vn.py
GitHub
commit
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.gitignore
vendored
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.gitignore
vendored
@ -7,6 +7,8 @@ Release/
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*.exp
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*.exp
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*.pdb
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*.pdb
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*.cd
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*.cd
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*.o
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*.out
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# Python编译文件
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# Python编译文件
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*.pyc
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*.pyc
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@ -28,8 +30,6 @@ Release/
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# 本地持久化文件
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# 本地持久化文件
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*.vn
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*.vn
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# 其他文件
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# 其他文件
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*.dump
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*.dump
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*.vssettings
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*.vssettings
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@ -41,15 +41,23 @@ Release/
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*.temp
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*.temp
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*.vt
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*.vt
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*.log
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*.log
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vn.ctp/build/*
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vn.lts/build/*
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.idea
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.vscode
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.gitignore
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vn.trader/ctaAlgo/data/*
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vn.trader/build/*
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vn.trader/dist/*
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*.bak
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*.bak
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# 编译临时文件夹
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build/
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# CMake临时文件
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CMakeCache.txt
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CMakeFiles/
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build/cmake_install.cmake
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build/Makefile
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# 目录
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.idea
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.vscode
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.python-version
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.gitignore
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@ -4,9 +4,10 @@ cache: pip
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python:
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python:
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- 2.7
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- 2.7
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- 3.6
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- 3.6
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matrix:
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branches:
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allow_failures:
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only:
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- python: 3.6
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- master
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- dev
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install:
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install:
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- pip install -r requirements.txt
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- pip install -r requirements.txt
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- pip install flake8 # pytest # add another testing frameworks later
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- pip install flake8 # pytest # add another testing frameworks later
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155
README-en.md
155
README-en.md
@ -6,92 +6,101 @@
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The vn.py project is an open-source quantitative trading framework that is developed by traders, for traders. The project is mainly written in Python and uses C++ for low-layer and performance sensitive infrastructure.
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The vn.py project is an open-source quantitative trading framework that is developed by traders, for traders. The project is mainly written in Python and uses C++ for low-layer and performance sensitive infrastructure.
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Using the vn.py project, institutional investors and professional traders, such as hedge funds, prop trading firms and investment banks, can easily develop complex trading strategies with the Event Engine Strategy Module, and automatically route their orders to the most desired destinations, including equity, commodity, forex and many other financial markets.
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Using the vn.py project, institutional investors and professional traders, such as hedge funds, prop trading firms and investment banks, can easily develop complex trading strategies with the Event Engine Strategy Module, and automatically route their orders to the most desired destinations, including equity, commodity, forex, cryptocurrency and many other financial markets.
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### Project Structure
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1. A large number of Broker and Market Data APIs, all in Python (vn.api):
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**International Financial Markets**
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- Interactive Brokers（vn.ib）
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- OANDA（vn.oanda）
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- Shanghai Zhida Futures（vn.shzd）
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**Chinese Futures Market**
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- CTP（vn.ctp）
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- Femas（vn.femas）
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- Kingstar Option（vn.ksotp）
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- XSpeed（vn.xspeed）
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**Chinese Equity Market**
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- LTS（vn.lts）
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- QDP（vn.qdp）
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- CSHSHLP（vn.cshshlp）
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**Chinese Precious Metal Market**
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- SGIT（vn.sgit）
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- Kingstar Gold（vn.ksgold）
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**Cryptocurrency Market**
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- OKCOIN（vn.okcoin）
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- Huobi（vn.huobi）
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- Lhang（vn.lhang）
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**Market Data**
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- Datayes（vn.datayes）
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2. Simple but powerful event engine module (vn.event), which can be used for developing complex quantitative trading strategies
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3. RPC framework (vn.rpc) which also supports pushing data from server to client, aimed at implementing distributed trading systems.
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4. Ready to use trading platform (vn.trader), which has integrated all the trading APIs in vn.api, and provides easy to use strategy engines for developing different types of quantitative strategies and trading algorithms.
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5. Tutorials about how to use vn.py to solve real world trading issues.
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6. [Official Website](http://vnpy.org) and [Github Repository](http://www.github.com/vnpy/vnpy)
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---
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---
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### Quick Start
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### Quick Start
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1. Prepare a computer with Windows 7 (64-bit) installed.
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1. Prepare a computer with Windows 7/8/10/Server 2008 (64-bit) installed.
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2. Install [Anaconda](http://www.continuum.io/downloads), please make sure you download **Anaconda 4.0.0 Python 2.7 (32-bit)**.
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2. Install [Anaconda 5.2.0](http://www.continuum.io/downloads), please make sure you download **Python 2.7 (32-bit)**.
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3. Install [MongoDB](https://www.mongodb.org/downloads#production)
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3. Install [MongoDB](https://www.mongodb.org/downloads#production), please register MongoDB as Windows Service.
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4. Install pymongo, just run "pip install pymongo" in cmd.
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4. Install [Visual C++ Redistributable Packages for VS2013 (32-bit)](https://www.microsoft.com/en-gb/download/details.aspx?id=40784).
