, data): - """现货账户资金推送""" - rawData = data['data'] - info = rawData['info'] - funds = rawData['info']['funds'] - - # 持仓信息 - for symbol in ['btc', 'ltc','eth', self.currency]: - #for symbol in : - if symbol in funds['free']: - pos = VtPositionData() - pos.gatewayName = self.gatewayName - - pos.symbol = symbol + "." + EXCHANGE_OKEX - pos.vtSymbol = symbol + "." + EXCHANGE_OKEX - pos.vtPositionName = symbol - pos.direction = DIRECTION_NET - - pos.frozen = float(funds['freezed'][symbol]) - pos.position = pos.frozen + float(funds['free'][symbol]) - - self.gateway.onPosition(pos) - - # 账户资金 - account = VtAccountData() - account.gatewayName = self.gatewayName - account.accountID = self.gatewayName - account.vtAccountID = account.accountID - account.balance = 0.0 - #account.balance = float(funds['asset']['net']) - self.gateway.onAccount(account) - - #---------------------------------------------------------------------- - # 这个 API 现在文档没找到。。 好像废弃了 - def onSpotSubUserInfo(self, data): - """现货账户资金推送""" - if 'data' not in data: - return - - rawData = data['data'] - info = rawData['info'] - - # 持仓信息 - #for symbol in ['btc', 'ltc','eth', self.currency]: - for symbol in SPOT_CURRENCY: - if symbol in info['free']: - pos = VtPositionData() - pos.gatewayName = self.gatewayName - - pos.symbol = symbol + "." + EXCHANGE_OKEX - pos.vtSymbol = symbol + "." + EXCHANGE_OKEX - pos.vtPositionName = symbol - pos.direction = DIRECTION_NET - - pos.frozen = float(info['freezed'][symbol]) - pos.position = pos.frozen + float(info['free'][symbol]) - - self.gateway.onPosition(pos) - - ''' - 交易数据 - [ - { - "base": "bch", - "binary": 0, - "channel": "ok_sub_spot_bch_btc_order", - "data": { - "symbol": "bch_btc", - "tradeAmount": "1.00000000", - "createdDate": "1504530228987", - "orderId": 6191, - "completedTradeAmount": "0.00000000", - "averagePrice": "0", - "tradePrice": "0.00000000", - "tradeType": "buy", - "status": 0, - "tradeUnitPrice": "113.00000000" - }, - "product": "spot", - "quote": "btc", - "type": "balance" - } - ] - - {u'binary': 0, u'data': {u'orderId': 62870564, u'status': 0, u'tradeType': u'sell', u'tradeUnitPrice -': u'25.3500', u'symbol': u'etc_usdt', u'tradePrice': u'0.0000', u'createdDate': u'1512287172393', u -'averagePrice': u'0', u'tradeAmount': u'0.01000000', u'completedTradeAmount': u'0.00000000'}, u'chan -nel': u'ok_sub_spot_etc_usdt_order'} - ''' - #---------------------------------------------------------------------- - def onSpotSubOrder(self, data): - """交易数据""" - if 'data' not in data: - return - - rawData = data["data"] - - # 本地和系统委托号 - orderId = str(rawData['orderId']) - - # 这时候出现None, 情况是 已经发出了单子，但是系统这里还没建立 索引 - # 先这样返回试一下 - # 因为 发完单，订单变化是先推送的。。导致不清楚他的localID - # 现在的处理方式是， 先缓存这里的信息，等到出现了 localID，再来处理这一段 - localNo = self.orderIdDict.get(orderId, None) - if localNo == None: - arr = self.cache_some_order.get(orderId, None) - if arr == None: - arr = [] - arr.append(data) - self.cache_some_order[orderId] = arr - else: - arr.append(data) - return - - # 委托信息 - if orderId not in self.orderDict: - order = VtOrderData() - order.gatewayName = self.gatewayName - - order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX]) - #order.symbol = spotSymbolMap[rawData['symbol']] - order.vtSymbol = order.symbol - - order.orderID = localNo - order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) - - order.price = float(rawData['tradeUnitPrice']) - order.totalVolume = float(rawData['tradeAmount']) - order.direction, priceType = priceTypeMap[rawData['tradeType']] - - self.orderDict[orderId] = order - else: - order = self.orderDict[orderId] - - order.tradedVolume = float(rawData['completedTradeAmount']) - order.status = statusMap[rawData['status']] - - self.gateway.onOrder(copy(order)) - - - bef_volume = self.recordOrderId_BefVolume.get(orderId, 0.0 ) - now_volume = float(rawData['completedTradeAmount']) - bef_volume - - if now_volume > 0.000001: - trade = VtTradeData() - trade.gatewayName = self.gatewayName - - trade.symbol = order.symbol - trade.vtSymbol = order.symbol - - self.tradeID += 1 - trade.tradeID = str(self.tradeID) - trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) - - trade.orderID = localNo - trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) - - trade.price = float(rawData['tradeUnitPrice']) - trade.volume = float(now_volume) - - trade.direction, priceType = priceTypeMap[rawData['tradeType']] - - trade.tradeTime = datetime.now().strftime('%H:%M:%S') - - self.gateway.onTrade(trade) - - """ - 原来的OK coin方式，不过数据一直没有 所以换一种方式 - # 成交信息 - if 'sigTradeAmount' in rawData and float(rawData['sigTradeAmount'])>0: - trade = VtTradeData() - trade.gatewayName = self.gatewayName - - trade.symbol = spotSymbolMap[rawData['symbol']] - trade.vtSymbol = order.symbol - - trade.tradeID = str(rawData['id']) - trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) - - trade.orderID = localNo - trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) - - trade.price = float(rawData['sigTradePrice']) - trade.volume = float(rawData['sigTradeAmount']) - - trade.direction, priceType = priceTypeMap[rawData['tradeType']] - - trade.tradeTime = datetime.now().strftime('%H:%M:%S') - - self.gateway.onTrade(trade) - """ - ''' - [ - { - "binary": 0, - "channel": "ok_spot_orderinfo", - "data": { - "result": true, - "orders": [ - { - "symbol": "bch_btc", - "amount": "0.10000000", - "price": "1.00000000", - "avg_price": 0, - "create_date": 1504529828000, - "type": "buy", - "deal_amount": 0, - "order_id": 6189, - "status": -1 - } - ] - } - } - ] - ''' - #---------------------------------------------------------------------- - def onSpotOrderInfo(self, data): - """委托信息查询回调""" - if "error_code" in data.keys(): - print(data) - return - rawData = data['data'] - for d in rawData['orders']: - self.localNo += 1 - localNo = str(self.localNo) - orderId = str(d['order_id']) - - self.localNoDict[localNo] = orderId - self.orderIdDict[orderId] = localNo - - if orderId not in self.orderDict: - order = VtOrderData() - order.gatewayName = self.gatewayName - - #order.symbol = spotSymbolMap[d['symbol']] - order.symbol = '.'.join([d["symbol"], EXCHANGE_OKEX]) - order.vtSymbol = order.symbol - - order.orderID = localNo - order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) - - order.price = d['price'] - order.totalVolume = d['amount'] - order.direction, priceType = priceTypeMap[d['type']] - - self.orderDict[orderId] = order - else: - order = self.orderDict[orderId] - - order.tradedVolume = d['deal_amount'] - order.status = statusMap[d['status']] - - self.gateway.onOrder(copy(order)) - - ''' - [ - { - "binary": 0, - "channel": "ok_spot_order", - "data": { - "result": true, - "order_id": 6189 - } - } - ] - ''' - def onSpotOrder(self, data): - rawData = data['data'] - if 'error_code' in rawData.keys(): - print(data) - return - - orderId = str(rawData['order_id']) - - # 尽管websocket接口的委托号返回是异步的，但经过测试是 - # 符合先发现回的规律，因此这里通过queue获取之前发送的 - # 本地委托号，并把它和推送的系统委托号进行映射 - - # localNo = self.orderIdDict.get(orderId, None) - # if localNo == None: - - localNo = self.localNoQueue.get_nowait() - - self.localNoDict[localNo] = orderId - self.orderIdDict[orderId] = localNo - - # print orderId, self.cache_some_order - if orderId in self.cache_some_order.keys(): - arr = self.cache_some_order[orderId] - for d in arr: - self.onSpotSubOrder(d) - - # 处理完就删除掉这里 - del self.cache_some_order[orderId] - - # 检查是否有系统委托号返回前就发出的撤单请求，若有则进 - # 行撤单操作 - if localNo in self.cancelDict: - req = self.cancelDict[localNo] - self.spotCancel(req) - del self.cancelDict[localNo] - - - ''' - [ - { - "binary": 0, - "channel": "ok_spot_cancel_order", - "data": { - "result": true, - "order_id": "125433027" - } - } - ] - ''' - #---------------------------------------------------------------------- - def onSpotCancelOrder(self, data): - """撤单回报""" - if 'data' not in data: - return - - if 'error' in data["data"].keys(): - self.onError(data) - return - - rawData = data['data'] - orderId = str(rawData['order_id']) - - localNo = self.orderIdDict[orderId] - - if orderId not in self.orderDict: - order = VtOrderData() - order.gatewayName = self.gatewayName - - order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX]) - order.vtSymbol = order.symbol - - order.orderID = localNo - order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) - - self.orderDict[orderId] = order - else: - order = self.orderDict[orderId] - - order.status = STATUS_CANCELLED - self.gateway.onOrder(order) - - del self.orderDict[orderId] - del self.orderIdDict[orderId] - del self.localNoDict[localNo] - - - if orderId in self.cache_some_order.keys(): - del self.cache_some_order[orderId] - - #---------------------------------------------------------------------- - def spotSendOrder(self, req): - """发单""" - #symbol = spotSymbolMapReverse[req.symbol][:4] - symbol = (req.symbol.split('.'))[0] - type_ = priceTypeMapReverse[(req.direction, req.priceType)] - - self.spotTrade(symbol, type_, str(req.price), str(req.volume)) - - # 本地委托号加1，并将对应字符串保存到队列中，返回基于本地委托号的vtOrderID - self.localNo += 1 - self.localNoQueue.put(str(self.localNo)) - vtOrderID = '.'.join([self.gatewayName, str(self.localNo)]) - return vtOrderID - - #---------------------------------------------------------------------- - def spotCancel(self, req): - """撤单""" - #symbol = spotSymbolMapReverse[req.symbol][:4] - symbol = (req.symbol.split('.'))[0] - localNo = req.orderID - - if localNo in self.localNoDict: - orderID = self.localNoDict[localNo] - self.spotCancelOrder(symbol, orderID) - else: - # 如果在系统委托号返回前客户就发送了撤单请求，则保存 - # 在cancelDict字典中，等待返回后执行撤单任务 - self.cancelDict[localNo] = req - - #---------------------------------------------------------------------- - def generateDateTime(self, s): - """生成时间""" - dt = datetime.fromtimestamp(float(s)/1e3) - time = dt.strftime("%H:%M:%S.%f") - date = dt.strftime("%Y%m%d") - return date, time diff --git a/vnpy/trader/gateway/huobiGateway/huobiGateway.py b/vnpy/trader/gateway/huobiGateway/huobiGateway.py index b3fc31d4..2b84a7ee 100644 --- a/vnpy/trader/gateway/huobiGateway/huobiGateway.py +++ b/vnpy/trader/gateway/huobiGateway/huobiGateway.py @@ -322,7 +322,6 @@ class HuobiDataApi(DataApi): self.gateway.onTick(tick) - ######################################################################## class HuobiTradeApi(TradeApi): """交易API实现""" From 653357e58233f4f6c1b88678caebc85a27a0e9ae Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Fri, 1 Jun 2018 12:31:12 +0800 Subject: [PATCH 013/135] =?UTF-8?q?[Add]OKEX=E6=8E=A5=E5=8F=A3=E5=AE=8C?= =?UTF-8?q?=E5=96=84=E8=87=AA=E5=8A=A8=E9=87=8D=E8=BF=9E=E6=9C=BA=E5=88=B6?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/okex/vnokex.py | 49 ++++++++++++++----- .../trader/gateway/okexGateway/okexGateway.py | 7 ++- 2 files changed, 42 insertions(+), 14 deletions(-) diff --git a/vnpy/api/okex/vnokex.py b/vnpy/api/okex/vnokex.py index b2b86db0..09500e59 100644 --- a/vnpy/api/okex/vnokex.py +++ b/vnpy/api/okex/vnokex.py @@ -75,14 +75,16 @@ class OkexApi(object): self.heartbeatCount = 0 # 心跳计数 self.heartbeatThread = None # 心跳线程 self.heartbeatReceived = True # 心跳是否收到 + + self.reconnecting = False # 重新连接中 #---------------------------------------------------------------------- def heartbeat(self): """""" while self.active: self.heartbeatCount += 1 - - if self.heartbeatCount < 30: + + if self.heartbeatCount < 10: sleep(1) else: self.heartbeatCount = 0 @@ -90,16 +92,26 @@ class OkexApi(object): if not self.heartbeatReceived: self.reconnect() else: + self.heartbeatReceived = False d = {'event': 'ping'} j = json.dumps(d) - self.ws.send(j) - self.heartbeatReceived = False + + try: + self.ws.send(j) + except websocket.WebSocketConnectionClosedException: + self.reconnect() + #---------------------------------------------------------------------- def reconnect(self): """重新连接""" - self.close() # 首先关闭之前的连接 - self.initWebsocket() + if not self.reconnecting: + self.reconnecting = True + + self.closeWebsocket() # 首先关闭之前的连接 + self.initWebsocket() + + self.reconnecting = False #---------------------------------------------------------------------- def connect(self, host, apiKey, secretKey, trace=False): @@ -132,15 +144,24 @@ class OkexApi(object): return data #---------------------------------------------------------------------- - def close(self): + def closeHeartbeat(self): """关闭接口""" if self.heartbeatThread and self.heartbeatThread.isAlive(): self.active = False self.heartbeatThread.join() - + + #---------------------------------------------------------------------- + def closeWebsocket(self): + """关闭WS""" if self.wsThread and self.wsThread.isAlive(): self.ws.close() self.wsThread.join() + + #---------------------------------------------------------------------- + def close(self): + """""" + self.closeHeartbeat() + self.closeWebsocket() #---------------------------------------------------------------------- def onMessage(self, data): @@ -186,8 +207,9 @@ class OkexApi(object): #---------------------------------------------------------------------- def onOpenCallback(self, ws): """""" - self.heartbeatThread = Thread(target=self.heartbeat) - self.heartbeatThread.start() + if not self.heartbeatThread: + self.heartbeatThread = Thread(target=self.heartbeat) + self.heartbeatThread.start() self.onOpen() @@ -221,8 +243,10 @@ class OkexApi(object): # 若触发异常则重连 try: self.ws.send(j) + return True except websocket.WebSocketConnectionClosedException: - pass + self.reconnect() + return False #---------------------------------------------------------------------- def login(self): @@ -241,6 +265,7 @@ class OkexApi(object): self.ws.send(j) return True except websocket.WebSocketConnectionClosedException: + self.reconnect() return False @@ -288,7 +313,7 @@ class OkexSpotApi(OkexApi): channel = 'ok_spot_order' - self.sendRequest(channel, params) + return self.sendRequest(channel, params) #---------------------------------------------------------------------- def spotCancelOrder(self, symbol, orderid): diff --git a/vnpy/trader/gateway/okexGateway/okexGateway.py b/vnpy/trader/gateway/okexGateway/okexGateway.py index 9ee1cf79..0d0dad32 100644 --- a/vnpy/trader/gateway/okexGateway/okexGateway.py +++ b/vnpy/trader/gateway/okexGateway/okexGateway.py @@ -524,7 +524,6 @@ class SpotApi(OkexSpotApi): """初始化接口""" self.symbols = symbols self.initCallback() - self.connect(OKEX_SPOT_HOST, apiKey, secretKey, trace) self.writeLog(u'接口初始化成功') @@ -533,7 +532,11 @@ class SpotApi(OkexSpotApi): """发单""" type_ = priceTypeMapReverse[(req.direction, req.priceType)] req.volume = 0.001 - self.spotOrder(req.symbol, type_, str(req.price), str(req.volume)) + result = self.spotOrder(req.symbol, type_, str(req.price), str(req.volume)) + + # 若请求失败，则返回空字符串委托号 + if not result: + return '' # 本地委托号加1，并将对应字符串保存到队列中，返回基于本地委托号的vtOrderID self.localNo += 1 From fe211876dab1b9544eb491d60ecba37f858dd29e Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 2 Jun 2018 21:21:19 +0800 Subject: [PATCH 014/135] =?UTF-8?q?[Del]=E7=A7=BB=E9=99=A4okexGateway?= =?UTF-8?q?=E6=B5=8B=E8=AF=95=E6=97=B6=E7=9A=84=E5=BC=BA=E5=88=B6=E6=95=B0?= =?UTF-8?q?=E9=87=8F=E4=BB=A3=E7=A0=81?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/okexGateway/okexGateway.py | 1 - 1 file changed, 1 deletion(-) diff --git a/vnpy/trader/gateway/okexGateway/okexGateway.py b/vnpy/trader/gateway/okexGateway/okexGateway.py index 0d0dad32..e50fa706 100644 --- a/vnpy/trader/gateway/okexGateway/okexGateway.py +++ b/vnpy/trader/gateway/okexGateway/okexGateway.py @@ -531,7 +531,6 @@ class SpotApi(OkexSpotApi): def sendOrder(self, req): """发单""" type_ = priceTypeMapReverse[(req.direction, req.priceType)] - req.volume = 0.001 result = self.spotOrder(req.symbol, type_, str(req.price), str(req.volume)) # 若请求失败，则返回空字符串委托号 From e587d4cf3b025233fbfdc19c4e8e0fd97d5f514d Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 2 Jun 2018 21:26:04 +0800 Subject: [PATCH 015/135] =?UTF-8?q?[Mod]=E4=BF=AE=E6=94=B9API=E9=83=A8?= =?UTF-8?q?=E5=88=86=E8=AF=B4=E6=98=8E=E4=BF=A1=E6=81=AF?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/okex/README.md | 2 +- vnpy/api/okex/vnokex.py | 6 ++++++ vnpy/trader/gateway/okexGateway/okexGateway.py | 2 ++ 3 files changed, 9 insertions(+), 1 deletion(-) diff --git a/vnpy/api/okex/README.md b/vnpy/api/okex/README.md index f98f155c..5fa5cc86 100644 --- a/vnpy/api/okex/README.md +++ b/vnpy/api/okex/README.md @@ -10,5 +10,5 @@ OKEX的比特币交易接口，基于Websocket API开发，实现了以下功能 ### API信息 -链接：[https://www.okex.com/ws_getStarted.html](https://www.okex.com/ws_getStarted.html) +链接：[https://github.com/okcoin-okex/API-docs-OKEx.com](https://github.com/okcoin-okex/API-docs-OKEx.com) diff --git a/vnpy/api/okex/vnokex.py b/vnpy/api/okex/vnokex.py index 09500e59..061c1b2e 100644 --- a/vnpy/api/okex/vnokex.py +++ b/vnpy/api/okex/vnokex.py @@ -1,5 +1,11 @@ # encoding: UTF-8 +''' +OKEX的高性能异步交易API + +Contributor：ipqhjjybj 大佳 +''' + from __future__ import print_function import hashlib diff --git a/vnpy/trader/gateway/okexGateway/okexGateway.py b/vnpy/trader/gateway/okexGateway/okexGateway.py index e50fa706..6fb5d077 100644 --- a/vnpy/trader/gateway/okexGateway/okexGateway.py +++ b/vnpy/trader/gateway/okexGateway/okexGateway.py @@ -2,6 +2,8 @@ ''' vnpy.api.okex的gateway接入 + +Contributor：ipqhjjybj 大佳 ''' from __future__ import print_function From 53748292244d5b2e9d2751e90e79034e24417c0a Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 2 Jun 2018 22:29:10 +0800 Subject: [PATCH 016/135] =?UTF-8?q?[Mod]=E8=A7=A3=E5=86=B3OkexGateway?= =?UTF-8?q?=E4=B8=AD=E6=B7=B1=E5=BA=A6=E4=BB=B7=E6=A0=BC=E6=95=B0=E6=8D=AE?= =?UTF-8?q?=E9=BB=98=E8=AE=A4=E7=B1=BB=E5=9E=8B=E4=B8=BAunicode=E7=9A=84?= =?UTF-8?q?=E9=97=AE=E9=A2=98?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../trader/gateway/okexGateway/okexGateway.py | 22 +++++++++++++++++++ 1 file changed, 22 insertions(+) diff --git a/vnpy/trader/gateway/okexGateway/okexGateway.py b/vnpy/trader/gateway/okexGateway/okexGateway.py index 6fb5d077..58856f35 100644 --- a/vnpy/trader/gateway/okexGateway/okexGateway.py +++ b/vnpy/trader/gateway/okexGateway/okexGateway.py @@ -329,6 +329,28 @@ class SpotApi(OkexSpotApi): tick.askPrice4, tick.askVolume4 = d['asks'][-4] tick.askPrice5, tick.askVolume5 = d['asks'][-5] + tick.bidPrice1 = float(tick.bidPrice1) + tick.bidPrice2 = float(tick.bidPrice2) + tick.bidPrice3 = float(tick.bidPrice3) + tick.bidPrice4 = float(tick.bidPrice4) + tick.bidPrice5 = float(tick.bidPrice5) + tick.askPrice1 = float(tick.askPrice1) + tick.askPrice2 = float(tick.askPrice2) + tick.askPrice3 = float(tick.askPrice3) + tick.askPrice4 = float(tick.askPrice4) + tick.askPrice5 = float(tick.askPrice5) + + tick.bidVolume1 = float(tick.bidVolume1) + tick.bidVolume2 = float(tick.bidVolume2) + tick.bidVolume3 = float(tick.bidVolume3) + tick.bidVolume4 = float(tick.bidVolume4) + tick.bidVolume5 = float(tick.bidVolume5) + tick.askVolume1 = float(tick.askVolume1) + tick.askVolume2 = float(tick.askVolume2) + tick.askVolume3 = float(tick.askVolume3) + tick.askVolume4 = float(tick.askVolume4) + tick.askVolume5 = float(tick.askVolume5) + tick.date, tick.time = self.generateDateTime(d['timestamp']) if tick.lastPrice: From ba647a1b631fcf328579a38ddf6bbf88c0c12be5 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 4 Jun 2018 14:12:25 +0800 Subject: [PATCH 017/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9E=E5=B8=81?= =?UTF-8?q?=E5=AE=89=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/binance/__init__.py | 1 + vnpy/api/binance/test.py | 43 ++ vnpy/api/binance/vnbinance.py | 624 ++++++++++++++++++ .../binanceGateway/BINANCE_connect.json | 5 + .../trader/gateway/binanceGateway/__init__.py | 10 + .../gateway/binanceGateway/binanceGateway.py | 498 ++++++++++++++ 6 files changed, 1181 insertions(+) create mode 100644 vnpy/api/binance/__init__.py create mode 100644 vnpy/api/binance/test.py create mode 100644 vnpy/api/binance/vnbinance.py create mode 100644 vnpy/trader/gateway/binanceGateway/BINANCE_connect.json create mode 100644 vnpy/trader/gateway/binanceGateway/__init__.py create mode 100644 vnpy/trader/gateway/binanceGateway/binanceGateway.py diff --git a/vnpy/api/binance/__init__.py b/vnpy/api/binance/__init__.py new file mode 100644 index 00000000..57a962fc --- /dev/null +++ b/vnpy/api/binance/__init__.py @@ -0,0 +1 @@ +from .vnbinance import BinanceApi \ No newline at end of file diff --git a/vnpy/api/binance/test.py b/vnpy/api/binance/test.py new file mode 100644 index 00000000..83dd365c --- /dev/null +++ b/vnpy/api/binance/test.py @@ -0,0 +1,43 @@ +from time import sleep + +from vnbinance import BinanceApi + + +if __name__ == '__main__': + apiKey = '' + secretKey = '' + + api = BinanceApi() + api.init(apiKey, secretKey) + api.start() + + #api.queryPing() + #api.queryTime() + #api.queryExchangeInfo() + + api.queryDepth('BTCUSDT') + #api.queryDepth('BTCUSDT') + #api.queryTrades('BTCUSDT') + #api.queryAggTrades('BTCUSDT') + #api.queryKlines('BTCUSDT', '1m') + #api.queryTicker24HR() + #api.queryTickerPrice() + #api.queryBookTicker() + + api.queryAccount() + #api.queryOrder('BTCUSDT', '1231231') + #api.queryOpenOrders('BTCUSDT') + #api.queryAllOrders('BTCUSDT') + #api.queryMyTrades('BTCUSDT') + + #api.startStream() + #api.keepaliveStream('12312312') + #api.closeStream('123213') + + #api.newOrder('BTCUSDT', 'BUY', 'LIMIT', 3000, 1, 'GTC') + #api.cancelOrder('BTCUSDT', '132213123') + + #api.initDataStream(['btcusdt@ticker', 'btcusdt@depth5']) + #api.initUserStream('NXvaiFwZz2LuKqINVerKOnWaQQG1JhdQNejiZKY9Kmgk4lZgTvm3nRAnXJK7') + + raw_input() \ No newline at end of file diff --git a/vnpy/api/binance/vnbinance.py b/vnpy/api/binance/vnbinance.py new file mode 100644 index 00000000..8e9ade96 --- /dev/null +++ b/vnpy/api/binance/vnbinance.py @@ -0,0 +1,624 @@ +# encoding: UTF-8 + +import json +import requests +import hmac +import hashlib +import traceback + +from queue import Queue, Empty +from threading import Thread +from multiprocessing.dummy import Pool +from time import time, sleep +from urllib import urlencode + +from websocket import create_connection + + + +REST_ENDPOINT = 'https://www.binance.com' +DATASTREAM_ENDPOINT = 'wss://stream.binance.com:9443/stream?streams=' +USERSTREAM_ENDPOINT = 'wss://stream.binance.com:9443/ws/' + + + +######################################################################## +class BinanceApi(object): + """""" + + ################################################### + ## Basic Function + ################################################### + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.apiKey = '' + self.secretKey = '' + + self.active = False + self.reqid = 0 + self.queue = Queue() + self.pool = None + + self.headers = {} + self.secret = '' + self.recvWindow = 5000 + + self.dataStreamNameList = [] + self.dataStreamUrl = '' + self.dataStreamActive = False + self.dataStreamWs = None + self.dataStreamThread = None + + self.userStreamKey = '' + self.userStreamUrl = '' + self.userStreamActive = False + self.userStreamWs = None + self.userStreamThread = None + + self.keepaliveCount = 0 + self.keepaliveThread = None + + #---------------------------------------------------------------------- + def init(self, apiKey, secretKey, recvWindow=5000): + """""" + self.apiKey = apiKey + self.secretKey = secretKey + + self.headers['X-MBX-APIKEY'] = apiKey + self.secret = bytes(secretKey.encode('utf-8')) + self.recvWindow = recvWindow + + #---------------------------------------------------------------------- + def start(self, n=10): + """""" + if self.active: + return + + self.active = True + + self.pool = Pool(n) + self.pool.map_async(self.run, range(n)) + + #---------------------------------------------------------------------- + def close(self): + """""" + self.active = False + self.pool.close() + self.pool.join() + + #---------------------------------------------------------------------- + def request(self, method, path, params=None, signed=False, stream=False): + """""" + if not signed: + url = REST_ENDPOINT + path + headers = {} + else: + if not stream: + params['recvWindow'] = self.recvWindow + params['timestamp'] = int(time()*1000) + query = urlencode(sorted(params.items())) + + signature = hmac.new(self.secret, query.encode('utf-8'), + hashlib.sha256).hexdigest() + query += "&signature={}".format(signature) + + url = REST_ENDPOINT + path + '?' + query + params = None # 参数添加到query中后，清空参数字典 + else: + if params: + query = urlencode(sorted(params.items())) + url = REST_ENDPOINT + path + '?' + query + params = None + else: + url = REST_ENDPOINT + path + + headers = self.headers + + try: + resp = requests.request(method, url, params=params, headers=headers) + + if resp.status_code == 200: + return True, resp.json() + else: + error = { + 'method': method, + 'params': params, + 'code': resp.status_code, + 'msg': resp.json()['msg'] + } + return False, error + except Exception as e: + error = { + 'method': method, + 'params': params, + 'code': e, + 'msg': traceback.format_exc() + } + return False, error + + #---------------------------------------------------------------------- + def addReq(self, method, path, params, callback, signed=False, stream=False): + """添加请求""" + self.reqid += 1 + req = (method, path, params, callback, signed, stream, self.reqid) + self.queue.put(req) + return self.reqid + + #---------------------------------------------------------------------- + def processReq(self, req): + """""" + method, path, params, callback, signed, stream, reqid = req + result, data = self.request(method, path, params, signed, stream) + + if result: + callback(data, reqid) + else: + self.onError(data, reqid) + + #---------------------------------------------------------------------- + def run(self, n): + """""" + while self.active: + try: + req = self.queue.get(timeout=1) + self.processReq(req) + except Empty: + pass + + ################################################### + ## REST Function + ################################################### + + #---------------------------------------------------------------------- + def queryPing(self): + """""" + path = '/api/v1/ping' + return self.addReq('GET', path, {}, self.onQueryPing) + + #---------------------------------------------------------------------- + def queryTime(self): + """""" + path = '/api/v1/time' + return self.addReq('GET', path, {}, self.onQueryTime) + + #---------------------------------------------------------------------- + def queryExchangeInfo(self): + """""" + path = '/api/v1/exchangeInfo' + return self.addReq('GET', path, {}, self.onQueryExchangeInfo) + + #---------------------------------------------------------------------- + def queryDepth(self, symbol, limit=0): + """""" + path = '/api/v1/depth' + params = {'symbol': symbol} + if limit: + params['limit'] = limit + return self.addReq('GET', path, params, self.onQueryDepth) + + #---------------------------------------------------------------------- + def queryTrades(self, symbol, limit=0): + """""" + path = '/api/v1/trades' + params = {'symbol': symbol} + if limit: + params['limit'] = limit + return self.addReq('GET', path, params, self.onQueryTrades) + + #---------------------------------------------------------------------- + def queryAggTrades(self, symbol, fromId=0, startTime=0, endTime=0, limit=0): + """""" + path = '/api/v1/aggTrades' + + params = {'symbol': symbol} + if fromId: + params['fromId'] = fromId + if startTime: + params['startTime'] = startTime + if endTime: + params['endTime'] = endTime + if limit: + params['limit'] = limit + + return self.addReq('GET', path, params, self.onQueryAggTrades) + + #---------------------------------------------------------------------- + def queryKlines(self, symbol, interval, limit=0, startTime=0, endTime=0): + """""" + path = '/api/v1/klines' + + params = { + 'symbol': symbol, + 'interval': interval + } + if limit: + params['limit'] = limit + if startTime: + params['startTime'] = startTime + if endTime: + params['endTime'] = endTime + + return self.addReq('GET', path, params, self.onQueryKlines) + + #---------------------------------------------------------------------- + def queryTicker24HR(self, symbol=''): + """""" + path = '/api/v1/ticker/24hr' + params = {} + if symbol: + params['symbol'] = symbol + return self.addReq('GET', path, params, self.onQueryTicker24HR) + + #---------------------------------------------------------------------- + def queryTickerPrice(self, symbol=''): + """""" + path = '/api/v3/ticker/price' + params = {} + if symbol: + params['symbol'] = symbol + return self.addReq('GET', path, params, self.onQueryTickerPrice) + + #---------------------------------------------------------------------- + def queryBookTicker(self, symbol=''): + """""" + path = '/api/v3/ticker/bookTicker' + params = {} + if symbol: + params['symbol'] = symbol + return self.addReq('GET', path, params, self.onQueryBookTicker) + + #---------------------------------------------------------------------- + def newOrder(self, symbol, side, type_, price, quantity, timeInForce, + newClientOrderId='', stopPrice=0, icebergQty=0, newOrderRespType=''): + """""" + path = '/api/v3/order' + + params = { + 'symbol': symbol, + 'side': side, + 'type': type_, + 'price': price, + 'quantity': quantity, + 'timeInForce': timeInForce + } + if newClientOrderId: + params['newClientOrderId'] = newClientOrderId + if timeInForce: + params['timeInForce'] = timeInForce + if stopPrice: + params['stopPrice'] = stopPrice + if icebergQty: + params['icebergQty'] = icebergQty + if newOrderRespType: + params['newOrderRespType'] = newOrderRespType + + return self.addReq('POST', path, params, self.onNewOrder, signed=True) + + #---------------------------------------------------------------------- + def queryOrder(self, symbol, orderId=0, origClientOrderId=0): + """""" + path = '/api/v3/order' + params = {'symbol': symbol} + if orderId: + params['orderId'] = orderId + if origClientOrderId: + params['origClientOrderId'] = origClientOrderId + return self.addReq('GET', path, params, self.onQueryOrder, signed=True) + + #---------------------------------------------------------------------- + def cancelOrder(self, symbol, orderId=0, origClientOrderId='', + newClientOrderId=''): + """""" + path = '/api/v3/order' + params = {'symbol': symbol} + if orderId: + params['orderId'] = orderId + if origClientOrderId: + params['origClientOrderId'] = origClientOrderId + if newClientOrderId: + params['newClientOrderId'] = newClientOrderId + return self.addReq('DELETE', path, params, self.onCancelOrder, signed=True) + + #---------------------------------------------------------------------- + def queryOpenOrders(self, symbol=''): + """""" + path = '/api/v3/openOrders' + params = {} + if symbol: + params['symbol'] = symbol + return self.addReq('GET', path, params, self.onQueryOpenOrders, signed=True) + + #---------------------------------------------------------------------- + def queryAllOrders(self, symbol, orderId=0, limit=0): + """""" + path = '/api/v3/allOrders' + params = {'symbol': symbol} + if orderId: + params['orderId'] = orderId + if limit: + params['limit'] = limit + return self.addReq('GET', path, params, self.onQueryAllOrders, signed=True) + + #---------------------------------------------------------------------- + def queryAccount(self): + """""" + path = '/api/v3/account' + params = {} + return self.addReq('GET', path, params, self.onQueryAccount, signed=True) + + #---------------------------------------------------------------------- + def queryMyTrades(self, symbol, limit=0, fromId=0): + """""" + path = '/api/v3/myTrades' + params = {'symbol': symbol} + if limit: + params['limit'] = limit + if fromId: + params['fromId'] = fromId + return self.addReq('GET', path, params, self.onQueryMyTrades, signed=True) + + #---------------------------------------------------------------------- + def startStream(self): + """""" + path = '/api/v1/userDataStream' + return self.addReq('POST', path, {}, self.onStartStream, signed=True, stream=True) + + #---------------------------------------------------------------------- + def keepaliveStream(self, listenKey): + """""" + path = '/api/v1/userDataStream' + params = {'listenKey': listenKey} + return self.addReq('PUT', path, params, self.onKeepaliveStream, signed=True, stream=True) + + #---------------------------------------------------------------------- + def closeStream(self, listenKey): + """""" + path = '/api/v1/userDataStream' + params = {'listenKey': listenKey} + return self.addReq('DELETE', path, params, self.onCloseStream, signed=True, stream=True) + + ################################################### + ## REST Callback + ################################################### + + #---------------------------------------------------------------------- + def onError(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryPing(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryTime(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryExchangeInfo(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryDepth(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryTrades(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryAggTrades(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryKlines(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryTicker24HR(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryTickerPrice(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryBookTicker(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onNewOrder(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryOrder(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onCancelOrder(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryOpenOrders(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryAllOrders(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryAccount(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onQueryMyTrades(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onStartStream(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onKeepaliveStream(self, data, reqid): + """""" + print(data, reqid) + + #---------------------------------------------------------------------- + def onCloseStream(self, data, reqid): + """""" + print(data, reqid) + + ################################################### + ## Websocket Function + ################################################### + + #---------------------------------------------------------------------- + def initDataStream(self, nameList=None): + """""" + if nameList: + self.dataStreamNameList = nameList + s = '/'.join(self.dataStreamNameList) + self.dataStreamUrl = DATASTREAM_ENDPOINT + s + + result = self.connectDataStream() + if result: + self.dataStreamActive = True + self.dataStreamThread = Thread(target=self.runDataStream) + self.dataStreamThread.start() + + #---------------------------------------------------------------------- + def runDataStream(self): + """""" + while self.dataStreamActive: + try: + stream = self.dataStreamWs.recv() + data = json.loads(stream) + self.onMarketData(data) + except: + self.onDataStreamError('Data stream connection lost') + result = self.connectDataStream() + if not result: + self.onDataStreamError(u'Waiting 3 seconds to reconnect') + sleep(3) + else: + self.onDataStreamError(u'Data stream reconnected') + + #---------------------------------------------------------------------- + def closeDataStream(self): + """""" + self.dataStreamActive = False + self.dataStreamThread.join() + + #---------------------------------------------------------------------- + def connectDataStream(self): + """""" + try: + self.dataStreamWs = create_connection(self.dataStreamUrl) + return True + except: + msg = traceback.format_exc() + self.onDataStreamError('Connecting data stream falied: %s' %msg) + return False + + #---------------------------------------------------------------------- + def onDataStreamError(self, msg): + """""" + print msg + + #---------------------------------------------------------------------- + def onMarketData(self, data): + """""" + print data + + #---------------------------------------------------------------------- + def initUserStream(self, key): + """""" + self.userStreamKey = key + self.userStreamUrl = USERSTREAM_ENDPOINT + key + + result = self.connectUserStream() + if result: + self.userStreamActive = True + self.userStreamThread = Thread(target=self.runUserStream) + self.userStreamThread.start() + + self.keepaliveThread = Thread(target=self.runKeepalive) + self.keepaliveThread.start() + + #---------------------------------------------------------------------- + def runUserStream(self): + """""" + while self.userStreamActive: + try: + stream = self.userStreamWs.recv() + data = json.loads(stream) + self.onUserData(data) + except: + self.onUserStreamError('User stream connection lost') + result = self.connectUserStream() + if not result: + self.onUserStreamError(u'Waiting 3 seconds to reconnect') + sleep(3) + else: + self.onUserStreamError(u'User stream reconnected') + + #---------------------------------------------------------------------- + def closeUserStream(self): + """""" + self.userStreamActive = False + self.userStreamThread.join() + self.keepaliveThread.join() + + #---------------------------------------------------------------------- + def connectUserStream(self): + """""" + try: + self.userStreamWs = create_connection(self.userStreamUrl) + return True + except: + msg = traceback.format_exc() + self.onUserStreamError('Connecting user stream falied: %s' %msg) + return False + + #---------------------------------------------------------------------- + def onUserStreamError(self, msg): + """""" + print msg + + #---------------------------------------------------------------------- + def onUserData(self, data): + """""" + print data + + #---------------------------------------------------------------------- + def runKeepalive(self): + """""" + while self.userStreamActive: + self.keepaliveCount += 1 + + if self.keepaliveCount >= 1800: + self.keepaliveCount = 0 + self.keepaliveStream(self.userStreamKey) + + sleep(1) + \ No newline at end of file diff --git a/vnpy/trader/gateway/binanceGateway/BINANCE_connect.json b/vnpy/trader/gateway/binanceGateway/BINANCE_connect.json new file mode 100644 index 00000000..01d370e4 --- /dev/null +++ b/vnpy/trader/gateway/binanceGateway/BINANCE_connect.json @@ -0,0 +1,5 @@ +{ + "apiKey": "", + "secretKey": "", + "symbols": ["BTCUSDT", "ETHUSDT", "ETHBTC"] +} \ No newline at end of file diff --git a/vnpy/trader/gateway/binanceGateway/__init__.py b/vnpy/trader/gateway/binanceGateway/__init__.py new file mode 100644 index 00000000..05256200 --- /dev/null +++ b/vnpy/trader/gateway/binanceGateway/__init__.py @@ -0,0 +1,10 @@ +# encoding: UTF-8 + +from vnpy.trader import vtConstant +from .binanceGateway import BinanceGateway + +gatewayClass = BinanceGateway +gatewayName = 'BINANCE' +gatewayDisplayName = u'币安' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True \ No newline at end of file diff --git a/vnpy/trader/gateway/binanceGateway/binanceGateway.py b/vnpy/trader/gateway/binanceGateway/binanceGateway.py new file mode 100644 index 00000000..7bc1e0c4 --- /dev/null +++ b/vnpy/trader/gateway/binanceGateway/binanceGateway.py @@ -0,0 +1,498 @@ +# encoding: UTF-8 + +''' +vnpy.api.binance的gateway接入 +''' + +import os +import json +from datetime import datetime, timedelta +from copy import copy + +from vnpy.api.binance import BinanceApi +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath, getTempPath + + +# 委托状态类型映射 +statusMapReverse = {} +statusMapReverse['NEW'] = STATUS_NOTTRADED +statusMapReverse['PARTIALLY_FILLED'] = STATUS_PARTTRADED +statusMapReverse['FILLED'] = STATUS_ALLTRADED +statusMapReverse['CANCELED'] = STATUS_CANCELLED +statusMapReverse['REJECTED'] = STATUS_REJECTED +statusMapReverse['EXPIRED'] = STATUS_CANCELLED + +# 方向映射 +directionMap = {} +directionMap[DIRECTION_LONG] = 'BUY' +directionMap[DIRECTION_SHORT] = 'SELL' +directionMapReverse = {v:k for k,v in directionMap.items()} + +# 价格类型映射 +priceTypeMap = {} +priceTypeMap[PRICETYPE_LIMITPRICE] = 'LIMIT' +priceTypeMap[PRICETYPE_MARKETPRICE] = 'MARKET' + + + + +#---------------------------------------------------------------------- +def print_dict(d): + """""" + print '-' * 30 + l = d.keys() + l.sort() + for k in l: + print '%s:%s' %(k, d[k]) + + +######################################################################## +class BinanceGateway(VtGateway): + """币安接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName=''): + """Constructor""" + super(BinanceGateway, self).__init__(eventEngine, gatewayName) + + self.api = GatewayApi(self) + + self.qryEnabled = False # 是否要启动循环查询 + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + try: + f = file(self.filePath) + except IOError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'读取连接配置出错，请检查' + self.onLog(log) + return + + # 解析json文件 + setting = json.load(f) + try: + apiKey = str(setting['apiKey']) + secretKey = str(setting['secretKey']) + symbols = setting['symbols'] + except KeyError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'连接配置缺少字段，请检查' + self.onLog(log) + return + + # 创建行情和交易接口对象 + self.api.connect(apiKey, secretKey, symbols) + + # 初始化并启动查询 + #self.initQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.api.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.api.cancel(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.api.close() + + #---------------------------------------------------------------------- + def queryAccount(self): + """""" + self.api.queryAccount() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.queryAccount] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 1 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class GatewayApi(BinanceApi): + """API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(GatewayApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.date = datetime.now().strftime('%y%m%d%H%M%S') + self.orderId = 0 + + self.tickDict = {} + + #---------------------------------------------------------------------- + def connect(self, apiKey, secretKey, symbols): + """连接服务器""" + self.init(apiKey, secretKey) + self.start() + self.writeLog(u'交易API启动成功') + + l = [] + for symbol in symbols: + symbol = symbol.lower() + l.append(symbol+'@ticker') + l.append(symbol+'@depth5') + self.initDataStream(l) + self.writeLog(u'行情推送订阅成功') + + self.startStream() + + # 初始化查询 + self.queryExchangeInfo() + self.queryAccount() + + for symbol in symbols: + self.queryOpenOrders(symbol.upper()) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def onError(self, data, reqid): + """""" + err = VtErrorData() + err.gatewayName = self.gatewayName + err.errorID = data['code'] + err.errorMsg = data['msg'] + self.gateway.onError(err) + + #---------------------------------------------------------------------- + def onQueryExchangeInfo(self, data, reqid): + """""" + for d in data['symbols']: + if str(d['symbol']) == 'ETHUSDT': + print d + + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = d['symbol'] + contract.exchange = EXCHANGE_BINANCE + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = contract.vtSymbol + contract.productClass = PRODUCT_SPOT + contract.size = 1 + + for f in d['filters']: + if f['filterType'] == 'PRICE_FILTER': + contract.priceTick = float(f['tickSize']) + + self.gateway.onContract(contract) + + #---------------------------------------------------------------------- + def onNewOrder(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onCancelOrder(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onQueryOpenOrders(self, data, reqid): + """""" + for d in data: + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = d['symbol'] + order.exchange = EXCHANGE_BINANCE + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + order.orderID = d['clientOrderId'] + order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) + + order.direction = directionMapReverse[d['side']] + order.price = float(d['price']) + order.totalVolume = float(d['origQty']) + order.tradedVolume = float(d['executedQty']) + date, order.orderTime = self.generateDateTime(d['time']) + order.status = statusMapReverse[d['status']] + + self.gateway.onOrder(order) + + #---------------------------------------------------------------------- + def onQueryAllOrders(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onQueryAccount(self, data, reqid): + """""" + for d in data['balances']: + free = float(d['free']) + locked = float(d['locked']) + + if free or locked: + pos = VtPositionData() + pos.gatewayName = self.gatewayName + pos.symbol = d['asset'] + pos.exchange = EXCHANGE_BINANCE + pos.vtSymbol = '.'.join([pos.vtSymbol, pos.direction]) + pos.direction = DIRECTION_LONG + pos.vtPositionName = '.'.join([pos.symbol, pos.direction]) + pos.frozen = locked + pos.position = free + locked + self.gateway.onPosition(pos) + + #---------------------------------------------------------------------- + def onQueryMyTrades(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onStartStream(self, data, reqid): + """""" + key = data['listenKey'] + self.initUserStream(key) + self.writeLog(u'交易推送订阅成功') + + #---------------------------------------------------------------------- + def onKeepaliveStream(self, data, reqid): + """""" + self.writeLog(u'交易推送刷新成功') + + #---------------------------------------------------------------------- + def onCloseStream(self, data, reqid): + """""" + self.writeLog(u'交易推送关闭') + + #---------------------------------------------------------------------- + def onUserData(self, data): + """""" + if data['e'] == 'outboundAccountInfo': + self.onPushAccount(data) + elif data['e'] == 'executionReport': + self.onPushOrder(data) + + #---------------------------------------------------------------------- + def onPushAccount(self, data): + """""" + for d in data['B']: + free = float(d['f']) + locked = float(d['l']) + + if free or locked: + pos = VtPositionData() + pos.gatewayName = self.gatewayName + pos.symbol = d['a'] + pos.exchange = EXCHANGE_BINANCE + pos.vtSymbol = '.'.join([pos.vtSymbol, pos.direction]) + pos.direction = DIRECTION_LONG + pos.vtPositionName = '.'.join([pos.symbol, pos.direction]) + pos.frozen = locked + pos.position = free + locked + self.gateway.onPosition(pos) + + #---------------------------------------------------------------------- + def onPushOrder(self, d): + """""" + # 委托更新 + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = d['s'] + order.exchange = EXCHANGE_BINANCE + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + if d['C'] != 'null': + order.orderID = d['C'] # 撤单原始委托号 + else: + order.orderID = d['c'] + order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) + + order.direction = directionMapReverse[d['S']] + order.price = float(d['p']) + order.totalVolume = float(d['q']) + order.tradedVolume = float(d['z']) + date, order.orderTime = self.generateDateTime(d['T']) + order.status = statusMapReverse[d['X']] + + self.gateway.onOrder(order) + + # 成交更新 + if float(d['l']): + trade = VtTradeData() + trade.gatewayName = self.gatewayName + + trade.symbol = order.symbol + trade.exchange = order.exchange + trade.vtSymbol = order.vtSymbol + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + trade.tradeID = str(d['t']) + trade.vtTradeID = '.'.join([trade.gatewayName, trade.tradeID]) + trade.direction = order.direction + trade.price = float(d['L']) + trade.volume = float(d['l']) + date, trade.tradeTime = self.generateDateTime(d['E']) + + self.gateway.onTrade(trade) + + #---------------------------------------------------------------------- + def onMarketData(self, data): + """""" + name = data['stream'] + symbol, channel = name.split('@') + symbol = symbol.upper() + + if symbol in self.tickDict: + tick = self.tickDict[symbol] + else: + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = symbol + tick.exchange = EXCHANGE_BINANCE + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + + self.tickDict[symbol] = tick + + data = data['data'] + if channel == 'ticker': + tick.volume = float(data['v']) + tick.openPrice = float(data['o']) + tick.highPrice = float(data['h']) + tick.lowPrice = float(data['l']) + tick.lastPrice = float(data['c']) + tick.date, tick.time = self.generateDateTime(data['E']) + else: + tick.askPrice1, tick.askVolume1, buf = data['asks'][0] + tick.askPrice2, tick.askVolume2, buf = data['asks'][1] + tick.askPrice3, tick.askVolume3, buf = data['asks'][2] + tick.askPrice4, tick.askVolume4, buf = data['asks'][3] + tick.askPrice5, tick.askVolume5, buf = data['asks'][4] + + tick.bidPrice1, tick.bidVolume1, buf = data['bids'][0] + tick.bidPrice2, tick.bidVolume2, buf = data['bids'][1] + tick.bidPrice3, tick.bidVolume3, buf = data['bids'][2] + tick.bidPrice4, tick.bidVolume4, buf = data['bids'][3] + tick.bidPrice5, tick.bidVolume5, buf = data['bids'][4] + + tick.askPrice1 = float(tick.askPrice1) + tick.askPrice2 = float(tick.askPrice2) + tick.askPrice3 = float(tick.askPrice3) + tick.askPrice4 = float(tick.askPrice4) + tick.askPrice5 = float(tick.askPrice5) + + tick.bidPrice1 = float(tick.bidPrice1) + tick.bidPrice2 = float(tick.bidPrice2) + tick.bidPrice3 = float(tick.bidPrice3) + tick.bidPrice4 = float(tick.bidPrice4) + tick.bidPrice5 = float(tick.bidPrice5) + + tick.askVolume1 = float(tick.askVolume1) + tick.askVolume2 = float(tick.askVolume2) + tick.askVolume3 = float(tick.askVolume3) + tick.askVolume4 = float(tick.askVolume4) + tick.askVolume5 = float(tick.askVolume5) + + tick.bidVolume1 = float(tick.bidVolume1) + tick.bidVolume2 = float(tick.bidVolume2) + tick.bidVolume3 = float(tick.bidVolume3) + tick.bidVolume4 = float(tick.bidVolume4) + tick.bidVolume5 = float(tick.bidVolume5) + + self.gateway.onTick(copy(tick)) + + #---------------------------------------------------------------------- + def onDataStreamError(self, msg): + """""" + self.writeLog(msg) + + #---------------------------------------------------------------------- + def onUserStreamError(self, msg): + """""" + self.writeLog(msg) + + #---------------------------------------------------------------------- + def generateDateTime(self, s): + """生成时间""" + dt = datetime.fromtimestamp(float(s)/1e3) + time = dt.strftime("%H:%M:%S.%f") + date = dt.strftime("%Y%m%d") + return date, time + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """""" + orderReq.volume = 0.02 + + self.orderId += 1 + orderId = self.date + str(self.orderId).rjust(6, '0') + vtOrderID = '.'.join([self.gatewayName, orderId]) + side = directionMap.get(orderReq.direction, '') + type_ = priceTypeMap.get(orderReq.priceType, PRICETYPE_LIMITPRICE) + + self.newOrder(orderReq.symbol, side, type_, orderReq.price, + orderReq.volume, 'GTC', newClientOrderId=orderId) + + return vtOrderID + + #---------------------------------------------------------------------- + def cancel(self, cancelOrderReq): + """""" + self.cancelOrder(cancelOrderReq.symbol, origClientOrderId=cancelOrderReq.orderID) \ No newline at end of file From c578d4e04de5d2cddc110a1f7a1bac487e2d6831 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 5 Jun 2018 09:03:55 +0800 Subject: [PATCH 018/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9EBitfinex?= =?UTF-8?q?=E6=95=B0=E5=AD=97=E8=B4=A7=E5=B8=81=E4=BA=A4=E6=98=93=E6=89=80?= =?UTF-8?q?