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5. Register MongoDB as Windows Service and start it.
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5. Run **install.bat** to install vn.py and all dependencies.
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6. Install [Visual C++ Redistributable Packages for VS2013 (32-bit)](https://www.microsoft.com/en-gb/download/details.aspx?id=40784).
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6. Go to folder **examples/CryptoTrader/** and edit those **ABC_connect.json** files with your exchange config. Taking BitMEX_connect.json as an example:
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* apiKey: the API Key of your account provided by BitMEX
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* secretKey: the Secret Key of your account provide by BitMEX
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* sessionCount: number of sessions and threads you would like to use for RESTFul request
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* symbols: symbols of contract you would like to receive data update from Websocket API
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7. Click the "Download ZIP" button on this page to download the project source code, assume you unzip to C:\vnpy.
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7. Change the "language" setting in **VT_setting.json** to "english" (otherwise you will see the GUI in Chinese).
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8. Install the IB TWS software and configure it to allow trading API connection.
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8. Start CryptoTrader by running "python run.py", connect to BitMEX and then you are ready to trade!
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9. Use sublime text or any other text editors you like, to change related details in C:\vnpy\vn.trader\gateway\ibGateway\IB_connect.json to your data.
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### Project Structure
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10. Start IB TWS software and run C:\vnpy\vn.trader\vtMain.py, enjoy trading!
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1. A large number of Broker and Market Data APIs, all in Python (vnpy.api):
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**Cryptocurrency Market**
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- BitMEX (bitmex)
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- OKEX（okex)
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- Huobi Pro（huobi)
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- Binance（binance)
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- Bitfinex (bitfinex)
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- Coinbase Pro (coinbase)
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- FCoin (fcoin)
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- BigOne (bigone)
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- LBank（lbank）
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- CCXT (ccxt)
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**International Financial Markets**
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- Interactive Brokers（ib）
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- Shanghai Zhida Futures（shzd）
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- Futu Securities (futu)
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**Chinese Futures Market**
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- CTP（ctp）
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- Femas（femas）
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- Kingstar Option（ksotp）
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- XSpeed（xspeed）
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**Chinese Equity Market**
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- LTS（lts）
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- QDP（qdp）
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- CSHSHLP（cshshlp）
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- XSpeed Securities (sec)
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**Chinese Precious Metal Market**
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- SGIT（sgit）
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- Kingstar Gold（ksgold）
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2. Simple but powerful event engine module (vnpy.event), which can be used for developing complex quantitative trading strategies
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3. RPC framework (vnpy.rpc) which also supports pushing data from server to client, aimed at implementing distributed trading systems.
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4. Ready to use trading platform (vnpy.trader), which has integrated all the trading APIs in vnpy.api, and provides easy to use strategy engines for developing different types of quantitative strategies and trading algorithms.
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5. Examples about how to use vn.py framework for solving real world trading issues (vnpy.examples).
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6. [Official Forum](http://www.vnpie.org) and [Github Repository](http://www.github.com/vnpy/vnpy)
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---
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---
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### Contact
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### Contact
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122
README.md
122
README.md
@ -9,57 +9,91 @@
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vn.py是基于Python的开源量化交易程序开发框架，起源于国内私募的自主量化交易系统。2015年初项目启动时只是单纯的交易API接口的Python封装。随着业内关注度的上升和社区不断的贡献，目前已经成长为一套全功能的交易程序开发框架，用户群体也日渐多样化，包括私募基金、券商自营和资管、期货资管和子公司、高校研究机构和专业个人投资者等。
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vn.py是基于Python的开源量化交易程序开发框架，起源于国内私募的自主量化交易系统。2015年初项目启动时只是单纯的交易API接口的Python封装。随着业内关注度的上升和社区不断的贡献，目前已经成长为一套全功能的交易程序开发框架，用户群体也日渐多样化，包括私募基金、券商自营和资管、期货资管和子公司、高校研究机构和专业个人投资者等。
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2018年中启动代号为vn.crypto的数字货币量化交易系统开发计划，目前已完成第一阶段的开发，提供针对数字货币交易所原生的REST/WebSocket API的高性能的Python接口封装设计、以及适合7x24小时长时间交易需求的算法交易AlgoTrading模块、面向币圈交易的前端应用示例CryptoTrader等，后续会进一步完善打造功能全面的数字货币量化交易平台。
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---
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---
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### 项目结构
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### 项目结构
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1. 丰富的Python交易API接口（vnpy.api），基本覆盖了国内外所有常规交易品种（股票、期货、期权、外汇、外盘、比特币），具体包括：
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1. 丰富的Python交易API接口（vnpy.api），基本覆盖了国内外所有常规交易品种（股票、期货、期权、外汇、外盘、数字货币），具体包括：
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- CTP（ctp）
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- 传统金融
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- 飞马（femas）
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- CTP（ctp）
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- 中泰证券XTP（xtp）
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- 飞马（femas）
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- 中信证券期权（cshshlp）
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- 中泰证券XTP（xtp）
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- 金仕达黄金（ksgold）
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- 中信证券期权（cshshlp）
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- 金仕达期权（ksotp）
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- 金仕达黄金（ksgold）
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- 飞鼠（sgit）
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- 金仕达期权（ksotp）
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- 飞创（xspeed）
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- 飞鼠（sgit）
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- QDP（qdp）
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- 飞创（xspeed）
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- 上海直达期货（shzd）
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- 飞创证券（sec)
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- Interactive Brokers（ib）
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- QDP（qdp）
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- OANDA（oanda）
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- 上海直达期货（shzd）
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- 福汇（fxcm）
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- Interactive Brokers（ib）