=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bitfinex/__init__.py | 1 + vnpy/api/bitfinex/vnbitfinex.py | 95 ++++ .../gateway/binanceGateway/binanceGateway.py | 2 - .../bitfinexGateway/BITFINEX_connect.json | 5 + .../gateway/bitfinexGateway/__init__.py | 10 + .../bitfinexGateway/bitfinexGateway.py | 526 ++++++++++++++++++ vnpy/trader/language/chinese/constant.py | 2 + vnpy/trader/language/english/constant.py | 2 + 8 files changed, 641 insertions(+), 2 deletions(-) create mode 100644 vnpy/api/bitfinex/__init__.py create mode 100644 vnpy/api/bitfinex/vnbitfinex.py create mode 100644 vnpy/trader/gateway/bitfinexGateway/BITFINEX_connect.json create mode 100644 vnpy/trader/gateway/bitfinexGateway/__init__.py create mode 100644 vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py diff --git a/vnpy/api/bitfinex/__init__.py b/vnpy/api/bitfinex/__init__.py new file mode 100644 index 00000000..15180a7a --- /dev/null +++ b/vnpy/api/bitfinex/__init__.py @@ -0,0 +1 @@ +from .vnbitfinex import BitfinexApi \ No newline at end of file diff --git a/vnpy/api/bitfinex/vnbitfinex.py b/vnpy/api/bitfinex/vnbitfinex.py new file mode 100644 index 00000000..23bc3a9d --- /dev/null +++ b/vnpy/api/bitfinex/vnbitfinex.py @@ -0,0 +1,95 @@ +# encoding: UTF-8 + +import json +import requests +from threading import Thread +from queue import Queue, Empty + +import websocket + + +WEBSOCKET_V2_URL = 'wss://api.bitfinex.com/ws/2' +RESTFUL_V1_URL = 'https://api.bitfinex.com/v1' + + +######################################################################## +class BitfinexApi(object): + """""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.ws = None + self.thread = None + self.active = False + + self.restQueue = Queue() + self.restThread = None + + #---------------------------------------------------------------------- + def start(self): + """""" + self.ws = websocket.create_connection(WEBSOCKET_V2_URL) + + self.active =True + self.thread = Thread(target=self.run) + self.thread.start() + + self.restThread = Thread(target=self.runRest) + self.restThread.start() + + #---------------------------------------------------------------------- + def run(self): + """""" + while self.active: + stream = self.ws.recv() + data = json.loads(stream) + self.onData(data) + + #---------------------------------------------------------------------- + def onData(self, data): + """""" + print data + + #---------------------------------------------------------------------- + def sendReq(self, req): + """""" + self.ws.send(json.dumps(req)) + + #---------------------------------------------------------------------- + def sendRestReq(self, path, callback): + """""" + self.restQueue.put((path, callback)) + + #---------------------------------------------------------------------- + def runRest(self): + """""" + while self.active: + try: + path, callback = self.restQueue.get(timeout=1) + self.httpGet(path, callback) + except Empty: + pass + + #---------------------------------------------------------------------- + def httpGet(self, path, callback): + """""" + url = RESTFUL_V1_URL + path + resp = requests.get(url) + callback(resp.json()) + + + +if __name__ == '__main__': + api = BitfinexApi() + api.start() + + d = { + 'event': 'subscribe', + 'channel': 'book', + 'symbol': 'BTCUSD' + } + api.sendReq(d) + + raw_input() + \ No newline at end of file diff --git a/vnpy/trader/gateway/binanceGateway/binanceGateway.py b/vnpy/trader/gateway/binanceGateway/binanceGateway.py index 7bc1e0c4..897a7877 100644 --- a/vnpy/trader/gateway/binanceGateway/binanceGateway.py +++ b/vnpy/trader/gateway/binanceGateway/binanceGateway.py @@ -479,8 +479,6 @@ class GatewayApi(BinanceApi): #---------------------------------------------------------------------- def sendOrder(self, orderReq): """""" - orderReq.volume = 0.02 - self.orderId += 1 orderId = self.date + str(self.orderId).rjust(6, '0') vtOrderID = '.'.join([self.gatewayName, orderId]) diff --git a/vnpy/trader/gateway/bitfinexGateway/BITFINEX_connect.json b/vnpy/trader/gateway/bitfinexGateway/BITFINEX_connect.json new file mode 100644 index 00000000..ae25ff9c --- /dev/null +++ b/vnpy/trader/gateway/bitfinexGateway/BITFINEX_connect.json @@ -0,0 +1,5 @@ +{ + "apiKey": "", + "secretKey": "", + "symbols": ["BTCUSD", "ETHUSD", "ETHBTC"] +} \ No newline at end of file diff --git a/vnpy/trader/gateway/bitfinexGateway/__init__.py b/vnpy/trader/gateway/bitfinexGateway/__init__.py new file mode 100644 index 00000000..831aa287 --- /dev/null +++ b/vnpy/trader/gateway/bitfinexGateway/__init__.py @@ -0,0 +1,10 @@ +# encoding: UTF-8 + +from vnpy.trader import vtConstant +from .bitfinexGateway import BitfinexGateay + +gatewayClass = BitfinexGateay +gatewayName = 'BITFINEX' +gatewayDisplayName = u'BITFINEX' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True \ No newline at end of file diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py new file mode 100644 index 00000000..b8ce5be4 --- /dev/null +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -0,0 +1,526 @@ +# encoding: UTF-8 + +''' +vnpy.api.bitfinex的gateway接入 +''' + +import os +import json +import hashlib +import hmac +import time +from datetime import datetime, timedelta +from copy import copy +from math import pow + +from vnpy.api.bitfinex import BitfinexApi +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath, getTempPath + +# 委托状态类型映射 +statusMapReverse = {} +statusMapReverse['ACTIVE'] = STATUS_NOTTRADED +statusMapReverse['PARTIALLY FILLED'] = STATUS_PARTTRADED +statusMapReverse['EXECUTED'] = STATUS_ALLTRADED +statusMapReverse['CANCELED'] = STATUS_CANCELLED + +# 价格类型映射 +priceTypeMap = {} +priceTypeMap[PRICETYPE_LIMITPRICE] = 'EXCHANGE LIMIT' +priceTypeMap[PRICETYPE_MARKETPRICE] = 'EXCHANGE MARKET' + + + +######################################################################## +class BitfinexGateay(VtGateway): + """Bitfinex接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName=''): + """Constructor""" + super(BitfinexGateay, self).__init__(eventEngine, gatewayName) + + self.api = GatewayApi(self) + + self.qryEnabled = False # 是否要启动循环查询 + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + try: + f = file(self.filePath) + except IOError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'读取连接配置出错，请检查' + self.onLog(log) + return + + # 解析json文件 + setting = json.load(f) + try: + apiKey = str(setting['apiKey']) + secretKey = str(setting['secretKey']) + symbols = setting['symbols'] + except KeyError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'连接配置缺少字段，请检查' + self.onLog(log) + return + + # 创建行情和交易接口对象 + self.api.connect(apiKey, secretKey, symbols) + + # 初始化并启动查询 + #self.initQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.api.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.api.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.api.close() + + #---------------------------------------------------------------------- + def queryAccount(self): + """""" + self.api.queryAccount() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.queryAccount] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 1 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class GatewayApi(BitfinexApi): + """API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(GatewayApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.orderId = 0 + self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId + + self.apiKey = '' + self.secretKey = '' + self.symbols = [] + + self.tickDict = {} + self.bidDict = {} + self.askDict = {} + self.orderLocalDict = {} + + self.channelDict = {} # ChannelID : (Channel, Symbol) + + #---------------------------------------------------------------------- + def connect(self, apiKey, secretKey, symbols): + """连接服务器""" + self.apiKey = apiKey + self.secretKey = secretKey + self.symbols = symbols + + self.start() + self.writeLog(u'交易API启动成功') + + for symbol in symbols: + self.subscribe(symbol, 'ticker') + self.subscribe(symbol, 'book') + self.writeLog(u'行情推送订阅成功') + + self.authenticate() + self.writeLog(u'交易推送订阅成功') + + self.sendRestReq('/symbols_details', self.onSymbolDetails) + + #---------------------------------------------------------------------- + def subscribe(self, symbol, channel): + """""" + req = { + 'event': 'subscribe', + 'channel': channel, + 'symbol': symbol + } + self.sendReq(req) + + #---------------------------------------------------------------------- + def authenticate(self): + """""" + nonce = int(time.time() * 1000000) + authPayload = 'AUTH' + str(nonce) + signature = hmac.new( + self.secretKey.encode(), + msg = authPayload.encode(), + digestmod = hashlib.sha384 + ).hexdigest() + + req = { + 'apiKey': self.apiKey, + 'event': 'auth', + 'authPayload': authPayload, + 'authNonce': nonce, + 'authSig': signature + } + + self.sendReq(req) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def generateDateTime(self, s): + """生成时间""" + dt = datetime.fromtimestamp(s/1000.0) + date = dt.strftime('%Y-%m-%d') + time = dt.strftime("%H:%M:%S.%f") + return date, time + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """""" + self.orderId += 1 + orderId = self.date + self.orderId + vtOrderID = '.'.join([self.gatewayName, str(orderId)]) + + if orderReq.direction == DIRECTION_LONG: + amount = orderReq.volume + else: + amount = -orderReq.volume + + o = { + 'CID': orderId, + 'type': priceTypeMap[orderReq.priceType], + 'symbol': 't' + orderReq.symbol, + 'amount': str(amount), + 'price': str(orderReq.price) + } + + req = [0, 'on', None, o] + self.sendReq(req) + + return vtOrderID + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """""" + orderId = int(cancelOrderReq.orderID) + date = cancelOrderReq.sessionID + + req = [ + 0, + 'oc', + None, + { + 'cid': orderId, + 'cid_date': date, + } + ] + + self.sendReq(req) + + #---------------------------------------------------------------------- + def onData(self, data): + """""" + if isinstance(data, dict): + self.onResponse(data) + else: + self.onUpdate(data) + + #---------------------------------------------------------------------- + def onResponse(self, data): + """""" + if 'event' not in data: + return + + if data['event'] == 'subscribed': + symbol = str(data['symbol'].replace('t', '')) + #symbol = str(data['symbol']) + self.channelDict[data['chanId']] = (data['channel'], symbol) + + #---------------------------------------------------------------------- + def onUpdate(self, data): + """""" + if data[1] == u'hb': + return + + channelID = data[0] + + if not channelID: + self.onTradeUpdate(data) + else: + self.onDataUpdate(data) + + #---------------------------------------------------------------------- + def onDataUpdate(self, data): + """""" + channelID = data[0] + channel, symbol = self.channelDict[channelID] + symbol = str(symbol.replace('t', '')) + #symbol = str(symbol) + + # 获取Tick对象 + if symbol in self.tickDict: + tick = self.tickDict[symbol] + else: + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = symbol + tick.exchange = EXCHANGE_BITFINEX + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + + self.tickDict[symbol] = tick + + l = data[1] + + # 常规行情更新 + if channel == 'ticker': + tick.volume = l[-3] + tick.highPrice = l[-2] + tick.lowPrice = l[-1] + tick.lastPrice = l[-4] + tick.openPrice = tick.lastPrice - l[4] + # 深度报价更新 + elif channel == 'book': + bid = self.bidDict.setdefault(symbol, {}) + ask = self.askDict.setdefault(symbol, {}) + + if len(l) > 3: + for price, count, amount in l: + if amount > 0: + bid[price] = amount + else: + ask[price] = -amount + else: + price, count, amount = l + if not count: + if price in bid: + del bid[price] + elif price in ask: + del ask[price] + else: + if amount > 0: + bid[price ] = amount + else: + ask[price] = amount + + # BID + bidPriceList = bid.keys() + bidPriceList.sort() + + tick.bidPrice1 = bidPriceList[0] + tick.bidPrice2 = bidPriceList[1] + tick.bidPrice3 = bidPriceList[2] + tick.bidPrice4 = bidPriceList[3] + tick.bidPrice5 = bidPriceList[4] + + tick.bidVolume1 = bid[tick.bidPrice1] + tick.bidVolume2 = bid[tick.bidPrice2] + tick.bidVolume3 = bid[tick.bidPrice3] + tick.bidVolume4 = bid[tick.bidPrice4] + tick.bidVolume5 = bid[tick.bidPrice5] + + # ASK + askPriceList = ask.keys() + askPriceList.sort() + askPriceList.reverse() + + tick.askPrice1 = askPriceList[0] + tick.askPrice2 = askPriceList[1] + tick.askPrice3 = askPriceList[2] + tick.askPrice4 = askPriceList[3] + tick.askPrice5 = askPriceList[4] + + tick.askVolume1 = ask[tick.askPrice1] + tick.askVolume2 = ask[tick.askPrice2] + tick.askVolume3 = ask[tick.askPrice3] + tick.askVolume4 = ask[tick.askPrice4] + tick.askVolume5 = ask[tick.askPrice5] + + dt = datetime.now() + tick.date = dt.strftime('%Y%m%d') + tick.time = dt.strftime('%H:%M:%S.%f') + tick.datetime = dt + + # 推送 + self.gateway.onTick(copy(tick)) + + #---------------------------------------------------------------------- + def onTradeUpdate(self, data): + """""" + name = data[1] + info = data[2] + + if name == 'ws': + for l in info: + self.onWallet(l) + elif name == 'wu': + self.onWallet(info) + elif name == 'os': + for l in info: + self.onOrder(l) + elif name in ['on', 'ou', 'oc']: + self.onOrder(info) + elif name == 'te': + self.onTrade(info) + + #---------------------------------------------------------------------- + def onWallet(self, data): + """""" + if str(data[0]) == 'exchange': + pos = VtPositionData() + pos.gatewayName = self.gatewayName + + pos.symbol = str(data[1]) + pos.exchange = EXCHANGE_BITFINEX + pos.vtSymbol = '.'.join([pos.vtSymbol, pos.direction]) + pos.direction = DIRECTION_LONG + pos.vtPositionName = '.'.join([pos.symbol, pos.direction]) + pos.position = float(data[2]) + + if data[-1] is None: + pos.frozen = 0 + else: + pos.frozen = pos.position - float(data[-1]) + + self.gateway.onPosition(pos) + + #---------------------------------------------------------------------- + def onOrder(self, data): + """""" + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = str(data[3].replace('t', '')) + order.exchange = EXCHANGE_BITFINEX + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + order.orderID = str(data[2]) + order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) + + if data[7] > 0: + order.direction = DIRECTION_LONG + elif data[7] < 0: + order.direction = DIRECTION_SHORT + + order.price = float(data[16]) + order.totalVolume = abs(data[7]) + order.tradedVolume = order.totalVolume - abs(data[6]) + + orderStatus = str(data[13].split('@')[0]) + orderStatus = orderStatus.replace(' ', '') + order.status = statusMapReverse[orderStatus] + + order.sessionID, order.orderTime = self.generateDateTime(data[4]) + if order.status == STATUS_CANCELLED: + buf, order.cancelTime = self.generateDateTime(data[5]) + + self.orderLocalDict[data[0]] = order.orderID + + self.gateway.onOrder(order) + + #---------------------------------------------------------------------- + def onTrade(self, data): + """""" + trade = VtTradeData() + trade.gatewayName = self.gatewayName + + trade.symbol = data[1].replace('t', '') + trade.exchange = EXCHANGE_BITFINEX + trade.vtSymbol = '.'.join([trade.symbol, trade.exchange]) + trade.orderID = self.orderLocalDict[data[3]] + trade.vtOrderID = '.'.join([trade.gatewayName, trade.orderID]) + trade.tradeID = str(data[0]) + trade.vtTradeID = '.'.join([trade.gatewayName, trade.tradeID]) + + if data[4] > 0: + trade.direction = DIRECTION_LONG + else: + trade.direction = DIRECTION_SHORT + + trade.price = data[5] + trade.volume = abs(data[4]) + buf, trade.tradeTime = self.generateDateTime(data[2]) + + self.gateway.onTrade(trade) + + #---------------------------------------------------------------------- + def onSymbolDetails(self, data): + """""" + for d in data: + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = d['pair'].upper() + contract.exchange = EXCHANGE_BITFINEX + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = contract.vtSymbol + contract.productClass = PRODUCT_SPOT + contract.priceTick = pow(10, d["price_precision"]) + contract.size = 1 + + self.gateway.onContract(contract) + + self.writeLog(u'合约信息查询成功') diff --git a/vnpy/trader/language/chinese/constant.py b/vnpy/trader/language/chinese/constant.py index ef49b3dd..0297f79a 100644 --- a/vnpy/trader/language/chinese/constant.py +++ b/vnpy/trader/language/chinese/constant.py @@ -91,6 +91,8 @@ EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所 EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所 EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所 EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 +EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 +EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 diff --git a/vnpy/trader/language/english/constant.py b/vnpy/trader/language/english/constant.py index 276cabee..d62757e7 100644 --- a/vnpy/trader/language/english/constant.py +++ b/vnpy/trader/language/english/constant.py @@ -87,6 +87,8 @@ EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所 EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所 EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所 EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 +EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 +EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 From 98dcecb470462f19db071d623fba0933da4650c4 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 5 Jun 2018 14:25:35 +0800 Subject: [PATCH 019/135] =?UTF-8?q?[Mod]=E4=BF=AE=E6=94=B9vnokex=E7=9A=84?= =?UTF-8?q?=E6=96=AD=E7=BA=BF=E9=87=8D=E8=BF=9E=E9=80=BB=E8=BE=91?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/okex/vnokex.py | 12 ++++-------- 1 file changed, 4 insertions(+), 8 deletions(-) diff --git a/vnpy/api/okex/vnokex.py b/vnpy/api/okex/vnokex.py index 061c1b2e..0c17d3eb 100644 --- a/vnpy/api/okex/vnokex.py +++ b/vnpy/api/okex/vnokex.py @@ -1,15 +1,10 @@ # encoding: UTF-8 -''' -OKEX的高性能异步交易API - -Contributor：ipqhjjybj 大佳 -''' - from __future__ import print_function import hashlib import json +import traceback from threading import Thread from time import sleep @@ -104,9 +99,10 @@ class OkexApi(object): try: self.ws.send(j) - except websocket.WebSocketConnectionClosedException: + except: + msg = traceback.format_exc() + self.onError(msg) self.reconnect() - #---------------------------------------------------------------------- def reconnect(self): From 08e836b0707744e8ece4072b5523ec4b6cf246f7 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 5 Jun 2018 14:26:17 +0800 Subject: [PATCH 020/135] =?UTF-8?q?[Add]Bitfinex=E6=8E=A5=E5=8F=A3?= =?UTF-8?q?=E5=A2=9E=E5=8A=A0=E8=87=AA=E5=8A=A8=E9=87=8D=E8=BF=9E=E5=92=8C?= =?UTF-8?q?=E6=8C=81=E4=BB=93=E6=9B=B4=E6=96=B0=E9=80=BB=E8=BE=91?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bitfinex/vnbitfinex.py | 22 ++++++++++++++++--- .../bitfinexGateway/bitfinexGateway.py | 20 ++++++++++++++++- 2 files changed, 38 insertions(+), 4 deletions(-) diff --git a/vnpy/api/bitfinex/vnbitfinex.py b/vnpy/api/bitfinex/vnbitfinex.py index 23bc3a9d..8c55b08a 100644 --- a/vnpy/api/bitfinex/vnbitfinex.py +++ b/vnpy/api/bitfinex/vnbitfinex.py @@ -2,6 +2,7 @@ import json import requests +import traceback from threading import Thread from queue import Queue, Empty @@ -37,20 +38,35 @@ class BitfinexApi(object): self.restThread = Thread(target=self.runRest) self.restThread.start() + + #---------------------------------------------------------------------- + def reconnect(self): + """""" + self.ws = websocket.create_connection(WEBSOCKET_V2_URL) #---------------------------------------------------------------------- def run(self): """""" while self.active: - stream = self.ws.recv() - data = json.loads(stream) - self.onData(data) + try: + stream = self.ws.recv() + data = json.loads(stream) + self.onData(data) + except: + msg = traceback.format_exc() + self.onError(msg) + self.reconnect() #---------------------------------------------------------------------- def onData(self, data): """""" print data + #---------------------------------------------------------------------- + def onError(self, msg): + """""" + print msg + #---------------------------------------------------------------------- def sendReq(self, req): """""" diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py index b8ce5be4..d51f1cbe 100644 --- a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -163,6 +163,7 @@ class GatewayApi(BitfinexApi): self.apiKey = '' self.secretKey = '' self.symbols = [] + self.currencys = [] self.tickDict = {} self.bidDict = {} @@ -241,6 +242,8 @@ class GatewayApi(BitfinexApi): #---------------------------------------------------------------------- def sendOrder(self, orderReq): """""" + orderReq.volume = 0.02 + self.orderId += 1 orderId = self.date + self.orderId vtOrderID = '.'.join([self.gatewayName, str(orderId)]) @@ -281,6 +284,16 @@ class GatewayApi(BitfinexApi): self.sendReq(req) + #---------------------------------------------------------------------- + def calc(self): + """""" + l = [] + for currency in self.currencys: + l.append(['wallet_exchange_' + currency]) + + req = [0, 'calc', None, l] + self.sendReq(req) + #---------------------------------------------------------------------- def onData(self, data): """""" @@ -416,11 +429,13 @@ class GatewayApi(BitfinexApi): if name == 'ws': for l in info: self.onWallet(l) + self.writeLog(u'账户资金获取成功') elif name == 'wu': self.onWallet(info) elif name == 'os': for l in info: self.onOrder(l) + self.writeLog(u'活动委托获取成功') elif name in ['on', 'ou', 'oc']: self.onOrder(info) elif name == 'te': @@ -445,6 +460,7 @@ class GatewayApi(BitfinexApi): else: pos.frozen = pos.position - float(data[-1]) + self.currencys.append(pos.symbol) self.gateway.onPosition(pos) #---------------------------------------------------------------------- @@ -479,7 +495,9 @@ class GatewayApi(BitfinexApi): self.orderLocalDict[data[0]] = order.orderID - self.gateway.onOrder(order) + self.gateway.onOrder(order) + + self.calc() #---------------------------------------------------------------------- def onTrade(self, data): From 8b1bc4e2eabb075f07be02e957048457c80ffe97 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 5 Jun 2018 21:23:56 +0800 Subject: [PATCH 021/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9EAlgoTrading?= =?UTF-8?q?=E7=AE=97=E6=B3=95=E4=BA=A4=E6=98=93=E6=A8=A1=E5=9D=97?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/__init__.py | 12 + vnpy/trader/app/algoTrading/algoEngine.py | 221 +++++++++++++++++ vnpy/trader/app/algoTrading/algoTemplate.py | 168 +++++++++++++ vnpy/trader/app/algoTrading/twapAlgo.py | 232 ++++++++++++++++++ vnpy/trader/app/algoTrading/uiAlgoManager.py | 243 +++++++++++++++++++ 5 files changed, 876 insertions(+) create mode 100644 vnpy/trader/app/algoTrading/__init__.py create mode 100644 vnpy/trader/app/algoTrading/algoEngine.py create mode 100644 vnpy/trader/app/algoTrading/algoTemplate.py create mode 100644 vnpy/trader/app/algoTrading/twapAlgo.py create mode 100644 vnpy/trader/app/algoTrading/uiAlgoManager.py diff --git a/vnpy/trader/app/algoTrading/__init__.py b/vnpy/trader/app/algoTrading/__init__.py new file mode 100644 index 00000000..5d8bab7c --- /dev/null +++ b/vnpy/trader/app/algoTrading/__init__.py @@ -0,0 +1,12 @@ +# encoding: UTF-8 + +import os + +from .algoEngine import AlgoEngine +from .uiAlgoManager import AlgoManager + +appName = 'AlgoTrading' +appDisplayName = u'算法交易' +appEngine = AlgoEngine +appWidget = AlgoManager +appIco = 'ct.ico' diff --git a/vnpy/trader/app/algoTrading/algoEngine.py b/vnpy/trader/app/algoTrading/algoEngine.py new file mode 100644 index 00000000..e6ac3617 --- /dev/null +++ b/vnpy/trader/app/algoTrading/algoEngine.py @@ -0,0 +1,221 @@ +# encoding: UTF-8 + +''' +''' + +from __future__ import division + +from vnpy.event import Event +from vnpy.trader.vtEvent import EVENT_TIMER, EVENT_TICK, EVENT_ORDER, EVENT_TRADE +from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, PRICETYPE_LIMITPRICE, + OFFSET_OPEN, OFFSET_CLOSE, + OFFSET_CLOSETODAY, OFFSET_CLOSEYESTERDAY) +from vnpy.trader.vtObject import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData + +from .twapAlgo import TwapAlgo + + +EVENT_ALGO_LOG = 'eAlgoLog' # 算法日志事件 +EVENT_ALGO_PARAM = 'eAlgoParam' # 算法参数事件 +EVENT_ALGO_VAR = 'eAlgoVar' # 算法变量事件 + + +ALGO_DICT = { + TwapAlgo.name: TwapAlgo +} + + + +######################################################################## +class AlgoEngine(object): + """算法交易引擎""" + + #---------------------------------------------------------------------- + def __init__(self, mainEngine, eventEngine): + """""" + self.mainEngine = mainEngine + self.eventEngine = eventEngine + + self.algoDict = {} # algoName:algo + self.orderAlgoDict = {} # vtOrderID:algo + self.symbolAlgoDict = {} # vtSymbol:algo set + + self.registerEvent() + + #---------------------------------------------------------------------- + def registerEvent(self): + """注册事件监听""" + self.eventEngine.register(EVENT_TICK, self.processTickEvent) + self.eventEngine.register(EVENT_TIMER, self.processTimerEvent) + self.eventEngine.register(EVENT_ORDER, self.processOrderEvent) + self.eventEngine.register(EVENT_TRADE, self.processTradeEvent) + + #---------------------------------------------------------------------- + def stop(self): + """停止""" + pass + + #---------------------------------------------------------------------- + def processTickEvent(self, event): + """行情事件""" + tick = event.dict_['data'] + + l = self.symbolAlgoDict.get(tick.vtSymbol, None) + if l: + for algo in l: + algo.updateTick(tick) + + #---------------------------------------------------------------------- + def processOrderEvent(self, event): + """委托事件""" + order = event.dict_['data'] + + algo = self.orderAlgoDict.get(order.vtOrderID, None) + if algo: + algo.updateOrder(order) + + #---------------------------------------------------------------------- + def processTradeEvent(self, event): + """成交事件""" + trade = event.dict_['data'] + + algo = self.orderAlgoDict.get(trade.vtOrderID, None) + if algo: + algo.updateTrade(trade) + + #---------------------------------------------------------------------- + def processTimerEvent(self, event): + """定时事件""" + for algo in self.algoDict.values(): + algo.updateTimer() + + #---------------------------------------------------------------------- + def addAlgo(self, name, algoSetting): + """新增算法""" + algoClass = ALGO_DICT[name] + algo = algoClass.new(self, algoSetting) + self.algoDict[algo.algoName] = algo + return algo.algoName + + #---------------------------------------------------------------------- + def stopAlgo(self, algoName): + """停止算法""" + self.algoDict[algoName].stop() + del self.algoDict[algoName] + + #---------------------------------------------------------------------- + def stopAll(self): + """全部停止""" + l = self.algoDict.keys() + for algoName in l: + self.stopAlgo(algoName) + + #---------------------------------------------------------------------- + def subscribe(self, algo, vtSymbol): + """""" + contract = self.mainEngine.getContract(vtSymbol) + if not contract: + self.writeLog(u'%s订阅行情失败，找不到合约%s' %(algo.algoName, vtSymbol)) + return + + # 如果vtSymbol已存在于字典，说明已经订阅过 + if vtSymbol in self.symbolAlgoDict: + s = self.symbolAlgoDict[vtSymbol] + s.add(algo) + return + # 否则需要添加到字典中并执行订阅 + else: + s = set() + self.symbolAlgoDict[vtSymbol] = s + s.add(algo) + + req = VtSubscribeReq() + req.symbol = contract.symbol + req.exchange = contract.exchange + self.mainEngine.subscribe(req, contract.gatewayName) + + #---------------------------------------------------------------------- + def sendOrder(self, algo, vtSymbol, direction, price, volume): + """发单""" + contract = self.mainEngine.getContract(vtSymbol) + if not contract: + self.writeLog(u'%s委托下单失败，找不到合约：%s' %(algo.algoName, vtSymbol)) + + req = VtOrderReq() + req.vtSymbol = vtSymbol + req.symbol = contract.symbol + req.exchange = contract.exchange + req.direction = direction + req.priceType = PRICETYPE_LIMITPRICE + req.offset = OFFSET_CLOSETODAY + req.price = price + req.volume = volume + vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) + + return vtOrderID + + #---------------------------------------------------------------------- + def buy(self, algo, vtSymbol, price, volume): + """买入""" + return self.sendOrder(algo, vtSymbol, DIRECTION_LONG, price, volume) + + #---------------------------------------------------------------------- + def sell(self, algo, vtSymbol, price, volume): + """卖出""" + return self.sendOrder(algo, vtSymbol, DIRECTION_SHORT, price, volume) + + #---------------------------------------------------------------------- + def cancelOrder(self, algo, vtOrderID): + """撤单""" + order = self.mainEngine.getOrder(vtOrderID) + if not order: + self.writeLog(u'%s委托撤单失败，找不到委托：%s' %(algo.algoName, vtOrderID)) + return + + req = VtCancelOrderReq() + req.symbol = order.symbol + req.exchange = order.exchange + req.orderID = order.orderID + req.frontID = order.frontID + req.sessionID = order.sessionID + self.mainEngine.cancelOrder(req, order.gatewayName) + + #---------------------------------------------------------------------- + def writeLog(self, content, algo=None): + """输出日志""" + log = VtLogData() + log.logContent = content + + if algo: + log.gatewayName = algo.algoName + + event = Event(EVENT_ALGO_LOG) + event.dict_['data'] = log + self.eventEngine.put(event) + + #---------------------------------------------------------------------- + def putVarEvent(self, algo, d): + """更新变量""" + d['algoName'] = algo.algoName + event = Event(EVENT_ALGO_VAR) + event.dict_['data'] = d + self.eventEngine.put(event) + + #---------------------------------------------------------------------- + def putParamEvent(self, algo, d): + """更新参数""" + d['algoName'] = algo.algoName + event = Event(EVENT_ALGO_PARAM) + event.dict_['data'] = d + self.eventEngine.put(event) + + #---------------------------------------------------------------------- + def getTick(self, algo, vtSymbol): + """查询行情""" + tick = self.mainEngine.getTick(vtSymbol) + if not tick: + self.writeLog(u'%s查询行情失败，找不到报价：%s' %(algo.algoName, vtSymbol)) + return + + return tick + diff --git a/vnpy/trader/app/algoTrading/algoTemplate.py b/vnpy/trader/app/algoTrading/algoTemplate.py new file mode 100644 index 00000000..9866669f --- /dev/null +++ b/vnpy/trader/app/algoTrading/algoTemplate.py @@ -0,0 +1,168 @@ +# encoding: UTF-8 + +from __future__ import division + +from vnpy.trader.vtConstant import STATUS_NOTTRADED, STATUS_PARTTRADED, STATUS_UNKNOWN + + +# 活动委托状态 +STATUS_ACTIVE = [STATUS_NOTTRADED, STATUS_PARTTRADED, STATUS_UNKNOWN] + + +######################################################################## +class AlgoTemplate(object): + """算法模板""" + name = 'AlgoTemplate' + count = 0 + + @classmethod + #---------------------------------------------------------------------- + def new(cls, engine, setting): + """创建新对象""" + cls.count += 1 + algoName = '%s_%s' %(cls.name, cls.count) + + algo = cls(engine, setting, algoName) + return algo + + #---------------------------------------------------------------------- + def __init__(self, engine, setting, algoName): + """Constructor""" + self.engine = engine + self.active = True + self.algoName = algoName + self.activeOrderDict = {} # vtOrderID:order + + #---------------------------------------------------------------------- + def updateTick(self, tick): + """""" + if not self.active: + return + + self.onTick(tick) + + #---------------------------------------------------------------------- + def updateTrade(self, trade): + """""" + if not self.active: + return + + self.onTrade(trade) + + #---------------------------------------------------------------------- + def updateOrder(self, order): + """""" + if not self.active: + return + + # 活动委托需要缓存 + if order.status in STATUS_ACTIVE: + self.activeOrderDict[order.vtOrderID] = order + # 结束委托需要移除 + elif order.vtOrderID in self.activeOrderDict: + del self.activeOrderDict[order.vtOrderID] + + self.onOrder(order) + + #---------------------------------------------------------------------- + def updateTimer(self): + """""" + if not self.active: + return + + self.onTimer() + + #---------------------------------------------------------------------- + def stop(self): + """""" + self.active = False + self.cancelAll() + + self.onStop() + + #---------------------------------------------------------------------- + def onTick(self, tick): + """""" + pass + + #---------------------------------------------------------------------- + def onTrade(self, trade): + """""" + pass + + #---------------------------------------------------------------------- + def onOrder(self, order): + """""" + pass + + #---------------------------------------------------------------------- + def onTimer(self): + """""" + pass + + #---------------------------------------------------------------------- + def onStop(self): + """""" + pass + + #---------------------------------------------------------------------- + def subscribe(self, vtSymbol): + """""" + self.engine.subscribe(self, vtSymbol) + + #---------------------------------------------------------------------- + def buy(self, vtSymbol, price, volume): + """""" + return self.engine.buy(self, vtSymbol, price, volume) + + #---------------------------------------------------------------------- + def sell(self, vtSymbol, price, volume): + """""" + return self.engine.sell(self, vtSymbol, price, volume) + + #---------------------------------------------------------------------- + def cancelOrder(self, vtOrderID): + """""" + self.engine.cancelOrder(self, vtOrderID) + + #---------------------------------------------------------------------- + def cancelAll(self): + """""" + if not self.activeOrderDict: + return False + + for order in self.activeOrderDict.values(): + self.cancelOrder(order.vtOrderID) + return True + + #---------------------------------------------------------------------- + def getTick(self, vtSymbol): + """""" + return self.engine.getTick(self, vtSymbol) + + #---------------------------------------------------------------------- + def roundValue(self, value, change): + """标准化价格或者数量""" + if not change: + return value + + n = value / change + v = round(n, 0) * change + return v + + #---------------------------------------------------------------------- + def putVarEvent(self, d): + """更新变量""" + self.engine.putVarEvent(self, d) + + #---------------------------------------------------------------------- + def putParamEvent(self, d): + """更新参数""" + self.engine.putParamEvent(self, d) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """输出日志""" + self.engine.writeLog(content, self) + + \ No newline at end of file diff --git a/vnpy/trader/app/algoTrading/twapAlgo.py b/vnpy/trader/app/algoTrading/twapAlgo.py new file mode 100644 index 00000000..f7723ddc --- /dev/null +++ b/vnpy/trader/app/algoTrading/twapAlgo.py @@ -0,0 +1,232 @@ +# encoding: UTF-8 + +from __future__ import division +from collections import OrderedDict + +from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT) +from vnpy.trader.uiQt import QtWidgets + +from algoTemplate import AlgoTemplate + + +######################################################################## +class TwapAlgo(AlgoTemplate): + """TWAP算法""" + + name = 'TWAP' + + #---------------------------------------------------------------------- + def __init__(self, engine, setting, algoName): + """Constructor""" + super(TwapAlgo, self).__init__(engine, setting, algoName) + + # 参数 + self.vtSymbol = setting['vtSymbol'] # 合约代码 + self.direction = setting['direction'] # 买卖 + self.price = setting['price'] # 目标价格 + self.totalVolume = setting['volume'] # 总数量 + self.time = setting['time'] # 执行时间 + self.interval = setting['interval'] # 执行间隔 + self.minVolume = setting['minVolume'] # 最小委托数量 + + # 变量 + self.orderSize = self.totalVolume / (self.time / self.interval) + self.orderSize = self.roundValue(self.orderSize, self.minVolume) + if self.minVolume >= 1: + self.orderSize = int(self.orderSize) + + self.timerCount = 0 + self.timerTotal = 0 + self.tradedVolume = 0 + + self.subscribe(self.vtSymbol) + self.paramEvent() + self.varEvent() + + #---------------------------------------------------------------------- + def onTick(self, tick): + """""" + pass + + #---------------------------------------------------------------------- + def onTrade(self, trade): + """""" + self.tradedVolume += trade.volume + + if self.tradedVolume >= self.totalVolume: + self.stop() + else: + self.varEvent() + + #---------------------------------------------------------------------- + def onOrder(self, order): + """""" + pass + + #---------------------------------------------------------------------- + def onTimer(self): + """""" + self.timerCount += 1 + self.timerTotal += 1 + + # 总时间结束，停止算法 + if self.timerTotal >= self.time: + self.stop() + return + + # 每到间隔发一次委托 + if self.timerCount >= self.interval: + self.timerCount = 0 + + tick = self.getTick(self.vtSymbol) + if not tick: + return + + size = min(self.orderSize, self.totalVolume-self.tradedVolume) + + # 买入 + if self.direction == DIRECTION_LONG: + # 市场买1价小于目标买价 + if tick.bidPrice1 < self.price: + self.buy(self.vtSymbol, self.price, size) + self.writeLog(u'委托买入%s，数量%，价格%s' %(self.vtSymbol, self.orderSize, self.price)) + # 卖出 + if self.direction == DIRECTION_SHORT: + # 市场卖1价大于目标价 + if tick.askPrice1 > self.price: + self.sell(self.vtSymbol, self.price, size) + self.writeLog(u'委托卖出%s，数量%s，价格%s' %(self.vtSymbol, self.orderSize, self.price)) + + # 委托后等待到间隔一半的时间撤单 + elif self.timerCount == round(self.interval/2, 0): + result = self.cancelAll() + if result: + self.writeLog(u'撤销之前的委托') + + self.varEvent() + + #---------------------------------------------------------------------- + def onStop(self): + """""" + self.writeLog(u'运行时间已到，停止算法') + self.varEvent() + + #---------------------------------------------------------------------- + def varEvent(self): + """更新变量""" + d = OrderedDict() + d[u'算法状态'] = self.active + d[u'成交数量'] = self.tradedVolume + d[u'单笔委托'] = self.orderSize + d[u'本轮读秒'] = self.timerCount + d[u'累计读秒'] = self.timerTotal + d['active'] = self.active + self.putVarEvent(d) + + #---------------------------------------------------------------------- + def paramEvent(self): + """更新参数""" + d = OrderedDict() + d[u'代码'] = self.vtSymbol + d[u'方向'] = self.direction + d[u'目标价格'] = self.price + d[u'总数量'] = self.totalVolume + d[u'总时间（秒）'] = self.time + d[u'间隔（秒）'] = self.interval + self.putParamEvent(d) + + + +######################################################################## +class TwapWidget(QtWidgets.QWidget): + """""" + name = TwapAlgo.name + + #---------------------------------------------------------------------- + def __init__(self, algoEngine): + """Constructor""" + super(TwapWidget, self).__init__() + + self.algoEngine = algoEngine + + self.initUi() + + #---------------------------------------------------------------------- + def initUi(self): + """""" + self.lineSymbol = QtWidgets.QLineEdit() + + self.comboDirection = QtWidgets.QComboBox() + self.comboDirection.addItem(DIRECTION_LONG) + self.comboDirection.addItem(DIRECTION_SHORT) + self.comboDirection.setCurrentIndex(0) + + self.spinPrice = QtWidgets.QDoubleSpinBox() + self.spinPrice.setMinimum(0) + self.spinPrice.setMaximum(1000000000) + self.spinPrice.setDecimals(8) + + self.spinVolume = QtWidgets.QDoubleSpinBox() + self.spinVolume.setMinimum(0) + self.spinVolume.setMaximum(1000000000) + self.spinVolume.setDecimals(6) + + self.spinTime = QtWidgets.QSpinBox() + self.spinTime.setMinimum(30) + self.spinTime.setMaximum(86400) + + self.spinInterval = QtWidgets.QSpinBox() + self.spinInterval.setMinimum(10) + self.spinInterval.setMaximum(3600) + + self.spinMinVolume = QtWidgets.QDoubleSpinBox() + self.spinMinVolume.setMinimum(0) + self.spinMinVolume.setMaximum(10000) + self.spinMinVolume.setDecimals(6) + self.spinMinVolume.setValue(1) + + buttonStart = QtWidgets.QPushButton(u'启动') + buttonStart.clicked.connect(self.addAlgo) + buttonStart.setMinimumHeight(100) + + Label = QtWidgets.QLabel + + grid = QtWidgets.QGridLayout() + grid.addWidget(Label(u'交易代码'), 0, 0) + grid.addWidget(self.lineSymbol, 0, 1) + grid.addWidget(Label(u'方向'), 1, 0) + grid.addWidget(self.comboDirection, 1, 1) + grid.addWidget(Label(u'目标价格'), 2, 0) + grid.addWidget(self.spinPrice, 2, 1) + grid.addWidget(Label(u'总数量'), 3, 0) + grid.addWidget(self.spinVolume, 3, 1) + grid.addWidget(Label(u'总时间（秒）'), 4, 0) + grid.addWidget(self.spinTime, 4, 1) + grid.addWidget(Label(u'间隔（秒）'), 5, 0) + grid.addWidget(self.spinInterval, 5, 1) + grid.addWidget(Label(u'数量取整'), 6, 0) + grid.addWidget(self.spinMinVolume, 6, 1) + grid.addWidget(buttonStart, 7, 0, 1, 2) + + self.setLayout(grid) + + #---------------------------------------------------------------------- + def addAlgo(self): + """""" + setting = { + 'vtSymbol': str(self.lineSymbol.text()), + 'direction': str(self.comboDirection.currentText()), + 'price': float(self.spinPrice.value()), + 'volume': float(self.spinVolume.value()), + 'time': int(self.spinTime.value()), + 'interval': int(self.spinInterval.value()), + 'minVolume': float(self.spinMinVolume.value()) + } + + self.algoEngine.addAlgo(TwapAlgo.name, setting) + + + + + + \ No newline at end of file diff --git a/vnpy/trader/app/algoTrading/uiAlgoManager.py b/vnpy/trader/app/algoTrading/uiAlgoManager.py new file mode 100644 index 00000000..1c0baea3 --- /dev/null +++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py @@ -0,0 +1,243 @@ +# encoding: UTF-8 + +from vnpy.event import Event +from vnpy.trader.uiQt import QtCore, QtWidgets + +from .algoEngine import EVENT_ALGO_LOG, EVENT_ALGO_PARAM, EVENT_ALGO_VAR +from .twapAlgo import TwapWidget + + +######################################################################## +class StopButton(QtWidgets.QPushButton): + """""" + + #---------------------------------------------------------------------- + def __init__(self, algoEngine, algoName=''): + """Constructor""" + super(StopButton, self).__init__() + + self.algoEngine = algoEngine + self.algoName = algoName + + self.setStyleSheet("color:black;background-color:yellow") + + if algoName: + self.setText(u'停止') + self.clicked.connect(self.stopAlgo) + else: + self.setText(u'全部停止') + self.clicked.connect(self.stopAll) + + #---------------------------------------------------------------------- + def stopAlgo(self): + """""" + self.algoEngine.stopAlgo(self.algoName) + self.disable() + + #---------------------------------------------------------------------- + def stopAll(self): + """""" + self.algoEngine.stopAll() + + #---------------------------------------------------------------------- + def disable(self): + """""" + self.setEnabled(False) + self.setStyleSheet("color:black;background-color:grey") + + + +AlgoCell = QtWidgets.QTableWidgetItem + + +######################################################################## +class AlgoStatusMonitor(QtWidgets.QTableWidget): + """""" + signalParam = QtCore.Signal(type(Event())) + signalVar = QtCore.Signal(type(Event())) + + #---------------------------------------------------------------------- + def __init__(self, algoEngine): + """Constructor""" + super(AlgoStatusMonitor, self).__init__() + + self.algoEngine = algoEngine + self.eventEngine = algoEngine.eventEngine + + self.cellDict = {} + + self.initUi() + self.registerEvent() + + #---------------------------------------------------------------------- + def initUi(self): + """初始化界面""" + labels = [u'', + u'名称', + u'参数', + u'变量'] + + self.setColumnCount(len(labels)) + self.setHorizontalHeaderLabels(labels) + self.setRowCount(0) + self.verticalHeader().setVisible(False) + self.setEditTriggers(self.NoEditTriggers) + + #---------------------------------------------------------------------- + def registerEvent(self): + """注册事件监听""" + self.signalParam.connect(self.processParamEvent) + self.signalVar.connect(self.processVarEvent) + + self.eventEngine.register(EVENT_ALGO_PARAM, self.signalParam.emit) + self.eventEngine.register(EVENT_ALGO_VAR, self.signalVar.emit) + + #---------------------------------------------------------------------- + def addAlgo(self, algoName): + """新增算法""" + self.insertRow(0) + + buttonStop = StopButton(self.algoEngine, algoName) + cellName = AlgoCell(algoName) + cellParam = AlgoCell() + cellVar = AlgoCell() + + self.setCellWidget(0, 0, buttonStop) + self.setItem(0, 1, cellName) + self.setItem(0, 2, cellParam) + self.setItem(0, 3, cellVar) + + self.cellDict[algoName] = { + 'param': cellParam, + 'var': cellVar, + 'button': buttonStop + } + + #---------------------------------------------------------------------- + def processParamEvent(self, event): + """""" + d = event.dict_['data'] + + algoName = d.pop('algoName') + if algoName not in self.cellDict: + self.addAlgo(algoName) + + l = [] + for k, v in d.items(): + msg = u'%s:%s' %(k, v) + l.append(msg) + text = ','.join(l) + + cell = self.cellDict[algoName]['param'] + cell.setText(text) + + self.resizeColumnsToContents() + + #---------------------------------------------------------------------- + def processVarEvent(self, event): + """""" + d = event.dict_['data'] + + algoName = d.pop('algoName') + if algoName not in self.cellDict: + self.addAlgo(algoName) + + if 'active' in d: + active = d.pop('active') + if not active: + button = self.cellDict[algoName]['button'] + button.disable() + + l = [] + for k, v in d.items(): + msg = u'%s:%s' %(k, v) + l.append(msg) + text = ','.join(l) + + cell = self.cellDict[algoName]['var'] + cell.setText(text) + + self.resizeColumnsToContents() + + +######################################################################## +class AlgoLogMonitor(QtWidgets.QTextEdit): + """""" + signal = QtCore.Signal(type(Event())) + + #---------------------------------------------------------------------- + def __init__(self, algoEngine): + """Constructor""" + super(AlgoLogMonitor, self).__init__() + + self.eventEngine = algoEngine.eventEngine + + self.registerEvent() + + #---------------------------------------------------------------------- + def registerEvent(self): + """""" + self.signal.connect(self.processEvent) + + self.eventEngine.register(EVENT_ALGO_LOG, self.signal.emit) + + #---------------------------------------------------------------------- + def processEvent(self, event): + """""" + log = event.dict_['data'] + if not log.gatewayName: + log.gatewayName = u'算法引擎' + msg = u'%s\t%s：%s' %(log.logTime, log.gatewayName, log.logContent) + self.append(msg) + + + +######################################################################## +class AlgoManager(QtWidgets.QWidget): + """""" + + #---------------------------------------------------------------------- + def __init__(self, algoEngine, eventEngine): + """Constructor""" + super(AlgoManager, self).__init__() + + self.algoEngine = algoEngine + self.eventEngine = eventEngine + + self.initUi() + self.addAlgoWidget(TwapWidget) + + #---------------------------------------------------------------------- + def initUi(self): + """""" + self.setWindowTitle(u'算法交易') + + self.statusMonitor = AlgoStatusMonitor(self.algoEngine) + self.logMonitor = AlgoLogMonitor(self.algoEngine) + self.tab = QtWidgets.QTabWidget() + self.buttonStop = StopButton(self.algoEngine) + + self.tab.setMaximumWidth(400) + self.buttonStop.setMaximumWidth(400) + self.buttonStop.setFixedHeight(100) + + vbox1 = QtWidgets.QVBoxLayout() + vbox1.addWidget(self.tab) + vbox1.addStretch() + vbox1.addWidget(self.buttonStop) + + vbox2 = QtWidgets.QVBoxLayout() + vbox2.addWidget(self.statusMonitor) + vbox2.addWidget(self.logMonitor) + + hbox = QtWidgets.QHBoxLayout() + hbox.addLayout(vbox1) + hbox.addLayout(vbox2) + + self.setLayout(hbox) + + #---------------------------------------------------------------------- + def addAlgoWidget(self, widgetClass): + """""" + w = widgetClass(self.algoEngine) + self.tab.addTab(w, w.name) \ No newline at end of file From f0c9500a0e0d4bcd47df3587dd4c4b457338b63a Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 9 Jun 2018 15:12:30 +0800 Subject: [PATCH 022/135] =?UTF-8?q?[Mod]=E7=AE=80=E5=8C=96=E5=A4=A7?= =?UTF-8?q?=E5=95=86=E6=89=80=E7=9A=84Tick=E6=97=A5=E6=9C=9F=E8=AE=A1?= =?UTF-8?q?=E7=AE=97=E9=80=BB=E8=BE=91?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/ctpGateway/ctpGateway.py | 25 +------------------- 1 file changed, 1 insertion(+), 24 deletions(-) diff --git a/vnpy/trader/gateway/ctpGateway/ctpGateway.py b/vnpy/trader/gateway/ctpGateway/ctpGateway.py index 2d49c8c3..38185763 100644 --- a/vnpy/trader/gateway/ctpGateway/ctpGateway.py +++ b/vnpy/trader/gateway/ctpGateway/ctpGateway.py @@ -247,10 +247,6 @@ class CtpMdApi(MdApi): self.brokerID = EMPTY_STRING # 经纪商代码 self.address = EMPTY_STRING # 服务器地址 - self.tradingDt = None # 交易日datetime对象 - self.tradingDate = EMPTY_STRING # 交易日期字符串 - self.tickTime = None # 最新行情time对象 - #---------------------------------------------------------------------- def onFrontConnected(self): """服务器连接""" @@ -298,14 +294,6 @@ class CtpMdApi(MdApi): for subscribeReq in self.subscribedSymbols: self.subscribe(subscribeReq) - # 获取交易日 - #self.tradingDate = data['TradingDay'] - #self.tradingDt = datetime.strptime(self.tradingDate, '%Y%m%d') - - # 登录时通过本地时间来获取当前的日期 - self.tradingDt = datetime.now() - self.tradingDate = self.tradingDt.strftime('%Y%m%d') - # 否则，推送错误信息 else: err = VtErrorData() @@ -388,18 +376,7 @@ class CtpMdApi(MdApi): # 大商所日期转换 if tick.exchange is EXCHANGE_DCE: - newTime = datetime.strptime(tick.time, '%H:%M:%S.%f').time() # 最新tick时间戳 - - # 如果新tick的时间小于夜盘分隔，且上一个tick的时间大于夜盘分隔，则意味着越过了12点 - if (self.tickTime and - newTime < NIGHT_TRADING and - self.tickTime > NIGHT_TRADING): - self.tradingDt += timedelta(1) # 日期加1 - self.tradingDate = self.tradingDt.strftime('%Y%m%d') # 生成新的日期字符串 - - tick.date = self.tradingDate # 使用本地维护的日期 - - self.tickTime = newTime # 更新上一个tick时间 + tick.date = datetime.now().strftime('%Y%m%d') self.gateway.onTick(tick) From 143ab33068d88761df1326af6d90f3d4d48b155b Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 9 Jun 2018 16:40:13 +0800 Subject: [PATCH 023/135] =?UTF-8?q?[ADD]TWAP=E7=AE=97=E6=B3=95=E6=96=B0?= =?UTF-8?q?=E5=A2=9E=E5=A7=94=E6=89=98=E6=B7=B1=E5=BA=A6=E6=A1=A3=E4=BD=8D?= =?UTF-8?q?=E7=9A=84=E8=AE=BE=E7=BD=AE?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/__init__.py | 2 +- vnpy/trader/app/algoTrading/at.ico | Bin 0 -> 67646 bytes vnpy/trader/app/algoTrading/twapAlgo.py | 78 ++++++++++++++++++------ 3 files changed, 60 insertions(+), 20 deletions(-) create mode 100644 vnpy/trader/app/algoTrading/at.ico diff --git a/vnpy/trader/app/algoTrading/__init__.py b/vnpy/trader/app/algoTrading/__init__.py index 5d8bab7c..0529d815 100644 --- a/vnpy/trader/app/algoTrading/__init__.py +++ b/vnpy/trader/app/algoTrading/__init__.py @@ -9,4 +9,4 @@ appName = 'AlgoTrading' appDisplayName = u'算法交易' appEngine = AlgoEngine appWidget = AlgoManager -appIco = 'ct.ico' +appIco = 'at.ico' diff --git a/vnpy/trader/app/algoTrading/at.ico b/vnpy/trader/app/algoTrading/at.ico new 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%(self.vtSymbol, self.orderSize, self.price)) + if tick.askPrice1 > self.targetPrice: + # 计算委托价格 + priceMap = { + 1: tick.bidPrice1, + 2: tick.bidPrice2, + 3: tick.bidPrice3, + 4: tick.bidPrice4, + 5: tick.bidPrice5, + } + price = priceMap[self.priceLevel] + if price: + price = max(price, self.targetPrice) + else: + price = self.targetPrice + + # 发出委托 + self.sell(self.vtSymbol, price, size) + self.writeLog(u'委托卖出%s，数量%s，价格%s' %(self.vtSymbol, self.orderSize, price)) # 委托后等待到间隔一半的时间撤单 elif self.timerCount == round(self.interval/2, 0): @@ -129,10 +160,11 @@ class TwapAlgo(AlgoTemplate): d = OrderedDict() d[u'代码'] = self.vtSymbol d[u'方向'] = self.direction - d[u'目标价格'] = self.price + d[u'目标价格'] = self.targetPrice d[u'总数量'] = self.totalVolume d[u'总时间（秒）'] = self.time d[u'间隔（秒）'] = self.interval + d[u'委托档位'] = self.priceLevel self.putParamEvent(d) @@ -185,6 +217,11 @@ class TwapWidget(QtWidgets.QWidget): self.spinMinVolume.setDecimals(6) self.spinMinVolume.setValue(1) + self.spinPriceLevel = QtWidgets.QSpinBox() + self.spinPriceLevel.setMinimum(1) + self.spinPriceLevel.setMaximum(5) + self.spinPriceLevel.setValue(1) + buttonStart = QtWidgets.QPushButton(u'启动') buttonStart.clicked.connect(self.addAlgo) buttonStart.setMinimumHeight(100) @@ -204,9 +241,11 @@ class TwapWidget(QtWidgets.QWidget): grid.addWidget(self.spinTime, 4, 1) grid.addWidget(Label(u'间隔（秒）'), 5, 0) grid.addWidget(self.spinInterval, 5, 1) - grid.addWidget(Label(u'数量取整'), 6, 0) - grid.addWidget(self.spinMinVolume, 6, 1) - grid.addWidget(buttonStart, 7, 0, 1, 2) + grid.addWidget(Label(u'委托档位'), 6, 0) + grid.addWidget(self.spinPriceLevel, 6, 1) + grid.addWidget(Label(u'数量取整'), 7, 0) + grid.addWidget(self.spinMinVolume, 7, 1) + grid.addWidget(buttonStart, 8, 0, 1, 2) self.setLayout(grid) @@ -216,10 +255,11 @@ class TwapWidget(QtWidgets.QWidget): setting = { 'vtSymbol': str(self.lineSymbol.text()), 'direction': str(self.comboDirection.currentText()), - 'price': float(self.spinPrice.value()), - 'volume': float(self.spinVolume.value()), + 'targetPrice': float(self.spinPrice.value()), + 'totalVolume': float(self.spinVolume.value()), 'time': int(self.spinTime.value()), 'interval': int(self.spinInterval.value()), + 'priceLevel': int(self.spinPriceLevel.value()), 'minVolume': float(self.spinMinVolume.value()) } From 32d8a257baf5e14fb9ee7bbb9ed1da898efd0903 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 9 Jun 2018 18:54:41 +0800 Subject: [PATCH 024/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9ECryptoTrader?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/CryptoTrader/VT_setting.json | 20 +++++++++ examples/CryptoTrader/run.py | 61 +++++++++++++++++++++++++++ examples/VnTrader/run.py | 4 +- 3 files changed, 84 insertions(+), 1 deletion(-) create mode 100644 examples/CryptoTrader/VT_setting.json create mode 100644 examples/CryptoTrader/run.py diff --git a/examples/CryptoTrader/VT_setting.json b/examples/CryptoTrader/VT_setting.json new file mode 100644 index 00000000..473017fb --- /dev/null +++ b/examples/CryptoTrader/VT_setting.json @@ -0,0 +1,20 @@ +{ + "fontFamily": "微软雅黑", + "fontSize": 12, + + "mongoHost": "localhost", + "mongoPort": 27017, + "mongoLogging": true, + + "darkStyle": true, + "language": "chinese", + + "logActive": true, + "logLevel": "debug", + "logConsole": true, + "logFile": true, + + "tdPenalty": ["IF", "IH", "IC"], + + "maxDecimal": 4 +} \ No newline at end of file diff --git a/examples/CryptoTrader/run.py b/examples/CryptoTrader/run.py new file mode 100644 index 00000000..a09cb3dc --- /dev/null +++ b/examples/CryptoTrader/run.py @@ -0,0 +1,61 @@ +# encoding: UTF-8 + +# 重载sys模块，设置默认字符串编码方式为utf8 +try: + reload # Python 2 +except NameError: # Python 3 + from importlib import reload +import sys +reload(sys) +sys.setdefaultencoding('utf8') + +# 判断操作系统 +import platform +system = platform.system() + +# vn.trader模块 +from vnpy.event import EventEngine +from vnpy.trader.vtEngine import MainEngine +from vnpy.trader.uiQt import createQApp +from vnpy.trader.uiMainWindow import MainWindow + +# 加载底层接口 +from vnpy.trader.gateway import (huobiGateway, okexGateway, + binanceGateway, bitfinexGateway) + +# 加载上层应用 +from vnpy.trader.app import (riskManager, algoTrading) + + +#---------------------------------------------------------------------- +def main(): + """主程序入口""" + # 创建Qt应用对象 + qApp = createQApp() + + # 创建事件引擎 + ee = EventEngine() + + # 创建主引擎 + me = MainEngine(ee) + + # 添加交易接口 + me.addGateway(huobiGateway) + me.addGateway(okexGateway) + me.addGateway(binanceGateway) + me.addGateway(bitfinexGateway) + + # 添加上层应用 + me.addApp(riskManager) + me.addApp(algoTrading) + + # 创建主窗口 + mw = MainWindow(me, ee) + mw.showMaximized() + + # 在主线程中启动Qt事件循环 + sys.exit(qApp.exec_()) + + +if __name__ == '__main__': + main() diff --git a/examples/VnTrader/run.py b/examples/VnTrader/run.py index 24a54f97..9eaf85d3 100644 --- a/examples/VnTrader/run.py +++ b/examples/VnTrader/run.py @@ -30,7 +30,8 @@ elif system == 'Windows': secGateway) # 加载上层应用 -from vnpy.trader.app import (riskManager, ctaStrategy, spreadTrading) +from vnpy.trader.app import (riskManager, ctaStrategy, + spreadTrading, algoTrading) #---------------------------------------------------------------------- @@ -62,6 +63,7 @@ def main(): me.addApp(riskManager) me.addApp(ctaStrategy) me.addApp(spreadTrading) + me.addApp(algoTrading) # 创建主窗口 mw = MainWindow(me, ee) From 08253b087b0f7598f7d771cbe676e7d3710a983c Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 9 Jun 2018 18:55:04 +0800 Subject: [PATCH 025/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9E=E7=AE=97?= =?UTF-8?q?=E6=B3=95=E9=85=8D=E7=BD=AE=E4=BF=9D=E5=AD=98=E5=92=8C=E5=8A=A0?= =?UTF-8?q?=E8=BD=BD=E5=8A=9F=E8=83=BD?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/algoEngine.py | 49 +++++++++++++++++++++-- 1 file changed, 46 insertions(+), 3 deletions(-) diff --git a/vnpy/trader/app/algoTrading/algoEngine.py b/vnpy/trader/app/algoTrading/algoEngine.py index e6ac3617..5b69fb23 100644 --- a/vnpy/trader/app/algoTrading/algoEngine.py +++ b/vnpy/trader/app/algoTrading/algoEngine.py @@ -18,10 +18,16 @@ from .twapAlgo import TwapAlgo EVENT_ALGO_LOG = 'eAlgoLog' # 算法日志事件 EVENT_ALGO_PARAM = 'eAlgoParam' # 算法参数事件 EVENT_ALGO_VAR = 'eAlgoVar' # 算法变量事件 +EVENT_ALGO_SETTING = 'eAlgoSetting' # 算法配置事件 + + +ALGOTRADING_DB_NAME = 'VnTrader_AlgoTrading_Db' + +SETTING_COLLECTION_NAME = 'AlgoSetting' ALGO_DICT = { - TwapAlgo.name: TwapAlgo + TwapAlgo.templateName: TwapAlgo } @@ -39,6 +45,7 @@ class AlgoEngine(object): self.algoDict = {} # algoName:algo self.orderAlgoDict = {} # vtOrderID:algo self.symbolAlgoDict = {} # vtSymbol:algo set + self.settingDict = {} # settingName:setting self.registerEvent() @@ -90,9 +97,10 @@ class AlgoEngine(object): algo.updateTimer() #---------------------------------------------------------------------- - def addAlgo(self, name, algoSetting): + def addAlgo(self, algoSetting): """新增算法""" - algoClass = ALGO_DICT[name] + templateName = algoSetting['templateName'] + algoClass = ALGO_DICT[templateName] algo = algoClass.new(self, algoSetting) self.algoDict[algo.algoName] = algo return algo.algoName @@ -218,4 +226,39 @@ class AlgoEngine(object): return return tick + + #---------------------------------------------------------------------- + def saveAlgoSetting(self, settingName, algoSetting): + """保存算法配置""" + algoSetting['settingName'] = settingName + self.settingDict[settingName] = algoSetting + + self.mainEngine.dbUpdate(ALGOTRADING_DB_NAME, + SETTING_COLLECTION_NAME, + algoSetting, + {'settingName': settingName}, + True) + + self.putSettingEvent(settingName, algoSetting) + + #---------------------------------------------------------------------- + def loadAlgoSetting(self): + """加载算法配置""" + l = self.mainEngine.dbQuery(ALGOTRADING_DB_NAME, + SETTING_COLLECTION_NAME, + {}, + 'templateName') + for algoSetting in l: + settingName = algoSetting['settingName'] + self.settingDict[settingName] = algoSetting + self.putSettingEvent(settingName, algoSetting) + + #---------------------------------------------------------------------- + def putSettingEvent(self, settingName, algoSetting): + """发出算法配置更新事件""" + algoSetting['settingName'] = settingName + + event = Event(EVENT_ALGO_SETTING) + event.dict_['data'] = algoSetting + self.eventEngine.put(event) From 19f559f36ade04186d335eecb8ea6d9a50fc9652 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 9 Jun 2018 18:55:31 +0800 Subject: [PATCH 026/135] =?UTF-8?q?[Add]=E6=8A=BD=E8=B1=A1=E5=89=A5?= =?UTF-8?q?=E7=A6=BB=E7=AE=97=E6=B3=95=E6=8E=A7=E5=88=B6=E7=BB=84=E4=BB=B6?= =?UTF-8?q?=E7=88=B6=E7=B1=BB?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/algoTemplate.py | 4 +- vnpy/trader/app/algoTrading/twapAlgo.py | 35 +++++------ vnpy/trader/app/algoTrading/uiAlgoManager.py | 2 +- vnpy/trader/app/algoTrading/uiAlgoWidget.py | 66 ++++++++++++++++++++ 4 files changed, 83 insertions(+), 24 deletions(-) create mode 100644 vnpy/trader/app/algoTrading/uiAlgoWidget.py diff --git a/vnpy/trader/app/algoTrading/algoTemplate.py b/vnpy/trader/app/algoTrading/algoTemplate.py index 9866669f..29e89a2a 100644 --- a/vnpy/trader/app/algoTrading/algoTemplate.py +++ b/vnpy/trader/app/algoTrading/algoTemplate.py @@ -12,7 +12,7 @@ STATUS_ACTIVE = [STATUS_NOTTRADED, STATUS_PARTTRADED, STATUS_UNKNOWN] ######################################################################## class AlgoTemplate(object): """算法模板""" - name = 'AlgoTemplate' + templateName = 'AlgoTemplate' count = 0 @classmethod @@ -20,7 +20,7 @@ class AlgoTemplate(object): def new(cls, engine, setting): """创建新对象""" cls.count += 1 - algoName = '%s_%s' %(cls.name, cls.count) + algoName = '%s_%s' %(cls.templateName, cls.count) algo = cls(engine, setting, algoName) return algo diff --git a/vnpy/trader/app/algoTrading/twapAlgo.py b/vnpy/trader/app/algoTrading/twapAlgo.py index e5e93112..6e06c9b9 100644 --- a/vnpy/trader/app/algoTrading/twapAlgo.py +++ b/vnpy/trader/app/algoTrading/twapAlgo.py @@ -6,14 +6,15 @@ from collections import OrderedDict from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT) from vnpy.trader.uiQt import QtWidgets -from algoTemplate import AlgoTemplate +from .algoTemplate import AlgoTemplate +from .uiAlgoWidget import AlgoWidget, QtWidgets ######################################################################## class TwapAlgo(AlgoTemplate): """TWAP算法""" - name = 'TWAP' + templateName = 'TWAP' #---------------------------------------------------------------------- def __init__(self, engine, setting, algoName): @@ -168,23 +169,19 @@ class TwapAlgo(AlgoTemplate): self.putParamEvent(d) - ######################################################################## -class TwapWidget(QtWidgets.QWidget): +class TwapWidget(AlgoWidget): """""" - name = TwapAlgo.name - + #---------------------------------------------------------------------- - def __init__(self, algoEngine): + def __init__(self, algoEngine, parent=None): """Constructor""" - super(TwapWidget, self).__init__() + super(TwapWidget, self).__init__(algoEngine, parent) - self.algoEngine = algoEngine - - self.initUi() + self.templateName = TwapAlgo.templateName #---------------------------------------------------------------------- - def initUi(self): + def initAlgoLayout(self): """""" self.lineSymbol = QtWidgets.QLineEdit() @@ -245,14 +242,14 @@ class TwapWidget(QtWidgets.QWidget): grid.addWidget(self.spinPriceLevel, 6, 1) grid.addWidget(Label(u'数量取整'), 7, 0) grid.addWidget(self.spinMinVolume, 7, 1) - grid.addWidget(buttonStart, 8, 0, 1, 2) - - self.setLayout(grid) + + return grid #---------------------------------------------------------------------- - def addAlgo(self): + def getAlgoSetting(self): """""" setting = { + 'templateName': TwapAlgo.templateName, 'vtSymbol': str(self.lineSymbol.text()), 'direction': str(self.comboDirection.currentText()), 'targetPrice': float(self.spinPrice.value()), @@ -263,10 +260,6 @@ class TwapWidget(QtWidgets.QWidget): 'minVolume': float(self.spinMinVolume.value()) } - self.algoEngine.addAlgo(TwapAlgo.name, setting) - - - - + return setting \ No newline at end of file diff --git a/vnpy/trader/app/algoTrading/uiAlgoManager.py b/vnpy/trader/app/algoTrading/uiAlgoManager.py index 1c0baea3..7459339d 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoManager.py +++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py @@ -240,4 +240,4 @@ class AlgoManager(QtWidgets.QWidget): def addAlgoWidget(self, widgetClass): """""" w = widgetClass(self.algoEngine) - self.tab.addTab(w, w.name) \ No newline at end of file + self.tab.addTab(w, w.templateName) \ No newline at end of file diff --git a/vnpy/trader/app/algoTrading/uiAlgoWidget.py b/vnpy/trader/app/algoTrading/uiAlgoWidget.py new file mode 100644 index 00000000..7df9ddb1 --- /dev/null +++ b/vnpy/trader/app/algoTrading/uiAlgoWidget.py @@ -0,0 +1,66 @@ +# encoding: UTF-8 + +from vnpy.trader.uiQt import QtWidgets + + +######################################################################## +class AlgoWidget(QtWidgets.QWidget): + """算法启动组件""" + + #---------------------------------------------------------------------- + def __init__(self, algoEngine, parent=None): + """Constructor""" + super(AlgoWidget, self).__init__(parent) + + self.templateName = '' + self.algoEngine = algoEngine + + self.initUi() + + #---------------------------------------------------------------------- + def initUi(self): + """""" + algoLayout = self.initAlgoLayout() + + buttonStart = QtWidgets.QPushButton(u'启动算法') + buttonStart.clicked.connect(self.addAlgo) + buttonStart.setMinimumHeight(100) + + buttonSave = QtWidgets.QPushButton(u'保存配置') + buttonSave.clicked.connect(self.saveAlgoSetting) + buttonSave.setMinimumHeight(100) + + self.lineSettingName = QtWidgets.QLineEdit() + self.lineSettingName.setPlaceholderText(u'算法配置名称') + + vbox = QtWidgets.QVBoxLayout() + vbox.addLayout(algoLayout) + vbox.addWidget(buttonStart) + vbox.addWidget(QtWidgets.QLabel('')) + vbox.addWidget(QtWidgets.QLabel('')) + vbox.addWidget(self.lineSettingName) + vbox.addWidget(buttonSave) + + self.setLayout(vbox) + + #---------------------------------------------------------------------- + def addAlgo(self): + """启动算法""" + setting = self.getAlgoSetting() + self.algoEngine.addAlgo(setting) + + #---------------------------------------------------------------------- + def saveAlgoSetting(self): + """保存算法配置""" + setting = self.getAlgoSetting() + self.algoEngine.saveAlgoSetting(setting) + + #---------------------------------------------------------------------- + def initAlgoLayout(self): + """初始化算法相关的组件部分""" + pass + + #---------------------------------------------------------------------- + def getAlgoSetting(self): + """获取算法配置""" + pass From b92eea8978d3b604be2848eaab5fdb87dc81b3b4 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 9 Jun 2018 22:03:10 +0800 Subject: [PATCH 027/135] =?UTF-8?q?[Add]MainEngine=E5=A2=9E=E5=8A=A0dbDele?= =?UTF-8?q?te=E5=8A=9F=E8=83=BD?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/language/chinese/text.py | 1 + vnpy/trader/language/english/text.py | 3 ++- vnpy/trader/vtEngine.py | 14 ++++++++++++-- 3 files changed, 15 insertions(+), 3 deletions(-) diff --git a/vnpy/trader/language/chinese/text.py b/vnpy/trader/language/chinese/text.py index 61850491..f9729083 100644 --- a/vnpy/trader/language/chinese/text.py +++ b/vnpy/trader/language/chinese/text.py @@ -137,3 +137,4 @@ DATABASE_CONNECTING_FAILED = u'MongoDB连接失败' DATA_INSERT_FAILED = u'数据插入失败，MongoDB没有连接' DATA_QUERY_FAILED = u'数据查询失败，MongoDB没有连接' DATA_UPDATE_FAILED = u'数据更新失败，MongoDB没有连接' +DATA_DELETE_FAILED = u'数据删除失败，MongoDB没有连接' \ No newline at end of file diff --git a/vnpy/trader/language/english/text.py b/vnpy/trader/language/english/text.py index 6268d9c8..68ed2985 100644 --- a/vnpy/trader/language/english/text.py +++ b/vnpy/trader/language/english/text.py @@ -137,4 +137,5 @@ DATABASE_CONNECTING_COMPLETED = u'MongoDB is connected.' DATABASE_CONNECTING_FAILED = u'Failed to connect to MongoDB.' DATA_INSERT_FAILED = u'Data insert failed，please connect MongoDB first.' DATA_QUERY_FAILED = u'Data query failed, please connect MongoDB first.' -DATA_UPDATE_FAILED = u'Data update failed, please connect MongoDB first.' \ No newline at end of file +DATA_UPDATE_FAILED = u'Data update failed, please connect MongoDB first.' +DATA_DELETE_FAILED = u'Data delete failed, please connect MongoDB first.' \ No newline at end of file diff --git a/vnpy/trader/vtEngine.py b/vnpy/trader/vtEngine.py index 75584a1f..e86d2c8f 100644 --- a/vnpy/trader/vtEngine.py +++ b/vnpy/trader/vtEngine.py @@ -251,7 +251,17 @@ class MainEngine(object): collection = db[collectionName] collection.replace_one(flt, d, upsert) else: - self.writeLog(text.DATA_UPDATE_FAILED) + self.writeLog(text.DATA_UPDATE_FAILED) + + #---------------------------------------------------------------------- + def dbDelete(self, dbName, collectionName, flt): + """从数据库中删除数据，flt是过滤条件""" + if self.dbClient: + db = self.dbClient[dbName] + collection = db[collectionName] + collection.delete_one(flt) + else: + self.writeLog(text.DATA_DELETE_FAILED) #---------------------------------------------------------------------- def dbLogging(self, event): @@ -735,7 +745,7 @@ class LogEngine(object): function = self.levelFunctionDict[log.logLevel] # 获取日志级别对应的处理函数 msg = '\t'.join([log.gatewayName, log.logContent]) function(msg) - + ######################################################################## class PositionDetail(object): From d33a585b0f810b96b6e1c3a41c597ad67583bdd3 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 9 Jun 2018 22:03:42 +0800 Subject: [PATCH 028/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9E=E4=BA=A4?= =?UTF-8?q?=E6=98=93=E7=AE=97=E6=B3=95=E9=85=8D=E7=BD=AE=E7=AE=A1=E7=90=86?= =?UTF-8?q?=E7=BB=84=E4=BB=B6?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/algoEngine.py | 16 +- vnpy/trader/app/algoTrading/twapAlgo.py | 21 +- vnpy/trader/app/algoTrading/uiAlgoManager.py | 263 ++++++++++++++++--- vnpy/trader/app/algoTrading/uiAlgoWidget.py | 4 + 4 files changed, 256 insertions(+), 48 deletions(-) diff --git a/vnpy/trader/app/algoTrading/algoEngine.py b/vnpy/trader/app/algoTrading/algoEngine.py index 5b69fb23..3c360cd8 100644 --- a/vnpy/trader/app/algoTrading/algoEngine.py +++ b/vnpy/trader/app/algoTrading/algoEngine.py @@ -228,9 +228,9 @@ class AlgoEngine(object): return tick #---------------------------------------------------------------------- - def saveAlgoSetting(self, settingName, algoSetting): + def saveAlgoSetting(self, algoSetting): """保存算法配置""" - algoSetting['settingName'] = settingName + settingName = algoSetting['settingName'] self.settingDict[settingName] = algoSetting self.mainEngine.dbUpdate(ALGOTRADING_DB_NAME, @@ -252,6 +252,18 @@ class AlgoEngine(object): settingName = algoSetting['settingName'] self.settingDict[settingName] = algoSetting self.putSettingEvent(settingName, algoSetting) + + #---------------------------------------------------------------------- + def deleteAlgoSetting(self, algoSetting): + """删除算法配置""" + settingName = algoSetting['settingName'] + + del self.settingDict[settingName] + self.mainEngine.dbDelete(ALGOTRADING_DB_NAME, + SETTING_COLLECTION_NAME, + {'settingName': settingName}) + + self.putSettingEvent(settingName, {}) #---------------------------------------------------------------------- def putSettingEvent(self, settingName, algoSetting): diff --git a/vnpy/trader/app/algoTrading/twapAlgo.py b/vnpy/trader/app/algoTrading/twapAlgo.py index 6e06c9b9..b4bc9f7d 100644 --- a/vnpy/trader/app/algoTrading/twapAlgo.py +++ b/vnpy/trader/app/algoTrading/twapAlgo.py @@ -248,17 +248,16 @@ class TwapWidget(AlgoWidget): #---------------------------------------------------------------------- def getAlgoSetting(self): """""" - setting = { - 'templateName': TwapAlgo.templateName, - 'vtSymbol': str(self.lineSymbol.text()), - 'direction': str(self.comboDirection.currentText()), - 'targetPrice': float(self.spinPrice.value()), - 'totalVolume': float(self.spinVolume.value()), - 'time': int(self.spinTime.value()), - 'interval': int(self.spinInterval.value()), - 'priceLevel': int(self.spinPriceLevel.value()), - 'minVolume': float(self.spinMinVolume.value()) - } + setting = OrderedDict() + setting['templateName'] = TwapAlgo.templateName + setting['vtSymbol'] = str(self.lineSymbol.text()) + setting['direction'] = str(self.comboDirection.currentText()) + setting['targetPrice'] = float(self.spinPrice.value()) + setting['totalVolume'] = float(self.spinVolume.value()) + setting['time'] = int(self.spinTime.value()) + setting['interval'] = int(self.spinInterval.value()) + setting['priceLevel'] = int(self.spinPriceLevel.value()) + setting['minVolume'] = float(self.spinMinVolume.value()) return setting diff --git a/vnpy/trader/app/algoTrading/uiAlgoManager.py b/vnpy/trader/app/algoTrading/uiAlgoManager.py index 7459339d..fa92fae3 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoManager.py +++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py @@ -3,13 +3,14 @@ from vnpy.event import Event from vnpy.trader.uiQt import QtCore, QtWidgets -from .algoEngine import EVENT_ALGO_LOG, EVENT_ALGO_PARAM, EVENT_ALGO_VAR +from .algoEngine import (EVENT_ALGO_LOG, EVENT_ALGO_PARAM, + EVENT_ALGO_VAR, EVENT_ALGO_SETTING) from .twapAlgo import TwapWidget ######################################################################## class StopButton(QtWidgets.QPushButton): - """""" + """停止算法用按钮""" #---------------------------------------------------------------------- def __init__(self, algoEngine, algoName=''): @@ -30,18 +31,18 @@ class StopButton(QtWidgets.QPushButton): #---------------------------------------------------------------------- def stopAlgo(self): - """""" + """停止某一算法""" self.algoEngine.stopAlgo(self.algoName) self.disable() #---------------------------------------------------------------------- def stopAll(self): - """""" + """停止全部算法""" self.algoEngine.stopAll() #---------------------------------------------------------------------- def disable(self): - """""" + """禁用按钮""" self.setEnabled(False) self.setStyleSheet("color:black;background-color:grey") @@ -52,17 +53,21 @@ AlgoCell = QtWidgets.QTableWidgetItem ######################################################################## class AlgoStatusMonitor(QtWidgets.QTableWidget): - """""" + """算法状态监控""" signalParam = QtCore.Signal(type(Event())) signalVar = QtCore.Signal(type(Event())) + + MODE_WORKING = 'working' + MODE_HISTORY = 'history' #---------------------------------------------------------------------- - def __init__(self, algoEngine): + def __init__(self, algoEngine, mode): """Constructor""" super(AlgoStatusMonitor, self).__init__() self.algoEngine = algoEngine self.eventEngine = algoEngine.eventEngine + self.mode = mode self.cellDict = {} @@ -81,7 +86,11 @@ class AlgoStatusMonitor(QtWidgets.QTableWidget): self.setHorizontalHeaderLabels(labels) self.setRowCount(0) self.verticalHeader().setVisible(False) - self.setEditTriggers(self.NoEditTriggers) + self.setEditTriggers(self.NoEditTriggers) + self.setAlternatingRowColors(True) + + if self.mode == self.MODE_HISTORY: + self.hideColumn(0) #---------------------------------------------------------------------- def registerEvent(self): @@ -113,21 +122,19 @@ class AlgoStatusMonitor(QtWidgets.QTableWidget): 'button': buttonStop } + if self.mode == self.MODE_HISTORY: + self.hideRow(0) + #---------------------------------------------------------------------- def processParamEvent(self, event): - """""" + """处理参数事件""" d = event.dict_['data'] - algoName = d.pop('algoName') + algoName = d['algoName'] if algoName not in self.cellDict: self.addAlgo(algoName) - l = [] - for k, v in d.items(): - msg = u'%s:%s' %(k, v) - l.append(msg) - text = ','.join(l) - + text = self.generateText(d) cell = self.cellDict[algoName]['param'] cell.setText(text) @@ -135,29 +142,47 @@ class AlgoStatusMonitor(QtWidgets.QTableWidget): #---------------------------------------------------------------------- def processVarEvent(self, event): - """""" + """处理变量事件""" d = event.dict_['data'] - algoName = d.pop('algoName') + algoName = d['algoName'] if algoName not in self.cellDict: self.addAlgo(algoName) if 'active' in d: - active = d.pop('active') + active = d['active'] + + # 若算法已经结束 if not active: - button = self.cellDict[algoName]['button'] + # 禁用按钮 + cells = self.cellDict[algoName] + button = cells['button'] button.disable() + + # 根据模式决定显示或者隐藏该行 + cell = cells['var'] + row = self.row(cell) + if self.mode == self.MODE_WORKING: + self.hideRow(row) + else: + self.showRow(row) - l = [] - for k, v in d.items(): - msg = u'%s:%s' %(k, v) - l.append(msg) - text = ','.join(l) - + text = self.generateText(d) cell = self.cellDict[algoName]['var'] cell.setText(text) self.resizeColumnsToContents() + + #---------------------------------------------------------------------- + def generateText(self, d): + """从字典生成字符串""" + l = [] + for k, v in d.items(): + if k not in ['algoName']: + msg = u'%s:%s' %(k, v) + l.append(msg) + text = ','.join(l) + return text ######################################################################## @@ -191,10 +216,159 @@ class AlgoLogMonitor(QtWidgets.QTextEdit): self.append(msg) +######################################################################## +class StartButton(QtWidgets.QPushButton): + """基于配置启动算法用按钮""" + + #---------------------------------------------------------------------- + def __init__(self, algoEngine, setting): + """Constructor""" + super(StartButton, self).__init__() + + self.algoEngine = algoEngine + self.setting = setting + + self.setStyleSheet("color:black;background-color:green") + self.setText(u'启动') + + self.clicked.connect(self.startAlgo) + + #---------------------------------------------------------------------- + def startAlgo(self): + """启动算法""" + self.algoEngine.addAlgo(self.setting) + + #---------------------------------------------------------------------- + def updateSetting(self, setting): + """更新配置""" + self.setting = setting + + +######################################################################## +class DeleteButton(QtWidgets.QPushButton): + """删除算法用按钮""" + + #---------------------------------------------------------------------- + def __init__(self, algoEngine, setting): + """Constructor""" + super(DeleteButton, self).__init__() + + self.algoEngine = algoEngine + self.setting = setting + + self.setStyleSheet("color:black;background-color:red") + self.setText(u'删除') + + self.clicked.connect(self.deleteAlgoSetting) + + #---------------------------------------------------------------------- + def deleteAlgoSetting(self): + """删除算法配置""" + self.algoEngine.deleteAlgoSetting(self.setting) + + #---------------------------------------------------------------------- + def updateSetting(self, setting): + """更新配置""" + self.setting = setting + + +######################################################################## +class AlgoSettingMonitor(QtWidgets.QTableWidget): + """""" + signal = QtCore.Signal(type(Event())) + + #---------------------------------------------------------------------- + def __init__(self, algoEngine): + """Constructor""" + super(AlgoSettingMonitor, self).__init__() + + self.algoEngine = algoEngine + self.eventEngine = algoEngine.eventEngine + + self.cellDict = {} + + self.initUi() + self.registerEvent() + + #---------------------------------------------------------------------- + def initUi(self): + """初始化界面""" + labels = [u'', + u'名称', + u'算法', + u'参数', + ''] + + self.setColumnCount(len(labels)) + self.setHorizontalHeaderLabels(labels) + self.setRowCount(0) + self.verticalHeader().setVisible(False) + self.setEditTriggers(self.NoEditTriggers) + + #---------------------------------------------------------------------- + def registerEvent(self): + """注册事件监听""" + self.signal.connect(self.processEvent) + + self.eventEngine.register(EVENT_ALGO_SETTING, self.signal.emit) + + #---------------------------------------------------------------------- + def processEvent(self, event): + """处理事件""" + setting = event.dict_['data'] + settingName = setting['settingName'] + + # 删除配置行 + if len(setting) == 1: + d = self.cellDict.pop(settingName) + cell = d['text'] + row = self.row(cell) + self.removeRow(row) + # 新增配置行 + elif settingName not in self.cellDict: + self.insertRow(0) + + buttonStart = StartButton(self.algoEngine, setting) + cellSettingName = AlgoCell(settingName) + cellTemplateName = AlgoCell(setting['templateName']) + cellSettingText = AlgoCell(self.generateText(setting)) + buttonDelete = DeleteButton(self.algoEngine, setting) + + self.setCellWidget(0, 0, buttonStart) + self.setItem(0, 1, cellSettingName) + self.setItem(0, 2, cellTemplateName) + self.setItem(0, 3, cellSettingText) + self.setCellWidget(0, 4, buttonDelete) + + self.cellDict[settingName] = { + 'start': buttonStart, + 'text': cellSettingText, + 'delete': buttonDelete + } + # 更新已有配置行 + else: + d = self.cellDict[settingName] + d['start'].updateSetting(setting) + d['text'].setText(self.generateText(setting)) + d['delete'].updateSetting(setting) + + self.resizeColumnsToContents() + + #---------------------------------------------------------------------- + def generateText(self, d): + """从字典生成字符串""" + l = [] + for k, v in d.items(): + if k not in ['settingName', 'templateName', '_id']: + msg = u'%s:%s' %(k, v) + l.append(msg) + text = ','.join(l) + return text + ######################################################################## class AlgoManager(QtWidgets.QWidget): - """""" + """算法交易管理组件""" #---------------------------------------------------------------------- def __init__(self, algoEngine, eventEngine): @@ -207,13 +381,13 @@ class AlgoManager(QtWidgets.QWidget): self.initUi() self.addAlgoWidget(TwapWidget) + self.algoEngine.loadAlgoSetting() # 界面初始化后，再加载算法配置 + #---------------------------------------------------------------------- def initUi(self): """""" self.setWindowTitle(u'算法交易') - self.statusMonitor = AlgoStatusMonitor(self.algoEngine) - self.logMonitor = AlgoLogMonitor(self.algoEngine) self.tab = QtWidgets.QTabWidget() self.buttonStop = StopButton(self.algoEngine) @@ -226,15 +400,34 @@ class AlgoManager(QtWidgets.QWidget): vbox1.addStretch() vbox1.addWidget(self.buttonStop) - vbox2 = QtWidgets.QVBoxLayout() - vbox2.addWidget(self.statusMonitor) - vbox2.addWidget(self.logMonitor) + workingMonitor = AlgoStatusMonitor(self.algoEngine, AlgoStatusMonitor.MODE_WORKING) + historyMonitor = AlgoStatusMonitor(self.algoEngine, AlgoStatusMonitor.MODE_HISTORY) + logMonitor = AlgoLogMonitor(self.algoEngine) + settingMonitor = AlgoSettingMonitor(self.algoEngine) + + tab1 = QtWidgets.QTabWidget() + tab1.addTab(workingMonitor, u'运行中') + tab1.addTab(historyMonitor, u'已结束') + + tab2 = QtWidgets.QTabWidget() + tab2.addTab(logMonitor, u'日志信息') + + tab3 = QtWidgets.QTabWidget() + tab3.addTab(settingMonitor, u'算法配置') hbox = QtWidgets.QHBoxLayout() - hbox.addLayout(vbox1) - hbox.addLayout(vbox2) + hbox.addWidget(tab2) + hbox.addWidget(tab3) - self.setLayout(hbox) + vbox2 = QtWidgets.QVBoxLayout() + vbox2.addWidget(tab1) + vbox2.addLayout(hbox) + + hbox2 = QtWidgets.QHBoxLayout() + hbox2.addLayout(vbox1) + hbox2.addLayout(vbox2) + + self.setLayout(hbox2) #---------------------------------------------------------------------- def addAlgoWidget(self, widgetClass): diff --git a/vnpy/trader/app/algoTrading/uiAlgoWidget.py b/vnpy/trader/app/algoTrading/uiAlgoWidget.py index 7df9ddb1..addb3090 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoWidget.py +++ b/vnpy/trader/app/algoTrading/uiAlgoWidget.py @@ -53,7 +53,11 @@ class AlgoWidget(QtWidgets.QWidget): def saveAlgoSetting(self): """保存算法配置""" setting = self.getAlgoSetting() + setting['templateName'] = self.templateName + setting['settingName'] = unicode(self.lineSettingName.text()) self.algoEngine.saveAlgoSetting(setting) + + self.lineSettingName.setText('') #---------------------------------------------------------------------- def initAlgoLayout(self): From 5fb1cafc0d297c11ec969a235ec0ca2d9d99f3e4 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 11:18:35 +0800 Subject: [PATCH 029/135] [Fix]Close #909 --- vnpy/trader/app/ctaStrategy/ctaBacktesting.py | 2 +- vnpy/trader/app/ctaStrategy/ctaEngine.py | 3 ++- 2 files changed, 3 insertions(+), 2 deletions(-) diff --git a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py index c0bb5c6d..5d7239bb 100644 --- a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py +++ b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py @@ -234,8 +234,8 @@ class BacktestingEngine(object): self.output(u'开始回测') - self.strategy.inited = True self.strategy.onInit() + self.strategy.inited = True self.output(u'策略初始化完成') self.strategy.trading = True diff --git a/vnpy/trader/app/ctaStrategy/ctaEngine.py b/vnpy/trader/app/ctaStrategy/ctaEngine.py index ba25d273..bf927fcd 100644 --- a/vnpy/trader/app/ctaStrategy/ctaEngine.py +++ b/vnpy/trader/app/ctaStrategy/ctaEngine.py @@ -430,8 +430,9 @@ class CtaEngine(object): strategy = self.strategyDict[name] if not strategy.inited: - strategy.inited = True self.callStrategyFunc(strategy, strategy.onInit) + strategy.inited = True + self.loadSyncData(strategy) # 初始化完成后加载同步数据 self.subscribeMarketData(strategy) # 加载同步数据后再订阅行情 else: From dfe0304f74b40d380eee0786d6095e90d605822e Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 11:47:08 +0800 Subject: [PATCH 030/135] [Fix]Close #907 --- vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py index d51f1cbe..5aef41be 100644 --- a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -381,7 +381,7 @@ class GatewayApi(BitfinexApi): # BID bidPriceList = bid.keys() - bidPriceList.sort() + bidPriceList.sort(reverse=True) tick.bidPrice1 = bidPriceList[0] tick.bidPrice2 = bidPriceList[1] @@ -398,7 +398,6 @@ class GatewayApi(BitfinexApi): # ASK askPriceList = ask.keys() askPriceList.sort() - askPriceList.reverse() tick.askPrice1 = askPriceList[0] tick.askPrice2 = askPriceList[1] From 70ed2dfd66561f9ef1eae5d6415645ef0364e084 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 11:53:09 +0800 Subject: [PATCH 031/135] =?UTF-8?q?[Fix]Close=20#906,Bitfinex=E6=8E=A5?= =?UTF-8?q?=E5=8F=A3=E6=96=B0=E5=A2=9EonConnect=E5=9B=9E=E8=B0=83=E5=87=BD?= =?UTF-8?q?=E6=95=B0?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bitfinex/vnbitfinex.py | 12 +++++++++++- .../gateway/bitfinexGateway/bitfinexGateway.py | 7 +++++-- 2 files changed, 16 insertions(+), 3 deletions(-) diff --git a/vnpy/api/bitfinex/vnbitfinex.py b/vnpy/api/bitfinex/vnbitfinex.py index 8c55b08a..4e1b10bb 100644 --- a/vnpy/api/bitfinex/vnbitfinex.py +++ b/vnpy/api/bitfinex/vnbitfinex.py @@ -38,11 +38,15 @@ class BitfinexApi(object): self.restThread = Thread(target=self.runRest) self.restThread.start() + + self.onConnect() #---------------------------------------------------------------------- def reconnect(self): """""" - self.ws = websocket.create_connection(WEBSOCKET_V2_URL) + self.ws = websocket.create_connection(WEBSOCKET_V2_URL) + + self.onConnect() #---------------------------------------------------------------------- def run(self): @@ -57,6 +61,12 @@ class BitfinexApi(object): self.onError(msg) self.reconnect() + #---------------------------------------------------------------------- + def onConnect(self): + """""" + print 'connected' + + #---------------------------------------------------------------------- def onData(self, data): """""" diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py index 5aef41be..005ca85b 100644 --- a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -182,10 +182,13 @@ class GatewayApi(BitfinexApi): self.start() self.writeLog(u'交易API启动成功') - for symbol in symbols: + #---------------------------------------------------------------------- + def onConnect(self): + """""" + for symbol in self.symbols: self.subscribe(symbol, 'ticker') self.subscribe(symbol, 'book') - self.writeLog(u'行情推送订阅成功') + self.writeLog(u'行情推送订阅成功') self.authenticate() self.writeLog(u'交易推送订阅成功') From c42ecb6ec87af14fba2e632ee5f757980e9b8056 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 14:59:03 +0800 Subject: [PATCH 032/135] =?UTF-8?q?[Fix]=E4=BF=AE=E5=A4=8D=E5=B8=81?= =?UTF-8?q?=E5=AE=89API=E5=85=B3=E9=97=AD=E6=97=B6=E7=9A=84=E7=BA=BF?= =?UTF-8?q?=E7=A8=8B=E6=B1=A0=E5=85=B3=E9=97=AD=E9=97=AE=E9=A2=98?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/binance/vnbinance.py | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) diff --git a/vnpy/api/binance/vnbinance.py b/vnpy/api/binance/vnbinance.py index 8e9ade96..9d9decfd 100644 --- a/vnpy/api/binance/vnbinance.py +++ b/vnpy/api/binance/vnbinance.py @@ -85,8 +85,10 @@ class BinanceApi(object): def close(self): """""" self.active = False - self.pool.close() - self.pool.join() + + if self.pool: + self.pool.close() + self.pool.join() #---------------------------------------------------------------------- def request(self, method, path, params=None, signed=False, stream=False): From bbabd742ff3add740dc329489b99c3dd09aeca5b Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 14:59:33 +0800 Subject: [PATCH 033/135] =?UTF-8?q?[Add]BitfinexApi=E6=96=B0=E5=A2=9Eclose?= =?UTF-8?q?=E5=87=BD=E6=95=B0?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bitfinex/vnbitfinex.py | 14 ++++++++++++-- 1 file changed, 12 insertions(+), 2 deletions(-) diff --git a/vnpy/api/bitfinex/vnbitfinex.py b/vnpy/api/bitfinex/vnbitfinex.py index 4e1b10bb..bd5aa189 100644 --- a/vnpy/api/bitfinex/vnbitfinex.py +++ b/vnpy/api/bitfinex/vnbitfinex.py @@ -32,7 +32,7 @@ class BitfinexApi(object): """""" self.ws = websocket.create_connection(WEBSOCKET_V2_URL) - self.active =True + self.active = True self.thread = Thread(target=self.run) self.thread.start() @@ -61,11 +61,21 @@ class BitfinexApi(object): self.onError(msg) self.reconnect() + #---------------------------------------------------------------------- + def close(self): + """""" + self.active = False + + if self.thread: + self.thread.join() + + if self.restThread: + self.thread.join() + #---------------------------------------------------------------------- def onConnect(self): """""" print 'connected' - #---------------------------------------------------------------------- def onData(self, data): From 8cdfcef62ba5dc3b3c87277b16edee96f981f42d Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 15:00:39 +0800 Subject: [PATCH 034/135] =?UTF-8?q?[Mod]=E7=81=AB=E5=B8=81=E6=8E=A5?= =?UTF-8?q?=E5=8F=A3=E7=A7=BB=E9=99=A4=E4=BB=A3=E7=90=86=E6=94=AF=E6=8C=81?= =?UTF-8?q?,=E5=A2=9E=E5=8A=A0=E8=87=AA=E5=8A=A8=E8=AE=A2=E9=98=85?= =?UTF-8?q?=E8=A1=8C=E6=83=85?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/CryptoTrader/VT_setting.json | 6 ++-- vnpy/api/huobi/vnhuobi.py | 21 ++--------- .../gateway/huobiGateway/huobiGateway.py | 35 ++++++++++--------- 3 files changed, 24 insertions(+), 38 deletions(-) diff --git a/examples/CryptoTrader/VT_setting.json b/examples/CryptoTrader/VT_setting.json index 473017fb..40495eca 100644 --- a/examples/CryptoTrader/VT_setting.json +++ b/examples/CryptoTrader/VT_setting.json @@ -9,12 +9,12 @@ "darkStyle": true, "language": "chinese", - "logActive": true, + "logActive": false, "logLevel": "debug", "logConsole": true, "logFile": true, - "tdPenalty": ["IF", "IH", "IC"], + "tdPenalty": [], - "maxDecimal": 4 + "maxDecimal": 10 } \ No newline at end of file diff --git a/vnpy/api/huobi/vnhuobi.py b/vnpy/api/huobi/vnhuobi.py index ca9db9a3..f6b37697 100644 --- a/vnpy/api/huobi/vnhuobi.py +++ b/vnpy/api/huobi/vnhuobi.py @@ -504,8 +504,6 @@ class DataApi(object): self.subDict = {} self.url = '' - self.proxyHost = '' - self.proxyPort = 0 #---------------------------------------------------------------------- def run(self): @@ -532,12 +530,7 @@ class DataApi(object): def reconnect(self): """重连""" try: - if not self.proxyHost: - self.ws = create_connection(self.url) - else: - self.ws = create_connection(self.url, - http_proxy_host=self.proxyHost, - http_proxy_port=self.proxyPort) + self.ws = create_connection(self.url) return True except: msg = traceback.format_exc() @@ -553,20 +546,12 @@ class DataApi(object): self.subTopic(topic) #---------------------------------------------------------------------- - def connect(self, url, proxyHost='', proxyPort=0): + def connect(self, url): """连接""" self.url = url - self.proxyHost = proxyHost - self.proxyPort = proxyPort try: - if not self.proxyHost: - self.ws = create_connection(self.url) - else: - self.ws = create_connection(self.url, - http_proxy_host=self.proxyHost, - http_proxy_port=self.proxyPort) - + self.ws = create_connection(self.url) self.active = True self.thread.start() diff --git a/vnpy/trader/gateway/huobiGateway/huobiGateway.py b/vnpy/trader/gateway/huobiGateway/huobiGateway.py index 2b84a7ee..7e50940c 100644 --- a/vnpy/trader/gateway/huobiGateway/huobiGateway.py +++ b/vnpy/trader/gateway/huobiGateway/huobiGateway.py @@ -75,8 +75,6 @@ class HuobiGateway(VtGateway): accessKey = str(setting['accessKey']) secretKey = str(setting['secretKey']) symbols = setting['symbols'] - proxyHost = str(setting['proxyHost']) - proxyPort = int(setting['proxyPort']) except KeyError: log = VtLogData() log.gatewayName = self.gatewayName @@ -85,7 +83,7 @@ class HuobiGateway(VtGateway): return # 创建行情和交易接口对象 - self.dataApi.connect(exchange, proxyHost, proxyPort) + self.dataApi.connect(exchange, symbols) self.tradeApi.connect(exchange, accessKey, secretKey, symbols) # 初始化并启动查询 @@ -94,7 +92,8 @@ class HuobiGateway(VtGateway): #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" - self.dataApi.subscribe(subscribeReq) + pass + #self.dataApi.subscribe(subscribeReq) #---------------------------------------------------------------------- def sendOrder(self, orderReq): @@ -179,38 +178,40 @@ class HuobiDataApi(DataApi): self.tickDict = {} - self.subscribeDict = {} + #self.subscribeDict = {} #---------------------------------------------------------------------- - def connect(self, exchange, proxyHost, proxyPort): + def connect(self, exchange, symbols): """连接服务器""" if exchange == 'huobi': url = 'wss://api.huobi.pro/ws' else: url = 'wss://api.hadax.com/ws' + + self.symbols = symbols - if proxyHost: - self.connectionStatus = super(HuobiDataApi, self).connect(url, proxyHost, proxyPort) - else: - self.connectionStatus = super(HuobiDataApi, self).connect(url) + self.connectionStatus = super(HuobiDataApi, self).connect(url) self.gateway.mdConnected = True if self.connectionStatus: self.writeLog(u'行情服务器连接成功') - + + for symbol in self.symbols: + self.subscribe(symbol) # 订阅所有之前订阅过的行情 - for req in self.subscribeDict.values(): - self.subscribe(req) + #for req in self.subscribeDict.values(): + # self.subscribe(req) + #---------------------------------------------------------------------- - def subscribe(self, subscribeReq): + def subscribe(self, symbol): """订阅合约""" - self.subscribeDict[subscribeReq.symbol] = subscribeReq + #self.subscribeDict[subscribeReq.symbol] = subscribeReq if not self.connectionStatus: return - symbol = subscribeReq.symbol + #symbol = subscribeReq.symbol if symbol in self.tickDict: return @@ -354,7 +355,7 @@ class HuobiTradeApi(TradeApi): #self.activeOrderSet = set() # 活动委托集合 #---------------------------------------------------------------------- - def connect(self, exchange, accessKey, secretKey, symbols=''): + def connect(self, exchange, symbols, accessKey, secretKey): """初始化连接""" if not self.connectionStatus: self.symbols = symbols From a80f44100f197a2904ec0c1b6e05a62768f47cb9 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 16:03:31 +0800 Subject: [PATCH 035/135] =?UTF-8?q?[Mod]HuobiGateway=E5=8F=AA=E6=9F=A5?= =?UTF-8?q?=E8=AF=A2=E7=8E=B0=E8=B4=A7=E4=BA=A4=E6=98=93=E8=B4=A6=E6=88=B7?= =?UTF-8?q?=E4=BF=A1=E6=81=AF?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/huobiGateway/huobiGateway.py | 7 ++++--- 1 file changed, 4 insertions(+), 3 deletions(-) diff --git a/vnpy/trader/gateway/huobiGateway/huobiGateway.py b/vnpy/trader/gateway/huobiGateway/huobiGateway.py index 7e50940c..64041e7d 100644 --- a/vnpy/trader/gateway/huobiGateway/huobiGateway.py +++ b/vnpy/trader/gateway/huobiGateway/huobiGateway.py @@ -84,7 +84,7 @@ class HuobiGateway(VtGateway): # 创建行情和交易接口对象 self.dataApi.connect(exchange, symbols) - self.tradeApi.connect(exchange, accessKey, secretKey, symbols) + self.tradeApi.connect(exchange, symbols, accessKey, secretKey) # 初始化并启动查询 self.initQuery() @@ -495,8 +495,9 @@ class HuobiTradeApi(TradeApi): def onGetAccounts(self, data, reqid): """查询账户回调""" for d in data: - self.accountid = str(d['id']) - self.writeLog(u'交易账户%s查询成功' %self.accountid) + if str(d['type']) == 'spot': + self.accountid = str(d['id']) + self.writeLog(u'交易账户%s查询成功' %self.accountid) #---------------------------------------------------------------------- def onGetAccountBalance(self, data, reqid): From 8ba6206be07dd068f3648d99c4cf073239051d0d Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 16:06:12 +0800 Subject: [PATCH 036/135] =?UTF-8?q?[Mod]=E7=81=AB=E5=B8=81=E5=80=9F?= =?UTF-8?q?=E5=8F=A3=E8=BF=87=E6=BB=A4=E8=AF=B7=E6=B1=82=E8=B6=85=E6=97=B6?= =?UTF-8?q?429=E6=8A=A5=E9=94=99?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/huobiGateway/huobiGateway.py | 4 ++++ 1 file changed, 4 insertions(+) diff --git a/vnpy/trader/gateway/huobiGateway/huobiGateway.py b/vnpy/trader/gateway/huobiGateway/huobiGateway.py index 64041e7d..d4b72e90 100644 --- a/vnpy/trader/gateway/huobiGateway/huobiGateway.py +++ b/vnpy/trader/gateway/huobiGateway/huobiGateway.py @@ -452,6 +452,10 @@ class HuobiTradeApi(TradeApi): #---------------------------------------------------------------------- def onError(self, msg, reqid): """错误回调""" + # 忽略请求超时错误 + if '429' in msg: + return + err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = 'Trade' From 603d9e855f3613654502ad137226a69c53103542 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 16:08:57 +0800 Subject: [PATCH 037/135] =?UTF-8?q?[Mod]vnhuobi=E7=9A=84=E9=BB=98=E8=AE=A4?= =?UTF-8?q?=E8=AF=B7=E6=B1=82=E8=B6=85=E6=97=B6=E6=94=B9=E4=B8=BA10?= =?UTF-8?q?=E7=A7=92?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/huobi/vnhuobi.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/vnpy/api/huobi/vnhuobi.py b/vnpy/api/huobi/vnhuobi.py index f6b37697..bb82d80f 100644 --- a/vnpy/api/huobi/vnhuobi.py +++ b/vnpy/api/huobi/vnhuobi.py @@ -20,7 +20,7 @@ from websocket import create_connection, _exceptions # 常量定义 -TIMEOUT = 5 +TIMEOUT = 10 HUOBI_API_HOST = "api.huobi.pro" HADAX_API_HOST = "api.hadax.com" LANG = 'zh-CN' From 50609547e8fedfc1638476206d1a211b84226599 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 16:09:25 +0800 Subject: [PATCH 038/135] =?UTF-8?q?[Mod]HuobiGateway=E8=BF=87=E6=BB=A4?= =?UTF-8?q?=E7=94=B1=E4=BA=8E=E8=AF=B7=E6=B1=82=E8=B6=85=E6=97=B6=E5=AF=BC?= =?UTF-8?q?=E8=87=B4=E7=9A=84API=E7=AD=BE=E5=90=8D=E9=94=99=E8=AF=AF?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/huobiGateway/huobiGateway.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/vnpy/trader/gateway/huobiGateway/huobiGateway.py b/vnpy/trader/gateway/huobiGateway/huobiGateway.py index d4b72e90..c1c587c9 100644 --- a/vnpy/trader/gateway/huobiGateway/huobiGateway.py +++ b/vnpy/trader/gateway/huobiGateway/huobiGateway.py @@ -453,7 +453,7 @@ class HuobiTradeApi(TradeApi): def onError(self, msg, reqid): """错误回调""" # 忽略请求超时错误 - if '429' in msg: + if '429' in msg or 'api-signature-not-valid' in msg: return err = VtErrorData() From ff8a6c96028061a51cf92dc32ad60a9e145ab201 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 16:19:36 +0800 Subject: [PATCH 039/135] =?UTF-8?q?[Mod]=E5=8D=87=E7=BA=A7=E6=95=B0?= =?UTF-8?q?=E5=AD=97=E8=B4=A7=E5=B8=81=E6=8E=A5=E5=8F=A3=E4=BD=BF=E7=94=A8?= =?UTF-8?q?=E7=9A=84websocket-client=E5=88=B0=E6=9C=80=E6=96=B0=E7=89=88?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/binance/vnbinance.py | 7 +++++-- vnpy/api/bitfinex/vnbitfinex.py | 7 +++++-- vnpy/api/huobi/vnhuobi.py | 2 +- vnpy/api/okex/vnokex.py | 4 +++- vnpy/trader/app/riskManager/RM_setting.json | 4 ++-- vnpy/trader/gateway/binanceGateway/binanceGateway.py | 3 --- 6 files changed, 16 insertions(+), 11 deletions(-) diff --git a/vnpy/api/binance/vnbinance.py b/vnpy/api/binance/vnbinance.py index 9d9decfd..da67de8e 100644 --- a/vnpy/api/binance/vnbinance.py +++ b/vnpy/api/binance/vnbinance.py @@ -5,6 +5,7 @@ import requests import hmac import hashlib import traceback +import ssl from queue import Queue, Empty from threading import Thread @@ -535,7 +536,8 @@ class BinanceApi(object): def connectDataStream(self): """""" try: - self.dataStreamWs = create_connection(self.dataStreamUrl) + self.dataStreamWs = create_connection(self.dataStreamUrl, + sslopt={'cert_reqs': ssl.CERT_NONE}) return True except: msg = traceback.format_exc() @@ -595,7 +597,8 @@ class BinanceApi(object): def connectUserStream(self): """""" try: - self.userStreamWs = create_connection(self.userStreamUrl) + self.userStreamWs = create_connection(self.userStreamUrl, + sslopt={'cert_reqs': ssl.CERT_NONE}) return True except: msg = traceback.format_exc() diff --git a/vnpy/api/bitfinex/vnbitfinex.py b/vnpy/api/bitfinex/vnbitfinex.py index bd5aa189..ee308d68 100644 --- a/vnpy/api/bitfinex/vnbitfinex.py +++ b/vnpy/api/bitfinex/vnbitfinex.py @@ -3,6 +3,7 @@ import json import requests import traceback +import ssl from threading import Thread from queue import Queue, Empty @@ -30,7 +31,8 @@ class BitfinexApi(object): #---------------------------------------------------------------------- def start(self): """""" - self.ws = websocket.create_connection(WEBSOCKET_V2_URL) + self.ws = websocket.create_connection(WEBSOCKET_V2_URL, + sslopt={'cert_reqs': ssl.CERT_NONE}) self.active = True self.thread = Thread(target=self.run) @@ -44,7 +46,8 @@ class BitfinexApi(object): #---------------------------------------------------------------------- def reconnect(self): """""" - self.ws = websocket.create_connection(WEBSOCKET_V2_URL) + self.ws = websocket.create_connection(WEBSOCKET_V2_URL, + sslopt={'cert_reqs': ssl.CERT_NONE}) self.onConnect() diff --git a/vnpy/api/huobi/vnhuobi.py b/vnpy/api/huobi/vnhuobi.py index bb82d80f..8877a371 100644 --- a/vnpy/api/huobi/vnhuobi.py +++ b/vnpy/api/huobi/vnhuobi.py @@ -551,7 +551,7 @@ class DataApi(object): self.url = url try: - self.ws = create_connection(self.url) + self.ws = create_connection(self.url, sslopt={'cert_reqs': ssl.CERT_NONE}) self.active = True self.thread.start() diff --git a/vnpy/api/okex/vnokex.py b/vnpy/api/okex/vnokex.py index 0c17d3eb..9a21ef4b 100644 --- a/vnpy/api/okex/vnokex.py +++ b/vnpy/api/okex/vnokex.py @@ -2,6 +2,7 @@ from __future__ import print_function +import ssl import hashlib import json import traceback @@ -136,7 +137,8 @@ class OkexApi(object): on_close=self.onCloseCallback, on_open=self.onOpenCallback) - self.wsThread = Thread(target=self.ws.run_forever) + kwargs = {'sslopt': {'cert_reqs': ssl.CERT_NONE}} + self.wsThread = Thread(target=self.ws.run_forever, kwargs=kwargs) self.wsThread.start() #---------------------------------------------------------------------- diff --git a/vnpy/trader/app/riskManager/RM_setting.json b/vnpy/trader/app/riskManager/RM_setting.json index 20625b38..6dc35464 100644 --- a/vnpy/trader/app/riskManager/RM_setting.json +++ b/vnpy/trader/app/riskManager/RM_setting.json @@ -1,10 +1,10 @@ { "orderFlowClear": 1, "orderCancelLimit": 10, + "marginRatioLimit": 0.95, "workingOrderLimit": 20, "tradeLimit": 1000, "orderSizeLimit": 100, "active": true, - "orderFlowLimit": 50, - "marginRatioLimit": 0.95 + "orderFlowLimit": 50 } \ No newline at end of file diff --git a/vnpy/trader/gateway/binanceGateway/binanceGateway.py b/vnpy/trader/gateway/binanceGateway/binanceGateway.py index 897a7877..229c2494 100644 --- a/vnpy/trader/gateway/binanceGateway/binanceGateway.py +++ b/vnpy/trader/gateway/binanceGateway/binanceGateway.py @@ -223,9 +223,6 @@ class GatewayApi(BinanceApi): def onQueryExchangeInfo(self, data, reqid): """""" for d in data['symbols']: - if str(d['symbol']) == 'ETHUSDT': - print d - contract = VtContractData() contract.gatewayName = self.gatewayName From 893940de6f85c231c1b2817dd3c78477fde305b3 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 21:12:59 +0800 Subject: [PATCH 040/135] =?UTF-8?q?[Mod]=E4=BF=AE=E6=94=B9AlgoName?= =?UTF-8?q?=E7=94=9F=E6=88=90=E8=A7=84=E5=88=99=EF=BC=8C=E4=BD=BF=E7=94=A8?= =?UTF-8?q?=E6=97=B6=E9=97=B4=E6=9C=BA=E5=88=B6=E4=BF=9D=E8=AF=81=E5=85=A8?= =?UTF-8?q?=E5=B1=80=E5=94=AF=E4=B8=80=E6=80=A7?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/algoTemplate.py | 14 +++++++++++--- 1 file changed, 11 insertions(+), 3 deletions(-) diff --git a/vnpy/trader/app/algoTrading/algoTemplate.py b/vnpy/trader/app/algoTrading/algoTemplate.py index 29e89a2a..8ffcbf16 100644 --- a/vnpy/trader/app/algoTrading/algoTemplate.py +++ b/vnpy/trader/app/algoTrading/algoTemplate.py @@ -1,6 +1,7 @@ # encoding: UTF-8 from __future__ import division +from datetime import datetime from vnpy.trader.vtConstant import STATUS_NOTTRADED, STATUS_PARTTRADED, STATUS_UNKNOWN @@ -13,15 +14,22 @@ STATUS_ACTIVE = [STATUS_NOTTRADED, STATUS_PARTTRADED, STATUS_UNKNOWN] class AlgoTemplate(object): """算法模板""" templateName = 'AlgoTemplate' + + timestamp = '' count = 0 @classmethod #---------------------------------------------------------------------- def new(cls, engine, setting): """创建新对象""" - cls.count += 1 - algoName = '%s_%s' %(cls.templateName, cls.count) - + timestamp = datetime.now().strftime('%Y%m%d%H%M%S') + if timestamp != cls.timestamp: + cls.timestamp = timestamp + cls.count = 0 + else: + cls.count += 1 + + algoName = '_'.join([cls.templateName, cls.timestamp, str(cls.count)]) algo = cls(engine, setting, algoName) return algo From 252e78996cf7a049fce9b2eaa21ba59e676d6327 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 21:13:21 +0800 Subject: [PATCH 041/135] =?UTF-8?q?[Mod]AlgoSettingMonitor=E5=A2=9E?= =?UTF-8?q?=E5=8A=A0=E6=9B=B4=E6=96=B0templateName?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/uiAlgoManager.py | 2 ++ 1 file changed, 2 insertions(+) diff --git a/vnpy/trader/app/algoTrading/uiAlgoManager.py b/vnpy/trader/app/algoTrading/uiAlgoManager.py index fa92fae3..0ab47ebf 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoManager.py +++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py @@ -342,6 +342,7 @@ class AlgoSettingMonitor(QtWidgets.QTableWidget): self.cellDict[settingName] = { 'start': buttonStart, + 'template': cellTemplateName, 'text': cellSettingText, 'delete': buttonDelete } @@ -349,6 +350,7 @@ class AlgoSettingMonitor(QtWidgets.QTableWidget): else: d = self.cellDict[settingName] d['start'].updateSetting(setting) + d['template'].setText(setting['templateName']) d['text'].setText(self.generateText(setting)) d['delete'].updateSetting(setting) From 9b076e2a0ad638019eeb64d91d9ae60a1c37bc13 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 10 Jun 2018 21:45:31 +0800 Subject: [PATCH 042/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9EAlgoTrading?= =?UTF-8?q?=E7=AE=97=E6=B3=95=E5=8E=86=E5=8F=B2=E5=85=A5=E5=BA=93?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/algoEngine.py | 38 ++++++++++++++++++++--- 1 file changed, 34 insertions(+), 4 deletions(-) diff --git a/vnpy/trader/app/algoTrading/algoEngine.py b/vnpy/trader/app/algoTrading/algoEngine.py index 3c360cd8..f4d0844e 100644 --- a/vnpy/trader/app/algoTrading/algoEngine.py +++ b/vnpy/trader/app/algoTrading/algoEngine.py @@ -21,9 +21,10 @@ EVENT_ALGO_VAR = 'eAlgoVar' # 算法变量事件 EVENT_ALGO_SETTING = 'eAlgoSetting' # 算法配置事件 -ALGOTRADING_DB_NAME = 'VnTrader_AlgoTrading_Db' +ALGOTRADING_DB_NAME = 'VnTrader_AlgoTrading_Db' # AlgoTrading数据库名 -SETTING_COLLECTION_NAME = 'AlgoSetting' +SETTING_COLLECTION_NAME = 'AlgoSetting' # 算法配置集合名 +HISTORY_COLLECTION_NAME = 'AlgoHistory' # 算法历史集合名 ALGO_DICT = { @@ -46,6 +47,7 @@ class AlgoEngine(object): self.orderAlgoDict = {} # vtOrderID:algo self.symbolAlgoDict = {} # vtSymbol:algo set self.settingDict = {} # settingName:setting + self.historyDict = {} # algoName:dict self.registerEvent() @@ -102,7 +104,9 @@ class AlgoEngine(object): templateName = algoSetting['templateName'] algoClass = ALGO_DICT[templateName] algo = algoClass.new(self, algoSetting) + self.algoDict[algo.algoName] = algo + return algo.algoName #---------------------------------------------------------------------- @@ -204,18 +208,44 @@ class AlgoEngine(object): #---------------------------------------------------------------------- def putVarEvent(self, algo, d): """更新变量""" - d['algoName'] = algo.algoName + algoName = algo.algoName + + d['algoName'] = algoName event = Event(EVENT_ALGO_VAR) event.dict_['data'] = d self.eventEngine.put(event) + + # 保存数据到数据库 + history = self.historyDict.setdefault(algoName, {}) + history['algoName'] = algoName + history['var'] = d + + self.mainEngine.dbUpdate(ALGOTRADING_DB_NAME, + HISTORY_COLLECTION_NAME, + history, + {'algoName': algoName}, + True) #---------------------------------------------------------------------- def putParamEvent(self, algo, d): """更新参数""" - d['algoName'] = algo.algoName + algoName = algo.algoName + + d['algoName'] = algoName event = Event(EVENT_ALGO_PARAM) event.dict_['data'] = d self.eventEngine.put(event) + + # 保存数据到数据库 + history = self.historyDict.setdefault(algoName, {}) + history['algoName'] = algoName + history['param'] = d + + self.mainEngine.dbUpdate(ALGOTRADING_DB_NAME, + HISTORY_COLLECTION_NAME, + history, + {'algoName': algoName}, + True) #---------------------------------------------------------------------- def getTick(self, algo, vtSymbol): From 49d22b47beed8d94043e4667f1bf5a3ce27b9c66 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 11 Jun 2018 13:06:41 +0800 Subject: [PATCH 043/135] =?UTF-8?q?