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- OKCOIN（okcoin）
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- 福汇（fxcm）
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- 火币（huobi）
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- LBank（lbank）
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- 数字货币
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- OKEX（okex)
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- 火币（huobi)
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- 币安（binance)
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- BitMEX (bitmex)
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- Bitfinex (bitfinex)
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- Coinbase Pro (coinbase)
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- FCoin (fcoin)
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- BigOne (bigone)
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- LBank（lbank）
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- CCXT (ccxt)
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2. 简洁易用的事件驱动引擎（vnpy.event），作为事件驱动型交易程序的核心
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2. 简洁易用的事件驱动引擎（vnpy.event），作为事件驱动型交易程序的核心
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3. 支持服务器端数据推送的RPC框架（vnpy.rpc），用于实现多进程分布式架构的交易系统
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3. 支持服务器端数据推送的RPC框架（vnpy.rpc），用于实现多进程分布式架构的交易系统
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4. 开箱即用的实盘交易平台框架（vnpy.trader），整合了多种交易接口，并针对具体策略算法和功能开发提供了简洁易用的API，用于快速构建交易员所需的量化交易程序，应用举例：
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4. 开箱即用的量化交易平台（vnpy.trader），整合了多种交易接口，并针对具体策略算法和功能开发提供了简洁易用的API，用于快速构建交易员所需的量化交易程序，应用举例：
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||||||
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|
||||||
* 同时登录多个交易接口，在一套界面上监控多种市场的行情和多种资产账户的资金、持仓、委托、成交情况
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* 同时登录多个交易接口，在一套界面上监控多种市场的行情和多种资产账户的资金、持仓、委托、成交情况
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* 支持跨市场套利（CTP期货和XTP证券）、境内外套利（CTP期货和IB外盘）、多市场数据整合实时预测走势（CTP的股指期货数据、IB的外盘A50数据、Wind的行业指数数据）等策略应用
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* 支持跨市场套利（CTP期货和XTP证券）、境内外套利（CTP期货和IB外盘）、多市场数据整合实时预测走势（CTP的股指期货数据、IB的外盘A50数据、Wind的行业指数数据）等策略应用
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||||||
* CTA策略引擎模块，在保持易用性的同时，允许用户针对CTA类策略运行过程中委托的报撤行为进行细粒度控制（降低交易滑点、实现高频策略）
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* CtaStrategy，CTA策略引擎模块，在保持易用性的同时，允许用户针对CTA类策略运行过程中委托的报撤行为进行细粒度控制（降低交易滑点、实现高频策略）
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* 实盘行情记录，支持Tick和K线数据的落地，用于策略开发回测以及实盘运行初始化
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* SpreadTrading，价差交易模块，根据用户的配置自动实现价差组合的深度行情以及持仓变化计算，同时内置的交易算法SniperAlgo可以满足大部分到价成交策略的需求，用户也可以基于AlgoTemplate开发更复杂的价差算法
|
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||||||
|
* OptionMaster，期权交易模块，强大的期权投资组合管理功能，结合基于Cython开发的高效期权定价模型，支持毫秒级别的整体希腊值持仓风险计算，用户可以基于期权交易引擎OmEngine快速开发各类复杂期权交易应用
|
||||||
|
|
||||||
|
* AlgoTrading，算法交易模块，提供多种常用的智能交易算法：TWAP、Sniper、BestLimit、Iceberg、Arbitrage等等，支持数据库配置保存、CSV文件加载启动以及RPC跨进程算法交易服务
|
||||||
|
|
||||||
|
* RiskManager，前端风控模块，负责在交易系统将任何交易请求发出到柜台前的一系列标准检查操作，支持用户自定义风控规则的扩展
|
||||||
|
|
||||||
|
* DataRecorder，实盘行情记录，支持Tick和K线数据的落地，用于策略开发回测以及实盘运行初始化
|
||||||
|
|
||||||
|
* RpcService，RPC跨进程调用服务，基于MainEngineProxy组件，用户可以如同开发单一进程应用搬开发多进程架构的复杂交易应用
|
||||||
|
|
||||||
|
* RtdService，EXCEL RTD服务组件，通过pyxll模块提供EXCEL表格系统对VnTrader系统内所有数据的访问和功能调用（未完成）
|
||||||
|
|
||||||
5. 数据相关的API接口（vnpy.data），用于构建和更新历史行情数据库，目前包括：
|
5. 数据相关的API接口（vnpy.data），用于构建和更新历史行情数据库，目前包括：
|
||||||
|
|
||||||
@ -73,7 +107,7 @@ vn.py是基于Python的开源量化交易程序开发框架，起源于国内私
|
|||||||
|
|
||||||
8. vn.py项目的Docker镜像（docker），目前尚未完成
|
8. vn.py项目的Docker镜像（docker），目前尚未完成
|
||||||
|
|
||||||
9. [官网](http://vnpy.org)和[知乎专栏](http://zhuanlan.zhihu.com/vn-py)，内容包括vn.py项目的开发教程和Python在量化交易领域的应用研究等内容
|
9. [官方论坛](http://www.vnpie.com)和[知乎专栏](http://zhuanlan.zhihu.com/vn-py)，内容包括vn.py项目的开发教程和Python在量化交易领域的应用研究等内容
|
||||||
|
|
||||||
10. 官方交流QQ群262656087，管理较严格（定期清除长期潜水的成员）
|
10. 官方交流QQ群262656087，管理较严格（定期清除长期潜水的成员）
|
||||||
|
|
||||||
@ -86,7 +120,7 @@ vn.py是基于Python的开源量化交易程序开发框架，起源于国内私
|
|||||||
|
|
||||||
1. 支持的操作系统：Windows 7/8/10/Server 2008
|
1. 支持的操作系统：Windows 7/8/10/Server 2008
|
||||||