[Mod]=E5=A2=9E=E5=8A=A0BitfinexGateway?= =?UTF-8?q?=E8=A1=8C=E6=83=85=E6=95=B0=E6=8D=AE=E7=9A=84=E5=BC=BA=E5=88=B6?= =?UTF-8?q?=E6=95=B0=E5=AD=97=E7=B1=BB=E5=9E=8B=E8=BD=AC=E6=8D=A2?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../gateway/bitfinexGateway/bitfinexGateway.py | 18 +++++++++++++----- 1 file changed, 13 insertions(+), 5 deletions(-) diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py index 5aef41be..31c9cf52 100644 --- a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -350,11 +350,11 @@ class GatewayApi(BitfinexApi): # 常规行情更新 if channel == 'ticker': - tick.volume = l[-3] - tick.highPrice = l[-2] - tick.lowPrice = l[-1] - tick.lastPrice = l[-4] - tick.openPrice = tick.lastPrice - l[4] + tick.volume = float(l[-3]) + tick.highPrice = float(l[-2]) + tick.lowPrice = float(l[-1]) + tick.lastPrice = float(l[-4]) + tick.openPrice = float(tick.lastPrice - l[4]) # 深度报价更新 elif channel == 'book': bid = self.bidDict.setdefault(symbol, {}) @@ -362,12 +362,20 @@ class GatewayApi(BitfinexApi): if len(l) > 3: for price, count, amount in l: + price = float(price) + count = int(count) + amount = float(amount) + if amount > 0: bid[price] = amount else: ask[price] = -amount else: price, count, amount = l + price = float(price) + count = int(count) + amount = float(amount) + if not count: if price in bid: del bid[price] From 920ee7fbb1ab6f609ed31160fafc2e2c440b05ed Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 11 Jun 2018 14:09:16 +0800 Subject: [PATCH 044/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9E=E4=BB=8ECSV?= =?UTF-8?q?=E5=90=AF=E5=8A=A8=E7=AF=AE=E5=AD=90=E7=AE=97=E6=B3=95=E6=88=96?= =?UTF-8?q?=E8=80=85=E5=8A=A0=E8=BD=BD=E7=AE=97=E6=B3=95=E9=85=8D=E7=BD=AE?= =?UTF-8?q?=E5=88=B0=E6=95=B0=E6=8D=AE=E5=BA=93?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/CryptoTrader/algoBasket.csv | 3 + vnpy/trader/app/algoTrading/twapAlgo.py | 18 ++--- vnpy/trader/app/algoTrading/uiAlgoManager.py | 74 +++++++++++++++++--- vnpy/trader/uiBasicWidget.py | 2 +- 4 files changed, 79 insertions(+), 18 deletions(-) create mode 100644 examples/CryptoTrader/algoBasket.csv diff --git a/examples/CryptoTrader/algoBasket.csv b/examples/CryptoTrader/algoBasket.csv new file mode 100644 index 00000000..dfecd5b2 --- /dev/null +++ b/examples/CryptoTrader/algoBasket.csv @@ -0,0 +1,3 @@ +templateName,settingName,vtSymbol,direction,targetPrice,totalVolume,time,interval,priceLevel,minVolume +TWAP,BUY_BTC_TWAP,BTCUSD.BITFINEX,多,4000,10,200,10,3,1 +TWAP,SELL_BTC_TWAP,BTCUSD.BITFINEX,空,9000,10,200,10,3,1 diff --git a/vnpy/trader/app/algoTrading/twapAlgo.py b/vnpy/trader/app/algoTrading/twapAlgo.py index b4bc9f7d..d3727136 100644 --- a/vnpy/trader/app/algoTrading/twapAlgo.py +++ b/vnpy/trader/app/algoTrading/twapAlgo.py @@ -21,15 +21,15 @@ class TwapAlgo(AlgoTemplate): """Constructor""" super(TwapAlgo, self).__init__(engine, setting, algoName) - # 参数 - self.vtSymbol = setting['vtSymbol'] # 合约代码 - self.direction = setting['direction'] # 买卖 - self.targetPrice = setting['targetPrice'] # 目标价格 - self.totalVolume = setting['totalVolume'] # 总数量 - self.time = setting['time'] # 执行时间 - self.interval = setting['interval'] # 执行间隔 - self.minVolume = setting['minVolume'] # 最小委托数量 - self.priceLevel = setting['priceLevel'] # 使用第几档价格委托 + # 参数，强制类型转换，保证从CSV加载的配置正确 + self.vtSymbol = str(setting['vtSymbol']) # 合约代码 + self.direction = unicode(setting['direction']) # 买卖 + self.targetPrice = float(setting['targetPrice']) # 目标价格 + self.totalVolume = float(setting['totalVolume']) # 总数量 + self.time = int(setting['time']) # 执行时间 + self.interval = int(setting['interval']) # 执行间隔 + self.minVolume = float(setting['minVolume']) # 最小委托数量 + self.priceLevel = int(setting['priceLevel']) # 使用第几档价格委托 # 变量 self.orderSize = self.totalVolume / (self.time / self.interval) diff --git a/vnpy/trader/app/algoTrading/uiAlgoManager.py b/vnpy/trader/app/algoTrading/uiAlgoManager.py index fa92fae3..811d1b08 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoManager.py +++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py @@ -1,5 +1,9 @@ # encoding: UTF-8 +import csv +import traceback +from collections import OrderedDict + from vnpy.event import Event from vnpy.trader.uiQt import QtCore, QtWidgets @@ -26,7 +30,7 @@ class StopButton(QtWidgets.QPushButton): self.setText(u'停止') self.clicked.connect(self.stopAlgo) else: - self.setText(u'全部停止') + self.setText(u'停止全部算法') self.clicked.connect(self.stopAll) #---------------------------------------------------------------------- @@ -388,17 +392,32 @@ class AlgoManager(QtWidgets.QWidget): """""" self.setWindowTitle(u'算法交易') - self.tab = QtWidgets.QTabWidget() - self.buttonStop = StopButton(self.algoEngine) + buttonWidth = 400 + buttonHeight = 60 - self.tab.setMaximumWidth(400) - self.buttonStop.setMaximumWidth(400) - self.buttonStop.setFixedHeight(100) + self.tab = QtWidgets.QTabWidget() + self.tab.setMaximumWidth(buttonWidth) + + self.buttonStop = StopButton(self.algoEngine) + self.buttonStop.setMaximumWidth(buttonWidth) + self.buttonStop.setFixedHeight(buttonHeight) + + self.buttonAddAlgo = QtWidgets.QPushButton(u'启动篮子算法') + self.buttonAddAlgo.setStyleSheet("color:white;background-color:green") + self.buttonAddAlgo.clicked.connect(self.addAlgoFromCsv) + self.buttonAddAlgo.setFixedHeight(buttonHeight) + + self.buttonSaveSetting = QtWidgets.QPushButton(u'加载算法配置') + self.buttonSaveSetting.setStyleSheet("color:white;background-color:blue") + self.buttonSaveSetting.clicked.connect(self.saveSettingFromCsv) + self.buttonSaveSetting.setFixedHeight(buttonHeight) vbox1 = QtWidgets.QVBoxLayout() vbox1.addWidget(self.tab) vbox1.addStretch() vbox1.addWidget(self.buttonStop) + vbox1.addWidget(self.buttonAddAlgo) + vbox1.addWidget(self.buttonSaveSetting) workingMonitor = AlgoStatusMonitor(self.algoEngine, AlgoStatusMonitor.MODE_WORKING) historyMonitor = AlgoStatusMonitor(self.algoEngine, AlgoStatusMonitor.MODE_HISTORY) @@ -431,6 +450,45 @@ class AlgoManager(QtWidgets.QWidget): #---------------------------------------------------------------------- def addAlgoWidget(self, widgetClass): - """""" + """添加算法控制组件 """ w = widgetClass(self.algoEngine) - self.tab.addTab(w, w.templateName) \ No newline at end of file + self.tab.addTab(w, w.templateName) + + #---------------------------------------------------------------------- + def loadCsv(self, path): + """读取CSV配置文件""" + try: + with open(unicode(path)) as f: + buf = [line.encode('UTF-8') for line in f] + + reader = csv.DictReader(buf) + l = [] + + for d in reader: + setting = OrderedDict() + for name in reader.fieldnames: + setting[str(name)] = d[name] + l.append(setting) + + return l + + except: + msg = traceback.format_exc() + self.algoEngine.writeLog(u'读取CSV文件失败：\n' + msg) + return [] + + #---------------------------------------------------------------------- + def saveSettingFromCsv(self): + """从CSV加载配置到数据库""" + path, fileType = QtWidgets.QFileDialog.getOpenFileName(self, u'加载算法配置', '', 'CSV(*.csv)') + l = self.loadCsv(path) + for setting in l: + self.algoEngine.saveAlgoSetting(setting) + + #---------------------------------------------------------------------- + def addAlgoFromCsv(self): + """从CSV启动一篮子算法""" + path, fileType = QtWidgets.QFileDialog.getOpenFileName(self, u'启动篮子算法', '', 'CSV(*.csv) ') + l = self.loadCsv(path) + for setting in l: + self.algoEngine.addAlgo(setting) \ No newline at end of file diff --git a/vnpy/trader/uiBasicWidget.py b/vnpy/trader/uiBasicWidget.py index 6ef2dcee..4cde79f1 100644 --- a/vnpy/trader/uiBasicWidget.py +++ b/vnpy/trader/uiBasicWidget.py @@ -375,7 +375,7 @@ class BasicMonitor(QtWidgets.QTableWidget): self.menu.close() # 获取想要保存的文件名 - path = QtWidgets.QFileDialog.getSaveFileName(self, vtText.SAVE_DATA, '', 'CSV(*.csv)') + path, fileType = QtWidgets.QFileDialog.getSaveFileName(self, vtText.SAVE_DATA, '', 'CSV(*.csv)') try: #if not path.isEmpty(): From 93ebff5e43eeaea36ca762c3480464da007935df Mon Sep 17 00:00:00 2001 From: cclauss Date: Mon, 11 Jun 2018 10:03:50 +0200 Subject: [PATCH 045/135] Modernize Python 2 code to get ready for Python 3 --- vnpy/api/binance/test.py | 7 ++- vnpy/api/binance/vnbinance.py | 51 ++++++++++--------- vnpy/api/bitfinex/vnbitfinex.py | 12 +++-- vnpy/api/huobi/vnhuobi.py | 20 ++++---- vnpy/api/sgit/__init__.py | 7 +-- vnpy/event/eventEngine.py | 1 + vnpy/event/eventType.py | 1 + vnpy/rpc/testClient.py | 3 +- vnpy/rpc/testServer.py | 3 +- vnpy/trader/app/algoTrading/twapAlgo.py | 6 ++- vnpy/trader/app/algoTrading/uiAlgoManager.py | 6 ++- vnpy/trader/app/algoTrading/uiAlgoWidget.py | 4 +- .../gateway/binanceGateway/binanceGateway.py | 5 +- vnpy/trader/vtFunction.py | 4 +- 14 files changed, 76 insertions(+), 54 deletions(-) diff --git a/vnpy/api/binance/test.py b/vnpy/api/binance/test.py index 83dd365c..d755fd21 100644 --- a/vnpy/api/binance/test.py +++ b/vnpy/api/binance/test.py @@ -1,6 +1,9 @@ +from __future__ import absolute_import from time import sleep -from vnbinance import BinanceApi +from six.moves import input + +from .vnbinance import BinanceApi if __name__ == '__main__': @@ -40,4 +43,4 @@ if __name__ == '__main__': #api.initDataStream(['btcusdt@ticker', 'btcusdt@depth5']) #api.initUserStream('NXvaiFwZz2LuKqINVerKOnWaQQG1JhdQNejiZKY9Kmgk4lZgTvm3nRAnXJK7') - raw_input() \ No newline at end of file + input() diff --git a/vnpy/api/binance/vnbinance.py b/vnpy/api/binance/vnbinance.py index da67de8e..618e428a 100644 --- a/vnpy/api/binance/vnbinance.py +++ b/vnpy/api/binance/vnbinance.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function import json import requests import hmac @@ -389,107 +390,107 @@ class BinanceApi(object): #---------------------------------------------------------------------- def onError(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryPing(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryTime(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryExchangeInfo(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryDepth(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryTrades(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryAggTrades(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryKlines(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryTicker24HR(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryTickerPrice(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryBookTicker(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onNewOrder(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryOrder(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onCancelOrder(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryOpenOrders(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryAllOrders(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryAccount(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onQueryMyTrades(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onStartStream(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onKeepaliveStream(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) #---------------------------------------------------------------------- def onCloseStream(self, data, reqid): """""" - print(data, reqid) + print((data, reqid)) ################################################### ## Websocket Function @@ -547,12 +548,12 @@ class BinanceApi(object): #---------------------------------------------------------------------- def onDataStreamError(self, msg): """""" - print msg + print(msg) #---------------------------------------------------------------------- def onMarketData(self, data): """""" - print data + print(data) #---------------------------------------------------------------------- def initUserStream(self, key): @@ -608,12 +609,12 @@ class BinanceApi(object): #---------------------------------------------------------------------- def onUserStreamError(self, msg): """""" - print msg + print(msg) #---------------------------------------------------------------------- def onUserData(self, data): """""" - print data + print(data) #---------------------------------------------------------------------- def runKeepalive(self): diff --git a/vnpy/api/bitfinex/vnbitfinex.py b/vnpy/api/bitfinex/vnbitfinex.py index ee308d68..0132c000 100644 --- a/vnpy/api/bitfinex/vnbitfinex.py +++ b/vnpy/api/bitfinex/vnbitfinex.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function import json import requests import traceback @@ -9,6 +10,8 @@ from queue import Queue, Empty import websocket +from six.moves import input + WEBSOCKET_V2_URL = 'wss://api.bitfinex.com/ws/2' RESTFUL_V1_URL = 'https://api.bitfinex.com/v1' @@ -78,17 +81,17 @@ class BitfinexApi(object): #---------------------------------------------------------------------- def onConnect(self): """""" - print 'connected' + print('connected') #---------------------------------------------------------------------- def onData(self, data): """""" - print data + print(data) #---------------------------------------------------------------------- def onError(self, msg): """""" - print msg + print(msg) #---------------------------------------------------------------------- def sendReq(self, req): @@ -130,5 +133,4 @@ if __name__ == '__main__': } api.sendReq(d) - raw_input() - \ No newline at end of file + input() diff --git a/vnpy/api/huobi/vnhuobi.py b/vnpy/api/huobi/vnhuobi.py index 8877a371..514db58a 100644 --- a/vnpy/api/huobi/vnhuobi.py +++ b/vnpy/api/huobi/vnhuobi.py @@ -1,23 +1,25 @@ # encoding: utf-8 from __future__ import print_function -import urllib -import hmac + import base64 import hashlib -import requests +import hmac +import json +import ssl import traceback +import urllib +import zlib from copy import copy from datetime import datetime -from threading import Thread -from queue import Queue, Empty from multiprocessing.dummy import Pool +from queue import Empty, Queue +from threading import Thread from time import sleep -import json -import zlib -from websocket import create_connection, _exceptions +import requests +from websocket import _exceptions, create_connection # 常量定义 TIMEOUT = 10 @@ -660,4 +662,4 @@ class DataApi(object): #---------------------------------------------------------------------- def onMarketDetail(self, data): """市场细节推送""" - print(data) \ No newline at end of file + print(data) diff --git a/vnpy/api/sgit/__init__.py b/vnpy/api/sgit/__init__.py index 7bdd52cd..906277fd 100644 --- a/vnpy/api/sgit/__init__.py +++ b/vnpy/api/sgit/__init__.py @@ -1,5 +1,6 @@ # encoding: UTF-8 -from vnsgitmd import MdApi -from vnsgittd import TdApi -from sgit_data_type import defineDict \ No newline at end of file +from __future__ import absolute_import +from .vnsgitmd import MdApi +from .vnsgittd import TdApi +from .sgit_data_type import defineDict \ No newline at end of file diff --git a/vnpy/event/eventEngine.py b/vnpy/event/eventEngine.py index 5d259ee0..dff82489 100644 --- a/vnpy/event/eventEngine.py +++ b/vnpy/event/eventEngine.py @@ -1,6 +1,7 @@ # encoding: UTF-8 # 系统模块 +from __future__ import print_function from queue import Queue, Empty from threading import Thread from time import sleep diff --git a/vnpy/event/eventType.py b/vnpy/event/eventType.py index 0515bcb1..acda0150 100644 --- a/vnpy/event/eventType.py +++ b/vnpy/event/eventType.py @@ -10,6 +10,7 @@ 建议将所有的常量定义放在该文件中，便于检查是否存在重复的现象。 ''' +from __future__ import print_function EVENT_TIMER = 'eTimer' # 计时器事件，每隔1秒发送一次 diff --git a/vnpy/rpc/testClient.py b/vnpy/rpc/testClient.py index d4d03fd3..f1bcf5b9 100644 --- a/vnpy/rpc/testClient.py +++ b/vnpy/rpc/testClient.py @@ -1,9 +1,10 @@ # encoding: UTF-8 from __future__ import print_function +from __future__ import absolute_import from time import sleep -from vnrpc import RpcClient +from .vnrpc import RpcClient ######################################################################## diff --git a/vnpy/rpc/testServer.py b/vnpy/rpc/testServer.py index cb5760b1..0a8a39c2 100644 --- a/vnpy/rpc/testServer.py +++ b/vnpy/rpc/testServer.py @@ -1,9 +1,10 @@ # encoding: UTF-8 from __future__ import print_function +from __future__ import absolute_import from time import sleep, time -from vnrpc import RpcServer +from .vnrpc import RpcServer ######################################################################## diff --git a/vnpy/trader/app/algoTrading/twapAlgo.py b/vnpy/trader/app/algoTrading/twapAlgo.py index d3727136..8093e355 100644 --- a/vnpy/trader/app/algoTrading/twapAlgo.py +++ b/vnpy/trader/app/algoTrading/twapAlgo.py @@ -3,6 +3,8 @@ from __future__ import division from collections import OrderedDict +from six import text_type + from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT) from vnpy.trader.uiQt import QtWidgets @@ -23,7 +25,7 @@ class TwapAlgo(AlgoTemplate): # 参数，强制类型转换，保证从CSV加载的配置正确 self.vtSymbol = str(setting['vtSymbol']) # 合约代码 - self.direction = unicode(setting['direction']) # 买卖 + self.direction = text_type(setting['direction']) # 买卖 self.targetPrice = float(setting['targetPrice']) # 目标价格 self.totalVolume = float(setting['totalVolume']) # 总数量 self.time = int(setting['time']) # 执行时间 @@ -261,4 +263,4 @@ class TwapWidget(AlgoWidget): return setting - \ No newline at end of file + diff --git a/vnpy/trader/app/algoTrading/uiAlgoManager.py b/vnpy/trader/app/algoTrading/uiAlgoManager.py index 811d1b08..b71c671e 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoManager.py +++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py @@ -4,6 +4,8 @@ import csv import traceback from collections import OrderedDict +from six import text_type + from vnpy.event import Event from vnpy.trader.uiQt import QtCore, QtWidgets @@ -458,7 +460,7 @@ class AlgoManager(QtWidgets.QWidget): def loadCsv(self, path): """读取CSV配置文件""" try: - with open(unicode(path)) as f: + with open(text_type(path)) as f: buf = [line.encode('UTF-8') for line in f] reader = csv.DictReader(buf) @@ -491,4 +493,4 @@ class AlgoManager(QtWidgets.QWidget): path, fileType = QtWidgets.QFileDialog.getOpenFileName(self, u'启动篮子算法', '', 'CSV(*.csv) ') l = self.loadCsv(path) for setting in l: - self.algoEngine.addAlgo(setting) \ No newline at end of file + self.algoEngine.addAlgo(setting) diff --git a/vnpy/trader/app/algoTrading/uiAlgoWidget.py b/vnpy/trader/app/algoTrading/uiAlgoWidget.py index addb3090..1f4a1baa 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoWidget.py +++ b/vnpy/trader/app/algoTrading/uiAlgoWidget.py @@ -1,5 +1,7 @@ # encoding: UTF-8 +from six import text_type + from vnpy.trader.uiQt import QtWidgets @@ -54,7 +56,7 @@ class AlgoWidget(QtWidgets.QWidget): """保存算法配置""" setting = self.getAlgoSetting() setting['templateName'] = self.templateName - setting['settingName'] = unicode(self.lineSettingName.text()) + setting['settingName'] = text_type(self.lineSettingName.text()) self.algoEngine.saveAlgoSetting(setting) self.lineSettingName.setText('') diff --git a/vnpy/trader/gateway/binanceGateway/binanceGateway.py b/vnpy/trader/gateway/binanceGateway/binanceGateway.py index 229c2494..64fd6a5d 100644 --- a/vnpy/trader/gateway/binanceGateway/binanceGateway.py +++ b/vnpy/trader/gateway/binanceGateway/binanceGateway.py @@ -3,6 +3,7 @@ ''' vnpy.api.binance的gateway接入 ''' +from __future__ import print_function import os import json @@ -40,11 +41,11 @@ priceTypeMap[PRICETYPE_MARKETPRICE] = 'MARKET' #---------------------------------------------------------------------- def print_dict(d): """""" - print '-' * 30 + print('-' * 30) l = d.keys() l.sort() for k in l: - print '%s:%s' %(k, d[k]) + print('%s:%s' %(k, d[k])) ######################################################################## diff --git a/vnpy/trader/vtFunction.py b/vnpy/trader/vtFunction.py index 1fc55c9a..7673177a 100644 --- a/vnpy/trader/vtFunction.py +++ b/vnpy/trader/vtFunction.py @@ -11,6 +11,8 @@ import traceback from datetime import datetime from math import isnan +from six import text_type + #---------------------------------------------------------------------- def safeUnicode(value): @@ -26,7 +28,7 @@ def safeUnicode(value): if abs(d.as_tuple().exponent) > MAX_DECIMAL: value = round(value, ndigits=MAX_DECIMAL) - return unicode(value) + return text_type(value) #---------------------------------------------------------------------- From 799e47407deb96f0d24a4d3aba470707b5775f1a Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 11 Jun 2018 22:07:12 +0800 Subject: [PATCH 046/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9E=E7=9B=B4?= =?UTF-8?q?=E6=8E=A5=E6=89=A7=E8=A1=8C=E5=A7=94=E6=89=98=E7=9A=84DMA?= =?UTF-8?q?=E7=AE=97=E6=B3=95?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/algoEngine.py | 30 ++- vnpy/trader/app/algoTrading/algoTemplate.py | 8 +- vnpy/trader/app/algoTrading/dmaAlgo.py | 192 +++++++++++++++++++ vnpy/trader/app/algoTrading/twapAlgo.py | 1 - vnpy/trader/app/algoTrading/uiAlgoManager.py | 2 + 5 files changed, 219 insertions(+), 14 deletions(-) create mode 100644 vnpy/trader/app/algoTrading/dmaAlgo.py diff --git a/vnpy/trader/app/algoTrading/algoEngine.py b/vnpy/trader/app/algoTrading/algoEngine.py index 3c360cd8..ce20b3ad 100644 --- a/vnpy/trader/app/algoTrading/algoEngine.py +++ b/vnpy/trader/app/algoTrading/algoEngine.py @@ -7,13 +7,14 @@ from __future__ import division from vnpy.event import Event from vnpy.trader.vtEvent import EVENT_TIMER, EVENT_TICK, EVENT_ORDER, EVENT_TRADE -from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, PRICETYPE_LIMITPRICE, +from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, + PRICETYPE_LIMITPRICE, PRICETYPE_MARKETPRICE, OFFSET_OPEN, OFFSET_CLOSE, OFFSET_CLOSETODAY, OFFSET_CLOSEYESTERDAY) from vnpy.trader.vtObject import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData from .twapAlgo import TwapAlgo - +from .dmaAlgo import DmaAlgo EVENT_ALGO_LOG = 'eAlgoLog' # 算法日志事件 EVENT_ALGO_PARAM = 'eAlgoParam' # 算法参数事件 @@ -143,7 +144,8 @@ class AlgoEngine(object): self.mainEngine.subscribe(req, contract.gatewayName) #---------------------------------------------------------------------- - def sendOrder(self, algo, vtSymbol, direction, price, volume): + def sendOrder(self, algo, vtSymbol, direction, price, volume, + priceType=None, offset=None): """发单""" contract = self.mainEngine.getContract(vtSymbol) if not contract: @@ -153,24 +155,34 @@ class AlgoEngine(object): req.vtSymbol = vtSymbol req.symbol = contract.symbol req.exchange = contract.exchange - req.direction = direction - req.priceType = PRICETYPE_LIMITPRICE + req.direction = direction req.offset = OFFSET_CLOSETODAY req.price = price req.volume = volume + + if priceType: + req.priceType = priceType + else: + req.priceType = PRICETYPE_LIMITPRICE + + if offset: + req.offset = offset + else: + req.offset = OFFSET_OPEN + vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) return vtOrderID #---------------------------------------------------------------------- - def buy(self, algo, vtSymbol, price, volume): + def buy(self, algo, vtSymbol, price, volume, priceType=None, offset=None): """买入""" - return self.sendOrder(algo, vtSymbol, DIRECTION_LONG, price, volume) + return self.sendOrder(algo, vtSymbol, DIRECTION_LONG, price, volume, priceType, offset) #---------------------------------------------------------------------- - def sell(self, algo, vtSymbol, price, volume): + def sell(self, algo, vtSymbol, price, volume, priceType=None, offset=None): """卖出""" - return self.sendOrder(algo, vtSymbol, DIRECTION_SHORT, price, volume) + return self.sendOrder(algo, vtSymbol, DIRECTION_SHORT, price, volume, priceType, offset) #---------------------------------------------------------------------- def cancelOrder(self, algo, vtOrderID): diff --git a/vnpy/trader/app/algoTrading/algoTemplate.py b/vnpy/trader/app/algoTrading/algoTemplate.py index 29e89a2a..6e2865c6 100644 --- a/vnpy/trader/app/algoTrading/algoTemplate.py +++ b/vnpy/trader/app/algoTrading/algoTemplate.py @@ -111,14 +111,14 @@ class AlgoTemplate(object): self.engine.subscribe(self, vtSymbol) #---------------------------------------------------------------------- - def buy(self, vtSymbol, price, volume): + def buy(self, vtSymbol, price, volume, priceType=None, offset=None): """""" - return self.engine.buy(self, vtSymbol, price, volume) + return self.engine.buy(self, vtSymbol, price, volume, priceType, offset) #---------------------------------------------------------------------- - def sell(self, vtSymbol, price, volume): + def sell(self, vtSymbol, price, volume, priceType=None, offset=None): """""" - return self.engine.sell(self, vtSymbol, price, volume) + return self.engine.sell(self, vtSymbol, price, volume, priceType, offset) #---------------------------------------------------------------------- def cancelOrder(self, vtOrderID): diff --git a/vnpy/trader/app/algoTrading/dmaAlgo.py b/vnpy/trader/app/algoTrading/dmaAlgo.py new file mode 100644 index 00000000..753794f3 --- /dev/null +++ b/vnpy/trader/app/algoTrading/dmaAlgo.py @@ -0,0 +1,192 @@ +# encoding: UTF-8 + +from __future__ import division +from collections import OrderedDict + +from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, + OFFSET_OPEN, OFFSET_CLOSE, + PRICETYPE_LIMITPRICE, PRICETYPE_MARKETPRICE, + STATUS_REJECTED, STATUS_CANCELLED, STATUS_ALLTRADED) +from vnpy.trader.uiQt import QtWidgets + +from .algoTemplate import AlgoTemplate +from .uiAlgoWidget import AlgoWidget, QtWidgets + + + +STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED]) + + +######################################################################## +class DmaAlgo(AlgoTemplate): + """DMA算法，直接发出限价或者市价委托""" + + templateName = 'DMA' + + #---------------------------------------------------------------------- + def __init__(self, engine, setting, algoName): + """Constructor""" + super(DmaAlgo, self).__init__(engine, setting, algoName) + + # 参数，强制类型转换，保证从CSV加载的配置正确 + self.vtSymbol = str(setting['vtSymbol']) # 合约代码 + self.direction = unicode(setting['direction']) # 买卖 + self.offset = float(setting['offset']) # 开平 + self.priceType = float(setting['priceType']) # 价格类型 + self.price = float(setting['price']) # 价格 + self.totalVolume = int(setting['totalVolume']) # 数量 + + self.vtOrderID = '' # 委托号 + self.tradedVolume = 0 # 成交数量 + self.orderStatus = '' # 委托状态 + + self.subscribe(self.vtSymbol) + self.paramEvent() + self.varEvent() + + #---------------------------------------------------------------------- + def onTick(self, tick): + """""" + # 发出委托 + if not self.vtOrderID: + if self.direction == DIRECTION_LONG: + func = self.buy + else: + func = self.sell + + self.vtOrderID = func(self.vtSymbol, self.price, self.volume, + self.priceType, self.offset) + + # 更新变量 + self.varEvent() + + #---------------------------------------------------------------------- + def onTrade(self, trade): + """""" + pass + + #---------------------------------------------------------------------- + def onOrder(self, order): + """""" + self.tradedVolume = order.tradedVolume + self.orderStatus = order.status + + if self.orderStatus in STATUS_FINISHED: + self.stop() + + self.paramEvent() + + #---------------------------------------------------------------------- + def onTimer(self): + """""" + pass + + #---------------------------------------------------------------------- + def onStop(self): + """""" + if self.orderStatus not in STATUS_FINISHED: + self.cancelAll() + + # 处理这里的逻辑，区分用户停止和到期停止 + + self.writeLog(u'委托已%s，停止算法' %self.status) + + #---------------------------------------------------------------------- + def varEvent(self): + """更新变量""" + d = OrderedDict() + d[u'算法状态'] = self.active + d[u'委托号'] = self.vtOrderID + d[u'成交数量'] = self.tradedVolume + d[u'委托状态'] = self.orderStatus + self.putVarEvent(d) + + #---------------------------------------------------------------------- + def paramEvent(self): + """更新参数""" + d = OrderedDict() + d[u'代码'] = self.vtSymbol + d[u'方向'] = self.direction + d[u'价格'] = self.price + d[u'数量'] = self.totalVolume + d[u'价格类型'] = self.priceType + d[u'开平'] = self.offset + self.putParamEvent(d) + + +######################################################################## +class DmaWidget(AlgoWidget): + """""" + + #---------------------------------------------------------------------- + def __init__(self, algoEngine, parent=None): + """Constructor""" + super(DmaWidget, self).__init__(algoEngine, parent) + + self.templateName = DmaAlgo.templateName + + #---------------------------------------------------------------------- + def initAlgoLayout(self): + """""" + self.lineSymbol = QtWidgets.QLineEdit() + + self.comboDirection = QtWidgets.QComboBox() + self.comboDirection.addItem(DIRECTION_LONG) + self.comboDirection.addItem(DIRECTION_SHORT) + self.comboDirection.setCurrentIndex(0) + + self.spinPrice = QtWidgets.QDoubleSpinBox() + self.spinPrice.setMinimum(0) + self.spinPrice.setMaximum(1000000000) + self.spinPrice.setDecimals(8) + + self.spinVolume = QtWidgets.QDoubleSpinBox() + self.spinVolume.setMinimum(0) + self.spinVolume.setMaximum(1000000000) + self.spinVolume.setDecimals(6) + + self.comboPriceType = QtWidgets.QComboBox() + self.comboPriceType.addItems([PRICETYPE_LIMITPRICE, PRICETYPE_MARKETPRICE]) + self.comboPriceType.setCurrentIndex(0) + + self.comboOffset = QtWidgets.QComboBox() + self.comboOffset.addItems(['', OFFSET_OPEN, OFFSET_CLOSE]) + self.comboOffset.setCurrentIndex(0) + + buttonStart = QtWidgets.QPushButton(u'启动') + buttonStart.clicked.connect(self.addAlgo) + buttonStart.setMinimumHeight(100) + + Label = QtWidgets.QLabel + + grid = QtWidgets.QGridLayout() + grid.addWidget(Label(u'代码'), 0, 0) + grid.addWidget(self.lineSymbol, 0, 1) + grid.addWidget(Label(u'方向'), 1, 0) + grid.addWidget(self.comboDirection, 1, 1) + grid.addWidget(Label(u'价格'), 2, 0) + grid.addWidget(self.spinPrice, 2, 1) + grid.addWidget(Label(u'数量'), 3, 0) + grid.addWidget(self.spinVolume, 3, 1) + grid.addWidget(Label(u'类型'), 4, 0) + grid.addWidget(self.comboPriceType, 4, 1) + grid.addWidget(Label(u'开平'), 5, 0) + grid.addWidget(self.comboOffset, 5, 1) + + return grid + + #---------------------------------------------------------------------- + def getAlgoSetting(self): + """""" + setting = OrderedDict() + setting['templateName'] = DmaAlgo.templateName + setting['vtSymbol'] = str(self.lineSymbol.text()) + setting['direction'] = unicode(self.comboDirection.currentText()) + setting['price'] = float(self.spinPrice.value()) + setting['totalVolume'] = float(self.spinVolume.value()) + setting['priceType'] = unicode(self.comboPriceType.currentText()) + setting['offset'] = unicode(self.comboOffset.currentText()) + + return setting + + \ No newline at end of file diff --git a/vnpy/trader/app/algoTrading/twapAlgo.py b/vnpy/trader/app/algoTrading/twapAlgo.py index d3727136..d38d29af 100644 --- a/vnpy/trader/app/algoTrading/twapAlgo.py +++ b/vnpy/trader/app/algoTrading/twapAlgo.py @@ -152,7 +152,6 @@ class TwapAlgo(AlgoTemplate): d[u'单笔委托'] = self.orderSize d[u'本轮读秒'] = self.timerCount d[u'累计读秒'] = self.timerTotal - d['active'] = self.active self.putVarEvent(d) #---------------------------------------------------------------------- diff --git a/vnpy/trader/app/algoTrading/uiAlgoManager.py b/vnpy/trader/app/algoTrading/uiAlgoManager.py index 811d1b08..1e07c1ec 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoManager.py +++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py @@ -10,6 +10,7 @@ from vnpy.trader.uiQt import QtCore, QtWidgets from .algoEngine import (EVENT_ALGO_LOG, EVENT_ALGO_PARAM, EVENT_ALGO_VAR, EVENT_ALGO_SETTING) from .twapAlgo import TwapWidget +from .dmaAlgo import DmaWidget ######################################################################## @@ -384,6 +385,7 @@ class AlgoManager(QtWidgets.QWidget): self.initUi() self.addAlgoWidget(TwapWidget) + self.addAlgoWidget(DmaWidget) self.algoEngine.loadAlgoSetting() # 界面初始化后，再加载算法配置 From 2d94151efe8caf91c2781dc14202916459ddfa15 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 11 Jun 2018 22:16:26 +0800 Subject: [PATCH 047/135] =?UTF-8?q?[Add]HuobiGateway=E6=96=B0=E5=A2=9E?= =?UTF-8?q?=E8=A1=8C=E6=83=85=E6=95=B0=E6=8D=AE=E5=AD=97=E6=AE=B5=E5=BC=BA?= =?UTF-8?q?=E5=88=B6=E7=B1=BB=E5=9E=8B=E8=BD=AC=E6=8D=A2?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../gateway/huobiGateway/huobiGateway.py | 20 +++++++++---------- 1 file changed, 10 insertions(+), 10 deletions(-) diff --git a/vnpy/trader/gateway/huobiGateway/huobiGateway.py b/vnpy/trader/gateway/huobiGateway/huobiGateway.py index 27371ca6..1d383342 100644 --- a/vnpy/trader/gateway/huobiGateway/huobiGateway.py +++ b/vnpy/trader/gateway/huobiGateway/huobiGateway.py @@ -257,14 +257,14 @@ class HuobiDataApi(DataApi): bids = data['tick']['bids'] for n in range(5): l = bids[n] - tick.__setattr__('bidPrice' + str(n+1), l[0]) - tick.__setattr__('bidVolume' + str(n+1), l[1]) + tick.__setattr__('bidPrice' + str(n+1), float(l[0])) + tick.__setattr__('bidVolume' + str(n+1), float(l[1])) asks = data['tick']['asks'] for n in range(5): l = asks[n] - tick.__setattr__('askPrice' + str(n+1), l[0]) - tick.__setattr__('askVolume' + str(n+1), l[1]) + tick.__setattr__('askPrice' + str(n+1), float(l[0])) + tick.__setattr__('askVolume' + str(n+1), float(l[1])) #print '-' * 50 #for d in data['tick']['asks']: @@ -309,12 +309,12 @@ class HuobiDataApi(DataApi): tick.time = tick.datetime.strftime('%H:%M:%S.%f') t = data['tick'] - tick.openPrice = t['open'] - tick.highPrice = t['high'] - tick.lowPrice = t['low'] - tick.lastPrice = t['close'] - tick.volume = t['vol'] - tick.preClosePrice = tick.openPrice + tick.openPrice = float(t['open']) + tick.highPrice = float(t['high']) + tick.lowPrice = float(t['low']) + tick.lastPrice = float(t['close']) + tick.volume = float(t['vol']) + tick.preClosePrice = float(tick.openPrice) if tick.bidPrice1: newtick = copy(tick) From 11a69f79ce129add55fdc5edbc941b3cdcd8f62e Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 11 Jun 2018 22:18:45 +0800 Subject: [PATCH 048/135] =?UTF-8?q?[Add]BitfinexGateway=E5=A2=9E=E5=8A=A0?= =?UTF-8?q?=E5=AF=B9=E6=B7=B1=E5=BA=A6=E8=A1=8C=E6=83=85=E6=9B=B4=E6=96=B0?= =?UTF-8?q?=E6=97=B6=E6=B2=A1=E6=9C=89BID=E6=88=96=E8=80=85ASK=E6=8C=82?= =?UTF-8?q?=E5=8D=95=E6=83=85=E5=86=B5=E7=9A=84=E8=BF=87=E6=BB=A4?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../bitfinexGateway/bitfinexGateway.py | 68 ++++++++++--------- 1 file changed, 37 insertions(+), 31 deletions(-) diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py index e2ca00d2..217d93e3 100644 --- a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -390,37 +390,43 @@ class GatewayApi(BitfinexApi): else: ask[price] = amount - # BID - bidPriceList = bid.keys() - bidPriceList.sort(reverse=True) - - tick.bidPrice1 = bidPriceList[0] - tick.bidPrice2 = bidPriceList[1] - tick.bidPrice3 = bidPriceList[2] - tick.bidPrice4 = bidPriceList[3] - tick.bidPrice5 = bidPriceList[4] - - tick.bidVolume1 = bid[tick.bidPrice1] - tick.bidVolume2 = bid[tick.bidPrice2] - tick.bidVolume3 = bid[tick.bidPrice3] - tick.bidVolume4 = bid[tick.bidPrice4] - tick.bidVolume5 = bid[tick.bidPrice5] - - # ASK - askPriceList = ask.keys() - askPriceList.sort() - - tick.askPrice1 = askPriceList[0] - tick.askPrice2 = askPriceList[1] - tick.askPrice3 = askPriceList[2] - tick.askPrice4 = askPriceList[3] - tick.askPrice5 = askPriceList[4] - - tick.askVolume1 = ask[tick.askPrice1] - tick.askVolume2 = ask[tick.askPrice2] - tick.askVolume3 = ask[tick.askPrice3] - tick.askVolume4 = ask[tick.askPrice4] - tick.askVolume5 = ask[tick.askPrice5] + # Bitfinex的深度数据更新是逐档推送变动情况，而非5档一起推 + # 因此会出现没有Bid或者Ask的情况，这里使用try...catch过滤 + # 只有买卖深度满足5档时才做推送 + try: + # BID + bidPriceList = bid.keys() + bidPriceList.sort(reverse=True) + + tick.bidPrice1 = bidPriceList[0] + tick.bidPrice2 = bidPriceList[1] + tick.bidPrice3 = bidPriceList[2] + tick.bidPrice4 = bidPriceList[3] + tick.bidPrice5 = bidPriceList[4] + + tick.bidVolume1 = bid[tick.bidPrice1] + tick.bidVolume2 = bid[tick.bidPrice2] + tick.bidVolume3 = bid[tick.bidPrice3] + tick.bidVolume4 = bid[tick.bidPrice4] + tick.bidVolume5 = bid[tick.bidPrice5] + + # ASK + askPriceList = ask.keys() + askPriceList.sort() + + tick.askPrice1 = askPriceList[0] + tick.askPrice2 = askPriceList[1] + tick.askPrice3 = askPriceList[2] + tick.askPrice4 = askPriceList[3] + tick.askPrice5 = askPriceList[4] + + tick.askVolume1 = ask[tick.askPrice1] + tick.askVolume2 = ask[tick.askPrice2] + tick.askVolume3 = ask[tick.askPrice3] + tick.askVolume4 = ask[tick.askPrice4] + tick.askVolume5 = ask[tick.askPrice5] + except IndexError: + return dt = datetime.now() tick.date = dt.strftime('%Y%m%d') From 584990a7edf6e0afabc054955dcdeaa3721f0b2c Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 11 Jun 2018 23:26:53 +0800 Subject: [PATCH 049/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9E=E5=81=9C?= =?UTF-8?q?=E6=AD=A2=E5=8D=95=E7=AE=97=E6=B3=95StopAlgo?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/algoEngine.py | 10 +- vnpy/trader/app/algoTrading/dmaAlgo.py | 17 +- vnpy/trader/app/algoTrading/stopAlgo.py | 206 +++++++++++++++++++ vnpy/trader/app/algoTrading/twapAlgo.py | 1 + vnpy/trader/app/algoTrading/uiAlgoManager.py | 3 + 5 files changed, 224 insertions(+), 13 deletions(-) create mode 100644 vnpy/trader/app/algoTrading/stopAlgo.py diff --git a/vnpy/trader/app/algoTrading/algoEngine.py b/vnpy/trader/app/algoTrading/algoEngine.py index de3bcb34..f83c475b 100644 --- a/vnpy/trader/app/algoTrading/algoEngine.py +++ b/vnpy/trader/app/algoTrading/algoEngine.py @@ -15,6 +15,7 @@ from vnpy.trader.vtObject import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, V from .twapAlgo import TwapAlgo from .dmaAlgo import DmaAlgo +from .stopAlgo import StopAlgo EVENT_ALGO_LOG = 'eAlgoLog' # 算法日志事件 EVENT_ALGO_PARAM = 'eAlgoParam' # 算法参数事件 @@ -29,7 +30,9 @@ HISTORY_COLLECTION_NAME = 'AlgoHistory' # 算法历史集合名 ALGO_DICT = { - TwapAlgo.templateName: TwapAlgo + TwapAlgo.templateName: TwapAlgo, + DmaAlgo.templateName: DmaAlgo, + StopAlgo.templateName: StopAlgo } @@ -113,8 +116,9 @@ class AlgoEngine(object): #---------------------------------------------------------------------- def stopAlgo(self, algoName): """停止算法""" - self.algoDict[algoName].stop() - del self.algoDict[algoName] + if algoName in self.algoDict: + self.algoDict[algoName].stop() + del self.algoDict[algoName] #---------------------------------------------------------------------- def stopAll(self): diff --git a/vnpy/trader/app/algoTrading/dmaAlgo.py b/vnpy/trader/app/algoTrading/dmaAlgo.py index 753794f3..fdb42a82 100644 --- a/vnpy/trader/app/algoTrading/dmaAlgo.py +++ b/vnpy/trader/app/algoTrading/dmaAlgo.py @@ -31,10 +31,10 @@ class DmaAlgo(AlgoTemplate): # 参数，强制类型转换，保证从CSV加载的配置正确 self.vtSymbol = str(setting['vtSymbol']) # 合约代码 self.direction = unicode(setting['direction']) # 买卖 - self.offset = float(setting['offset']) # 开平 - self.priceType = float(setting['priceType']) # 价格类型 + self.offset = unicode(setting['offset']) # 开平 + self.priceType = unicode(setting['priceType']) # 价格类型 self.price = float(setting['price']) # 价格 - self.totalVolume = int(setting['totalVolume']) # 数量 + self.totalVolume = float(setting['totalVolume']) # 数量 self.vtOrderID = '' # 委托号 self.tradedVolume = 0 # 成交数量 @@ -74,7 +74,7 @@ class DmaAlgo(AlgoTemplate): if self.orderStatus in STATUS_FINISHED: self.stop() - self.paramEvent() + self.varEvent() #---------------------------------------------------------------------- def onTimer(self): @@ -84,12 +84,8 @@ class DmaAlgo(AlgoTemplate): #---------------------------------------------------------------------- def onStop(self): """""" - if self.orderStatus not in STATUS_FINISHED: - self.cancelAll() - - # 处理这里的逻辑，区分用户停止和到期停止 - - self.writeLog(u'委托已%s，停止算法' %self.status) + self.writeLog(u'停止算法') + self.varEvent() #---------------------------------------------------------------------- def varEvent(self): @@ -99,6 +95,7 @@ class DmaAlgo(AlgoTemplate): d[u'委托号'] = self.vtOrderID d[u'成交数量'] = self.tradedVolume d[u'委托状态'] = self.orderStatus + d['active'] = self.active self.putVarEvent(d) #---------------------------------------------------------------------- diff --git a/vnpy/trader/app/algoTrading/stopAlgo.py b/vnpy/trader/app/algoTrading/stopAlgo.py new file mode 100644 index 00000000..3b2e662f --- /dev/null +++ b/vnpy/trader/app/algoTrading/stopAlgo.py @@ -0,0 +1,206 @@ +# encoding: UTF-8 + +from __future__ import division +from collections import OrderedDict + +from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, + OFFSET_OPEN, OFFSET_CLOSE) +from vnpy.trader.uiQt import QtWidgets + +from .algoTemplate import AlgoTemplate +from .uiAlgoWidget import AlgoWidget, QtWidgets + + + +######################################################################## +class StopAlgo(AlgoTemplate): + """停止单算法，也可以用于止损单""" + + templateName = 'STOP' + + #---------------------------------------------------------------------- + def __init__(self, engine, setting, algoName): + """Constructor""" + super(StopAlgo, self).__init__(engine, setting, algoName) + + # 参数，强制类型转换，保证从CSV加载的配置正确 + self.vtSymbol = str(setting['vtSymbol']) # 合约代码 + self.direction = unicode(setting['direction']) # 买卖 + self.stopPrice = float(setting['stopPrice']) # 触发价格 + self.totalVolume = float(setting['totalVolume']) # 数量 + self.offset = unicode(setting['offset']) # 开平 + self.priceAdd = float(setting['priceAdd']) # 下单时的超价 + + self.vtOrderID = '' # 委托号 + self.tradedVolume = 0 # 成交数量 + self.orderStatus = '' # 委托状态 + + self.subscribe(self.vtSymbol) + self.paramEvent() + self.varEvent() + + #---------------------------------------------------------------------- + def onTick(self, tick): + """""" + # 如果已经发出委托，则忽略行情事件 + if self.vtOrderID: + return + + # 如果到达止损位，才触发委托 + if (self.direction == DIRECTION_LONG and + tick.lastPrice >= self.price): + # 计算超价委托价格 + price = self.stopPrice + self.priceAdd + + # 避免价格超过涨停价 + if tick.upperLimit: + price = min(price, tick.upperLimit) + + func = self.buy + else: + price = self.stopPrice - self.priceAdd + + if tick.lowerLimit: + price = max(price, tick.lowerLimit) + + func = self.sell + + self.vtOrderID = func(self.vtSymbol, price, self.volume, offset=self.offset) + + msg = u'停止单已触发，代码：%s，方向：%s, 价格：%s，数量：%s，开平：%s' %(self.vtSymbol, + self.direction, + self.stopPrice, + self.totalVolume, + self.offset) + self.writeLog(msg) + + # 更新变量 + self.varEvent() + + #---------------------------------------------------------------------- + def onTrade(self, trade): + """""" + pass + + #---------------------------------------------------------------------- + def onOrder(self, order): + """""" + self.tradedVolume = order.tradedVolume + self.orderStatus = order.status + + if self.orderStatus in STATUS_FINISHED: + self.stop() + + self.varEvent() + + #---------------------------------------------------------------------- + def onTimer(self): + """""" + pass + + #---------------------------------------------------------------------- + def onStop(self): + """""" + self.writeLog(u'停止算法') + self.varEvent() + + #---------------------------------------------------------------------- + def varEvent(self): + """更新变量""" + d = OrderedDict() + d[u'算法状态'] = self.active + d[u'委托号'] = self.vtOrderID + d[u'成交数量'] = self.tradedVolume + d[u'委托状态'] = self.orderStatus + d['active'] = self.active + self.putVarEvent(d) + + #---------------------------------------------------------------------- + def paramEvent(self): + """更新参数""" + d = OrderedDict() + d[u'代码'] = self.vtSymbol + d[u'方向'] = self.direction + d[u'触发价格'] = self.stopPrice + d[u'数量'] = self.totalVolume + d[u'开平'] = self.offset + self.putParamEvent(d) + + +######################################################################## +class StopWidget(AlgoWidget): + """""" + + #---------------------------------------------------------------------- + def __init__(self, algoEngine, parent=None): + """Constructor""" + super(StopWidget, self).__init__(algoEngine, parent) + + self.templateName = StopAlgo.templateName + + #---------------------------------------------------------------------- + def initAlgoLayout(self): + """""" + self.lineSymbol = QtWidgets.QLineEdit() + + self.comboDirection = QtWidgets.QComboBox() + self.comboDirection.addItem(DIRECTION_LONG) + self.comboDirection.addItem(DIRECTION_SHORT) + self.comboDirection.setCurrentIndex(0) + + self.spinPrice = QtWidgets.QDoubleSpinBox() + self.spinPrice.setMinimum(0) + self.spinPrice.setMaximum(1000000000) + self.spinPrice.setDecimals(8) + + self.spinVolume = QtWidgets.QDoubleSpinBox() + self.spinVolume.setMinimum(0) + self.spinVolume.setMaximum(1000000000) + self.spinVolume.setDecimals(6) + + self.comboOffset = QtWidgets.QComboBox() + self.comboOffset.addItems(['', OFFSET_OPEN, OFFSET_CLOSE]) + self.comboOffset.setCurrentIndex(0) + + self.spinPriceAdd = QtWidgets.QDoubleSpinBox() + self.spinPriceAdd.setMinimum(0) + self.spinPriceAdd.setMaximum(1000000000) + self.spinPriceAdd.setDecimals(8) + + buttonStart = QtWidgets.QPushButton(u'启动') + buttonStart.clicked.connect(self.addAlgo) + buttonStart.setMinimumHeight(100) + + Label = QtWidgets.QLabel + + grid = QtWidgets.QGridLayout() + grid.addWidget(Label(u'代码'), 0, 0) + grid.addWidget(self.lineSymbol, 0, 1) + grid.addWidget(Label(u'方向'), 1, 0) + grid.addWidget(self.comboDirection, 1, 1) + grid.addWidget(Label(u'价格'), 2, 0) + grid.addWidget(self.spinPrice, 2, 1) + grid.addWidget(Label(u'数量'), 3, 0) + grid.addWidget(self.spinVolume, 3, 1) + grid.addWidget(Label(u'开平'), 4, 0) + grid.addWidget(self.comboOffset, 4, 1) + grid.addWidget(Label(u'超价'), 5, 0) + grid.addWidget(self.spinPriceAdd, 5, 1) + + return grid + + #---------------------------------------------------------------------- + def getAlgoSetting(self): + """""" + setting = OrderedDict() + setting['templateName'] = StopAlgo.templateName + setting['vtSymbol'] = str(self.lineSymbol.text()) + setting['direction'] = unicode(self.comboDirection.currentText()) + setting['stopPrice'] = float(self.spinPrice.value()) + setting['totalVolume'] = float(self.spinVolume.value()) + setting['offset'] = unicode(self.comboOffset.currentText()) + setting['priceAdd'] = float(self.spinPriceAdd.value()) + + return setting + + \ No newline at end of file diff --git a/vnpy/trader/app/algoTrading/twapAlgo.py b/vnpy/trader/app/algoTrading/twapAlgo.py index d38d29af..d3727136 100644 --- a/vnpy/trader/app/algoTrading/twapAlgo.py +++ b/vnpy/trader/app/algoTrading/twapAlgo.py @@ -152,6 +152,7 @@ class TwapAlgo(AlgoTemplate): d[u'单笔委托'] = self.orderSize d[u'本轮读秒'] = self.timerCount d[u'累计读秒'] = self.timerTotal + d['active'] = self.active self.putVarEvent(d) #---------------------------------------------------------------------- diff --git a/vnpy/trader/app/algoTrading/uiAlgoManager.py b/vnpy/trader/app/algoTrading/uiAlgoManager.py index 8d8f8ac4..895e3fa0 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoManager.py +++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py @@ -9,8 +9,10 @@ from vnpy.trader.uiQt import QtCore, QtWidgets from .algoEngine import (EVENT_ALGO_LOG, EVENT_ALGO_PARAM, EVENT_ALGO_VAR, EVENT_ALGO_SETTING) + from .twapAlgo import TwapWidget from .dmaAlgo import DmaWidget +from .stopAlgo import StopWidget ######################################################################## @@ -388,6 +390,7 @@ class AlgoManager(QtWidgets.QWidget): self.initUi() self.addAlgoWidget(TwapWidget) self.addAlgoWidget(DmaWidget) + self.addAlgoWidget(StopWidget) self.algoEngine.loadAlgoSetting() # 界面初始化后，再加载算法配置 From 17f777b84c4982b86d40adb3acbeb2e73ff36aa6 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Wed, 13 Jun 2018 11:55:33 +0800 Subject: [PATCH 050/135] =?UTF-8?q?[Fix]=E4=BF=AE=E5=A4=8D=E7=AE=97?= =?UTF-8?q?=E6=B3=95=E4=BA=A4=E6=98=93=E5=BC=95=E6=93=8E=E7=9A=84=E5=A7=94?= =?UTF-8?q?=E6=89=98=E5=8F=B7=E5=92=8C=E7=AE=97=E6=B3=95=E5=AF=B9=E8=B1=A1?= =?UTF-8?q?=E6=98=A0=E5=B0=84=E7=BC=BA=E5=A4=B1=E7=9A=84bug?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/algoEngine.py | 1 + 1 file changed, 1 insertion(+) diff --git a/vnpy/trader/app/algoTrading/algoEngine.py b/vnpy/trader/app/algoTrading/algoEngine.py index f83c475b..f1da8037 100644 --- a/vnpy/trader/app/algoTrading/algoEngine.py +++ b/vnpy/trader/app/algoTrading/algoEngine.py @@ -179,6 +179,7 @@ class AlgoEngine(object): req.offset = OFFSET_OPEN vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) + self.orderAlgoDict[vtOrderID] = algo return vtOrderID From c14ae4d5e08de73d8124a2e35fea5293e002b4af Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Thu, 14 Jun 2018 13:12:05 +0800 Subject: [PATCH 051/135] =?UTF-8?q?[Fix]=E4=BF=AE=E6=94=B9=E5=A7=94?= =?UTF-8?q?=E6=89=98=E9=87=8F=E8=B4=9F=E5=8F=B7=E9=94=99=E8=AF=AF?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py index 217d93e3..dd9178bd 100644 --- a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -388,7 +388,7 @@ class GatewayApi(BitfinexApi): if amount > 0: bid[price ] = amount else: - ask[price] = amount + ask[price] = -amount # Bitfinex的深度数据更新是逐档推送变动情况，而非5档一起推 # 因此会出现没有Bid或者Ask的情况，这里使用try...catch过滤 From 1ae001cfa7fbfa1ba7f72a021d4acb09f61ce8e0 Mon Sep 17 00:00:00 2001 From: cooooo Date: Thu, 14 Jun 2018 16:57:09 +0800 Subject: [PATCH 052/135] =?UTF-8?q?[Mod]=E6=9B=B4=E6=96=B0WebTrader?= =?UTF-8?q?=E4=BD=BF=E7=94=A8=E8=AF=B4=E6=98=8E?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/WebTrader/README.md | 16 ++++++++-------- 1 file changed, 8 insertions(+), 8 deletions(-) diff --git a/examples/WebTrader/README.md b/examples/WebTrader/README.md index 0563187c..25bd5cbf 100644 --- a/examples/WebTrader/README.md +++ b/examples/WebTrader/README.md @@ -6,17 +6,17 @@ 1. 修改CTP_connect.json中的账号和服务器地址 2. 修改WEB_setting.json中的网页登录用户名和密码 -3. 打开cmd，运行python server.py -4. 打开另一个cmd，运行python run.py -5. 用浏览器（推荐Chrome）访问http://localhost:5000/ -6. 输入2中的用户名和密码登录后，点击左下角的“连接CTP” -7. 网页前端的使用方法和常规版本的VnTrader基本一致 -8. 如需运行CTA策略，请修改CTA_setting.json中的配置 +3. 打开cmd，运行python run.py +4. 用浏览器（推荐Chrome）访问http://localhost:5000/ +5. 输入2中的用户名和密码登录后，点击左下角的“连接CTP” +6. 网页前端的使用方法和常规版本的VnTrader基本一致 +7. 如需运行CTA策略，请修改CTA_setting.json中的配置 ## 文件功能 -* server.py：基于vnpy.rpc模块实现的交易服务器，包含CTP接口和CTA策略模块 -* run.py：基于Flask实现的Web服务器，内部通过vnpy.rpc客户端来访问交易服务器 +* tradingServer.py：基于vnpy.rpc模块实现的交易服务器，包含CTP接口和CTA策略模块 +* webServer.py：基于Flask实现的Web服务器，内部通过vnpy.rpc客户端来访问交易服务器 +* run.py: 无人值守服务 ## 架构设计 From c3d482bfd724729b58fccec9def3068d24877683 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Thu, 14 Jun 2018 20:03:53 +0800 Subject: [PATCH 053/135] =?UTF-8?q?[Add]=E5=88=9D=E6=AD=A5=E5=AE=8C?= =?UTF-8?q?=E6=88=90vnbitmex?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bitmex/__init__.py | 1 + vnpy/api/bitmex/vnbitmex.py | 248 ++++++++++++++++++++++++++++++++++++ 2 files changed, 249 insertions(+) create mode 100644 vnpy/api/bitmex/__init__.py create mode 100644 vnpy/api/bitmex/vnbitmex.py diff --git a/vnpy/api/bitmex/__init__.py b/vnpy/api/bitmex/__init__.py new file mode 100644 index 00000000..857efbac --- /dev/null +++ b/vnpy/api/bitmex/__init__.py @@ -0,0 +1 @@ +from .vnbitmex import BitmexRestApi, BitmexWebsocketApi \ No newline at end of file diff --git a/vnpy/api/bitmex/vnbitmex.py b/vnpy/api/bitmex/vnbitmex.py new file mode 100644 index 00000000..a7b9e6b6 --- /dev/null +++ b/vnpy/api/bitmex/vnbitmex.py @@ -0,0 +1,248 @@ +# encoding: UTF-8 + +import hashlib +import hmac +import json +import ssl + +from queue import Queue, Empty +from multiprocessing.dummy import Pool +from time import time +from urlparse import urlparse +from copy import copy +from urllib import urlencode +from threading import Thread + +import requests +import websocket + + +REST_HOST = 'https://www.bitmex.com/api/v1' +WEBSOCKET_HOST = 'wss://www.bitmex.com/realtime' + + + + +######################################################################## +class BitmexRestApi(object): + """REST API""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.apiKey = '' + self.apiSecret = '' + + self.active = False + self.reqid = 0 + self.queue = Queue() + self.pool = None + self.sessionDict = {} # 会话对象字典 + + self.header = { + 'Content-Type': 'application/x-www-form-urlencoded', + 'Accept': 'application/json' + } + + #---------------------------------------------------------------------- + def init(self, apiKey, apiSecret): + """初始化""" + self.apiKey = apiKey + self.apiSecret = apiSecret + + #---------------------------------------------------------------------- + def start(self, n=10): + """启动""" + if self.active: + return + + self.active = True + self.pool = Pool(n) + self.pool.map_async(self.run, range(n)) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.active = False + + if self.pool: + self.pool.close() + self.pool.join() + + #---------------------------------------------------------------------- + def addReq(self, method, path, callback, params=None, postdict=None): + """添加请求""" + self.reqid += 1 + req = (method, path, callback, params, postdict, self.reqid) + self.queue.put(req) + return self.reqid + + #---------------------------------------------------------------------- + def processReq(self, req, i): + """处理请求""" + method, path, callback, params, postdict, reqid = req + url = REST_HOST + path + expires = int(time() + 5) + + header = copy(self.header) + header['api-expires'] = str(expires) + header['api-key'] = self.apiKey + header['api-signature'] = self.generateSignature(method, path, expires, params, postdict) + + # 使用长连接的session，比短连接的耗时缩短80% + session = self.sessionDict[i] + resp = session.request(method, url, headers=header, params=params, json=postdict) + code = resp.status_code + d = resp.json() + + if code == 200: + callback(d, reqid) + else: + self.onError(code, d) + + #---------------------------------------------------------------------- + def run(self, i): + """连续运行""" + self.sessionDict[i] = requests.Session() + + while self.active: + try: + req = self.queue.get(timeout=1) + self.processReq(req, i) + except Empty: + pass + + #---------------------------------------------------------------------- + def generateSignature(self, method, path, expires, params=None, postdict=None): + """生成签名""" + # 对params在HTTP报文路径中，以请求字段方式序列化 + if params: + query = urlencode(sorted(params.items())) + path = path + '?' + query + + msg = method + '/api/v1' + path + str(expires) + + # 对postdict在HTTP报文体中，是作为表单内容以json序列化 + # 因此这里需要采用同样方式，不能直接用str()来转换 + if postdict: + buf = json.dumps(postdict) + msg += buf + + signature = hmac.new(self.apiSecret, msg, + digestmod=hashlib.sha256).hexdigest() + return signature + + #---------------------------------------------------------------------- + def onError(self, code, error): + """错误回调""" + print 'on error' + print code, error + + #---------------------------------------------------------------------- + def onData(self, data, reqid): + """通用回调""" + print 'on data' + print data, reqid + + +######################################################################## +class BitmexWebsocketApi(object): + """Websocket API""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.ws = None + self.thread = None + self.active = False + + #---------------------------------------------------------------------- + def start(self): + """启动""" + self.ws = websocket.create_connection(WEBSOCKET_HOST, + sslopt={'cert_reqs': ssl.CERT_NONE}) + + self.active = True + self.thread = Thread(target=self.run) + self.thread.start() + + self.onConnect() + + #---------------------------------------------------------------------- + def reconnect(self): + """重连""" + self.ws = websocket.create_connection(WEBSOCKET_V2_URL, + sslopt={'cert_reqs': ssl.CERT_NONE}) + + self.onConnect() + + #---------------------------------------------------------------------- + def run(self): + """运行""" + while self.active: + try: + stream = self.ws.recv() + data = json.loads(stream) + self.onData(data) + except: + msg = traceback.format_exc() + self.onError(msg) + self.reconnect() + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.active = False + + if self.thread: + self.thread.join() + + #---------------------------------------------------------------------- + def onConnect(self): + """连接回调""" + print 'connected' + + #---------------------------------------------------------------------- + def onData(self, data): + """数据回调""" + print data + + #---------------------------------------------------------------------- + def onError(self, msg): + """错误回调""" + print msg + + #---------------------------------------------------------------------- + def sendReq(self, req): + """发出请求""" + self.ws.send(json.dumps(req)) + + + + + +if __name__ == '__main__': + API_KEY = '08zsKDmvaNHAqey0eMMHEG4t' + API_SECRET = 'lIzHW2wpG6Pk7hBNUXc6onwNfxFYKOPQZC4EItf6MeHTa9yC' + + ## REST测试 + #rest = BitmexRestApi() + #rest.init(API_KEY, API_SECRET) + #rest.start(3) + + #data = { + #'token': 'test' + #} + #rest.addReq('POST', '/confirmEmail', rest.onData, postdict=data) + #rest.addReq('GET', '/instrument', rest.onData) + + # WEBSOCKET测试 + ws = BitmexWebsocketApi() + ws.start() + + req = {"op": "subscribe", "args": ['quote']} + ws.sendReq(req) + + raw_input() + + \ No newline at end of file From 1befa5c16b3a8cb3f929f110e94255a595549053 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 16 Jun 2018 11:30:11 +0800 Subject: [PATCH 054/135] [Fix]Close #915 --- vnpy/api/okex/vnokex.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/vnpy/api/okex/vnokex.py b/vnpy/api/okex/vnokex.py index 9a21ef4b..555df99f 100644 --- a/vnpy/api/okex/vnokex.py +++ b/vnpy/api/okex/vnokex.py @@ -171,13 +171,13 @@ class OkexApi(object): def onMessage(self, data): """信息推送""" print('onMessage') - print(evt) + print(data) #---------------------------------------------------------------------- def onError(self, data): """错误推送""" print('onError') - print(evt) + print(data) #---------------------------------------------------------------------- def onClose(self): From fb91279b62bd15d641b378bebdd9000ed81dac43 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 16 Jun 2018 11:30:59 +0800 Subject: [PATCH 055/135] =?UTF-8?q?[Mod]vnbitmex=E9=BB=98=E8=AE=A4?= =?UTF-8?q?=E8=BF=9E=E6=8E=A5=E6=95=B0=E4=BF=AE=E6=94=B9?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bitmex/vnbitmex.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/vnpy/api/bitmex/vnbitmex.py b/vnpy/api/bitmex/vnbitmex.py index a7b9e6b6..6791e7fb 100644 --- a/vnpy/api/bitmex/vnbitmex.py +++ b/vnpy/api/bitmex/vnbitmex.py @@ -51,7 +51,7 @@ class BitmexRestApi(object): self.apiSecret = apiSecret #---------------------------------------------------------------------- - def start(self, n=10): + def start(self, n=3): """启动""" if self.active: return @@ -222,8 +222,8 @@ class BitmexWebsocketApi(object): if __name__ == '__main__': - API_KEY = '08zsKDmvaNHAqey0eMMHEG4t' - API_SECRET = 'lIzHW2wpG6Pk7hBNUXc6onwNfxFYKOPQZC4EItf6MeHTa9yC' + API_KEY = '' + API_SECRET = '' ## REST测试 #rest = BitmexRestApi() From 87ad5d40581312f905244be38ae74a8a402aa2b3 Mon Sep 17 00:00:00 2001 From: cclauss Date: Sat, 16 Jun 2018 08:28:08 +0200 Subject: [PATCH 056/135] Disable allow_failures on Python 3 This PR should make the flake8 tests pass on both Python 2 and Python 3. --- .travis.yml | 3 --- 1 file changed, 3 deletions(-) diff --git a/.travis.yml b/.travis.yml index 2c4cb042..e5b57753 100644 --- a/.travis.yml +++ b/.travis.yml @@ -4,9 +4,6 @@ cache: pip python: - 2.7 - 3.6 -matrix: - allow_failures: - - python: 3.6 install: - pip install -r requirements.txt - pip install flake8 # pytest # add another testing frameworks later From 8db91fa52383f18a43245d5da84e92988c2fbcac Mon Sep 17 00:00:00 2001 From: cclauss Date: Sat, 16 Jun 2018 08:32:44 +0200 Subject: [PATCH 057/135] Align comment --- vnpy/trader/app/algoTrading/twapAlgo.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/vnpy/trader/app/algoTrading/twapAlgo.py b/vnpy/trader/app/algoTrading/twapAlgo.py index 8093e355..86515d45 100644 --- a/vnpy/trader/app/algoTrading/twapAlgo.py +++ b/vnpy/trader/app/algoTrading/twapAlgo.py @@ -25,7 +25,7 @@ class TwapAlgo(AlgoTemplate): # 参数，强制类型转换，保证从CSV加载的配置正确 self.vtSymbol = str(setting['vtSymbol']) # 合约代码 - self.direction = text_type(setting['direction']) # 买卖 + self.direction = text_type(setting['direction']) # 买卖 self.targetPrice = float(setting['targetPrice']) # 目标价格 self.totalVolume = float(setting['totalVolume']) # 总数量 self.time = int(setting['time']) # 执行时间 From f408cb30cade7bd21af5cda213cab15d9ec88a29 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 16 Jun 2018 22:10:36 +0800 Subject: [PATCH 058/135] =?UTF-8?q?[Add]=E5=88=9D=E6=AD=A5=E5=AE=8C?= =?UTF-8?q?=E6=88=90BitMEX=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/CryptoTrader/BINANCE_connect.json | 5 + examples/CryptoTrader/BITFINEX_connect.json | 5 + examples/CryptoTrader/BITMEX_connect.json | 6 + examples/CryptoTrader/HUOBI_connect.json | 6 + examples/CryptoTrader/OKEX_connect.json | 6 + examples/CryptoTrader/run.py | 4 +- vnpy/api/bitmex/vnbitmex.py | 70 ++- .../bitfinexGateway/bitfinexGateway.py | 6 +- vnpy/trader/gateway/bitmexGateway/__init__.py | 10 + .../gateway/bitmexGateway/bitmexGateway.py | 536 ++++++++++++++++++ vnpy/trader/language/chinese/constant.py | 1 + vnpy/trader/language/english/constant.py | 1 + 12 files changed, 628 insertions(+), 28 deletions(-) create mode 100644 examples/CryptoTrader/BINANCE_connect.json create mode 100644 examples/CryptoTrader/BITFINEX_connect.json create mode 100644 examples/CryptoTrader/BITMEX_connect.json create mode 100644 examples/CryptoTrader/HUOBI_connect.json create mode 100644 examples/CryptoTrader/OKEX_connect.json create mode 100644 vnpy/trader/gateway/bitmexGateway/__init__.py create mode 100644 vnpy/trader/gateway/bitmexGateway/bitmexGateway.py diff --git a/examples/CryptoTrader/BINANCE_connect.json b/examples/CryptoTrader/BINANCE_connect.json new file mode 100644 index 00000000..01d370e4 --- /dev/null +++ b/examples/CryptoTrader/BINANCE_connect.json @@ -0,0 +1,5 @@ +{ + "apiKey": "", + "secretKey": "", + "symbols": ["BTCUSDT", "ETHUSDT", "ETHBTC"] +} \ No newline at end of file diff --git a/examples/CryptoTrader/BITFINEX_connect.json b/examples/CryptoTrader/BITFINEX_connect.json new file mode 100644 index 00000000..ae25ff9c --- /dev/null +++ b/examples/CryptoTrader/BITFINEX_connect.json @@ -0,0 +1,5 @@ +{ + "apiKey": "", + "secretKey": "", + "symbols": ["BTCUSD", "ETHUSD", "ETHBTC"] +} \ No newline at end of file diff --git a/examples/CryptoTrader/BITMEX_connect.json b/examples/CryptoTrader/BITMEX_connect.json new file mode 100644 index 00000000..4aef1612 --- /dev/null +++ b/examples/CryptoTrader/BITMEX_connect.json @@ -0,0 +1,6 @@ +{ + "apiKey": "", + "apiSecret": "", + "sessionCount": 3, + "symbols": ["XBTUSD", "EOSM18", "XRPM18"] +} \ No newline at end of file diff --git a/examples/CryptoTrader/HUOBI_connect.json b/examples/CryptoTrader/HUOBI_connect.json new file mode 100644 index 00000000..8255a46f --- /dev/null +++ b/examples/CryptoTrader/HUOBI_connect.json @@ -0,0 +1,6 @@ +{ + "exchange": "huobi", + "accessKey": "", + "secretKey": "", + "symbols": ["btcusdt","ethusdt","ethbtc"] +} \ No newline at end of file diff --git a/examples/CryptoTrader/OKEX_connect.json b/examples/CryptoTrader/OKEX_connect.json new file mode 100644 index 00000000..5c77f027 --- /dev/null +++ b/examples/CryptoTrader/OKEX_connect.json @@ -0,0 +1,6 @@ +{ + "apiKey": "", + "secretKey": "", + "trace": false, + "symbols": ["eth_btc", "btc_usdt", "eth_usdt"] +} \ No newline at end of file diff --git a/examples/CryptoTrader/run.py b/examples/CryptoTrader/run.py index a09cb3dc..9088f66e 100644 --- a/examples/CryptoTrader/run.py +++ b/examples/CryptoTrader/run.py @@ -21,7 +21,8 @@ from vnpy.trader.uiMainWindow import MainWindow # 加载底层接口 from vnpy.trader.gateway import (huobiGateway, okexGateway, - binanceGateway, bitfinexGateway) + binanceGateway, bitfinexGateway, + bitmexGateway) # 加载上层应用 from vnpy.trader.app import (riskManager, algoTrading) @@ -40,6 +41,7 @@ def main(): me = MainEngine(ee) # 添加交易接口 + me.addGateway(bitmexGateway) me.addGateway(huobiGateway) me.addGateway(okexGateway) me.addGateway(binanceGateway) diff --git a/vnpy/api/bitmex/vnbitmex.py b/vnpy/api/bitmex/vnbitmex.py index 6791e7fb..91e5c303 100644 --- a/vnpy/api/bitmex/vnbitmex.py +++ b/vnpy/api/bitmex/vnbitmex.py @@ -4,6 +4,7 @@ import hashlib import hmac import json import ssl +import traceback from queue import Queue, Empty from multiprocessing.dummy import Pool @@ -84,14 +85,20 @@ class BitmexRestApi(object): url = REST_HOST + path expires = int(time() + 5) + rq = requests.Request(url=url, data=postdict) + p = rq.prepare() + header = copy(self.header) header['api-expires'] = str(expires) header['api-key'] = self.apiKey - header['api-signature'] = self.generateSignature(method, path, expires, params, postdict) + header['api-signature'] = self.generateSignature(method, path, expires, params, body=p.body) # 使用长连接的session，比短连接的耗时缩短80% session = self.sessionDict[i] - resp = session.request(method, url, headers=header, params=params, json=postdict) + resp = session.request(method, url, headers=header, params=params, data=postdict) + + #resp = requests.request(method, url, headers=header, params=params, data=postdict) + code = resp.status_code d = resp.json() @@ -113,21 +120,17 @@ class BitmexRestApi(object): pass #---------------------------------------------------------------------- - def generateSignature(self, method, path, expires, params=None, postdict=None): + def generateSignature(self, method, path, expires, params=None, body=None): """生成签名""" # 对params在HTTP报文路径中，以请求字段方式序列化 if params: query = urlencode(sorted(params.items())) path = path + '?' + query - - msg = method + '/api/v1' + path + str(expires) - # 对postdict在HTTP报文体中，是作为表单内容以json序列化 - # 因此这里需要采用同样方式，不能直接用str()来转换 - if postdict: - buf = json.dumps(postdict) - msg += buf + if body is None: + body = '' + msg = method + '/api/v1' + path + str(expires) + body signature = hmac.new(self.apiSecret, msg, digestmod=hashlib.sha256).hexdigest() return signature @@ -171,7 +174,7 @@ class BitmexWebsocketApi(object): #---------------------------------------------------------------------- def reconnect(self): """重连""" - self.ws = websocket.create_connection(WEBSOCKET_V2_URL, + self.ws = websocket.create_connection(WEBSOCKET_HOST, sslopt={'cert_reqs': ssl.CERT_NONE}) self.onConnect() @@ -205,7 +208,11 @@ class BitmexWebsocketApi(object): #---------------------------------------------------------------------- def onData(self, data): """数据回调""" - print data + print '-' * 30 + l = data.keys() + l.sort() + for k in l: + print k, data[k] #---------------------------------------------------------------------- def onError(self, msg): @@ -226,22 +233,39 @@ if __name__ == '__main__': API_SECRET = '' ## REST测试 - #rest = BitmexRestApi() - #rest.init(API_KEY, API_SECRET) - #rest.start(3) + rest = BitmexRestApi() + rest.init(API_KEY, API_SECRET) + rest.start(3) - #data = { - #'token': 'test' - #} - #rest.addReq('POST', '/confirmEmail', rest.onData, postdict=data) + data = { + 'symbol': 'XBTUSD' + } + rest.addReq('POST', '/position/isolate', rest.onData, postdict=data) #rest.addReq('GET', '/instrument', rest.onData) # WEBSOCKET测试 - ws = BitmexWebsocketApi() - ws.start() + #ws = BitmexWebsocketApi() + #ws.start() - req = {"op": "subscribe", "args": ['quote']} - ws.sendReq(req) + #req = {"op": "subscribe", "args": ['order', 'trade', 'position', 'margin']} + #ws.sendReq(req) + + #expires = int(time()) + #method = 'GET' + #path = '/realtime' + #msg = method + path + str(expires) + #signature = hmac.new(API_SECRET, msg, digestmod=hashlib.sha256).hexdigest() + + #req = { + #'op': 'authKey', + #'args': [API_KEY, expires, signature] + #} + + #ws.sendReq(req) + + #req = {"op": "subscribe", "args": ['order', 'execution', 'position', 'margin']} + #req = {"op": "subscribe", "args": ['instrument']} + #ws.sendReq(req) raw_input() diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py index dd9178bd..1e622ad4 100644 --- a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -157,7 +157,7 @@ class GatewayApi(BitfinexApi): self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 - self.orderId = 0 + self.orderId = 1000000 self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId self.apiKey = '' @@ -245,8 +245,6 @@ class GatewayApi(BitfinexApi): #---------------------------------------------------------------------- def sendOrder(self, orderReq): """""" - orderReq.volume = 0.02 - self.orderId += 1 orderId = self.date + self.orderId vtOrderID = '.'.join([self.gatewayName, str(orderId)]) @@ -468,7 +466,7 @@ class GatewayApi(BitfinexApi): pos.exchange = EXCHANGE_BITFINEX pos.vtSymbol = '.'.join([pos.vtSymbol, pos.direction]) pos.direction = DIRECTION_LONG - pos.vtPositionName = '.'.join([pos.symbol, pos.direction]) + pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) pos.position = float(data[2]) if data[-1] is None: diff --git a/vnpy/trader/gateway/bitmexGateway/__init__.py b/vnpy/trader/gateway/bitmexGateway/__init__.py new file mode 100644 index 00000000..4c149c8f --- /dev/null +++ b/vnpy/trader/gateway/bitmexGateway/__init__.py @@ -0,0 +1,10 @@ +# encoding: UTF-8 + +from vnpy.trader import vtConstant +from .bitmexGateway import BitmexGateay + +gatewayClass = BitmexGateay +gatewayName = 'BITMEX' +gatewayDisplayName = 'BITMEX' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = False \ No newline at end of file diff --git a/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py b/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py new file mode 100644 index 00000000..2fd9b262 --- /dev/null +++ b/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py @@ -0,0 +1,536 @@ +# encoding: UTF-8 + +''' +vnpy.api.bitmex的gateway接入 +''' + +import os +import json +import hashlib +import hmac +import time +import traceback +from datetime import datetime, timedelta +from copy import copy +from math import pow + +from vnpy.api.bitmex import BitmexRestApi, BitmexWebsocketApi +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath, getTempPath + +# 委托状态类型映射 +statusMapReverse = {} +statusMapReverse['New'] = STATUS_NOTTRADED +statusMapReverse['Partially filled'] = STATUS_PARTTRADED +statusMapReverse['Filled'] = STATUS_ALLTRADED +statusMapReverse['Canceled'] = STATUS_CANCELLED +statusMapReverse['Rejected'] = STATUS_REJECTED + +# 方向映射 +directionMap = {} +directionMap[DIRECTION_LONG] = 'Buy' +directionMap[DIRECTION_SHORT] = 'Sell' +directionMapReverse = {v:k for k,v in directionMap.items()} + +# 价格类型映射 +priceTypeMap = {} +priceTypeMap[PRICETYPE_LIMITPRICE] = 'Limit' +priceTypeMap[PRICETYPE_MARKETPRICE] = 'Market' + + + +######################################################################## +class BitmexGateay(VtGateway): + """Bitfinex接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName=''): + """Constructor""" + super(BitmexGateay, self).__init__(eventEngine, gatewayName) + + self.restApi = RestApi(self) + self.wsApi = WebsocketApi(self) + + self.qryEnabled = False # 是否要启动循环查询 + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + try: + f = file(self.filePath) + except IOError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'读取连接配置出错，请检查' + self.onLog(log) + return + + # 解析json文件 + setting = json.load(f) + try: + apiKey = str(setting['apiKey']) + apiSecret = str(setting['apiSecret']) + sessionCount = int(setting['sessionCount']) + symbols = setting['symbols'] + except KeyError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'连接配置缺少字段，请检查' + self.onLog(log) + return + + # 创建行情和交易接口对象 + self.restApi.connect(apiKey, apiSecret, sessionCount) + self.wsApi.connect(apiKey, apiSecret, symbols) + + # 初始化并启动查询 + #self.initQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.restApi.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.restApi.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.restApi.close() + self.wsApi.close() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.queryAccount] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 1 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class RestApi(BitmexRestApi): + """REST API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(RestApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.orderId = 1000000 + self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId + + #---------------------------------------------------------------------- + def connect(self, apiKey, apiSecret, sessionCount): + """连接服务器""" + self.init(apiKey, apiSecret) + self.start(sessionCount) + + self.writeLog(u'REST API启动成功') + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """""" + self.orderId += 1 + orderId = self.date + self.orderId + vtOrderID = '.'.join([self.gatewayName, str(orderId)]) + + req = { + 'symbol': orderReq.symbol, + 'side': directionMap[orderReq.direction], + 'ordType': priceTypeMap[orderReq.priceType], + 'price': orderReq.price, + 'orderQty': orderReq.volume, + 'clOrdID': str(orderId) + } + self.addReq('POST', '/order', self.onSendOrder, postdict=req) + + return vtOrderID + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """""" + orderID = cancelOrderReq.orderID + if orderID.isdigit(): + req = {'clOrdID': orderID} + else: + req = {'orderID': orderID} + + self.addReq('DELETE', '/order', self.onCancelOrder, params=req) + + #---------------------------------------------------------------------- + def onSendOrder(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onCancelOrder(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onError(self, code, error): + """""" + e = VtErrorData() + e.errorID = code + e.errorID = error + self.gateway.onError(e) + + +######################################################################## +class WebsocketApi(BitmexWebsocketApi): + """""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(WebsocketApi, self).__init__() + + self.gateway = gateway + self.gatewayName = gateway.gatewayName + + self.apiKey = '' + self.apiSecret = '' + + self.callbackDict = { + 'trade': self.onTick, + 'orderBook10': self.onDepth, + 'execution': self.onTrade, + 'order': self.onOrder, + 'position': self.onPosition, + 'margin': self.onAccount, + 'instrument': self.onContract + } + + self.tickDict = {} + self.accountDict = {} + self.orderDict = {} + self.tradeSet = set() + + #---------------------------------------------------------------------- + def connect(self, apiKey, apiSecret, symbols): + """""" + self.apiKey = apiKey + self.apiSecret = apiSecret + + for symbol in symbols: + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = symbol + tick.exchange = EXCHANGE_BITMEX + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + self.tickDict[symbol] = tick + + self.start() + + #---------------------------------------------------------------------- + def onConnect(self): + """连接回调""" + self.writeLog(u'Websocket API连接成功') + self.authenticate() + + #---------------------------------------------------------------------- + def onData(self, data): + """数据回调""" + if 'request' in data: + req = data['request'] + success = data['success'] + + if success: + if req['op'] == 'authKey': + self.writeLog(u'Websocket API验证授权成功') + self.subscribe() + + elif 'table' in data: + name = data['table'] + callback = self.callbackDict[name] + + if isinstance(data['data'], list): + for d in data['data']: + callback(d) + else: + callback(data['data']) + + #if data['action'] == 'update' and data['table'] != 'instrument': + #callback(data['data']) + #elif data['action'] == 'partial': + #for d in data['data']: + #callback(d) + + + #---------------------------------------------------------------------- + def onError(self, msg): + """错误回调""" + self.writeLog(msg) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def authenticate(self): + """""" + expires = int(time.time()) + method = 'GET' + path = '/realtime' + msg = method + path + str(expires) + signature = hmac.new(self.apiSecret, msg, digestmod=hashlib.sha256).hexdigest() + + req = { + 'op': 'authKey', + 'args': [self.apiKey, expires, signature] + } + self.sendReq(req) + + #---------------------------------------------------------------------- + def subscribe(self): + """""" + req = { + 'op': 'subscribe', + 'args': ['instrument', 'trade', 'orderBook10', 'execution', 'order', 'position', 'margin'] + } + self.sendReq(req) + + #---------------------------------------------------------------------- + def onTick(self, d): + """""" + symbol = d['symbol'] + + tick = self.tickDict.get(symbol, None) + if not tick: + return + + tick.lastPrice = d['price'] + + date, time = str(d['timestamp']).split('T') + tick.date = date.replace('-', '') + tick.time = time.replace('Z', '') + + self.gateway.onTick(tick) + + #---------------------------------------------------------------------- + def onDepth(self, d): + """""" + symbol = d['symbol'] + tick = self.tickDict.get(symbol, None) + if not tick: + return + + for n, buf in enumerate(d['bids'][:5]): + price, volume = buf + tick.__setattr__('bidPrice%s' %(n+1), price) + tick.__setattr__('bidVolume%s' %(n+1), volume) + + for n, buf in enumerate(d['asks'][:5]): + price, volume = buf + tick.__setattr__('askPrice%s' %(n+1), price) + tick.__setattr__('askVolume%s' %(n+1), volume) + + date, time = str(d['timestamp']).split('T') + tick.date = date.replace('-', '') + tick.time = time.replace('Z', '') + + self.gateway.onTick(tick) + + #---------------------------------------------------------------------- + def onTrade(self, d): + """""" + if not d['lastQty']: + return + + tradeID = d['execID'] + if tradeID in self.tradeSet: + return + self.tradeSet.add(tradeID) + + trade = VtTradeData() + trade.gatewayName = self.gatewayName + + trade.symbol = d['symbol'] + trade.exchange = EXCHANGE_BITMEX + trade.vtSymbol = '.'.join([trade.symbol, trade.exchange]) + if d['clOrdID']: + orderID = d['clOrdID'] + else: + orderID = d['orderID'] + trade.orderID = orderID + trade.vtOrderID = '.'.join([trade.gatewayName, trade.orderID]) + + + trade.tradeID = tradeID + trade.vtTradeID = '.'.join([trade.gatewayName, trade.tradeID]) + + trade.direction = directionMapReverse[d['side']] + trade.price = d['lastPx'] + trade.volume = d['lastQty'] + trade.tradeTime = d['timestamp'][0:10].replace('-', '') + + self.gateway.onTrade(trade) + + #---------------------------------------------------------------------- + def onOrder(self, d): + """""" + if 'ordStatus' not in d: + return + + sysID = d['orderID'] + if sysID in self.orderDict: + order = self.orderDict[sysID] + else: + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = d['symbol'] + order.exchange = EXCHANGE_BITMEX + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + if d['clOrdID']: + orderID = d['clOrdID'] + else: + orderID = sysID + order.orderID = orderID + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + + order.direction = directionMapReverse[d['side']] + + if d['price']: + order.price = d['price'] + + order.totalVolume = d['orderQty'] + order.orderTime = d['timestamp'][0:10].replace('-', '') + + self.orderDict[sysID] = order + + order.tradedVolume = d.get('cumQty', order.tradedVolume) + order.status = statusMapReverse.get(d['ordStatus'], STATUS_UNKNOWN) + + self.gateway.onOrder(order) + + #---------------------------------------------------------------------- + def onPosition(self, d): + """""" + pos = VtPositionData() + pos.gatewayName = self.gatewayName + + pos.symbol = d['symbol'] + pos.exchange = EXCHANGE_BITMEX + pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) + + pos.direction = DIRECTION_NET + pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) + pos.position = d['currentQty'] + pos.frozen = 0 # 期货没有冻结概念，会直接反向开仓 + + self.gateway.onPosition(pos) + + #---------------------------------------------------------------------- + def onAccount(self, d): + """""" + accoundID = str(d['account']) + + if accoundID in self.accountDict: + account = self.accountDict[accoundID] + else: + account = VtAccountData() + account.gatewayName = self.gatewayName + + account.accountID = accoundID + account.vtAccountID = '.'.join([account.gatewayName, account.accountID]) + + self.accountDict[accoundID] = account + + account.balance = d.get('marginBalance', account.balance) + account.available = d.get('availableMargin', account.available) + account.closeProfit = d.get('realisedPnl', account.closeProfit) + account.positionProfit = d.get('unrealisedPnl', account.positionProfit) + + self.gateway.onAccount(account) + + #---------------------------------------------------------------------- + def onContract(self, d): + """""" + if 'tickSize' not in d: + return + + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = d['symbol'] + contract.exchange = EXCHANGE_BITMEX + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = contract.vtSymbol + contract.productClass = PRODUCT_FUTURES + contract.priceTick = d['tickSize'] + contract.size = d['multiplier'] + + self.gateway.onContract(contract) + + +#---------------------------------------------------------------------- +def printDict(d): + """""" + print '-' * 30 + l = d.keys() + l.sort() + for k in l: + print k, d[k] + \ No newline at end of file diff --git a/vnpy/trader/language/chinese/constant.py b/vnpy/trader/language/chinese/constant.py index 0297f79a..e71970db 100644 --- a/vnpy/trader/language/chinese/constant.py +++ b/vnpy/trader/language/chinese/constant.py @@ -93,6 +93,7 @@ EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所 EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 +EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 diff --git a/vnpy/trader/language/english/constant.py b/vnpy/trader/language/english/constant.py index d62757e7..0676c8f5 100644 --- a/vnpy/trader/language/english/constant.py +++ b/vnpy/trader/language/english/constant.py @@ -89,6 +89,7 @@ EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所 EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 +EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 From a7f5e8307b3d7cf9a4dfad18a4798da3dc027ab1 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 18 Jun 2018 21:20:24 +0800 Subject: [PATCH 059/135] =?UTF-8?q?[Mod]=E5=A4=84=E7=90=86=E9=83=A8?= =?UTF-8?q?=E5=88=86FutuOpenD=E7=9A=84Python3=E5=85=BC=E5=AE=B9=E6=80=A7?= =?UTF-8?q?=E9=97=AE=E9=A2=98?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../gateway/futuGateway/Futu_connect.json | 2 +- .../trader/gateway/futuGateway/futuGateway.py | 28 +++++-------------- vnpy/trader/uiBasicWidget.py | 2 +- 3 files changed, 9 insertions(+), 23 deletions(-) diff --git a/vnpy/trader/gateway/futuGateway/Futu_connect.json b/vnpy/trader/gateway/futuGateway/Futu_connect.json index d26a492d..723cefb8 100644 --- a/vnpy/trader/gateway/futuGateway/Futu_connect.json +++ b/vnpy/trader/gateway/futuGateway/Futu_connect.json @@ -3,5 +3,5 @@ "port": 11111, "market": "HK", "password": "123123", - "env": 1 + "env": "REAL" } \ No newline at end of file diff --git a/vnpy/trader/gateway/futuGateway/futuGateway.py b/vnpy/trader/gateway/futuGateway/futuGateway.py index d557abcb..f4a5431a 100644 --- a/vnpy/trader/gateway/futuGateway/futuGateway.py +++ b/vnpy/trader/gateway/futuGateway/futuGateway.py @@ -12,14 +12,9 @@ from datetime import datetime from copy import copy import futuquant as ft -from futuquant import (RET_ERROR, RET_OK, PriceRegularMode, +from futuquant import (RET_ERROR, RET_OK, TrdEnv, StockQuoteHandlerBase, OrderBookHandlerBase, TradeOrderHandlerBase, TradeDealHandlerBase) - -#from futuquant.open_context import (RET_ERROR, RET_OK, PriceRegularMode, - #StockQuoteHandlerBase, OrderBookHandlerBase, - #USTradeOrderHandlerBase, USTradeDealHandlerBase, - #HKTradeOrderHandlerBase, HKTradeDealHandlerBase) from vnpy.trader.vtGateway import * from vnpy.trader.vtConstant import GATEWAYTYPE_INTERNATIONAL @@ -182,15 +177,11 @@ class FutuGateway(VtGateway): # 连接交易接口 if self.market == 'US': self.tradeCtx = ft.OpenUSTradeContext(self.host, self.port) - OrderHandlerBase = USTradeOrderHandlerBase - DealHandlerBase = USTradeDealHandlerBase else: self.tradeCtx = ft.OpenHKTradeContext(self.host, self.port) - OrderHandlerBase = HKTradeOrderHandlerBase - DealHandlerBase = HKTradeDealHandlerBase - + # 继承实现处理器类 - class OrderHandler(OrderHandlerBase): + class OrderHandler(TradeOrderHandlerBase): """委托处理器""" gateway = self # 缓存Gateway对象 @@ -201,7 +192,7 @@ class FutuGateway(VtGateway): self.gateway.processOrder(content) return RET_OK, content - class DealHandler(DealHandlerBase): + class DealHandler(TradeDealHandlerBase): """订单簿处理器""" gateway = self @@ -223,11 +214,6 @@ class FutuGateway(VtGateway): # 启动交易接口 self.tradeCtx.start() - # 订阅委托推送 - self.tradeCtx.subscribe_order_deal_push([], - order_deal_push=True, - envtype=self.env) - self.writeLog(u'交易接口连接成功') #---------------------------------------------------------------------- @@ -306,7 +292,7 @@ class FutuGateway(VtGateway): #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" - code, data = self.tradeCtx.accinfo_query(self.env) + code, data = self.tradeCtx.accinfo_query(trd_env=self.env, acc_id=0) if code: self.writeError(code, u'查询账户资金失败：%s' %data) @@ -327,7 +313,7 @@ class FutuGateway(VtGateway): #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" - code, data = self.tradeCtx.position_list_query(envtype=self.env) + code, data = self.tradeCtx.position_list_query(trd_env=self.env, acc_id=0) if code: self.writeError(code, u'查询持仓失败：%s' %data) @@ -356,7 +342,7 @@ class FutuGateway(VtGateway): #---------------------------------------------------------------------- def qryOrder(self): """查询委托""" - code, data = self.tradeCtx.order_list_query("", envtype=self.env) + code, data = self.tradeCtx.order_list_query("", trd_env=self.env) if code: self.writeError(code, u'查询委托失败：%s' %data) diff --git a/vnpy/trader/uiBasicWidget.py b/vnpy/trader/uiBasicWidget.py index 4cde79f1..138e9ccf 100644 --- a/vnpy/trader/uiBasicWidget.py +++ b/vnpy/trader/uiBasicWidget.py @@ -1144,7 +1144,7 @@ class ContractMonitor(BasicMonitor): """显示所有合约数据""" l = self.mainEngine.getAllContracts() d = {'.'.join([contract.exchange, contract.symbol]):contract for contract in l} - l2 = d.keys() + l2 = list(d.keys()) l2.sort(reverse=True) self.setRowCount(len(l2)) From 2742de7d4b34c40f43adc573ce3173d437a59134 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 19 Jun 2018 13:48:52 +0800 Subject: [PATCH 060/135] =?UTF-8?q?[Fix]=E4=BF=AE=E5=A4=8DTWAP=E6=97=A5?= =?UTF-8?q?=E5=BF=97=E8=BE=93=E5=87=BA=E6=A0=BC=E5=BC=8F=E5=8C=96typo?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/algoTrading/twapAlgo.py | 2 +- vnpy/trader/gateway/bitmexGateway/BITMEX_connect.json | 6 ++++++ vnpy/trader/gateway/huobiGateway/huobiGateway.py | 7 ++++--- vnpy/trader/language/chinese/constant.py | 1 + vnpy/trader/language/english/constant.py | 1 + 5 files changed, 13 insertions(+), 4 deletions(-) create mode 100644 vnpy/trader/gateway/bitmexGateway/BITMEX_connect.json diff --git a/vnpy/trader/app/algoTrading/twapAlgo.py b/vnpy/trader/app/algoTrading/twapAlgo.py index d3727136..a2c309c5 100644 --- a/vnpy/trader/app/algoTrading/twapAlgo.py +++ b/vnpy/trader/app/algoTrading/twapAlgo.py @@ -106,7 +106,7 @@ class TwapAlgo(AlgoTemplate): # 发出委托 self.buy(self.vtSymbol, price, size) - self.writeLog(u'委托买入%s，数量%，价格%s' %(self.vtSymbol, self.orderSize, price)) + self.writeLog(u'委托买入%s，数量%s，价格%s' %(self.vtSymbol, self.orderSize, price)) # 卖出 if self.direction == DIRECTION_SHORT: # 市场卖1价大于目标价 diff --git a/vnpy/trader/gateway/bitmexGateway/BITMEX_connect.json b/vnpy/trader/gateway/bitmexGateway/BITMEX_connect.json new file mode 100644 index 00000000..4aef1612 --- /dev/null +++ b/vnpy/trader/gateway/bitmexGateway/BITMEX_connect.json @@ -0,0 +1,6 @@ +{ + "apiKey": "", + "apiSecret": "", + "sessionCount": 3, + "symbols": ["XBTUSD", "EOSM18", "XRPM18"] +} \ No newline at end of file diff --git a/vnpy/trader/gateway/huobiGateway/huobiGateway.py b/vnpy/trader/gateway/huobiGateway/huobiGateway.py index 1d383342..7a0c837f 100644 --- a/vnpy/trader/gateway/huobiGateway/huobiGateway.py +++ b/vnpy/trader/gateway/huobiGateway/huobiGateway.py @@ -600,13 +600,14 @@ class HuobiTradeApi(TradeApi): if d['canceled-at']: order.cancelTime = datetime.fromtimestamp(d['canceled-at']/1000).strftime('%H:%M:%S') - newTradedVolume = d['field-amount'] + newTradedVolume = float(d['field-amount']) newStatus = statusMapReverse.get(d['state'], STATUS_UNKNOWN) if newTradedVolume != order.tradedVolume or newStatus != order.status: updated = True - order.tradedVolume = float(newTradedVolume) - order.status = newStatus + + order.tradedVolume = newTradedVolume + order.status = newStatus # 只推送有更新的数据 if updated: diff --git a/vnpy/trader/language/chinese/constant.py b/vnpy/trader/language/chinese/constant.py index e71970db..3bd294bc 100644 --- a/vnpy/trader/language/chinese/constant.py +++ b/vnpy/trader/language/chinese/constant.py @@ -94,6 +94,7 @@ EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所 +EXCHANGE_FCOIN = 'FCOIN' # FCoin比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 diff --git a/vnpy/trader/language/english/constant.py b/vnpy/trader/language/english/constant.py index 0676c8f5..852cfc56 100644 --- a/vnpy/trader/language/english/constant.py +++ b/vnpy/trader/language/english/constant.py @@ -90,6 +90,7 @@ EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所 +EXCHANGE_FCOIN = 'FCOIN' # FCoin比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 From eabcee9eed40bdeba1ab2f24a471b9cb8b0d39a3 Mon Sep 17 00:00:00 2001 From: Si Feng Date: Wed, 20 Jun 2018 01:30:55 +0800 Subject: [PATCH 061/135] =?UTF-8?q?=E5=BF=BD=E7=95=A5pyenv=E8=87=AA?= =?UTF-8?q?=E5=8A=A8=E5=88=9B=E5=BB=BA=E7=9A=84.python-version=E6=96=87?= =?UTF-8?q?=E4=BB=B6?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .gitignore | 1 + 1 file changed, 1 insertion(+) diff --git a/.gitignore b/.gitignore index 0c5cb077..a218a899 100644 --- a/.gitignore +++ b/.gitignore @@ -46,6 +46,7 @@ vn.ctp/build/* vn.lts/build/* .idea .vscode +.python-version .gitignore vn.trader/ctaAlgo/data/* From 6b85efa3d9ca831b47d82812e3ab4b465ea5fd85 Mon Sep 17 00:00:00 2001 From: cclauss Date: Wed, 20 Jun 2018 09:29:28 +0200 Subject: [PATCH 062/135] Modernize recent changes --- vnpy/api/bitmex/vnbitmex.py | 27 ++++++++++--------- vnpy/trader/app/algoTrading/dmaAlgo.py | 15 ++++++----- vnpy/trader/app/algoTrading/stopAlgo.py | 11 ++++---- .../gateway/bitmexGateway/bitmexGateway.py | 5 ++-- 4 files changed, 31 insertions(+), 27 deletions(-) diff --git a/vnpy/api/bitmex/vnbitmex.py b/vnpy/api/bitmex/vnbitmex.py index 91e5c303..962b0c33 100644 --- a/vnpy/api/bitmex/vnbitmex.py +++ b/vnpy/api/bitmex/vnbitmex.py @@ -1,5 +1,6 @@ # encoding: UTF-8 +from __future__ import print_function import hashlib import hmac import json @@ -14,6 +15,8 @@ from copy import copy from urllib import urlencode from threading import Thread +from six.moves import input + import requests import websocket @@ -138,14 +141,14 @@ class BitmexRestApi(object): #---------------------------------------------------------------------- def onError(self, code, error): """错误回调""" - print 'on error' - print code, error + print('on error') + print(code, error) #---------------------------------------------------------------------- def onData(self, data, reqid): """通用回调""" - print 'on data' - print data, reqid + print('on data') + print(data, reqid) ######################################################################## @@ -203,21 +206,21 @@ class BitmexWebsocketApi(object): #---------------------------------------------------------------------- def onConnect(self): """连接回调""" - print 'connected' + print('connected') #---------------------------------------------------------------------- def onData(self, data): """数据回调""" - print '-' * 30 + print('-' * 30) l = data.keys() l.sort() for k in l: - print k, data[k] + print(k, data[k]) #---------------------------------------------------------------------- def onError(self, msg): """错误回调""" - print msg + print(msg) #---------------------------------------------------------------------- def sendReq(self, req): @@ -265,8 +268,6 @@ if __name__ == '__main__': #req = {"op": "subscribe", "args": ['order', 'execution', 'position', 'margin']} #req = {"op": "subscribe", "args": ['instrument']} - #ws.sendReq(req) - - raw_input() - - \ No newline at end of file + #ws.sendReq(req) + + input() diff --git a/vnpy/trader/app/algoTrading/dmaAlgo.py b/vnpy/trader/app/algoTrading/dmaAlgo.py index fdb42a82..72c3bea4 100644 --- a/vnpy/trader/app/algoTrading/dmaAlgo.py +++ b/vnpy/trader/app/algoTrading/dmaAlgo.py @@ -12,6 +12,7 @@ from vnpy.trader.uiQt import QtWidgets from .algoTemplate import AlgoTemplate from .uiAlgoWidget import AlgoWidget, QtWidgets +from six import text_type STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED]) @@ -30,9 +31,9 @@ class DmaAlgo(AlgoTemplate): # 参数，强制类型转换，保证从CSV加载的配置正确 self.vtSymbol = str(setting['vtSymbol']) # 合约代码 - self.direction = unicode(setting['direction']) # 买卖 - self.offset = unicode(setting['offset']) # 开平 - self.priceType = unicode(setting['priceType']) # 价格类型 + self.direction = text_type(setting['direction']) # 买卖 + self.offset = text_type(setting['offset']) # 开平 + self.priceType = text_type(setting['priceType']) # 价格类型 self.price = float(setting['price']) # 价格 self.totalVolume = float(setting['totalVolume']) # 数量 @@ -178,12 +179,12 @@ class DmaWidget(AlgoWidget): setting = OrderedDict() setting['templateName'] = DmaAlgo.templateName setting['vtSymbol'] = str(self.lineSymbol.text()) - setting['direction'] = unicode(self.comboDirection.currentText()) + setting['direction'] = text_type(self.comboDirection.currentText()) setting['price'] = float(self.spinPrice.value()) setting['totalVolume'] = float(self.spinVolume.value()) - setting['priceType'] = unicode(self.comboPriceType.currentText()) - setting['offset'] = unicode(self.comboOffset.currentText()) + setting['priceType'] = text_type(self.comboPriceType.currentText()) + setting['offset'] = text_type(self.comboOffset.currentText()) return setting - \ No newline at end of file + diff --git a/vnpy/trader/app/algoTrading/stopAlgo.py b/vnpy/trader/app/algoTrading/stopAlgo.py index 3b2e662f..cb54bf4c 100644 --- a/vnpy/trader/app/algoTrading/stopAlgo.py +++ b/vnpy/trader/app/algoTrading/stopAlgo.py @@ -10,6 +10,7 @@ from vnpy.trader.uiQt import QtWidgets from .algoTemplate import AlgoTemplate from .uiAlgoWidget import AlgoWidget, QtWidgets +from six import text_type ######################################################################## @@ -25,10 +26,10 @@ class StopAlgo(AlgoTemplate): # 参数，强制类型转换，保证从CSV加载的配置正确 self.vtSymbol = str(setting['vtSymbol']) # 合约代码 - self.direction = unicode(setting['direction']) # 买卖 + self.direction = text_type(setting['direction']) # 买卖 self.stopPrice = float(setting['stopPrice']) # 触发价格 self.totalVolume = float(setting['totalVolume']) # 数量 - self.offset = unicode(setting['offset']) # 开平 + self.offset = text_type(setting['offset']) # 开平 self.priceAdd = float(setting['priceAdd']) # 下单时的超价 self.vtOrderID = '' # 委托号 @@ -195,12 +196,12 @@ class StopWidget(AlgoWidget): setting = OrderedDict() setting['templateName'] = StopAlgo.templateName setting['vtSymbol'] = str(self.lineSymbol.text()) - setting['direction'] = unicode(self.comboDirection.currentText()) + setting['direction'] = text_type(self.comboDirection.currentText()) setting['stopPrice'] = float(self.spinPrice.value()) setting['totalVolume'] = float(self.spinVolume.value()) - setting['offset'] = unicode(self.comboOffset.currentText()) + setting['offset'] = text_type(self.comboOffset.currentText()) setting['priceAdd'] = float(self.spinPriceAdd.value()) return setting - \ No newline at end of file + diff --git a/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py b/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py index 2fd9b262..b8803692 100644 --- a/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py +++ b/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py @@ -3,6 +3,7 @@ ''' vnpy.api.bitmex的gateway接入 ''' +from __future__ import print_function import os import json @@ -528,9 +529,9 @@ class WebsocketApi(BitmexWebsocketApi): #---------------------------------------------------------------------- def printDict(d): """""" - print '-' * 30 + print('-' * 30) l = d.keys() l.sort() for k in l: - print k, d[k] + print(k, d[k]) \ No newline at end of file From 10e9be7c03d1c47c6d80ad6c933cf58ca5c977cd Mon Sep 17 00:00:00 2001 From: cclauss Date: Wed, 20 Jun 2018 09:33:47 +0200 Subject: [PATCH 063/135] Update stopAlgo.py --- vnpy/trader/app/algoTrading/stopAlgo.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/vnpy/trader/app/algoTrading/stopAlgo.py b/vnpy/trader/app/algoTrading/stopAlgo.py index cb54bf4c..a08d09d7 100644 --- a/vnpy/trader/app/algoTrading/stopAlgo.py +++ b/vnpy/trader/app/algoTrading/stopAlgo.py @@ -26,10 +26,10 @@ class StopAlgo(AlgoTemplate): # 参数，强制类型转换，保证从CSV加载的配置正确 self.vtSymbol = str(setting['vtSymbol']) # 合约代码 - self.direction = text_type(setting['direction']) # 买卖 + self.direction = text_type(setting['direction']) # 买卖 self.stopPrice = float(setting['stopPrice']) # 触发价格 self.totalVolume = float(setting['totalVolume']) # 数量 - self.offset = text_type(setting['offset']) # 开平 + self.offset = text_type(setting['offset']) # 开平 self.priceAdd = float(setting['priceAdd']) # 下单时的超价 self.vtOrderID = '' # 委托号 From ecb86676c17c2987e10194a2820e2d5c0fd870c9 Mon Sep 17 00:00:00 2001 From: cclauss Date: Wed, 20 Jun 2018 09:34:19 +0200 Subject: [PATCH 064/135] Update dmaAlgo.py --- vnpy/trader/app/algoTrading/dmaAlgo.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/vnpy/trader/app/algoTrading/dmaAlgo.py b/vnpy/trader/app/algoTrading/dmaAlgo.py index 72c3bea4..2f0736f2 100644 --- a/vnpy/trader/app/algoTrading/dmaAlgo.py +++ b/vnpy/trader/app/algoTrading/dmaAlgo.py @@ -31,9 +31,9 @@ class DmaAlgo(AlgoTemplate): # 参数，强制类型转换，保证从CSV加载的配置正确 self.vtSymbol = str(setting['vtSymbol']) # 合约代码 - self.direction = text_type(setting['direction']) # 买卖 - self.offset = text_type(setting['offset']) # 开平 - self.priceType = text_type(setting['priceType']) # 价格类型 + self.direction = text_type(setting['direction']) # 买卖 + self.offset = text_type(setting['offset']) # 开平 + self.priceType = text_type(setting['priceType']) # 价格类型 self.price = float(setting['price']) # 价格 self.totalVolume = float(setting['totalVolume']) # 数量 From 8db7b42f34f413a15eda7fd2c490ed7683277665 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 26 Jun 2018 23:56:50 +0800 Subject: [PATCH 065/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9E=E9=83=A8?= =?UTF-8?q?=E5=88=86=E5=9F=BA=E7=A1=80=E5=87=BD=E6=95=B0=E5=92=8C=E5=B8=B8?= =?UTF-8?q?=E9=87=8F?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- requirements.txt | 3 ++- vnpy/trader/app/algoTrading/algoTemplate.py | 5 +++++ vnpy/trader/language/chinese/constant.py | 4 +--- vnpy/trader/language/english/constant.py | 4 +--- 4 files changed, 9 insertions(+), 7 deletions(-) diff --git a/requirements.txt b/requirements.txt index 97bdf730..a22cf5c1 100644 --- a/requirements.txt +++ b/requirements.txt @@ -9,4 +9,5 @@ future flask-socketio flask-restful flask-cors -gevent-websocket \ No newline at end of file +gevent-websocket +pyjwt \ No newline at end of file diff --git a/vnpy/trader/app/algoTrading/algoTemplate.py b/vnpy/trader/app/algoTrading/algoTemplate.py index 92c2a9f4..ba044ec3 100644 --- a/vnpy/trader/app/algoTrading/algoTemplate.py +++ b/vnpy/trader/app/algoTrading/algoTemplate.py @@ -147,6 +147,11 @@ class AlgoTemplate(object): def getTick(self, vtSymbol): """""" return self.engine.getTick(self, vtSymbol) + + #---------------------------------------------------------------------- + def getContract(self, vtSymbol): + """""" + return self.engine.getContract(self, vtSymbol) #---------------------------------------------------------------------- def roundValue(self, value, change): diff --git a/vnpy/trader/language/chinese/constant.py b/vnpy/trader/language/chinese/constant.py index 3bd294bc..37417925 100644 --- a/vnpy/trader/language/chinese/constant.py +++ b/vnpy/trader/language/chinese/constant.py @@ -86,15 +86,13 @@ EXCHANGE_FXCM = 'FXCM' # FXCM外汇做市商 EXCHANGE_OKCOIN = 'OKCOIN' # OKCOIN比特币交易所 EXCHANGE_HUOBI = 'HUOBI' # 火币比特币交易所 EXCHANGE_LBANK = 'LBANK' # LBANK比特币交易所 -EXCHANGE_KORBIT = 'KORBIT' # KORBIT韩国交易所 EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所 EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所 -EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所 -EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所 EXCHANGE_FCOIN = 'FCOIN' # FCoin比特币交易所 +EXCHANGE_BIGONE = 'BIGONE' # BigOne比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 diff --git a/vnpy/trader/language/english/constant.py b/vnpy/trader/language/english/constant.py index 852cfc56..fe4d046f 100644 --- a/vnpy/trader/language/english/constant.py +++ b/vnpy/trader/language/english/constant.py @@ -82,15 +82,13 @@ EXCHANGE_FXCM = 'FXCM' # FXCM外汇做市商 EXCHANGE_OKCOIN = 'OKCOIN' # OKCOIN比特币交易所 EXCHANGE_HUOBI = 'HUOBI' # 火币比特币交易所 EXCHANGE_LBANK = 'LBANK' # LBANK比特币交易所 -EXCHANGE_KORBIT = 'KORBIT' # KORBIT韩国交易所 EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所 EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所 -EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所 -EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所 EXCHANGE_FCOIN = 'FCOIN' # FCoin比特币交易所 +EXCHANGE_BIGONE = 'BIGONE' # BigOne比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 From df89da1e6b5dab5446e859120799f0ae483435a0 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 2 Jul 2018 08:46:50 +0800 Subject: [PATCH 066/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9Eapi/vnfcoin?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/fcoin/__init__.py | 1 + vnpy/api/fcoin/vnfcoin.py | 292 +++++++++++++++++++++++++++++++++++++ 2 files changed, 293 insertions(+) create mode 100644 vnpy/api/fcoin/__init__.py create mode 100644 vnpy/api/fcoin/vnfcoin.py diff --git a/vnpy/api/fcoin/__init__.py b/vnpy/api/fcoin/__init__.py new file mode 100644 index 00000000..ac8a89bc --- /dev/null +++ b/vnpy/api/fcoin/__init__.py @@ -0,0 +1 @@ +from .vnfcoin import FcoinRestApi, FcoinWebsocketApi \ No newline at end of file diff --git a/vnpy/api/fcoin/vnfcoin.py b/vnpy/api/fcoin/vnfcoin.py new file mode 100644 index 00000000..84b24651 --- /dev/null +++ b/vnpy/api/fcoin/vnfcoin.py @@ -0,0 +1,292 @@ +# encoding: UTF-8 + +import hashlib +import hmac +import json +import ssl +import traceback +import base64 + +from queue import Queue, Empty +from multiprocessing.dummy import Pool +from time import time +from urlparse import urlparse +from copy import copy +from urllib import urlencode +from threading import Thread + +import requests +import websocket + + +REST_HOST = 'https://api.fcoin.com/v2' +WEBSOCKET_HOST = 'wss://api.fcoin.com/v2/ws' + + + + +######################################################################## +class FcoinRestApi(object): + """REST API""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.apiKey = '' + self.apiSecret = '' + + self.active = False + self.reqid = 0 + self.queue = Queue() + self.pool = None + self.sessionDict = {} # 会话对象字典 + + #---------------------------------------------------------------------- + def init(self, apiKey, apiSecret): + """初始化""" + self.apiKey = str(apiKey) + self.apiSecret = str(apiSecret) + + #---------------------------------------------------------------------- + def start(self, n=10): + """启动""" + if self.active: + return + + self.active = True + self.pool = Pool(n) + self.pool.map_async(self.run, range(n)) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.active = False + + if self.pool: + self.pool.close() + self.pool.join() + + #---------------------------------------------------------------------- + def addReq(self, method, path, callback, params=None, postdict=None): + """添加请求""" + self.reqid += 1 + req = (method, path, callback, params, postdict, self.reqid) + self.queue.put(req) + return self.reqid + + #---------------------------------------------------------------------- + def processReq(self, req, i): + """处理请求""" + method, path, callback, params, postdict, reqid = req + url = REST_HOST + path + timestamp = str(int(time()) * 1000) + + header = {} + header['FC-ACCESS-TIMESTAMP'] = timestamp + header['FC-ACCESS-KEY'] = self.apiKey + header['FC-ACCESS-SIGNATURE'] = self.generateSignature(method, url, timestamp, params, postdict) + + try: + # 使用长连接的session，比短连接的耗时缩短80% + session = self.sessionDict[i] + resp = session.request(method, url, headers=header, params=params, json=postdict) + #resp = requests.request(method, url, headers=header, params=params, data=postdict) + + #if method != 'GET': + #print '-' * 30 + #print 'method', method + #print 'url', url + #print 'header', header + #print 'params', params + #print 'postdict', postdict + + code = resp.status_code + d = resp.json() + + if code == 200: + callback(d, reqid) + else: + self.onError(code, d) + except Exception as e: + self.onError(type(e), e.message) + + #---------------------------------------------------------------------- + def run(self, i): + """连续运行""" + self.sessionDict[i] = requests.Session() + + while self.active: + try: + req = self.queue.get(timeout=1) + self.processReq(req, i) + except Empty: + pass + + #---------------------------------------------------------------------- + def generateSignature(self, method, path, timestamp, params=None, postdict=None): + """生成签名""" + # 对params在HTTP报文路径中，以请求字段方式序列化 + if params: + query = urlencode(sorted(params.items())) + path = path + '?' + query + + if postdict: + post = urlencode(sorted(postdict.items())) + else: + post = '' + + msg = method + path + timestamp + post + msg = base64.b64encode(msg) + + signature = hmac.new(self.apiSecret, msg, digestmod=hashlib.sha1).digest() + signature = base64.b64encode(signature) + + return signature + + #---------------------------------------------------------------------- + def onError(self, code, error): + """错误回调""" + print 'on error' + print code, error + + #---------------------------------------------------------------------- + def onData(self, data, reqid): + """通用回调""" + print 'on data' + print data, reqid + + +######################################################################## +class FcoinWebsocketApi(object): + """Websocket API""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.ws = None + self.thread = None + self.active = False + + #---------------------------------------------------------------------- + def start(self): + """启动""" + self.ws = websocket.create_connection(WEBSOCKET_HOST, + sslopt={'cert_reqs': ssl.CERT_NONE}) + + self.active = True + self.thread = Thread(target=self.run) + self.thread.start() + + self.onConnect() + + #---------------------------------------------------------------------- + def reconnect(self): + """重连""" + self.ws = websocket.create_connection(WEBSOCKET_HOST, + sslopt={'cert_reqs': ssl.CERT_NONE}) + + self.onConnect() + + #---------------------------------------------------------------------- + def run(self): + """运行""" + while self.active: + try: + stream = self.ws.recv() + data = json.loads(stream) + self.onData(data) + except: + msg = traceback.format_exc() + self.onError(msg) + self.reconnect() + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.active = False + + if self.thread: + self.thread.join() + + #---------------------------------------------------------------------- + def onConnect(self): + """连接回调""" + print 'connected' + + #---------------------------------------------------------------------- + def onData(self, data): + """数据回调""" + print '-' * 30 + l = data.keys() + l.sort() + for k in l: + print k, data[k] + + #---------------------------------------------------------------------- + def onError(self, msg): + """错误回调""" + print msg + + #---------------------------------------------------------------------- + def sendReq(self, req): + """发出请求""" + self.ws.send(json.dumps(req)) + + + + + +if __name__ == '__main__': + from datetime import datetime + from time import sleep + + API_KEY = '88893f839fbd49f4b5fcb03e7c15c015' + API_SECRET = 'ef383295cf4e4c128e6d18d7e9564b12' + + # REST测试 + rest = FcoinRestApi() + rest.init(API_KEY, API_SECRET) + rest.start(3) + + #rest.addReq('GET', '/accounts/balance', rest.onData) + + # 查委托 + #states = ['submitted', 'partial_filled', 'partial_canceled', + #'filled', 'canceled', 'pending_cancel'] + #req = { + #'symbol': 'ethusdt', + #'start': datetime.now().strftime('%Y%m%d'), + #'states': 'submitted', + #'limit': 500 + #} + + #for i in range(10): + #rest.addReq('GET', '/orders', rest.onData, params=req) + #sleep(2) + + req = { + 'symbol': 'ethusdt', + 'side': 'buy', + 'type': 'limit', + 'price': 300, + 'amount': 0.01 + } + rest.addReq('POST', '/orders', rest.onData, postdict=req) + #sleep(1) + #rest.addReq('POST', '/orders', rest.onData, params=req) + + ## WS测试 + #ws = FcoinWebsocketApi() + #ws.start() + + #req = { + #'cmd': 'sub', + #'args': ['depth.L20.btcusdt'], + #'id': 1 + #} + + #ws.sendReq(req) + + raw_input() + + \ No newline at end of file From 9ac6dc46428b021cd246ce685a29a542d1267abd Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 2 Jul 2018 08:47:06 +0800 Subject: [PATCH 067/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9Eapi/vnbigone?