2. 安装[MongoDB](https://www.mongodb.org/downloads#production)，并[将MongoDB配置为系统服务](https://docs.mongodb.com/manual/tutorial/install-mongodb-on-windows/#configure-a-windows-service-for-mongodb-community-edition)
|
2. 安装[MongoDB](https://www.mongodb.org/downloads#production)，并[将MongoDB配置为系统服务](https://docs.mongodb.com/manual/tutorial/install-mongodb-on-windows/#configure-a-windows-service-for-mongodb-community-edition)
|
||||||
3. 安装[Anaconda](http://www.continuum.io/downloads)，**注意必须是Python 2.7 32位版本**
|
3. 安装[Anaconda 5.2.0](http://www.continuum.io/downloads)，**注意必须是Python 2.7 32位版本**
|
||||||
4. 安装[Visual C++ Redistributable Packages for VS2013 x86版本](https://support.microsoft.com/en-us/help/3138367/update-for-visual-c-2013-and-visual-c-redistributable-package)
|
4. 安装[Visual C++ Redistributable Packages for VS2013 x86版本](https://support.microsoft.com/en-us/help/3138367/update-for-visual-c-2013-and-visual-c-redistributable-package)
|
||||||
|
|
||||||
**Ubuntu**
|
**Ubuntu**
|
||||||
@ -125,14 +159,8 @@ sudo /home/vnpy/anaconda2/bin/conda install -c quantopian ta-lib=0.4.9
|
|||||||
```
|
```
|
||||||
# encoding: UTF-8
|
# encoding: UTF-8
|
||||||
|
|
||||||
# 重载sys模块，设置默认字符串编码方式为utf8
|
|
||||||
import sys
|
import sys
|
||||||
reload(sys)
|
reload(sys)
|
||||||
sys.setdefaultencoding('utf8')
|
|
||||||
|
|
||||||
# 判断操作系统
|
|
||||||
import platform
|
|
||||||
system = platform.system()
|
|
||||||
|
|
||||||
# vn.trader模块
|
# vn.trader模块
|
||||||
from vnpy.event import EventEngine
|
from vnpy.event import EventEngine
|
||||||
@ -141,18 +169,11 @@ from vnpy.trader.uiQt import createQApp
|
|||||||
from vnpy.trader.uiMainWindow import MainWindow
|
from vnpy.trader.uiMainWindow import MainWindow
|
||||||
|
|
||||||
# 加载底层接口
|
# 加载底层接口
|
||||||
from vnpy.trader.gateway import (ctpGateway, oandaGateway, ibGateway,
|
from vnpy.trader.gateway import ctpGateway, ibGateway
|
||||||
tkproGateway)
|
|
||||||
|
|
||||||
if system == 'Windows':
|
|
||||||
from vnpy.trader.gateway import (femasGateway, xspeedGateway,
|
|
||||||
futuGateway, secGateway)
|
|
||||||
|
|
||||||
if system == 'Linux':
|
|
||||||
from vnpy.trader.gateway import xtpGateway
|
|
||||||
|
|
||||||
# 加载上层应用
|
# 加载上层应用
|
||||||
from vnpy.trader.app import (riskManager, ctaStrategy, spreadTrading)
|
from vnpy.trader.app import (riskManager, ctaStrategy,
|
||||||
|
spreadTrading, algoTrading)
|
||||||
|
|
||||||
|
|
||||||
#----------------------------------------------------------------------
|
#----------------------------------------------------------------------
|
||||||
@ -160,37 +181,27 @@ def main():
|
|||||||
"""主程序入口"""
|
"""主程序入口"""
|
||||||
# 创建Qt应用对象
|
# 创建Qt应用对象
|
||||||
qApp = createQApp()
|
qApp = createQApp()
|
||||||
|
|
||||||
# 创建事件引擎
|
# 创建事件引擎
|
||||||
ee = EventEngine()
|
ee = EventEngine()
|
||||||
|
|
||||||
# 创建主引擎
|
# 创建主引擎
|
||||||
me = MainEngine(ee)
|
me = MainEngine(ee)
|
||||||
|
|
||||||
# 添加交易接口
|
# 添加交易接口
|
||||||
me.addGateway(ctpGateway)
|
me.addGateway(ctpGateway)
|
||||||
me.addGateway(tkproGateway)
|
|
||||||
me.addGateway(oandaGateway)
|
|
||||||
me.addGateway(ibGateway)
|
me.addGateway(ibGateway)
|
||||||
|
|
||||||
if system == 'Windows':
|
|
||||||
me.addGateway(femasGateway)
|
|
||||||
me.addGateway(xspeedGateway)
|
|
||||||
me.addGateway(secGateway)
|
|
||||||
me.addGateway(futuGateway)
|
|
||||||
|
|
||||||
if system == 'Linux':
|
|
||||||
me.addGateway(xtpGateway)
|
|
||||||
|
|
||||||
# 添加上层应用
|
# 添加上层应用
|
||||||
me.addApp(riskManager)
|
me.addApp(riskManager)
|
||||||
me.addApp(ctaStrategy)
|
me.addApp(ctaStrategy)
|
||||||
me.addApp(spreadTrading)
|
me.addApp(spreadTrading)
|
||||||
|
me.addApp(algoTrading)
|
||||||
|
|
||||||
# 创建主窗口
|
# 创建主窗口
|
||||||
mw = MainWindow(me, ee)
|
mw = MainWindow(me, ee)
|
||||||
mw.showMaximized()
|
mw.showMaximized()
|
||||||
|
|
||||||
# 在主线程中启动Qt事件循环
|
# 在主线程中启动Qt事件循环
|
||||||
sys.exit(qApp.exec_())
|
sys.exit(qApp.exec_())
|
||||||
|
|
||||||
@ -252,6 +263,7 @@ vn.py使用github托管其源代码，如果希望贡献代码请使用github的
|
|||||||
|
|
||||||
捐赠方式：支付宝3216630132@qq.com（*晓优）
|
捐赠方式：支付宝3216630132@qq.com（*晓优）
|
||||||
|
|
||||||
|
|
||||||
计划长期维护一份捐赠清单，所以请在留言中注明是项目捐赠以及捐赠人的名字（当然想匿名的用户就随意了）。
|
计划长期维护一份捐赠清单，所以请在留言中注明是项目捐赠以及捐赠人的名字（当然想匿名的用户就随意了）。
|
||||||
|
|
||||||
|
|
||||||
|
|||||||
@ -1,4 +0,0 @@
|
|||||||
# encoding: UTF-8
|
|
||||||
|
|
||||||
from __future__ import absolute_import
|
|
||||||
from .vnokex import OkexSpotApi, OkexFuturesApi, CONTRACT_SYMBOL, SPOT_CURRENCY
|
|
||||||
@ -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()
|
|
||||||
@ -1,6 +0,0 @@
|
|||||||
{
|
|
||||||
"apiKey": "你的apiKey",
|
|
||||||
"secretKey": "你的secretKey",
|
|
||||||
"trace": false,
|
|
||||||
"leverage": 10
|
|
||||||
}
|
|
||||||
@ -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
|
|
||||||
@ -62,7 +62,6 @@ def generateVtBar(row):
|
|||||||
bar.low = row['low']
|
bar.low = row['low']
|
||||||
bar.close = row['close']
|
bar.close = row['close']
|
||||||
bar.volume = row['volume']
|
bar.volume = row['volume']
|
||||||
|
|
||||||
bar.date = str(row['date'])
|
bar.date = str(row['date'])
|
||||||
bar.time = str(row['time']).rjust(6, '0')
|
bar.time = str(row['time']).rjust(6, '0')
|
||||||
|
|
||||||
@ -70,6 +69,19 @@ def generateVtBar(row):
|
|||||||
hour=bar.time[0:2]
|
hour=bar.time[0:2]
|
||||||
minute=bar.time[2:4]
|
minute=bar.time[2:4]
|
||||||
sec=bar.time[4:6]
|
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":
|
if minute=="00":
|
||||||
minute="59"
|
minute="59"
|
||||||
|
|
||||||
@ -81,6 +93,8 @@ def generateVtBar(row):
|
|||||||
else:
|
else:
|
||||||
minute=str(int(minute)-1).rjust(2,'0')
|
minute=str(int(minute)-1).rjust(2,'0')
|
||||||
bar.time=hour+minute+sec
|
bar.time=hour+minute+sec
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
bar.datetime = datetime.strptime(' '.join([bar.date, bar.time]), '%Y%m%d %H%M%S')
|
bar.datetime = datetime.strptime(' '.join([bar.date, bar.time]), '%Y%m%d %H%M%S')
|
||||||
|
|
||||||
@ -1,7 +1,8 @@
|
|||||||
# encoding: UTF-8
|
# encoding: UTF-8
|
||||||
|
|
||||||
from jsEngine import JsEngine
|
from __future__ import absolute_import
|
||||||
from uiJsWidget import JsEngineManager
|
from .jsEngine import JsEngine
|
||||||
|
from .uiJsWidget import JsEngineManager
|
||||||
|
|
||||||
appName = 'JaqsService'
|
appName = 'JaqsService'
|
||||||
appDisplayName = u'Jaqs服务'
|
appDisplayName = u'Jaqs服务'
|
||||||
@ -1,3 +1,4 @@
|
|||||||
|
from __future__ import print_function
|
||||||
import zmq
|
import zmq
|
||||||
import Queue
|
import Queue
|
||||||
import threading
|
import threading
|
||||||
@ -108,11 +109,11 @@ class JRpcServer :
|
|||||||
#client_addr_map[client_id] = identity
|
#client_addr_map[client_id] = identity
|
||||||
self._on_data_arrived(identity, data)
|
self._on_data_arrived(identity, data)
|
||||||
|
|
||||||
except zmq.error.Again, e:
|
except zmq.error.Again as e:
|
||||||
#print "RECV timeout: ", e
|
#print "RECV timeout: ", e
|
||||||
pass
|
pass
|
||||||
except Exception, e:
|
except Exception as e:
|
||||||
print("_recv_run:", e)
|
print(("_recv_run:", e))
|
||||||
|
|
||||||
def _callback_run(self):
|
def _callback_run(self):
|
||||||
while not self._should_close:
|
while not self._should_close:
|
||||||
@ -120,12 +121,12 @@ class JRpcServer :
|
|||||||
r = self._callback_queue.get(timeout = 1)
|
r = self._callback_queue.get(timeout = 1)
|
||||||
if r :
|
if r :
|
||||||
r()
|
r()
|
||||||
except Queue.Empty, e:
|
except Queue.Empty as e:
|
||||||
pass
|
pass
|
||||||
|
|
||||||
except Exception, e:
|
except Exception as e:
|
||||||
traceback.print_exc(e)
|
traceback.print_exc(e)
|
||||||
print "_callback_run", type(e), e
|
print("_callback_run", type(e), e)
|
||||||
|
|
||||||
def _async_call(self, func):
|
def _async_call(self, func):
|
||||||
self._callback_queue.put( func )
|
self._callback_queue.put( func )
|
||||||
@ -164,12 +165,12 @@ class JRpcServer :
|
|||||||
#print "RECV", msg
|
#print "RECV", msg
|
||||||
|
|
||||||
if not msg:
|
if not msg:
|
||||||
print "wrong message format"
|
print("wrong message format")
|
||||||
return
|
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 call_id and method:
|
||||||
if method == ".sys.heartbeat":
|
if method == ".sys.heartbeat":
|
||||||
@ -183,8 +184,8 @@ class JRpcServer :
|
|||||||
if self.on_call :
|
if self.on_call :
|
||||||
self._async_call( lambda : self.on_call(identity, msg))
|
self._async_call( lambda : self.on_call(identity, msg))
|
||||||
|
|
||||||
except Exception, e:
|
except Exception as e:
|
||||||
print( "_on_data_arrived:", e)
|
print(( "_on_data_arrived:", e))
|
||||||
pass
|
pass
|
||||||
|
|
||||||
|
|
||||||
|