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bigone/__init__.py | 1 + vnpy/api/bigone/vnbigone.py | 155 ++++++++++++++++++++++++++++++++++++ 2 files changed, 156 insertions(+) create mode 100644 vnpy/api/bigone/__init__.py create mode 100644 vnpy/api/bigone/vnbigone.py diff --git a/vnpy/api/bigone/__init__.py b/vnpy/api/bigone/__init__.py new file mode 100644 index 00000000..7c63904a --- /dev/null +++ b/vnpy/api/bigone/__init__.py @@ -0,0 +1 @@ +from .vnbigone import BigoneRestApi \ No newline at end of file diff --git a/vnpy/api/bigone/vnbigone.py b/vnpy/api/bigone/vnbigone.py new file mode 100644 index 00000000..425868ce --- /dev/null +++ b/vnpy/api/bigone/vnbigone.py @@ -0,0 +1,155 @@ +# encoding: UTF-8 + +import hashlib +import hmac +import json +import ssl +import traceback +import base64 + +from queue import Queue, Empty +from multiprocessing.dummy import Pool +from time import time +from urlparse import urlparse +from copy import copy +from urllib import urlencode +from threading import Thread + +import requests +from jwt import PyJWS + + +REST_HOST = 'https://big.one/api/v2/' + + + + +######################################################################## +class BigoneRestApi(object): + """REST API""" + jws = PyJWS() + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.apiKey = '' + self.apiSecret = '' + + self.active = False + self.reqid = 0 + self.queue = Queue() + self.pool = None + self.sessionDict = {} # 会话对象字典 + + #---------------------------------------------------------------------- + def init(self, apiKey, apiSecret): + """初始化""" + self.apiKey = str(apiKey) + self.apiSecret = str(apiSecret) + + #---------------------------------------------------------------------- + def start(self, n=10): + """启动""" + if self.active: + return + + self.active = True + self.pool = Pool(n) + self.pool.map_async(self.run, range(n)) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.active = False + + if self.pool: + self.pool.close() + self.pool.join() + + #---------------------------------------------------------------------- + def addReq(self, method, path, callback, params=None, postdict=None): + """添加请求""" + self.reqid += 1 + req = (method, path, callback, params, postdict, self.reqid) + self.queue.put(req) + return self.reqid + + #---------------------------------------------------------------------- + def processReq(self, req, i): + """处理请求""" + method, path, callback, params, postdict, reqid = req + url = REST_HOST + path + + header = {} + header['Authorization'] = 'Bearer ' + self.generateSignature() + + try: + # 使用长连接的session，比短连接的耗时缩短20% + session = self.sessionDict[i] + resp = session.request(method, url, headers=header, params=params, json=postdict) + #resp = requests.request(method, url, headers=header, params=params, data=postdict) + + code = resp.status_code + d = resp.json() + + if code == 200: + callback(d, reqid) + else: + self.onError(code, d) + except Exception as e: + self.onError(type(e), e.message) + + #---------------------------------------------------------------------- + def run(self, i): + """连续运行""" + self.sessionDict[i] = requests.Session() + + while self.active: + try: + req = self.queue.get(timeout=1) + self.processReq(req, i) + except Empty: + pass + + #---------------------------------------------------------------------- + def generateSignature(self): + """生成签名""" + payload = '{"type":"OpenAPI","sub":"%s","nonce":%s}' %(self.apiKey, time()*1000000000) + signature = self.jws.encode(payload, self.apiSecret) + return signature + + #---------------------------------------------------------------------- + def onError(self, code, error): + """错误回调""" + print 'on error' + print code, error + + #---------------------------------------------------------------------- + def onData(self, data, reqid): + """通用回调""" + print 'on data' + print data, reqid + + + + +if __name__ == '__main__': + from datetime import datetime + from time import sleep + + API_KEY = 'c9c61d5e-6a4b-42c5-9d9d-e0656feb2c94' + API_SECRET = '806E0FAEFCD2FF8CBD325A55D77B3E018BB7A9B94419EA4F5B2B3F71F5B188CB' + + # REST测试 + rest = BigoneRestApi() + rest.init(API_KEY, API_SECRET) + rest.start(1) + + #rest.addReq('GET', '/markets/EOS-BTC/depth', rest.onData) + + rest.addReq('GET', '/viewer/orders', rest.onData) + + + raw_input() + + \ No newline at end of file From e968c3e5835abec585ed323e539eeebb396b9361 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 2 Jul 2018 08:47:34 +0800 Subject: [PATCH 068/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9EbigoneGateway?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/bigoneGateway/__init__.py | 10 + .../gateway/bigoneGateway/bigoneGateway.py | 514 ++++++++++++++++++ 2 files changed, 524 insertions(+) create mode 100644 vnpy/trader/gateway/bigoneGateway/__init__.py create mode 100644 vnpy/trader/gateway/bigoneGateway/bigoneGateway.py diff --git a/vnpy/trader/gateway/bigoneGateway/__init__.py b/vnpy/trader/gateway/bigoneGateway/__init__.py new file mode 100644 index 00000000..4796cae6 --- /dev/null +++ b/vnpy/trader/gateway/bigoneGateway/__init__.py @@ -0,0 +1,10 @@ +# encoding: UTF-8 + +from vnpy.trader import vtConstant +from .bigoneGateway import BigoneGateway + +gatewayClass = BigoneGateway +gatewayName = 'BIGONE' +gatewayDisplayName = 'BIGONE' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True \ No newline at end of file diff --git a/vnpy/trader/gateway/bigoneGateway/bigoneGateway.py b/vnpy/trader/gateway/bigoneGateway/bigoneGateway.py new file mode 100644 index 00000000..c3368309 --- /dev/null +++ b/vnpy/trader/gateway/bigoneGateway/bigoneGateway.py @@ -0,0 +1,514 @@ +# encoding: UTF-8 + +''' +vnpy.api.bigone的gateway接入 +''' + +import os +import json +import time +import traceback +from datetime import datetime, timedelta +from copy import copy +from math import pow + +from vnpy.api.bigone import BigoneRestApi +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath, getTempPath + + + +# 委托状态类型映射 +statusMapReverse = {} +statusMapReverse['PENDING'] = STATUS_NOTTRADED +statusMapReverse['FILLED'] = STATUS_ALLTRADED +statusMapReverse['CANCELED'] = STATUS_CANCELLED + +# 方向映射 +directionMap = {} +directionMap[DIRECTION_LONG] = 'BID' +directionMap[DIRECTION_SHORT] = 'ASK' +directionMapReverse = {v:k for k,v in directionMap.items()} + + +######################################################################## +class BigoneGateway(VtGateway): + """Bigone接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName=''): + """Constructor""" + super(BigoneGateway, self).__init__(eventEngine, gatewayName) + + self.restApi = RestApi(self) + + self.qryEnabled = False # 是否要启动循环查询 + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + try: + f = file(self.filePath) + except IOError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'读取连接配置出错，请检查' + self.onLog(log) + return + + # 解析json文件 + setting = json.load(f) + try: + apiKey = str(setting['apiKey']) + apiSecret = str(setting['apiSecret']) + symbols = setting['symbols'] + except KeyError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'连接配置缺少字段，请检查' + self.onLog(log) + return + + # 创建行情和交易接口对象 + self.restApi.connect(apiKey, apiSecret, symbols) + + # 初始化并启动查询 + self.initQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.restApi.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.restApi.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.restApi.close() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.restApi.qryTickers, + self.restApi.qryDepth, + self.restApi.qryPosition, + self.restApi.qryOrder] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 1 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class RestApi(BigoneRestApi): + """REST API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(RestApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.localID = 0 + self.tradeID = 0 + + self.orderDict = {} # sysID:order + self.localSysDict = {} # localID:sysID + self.reqOrderDict = {} # reqID:order + self.cancelDict = {} # localID:req + + self.tickDict = {} + + #---------------------------------------------------------------------- + def connect(self, apiKey, apiSecret, symbols): + """连接服务器""" + self.init(apiKey, apiSecret) + self.start() + + self.symbols = symbols + self.writeLog(u'REST API启动成功') + + self.qryContract() + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """""" + #orderReq.price = 300.0 + #orderReq.volume = 0.01 + + self.localID += 1 + orderID = str(self.localID) + vtOrderID = '.'.join([self.gatewayName, orderID]) + + req = { + 'market_id': orderReq.symbol, + 'side': directionMap[orderReq.direction], + 'price': str(orderReq.price), + 'amount': str(orderReq.volume) + } + + reqid = self.addReq('POST', '/viewer/orders', self.onSendOrder, postdict=req) + + # 缓存委托数据对象 + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = orderReq.symbol + order.exchange = EXCHANGE_BIGONE + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + order.orderID = orderID + order.vtOrderID = vtOrderID + order.price = orderReq.price + order.totalVolume = orderReq.volume + order.direction = orderReq.direction + order.status = STATUS_UNKNOWN + + self.reqOrderDict[reqid] = order + + return vtOrderID + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """""" + localID = cancelOrderReq.orderID + + if localID in self.localSysDict: + sysID = self.localSysDict[localID] + path = '/viewer/orders/%s/cancel' %sysID + self.addReq('POST', path, self.onCancelOrder) + else: + self.cancelDict[localID] = cancelOrderReq + + #---------------------------------------------------------------------- + def qryContract(self): + """""" + self.addReq('GET', '/markets', self.onQryContract) + + #---------------------------------------------------------------------- + def qryTickers(self): + """""" + self.addReq('GET', '/tickers', self.onQryTickers) + + #---------------------------------------------------------------------- + def qryDepth(self): + """""" + for symbol in self.symbols: + path = '/markets/%s/depth' %symbol + self.addReq('GET', path, self.onQryDepth) + + #---------------------------------------------------------------------- + def qryOrder(self): + """""" + #for symbol in self.symbols: + #req = { + #'market_id': symbol, + #'last': 100 + #} + #self.addReq('GET', '/viewer/orders', self.onQryOrder, params=req) + + req = { + #'market_id': symbol, + 'last': 100 + } + self.addReq('GET', '/viewer/orders', self.onQryOrder, params=req) + + #---------------------------------------------------------------------- + def qryPosition(self): + """""" + self.addReq('GET', '/viewer/accounts', self.onQryPosition) + + #---------------------------------------------------------------------- + def onSendOrder(self, data, reqid): + """""" + if self.checkError(u'委托', data): + return + + d = data['data'] + + order = self.reqOrderDict[reqid] + localID = order.orderID + sysID = d['id'] + + self.localSysDict[localID] = sysID + self.orderDict[sysID] = order + + self.gateway.onOrder(order) + + # 发出等待的撤单委托 + if localID in self.cancelDict: + req = self.cancelDict[localID] + self.cancelOrder(req) + del self.cancelDict[localID] + + #---------------------------------------------------------------------- + def onCancelOrder(self, data, reqid): + """""" + if self.checkError(u'撤单', data): + return + + #---------------------------------------------------------------------- + def onError(self, code, error): + """""" + msg = u'发生异常，错误代码：%s，错误信息：%s' %(code, error) + self.writeLog(msg) + + #---------------------------------------------------------------------- + def onQryOrder(self, data, reqid): + """""" + if self.checkError(u'查询委托', data): + return + + for node in data['data']['edges']: + orderUpdated = False + tradeUpdated = False + d = node['node'] + + # 获取委托对象 + sysID = d['id'] + if sysID in self.orderDict: + order = self.orderDict[sysID] + else: + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = d['market_id'] + order.exchange = EXCHANGE_BIGONE + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + self.localID += 1 + localID = str(self.localID) + self.localSysDict[localID] = sysID + + order.orderID = localID + order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) + + order.direction = directionMapReverse[d['side']] + order.price = float(d['price']) + order.totalVolume = float(d['amount']) + + self.orderDict[sysID] = order + orderUpdated = True + + # 检查是否委托有变化 + newTradedVolume = float(d['filled_amount']) + newStatus = statusMapReverse[d['state']] + + if newTradedVolume != float(order.tradedVolume) or newStatus != order.status: + orderUpdated = True + + if newTradedVolume != float(order.tradedVolume): + tradeUpdated = True + newVolume = newTradedVolume - order.tradedVolume + + order.tradedVolume = newTradedVolume + order.status = newStatus + + # 若有更新才推送 + if orderUpdated: + self.gateway.onOrder(order) + + if tradeUpdated: + # 推送成交 + trade = VtTradeData() + trade.gatewayName = order.gatewayName + + trade.symbol = order.symbol + trade.vtSymbol = order.vtSymbol + + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + + self.tradeID += 1 + trade.tradeID = str(self.tradeID) + trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) + + trade.direction = order.direction + trade.price = order.price + trade.volume = newTradedVolume + trade.tradeTime = datetime.now().strftime('%H:%M:%S') + + self.gateway.onTrade(trade) + + #---------------------------------------------------------------------- + def onQryPosition(self, data, reqid): + """""" + if self.checkError(u'查询持仓', data): + return + + for d in data['data']: + pos = VtPositionData() + pos.gatewayName = self.gatewayName + + pos.symbol = d['asset_id'] + pos.exchange = EXCHANGE_BIGONE + pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) + pos.direction = DIRECTION_NET + pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) + pos.position = float(d['balance']) + pos.frozen = float(d['locked_balance']) + + self.gateway.onPosition(pos) + + #---------------------------------------------------------------------- + def onQryContract(self, data, reqid): + """""" + if self.checkError(u'查询合约', data): + return + + for d in data['data']: + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = d['name'] + contract.exchange = EXCHANGE_BIGONE + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = contract.vtSymbol + contract.productClass = PRODUCT_SPOT + contract.priceTick = pow(10, -int(d['quoteScale'])) + contract.size = 1 + + self.gateway.onContract(contract) + + self.writeLog(u'合约信息查询完成') + + #---------------------------------------------------------------------- + def onQryTickers(self, data, reqid): + """""" + if self.checkError(u'查询行情', data): + return + + dt = datetime.now() + date = dt.strftime('%Y%m%d') + time = dt.strftime('%H:%M:%S') + + for d in data['data']: + symbol = str(d['market_id']) + tick = self.getTick(symbol) + + tick.openPrice = float(d['open']) + #tick.highPrice = float(d['high']) + #tick.lowPrice = float(d['low']) + tick.lastPrice = float(d['close']) + #tick.volume = float(d['volume']) + tick.datetime = datetime + tick.date = data + tick.time = time + + # 只有订阅了深度行情才推送 + if tick.bidPrice1: + self.gateway.onTick(tick) + + #---------------------------------------------------------------------- + def onQryDepth(self, data, reqid): + """""" + if self.checkError(u'查询深度', data): + return + + d = data['data'] + symbol = d['market_id'] + + tick = self.getTick(symbol) + + for n, bid in enumerate(d['bids'][:5]): + tick.__setattr__('bidPrice%s' %(n+1), float(bid['price'])) + tick.__setattr__('bidVolume%s' %(n+1), float(bid['amount'])) + + for n, ask in enumerate(d['asks'][:5]): + tick.__setattr__('askPrice%s' %(n+1), float(ask['price'])) + tick.__setattr__('askVolume%s' %(n+1), float(ask['amount'])) + + tick.datetime = datetime.now() + tick.date = tick.datetime.strftime('%Y%m%d') + tick.time = tick.datetime.strftime('%H:%M:%S') + + if tick.lastPrice: + self.gateway.onTick(tick) + + #---------------------------------------------------------------------- + def getTick(self, symbol): + """""" + tick = self.tickDict.get(symbol, None) + + if not tick: + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = symbol + tick.exchange = EXCHANGE_BIGONE + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + self.tickDict[symbol] = tick + + return tick + + #---------------------------------------------------------------------- + def checkError(self, name, data): + """""" + error = data.get('errors', None) + if not error: + return False + + msg = str(error) + self.writeLog(u'%s触发错误：%s' %(name, msg)) + return True + +#---------------------------------------------------------------------- +def printDict(d): + """""" + print '-' * 30 + l = d.keys() + l.sort() + for k in l: + print k, d[k] + \ No newline at end of file From 69310cf4201da0823d464dd000078d58eeadbf40 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 2 Jul 2018 08:47:44 +0800 Subject: [PATCH 069/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9EfcoinGateway?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/fcoinGateway/__init__.py | 10 + .../gateway/fcoinGateway/fcoinGateway.py | 582 ++++++++++++++++++ 2 files changed, 592 insertions(+) create mode 100644 vnpy/trader/gateway/fcoinGateway/__init__.py create mode 100644 vnpy/trader/gateway/fcoinGateway/fcoinGateway.py diff --git a/vnpy/trader/gateway/fcoinGateway/__init__.py b/vnpy/trader/gateway/fcoinGateway/__init__.py new file mode 100644 index 00000000..2c6a4ee6 --- /dev/null +++ b/vnpy/trader/gateway/fcoinGateway/__init__.py @@ -0,0 +1,10 @@ +# encoding: UTF-8 + +from vnpy.trader import vtConstant +from .fcoinGateway import FcoinGateay + +gatewayClass = FcoinGateay +gatewayName = 'FCOIN' +gatewayDisplayName = 'FCOIN' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True \ No newline at end of file diff --git a/vnpy/trader/gateway/fcoinGateway/fcoinGateway.py b/vnpy/trader/gateway/fcoinGateway/fcoinGateway.py new file mode 100644 index 00000000..0832ab78 --- /dev/null +++ b/vnpy/trader/gateway/fcoinGateway/fcoinGateway.py @@ -0,0 +1,582 @@ +# encoding: UTF-8 + +''' +vnpy.api.fcoin的gateway接入 +''' + +import os +import json +import time +import traceback +from datetime import datetime, timedelta +from copy import copy +from math import pow + +from vnpy.api.fcoin import FcoinRestApi, FcoinWebsocketApi +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath, getTempPath + +# 委托状态类型映射 +statusMapReverse = {} +statusMapReverse['submitted'] = STATUS_NOTTRADED +statusMapReverse['partial_filled'] = STATUS_PARTTRADED +statusMapReverse['partial_canceled'] = STATUS_CANCELLED +statusMapReverse['filled'] = STATUS_ALLTRADED +statusMapReverse['canceled'] = STATUS_CANCELLED +statusMapReverse['pending_cancel'] = STATUS_UNKNOWN + +# 方向映射 +directionMap = {} +directionMap[DIRECTION_LONG] = 'buy' +directionMap[DIRECTION_SHORT] = 'sell' +directionMapReverse = {v:k for k,v in directionMap.items()} + +# 价格类型映射 +priceTypeMap = {} +priceTypeMap[PRICETYPE_LIMITPRICE] = 'limit' +priceTypeMap[PRICETYPE_MARKETPRICE] = 'market' + + + +######################################################################## +class FcoinGateay(VtGateway): + """FCOIN接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName=''): + """Constructor""" + super(FcoinGateay, self).__init__(eventEngine, gatewayName) + + self.restApi = RestApi(self) + self.wsApi = WebsocketApi(self) + + self.qryEnabled = False # 是否要启动循环查询 + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + try: + f = file(self.filePath) + except IOError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'读取连接配置出错，请检查' + self.onLog(log) + return + + # 解析json文件 + setting = json.load(f) + try: + apiKey = str(setting['apiKey']) + apiSecret = str(setting['apiSecret']) + symbols = setting['symbols'] + except KeyError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'连接配置缺少字段，请检查' + self.onLog(log) + return + + # 创建行情和交易接口对象 + self.restApi.connect(apiKey, apiSecret, symbols) + self.wsApi.connect(apiKey, apiSecret, symbols) + + # 初始化并启动查询 + self.initQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.restApi.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.restApi.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.restApi.close() + self.wsApi.close() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.restApi.qryPosition, + self.restApi.qryOrderSubmitted, + self.restApi.qryOrderPartialFilled, + self.restApi.qryOrderCanceled, + self.restApi.qryOrderFilled, + self.restApi.qryOrderPartialCanceled] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 3 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class RestApi(FcoinRestApi): + """REST API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(RestApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.localID = 0 + self.tradeID = 0 + + self.orderDict = {} # sysID:order + self.localSysDict = {} # localID:sysID + self.reqOrderDict = {} # reqID:order + self.cancelDict = {} # localID:req + + #---------------------------------------------------------------------- + def connect(self, apiKey, apiSecret, symbols): + """连接服务器""" + self.init(apiKey, apiSecret) + self.start() + + self.symbols = symbols + self.writeLog(u'REST API启动成功') + + self.qryContract() + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """""" + #orderReq.price = 300.0 + #orderReq.volume = 0.01 + + self.localID += 1 + orderID = str(self.localID) + vtOrderID = '.'.join([self.gatewayName, orderID]) + + req = { + 'symbol': orderReq.symbol, + 'side': directionMap[orderReq.direction], + 'type': priceTypeMap[orderReq.priceType], + 'price': orderReq.price, + 'amount': orderReq.volume + } + + reqid = self.addReq('POST', '/orders', self.onSendOrder, postdict=req) + + # 缓存委托数据对象 + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = orderReq.symbol + order.exchange = EXCHANGE_FCOIN + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + order.orderID = orderID + order.vtOrderID = vtOrderID + order.price = orderReq.price + order.totalVolume = orderReq.volume + order.direction = orderReq.direction + order.status = STATUS_UNKNOWN + + self.reqOrderDict[reqid] = order + + return vtOrderID + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """""" + localID = cancelOrderReq.orderID + + if localID in self.localSysDict: + sysID = self.localSysDict[localID] + path = '/orders/%s/submit-cancel' %sysID + self.addReq('POST', path, self.onCancelOrder) + else: + self.cancelDict[localID] = cancelOrderReq + + #---------------------------------------------------------------------- + def qryContract(self): + """""" + self.addReq('GET', '/public/symbols', self.onQryContract) + + #---------------------------------------------------------------------- + def qryOrder(self, state): + """""" + for symbol in self.symbols: + req = { + 'symbol': symbol, + 'states': state, + 'limit': 50 + } + self.addReq('GET', '/orders', self.onQryOrder, params=req) + + #---------------------------------------------------------------------- + def qryOrderSubmitted(self): + """""" + self.qryOrder('submitted') + + #---------------------------------------------------------------------- + def qryOrderPartialFilled(self): + """""" + self.qryOrder('partial_filled') + + #---------------------------------------------------------------------- + def qryOrderPartialCanceled(self): + """""" + self.qryOrder('partial_canceled') + + #---------------------------------------------------------------------- + def qryOrderFilled(self): + """""" + self.qryOrder('filled') + + #---------------------------------------------------------------------- + def qryOrderCanceled(self): + """""" + self.qryOrder('canceled') + + #---------------------------------------------------------------------- + def qryPosition(self): + """""" + self.addReq('GET', '/accounts/balance', self.onQryPosition) + + #---------------------------------------------------------------------- + def onSendOrder(self, data, reqid): + """""" + if 'msg' in data: + self.writeLog(data['msg']) + return + + if 'data' in data: + order = self.reqOrderDict[reqid] + localID = order.orderID + sysID = data['data'] + + self.localSysDict[localID] = sysID + self.orderDict[sysID] = order + + self.gateway.onOrder(order) + + # 发出等待的撤单委托 + if localID in self.cancelDict: + req = self.cancelDict[localID] + self.cancelOrder(req) + del self.cancelDict[localID] + + #---------------------------------------------------------------------- + def onCancelOrder(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onError(self, code, error): + """""" + msg = u'发生异常，错误代码：%s，错误信息：%s' %(code, error) + self.writeLog(msg) + + #---------------------------------------------------------------------- + def onQryOrder(self, data, reqid): + """""" + data['data'].reverse() + + for d in data['data']: + orderUpdated = False + tradeUpdated = False + + # 获取委托对象 + sysID = d['id'] + if sysID in self.orderDict: + order = self.orderDict[sysID] + else: + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = d['symbol'] + order.exchange = EXCHANGE_FCOIN + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + self.localID += 1 + localID = str(self.localID) + self.localSysDict[localID] = sysID + + order.orderID = localID + order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) + + order.direction = directionMapReverse[d['side']] + order.price = float(d['price']) + order.totalVolume = float(d['amount']) + + dt = datetime.fromtimestamp(d['created_at']/1000) + order.orderTime = dt.strftime('%H:%M:%S') + + self.orderDict[sysID] = order + orderUpdated = True + + # 检查是否委托有变化 + newTradedVolume = float(d['filled_amount']) + newStatus = statusMapReverse[d['state']] + + if newTradedVolume != float(order.tradedVolume) or newStatus != order.status: + orderUpdated = True + + if newTradedVolume != float(order.tradedVolume): + tradeUpdated = True + newVolume = newTradedVolume - order.tradedVolume + + order.tradedVolume = newTradedVolume + order.status = newStatus + + # 若有更新才推送 + if orderUpdated: + self.gateway.onOrder(order) + + if tradeUpdated: + # 推送成交 + trade = VtTradeData() + trade.gatewayName = order.gatewayName + + trade.symbol = order.symbol + trade.vtSymbol = order.vtSymbol + + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + + self.tradeID += 1 + trade.tradeID = str(self.tradeID) + trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) + + trade.direction = order.direction + trade.price = order.price + trade.volume = newTradedVolume + trade.tradeTime = datetime.now().strftime('%H:%M:%S') + + self.gateway.onTrade(trade) + + #---------------------------------------------------------------------- + def onQryPosition(self, data, reqid): + """""" + for d in data['data']: + pos = VtPositionData() + pos.gatewayName = self.gatewayName + + pos.symbol = d['currency'] + pos.exchange = EXCHANGE_FCOIN + pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) + pos.direction = DIRECTION_NET + pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) + pos.position = d['balance'] + pos.frozen = d['frozen'] + + self.gateway.onPosition(pos) + + #---------------------------------------------------------------------- + def onQryContract(self, data, reqid): + """""" + for d in data['data']: + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = d['name'] + contract.exchange = EXCHANGE_FCOIN + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = contract.vtSymbol + contract.productClass = PRODUCT_SPOT + contract.priceTick = pow(10, -int(d['price_decimal'])) + contract.size = 1 + + self.gateway.onContract(contract) + + self.writeLog(u'合约信息查询完成') + + +######################################################################## +class WebsocketApi(FcoinWebsocketApi): + """""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(WebsocketApi, self).__init__() + + self.gateway = gateway + self.gatewayName = gateway.gatewayName + + self.apiKey = '' + self.apiSecret = '' + self.symbols = [] + + self.tickDict = {} + + #---------------------------------------------------------------------- + def connect(self, apiKey, apiSecret, symbols): + """""" + self.apiKey = apiKey + self.apiSecret = apiSecret + self.symbols = symbols + + self.start() + + #---------------------------------------------------------------------- + def onConnect(self): + """连接回调""" + self.writeLog(u'Websocket API连接成功') + + #---------------------------------------------------------------------- + def subscribe(self): + """""" + l = [] + for symbol in self.symbols: + l.append('ticker.' + symbol) + l.append('depth.L20.' + symbol) + + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = symbol + tick.exchange = EXCHANGE_FCOIN + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + self.tickDict[symbol] = tick + + req = { + 'cmd': 'sub', + 'args': l, + 'id': 1 + } + self.sendReq(req) + + #---------------------------------------------------------------------- + def onData(self, data): + """数据回调""" + type_ = data['type'] + if 'hello' in type_: + self.subscribe() + elif 'ticker' in type_: + self.onTick(data) + elif 'depth' in type_: + self.onDepth(data) + + #---------------------------------------------------------------------- + def onError(self, msg): + """错误回调""" + self.writeLog(msg) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def onTick(self, d): + """""" + symbol = d['type'].split('.')[-1] + tick = self.tickDict[symbol] + + ticker = d['ticker'] + tick.openPrice = ticker[6] + tick.highPrice = ticker[7] + tick.lowPrice = ticker[8] + tick.lastPrice = ticker[0] + tick.volume = ticker[9] + + self.gateway.onTick(copy(tick)) + + #---------------------------------------------------------------------- + def onDepth(self, d): + """""" + symbol = d['type'].split('.')[-1] + tick = self.tickDict[symbol] + + bids = d['bids'] + asks = d['asks'] + + tick.bidPrice1 = bids[0] + tick.bidPrice2 = bids[2] + tick.bidPrice3 = bids[4] + tick.bidPrice4 = bids[6] + tick.bidPrice5 = bids[8] + + tick.askPrice1 = asks[0] + tick.askPrice2 = asks[2] + tick.askPrice3 = asks[4] + tick.askPrice4 = asks[6] + tick.askPrice5 = asks[8] + + tick.bidVolume1 = bids[1] + tick.bidVolume2 = bids[3] + tick.bidVolume3 = bids[5] + tick.bidVolume4 = bids[7] + tick.bidVolume5 = bids[9] + + tick.askVolume1 = asks[1] + tick.askVolume2 = asks[3] + tick.askVolume3 = asks[5] + tick.askVolume4 = asks[7] + tick.askVolume5 = asks[9] + + tick.datetime = datetime.fromtimestamp(d['ts']/1000) + tick.date = tick.datetime.strftime('%Y%m%d') + tick.time = tick.datetime.strftime('%H:%M:%S') + + self.gateway.onTick(copy(tick)) + + +#---------------------------------------------------------------------- +def printDict(d): + """""" + print '-' * 30 + l = d.keys() + l.sort() + for k in l: + print k, d[k] + \ No newline at end of file From a5e972ce5a3b24f9f990c4c21f3c92b0150551cb Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 2 Jul 2018 17:52:16 +0800 Subject: [PATCH 070/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9E=E5=88=B7?= =?UTF-8?q?=E5=8D=95=E7=AE=97=E6=B3=95StAlgo?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/CryptoTrader/BIGONE_connect.json | 5 + examples/CryptoTrader/FCOIN_connect.json | 5 + examples/CryptoTrader/run.py | 7 +- vnpy/trader/app/algoTrading/algoEngine.py | 15 +- vnpy/trader/app/algoTrading/stAlgo.py | 170 +++++++++++++++++++ vnpy/trader/app/algoTrading/uiAlgoManager.py | 2 + vnpy/trader/app/riskManager/RM_setting.json | 2 +- 7 files changed, 202 insertions(+), 4 deletions(-) create mode 100644 examples/CryptoTrader/BIGONE_connect.json create mode 100644 examples/CryptoTrader/FCOIN_connect.json create mode 100644 vnpy/trader/app/algoTrading/stAlgo.py diff --git a/examples/CryptoTrader/BIGONE_connect.json b/examples/CryptoTrader/BIGONE_connect.json new file mode 100644 index 00000000..87aab6bd --- /dev/null +++ b/examples/CryptoTrader/BIGONE_connect.json @@ -0,0 +1,5 @@ +{ + "apiKey": "", + "apiSecret": "", + "symbols": ["BTC-USDT", "ETH-USDT", "EOS-USDT"] +} \ No newline at end of file diff --git a/examples/CryptoTrader/FCOIN_connect.json b/examples/CryptoTrader/FCOIN_connect.json new file mode 100644 index 00000000..00d51e2a --- /dev/null +++ b/examples/CryptoTrader/FCOIN_connect.json @@ -0,0 +1,5 @@ +{ + "apiKey": "", + "apiSecret": "", + "symbols": ["ethusdt"] +} \ No newline at end of file diff --git a/examples/CryptoTrader/run.py b/examples/CryptoTrader/run.py index 9088f66e..80ce604d 100644 --- a/examples/CryptoTrader/run.py +++ b/examples/CryptoTrader/run.py @@ -22,7 +22,8 @@ from vnpy.trader.uiMainWindow import MainWindow # 加载底层接口 from vnpy.trader.gateway import (huobiGateway, okexGateway, binanceGateway, bitfinexGateway, - bitmexGateway) + bitmexGateway, fcoinGateway, + bigoneGateway) # 加载上层应用 from vnpy.trader.app import (riskManager, algoTrading) @@ -41,12 +42,14 @@ def main(): me = MainEngine(ee) # 添加交易接口 + me.addGateway(bigoneGateway) + me.addGateway(fcoinGateway) me.addGateway(bitmexGateway) me.addGateway(huobiGateway) me.addGateway(okexGateway) me.addGateway(binanceGateway) me.addGateway(bitfinexGateway) - + # 添加上层应用 me.addApp(riskManager) me.addApp(algoTrading) diff --git a/vnpy/trader/app/algoTrading/algoEngine.py b/vnpy/trader/app/algoTrading/algoEngine.py index f1da8037..68406569 100644 --- a/vnpy/trader/app/algoTrading/algoEngine.py +++ b/vnpy/trader/app/algoTrading/algoEngine.py @@ -16,6 +16,7 @@ from vnpy.trader.vtObject import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, V from .twapAlgo import TwapAlgo from .dmaAlgo import DmaAlgo from .stopAlgo import StopAlgo +from .stAlgo import StAlgo EVENT_ALGO_LOG = 'eAlgoLog' # 算法日志事件 EVENT_ALGO_PARAM = 'eAlgoParam' # 算法参数事件 @@ -32,7 +33,8 @@ HISTORY_COLLECTION_NAME = 'AlgoHistory' # 算法历史集合名 ALGO_DICT = { TwapAlgo.templateName: TwapAlgo, DmaAlgo.templateName: DmaAlgo, - StopAlgo.templateName: StopAlgo + StopAlgo.templateName: StopAlgo, + StAlgo.templateName: StAlgo } @@ -274,6 +276,17 @@ class AlgoEngine(object): return tick + #---------------------------------------------------------------------- + def getContract(self, algo, vtSymbol): + """查询合约""" + contract = self.mainEngine.getContract(vtSymbol) + if not contract: + self.writeLog(u'%s查询合约失败，找不到报价：%s' %(algo.algoName, vtSymbol)) + return + + return contract + + #---------------------------------------------------------------------- def saveAlgoSetting(self, algoSetting): """保存算法配置""" diff --git a/vnpy/trader/app/algoTrading/stAlgo.py b/vnpy/trader/app/algoTrading/stAlgo.py new file mode 100644 index 00000000..9d0d6893 --- /dev/null +++ b/vnpy/trader/app/algoTrading/stAlgo.py @@ -0,0 +1,170 @@ +# encoding: UTF-8 + +from __future__ import division +from collections import OrderedDict + +from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, + OFFSET_OPEN, OFFSET_CLOSE) +from vnpy.trader.uiQt import QtWidgets + +from .algoTemplate import AlgoTemplate +from .uiAlgoWidget import AlgoWidget, QtWidgets + + + +######################################################################## +class StAlgo(AlgoTemplate): + """自成交算法（self trade），用于刷成交量""" + + templateName = 'ST' + + #---------------------------------------------------------------------- + def __init__(self, engine, setting, algoName): + """Constructor""" + super(StAlgo, self).__init__(engine, setting, algoName) + + # 参数，强制类型转换，保证从CSV加载的配置正确 + self.vtSymbol = str(setting['vtSymbol']) # 合约代码 + self.orderVolume = float(setting['orderVolume']) # 委托数量 + self.interval = int(setting['interval']) # 运行间隔 + self.minTickSpread = int(setting['minTickSpread']) # 最小价差 + + self.count = 0 # 定时计数 + self.tradedVolume = 0 # 总成交数量 + + self.subscribe(self.vtSymbol) + self.paramEvent() + self.varEvent() + + #---------------------------------------------------------------------- + def onTick(self, tick): + """""" + pass + + #---------------------------------------------------------------------- + def onTrade(self, trade): + """""" + self.tradedVolume += trade.volume + self.varEvent() + + #---------------------------------------------------------------------- + def onOrder(self, order): + """""" + pass + + #---------------------------------------------------------------------- + def onTimer(self): + """""" + self.count += 1 + if self.count == self.interval: + self.count = 0 + + # 全撤委托 + self.cancelAll() + + # 获取行情 + tick = self.getTick(self.vtSymbol) + if not tick: + return + + contract = self.getContract(self.vtSymbol) + if not contract: + return + + tickSpread = (tick.askPrice1 - tick.bidPrice1) / contract.priceTick + if tickSpread < self.minTickSpread: + self.writeLog(u'当前价差为%s个Tick，小于算法设置%s，不执行刷单' %(tickSpread, self.minTickSpread)) + return + + midPrice = tick.bidPrice1 + contract.priceTick * int(tickSpread/2) + + self.buy(self.vtSymbol, midPrice, self.orderVolume) + self.sell(self.vtSymbol, midPrice, self.orderVolume) + + self.writeLog(u'发出刷单买卖委托，价格：%s，数量：%s' %(midPrice, self.orderVolume)) + + self.varEvent() + + #---------------------------------------------------------------------- + def onStop(self): + """""" + self.writeLog(u'停止算法') + self.varEvent() + + #---------------------------------------------------------------------- + def varEvent(self): + """更新变量""" + d = OrderedDict() + d[u'算法状态'] = self.active + d[u'成交数量'] = self.tradedVolume + d[u'定时计数'] = self.count + d['active'] = self.active + self.putVarEvent(d) + + #---------------------------------------------------------------------- + def paramEvent(self): + """更新参数""" + d = OrderedDict() + d[u'代码'] = self.vtSymbol + d[u'单次委托数量'] = self.orderVolume + d[u'执行间隔'] = self.interval + d[u'最小价差Tick'] = self.minTickSpread + self.putParamEvent(d) + + +######################################################################## +class StWidget(AlgoWidget): + """""" + + #---------------------------------------------------------------------- + def __init__(self, algoEngine, parent=None): + """Constructor""" + super(StWidget, self).__init__(algoEngine, parent) + + self.templateName = StAlgo.templateName + + #---------------------------------------------------------------------- + def initAlgoLayout(self): + """""" + self.lineSymbol = QtWidgets.QLineEdit() + + self.spinVolume = QtWidgets.QDoubleSpinBox() + self.spinVolume.setMinimum(0) + self.spinVolume.setMaximum(1000000000) + self.spinVolume.setDecimals(6) + + self.spinInterval = QtWidgets.QSpinBox() + self.spinInterval.setMinimum(20) + self.spinInterval.setMaximum(3600) + + self.spinMinTickSpread = QtWidgets.QSpinBox() + self.spinMinTickSpread.setMinimum(0) + self.spinMinTickSpread.setMaximum(1000) + + Label = QtWidgets.QLabel + + grid = QtWidgets.QGridLayout() + grid.addWidget(Label(u'代码'), 0, 0) + grid.addWidget(self.lineSymbol, 0, 1) + grid.addWidget(Label(u'单次刷单量'), 1, 0) + grid.addWidget(self.spinVolume, 1, 1) + grid.addWidget(Label(u'执行间隔'), 2, 0) + grid.addWidget(self.spinInterval, 2, 1) + grid.addWidget(Label(u'最小价差Tick'), 3, 0) + grid.addWidget(self.spinMinTickSpread, 3, 1) + + return grid + + #---------------------------------------------------------------------- + def getAlgoSetting(self): + """""" + setting = OrderedDict() + setting['templateName'] = StAlgo.templateName + setting['vtSymbol'] = str(self.lineSymbol.text()) + setting['orderVolume'] = float(self.spinVolume.value()) + setting['interval'] = int(self.spinInterval.value()) + setting['minTickSpread'] = int(self.spinMinTickSpread.value()) + + return setting + + \ No newline at end of file diff --git a/vnpy/trader/app/algoTrading/uiAlgoManager.py b/vnpy/trader/app/algoTrading/uiAlgoManager.py index 59aec40c..62f656de 100644 --- a/vnpy/trader/app/algoTrading/uiAlgoManager.py +++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py @@ -15,6 +15,7 @@ from .algoEngine import (EVENT_ALGO_LOG, EVENT_ALGO_PARAM, from .twapAlgo import TwapWidget from .dmaAlgo import DmaWidget from .stopAlgo import StopWidget +from .stAlgo import StWidget ######################################################################## @@ -393,6 +394,7 @@ class AlgoManager(QtWidgets.QWidget): self.addAlgoWidget(TwapWidget) self.addAlgoWidget(DmaWidget) self.addAlgoWidget(StopWidget) + self.addAlgoWidget(StWidget) self.algoEngine.loadAlgoSetting() # 界面初始化后，再加载算法配置 diff --git a/vnpy/trader/app/riskManager/RM_setting.json b/vnpy/trader/app/riskManager/RM_setting.json index 6dc35464..d34f89d0 100644 --- a/vnpy/trader/app/riskManager/RM_setting.json +++ b/vnpy/trader/app/riskManager/RM_setting.json @@ -5,6 +5,6 @@ "workingOrderLimit": 20, "tradeLimit": 1000, "orderSizeLimit": 100, - "active": true, + "active": false, "orderFlowLimit": 50 } \ No newline at end of file From 5d046d360c893e6d3abcaf922104873d606d5ea6 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Thu, 5 Jul 2018 14:03:04 +0800 Subject: [PATCH 071/135] =?UTF-8?q?[Add]=E9=87=8D=E6=96=B0=E5=AE=9E?= =?UTF-8?q?=E7=8E=B0Lbank=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/CryptoTrader/LBANK_connect.json | 5 + examples/CryptoTrader/run.py | 6 +- vnpy/api/bigone/vnbigone.py | 2 +- vnpy/api/lbank/__init__.py | 2 +- vnpy/api/lbank/test.py | 103 +- vnpy/api/lbank/vnlbank.py | 397 +++----- vnpy/trader/gateway/fcoinGateway/__init__.py | 4 +- .../gateway/fcoinGateway/fcoinGateway.py | 4 +- .../gateway/lbankGateway/LBANK_connect.json | 7 +- .../gateway/lbankGateway/lbankGateway.py | 958 ++++++++++-------- 10 files changed, 758 insertions(+), 730 deletions(-) create mode 100644 examples/CryptoTrader/LBANK_connect.json diff --git a/examples/CryptoTrader/LBANK_connect.json b/examples/CryptoTrader/LBANK_connect.json new file mode 100644 index 00000000..59286a19 --- /dev/null +++ b/examples/CryptoTrader/LBANK_connect.json @@ -0,0 +1,5 @@ +{ + "apiKey": "", + "secretKey": "", + "symbols": ["eth_usdt", "sc_btc", "btc_usdt"] +} diff --git a/examples/CryptoTrader/run.py b/examples/CryptoTrader/run.py index 80ce604d..23868fa1 100644 --- a/examples/CryptoTrader/run.py +++ b/examples/CryptoTrader/run.py @@ -23,10 +23,10 @@ from vnpy.trader.uiMainWindow import MainWindow from vnpy.trader.gateway import (huobiGateway, okexGateway, binanceGateway, bitfinexGateway, bitmexGateway, fcoinGateway, - bigoneGateway) + bigoneGateway, lbankGateway) # 加载上层应用 -from vnpy.trader.app import (riskManager, algoTrading) +from vnpy.trader.app import (algoTrading) #---------------------------------------------------------------------- @@ -42,6 +42,7 @@ def main(): me = MainEngine(ee) # 添加交易接口 + me.addGateway(lbankGateway) me.addGateway(bigoneGateway) me.addGateway(fcoinGateway) me.addGateway(bitmexGateway) @@ -51,7 +52,6 @@ def main(): me.addGateway(bitfinexGateway) # 添加上层应用 - me.addApp(riskManager) me.addApp(algoTrading) # 创建主窗口 diff --git a/vnpy/api/bigone/vnbigone.py b/vnpy/api/bigone/vnbigone.py index 425868ce..cf82b685 100644 --- a/vnpy/api/bigone/vnbigone.py +++ b/vnpy/api/bigone/vnbigone.py @@ -95,7 +95,7 @@ class BigoneRestApi(object): if code == 200: callback(d, reqid) else: - self.onError(code, d) + self.onError(code, str(d)) except Exception as e: self.onError(type(e), e.message) diff --git a/vnpy/api/lbank/__init__.py b/vnpy/api/lbank/__init__.py index 2e68766f..080efd11 100644 --- a/vnpy/api/lbank/__init__.py +++ b/vnpy/api/lbank/__init__.py @@ -1,4 +1,4 @@ # encoding: UTF-8 from __future__ import absolute_import -from .vnlbank import LbankApi \ No newline at end of file +from .vnlbank import LbankRestApi, LbankWebsocketApi \ No newline at end of file diff --git a/vnpy/api/lbank/test.py b/vnpy/api/lbank/test.py index 463830e1..5391f15d 100644 --- a/vnpy/api/lbank/test.py +++ b/vnpy/api/lbank/test.py @@ -1,50 +1,67 @@ -# encoding: utf-8 - -from __future__ import absolute_import -from time import time, sleep +# encoding: UTF-8 from six.moves import input +from time import time -from .vnlbank import LbankApi +from vnlbank import LbankRestApi, LbankWebsocketApi + +API_KEY = '132a36ce-ad1c-409a-b48c-09b7877ae49b' +SECRET_KEY = '319320BF875297E7F4050E1195B880E8' + + +#---------------------------------------------------------------------- +def restTest(): + """""" + # 创建API对象并初始化 + api = LbankRestApi() + api.init(API_KEY, SECRET_KEY) + api.start(1) + + # 测试 + #api.addReq('GET', '/currencyPairs.do', {}, api.onData) + #api.addReq('GET', '/accuracy.do', {}, api.onData) + + #api.addReq('GET', '/ticker.do', {'symbol': 'eth_btc'}, api.onData) + #api.addReq('GET', '/depth.do', {'symbol': 'eth_btc', 'size': '5'}, api.onData) + + #api.addReq('post', '/user_info.do', {}, api.onData) + + req = { + 'symbol': 'sc_btc', + 'current_page': '1', + 'page_length': '50' + } + api.addReq('POST', '/orders_info_no_deal.do', req, api.onData) + + # 阻塞 + input() + + +#---------------------------------------------------------------------- +def wsTest(): + """""" + ws = LbankWebsocketApi() + ws.start() + + channels = [ + 'lh_sub_spot_eth_btc_depth_20', + 'lh_sub_spot_eth_btc_trades', + 'lh_sub_spot_eth_btc_ticker' + ] + + for channel in channels: + req = { + 'event': 'addChannel', + 'channel': channel + } + ws.sendReq(req) + + + # 阻塞 + input() if __name__ == '__main__': - apiKey = '' - secretKey = '' + restTest() - # 创建API对象并初始化 - api = LbankApi() - api.DEBUG = True - api.init(apiKey, secretKey, 2) - - # 查询行情 - api.getTicker('btc_cny') - - # 查询深度 - api.getDepth('btc_cny', '60', '1') - - # 查询历史成交 - #api.getTrades('btc_cny', '1', str(int(time()))) - - # 查询Ｋ线 - #t = int(time()) - #sleep(300) - #api.getKline('btc_cny', '20', 'minute1', str(t)) - - # 查询账户 - #api.getUserInfo() - - # 发送委托 - #api.createOrder('btc_cny', 'sell', '8000', '0.001') - - # 撤单 - #api.cancelOrder('btc_cny', '725bd2da-73aa-419f-8090-f68488074e8f') - - # 查询委托 - #api.getOrdersInfo('btc_cny', '725bd2da-73aa-419f-8090-f68488074e8f') - - # 查询委托历史 - #api.getOrdersInfoHistory('btc_cny', '0', '1', '100') - - # 阻塞 - input() + #wsTest() \ No newline at end of file diff --git a/vnpy/api/lbank/vnlbank.py b/vnpy/api/lbank/vnlbank.py index d0f9158a..1d04ecf6 100644 --- a/vnpy/api/lbank/vnlbank.py +++ b/vnpy/api/lbank/vnlbank.py @@ -3,306 +3,223 @@ from __future__ import print_function import urllib import hashlib +import ssl +import json +import traceback import requests from Queue import Queue, Empty from threading import Thread -from time import sleep +from multiprocessing.dummy import Pool +from time import time + +import websocket -API_ROOT ="https://api.lbank.info/v1/" - -FUNCTION_TICKER = ('ticker.do', 'get') -FUNCTION_DEPTH = ('depth.do', 'get') -FUNCTION_TRADES = ('trades.do', 'get') -FUNCTION_KLINE = ('kline.do', 'get') - -FUNCTION_USERINFO = ('user_info.do', 'post') -FUNCTION_CREATEORDER = ('create_order.do', 'post') -FUNCTION_CANCELORDER = ('cancel_order.do', 'post') -FUNCTION_ORDERSINFO = ('orders_info.do', 'post') -FUNCTION_ORDERSINFOHISTORY = ('orders_info_history.do', 'post') +REST_HOST = "https://api.lbank.info/v1" +WEBSOCKET_HOST = 'ws://api.lbank.info/ws' -#---------------------------------------------------------------------- -def signature(params, secretKey): - """生成签名""" - params = sorted(params.iteritems(), key=lambda d:d[0], reverse=False) - params.append(('secret_key', secretKey)) - message = urllib.urlencode(params) - - m = hashlib.md5() - m.update(message) - m.digest() - - sig=m.hexdigest() - return sig - ######################################################################## -class LbankApi(object): +class LbankRestApi(object): """""" - DEBUG = True - + #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.apiKey = '' self.secretKey = '' - self.interval = 1 # 每次请求的间隔等待 self.active = False # API工作状态 self.reqID = 0 # 请求编号 - self.reqQueue = Queue() # 请求队列 - self.reqThread = Thread(target=self.processQueue) # 请求处理线程 - + self.queue = Queue() # 请求队列 + self.pool = None # 线程池 + self.sessionDict = {} # 连接池 + #---------------------------------------------------------------------- - def init(self, apiKey, secretKey, interval): + def init(self, apiKey, secretKey): """初始化""" self.apiKey = apiKey self.secretKey = secretKey - self.interval = interval - - self.active = True - self.reqThread.start() #---------------------------------------------------------------------- - def exit(self): + def start(self, n=10): + """""" + if self.active: + return + + self.active = True + self.pool = Pool(n) + self.pool.map_async(self.run, range(n)) + + #---------------------------------------------------------------------- + def close(self): """退出""" self.active = False - if self.reqThread.isAlive(): - self.reqThread.join() + if self.pool: + self.pool.close() + self.pool.join() #---------------------------------------------------------------------- - def processRequest(self, req): + def processReq(self, req, i): """处理请求""" # 读取方法和参数 - api, method = req['function'] - params = req['params'] - url = API_ROOT + api + method, path, params, callback, reqID = req + url = REST_HOST + path # 在参数中增加必须的字段 params['api_key'] = self.apiKey - - # 添加签名 - sign = signature(params, self.secretKey) - params['sign'] = sign + params['sign'] = self.generateSignature(params) # 发送请求 payload = urllib.urlencode(params) - - r = requests.request(method, url, params=payload) - if r.status_code == 200: - data = r.json() - return data - else: - return None + + try: + # 使用会话重用技术，请求延时降低80% + session = self.sessionDict[i] + resp = session.request(method, url, params=payload) + #resp = requests.request(method, url, params=payload) + + code = resp.status_code + d = resp.json() + + if code == 200: + callback(d, reqID) + else: + self.onError(code, str(d)) + + except Exception as e: + self.onError(type(e), e.message) #---------------------------------------------------------------------- - def processQueue(self): - """处理请求队列中的请求""" + def run(self, i): + """连续运行""" + self.sessionDict[i] = requests.Session() + while self.active: try: - req = self.reqQueue.get(block=True, timeout=1) # 获取请求的阻塞为一秒 - callback = req['callback'] - reqID = req['reqID'] - - data = self.processRequest(req) - - # 请求失败 - if data is None: - error = u'请求失败' - self.onError(error, req, reqID) - elif 'error_code' in data: - error = u'请求出错，错误代码：%s' % data['error_code'] - self.onError(error, req, reqID) - # 请求成功 - else: - if self.DEBUG: - print(callback.__name__) - callback(data, req, reqID) - - # 流控等待 - sleep(self.interval) - + req = self.queue.get(block=True, timeout=1) # 获取请求的阻塞为一秒 + self.processReq(req, i) except Empty: pass #---------------------------------------------------------------------- - def sendRequest(self, function, params, callback): + def addReq(self, method, path, params, callback): """发送请求""" # 请求编号加1 self.reqID += 1 # 生成请求字典并放入队列中 - req = {} - req['function'] = function - req['params'] = params - req['callback'] = callback - req['reqID'] = self.reqID - self.reqQueue.put(req) + req = (method, path, params, callback, self.reqID) + self.queue.put(req) # 返回请求编号 return self.reqID - + #---------------------------------------------------------------------- - def onError(self, error, req, reqID): + def generateSignature(self, params): + """生成签名""" + params = sorted(params.iteritems(), key=lambda d:d[0], reverse=False) + params.append(('secret_key', self.secretKey)) + message = urllib.urlencode(params) + + m = hashlib.md5() + m.update(message) + m.digest() + + sig = m.hexdigest() + return sig + + #---------------------------------------------------------------------- + def onError(self, code, msg): """错误推送""" - print(error, req, reqID) + print(code, msg) - ############################################### - # 行情接口 - ############################################### + #---------------------------------------------------------------------- + def onData(self, data, reqID): + """""" + print(data, reqID) + + +######################################################################## +class LbankWebsocketApi(object): + """Websocket API""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.ws = None + self.thread = None + self.active = False #---------------------------------------------------------------------- - def getTicker(self, symbol): - """查询行情""" - function = FUNCTION_TICKER - params = {'symbol': symbol} - callback = self.onGetTicker - return self.sendRequest(function, params, callback) - - # ---------------------------------------------------------------------- - def getDepth(self, symbol, size, merge): - """查询深度""" - function = FUNCTION_DEPTH - params = { - 'symbol': symbol, - 'size': size, - 'mege': merge - } - callback = self.onGetDepth - return self.sendRequest(function, params, callback) - - # ---------------------------------------------------------------------- - def getTrades(self, symbol, size, time): - """查询历史成交""" - function = FUNCTION_TRADES - params = { - 'symbol': symbol, - 'size': size, - 'time': time - } - callback = self.onGetTrades - return self.sendRequest(function, params, callback) - - # ---------------------------------------------------------------------- - def getKline(self, symbol, size, type_, time): - """查询K线""" - function = FUNCTION_KLINE - params = { - 'symbol': symbol, - 'size': size, - 'type': type_, - 'time': time - } - callback = self.onGetKline - return self.sendRequest(function, params, callback) - + def start(self): + """启动""" + self.ws = websocket.create_connection(WEBSOCKET_HOST, + sslopt={'cert_reqs': ssl.CERT_NONE}) + + self.active = True + self.thread = Thread(target=self.run) + self.thread.start() + + self.onConnect() + #---------------------------------------------------------------------- - def onGetTicker(self, data, req, reqID): - """查询行情回调""" - print(data, reqID) + def reconnect(self): + """重连""" + self.ws = websocket.create_connection(WEBSOCKET_HOST, + sslopt={'cert_reqs': ssl.CERT_NONE}) + + self.onConnect() + + #---------------------------------------------------------------------- + def run(self): + """运行""" + while self.active: + try: + stream = self.ws.recv() + data = json.loads(stream) + self.onData(data) + except: + msg = traceback.format_exc() + print(msg) + self.onError(msg) + self.reconnect() + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.active = False + + if self.thread: + self.ws.shutdown() + self.thread.join() + + #---------------------------------------------------------------------- + def onConnect(self): + """连接回调""" + print('connected') + + #---------------------------------------------------------------------- + def onData(self, data): + """数据回调""" + print('-' * 30) + l = data.keys() + l.sort() + for k in l: + print(k, data[k]) + + #---------------------------------------------------------------------- + def onError(self, msg): + """错误回调""" + print(msg) + + #---------------------------------------------------------------------- + def sendReq(self, req): + """发出请求""" + self.ws.send(json.dumps(req)) - # ---------------------------------------------------------------------- - def onGetDepth(self, data, req, reqID): - """查询深度回调""" - print(data, reqID) - - # ---------------------------------------------------------------------- - def onGetTrades(self, data, req, reqID): - """查询历史成交""" - print(data, reqID) - - # ---------------------------------------------------------------------- - def onGetKline(self, data, req, reqID): - """查询Ｋ线回报""" - print(data, reqID) - - ############################################### - # 交易接口 - ############################################### - - # ---------------------------------------------------------------------- - def getUserInfo(self): - """查询账户信息""" - function = FUNCTION_USERINFO - params = {} - callback = self.onGetUserInfo - return self.sendRequest(function, params, callback) - - # ---------------------------------------------------------------------- - def createOrder(self, symbol, type_, price, amount): - """发送委托""" - function = FUNCTION_CREATEORDER - params = { - 'symbol': symbol, - 'type': type_, - 'price': price, - 'amount': amount - } - callback = self.onCreateOrder - return self.sendRequest(function, params, callback) - - # ---------------------------------------------------------------------- - def cancelOrder(self, symbol, orderId): - """撤单""" - function = FUNCTION_CANCELORDER - params = { - 'symbol': symbol, - 'order_id': orderId - } - callback = self.onCancelOrder - return self.sendRequest(function, params, callback) - - # ---------------------------------------------------------------------- - def getOrdersInfo(self, symbol, orderId): - """查询委托""" - function = FUNCTION_ORDERSINFO - params = { - 'symbol': symbol, - 'order_id': orderId - } - callback = self.onGetOrdersInfo - return self.sendRequest(function, params, callback) - - # ---------------------------------------------------------------------- - def getOrdersInfoHistory(self, symbol, status, currentPage, pageLength): - """撤单""" - function = FUNCTION_ORDERSINFOHISTORY - params = { - 'symbol': symbol, - 'status': status, - 'current_page': currentPage, - 'page_length': pageLength - } - callback = self.onGetOrdersInfoHistory - return self.sendRequest(function, params, callback) - - # ---------------------------------------------------------------------- - def onGetUserInfo(self, data, req, reqID): - """查询账户信息""" - print(data, reqID) - - # ---------------------------------------------------------------------- - def onCreateOrder(self, data, req, reqID): - """委托回报""" - print(data, reqID) - - # ---------------------------------------------------------------------- - def onCancelOrder(self, data, req, reqID): - """撤单回报""" - print(data, reqID) - - # ---------------------------------------------------------------------- - def onGetOrdersInfo(self, data, req, reqID): - """查询委托回报""" - print(data, reqID) - - # ---------------------------------------------------------------------- - def onGetOrdersInfoHistory(self, data, req, reqID): - """撤单回报""" - print(data, reqID) diff --git a/vnpy/trader/gateway/fcoinGateway/__init__.py b/vnpy/trader/gateway/fcoinGateway/__init__.py index 2c6a4ee6..bd76f422 100644 --- a/vnpy/trader/gateway/fcoinGateway/__init__.py +++ b/vnpy/trader/gateway/fcoinGateway/__init__.py @@ -1,9 +1,9 @@ # encoding: UTF-8 from vnpy.trader import vtConstant -from .fcoinGateway import FcoinGateay +from .fcoinGateway import FcoinGateway -gatewayClass = FcoinGateay +gatewayClass = FcoinGateway gatewayName = 'FCOIN' gatewayDisplayName = 'FCOIN' gatewayType = vtConstant.GATEWAYTYPE_BTC diff --git a/vnpy/trader/gateway/fcoinGateway/fcoinGateway.py b/vnpy/trader/gateway/fcoinGateway/fcoinGateway.py index 0832ab78..637b49e6 100644 --- a/vnpy/trader/gateway/fcoinGateway/fcoinGateway.py +++ b/vnpy/trader/gateway/fcoinGateway/fcoinGateway.py @@ -39,13 +39,13 @@ priceTypeMap[PRICETYPE_MARKETPRICE] = 'market' ######################################################################## -class FcoinGateay(VtGateway): +class FcoinGateway(VtGateway): """FCOIN接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName=''): """Constructor""" - super(FcoinGateay, self).__init__(eventEngine, gatewayName) + super(FcoinGateway, self).__init__(eventEngine, gatewayName) self.restApi = RestApi(self) self.wsApi = WebsocketApi(self) diff --git a/vnpy/trader/gateway/lbankGateway/LBANK_connect.json b/vnpy/trader/gateway/lbankGateway/LBANK_connect.json index 5df1ee29..59286a19 100644 --- a/vnpy/trader/gateway/lbankGateway/LBANK_connect.json +++ b/vnpy/trader/gateway/lbankGateway/LBANK_connect.json @@ -1,6 +1,5 @@ { - "apiKey": "请在链行官网申请", - "secretKey": "请在链行官网申请", - "interval": 1, - "debug": false + "apiKey": "", + "secretKey": "", + "symbols": ["eth_usdt", "sc_btc", "btc_usdt"] } diff --git a/vnpy/trader/gateway/lbankGateway/lbankGateway.py b/vnpy/trader/gateway/lbankGateway/lbankGateway.py index 3cade80e..744eec64 100644 --- a/vnpy/trader/gateway/lbankGateway/lbankGateway.py +++ b/vnpy/trader/gateway/lbankGateway/lbankGateway.py @@ -1,60 +1,54 @@ # encoding: UTF-8 ''' -vn.lhang的gateway接入 +vnpy.api.lhang的gateway接入 ''' -from __future__ import print_function +from __future__ import print_function import os import json from datetime import datetime from time import sleep +from copy import copy -from vnpy.api.lbank import LbankApi +from vnpy.api.lbank import LbankRestApi, LbankWebsocketApi from vnpy.trader.vtGateway import * from vnpy.trader.vtFunction import getJsonPath -SYMBOL_BTCCNY = 'BTCCNY' -SYMBOL_ZECCNY = 'ZECCNY' +directionMap = {} +directionMap[DIRECTION_LONG] = 'buy' +directionMap[DIRECTION_SHORT] = 'sell' +directionMapReverse = {v:k for k,v in directionMap.items()} -SYMBOL_MAP = {} -SYMBOL_MAP['btc_cny'] = SYMBOL_BTCCNY -SYMBOL_MAP['zec_cny'] = SYMBOL_ZECCNY -SYMBOL_MAP_REVERSE = {v: k for k, v in SYMBOL_MAP.items()} - - -DIRECTION_MAP = {} -DIRECTION_MAP['buy'] = DIRECTION_LONG -DIRECTION_MAP['sell'] = DIRECTION_SHORT - -STATUS_MAP = {} -STATUS_MAP[0] = STATUS_NOTTRADED -STATUS_MAP[1] = STATUS_PARTTRADED -STATUS_MAP[2] = STATUS_ALLTRADED -STATUS_MAP[4] = STATUS_UNKNOWN -STATUS_MAP[-1] = STATUS_CANCELLED +statusMapReverse = {} +statusMapReverse[0] = STATUS_NOTTRADED +statusMapReverse[1] = STATUS_PARTTRADED +statusMapReverse[2] = STATUS_ALLTRADED +statusMapReverse[4] = STATUS_UNKNOWN +statusMapReverse[-1] = STATUS_CANCELLED ######################################################################## class LbankGateway(VtGateway): - """LBANK接口""" + """FCOIN接口""" #---------------------------------------------------------------------- - def __init__(self, eventEngine, gatewayName='LBANK'): + def __init__(self, eventEngine, gatewayName=''): """Constructor""" super(LbankGateway, self).__init__(eventEngine, gatewayName) + + self.restApi = RestApi(self) - self.api = LbankApi(self) - + self.qryEnabled = False # 是否要启动循环查询 + self.fileName = self.gatewayName + '_connect.json' - self.filePath = getJsonPath(self.fileName, __file__) - + self.filePath = getJsonPath(self.fileName, __file__) + #---------------------------------------------------------------------- def connect(self): """连接""" - # 载入json文件 try: f = file(self.filePath) except IOError: @@ -63,466 +57,562 @@ class LbankGateway(VtGateway): log.logContent = u'读取连接配置出错，请检查' self.onLog(log) return - + # 解析json文件 setting = json.load(f) try: - accessKey = str(setting['apiKey']) + apiKey = str(setting['apiKey']) secretKey = str(setting['secretKey']) - interval = setting['interval'] - debug = setting['debug'] + symbols = setting['symbols'] except KeyError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'连接配置缺少字段，请检查' self.onLog(log) - return - - # 初始化接口 - self.api.connect(accessKey, secretKey, interval, debug) - self.writeLog(u'接口初始化成功') - - # 启动查询 + return + + # 创建行情和交易接口对象 + self.restApi.connect(apiKey, secretKey, symbols) + + # 初始化并启动查询 self.initQuery() - self.startQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.restApi.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.restApi.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.restApi.close() + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.restApi.qryAccount, + self.restApi.qryWorkingOrder, + self.restApi.qryCompletedOrder, + self.restApi.qryMarketData] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 1 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class RestApi(LbankRestApi): + """REST API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(RestApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.localID = 0 + self.tradeID = 0 + + self.orderDict = {} # sysID:order + self.localSysDict = {} # localID:sysID + self.reqOrderDict = {} # reqID:order + self.cancelDict = {} # localID:req + + self.tickDict = {} # symbol:tick + self.reqSymbolDict = {} + + #---------------------------------------------------------------------- + def connect(self, apiKey, apiSecret, symbols): + """连接服务器""" + self.init(apiKey, apiSecret) + self.start() + + self.symbols = symbols + for symbol in symbols: + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = symbol + tick.exchange = EXCHANGE_LBANK + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + self.tickDict[symbol] = tick + + self.writeLog(u'REST API启动成功') + self.qryContract() + #---------------------------------------------------------------------- def writeLog(self, content): """发出日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = content - self.onLog(log) + self.gateway.onLog(log) - #---------------------------------------------------------------------- - def subscribe(self, subscribeReq): - """订阅行情，自动订阅全部行情，无需实现""" - pass - #---------------------------------------------------------------------- def sendOrder(self, orderReq): - """发单""" - self.api.sendOrder(orderReq) + """""" + self.localID += 1 + orderID = str(self.localID) + vtOrderID = '.'.join([self.gatewayName, orderID]) + req = { + 'symbol': orderReq.symbol, + 'type': directionMap[orderReq.direction], + 'price': orderReq.price, + 'amount': orderReq.volume + } + + reqid = self.addReq('POST', '/create_order.do', req, self.onSendOrder) + + # 缓存委托数据对象 + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = orderReq.symbol + order.exchange = EXCHANGE_LBANK + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + order.orderID = orderID + order.vtOrderID = vtOrderID + order.price = orderReq.price + order.totalVolume = orderReq.volume + order.direction = orderReq.direction + order.status = STATUS_UNKNOWN + + self.reqOrderDict[reqid] = order + + return vtOrderID + #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): - """撤单""" - self.api.cancel(cancelOrderReq) + """""" + localID = cancelOrderReq.orderID + if localID in self.localSysDict: + sysID = self.localSysDict[localID] + order = self.orderDict[sysID] + req = { + 'symbol': order.symbol, + 'order_id': sysID + } + self.addReq('POST', '/cancel_order.do', req, self.onCancelOrder) + + else: + self.cancelDict[localID] = cancelOrderReq + + #---------------------------------------------------------------------- + def qryContract(self): + """""" + self.addReq('GET', '/accuracy.do', {}, self.onQryContract) + + #---------------------------------------------------------------------- + def qryCompletedOrder(self): + """""" + for symbol in self.symbols: + req = { + 'symbol': symbol, + 'current_page': '1', + 'page_length': '100' + } + self.addReq('POST', '/orders_info_history.do', req, self.onQryOrder) + + #---------------------------------------------------------------------- + def qryWorkingOrder(self): + """""" + for symbol in self.symbols: + req = { + 'symbol': symbol, + 'current_page': '1', + 'page_length': '100' + } + self.addReq('POST', '/orders_info_no_deal.do', req, self.onQryOrder) + #---------------------------------------------------------------------- def qryAccount(self): - """查询账户资金""" - pass - - #---------------------------------------------------------------------- - def qryPosition(self): - """查询持仓""" - pass - - #---------------------------------------------------------------------- - def close(self): - """关闭""" - self.api.exit() - - #---------------------------------------------------------------------- - def initQuery(self): - """初始化连续查询""" - if self.qryEnabled: - self.qryFunctionList = [self.api.queryPrice, - self.api.queryWorkingOrders, - self.api.queryAccount] - self.startQuery() + """""" + self.addReq('POST', '/user_info.do', {}, self.onQryAccount) #---------------------------------------------------------------------- - def query(self, event): - """注册到事件处理引擎上的查询函数""" - for function in self.qryFunctionList: - function() + def qryDepth(self): + """""" + for symbol in self.symbols: + req = { + 'symbol': symbol, + 'size': '5' + } + i = self.addReq('GET', '/depth.do', req, self.onQryDepth) + self.reqSymbolDict[i] = symbol + + #---------------------------------------------------------------------- + def qryTicker(self): + """""" + for symbol in self.symbols: + req = {'symbol': symbol} + i = self.addReq('GET', '/ticker.do', req, self.onQryTicker) + self.reqSymbolDict[i] = symbol + + #---------------------------------------------------------------------- + def qryMarketData(self): + """""" + self.qryDepth() + self.qryTicker() + + #---------------------------------------------------------------------- + def onSendOrder(self, data, reqid): + """""" + order = self.reqOrderDict[reqid] + localID = order.orderID + sysID = data['order_id'] + + self.localSysDict[localID] = sysID + self.orderDict[sysID] = order + + self.gateway.onOrder(order) + + # 发出等待的撤单委托 + if localID in self.cancelDict: + req = self.cancelDict[localID] + self.cancelOrder(req) + del self.cancelDict[localID] + + #---------------------------------------------------------------------- + def onCancelOrder(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onError(self, code, error): + """""" + msg = u'发生异常，错误代码：%s，错误信息：%s' %(code, error) + self.writeLog(msg) + + #---------------------------------------------------------------------- + def onQryOrder(self, data, reqid): + """""" + if 'orders' not in data: + return + + if not isinstance(data['orders'], list): + return + + data['orders'].reverse() + + for d in data['orders']: + orderUpdated = False + tradeUpdated = False + + # 获取委托对象 + sysID = d['order_id'] + if sysID in self.orderDict: + order = self.orderDict[sysID] + else: + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = d['symbol'] + order.exchange = EXCHANGE_LBANK + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + self.localID += 1 + localID = str(self.localID) + self.localSysDict[localID] = sysID + + order.orderID = localID + order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) + + order.direction = directionMapReverse[d['type']] + order.price = float(d['price']) + order.totalVolume = float(d['amount']) + + dt = datetime.fromtimestamp(d['create_time']/1000) + order.orderTime = dt.strftime('%H:%M:%S') + + self.orderDict[sysID] = order + orderUpdated = True + + # 检查是否委托有变化 + newTradedVolume = float(d['deal_amount']) + newStatus = statusMapReverse[d['status']] + + if newTradedVolume != float(order.tradedVolume) or newStatus != order.status: + orderUpdated = True + + if newTradedVolume != float(order.tradedVolume): + tradeUpdated = True + newVolume = newTradedVolume - order.tradedVolume + + order.tradedVolume = newTradedVolume + order.status = newStatus + + # 若有更新才推送 + if orderUpdated: + self.gateway.onOrder(order) + + if tradeUpdated: + # 推送成交 + trade = VtTradeData() + trade.gatewayName = order.gatewayName + + trade.symbol = order.symbol + trade.vtSymbol = order.vtSymbol + + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + + self.tradeID += 1 + trade.tradeID = str(self.tradeID) + trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) + + trade.direction = order.direction + trade.price = order.price + trade.volume = newTradedVolume + trade.tradeTime = datetime.now().strftime('%H:%M:%S') + + self.gateway.onTrade(trade) + #---------------------------------------------------------------------- - def startQuery(self): - """启动连续查询""" - self.eventEngine.register(EVENT_TIMER, self.query) + def onQryAccount(self, data, reqid): + """""" + info = data['info'] + asset = info['asset'] + free = info['free'] + freeze = info['freeze'] + + for currency in asset.keys(): + account = VtAccountData() + account.gatewayName = self.gatewayName + + account.accountID = currency + account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) + account.balance = float(asset[currency]) + account.available = float(free[currency]) + + self.gateway.onAccount(account) #---------------------------------------------------------------------- - def setQryEnabled(self, qryEnabled): - """设置是否要启动循环查询""" - self.qryEnabled = qryEnabled + def onQryContract(self, data, reqid): + """""" + for d in data: + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = str(d['symbol']) + contract.exchange = EXCHANGE_LBANK + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = contract.vtSymbol + contract.productClass = PRODUCT_SPOT + contract.priceTick = pow(10, -int(d['priceAccuracy'])) + contract.size = 1 + + self.gateway.onContract(contract) + + self.writeLog(u'合约信息查询完成') + #---------------------------------------------------------------------- + def onQryTicker(self, data, reqid): + """""" + ticker = data['ticker'] + + symbol = self.reqSymbolDict.pop(reqid) + tick = self.tickDict[symbol] + + tick.highPrice = float(ticker['high']) + tick.lowPrice = float(ticker['low']) + tick.lastPrice = float(ticker['latest']) + tick.volume = float(ticker['vol']) + + tick.datetime = datetime.fromtimestamp(int(data['timestamp']/1000)) + tick.date = tick.datetime.strftime('%Y%m%d') + tick.time = tick.datetime.strftime('%H:%M:%S') + + if tick.bidPrice1: + self.gateway.onTick(copy(tick)) + + #---------------------------------------------------------------------- + def onQryDepth(self, data, reqid): + """""" + symbol = self.reqSymbolDict.pop(reqid) + tick = self.tickDict[symbol] + + bids = data['bids'] + asks = data['asks'] + + tick.bidPrice1, tick.bidVolume1 = bids[0] + tick.bidPrice2, tick.bidVolume2 = bids[1] + tick.bidPrice3, tick.bidVolume3 = bids[2] + tick.bidPrice4, tick.bidVolume4 = bids[3] + tick.bidPrice5, tick.bidVolume5 = bids[4] + + tick.askPrice1, tick.askVolume1 = asks[0] + tick.askPrice2, tick.askVolume2 = asks[1] + tick.askPrice3, tick.askVolume3 = asks[2] + tick.askPrice4, tick.askVolume4 = asks[3] + tick.askPrice5, tick.askVolume5 = asks[4] + + if tick.lastPrice: + self.gateway.onTick(copy(tick)) + ######################################################################## -class LbankApi(LbankApi): +class WebsocketApi(LbankWebsocketApi): """""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" - super(LbankApi, self).__init__() + super(WebsocketApi, self).__init__() self.gateway = gateway self.gatewayName = gateway.gatewayName - self.interval = 1 - - self.localID = 0 # 本地委托号 - self.localSystemDict = {} # key:localID, value:systemID - self.systemLocalDict = {} # key:systemID, value:localID - self.workingOrderDict = {} # key:localID, value:order - self.reqLocalDict = {} # key:reqID, value:localID - self.cancelDict = {} # key:localID, value:cancelOrderReq - - self.tradeID = 0 - - self.tickDict = {} # key:symbol, value:tick - + self.symbols = [] + self.channelTickDict = {} + #---------------------------------------------------------------------- - def onError(self, error, req, reqID): - """错误推送""" - err = VtErrorData() - err.gatewayName = self.gatewayName - err.errorMsg = str(error) - err.errorTime = datetime.now().strftime('%H:%M:%S.%f')[:-3] - self.gateway.onError(err) - + def connect(self, symbols): + """""" + self.symbols = symbols + self.start() + #---------------------------------------------------------------------- - def onGetTicker(self, data, req, reqID): - """查询行情回调""" - ticker = data['ticker'] - params = req['params'] - symbol = SYMBOL_MAP[params['symbol']] - - if symbol not in self.tickDict: + def onConnect(self): + """连接回调""" + self.writeLog(u'Websocket API连接成功') + self.subscribe() + + #---------------------------------------------------------------------- + def subscribe(self): + """""" + for symbol in self.symbols: tick = VtTickData() tick.gatewayName = self.gatewayName - tick.symbol = symbol tick.exchange = EXCHANGE_LBANK tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) - self.tickDict[symbol] = tick - else: - tick = self.tickDict[symbol] - - tick.highPrice = float(ticker['high']) - tick.lowPrice = float(ticker['low']) - tick.lastPrice = float(ticker['latest']) - tick.openPrice = tick.lastPrice - float(ticker['change']) - tick.volume = ticker['vol'] - - # ---------------------------------------------------------------------- - def onGetDepth(self, data, req, reqID): - """查询深度回调""" - params = req['params'] - symbol = SYMBOL_MAP[params['symbol']] - if symbol not in self.tickDict: - tick = VtTickData() - tick.gatewayName = self.gatewayName - - tick.symbol = symbol - tick.exchange = EXCHANGE_LBANK - tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) - self.tickDict[symbol] = tick - else: - tick = self.tickDict[symbol] - - tick.bidPrice1, tick.bidVolume1 = data['bids'][0] - tick.bidPrice2, tick.bidVolume2 = data['bids'][1] - tick.bidPrice3, tick.bidVolume3 = data['bids'][2] - tick.bidPrice4, tick.bidVolume4 = data['bids'][3] - tick.bidPrice5, tick.bidVolume5 = data['bids'][4] - - tick.askPrice1, tick.askVolume1 = data['asks'][0] - tick.askPrice2, tick.askVolume2 = data['asks'][1] - tick.askPrice3, tick.askVolume3 = data['asks'][2] - tick.askPrice4, tick.askVolume4 = data['asks'][3] - tick.askPrice5, tick.askVolume5 = data['asks'][4] - - now = datetime.now() - tick.time = now.strftime('%H:%M:%S.%f')[:-3] - tick.date = now.strftime('%Y%m%d') - - self.gateway.onTick(tick) - - # ---------------------------------------------------------------------- - def onGetTrades(self, data, req, reqID): - """查询历史成交""" - print(data, reqID) - - # ---------------------------------------------------------------------- - def onGetKline(self, data, req, reqID): - print(data, reqID) - - # ---------------------------------------------------------------------- - def onGetUserInfo(self, data, req, reqID): - """查询Ｋ线回报""" - d = data['info'] - account = VtAccountData() - account.gatewayName = self.gatewayName - account.accountID = self.gatewayName - account.vtAccountID = '.'.join([account.accountID, self.gatewayName]) - account.balance = d['asset']['net'] - self.gateway.onAccount(account) - - # 推送持仓数据 - posCny = VtPositionData() - posCny.gatewayName = self.gatewayName - posCny.symbol = 'CNY' - posCny.exchange = EXCHANGE_LBANK - posCny.vtSymbol = '.'.join([posCny.symbol, posCny.exchange]) - posCny.vtPositionName = posCny.vtSymbol - posCny.frozen = d['freeze']['cny'] - posCny.position = posCny.frozen + d['free']['cny'] - self.gateway.onPosition(posCny) - - posBtc = VtPositionData() - posBtc.gatewayName = self.gatewayName - posBtc.symbol = 'BTC' - posBtc.exchange = EXCHANGE_LBANK - posBtc.vtSymbol = '.'.join([posBtc.symbol, posBtc.exchange]) - posBtc.vtPositionName = posBtc.vtSymbol - posBtc.frozen = d['freeze']['btc'] - posBtc.position = posBtc.frozen + d['free']['btc'] - self.gateway.onPosition(posBtc) - - posZec = VtPositionData() - posZec.gatewayName = self.gatewayName - posZec.symbol = 'ZEC' - posZec.exchange = EXCHANGE_LBANK - posZec.vtSymbol = '.'.join([posZec.symbol, posZec.exchange]) - posZec.vtPositionName = posZec.vtSymbol - posZec.frozen = d['freeze']['zec'] - posZec.position = posZec.frozen + d['free']['zec'] - self.gateway.onPosition(posZec) - - # 查询历史委托 - self.queryOrders() - - # ---------------------------------------------------------------------- - def onCreateOrder(self, data, req, reqID): - """发单回调""" - localID = self.reqLocalDict[reqID] - systemID = data['id'] - self.localSystemDict[localID] = systemID - self.systemLocalDict[systemID] = localID - - # 撤单 - if localID in self.cancelDict: - req = self.cancelDict[localID] - self.cancel(req) - del self.cancelDict[localID] - - # 推送委托信息 - order = self.workingOrderDict[localID] - if data['result'] == 'success': - order.status = STATUS_NOTTRADED - self.gateway.onOrder(order) - - # ---------------------------------------------------------------------- - def onCancelOrder(self, data, req, reqID): - """撤单回调""" - if data['result'] == 'success': - systemID = req['params']['id'] - localID = self.systemLocalDict[systemID] - - order = self.workingOrderDict[localID] - order.status = STATUS_CANCELLED - - del self.workingOrderDict[localID] - self.gateway.onOrder(order) - - # ---------------------------------------------------------------------- - def onGetOrdersInfo(self, data, req, reqID): - """查询委托回报""" - if 'orders' in data: - for d in data['orders']: - systemID = d['order_id'] - localID = self.systemLocalDict[systemID] - order = self.workingOrderDict.get(localID, None) - if not order: - return - - # 记录最新成交的金额 - newTradeVolume = float(d['deal_amount']) - order.tradedVolume - if newTradeVolume: - trade = VtTradeData() - trade.gatewayName = self.gatewayName - trade.symbol = order.symbol - trade.vtSymbol = order.vtSymbol - - self.tradeID += 1 - trade.tradeID = str(self.tradeID) - trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName]) - - trade.volume = newTradeVolume - trade.price = d['avg_price'] - trade.direction = order.direction - trade.offset = order.offset - trade.exchange = order.exchange - trade.tradeTime = datetime.now().strftime('%H:%M:%S.%f')[:-3] - - self.gateway.onTrade(trade) - - # 更新委托状态 - order.tradedVolume = float(d['deal_amount']) - order.status = STATUS_MAP.get(d['status'], STATUS_UNKNOWN) - - if newTradeVolume: - self.gateway.onOrder(order) - - if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED: - del self.workingOrderDict[order.orderID] - - # ---------------------------------------------------------------------- - def onGetOrdersInfoHistory(self, data, req, reqID): - """撤单回报""" - if 'orders' in data: - for d in data['orders']: - order = VtOrderData() - order.gatewayName = self.gatewayName - - order.symbol = SYMBOL_MAP[data['symbol']] - order.exchange = EXCHANGE_LBANK - order.vtSymbol = '.'.join([order.symbol, order.exchange]) - - systemID = d['order_id'] - self.localID += 1 - localID = str(self.localID) - self.systemLocalDict[systemID] = localID - self.localSystemDict[localID] = systemID - order.orderID = localID - order.vtOrderID = '.'.join([order.orderID, order.gatewayName]) - - order.totalVolume = float(d['amount']) - order.tradedVolume = float(d['deal_amount']) - order.price = float(d['price']) - order.direction = DIRECTION_MAP[d['type']] - order.offset = OFFSET_NONE - order.orderTime = datetime.fromtimestamp(d['create_time'], '%H:%M:%S') - - # 委托状态 - if order.tradedVolume == 0: - order.status = STATUS_NOTTRADED - else: - order.status = STATUS_PARTTRADED - - # 缓存病推送 - self.workingOrderDict[localID] = order - self.gateway.onOrder(order) - - #---------------------------------------------------------------------- - def connect(self, apiKey, secretKey, interval, debug): - """初始化""" - self.interval = interval - self.DEBUG = debug - - self.init(apiKey, secretKey, self.interval) - - # 推送合约信息 - contract = VtContractData() - contract.gatewayName = self.gatewayName - contract.symbol = SYMBOL_BTCCNY - contract.exchange = EXCHANGE_LBANK - contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) - contract.name = u'人民币现货BTC' - contract.size = 1 - contract.priceTick = 0.01 - contract.productClass = PRODUCT_SPOT - self.gateway.onContract(contract) - - contract = VtContractData() - contract.gatewayName = self.gatewayName - contract.symbol = SYMBOL_ZECCNY - contract.exchange = EXCHANGE_LBANK - contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) - contract.name = u'人民币现货ZEC' - contract.size = 1 - contract.priceTick = 0.01 - contract.productClass = PRODUCT_SPOT - self.gateway.onContract(contract) - - #---------------------------------------------------------------------- - def sendOrder(self, req): - """发单""" - # 检查是否填入了价格，禁止市价委托 - if req.priceType != PRICETYPE_LIMITPRICE: - err = VtErrorData() - err.gatewayName = self.gatewayName - err.errorMsg = u'LBANK接口仅支持限价单' - err.errorTime = datetime.now().strftime('%H:%M:%S.%f')[:-3] - self.gateway.onError(err) - return None - - # 发送限价委托 - s = SYMBOL_MAP_REVERSE[req.symbol] - - if req.direction == DIRECTION_LONG: - type_ = 'buy' - else: - type_ = 'sell' - - reqID = self.createOrder(s, type_, req.price, req.volume) - - self.localID += 1 - localID = str(self.localID) - self.reqLocalDict[reqID] = localID - - # 推送委托信息 - order = VtOrderData() - order.gatewayName = self.gatewayName - - order.symbol = req.symbol - order.exchange = EXCHANGE_LBANK - order.vtSymbol = '.'.join([order.symbol, order.exchange]) - - order.orderID = localID - order.vtOrderID = '.'.join([order.orderID, order.gatewayName]) - - order.direction = req.direction - order.offset = OFFSET_UNKNOWN - order.price = req.price - order.volume = req.volume - order.orderTime = datetime.now().strftime('%H:%M:%S.%f')[:-3] - order.status = STATUS_UNKNOWN - - self.workingOrderDict[localID] = order - self.gateway.onOrder(order) - - # 返回委托号 - return order.vtOrderID + + channelDepth = 'lh_sub_spot_%s_depth_20' %symbol + #channelTrades = 'lh_sub_spot_%s_ticker' %symbol + self.channelTickDict[channelDepth] = tick + # self.channelTickDict[channelTrades] = tick + + for channel in [channelDepth]: #, channelTrades]: + req = { + 'event': 'addChannel', + 'channel': channel + } + self.sendReq(req) #---------------------------------------------------------------------- - def cancel(self, req): - """撤单""" - localID = req.orderID - if localID in self.localSystemDict: - systemID = self.localSystemDict[localID] - s = SYMBOL_MAP_REVERSE[req.symbol] - self.cancelOrder(s, systemID) - else: - self.cancelDict[localID] = req + def onData(self, data): + """数据回调""" + channel = data['channel'] + print(data) + if 'trades' in channel: + self.onTick(data) + elif 'depth' in channel: + self.onDepth(data) + + #---------------------------------------------------------------------- + def onError(self, msg): + """错误回调""" + self.writeLog(msg) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def onTick(self, data): + """""" + if 'data' not in data: + return + + channel = data['channel'] + tick = self.channelTickDict[channel] + + fill = data['data'][0] + tick.lastPrice = float(fill[0]) + tick.datetime = datetime.fromtimestamp(int(fill[2])/1000) + tick.date = tick.datetime.strftime('%Y%m%d') + tick.time = tick.datetime.strftime('%H:%M:%S') + + self.gateway.onTick(copy(tick)) #---------------------------------------------------------------------- - def queryOrders(self): - """查询委托""" - for s in SYMBOL_MAP.keys(): - self.getOrdersInfoHistory(s, '0', '1', '200') + def onDepth(self, data): + """""" + if 'data' not in data: + return + + channel = data['channel'] + tick = self.channelTickDict[channel] - #---------------------------------------------------------------------- - def queryWorkingOrders(self): - """查询活动委托""" - for localID, order in self.workingOrderDict.items(): - if localID in self.localSystemDict: - systemID = self.localSystemDict[localID] - s = SYMBOL_MAP_REVERSE[order.symbol] - self.getOrdersInfo(s, systemID) + d = data['data'] + bids = d['bids'] + asks = d['asks'] + + tick.bidPrice1, tick.bidVolume1 = bids[0] + tick.bidPrice2, tick.bidVolume2 = bids[1] + tick.bidPrice3, tick.bidVolume3 = bids[2] + tick.bidPrice4, tick.bidVolume4 = bids[3] + tick.bidPrice5, tick.bidVolume5 = bids[4] + + tick.askPrice1, tick.askVolume1 = asks[0] + tick.askPrice2, tick.askVolume2 = asks[1] + tick.askPrice3, tick.askVolume3 = asks[2] + tick.askPrice4, tick.askVolume4 = asks[3] + tick.askPrice5, tick.askVolume5 = asks[4] + + tick.lastPrice = (tick.askPrice1 + tick.askPrice2) / 2 + + tick.datetime = datetime.fromtimestamp(d['timestamp']/1000) + tick.date = tick.datetime.strftime('%Y%m%d') + tick.time = tick.datetime.strftime('%H:%M:%S') + + self.gateway.onTick(copy(tick)) - #---------------------------------------------------------------------- - def queryPrice(self): - """查询行情""" - for s in SYMBOL_MAP.keys(): - self.getTicker(s) - self.getDepth(s, 5, 0) - - #---------------------------------------------------------------------- - def queryAccount(self): - """查询资金和资产""" - self.getUserInfo() \ No newline at end of file From 1c0a2cf758d2df40d11aa7b8e2b425c4e187f7ae Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sat, 7 Jul 2018 17:58:22 +0800 Subject: [PATCH 072/135] =?UTF-8?q?[Fix]=E4=BF=AE=E5=A4=8DBitfinex?= =?UTF-8?q?=E6=8E=A5=E5=8F=A3=E7=9A=84=E4=B8=8B=E5=8D=95=E6=9C=AC=E5=9C=B0?= =?UTF-8?q?=E5=A7=94=E6=89=98=E5=8F=B7=E5=AD=97=E6=AE=B5=E9=94=99=E8=AF=AF?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py index 1e622ad4..3dfc320f 100644 --- a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -255,7 +255,7 @@ class GatewayApi(BitfinexApi): amount = -orderReq.volume o = { - 'CID': orderId, + 'cid': orderId, 'type': priceTypeMap[orderReq.priceType], 'symbol': 't' + orderReq.symbol, 'amount': str(amount), From 8e988caf5c24f28a0d82e314ddd99844a7545165 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 9 Jul 2018 10:40:17 +0800 Subject: [PATCH 073/135] =?UTF-8?q?[Del]=E7=A7=BB=E9=99=A4=E6=97=A0?= =?UTF-8?q?=E5=85=B3=E4=BF=A1=E6=81=AF?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bigone/vnbigone.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/vnpy/api/bigone/vnbigone.py b/vnpy/api/bigone/vnbigone.py index cf82b685..8a8bb8ab 100644 --- a/vnpy/api/bigone/vnbigone.py +++ b/vnpy/api/bigone/vnbigone.py @@ -137,8 +137,8 @@ if __name__ == '__main__': from datetime import datetime from time import sleep - API_KEY = 'c9c61d5e-6a4b-42c5-9d9d-e0656feb2c94' - API_SECRET = '806E0FAEFCD2FF8CBD325A55D77B3E018BB7A9B94419EA4F5B2B3F71F5B188CB' + API_KEY = '' + API_SECRET = '' # REST测试 rest = BigoneRestApi() From 1dd5eaceaebf9b6ea602bc628f3dfeafa98e74be Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 10 Jul 2018 17:13:38 +0800 Subject: [PATCH 074/135] =?UTF-8?q?[Mod]=E4=BF=AE=E6=94=B9=E4=B8=8B?= =?UTF-8?q?=E5=8D=95=E7=BB=84=E4=BB=B6=E7=9A=84=E4=BB=B7=E6=A0=BC=E5=92=8C?= =?UTF-8?q?=E6=95=B0=E9=87=8F=E8=BE=93=E5=85=A5=E4=BD=BF=E7=94=A8QLineEdit?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/uiBasicWidget.py | 32 +++++++++++++++++--------------- 1 file changed, 17 insertions(+), 15 deletions(-) diff --git a/vnpy/trader/uiBasicWidget.py b/vnpy/trader/uiBasicWidget.py index 138e9ccf..2446f017 100644 --- a/vnpy/trader/uiBasicWidget.py +++ b/vnpy/trader/uiBasicWidget.py @@ -727,7 +727,7 @@ class TradingWidget(QtWidgets.QFrame): def initUi(self): """初始化界面""" self.setWindowTitle(vtText.TRADING) - self.setMaximumWidth(400) + self.setFixedWidth(500) self.setFrameShape(self.Box) # 设置边框 self.setLineWidth(1) @@ -754,14 +754,14 @@ class TradingWidget(QtWidgets.QFrame): self.comboOffset = QtWidgets.QComboBox() self.comboOffset.addItems(self.offsetList) - self.spinPrice = QtWidgets.QDoubleSpinBox() - self.spinPrice.setDecimals(globalSetting.get('maxDecimal', 4)) - self.spinPrice.setMinimum(0) - self.spinPrice.setMaximum(1000000) + validator = QtGui.QDoubleValidator() + validator.setBottom(0) - self.spinVolume = QtWidgets.QSpinBox() - self.spinVolume.setMinimum(0) - self.spinVolume.setMaximum(1000000) + self.linePrice = QtWidgets.QLineEdit() + self.linePrice.setValidator(validator) + + self.lineVolume = QtWidgets.QLineEdit() + self.lineVolume.setValidator(validator) self.comboPriceType = QtWidgets.QComboBox() self.comboPriceType.addItems(self.priceTypeList) @@ -796,8 +796,8 @@ class TradingWidget(QtWidgets.QFrame): gridleft.addWidget(self.comboDirection, 2, 1, 1, -1) gridleft.addWidget(self.comboOffset, 3, 1, 1, -1) gridleft.addWidget(self.checkFixed, 4, 1) - gridleft.addWidget(self.spinPrice, 4, 2) - gridleft.addWidget(self.spinVolume, 5, 1, 1, -1) + gridleft.addWidget(self.linePrice, 4, 2) + gridleft.addWidget(self.lineVolume, 5, 1, 1, -1) gridleft.addWidget(self.comboPriceType, 6, 1, 1, -1) gridleft.addWidget(self.comboExchange, 7, 1, 1, -1) gridleft.addWidget(self.comboCurrency, 8, 1, 1, -1) @@ -882,6 +882,8 @@ class TradingWidget(QtWidgets.QFrame): gridRight.addWidget(self.labelBidVolume3, 8, 2) gridRight.addWidget(self.labelBidVolume4, 9, 2) gridRight.addWidget(self.labelBidVolume5, 10, 2) + + self.labelBidVolume5.setFixedWidth(100) # 发单按钮 buttonSendOrder = QtWidgets.QPushButton(vtText.SEND_ORDER) @@ -934,8 +936,8 @@ class TradingWidget(QtWidgets.QFrame): exchange = contract.exchange # 保证有交易所代码 # 清空价格数量 - self.spinPrice.setValue(0) - self.spinVolume.setValue(0) + self.linePrice.clear() + self.lineVolume.clear() # 清空行情显示 self.labelBidPrice1.setText('') @@ -984,7 +986,7 @@ class TradingWidget(QtWidgets.QFrame): return if not self.checkFixed.isChecked(): - self.spinPrice.setValue(tick.lastPrice) + self.linePrice.setText(str(tick.lastPrice)) self.labelBidPrice1.setText(str(tick.bidPrice1)) self.labelAskPrice1.setText(str(tick.askPrice1)) @@ -1053,8 +1055,8 @@ class TradingWidget(QtWidgets.QFrame): req.symbol = symbol req.exchange = exchange req.vtSymbol = vtSymbol - req.price = self.spinPrice.value() - req.volume = self.spinVolume.value() + req.price = float(self.linePrice.text()) + req.volume = float(self.lineVolume.text()) req.direction = unicode(self.comboDirection.currentText()) req.priceType = unicode(self.comboPriceType.currentText()) req.offset = unicode(self.comboOffset.currentText()) From e8282a135de68efe61e6a2d70111359d8409768f Mon Sep 17 00:00:00 2001 From: Mark <99972538@qq.com> Date: Wed, 11 Jul 2018 15:33:04 +0800 Subject: [PATCH 075/135] =?UTF-8?q?=E6=97=B6=E9=97=B4=E5=9B=9E=E9=80=801?= =?UTF-8?q?=E5=88=86=E9=92=9F=EF=BC=8C0=EF=BC=9A00=E6=97=B6=E8=B7=A8?= =?UTF-8?q?=E6=97=A5=E5=9B=9E=E9=80=80=E9=94=99=E8=AF=AF?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit 0：00时，人家日期时新的一天，而回退到23：59没有回退日期 --- examples/QuantosDataService/dataService.py | 16 +++++++++++++++- 1 file changed, 15 insertions(+), 1 deletion(-) diff --git a/examples/QuantosDataService/dataService.py b/examples/QuantosDataService/dataService.py index 730cb2e2..89f6726d 100644 --- a/examples/QuantosDataService/dataService.py +++ b/examples/QuantosDataService/dataService.py @@ -62,7 +62,6 @@ def generateVtBar(row): bar.low = row['low'] bar.close = row['close'] bar.volume = row['volume'] - bar.date = str(row['date']) bar.time = str(row['time']).rjust(6, '0') @@ -70,6 +69,19 @@ def generateVtBar(row): hour=bar.time[0:2] minute=bar.time[2:4] sec=bar.time[4:6] + + # ------------------------------add by yzl :start + # print(row.date, type(row.date), row.time, type(row.time))# add by yzl to show the date type and value + # 20180328 < type'long' > 93400 < type'long' > + # 最佳改进方法： 构建一个datetime,然后滞后一分钟，不能简单0：00：00处理，日期减一，弊端:处理量太大 + # 改进2：找出 0：00,此时日期回退一天 + if int(hour) == 0 and int(minute) == 0: + temp_date = datetime(int(bar.date[:4]), int(bar.date[4:6]), int(bar.date[6:])).date() + temp_date = temp_date - timedelta(days=1) + bar.date = temp_date.strftime("%Y%m%d") + + # -------------------------------add by yzl :end + if minute=="00": minute="59" @@ -81,6 +93,8 @@ def generateVtBar(row): else: minute=str(int(minute)-1).rjust(2,'0') bar.time=hour+minute+sec + + bar.datetime = datetime.strptime(' '.join([bar.date, bar.time]), '%Y%m%d %H%M%S') From bb2f45432f65940f0e0c938cd834c66431262a60 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Wed, 11 Jul 2018 22:07:14 +0800 Subject: [PATCH 076/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9ECoinbase?= =?UTF-8?q?=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/CryptoTrader/COINBASE_connect.json | 7 + examples/CryptoTrader/run.py | 4 +- vnpy/api/coinbase/__init__.py | 1 + vnpy/api/coinbase/vncoinbase.py | 298 ++++++++ vnpy/trader/gateway/bitmexGateway/__init__.py | 4 +- .../gateway/bitmexGateway/bitmexGateway.py | 4 +- .../coinbaseGateway/COINBASE_connect.json | 7 + .../gateway/coinbaseGateway/__init__.py | 10 + .../coinbaseGateway/coinbaseGateway.py | 664 ++++++++++++++++++ vnpy/trader/language/chinese/constant.py | 1 + vnpy/trader/language/english/constant.py | 1 + 11 files changed, 996 insertions(+), 5 deletions(-) create mode 100644 examples/CryptoTrader/COINBASE_connect.json create mode 100644 vnpy/api/coinbase/__init__.py create mode 100644 vnpy/api/coinbase/vncoinbase.py create mode 100644 vnpy/trader/gateway/coinbaseGateway/COINBASE_connect.json create mode 100644 vnpy/trader/gateway/coinbaseGateway/__init__.py create mode 100644 vnpy/trader/gateway/coinbaseGateway/coinbaseGateway.py diff --git a/examples/CryptoTrader/COINBASE_connect.json b/examples/CryptoTrader/COINBASE_connect.json new file mode 100644 index 00000000..9926112b --- /dev/null +++ b/examples/CryptoTrader/COINBASE_connect.json @@ -0,0 +1,7 @@ +{ + "apiKey": "", + "secretKey": "", + "passphrase": "", + "sessionCount": 10, + "symbols": ["ETH-USD"] +} \ No newline at end of file diff --git a/examples/CryptoTrader/run.py b/examples/CryptoTrader/run.py index 23868fa1..6f77a38e 100644 --- a/examples/CryptoTrader/run.py +++ b/examples/CryptoTrader/run.py @@ -23,7 +23,8 @@ from vnpy.trader.uiMainWindow import MainWindow from vnpy.trader.gateway import (huobiGateway, okexGateway, binanceGateway, bitfinexGateway, bitmexGateway, fcoinGateway, - bigoneGateway, lbankGateway) + bigoneGateway, lbankGateway, + coinbaseGateway) # 加载上层应用 from vnpy.trader.app import (algoTrading) @@ -42,6 +43,7 @@ def main(): me = MainEngine(ee) # 添加交易接口 + me.addGateway(coinbaseGateway) me.addGateway(lbankGateway) me.addGateway(bigoneGateway) me.addGateway(fcoinGateway) diff --git a/vnpy/api/coinbase/__init__.py b/vnpy/api/coinbase/__init__.py new file mode 100644 index 00000000..282a1dc0 --- /dev/null +++ b/vnpy/api/coinbase/__init__.py @@ -0,0 +1 @@ +from .vncoinbase import CoinbaseRestApi, CoinbaseWebsocketApi \ No newline at end of file diff --git a/vnpy/api/coinbase/vncoinbase.py b/vnpy/api/coinbase/vncoinbase.py new file mode 100644 index 00000000..7efad269 --- /dev/null +++ b/vnpy/api/coinbase/vncoinbase.py @@ -0,0 +1,298 @@ +# encoding: UTF-8 + +from __future__ import print_function + +import hashlib +import hmac +import base64 +import json +import ssl +import traceback + +from queue import Queue, Empty +from multiprocessing.dummy import Pool +from time import time +from urlparse import urlparse +from copy import copy +from urllib import urlencode +from threading import Thread + +from six.moves import input + +import requests +import websocket + + +REST_HOST = 'https://api-public.sandbox.pro.coinbase.com' +WEBSOCKET_HOST = 'wss://ws-feed-public.sandbox.pro.coinbase.com' + + + +######################################################################## +class CoinbaseRestApi(object): + """REST API""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.apiKey = '' + self.secretKey = '' + self.passphrase = '' + self.hmacKey = '' + + self.active = False + self.reqid = 0 + self.queue = Queue() + self.pool = None + self.sessionDict = {} # 会话对象字典 + + self.header = { + 'Content-Type': 'Application/JSON' + } + + #---------------------------------------------------------------------- + def init(self, apiKey, secretKey, passphrase): + """初始化""" + self.apiKey = apiKey + self.secretKey = secretKey + self.passphrase = passphrase + + self.hmacKey = base64.b64decode(self.secretKey) + + #---------------------------------------------------------------------- + def start(self, n=10): + """启动""" + if self.active: + return + + self.active = True + self.pool = Pool(n) + self.pool.map_async(self.run, range(n)) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.active = False + + if self.pool: + self.pool.close() + self.pool.join() + + #---------------------------------------------------------------------- + def addReq(self, method, path, callback, params=None, postdict=None): + """添加请求""" + self.reqid += 1 + req = (method, path, callback, params, postdict, self.reqid) + self.queue.put(req) + return self.reqid + + #---------------------------------------------------------------------- + def processReq(self, req, i): + """处理请求""" + method, path, callback, params, postdict, reqid = req + url = REST_HOST + path + timestamp = str(time()) + + if postdict: + rq = requests.Request(url=url, data=json.dumps(postdict)) + else: + rq = requests.Request(url=url) + p = rq.prepare() + + header = copy(self.header) + header['CB-ACCESS-KEY'] = self.apiKey + header['CB-ACCESS-PASSPHRASE'] = self.passphrase + header['CB-ACCESS-TIMESTAMP'] = timestamp + header['CB-ACCESS-SIGN'] = self.generateSignature(method, path, timestamp, params, body=p.body) + + # 使用长连接的session，比短连接的耗时缩短80% + session = self.sessionDict[i] + if postdict: + resp = session.request(method, url, headers=header, params=params, data=json.dumps(postdict)) + else: + resp = session.request(method, url, headers=header, params=params) + + #resp = requests.request(method, url, headers=header, params=params, data=postdict) + + code = resp.status_code + d = resp.json() + + if code == 200: + callback(d, reqid) + else: + self.onError(code, d) + + #---------------------------------------------------------------------- + def run(self, i): + """连续运行""" + self.sessionDict[i] = requests.Session() + + while self.active: + try: + req = self.queue.get(timeout=1) + self.processReq(req, i) + except Empty: + pass + + #---------------------------------------------------------------------- + def generateSignature(self, method, path, timestamp, params=None, body=None): + """生成签名""" + # 对params在HTTP报文路径中，以请求字段方式序列化 + if params: + query = urlencode(sorted(params.items())) + path = path + '?' + query + + if body is None: + body = '' + + msg = timestamp + method + path + body + msg = msg.encode('ascii') + signature = hmac.new(self.hmacKey, msg, hashlib.sha256) + signature64 = base64.b64encode(signature.digest()).decode('utf-8') + return signature64 + + #---------------------------------------------------------------------- + def onError(self, code, error): + """错误回调""" + print('on error') + print(code, error) + + #---------------------------------------------------------------------- + def onData(self, data, reqid): + """通用回调""" + print('on data') + print(data, reqid) + + +######################################################################## +class CoinbaseWebsocketApi(object): + """Websocket API""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.ws = None + self.thread = None + self.active = False + + #---------------------------------------------------------------------- + def start(self): + """启动""" + self.ws = websocket.create_connection(WEBSOCKET_HOST, + sslopt={'cert_reqs': ssl.CERT_NONE}) + + self.active = True + self.thread = Thread(target=self.run) + self.thread.start() + + self.onConnect() + + #---------------------------------------------------------------------- + def reconnect(self): + """重连""" + self.ws = websocket.create_connection(WEBSOCKET_HOST, + sslopt={'cert_reqs': ssl.CERT_NONE}) + + self.onConnect() + + #---------------------------------------------------------------------- + def run(self): + """运行""" + while self.active: + stream = self.ws.recv() + data = json.loads(stream) + self.onData(data) + + #try: + #stream = self.ws.recv() + #data = json.loads(stream) + #self.onData(data) + #except: + #msg = traceback.format_exc() + #self.onError(msg) + #self.reconnect() + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.active = False + + if self.thread: + self.thread.join() + + #---------------------------------------------------------------------- + def onConnect(self): + """连接回调""" + print('connected') + + #---------------------------------------------------------------------- + def onData(self, data): + """数据回调""" + print('-' * 30) + l = data.keys() + l.sort() + for k in l: + print(k, data[k]) + + #---------------------------------------------------------------------- + def onError(self, msg): + """错误回调""" + print(msg) + + #---------------------------------------------------------------------- + def sendReq(self, req): + """发出请求""" + self.ws.send(json.dumps(req)) + + + + + +if __name__ == '__main__': + API_KEY = '2982e190ce2785b862c36f7748ec6864' + API_SECRET = 'sUXjm5HZKA+Dru9+dtekGF6DlfQnHvbQCs+DaTuOTSBFR+vvMIiWkpPTwHcfZwNapSRpFhjNerrb111hojazIA==' + PASSPHRASE = 'vnpytesting' + + # REST测试 + rest = CoinbaseRestApi() + rest.init(API_KEY, API_SECRET, PASSPHRASE) + rest.start(1) + + #data = { + #'symbol': 'XBTUSD' + #} + #rest.addReq('POST', '/position/isolate', rest.onData, postdict=data) + + rest.addReq('GET', '/orders', rest.onData, {'status': 'all'}) + + ## WEBSOCKET测试 + #ws = CoinbaseWebsocketApi() + #ws.start() + + #req = { + #'type': 'subscribe', + #"product_ids": [ + #"ETH-USD" + #], + #"channels": ['level2'] + #} + #ws.sendReq(req) + + #expires = int(time()) + #method = 'GET' + #path = '/realtime' + #msg = method + path + str(expires) + #signature = hmac.new(API_SECRET, msg, digestmod=hashlib.sha256).hexdigest() + + #req = { + #'op': 'authKey', + #'args': [API_KEY, expires, signature] + #} + + #ws.sendReq(req) + + #req = {"op": "subscribe", "args": ['order', 'execution', 'position', 'margin']} + #req = {"op": "subscribe", "args": ['instrument']} + #ws.sendReq(req) + + input() diff --git a/vnpy/trader/gateway/bitmexGateway/__init__.py b/vnpy/trader/gateway/bitmexGateway/__init__.py index 4c149c8f..acf7d3a6 100644 --- a/vnpy/trader/gateway/bitmexGateway/__init__.py +++ b/vnpy/trader/gateway/bitmexGateway/__init__.py @@ -1,9 +1,9 @@ # encoding: UTF-8 from vnpy.trader import vtConstant -from .bitmexGateway import BitmexGateay +from .bitmexGateway import BitmexGateway -gatewayClass = BitmexGateay +gatewayClass = BitmexGateway gatewayName = 'BITMEX' gatewayDisplayName = 'BITMEX' gatewayType = vtConstant.GATEWAYTYPE_BTC diff --git a/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py b/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py index b8803692..a0c87eb6 100644 --- a/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py +++ b/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py @@ -41,13 +41,13 @@ priceTypeMap[PRICETYPE_MARKETPRICE] = 'Market' ######################################################################## -class BitmexGateay(VtGateway): +class BitmexGateway(VtGateway): """Bitfinex接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName=''): """Constructor""" - super(BitmexGateay, self).