Before Width: | Height: | Size: 21 KiB After Width: | Height: | Size: 21 KiB |
@ -1,9 +1,10 @@
|
|||||||
# encoding: UTF-8
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
from __future__ import absolute_import
|
||||||
import json
|
import json
|
||||||
from collections import defaultdict
|
from collections import defaultdict
|
||||||
|
|
||||||
import jrpc_server
|
from . import jrpc_server
|
||||||
|
|
||||||
from vnpy.event import Event
|
from vnpy.event import Event
|
||||||
from vnpy.trader.vtFunction import getJsonPath
|
from vnpy.trader.vtFunction import getJsonPath
|
||||||
@ -1,6 +1,8 @@
|
|||||||
# -*- coding: utf-8 -*-
|
# -*- coding: utf-8 -*-
|
||||||
|
|
||||||
import jrpc_server
|
from __future__ import print_function
|
||||||
|
from __future__ import absolute_import
|
||||||
|
from . import jrpc_server
|
||||||
import time
|
import time
|
||||||
import pandas as pd
|
import pandas as pd
|
||||||
from qdata.database import DatabaseConn
|
from qdata.database import DatabaseConn
|
||||||
@ -15,7 +17,7 @@ db = None
|
|||||||
def on_call(client_id, req):
|
def on_call(client_id, req):
|
||||||
|
|
||||||
if req['method'] != '.sys.heartbeat':
|
if req['method'] != '.sys.heartbeat':
|
||||||
print "on_call", req
|
print("on_call", req)
|
||||||
|
|
||||||
if req['method'] == 'auth.login':
|
if req['method'] == 'auth.login':
|
||||||
server.send_rsp(client_id, req, result = { "username" : "fixme", "name": "fixme" })
|
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"])
|
server.send_rsp(client_id, req, error=[-1, "unknown method"])
|
||||||
return
|
return
|
||||||
|
|
||||||
if not req.has_key('params'):
|
if 'params' not in req:
|
||||||
server.send_rsp(client_id, req, error=[-1, "missing params"])
|
server.send_rsp(client_id, req, error=[-1, "missing params"])
|
||||||
return
|
return
|
||||||
|
|
||||||
@ -55,7 +57,7 @@ def run():
|
|||||||
server = jrpc_server.JRpcServer()
|
server = jrpc_server.JRpcServer()
|
||||||
server.on_call = on_call
|
server.on_call = on_call
|
||||||
addr = "tcp://%s:%s"%(st.HOST, st.PORT)
|
addr = "tcp://%s:%s"%(st.HOST, st.PORT)
|
||||||
print "listen at " + addr
|
print("listen at " + addr)
|
||||||
server.listen(addr)
|
server.listen(addr)
|
||||||
|
|
||||||
while True:
|
while True:
|
||||||
@ -570,7 +570,7 @@ class TkproDataApi(object):
|
|||||||
tick.lowerLimit = data['limit_down']
|
tick.lowerLimit = data['limit_down']
|
||||||
|
|
||||||
self.gateway.onTick(tick)
|
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))
|
self.writeLog(u'行情更新失败，错误信息：%s' % str(e))
|
||||||
|
|
||||||
#----------------------------------------------------------------------
|
#----------------------------------------------------------------------
|
||||||
11
examples/CoinapiDataService/config.json
Normal file
11
examples/CoinapiDataService/config.json
Normal file
@ -0,0 +1,11 @@
|
|||||||
|
{
|
||||||
|
"MONGO_HOST": "localhost",
|
||||||
|
"MONGO_PORT": 27017,
|
||||||
|
|
||||||
|
"APIKEY": "",
|
||||||
|
|
||||||
|
"SYMBOLS": [
|
||||||
|
"BINANCE_SPOT_BTC_USDT",
|
||||||
|
"BINANCE_SPOT_ETH_USDT"
|
||||||
|
]
|
||||||
|
}
|
||||||
103
examples/CoinapiDataService/dataService.py
Normal file
103
examples/CoinapiDataService/dataService.py
Normal file
@ -0,0 +1,103 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
from __future__ import print_function
|
||||||
|
|
||||||
|
import json
|
||||||
|
import time
|
||||||
|
import datetime
|
||||||
|
|
||||||
|
import requests
|
||||||
|
from pymongo import MongoClient, ASCENDING
|
||||||
|
|
||||||
|
from vnpy.trader.vtObject import VtBarData
|
||||||
|
from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME
|
||||||
|
|
||||||
|
|
||||||
|
# 加载配置
|
||||||
|
config = open('config.json')
|
||||||
|
setting = json.load(config)
|
||||||
|
|
||||||
|
MONGO_HOST = setting['MONGO_HOST']
|
||||||
|
MONGO_PORT = setting['MONGO_PORT']
|
||||||
|
APIKEY = setting['APIKEY']
|
||||||
|
SYMBOLS = setting['SYMBOLS']
|
||||||
|
|
||||||
|
mc = MongoClient(MONGO_HOST, MONGO_PORT) # Mongo连接
|
||||||
|
db = mc[MINUTE_DB_NAME] # 数据库
|
||||||
|
headers = {'X-CoinAPI-Key': APIKEY}
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def generateVtBar(symbol, d):
|
||||||
|
"""生成K线"""
|
||||||
|
bar = VtBarData()
|
||||||
|
|
||||||
|
bar.symbol = symbol
|
||||||
|
bar.vtSymbol = symbol
|
||||||