__init__(eventEngine, gatewayName) + super(BitmexGateway, self).__init__(eventEngine, gatewayName) self.restApi = RestApi(self) self.wsApi = WebsocketApi(self) diff --git a/vnpy/trader/gateway/coinbaseGateway/COINBASE_connect.json b/vnpy/trader/gateway/coinbaseGateway/COINBASE_connect.json new file mode 100644 index 00000000..9926112b --- /dev/null +++ b/vnpy/trader/gateway/coinbaseGateway/COINBASE_connect.json @@ -0,0 +1,7 @@ +{ + "apiKey": "", + "secretKey": "", + "passphrase": "", + "sessionCount": 10, + "symbols": ["ETH-USD"] +} \ No newline at end of file diff --git a/vnpy/trader/gateway/coinbaseGateway/__init__.py b/vnpy/trader/gateway/coinbaseGateway/__init__.py new file mode 100644 index 00000000..757613d2 --- /dev/null +++ b/vnpy/trader/gateway/coinbaseGateway/__init__.py @@ -0,0 +1,10 @@ +# encoding: UTF-8 + +from vnpy.trader import vtConstant +from .coinbaseGateway import CoinbaseGateway + +gatewayClass = CoinbaseGateway +gatewayName = 'COINBASE' +gatewayDisplayName = 'COINBASE' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True \ No newline at end of file diff --git a/vnpy/trader/gateway/coinbaseGateway/coinbaseGateway.py b/vnpy/trader/gateway/coinbaseGateway/coinbaseGateway.py new file mode 100644 index 00000000..f46ecaf9 --- /dev/null +++ b/vnpy/trader/gateway/coinbaseGateway/coinbaseGateway.py @@ -0,0 +1,664 @@ +# encoding: UTF-8 + +''' +vnpy.api.bitmex的gateway接入 +''' +from __future__ import print_function + +import os +import json +import hashlib +import hmac +import time +import traceback +import base64 +import uuid +from datetime import datetime, timedelta +from copy import copy + +from vnpy.api.coinbase import CoinbaseRestApi, CoinbaseWebsocketApi +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath, getTempPath + +# 方向映射 +directionMap = {} +directionMap[DIRECTION_LONG] = 'buy' +directionMap[DIRECTION_SHORT] = 'sell' +directionMapReverse = {v:k for k,v in directionMap.items()} + +# 价格类型映射 +priceTypeMap = {} +priceTypeMap[PRICETYPE_LIMITPRICE] = 'limit' +priceTypeMap[PRICETYPE_MARKETPRICE] = 'market' + +# 数据缓存字典 +cancelDict = {} # orderID:req +orderDict = {} # sysID:order +orderSysDict = {} # orderID:sysID + + +######################################################################## +class CoinbaseGateway(VtGateway): + """Bitfinex接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName=''): + """Constructor""" + super(CoinbaseGateway, self).__init__(eventEngine, gatewayName) + + self.restApi = RestApi(self) + self.wsApi = WebsocketApi(self) + + self.qryEnabled = False # 是否要启动循环查询 + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + try: + f = file(self.filePath) + except IOError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'读取连接配置出错，请检查' + self.onLog(log) + return + + # 解析json文件 + setting = json.load(f) + try: + apiKey = str(setting['apiKey']) + secretKey = str(setting['secretKey']) + passphrase = str(setting['passphrase']) + sessionCount = int(setting['sessionCount']) + symbols = setting['symbols'] + except KeyError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'连接配置缺少字段，请检查' + self.onLog(log) + return + + # 创建行情和交易接口对象 + self.restApi.connect(apiKey, secretKey, passphrase, sessionCount) + self.wsApi.connect(apiKey, secretKey, passphrase, symbols) + + # 初始化并启动查询 + self.initQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.restApi.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.restApi.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.restApi.close() + self.wsApi.close() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.restApi.qryAccount] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 1 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class RestApi(CoinbaseRestApi): + """REST API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(RestApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.orderSysDict = {} + self.sysOrderDict = {} + self.cancelDict = {} + + #---------------------------------------------------------------------- + def connect(self, apiKey, secretKey, passphrase, sessionCount): + """连接服务器""" + self.init(apiKey, secretKey, passphrase) + self.start(sessionCount) + + self.writeLog(u'REST API启动成功') + + self.qryContract() + self.qryOrder() + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """""" + orderId = uuid.uuid1() + vtOrderID = '.'.join([self.gatewayName, str(orderId)]) + + req = { + 'product_id': orderReq.symbol, + 'side': directionMap[orderReq.direction], + 'price': str(orderReq.price), + 'size': str(orderReq.volume), + 'client_oid': str(orderId), + 'type': priceTypeMap[orderReq.priceType] + } + self.addReq('POST', '/orders', self.onSendOrder, postdict=req) + + return vtOrderID + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """""" + orderID = cancelOrderReq.orderID + if orderID not in orderSysDict: + cancelDict[orderID] = cancelOrderReq + return + + sysID = orderSysDict[orderID] + path = '/orders/%s' %sysID + self.addReq('DELETE', path, self.onCancelOrder) + + #---------------------------------------------------------------------- + def qryContract(self): + """""" + self.addReq('GET', '/products', self.onQryContract) + + #---------------------------------------------------------------------- + def qryAccount(self): + """""" + self.addReq('GET', '/accounts', self.onQryAccount) + + #---------------------------------------------------------------------- + def qryOrder(self): + """""" + req = {'status': 'all'} + self.addReq('GET', '/orders', self.onQryOrder, params=req) + + #---------------------------------------------------------------------- + def onSendOrder(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onCancelOrder(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onError(self, code, error): + """""" + e = VtErrorData() + e.gatewayName = self.gatewayName + e.errorID = code + e.errorMsg = error + self.gateway.onError(e) + + #---------------------------------------------------------------------- + def onQryContract(self, data, reqid): + """""" + for d in data: + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = d['id'] + contract.exchange = EXCHANGE_COINBASE + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = contract.vtSymbol + + contract.size = 1 + contract.priceTick = float(d['quote_increment']) + contract.productClass = PRODUCT_SPOT + + self.gateway.onContract(contract) + + self.writeLog(u'合约信息查询成功') + + #---------------------------------------------------------------------- + def onQryAccount(self, data, reqid): + """""" + for d in data: + account = VtAccountData() + account.gatewayName = self.gatewayName + + account.accountID = d['currency'] + account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) + + account.balance = float(d['balance']) + account.available = float(d['available']) + + self.gateway.onAccount(account) + + #---------------------------------------------------------------------- + def onQryOrder(self, data, reqid): + """""" + for d in data: + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.orderID = d['id'] + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + + order.symbol = d['product_id'] + order.exchange = EXCHANGE_COINBASE + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + order.direction = directionMapReverse[d['side']] + if 'price' in d: + order.price = float(d['price']) + order.totalVolume = float(d['size']) + order.tradedVolume = float(d['filled_size']) + + date, time = d['created_at'].split('T') + time = time.replace('Z', '') + order.orderTime = time + + if d['status'] == 'open': + if not order.tradedVolume: + order.status = STATUS_NOTTRADED + else: + order.status = STATUS_PARTTRADED + else: + if order.tradedVolume == order.totalVolume: + order.status = STATUS_ALLTRADED + else: + order.status = STATUS_CANCELLED + + self.gateway.onOrder(order) + + orderDict[order.orderID] = order + orderSysDict[order.orderID] = order.orderID + + self.writeLog(u'委托信息查询成功') + + +######################################################################## +class WebsocketApi(CoinbaseWebsocketApi): + """""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(WebsocketApi, self).__init__() + + self.gateway = gateway + self.gatewayName = gateway.gatewayName + + self.apiKey = '' + self.secretKey = '' + self.passphrase = '' + + self.callbackDict = { + 'ticker': self.onTicker, + 'snapshot': self.onSnapshot, + 'l2update': self.onL2update, + 'received': self.onOrderReceived, + 'open': self.onOrderOpen, + 'done': self.onOrderDone, + 'match': self.onMatch + } + + self.tickDict = {} + self.orderDict = {} + self.tradeSet = set() + + self.bidDict = {} + self.askDict = {} + + #---------------------------------------------------------------------- + def connect(self, apiKey, secretKey, passphrase, symbols): + """""" + self.apiKey = apiKey + self.secretKey = secretKey + self.passphrase = passphrase + self.symbols = symbols + + for symbol in symbols: + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = symbol + tick.exchange = EXCHANGE_COINBASE + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + self.tickDict[symbol] = tick + + self.start() + + #---------------------------------------------------------------------- + def onConnect(self): + """连接回调""" + self.writeLog(u'Websocket API连接成功') + + self.subscribe() + + #---------------------------------------------------------------------- + def onData(self, data): + """数据回调""" + if 'type' in data: + cb = self.callbackDict.get(data['type'], None) + if cb: + cb(data) + else: + self.writeLog(str(data)) + + #---------------------------------------------------------------------- + def onError(self, msg): + """错误回调""" + self.writeLog(msg) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def authenticate(self): + """""" + timestamp = str(time.time()) + method = 'GET' + path = '/users/self/verify' + msg = timestamp + method + path + msg = msg.encode('ascii') + hmacKey = base64.b64decode(self.secretKey) + signature = hmac.new(hmacKey, msg, hashlib.sha256) + signature64 = base64.b64encode(signature.digest()).decode('utf-8').rstrip('\n') + + d = { + 'key': self.apiKey, + 'passphrase': self.passphrase, + 'timestamp': timestamp, + 'signature': signature64 + } + return d + + #---------------------------------------------------------------------- + def subscribe(self): + """""" + req = { + 'type': 'subscribe', + 'product_ids': self.symbols, + 'channels': ['ticker', 'level2', 'user'] + } + + d = self.authenticate() + req.update(d) + self.sendReq(req) + + #---------------------------------------------------------------------- + def onTicker(self, d): + """""" + symbol = d['product_id'] + + tick = self.tickDict.get(symbol, None) + if not tick: + return + + tick.openPrice = float(d['open_24h']) + tick.highPrice = float(d['high_24h']) + tick.lowPrice = float(d['low_24h']) + tick.lastPrice = float(d['price']) + tick.volume = float(d['volume_24h']) + + tick.datetime = datetime.now() + tick.date = tick.datetime.strftime('%Y%m%d') + tick.time = tick.datetime.strftime('%H:%M:%S') + + self.gateway.onTick(copy(tick)) + + #---------------------------------------------------------------------- + def onSnapshot(self, d): + """""" + symbol = d['product_id'] + tick = self.tickDict.get(symbol, None) + if not tick: + return + + bid = self.bidDict.setdefault(symbol, {}) + ask = self.askDict.setdefault(symbol, {}) + + for price, amount in d['bids']: + bid[float(price)] = float(amount) + + for price, amount in d['asks']: + ask[float(price)] = float(amount) + + self.generateTick(symbol) + + #---------------------------------------------------------------------- + def generateTick(self, symbol): + """""" + tick = self.tickDict[symbol] + bid = self.bidDict[symbol] + ask = self.askDict[symbol] + + + bidPriceList = bid.keys() + tick.bidPrice1 = bidPriceList[0] + tick.bidPrice2 = bidPriceList[1] + tick.bidPrice3 = bidPriceList[2] + tick.bidPrice4 = bidPriceList[3] + tick.bidPrice5 = bidPriceList[4] + + tick.bidVolume1 = bid[tick.bidPrice1] + tick.bidVolume2 = bid[tick.bidPrice2] + tick.bidVolume3 = bid[tick.bidPrice3] + tick.bidVolume4 = bid[tick.bidPrice4] + tick.bidVolume5 = bid[tick.bidPrice5] + + askPriceList = ask.keys() + askPriceList.sort() + + tick.askPrice1 = askPriceList[0] + tick.askPrice2 = askPriceList[1] + tick.askPrice3 = askPriceList[2] + tick.askPrice4 = askPriceList[3] + tick.askPrice5 = askPriceList[4] + + tick.askVolume1 = ask[tick.askPrice1] + tick.askVolume2 = ask[tick.askPrice2] + tick.askVolume3 = ask[tick.askPrice3] + tick.askVolume4 = ask[tick.askPrice4] + tick.askVolume5 = ask[tick.askPrice5] + + tick.datetime = datetime.now() + tick.date = tick.datetime.strftime('%Y%m%d') + tick.time = tick.datetime.strftime('%H:%M:%S') + + self.gateway.onTick(copy(tick)) + + #---------------------------------------------------------------------- + def onL2update(self, d): + """""" + symbol = d['product_id'] + tick = self.tickDict.get(symbol, None) + if not tick: + return + + bid = self.bidDict.setdefault(symbol, {}) + ask = self.askDict.setdefault(symbol, {}) + + for direction, price, amount in d['changes']: + price = float(price) + amount = float(amount) + + if direction == 'buy': + if amount: + bid[price] = amount + elif price in bid: + del bid[price] + else: + if amount: + ask[price] = amount + elif price in ask: + del ask[price] + + self.generateTick(symbol) + + #---------------------------------------------------------------------- + def onMatch(self, d): + """""" + trade = VtTradeData() + trade.gatewayName = self.gatewayName + + trade.symbol = d['product_id'] + trade.exchange = EXCHANGE_COINBASE + trade.vtSymbol = '.'.join([trade.symbol, trade.exchange]) + + if d['maker_order_id'] in orderDict: + order = orderDict[d['maker_order_id']] + else: + order = orderDict[d['taker_order_id']] + + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + + trade.tradeID = str(d['trade_id']) + trade.vtTradeID = '.'.join([trade.gatewayName, trade.tradeID]) + + trade.direction = order.direction + trade.price = float(d['price']) + trade.volume = float(d['size']) + + date, time = d['time'].split('T') + time = time.replace('Z', '') + trade.tradeTime = time + + self.gateway.onTrade(trade) + + #---------------------------------------------------------------------- + def onOrderReceived(self, d): + """""" + sysID = d['order_id'] + orderID = d['client_oid'] + + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.orderID = orderID + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + + order.symbol = d['product_id'] + order.exchange = EXCHANGE_COINBASE + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + order.direction = directionMapReverse[d['side']] + if 'price' in d: + order.price = float(d['price']) + order.totalVolume = float(d['size']) + + date, time = d['time'].split('T') + time = time.replace('Z', '') + order.orderTime = time + + order.status = STATUS_NOTTRADED + + self.gateway.onOrder(order) + + # 缓存委托 + orderDict[sysID] = order + orderSysDict[orderID] = sysID + + # 执行待撤单 + if orderID in cancelDict: + req = cancelDict.pop(orderID) + self.gateway.cancelOrder(req) + + #---------------------------------------------------------------------- + def onOrderOpen(self, d): + """""" + order = orderDict.get(d['order_id'], None) + if not order: + return + + order.tradedVolume = order.totalVolume - float(d['remaining_size']) + if order.tradedVolume: + order.status = STATUS_PARTTRADED + self.gateway.onOrder(order) + + #---------------------------------------------------------------------- + def onOrderDone(self, d): + """""" + #print('done') + #print(d) + order = orderDict.get(d['order_id'], None) + if not order: + return + + order.tradedVolume = order.totalVolume - float(d['remaining_size']) + + if order.tradedVolume == order.totalVolume: + order.status = STATUS_ALLTRADED + else: + order.status = STATUS_CANCELLED + + self.gateway.onOrder(order) + + +#---------------------------------------------------------------------- +def printDict(d): + """""" + print('-' * 30) + l = d.keys() + l.sort() + for k in l: + print(k, d[k]) + \ No newline at end of file diff --git a/vnpy/trader/language/chinese/constant.py b/vnpy/trader/language/chinese/constant.py index 37417925..3069e785 100644 --- a/vnpy/trader/language/chinese/constant.py +++ b/vnpy/trader/language/chinese/constant.py @@ -93,6 +93,7 @@ EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所 EXCHANGE_FCOIN = 'FCOIN' # FCoin比特币交易所 EXCHANGE_BIGONE = 'BIGONE' # BigOne比特币交易所 +EXCHANGE_COINBASE = 'COINBASE' # Coinbase交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 diff --git a/vnpy/trader/language/english/constant.py b/vnpy/trader/language/english/constant.py index fe4d046f..7fa779d5 100644 --- a/vnpy/trader/language/english/constant.py +++ b/vnpy/trader/language/english/constant.py @@ -89,6 +89,7 @@ EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所 EXCHANGE_FCOIN = 'FCOIN' # FCoin比特币交易所 EXCHANGE_BIGONE = 'BIGONE' # BigOne比特币交易所 +EXCHANGE_COINBASE = 'COINBASE' # Coinbase交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 From 1e98c96a4ab2f33c41698d700ada2106b67eee2f Mon Sep 17 00:00:00 2001 From: nanoric Date: Thu, 12 Jul 2018 08:50:41 -0400 Subject: [PATCH 077/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9EBithumb=20API?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bithumb/__init__.py | 1 + vnpy/api/bithumb/vnbithumb.py | 165 ++++++++++++++++++++++++++++++++++ 2 files changed, 166 insertions(+) create mode 100644 vnpy/api/bithumb/__init__.py create mode 100644 vnpy/api/bithumb/vnbithumb.py diff --git a/vnpy/api/bithumb/__init__.py b/vnpy/api/bithumb/__init__.py new file mode 100644 index 00000000..c45d2fc5 --- /dev/null +++ b/vnpy/api/bithumb/__init__.py @@ -0,0 +1 @@ +from .vnbithumb import BithumbRestApi \ No newline at end of file diff --git a/vnpy/api/bithumb/vnbithumb.py b/vnpy/api/bithumb/vnbithumb.py new file mode 100644 index 00000000..4eee827b --- /dev/null +++ b/vnpy/api/bithumb/vnbithumb.py @@ -0,0 +1,165 @@ +# encoding: UTF-8 +import base64 +import hashlib +import hmac +import urllib +from multiprocessing.dummy import Pool +from time import time + +import requests +from queue import Queue, Empty + +REST_HOST = 'https://api.bithumb.com' + + +######################################################################## +class BithumbRestApi(object): + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.apiKey = '' + self.apiSecret = '' + + self.active = False + self.reqid = 0 + self.queue = Queue() + self.pool = None # type: Pool + self.sessionDict = {} + + #---------------------------------------------------------------------- + def init(self, apiKey, apiSecret): + """初始化""" + self.apiKey = str(apiKey) + self.apiSecret = str(apiSecret) + + #---------------------------------------------------------------------- + def start(self, n=10): + """启动""" + if self.active: + return + + self.active = True + self.pool = Pool(n) + self.pool.map_async(self.run, range(n)) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.active = False + + if self.pool: + self.pool.close() + self.pool.join() + + #---------------------------------------------------------------------- + def addReq(self, method, path, callback, params=None, postdict=None): + """添加请求""" + self.reqid += 1 + req = (method, path, callback, params, postdict, self.reqid) + self.queue.put(req) + return self.reqid + + def processReq(self, req, i): + """处理请求""" + method, path, callback, params, postdict, reqid = req + url = REST_HOST + path + + body = '' + header = {} + + # 如果调用的是需要签名的API，则加上签名 + # 不是以/public/开头的API都需要签名 + if path[:8] != '/public/': + nonce = BithumbRestApi.generateNonce() + + # 如果有参数，使用urlencode编码参数 + body = urllib.urlencode(postdict) if postdict else '' + + # 加上签名 + header = { + 'Api-Key': self.apiKey, + 'Api-Sign': self.generateSignature(path, body, nonce), + 'Api-Nonce': nonce, + 'Content-Type': 'application/x-www-form-urlencoded' + } + + try: + # 使用长连接的session，比短连接的耗时缩短20% + session = self.sessionDict[i] + resp = session.request(method, url, headers=header, params=params, data=body) + + code = resp.status_code + d = resp.json() + + if code == 200: + callback(d, reqid) + else: + self.onError(code, str(d)) + except Exception as e: + self.onError(type(e), e.message) + + #---------------------------------------------------------------------- + def run(self, i): + """连续运行""" + self.sessionDict[i] = requests.Session() + + while self.active: + try: + req = self.queue.get(timeout=1) + self.processReq(req, i) + except Empty: + pass + + #---------------------------------------------------------------------- + def generateSignature(self, path, body, nonce): + """生成签名""" + # 要签名的数据包括path，body和nonce，用\x00隔开 + data = path + chr(0) + body + chr(0) + nonce + + # 签名的核心方法：hmac-sha512 + # 签名流程：base64(hex(hmac-sha512(要签名的数据))) + return base64.b64encode(hmac.new(bytes(self.apiSecret), data, hashlib.sha512).hexdigest()) + + #---------------------------------------------------------------------- + def onError(self, code, error): + """错误回调""" + print('on error') + print(code, error) + + #---------------------------------------------------------------------- + def onData(self, data, reqid): + """通用回调""" + print('on data') + print(data, reqid) + + #---------------------------------------------------------------------- + @staticmethod # 静态函数:不依赖于self的函数 + def generateNonce(): + """生成时间戳""" + return str(int(time() * 1000)) + + +if __name__ == '__main__': + API_KEY = '0c2f5621ac18d26d51ce640b25eb44f9' + API_SECRET = '62bb8b4e263476f443f8d3dbf0aad6bc' + + rest = BithumbRestApi() + rest.init(apiKey=API_KEY, apiSecret=API_SECRET) + rest.start(1) + + + def on_btc_tick(jsonObj, reqid): + print('on_btc_tick : \n{}'.format(jsonObj)) + pass + + + def on_account_info(jsonObj, reqid): + print('on_account_info : \n{}'.format(jsonObj)) + pass + + + rest.addReq('POST', '/public/ticker/BTC', on_btc_tick) + rest.addReq('POST', '/info/account', on_account_info, postdict={'currency': 'BTC'}) + + raw_input() From 7fea0f862a3092f48348527040b60a313cc64145 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Fri, 13 Jul 2018 19:58:12 +0800 Subject: [PATCH 078/135] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9ECCXT=E9=80=9A?= =?UTF-8?q?=E7=94=A8=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/CryptoTrader/CCXT_connect.json | 6 + examples/CryptoTrader/run.py | 3 +- vnpy/trader/gateway/ccxtGateway/__init__.py | 10 + .../trader/gateway/ccxtGateway/ccxtGateway.py | 540 ++++++++++++++++++ 4 files changed, 558 insertions(+), 1 deletion(-) create mode 100644 examples/CryptoTrader/CCXT_connect.json create mode 100644 vnpy/trader/gateway/ccxtGateway/__init__.py create mode 100644 vnpy/trader/gateway/ccxtGateway/ccxtGateway.py diff --git a/examples/CryptoTrader/CCXT_connect.json b/examples/CryptoTrader/CCXT_connect.json new file mode 100644 index 00000000..cb367091 --- /dev/null +++ b/examples/CryptoTrader/CCXT_connect.json @@ -0,0 +1,6 @@ +{ + "exchange": "huobipro", + "apiKey": "", + "apiSecret": "", + "symbols": ["THETA/BTC", "BTC/USDT", "ETH/USDT"] +} \ No newline at end of file diff --git a/examples/CryptoTrader/run.py b/examples/CryptoTrader/run.py index 6f77a38e..09cac3df 100644 --- a/examples/CryptoTrader/run.py +++ b/examples/CryptoTrader/run.py @@ -24,7 +24,7 @@ from vnpy.trader.gateway import (huobiGateway, okexGateway, binanceGateway, bitfinexGateway, bitmexGateway, fcoinGateway, bigoneGateway, lbankGateway, - coinbaseGateway) + coinbaseGateway, ccxtGateway) # 加载上层应用 from vnpy.trader.app import (algoTrading) @@ -43,6 +43,7 @@ def main(): me = MainEngine(ee) # 添加交易接口 + me.addGateway(ccxtGateway) me.addGateway(coinbaseGateway) me.addGateway(lbankGateway) me.addGateway(bigoneGateway) diff --git a/vnpy/trader/gateway/ccxtGateway/__init__.py b/vnpy/trader/gateway/ccxtGateway/__init__.py new file mode 100644 index 00000000..f494e6e4 --- /dev/null +++ b/vnpy/trader/gateway/ccxtGateway/__init__.py @@ -0,0 +1,10 @@ +# encoding: UTF-8 + +from vnpy.trader import vtConstant +from .ccxtGateway import CcxtGateway + +gatewayClass = CcxtGateway +gatewayName = 'CCXT' +gatewayDisplayName = 'CCXT' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True \ No newline at end of file diff --git a/vnpy/trader/gateway/ccxtGateway/ccxtGateway.py b/vnpy/trader/gateway/ccxtGateway/ccxtGateway.py new file mode 100644 index 00000000..2df0e484 --- /dev/null +++ b/vnpy/trader/gateway/ccxtGateway/ccxtGateway.py @@ -0,0 +1,540 @@ +# encoding: UTF-8 + +''' +ccxt的gateway接入 +''' + +import os +import json +import time +import traceback +from queue import Queue, Empty +from multiprocessing.dummy import Pool +from datetime import datetime, timedelta +from copy import copy +from math import pow + +import ccxt + +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath, getTempPath + + + +# 委托状态类型映射 +statusMapReverse = {} +statusMapReverse['open'] = STATUS_NOTTRADED +statusMapReverse['closed'] = STATUS_ALLTRADED +statusMapReverse['canceled'] = STATUS_CANCELLED + +# 方向映射 +directionMap = {} +directionMap[DIRECTION_LONG] = 'buy' +directionMap[DIRECTION_SHORT] = 'sell' +directionMapReverse = {v:k for k,v in directionMap.items()} + +# 类型映射 +priceTypeMap = {} +priceTypeMap[PRICETYPE_MARKETPRICE] = 'market' +priceTypeMap[PRICETYPE_LIMITPRICE] = 'limit' + + +######################################################################## +class CcxtGateway(VtGateway): + """CCXT接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName=''): + """Constructor""" + super(CcxtGateway, self).__init__(eventEngine, gatewayName) + + self.api = CcxtApi(self) + + self.qryEnabled = False # 是否要启动循环查询 + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + try: + f = file(self.filePath) + except IOError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'读取连接配置出错，请检查' + self.onLog(log) + return + + # 解析json文件 + setting = json.load(f) + try: + exchange = str(setting['exchange']) + apiKey = str(setting['apiKey']) + apiSecret = str(setting['apiSecret']) + symbols = setting['symbols'] + except KeyError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'连接配置缺少字段，请检查' + self.onLog(log) + return + + # 创建行情和交易接口对象 + self.api.connect(exchange, apiKey, apiSecret, symbols) + + # 初始化并启动查询 + self.initQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.api.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.api.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.api.close() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.api.qryMarketData, + self.api.qryAccount, + self.api.qryOrder] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 1 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class CcxtApi(object): + """REST API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(CcxtApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.api = None + self.active = False + self.queue = Queue() + self.pool = None + + self.reqID = 0 + self.localID = 0 + self.tradeID = 0 + + self.orderDict = {} # sysID:order + self.localSysDict = {} # localID:sysID + self.reqOrderDict = {} # reqID:order + self.cancelDict = {} # localID:req + + self.depthQryDict = {} # reqID:symbol + + self.tickDict = {} + + #---------------------------------------------------------------------- + def run(self, i): + """""" + while self.active: + try: + req = self.queue.get(timeout=1) + self.processReq(req) + except Empty: + pass + + #---------------------------------------------------------------------- + def addReq(self, func, args, callback): + """""" + self.reqID += 1 + req = (func, args, callback, self.reqID) + self.queue.put(req) + return self.reqID + + #---------------------------------------------------------------------- + def processReq(self, req): + """""" + try: + func, args, callback, reqID = req + data = func(*args) + callback(data, reqID) + except: + code = 'api' + msg = traceback.format_exc() + self.onError(code, msg) + + #---------------------------------------------------------------------- + def connect(self, exchange, apiKey, apiSecret, symbols): + """连接服务器""" + self.exchange = exchange.upper() + self.symbols = symbols + + # 初始化CCXT对象 + config = { + 'apiKey': apiKey, + 'secret': apiSecret + } + apiClass = ccxt.__getattribute__(exchange) + self.api = apiClass(config) + #self.api = ccxt.huobipro() + + # 启动线程池 + n = 10 + self.active = True + self.pool = Pool(n) + self.pool.map_async(self.run, range(n)) + + self.writeLog(u'CCXT API（%s）启动成功' %exchange) + + # 初始化查询 + self.qryContract() + + #---------------------------------------------------------------------- + def close(self): + """""" + self.active = False + if self.pool: + self.pool.close() + self.pool.join() + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """""" + self.localID += 1 + orderID = str(self.localID) + vtOrderID = '.'.join([self.gatewayName, orderID]) + + req = [ + orderReq.symbol, + priceTypeMap[orderReq.priceType], + directionMap[orderReq.direction], + orderReq.volume, + orderReq.price + ] + + func = self.api.createOrder + reqid = self.addReq(func, req, self.onSendOrder) + + # 缓存委托数据对象 + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = orderReq.symbol + order.exchange = self.exchange + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + order.orderID = orderID + order.vtOrderID = vtOrderID + order.price = orderReq.price + order.totalVolume = orderReq.volume + order.direction = orderReq.direction + order.status = STATUS_UNKNOWN + + self.reqOrderDict[reqid] = order + + return vtOrderID + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """""" + localID = cancelOrderReq.orderID + + if localID in self.localSysDict: + sysID = self.localSysDict[localID] + func = self.api.cancelOrder + reqid = self.addReq(func, [sysID], self.onCancelOrder) + else: + self.cancelDict[localID] = cancelOrderReq + + #---------------------------------------------------------------------- + def qryContract(self): + """""" + func = self.api.fetchMarkets + self.addReq(func, [], self.onQryContract) + + #---------------------------------------------------------------------- + def qryTicker(self): + """""" + for symbol in self.symbols: + func = self.api.fetchTicker + self.addReq(func, [symbol], self.onQryTicker) + + #---------------------------------------------------------------------- + def qryDepth(self): + """""" + for symbol in self.symbols: + func = self.api.fetchOrderBook + i = self.addReq(func, [symbol], self.onQryDepth) + self.depthQryDict[i] = symbol + + #---------------------------------------------------------------------- + def qryOrder(self): + """""" + for symbol in self.symbols: + func = self.api.fetchOrders + i = self.addReq(func, [symbol], self.onQryOrder) + + #---------------------------------------------------------------------- + def qryAccount(self): + """""" + func = self.api.fetchBalance + self.addReq(func, [], self.onQryAccount) + + #---------------------------------------------------------------------- + def onSendOrder(self, data, reqid): + """""" + order = self.reqOrderDict[reqid] + localID = order.orderID + sysID = data['id'] + + self.localSysDict[localID] = sysID + self.orderDict[sysID] = order + + self.gateway.onOrder(order) + + # 发出等待的撤单委托 + if localID in self.cancelDict: + req = self.cancelDict[localID] + self.cancelOrder(req) + del self.cancelDict[localID] + + #---------------------------------------------------------------------- + def onCancelOrder(self, data, reqid): + """""" + pass + + #---------------------------------------------------------------------- + def onError(self, code, error): + """""" + msg = u'发生异常，错误代码：%s，错误信息：%s' %(code, error) + self.writeLog(msg) + + #---------------------------------------------------------------------- + def onQryOrder(self, data, reqid): + """""" + for d in data: + orderUpdated = False + tradeUpdated = False + + # 获取委托对象 + sysID = d['id'] + if sysID in self.orderDict: + order = self.orderDict[sysID] + else: + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = d['symbol'] + order.exchange = EXCHANGE_BIGONE + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + self.localID += 1 + localID = str(self.localID) + self.localSysDict[localID] = sysID + + order.orderID = localID + order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) + + order.direction = directionMapReverse[d['side']] + order.price = float(d['price']) + order.totalVolume = float(d['amount']) + + dt = datetime.fromtimestamp(d['timestamp']/1000) + order.orderTime = dt.strftime('%H:%M:%S') + + self.orderDict[sysID] = order + orderUpdated = True + + # 检查是否委托有变化 + newTradedVolume = float(d['filled']) + newStatus = statusMapReverse[d['status']] + + if newTradedVolume != float(order.tradedVolume) or newStatus != order.status: + orderUpdated = True + + if newTradedVolume != float(order.tradedVolume): + tradeUpdated = True + newVolume = newTradedVolume - order.tradedVolume + + order.tradedVolume = newTradedVolume + order.status = newStatus + + # 若有更新才推送 + if orderUpdated: + self.gateway.onOrder(order) + + if tradeUpdated: + # 推送成交 + trade = VtTradeData() + trade.gatewayName = order.gatewayName + + trade.symbol = order.symbol + trade.vtSymbol = order.vtSymbol + + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + + self.tradeID += 1 + trade.tradeID = str(self.tradeID) + trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) + + trade.direction = order.direction + trade.price = order.price + trade.volume = newTradedVolume + trade.tradeTime = datetime.now().strftime('%H:%M:%S') + + self.gateway.onTrade(trade) + + #---------------------------------------------------------------------- + def onQryAccount(self, data, reqid): + """""" + total = data['total'] + used = data['used'] + free = data['free'] + + for currency in total.keys(): + account = VtAccountData() + account.gatewayName = self.gatewayName + + account.accountID = currency + account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) + + account.balance = total[currency] + account.available = free[currency] + + self.gateway.onAccount(account) + + #---------------------------------------------------------------------- + def onQryContract(self, data, reqid): + """""" + for d in data: + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = d['symbol'] + contract.exchange = self.exchange + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = contract.vtSymbol + contract.productClass = PRODUCT_SPOT + contract.priceTick = pow(10, -int(d['precision']['price'])) + contract.size = 1 + + self.gateway.onContract(contract) + + self.writeLog(u'合约信息查询完成') + + #---------------------------------------------------------------------- + def onQryTicker(self, data, reqid): + """""" + symbol = data['symbol'] + tick = self.getTick(symbol) + + tick.openPrice = float(data['open']) + tick.highPrice = float(data['high']) + tick.lowPrice = float(data['low']) + tick.lastPrice = float(data['close']) + tick.volume = float(data['quoteVolume']) + tick.datetime = datetime.fromtimestamp(data['timestamp']/1000) + tick.date = tick.datetime.strftime('%Y%m%d') + tick.time = tick.datetime.strftime('%H:%M:%S') + + # 只有订阅了深度行情才推送 + if tick.bidPrice1: + self.gateway.onTick(tick) + + #---------------------------------------------------------------------- + def onQryDepth(self, data, reqid): + """""" + symbol = self.depthQryDict.pop(reqid) + tick = self.getTick(symbol) + + for n, bid in enumerate(data['bids'][:5]): + tick.__setattr__('bidPrice%s' %(n+1), float(bid[0])) + tick.__setattr__('bidVolume%s' %(n+1), float(bid[1])) + + for n, ask in enumerate(data['asks'][:5]): + tick.__setattr__('askPrice%s' %(n+1), float(ask[0])) + tick.__setattr__('askVolume%s' %(n+1), float(ask[1])) + + tick.datetime = datetime.fromtimestamp(data['timestamp']/1000) + tick.date = tick.datetime.strftime('%Y%m%d') + tick.time = tick.datetime.strftime('%H:%M:%S') + + if tick.lastPrice: + self.gateway.onTick(tick) + + #---------------------------------------------------------------------- + def getTick(self, symbol): + """""" + tick = self.tickDict.get(symbol, None) + + if not tick: + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = symbol + tick.exchange = self.exchange + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + self.tickDict[symbol] = tick + + return tick + + #---------------------------------------------------------------------- + def qryMarketData(self): + """""" + self.qryDepth() + self.qryTicker() + \ No newline at end of file From c998cf9e7a0aaecdc0caefd8db644fc27b44ddc0 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 17 Jul 2018 14:05:01 +0800 Subject: [PATCH 079/135] =?UTF-8?q?[Fix]=E4=BF=AE=E6=94=B9=E5=A7=94?= =?UTF-8?q?=E6=89=98=E6=95=B0=E9=87=8F=E4=B8=BAfloat=E5=AF=BC=E8=87=B4?= =?UTF-8?q?=E9=83=A8=E5=88=86=E6=8E=A5=E5=8F=A3=E5=A7=94=E6=89=98=E6=8A=A5?= =?UTF-8?q?=E9=94=99=E7=9A=84bug?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/uiBasicWidget.py | 23 ++++++++++++++++++++--- 1 file changed, 20 insertions(+), 3 deletions(-) diff --git a/vnpy/trader/uiBasicWidget.py b/vnpy/trader/uiBasicWidget.py index 2446f017..d3e9dbab 100644 --- a/vnpy/trader/uiBasicWidget.py +++ b/vnpy/trader/uiBasicWidget.py @@ -1050,13 +1050,30 @@ class TradingWidget(QtWidgets.QFrame): gatewayName = contract.gatewayName exchange = contract.exchange # 保证有交易所代码 vtSymbol = contract.vtSymbol - + + # 获取价格 + priceText = self.linePrice.text() + if not priceText: + return + price = float(priceText) + + # 获取数量 + volumeText = self.lineVolume.text() + if not volumeText: + return + + if '.' in volumeText: + volume = float(volumeText) + else: + volume = int(volumeText) + + # 委托 req = VtOrderReq() req.symbol = symbol req.exchange = exchange req.vtSymbol = vtSymbol - req.price = float(self.linePrice.text()) - req.volume = float(self.lineVolume.text()) + req.price = price + req.volume = volume req.direction = unicode(self.comboDirection.currentText()) req.priceType = unicode(self.comboPriceType.currentText()) req.offset = unicode(self.comboOffset.currentText()) From 65f671608927031bb10f016727da96815ea80375 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 17 Jul 2018 16:27:50 +0800 Subject: [PATCH 080/135] =?UTF-8?q?[Del]=E7=A7=BB=E9=99=A4QuantOS=E7=9B=B8?= =?UTF-8?q?=E5=85=B3=E5=86=85=E5=AE=B9=EF=BC=88=E6=9A=82=E6=97=B6=E6=94=BE?= =?UTF-8?q?=E5=88=B0beta=E7=9B=AE=E5=BD=95=EF=BC=89?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- {examples => beta/quantos}/JaqsService/CTP_connect.json | 0 {examples => beta/quantos}/JaqsService/JS_setting.json | 0 {examples => beta/quantos}/JaqsService/VT_setting.json | 0 {examples => beta/quantos}/JaqsService/run.py | 0 {examples => beta/quantos}/JaqsService/runUI.py | 0 {examples => beta/quantos}/QuantosDataService/README.md | 0 {examples => beta/quantos}/QuantosDataService/config.json | 0 {examples => beta/quantos}/QuantosDataService/dataService.py | 0 {examples => beta/quantos}/QuantosDataService/downloadData.py | 0 {examples => beta/quantos}/QuantosDataService/runService.py | 0 .../gateway => beta/quantos}/tkproGateway/DataApi/LICENSE | 0 .../gateway => beta/quantos}/tkproGateway/DataApi/README.md | 0 .../gateway => beta/quantos}/tkproGateway/DataApi/__init__.py | 0 .../gateway => beta/quantos}/tkproGateway/DataApi/data_api.py | 0 .../gateway => beta/quantos}/tkproGateway/DataApi/jrpc_py.py | 0 .../gateway => beta/quantos}/tkproGateway/DataApi/utils.py | 0 .../gateway => beta/quantos}/tkproGateway/TKPRO_connect.json | 0 .../gateway => beta/quantos}/tkproGateway/TradeApi/LICENSE | 0 .../gateway => beta/quantos}/tkproGateway/TradeApi/README.md | 0 .../quantos}/tkproGateway/TradeApi/__init__.py | 0 .../gateway => beta/quantos}/tkproGateway/TradeApi/jrpc_py.py | 0 .../quantos}/tkproGateway/TradeApi/trade_api.py | 0 .../gateway => beta/quantos}/tkproGateway/TradeApi/utils.py | 0 .../trader/gateway => beta/quantos}/tkproGateway/__init__.py | 0 .../gateway => beta/quantos}/tkproGateway/tkproGateway.py | 0 examples/README.md | 4 +--- install.bat | 2 -- install.sh | 1 - 28 files changed, 1 insertion(+), 6 deletions(-) rename {examples => beta/quantos}/JaqsService/CTP_connect.json (100%) rename {examples => beta/quantos}/JaqsService/JS_setting.json (100%) rename {examples => beta/quantos}/JaqsService/VT_setting.json (100%) rename {examples => beta/quantos}/JaqsService/run.py (100%) rename {examples => beta/quantos}/JaqsService/runUI.py (100%) rename {examples => beta/quantos}/QuantosDataService/README.md (100%) rename {examples => beta/quantos}/QuantosDataService/config.json (100%) rename {examples => beta/quantos}/QuantosDataService/dataService.py (100%) rename {examples => beta/quantos}/QuantosDataService/downloadData.py (100%) rename {examples => beta/quantos}/QuantosDataService/runService.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/DataApi/LICENSE (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/DataApi/README.md (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/DataApi/__init__.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/DataApi/data_api.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/DataApi/jrpc_py.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/DataApi/utils.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/TKPRO_connect.json (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/TradeApi/LICENSE (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/TradeApi/README.md (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/TradeApi/__init__.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/TradeApi/jrpc_py.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/TradeApi/trade_api.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/TradeApi/utils.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/__init__.py (100%) rename {vnpy/trader/gateway => beta/quantos}/tkproGateway/tkproGateway.py (100%) diff --git a/examples/JaqsService/CTP_connect.json b/beta/quantos/JaqsService/CTP_connect.json similarity index 100% rename from examples/JaqsService/CTP_connect.json rename to beta/quantos/JaqsService/CTP_connect.json diff --git a/examples/JaqsService/JS_setting.json b/beta/quantos/JaqsService/JS_setting.json similarity index 100% rename from examples/JaqsService/JS_setting.json rename to beta/quantos/JaqsService/JS_setting.json diff --git a/examples/JaqsService/VT_setting.json b/beta/quantos/JaqsService/VT_setting.json similarity index 100% rename from examples/JaqsService/VT_setting.json rename to beta/quantos/JaqsService/VT_setting.json diff --git a/examples/JaqsService/run.py b/beta/quantos/JaqsService/run.py similarity index 100% rename from examples/JaqsService/run.py rename to beta/quantos/JaqsService/run.py diff --git a/examples/JaqsService/runUI.py b/beta/quantos/JaqsService/runUI.py similarity index 100% rename from examples/JaqsService/runUI.py rename to beta/quantos/JaqsService/runUI.py diff --git a/examples/QuantosDataService/README.md b/beta/quantos/QuantosDataService/README.md similarity index 100% rename from examples/QuantosDataService/README.md rename to beta/quantos/QuantosDataService/README.md diff --git a/examples/QuantosDataService/config.json b/beta/quantos/QuantosDataService/config.json similarity index 100% rename from examples/QuantosDataService/config.json rename to beta/quantos/QuantosDataService/config.json diff --git a/examples/QuantosDataService/dataService.py b/beta/quantos/QuantosDataService/dataService.py similarity index 100% rename from examples/QuantosDataService/dataService.py rename to beta/quantos/QuantosDataService/dataService.py diff --git a/examples/QuantosDataService/downloadData.py b/beta/quantos/QuantosDataService/downloadData.py similarity index 100% rename from examples/QuantosDataService/downloadData.py rename to beta/quantos/QuantosDataService/downloadData.py diff --git a/examples/QuantosDataService/runService.py b/beta/quantos/QuantosDataService/runService.py similarity index 100% rename from examples/QuantosDataService/runService.py rename to beta/quantos/QuantosDataService/runService.py diff --git a/vnpy/trader/gateway/tkproGateway/DataApi/LICENSE b/beta/quantos/tkproGateway/DataApi/LICENSE similarity index 100% rename from vnpy/trader/gateway/tkproGateway/DataApi/LICENSE rename to beta/quantos/tkproGateway/DataApi/LICENSE diff --git a/vnpy/trader/gateway/tkproGateway/DataApi/README.md b/beta/quantos/tkproGateway/DataApi/README.md similarity index 100% rename from vnpy/trader/gateway/tkproGateway/DataApi/README.md rename to beta/quantos/tkproGateway/DataApi/README.md diff --git a/vnpy/trader/gateway/tkproGateway/DataApi/__init__.py b/beta/quantos/tkproGateway/DataApi/__init__.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/DataApi/__init__.py rename to beta/quantos/tkproGateway/DataApi/__init__.py diff --git a/vnpy/trader/gateway/tkproGateway/DataApi/data_api.py b/beta/quantos/tkproGateway/DataApi/data_api.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/DataApi/data_api.py rename to beta/quantos/tkproGateway/DataApi/data_api.py diff --git a/vnpy/trader/gateway/tkproGateway/DataApi/jrpc_py.py b/beta/quantos/tkproGateway/DataApi/jrpc_py.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/DataApi/jrpc_py.py rename to beta/quantos/tkproGateway/DataApi/jrpc_py.py diff --git a/vnpy/trader/gateway/tkproGateway/DataApi/utils.py b/beta/quantos/tkproGateway/DataApi/utils.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/DataApi/utils.py rename to beta/quantos/tkproGateway/DataApi/utils.py diff --git a/vnpy/trader/gateway/tkproGateway/TKPRO_connect.json b/beta/quantos/tkproGateway/TKPRO_connect.json similarity index 100% rename from vnpy/trader/gateway/tkproGateway/TKPRO_connect.json rename to beta/quantos/tkproGateway/TKPRO_connect.json diff --git a/vnpy/trader/gateway/tkproGateway/TradeApi/LICENSE b/beta/quantos/tkproGateway/TradeApi/LICENSE similarity index 100% rename from vnpy/trader/gateway/tkproGateway/TradeApi/LICENSE rename to beta/quantos/tkproGateway/TradeApi/LICENSE diff --git a/vnpy/trader/gateway/tkproGateway/TradeApi/README.md b/beta/quantos/tkproGateway/TradeApi/README.md similarity index 100% rename from vnpy/trader/gateway/tkproGateway/TradeApi/README.md rename to beta/quantos/tkproGateway/TradeApi/README.md diff --git a/vnpy/trader/gateway/tkproGateway/TradeApi/__init__.py b/beta/quantos/tkproGateway/TradeApi/__init__.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/TradeApi/__init__.py rename to beta/quantos/tkproGateway/TradeApi/__init__.py diff --git a/vnpy/trader/gateway/tkproGateway/TradeApi/jrpc_py.py b/beta/quantos/tkproGateway/TradeApi/jrpc_py.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/TradeApi/jrpc_py.py rename to beta/quantos/tkproGateway/TradeApi/jrpc_py.py diff --git a/vnpy/trader/gateway/tkproGateway/TradeApi/trade_api.py b/beta/quantos/tkproGateway/TradeApi/trade_api.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/TradeApi/trade_api.py rename to beta/quantos/tkproGateway/TradeApi/trade_api.py diff --git a/vnpy/trader/gateway/tkproGateway/TradeApi/utils.py b/beta/quantos/tkproGateway/TradeApi/utils.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/TradeApi/utils.py rename to beta/quantos/tkproGateway/TradeApi/utils.py diff --git a/vnpy/trader/gateway/tkproGateway/__init__.py b/beta/quantos/tkproGateway/__init__.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/__init__.py rename to beta/quantos/tkproGateway/__init__.py diff --git a/vnpy/trader/gateway/tkproGateway/tkproGateway.py b/beta/quantos/tkproGateway/tkproGateway.py similarity index 100% rename from vnpy/trader/gateway/tkproGateway/tkproGateway.py rename to beta/quantos/tkproGateway/tkproGateway.py diff --git a/examples/README.md b/examples/README.md index 0739e3f2..ef046ab8 100644 --- a/examples/README.md +++ b/examples/README.md @@ -22,6 +22,4 @@ * TushareDataService：TuShare历史行情服务（A股） -* FutuDataService：富途证券历史行情服务（美股、港股） - -* QuantosDataService: quantOS历史行情服务（A股、期货） \ No newline at end of file +* FutuDataService：富途证券历史行情服务（美股、港股） \ No newline at end of file diff --git a/install.bat b/install.bat index f8af121f..564150f0 100644 --- a/install.bat +++ b/install.bat @@ -6,7 +6,5 @@ conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/f conda config --set show_channel_urls yes conda install -c quantopian ta-lib=0.4.9 -y -::conda install -c conda-forge python-snappy -y - :: Install vn.py python setup.py install \ No newline at end of file diff --git a/install.sh b/install.sh index e4337eab..27fd9235 100755 --- a/install.sh +++ b/install.sh @@ -24,7 +24,6 @@ pip install -r requirements.txt conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/ conda config --set show_channel_urls yes conda install -c quantopian ta-lib=0.4.9 -#conda install -c conda-forge python-snappy #Install vn.py python setup.py install From aced9cfbd2b4a3078d6017be5e37a36962a0b20e Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 17 Jul 2018 16:39:17 +0800 Subject: [PATCH 081/135] [FIX]Close #936 --- vnpy/trader/app/algoTrading/stopAlgo.py | 6 +++++- 1 file changed, 5 insertions(+), 1 deletion(-) diff --git a/vnpy/trader/app/algoTrading/stopAlgo.py b/vnpy/trader/app/algoTrading/stopAlgo.py index a08d09d7..d9bf2ecc 100644 --- a/vnpy/trader/app/algoTrading/stopAlgo.py +++ b/vnpy/trader/app/algoTrading/stopAlgo.py @@ -3,6 +3,8 @@ from __future__ import division from collections import OrderedDict +from six import text_type + from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, OFFSET_OPEN, OFFSET_CLOSE) from vnpy.trader.uiQt import QtWidgets @@ -10,7 +12,9 @@ from vnpy.trader.uiQt import QtWidgets from .algoTemplate import AlgoTemplate from .uiAlgoWidget import AlgoWidget, QtWidgets -from six import text_type + + +STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED]) ######################################################################## From a835a7ab2cd52677a6b250043d3d1d6db31a297b Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 17 Jul 2018 16:40:56 +0800 Subject: [PATCH 082/135] [Fix]Close #928 --- vnpy/trader/app/algoTrading/stopAlgo.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/vnpy/trader/app/algoTrading/stopAlgo.py b/vnpy/trader/app/algoTrading/stopAlgo.py index d9bf2ecc..cb711121 100644 --- a/vnpy/trader/app/algoTrading/stopAlgo.py +++ b/vnpy/trader/app/algoTrading/stopAlgo.py @@ -53,7 +53,7 @@ class StopAlgo(AlgoTemplate): # 如果到达止损位，才触发委托 if (self.direction == DIRECTION_LONG and - tick.lastPrice >= self.price): + tick.lastPrice >= self.stopPrice): # 计算超价委托价格 price = self.stopPrice + self.priceAdd From 06ceccc3c3191d59b384950e29ab490f7bf05319 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 17 Jul 2018 16:41:52 +0800 Subject: [PATCH 083/135] [Fix]Close #927 --- vnpy/trader/app/algoTrading/dmaAlgo.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/vnpy/trader/app/algoTrading/dmaAlgo.py b/vnpy/trader/app/algoTrading/dmaAlgo.py index 2f0736f2..54281d7d 100644 --- a/vnpy/trader/app/algoTrading/dmaAlgo.py +++ b/vnpy/trader/app/algoTrading/dmaAlgo.py @@ -55,7 +55,7 @@ class DmaAlgo(AlgoTemplate): else: func = self.sell - self.vtOrderID = func(self.vtSymbol, self.price, self.volume, + self.vtOrderID = func(self.vtSymbol, self.price, self.totalVolume, self.priceType, self.offset) # 更新变量 From 9cb8b2be433f1371696c9b28e5c8c66ad187b48d Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 17 Jul 2018 17:20:05 +0800 Subject: [PATCH 084/135] =?UTF-8?q?[Del]=E7=A7=BB=E9=99=A4vnpy/api/ib?= 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