|
bar.datetime = datetime.datetime.strptime(d['time_open'], '%Y-%m-%dT%H:%M:%S.%f0Z')
|
||||||
|
bar.date = bar.datetime.strftime('%Y%m%d')
|
||||||
|
bar.time = bar.datetime.strftime('%H:%M:%S')
|
||||||
|
bar.open = d['price_open']
|
||||||
|
bar.high = d['price_high']
|
||||||
|
bar.low = d['price_low']
|
||||||
|
bar.close = d['price_close']
|
||||||
|
bar.volume = d['volume_traded']
|
||||||
|
|
||||||
|
return bar
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def downMinuteBarBySymbol(symbol, period, start, end):
|
||||||
|
"""下载某一合约的分钟线数据"""
|
||||||
|
startTime = time.time()
|
||||||
|
|
||||||
|
cl = db[symbol] # 集合
|
||||||
|
cl.ensure_index([('datetime', ASCENDING)], unique=True) # 添加索引
|
||||||
|
|
||||||
|
startDt = datetime.datetime.strptime(start, '%Y%m%d')
|
||||||
|
endDt = datetime.datetime.strptime(end, '%Y%m%d')
|
||||||
|
|
||||||
|
url = 'https://rest.coinapi.io/v1/ohlcv/%s/history' %symbol
|
||||||
|
params = {
|
||||||
|
'period_id': period,
|
||||||
|
'time_start': startDt.strftime('%Y-%m-%dT%H:%M:%S.%f0Z'),
|
||||||
|
'time_end': endDt.strftime('%Y-%m-%dT%H:%M:%S.%f0Z'),
|
||||||
|
'limit': 10000
|
||||||
|
}
|
||||||
|
resp = requests.get(url, headers=headers, params=params)
|
||||||
|
|
||||||
|
if resp.status_code != 200:
|
||||||
|
print(u'%s数据下载失败' %symbol)
|
||||||
|
return
|
||||||
|
|
||||||
|
l = resp.json()
|
||||||
|
|
||||||
|
for d in l:
|
||||||
|
bar = generateVtBar(symbol, d)
|
||||||
|
d = bar.__dict__
|
||||||
|
flt = {'datetime': bar.datetime}
|
||||||
|
cl.replace_one(flt, d, True)
|
||||||
|
|
||||||
|
endTime = time.time()
|
||||||
|
cost = (endTime - startTime) * 1000
|
||||||
|
|
||||||
|
print(u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(symbol, l[0]['time_period_start'],
|
||||||
|
l[-1]['time_period_end'], cost))
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def downloadAllMinuteBar(start, end):
|
||||||
|
"""下载所有配置中的合约的分钟线数据"""
|
||||||
|
print('-' * 50)
|
||||||
|
print(u'开始下载合约分钟线数据')
|
||||||
|
print('-' * 50)
|
||||||
|
|
||||||
|
for symbol in SYMBOLS:
|
||||||
|
downMinuteBarBySymbol(symbol, '1MIN', start, end)
|
||||||
|
time.sleep(1)
|
||||||
|
|
||||||
|
print('-' * 50)
|
||||||
|
print(u'合约分钟线数据下载完成')
|
||||||
|
print('-' * 50)
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
11
examples/CoinapiDataService/downloadData.py
Normal file
11
examples/CoinapiDataService/downloadData.py
Normal file
@ -0,0 +1,11 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
"""
|
||||||
|
立即下载数据到数据库中，用于手动执行更新操作。
|
||||||
|
"""
|
||||||
|
|
||||||
|
from dataService import *
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
downMinuteBarBySymbol('BINANCE_SPOT_BTC_USDT', '1MIN', '20180725', '20180726')
|
||||||
33
examples/CoinapiDataService/runService.py
Normal file
33
examples/CoinapiDataService/runService.py
Normal file
@ -0,0 +1,33 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
"""
|
||||||
|
定时服务，可无人值守运行，实现每日自动下载更新历史行情数据到数据库中。
|
||||||
|
"""
|
||||||
|
from __future__ import print_function
|
||||||
|
|
||||||
|
from dataService import *
|
||||||
|
|
||||||
|
|
||||||
|
if __name__ == '__main__':
|
||||||
|
taskCompletedDate = None
|
||||||
|
|
||||||
|
taskTime = datetime.time(hour=22, minute=0)
|
||||||
|
|
||||||
|
# 进入主循环
|
||||||
|
while True:
|
||||||
|
t = datetime.datetime.now()
|
||||||
|
|
||||||
|
# 每天到达任务下载时间后，执行数据下载的操作
|
||||||
|
if t.time() > taskTime and (taskCompletedDate is None or t.date() != taskCompletedDate):
|
||||||
|
end = t.strftime('%Y%m%d')
|
||||||
|
start = (t - datetime.timedelta(1)).strftime('%Y%m%d')
|
||||||
|
|
||||||
|
# 下载过去24小时的K线数据
|
||||||
|
downloadAllMinuteBar(start, end)
|
||||||
|
|
||||||
|
# 更新任务完成的日期
|
||||||
|
taskCompletedDate = t.date()
|
||||||
|
else:
|
||||||
|
print(u'当前时间%s，任务定时%s' %(t, taskTime))
|
||||||
|
|
||||||
|
time.sleep(60)
|
||||||
5
examples/CryptoTrader/BIGONE_connect.json
Normal file
5
examples/CryptoTrader/BIGONE_connect.json
Normal file
@ -0,0 +1,5 @@
|
|||||||
|
{
|
||||||
|
"apiKey": "",
|
||||||
|
"apiSecret": "",
|
||||||
|
"symbols": ["BTC-USDT", "ETH-USDT", "EOS-USDT"]
|
||||||
|
}
|
||||||
5
examples/CryptoTrader/BINANCE_connect.json
Normal file
5
examples/CryptoTrader/BINANCE_connect.json
Normal file
@ -0,0 +1,5 @@
|
|||||||
|
{
|
||||||
|
"apiKey": "",
|
||||||
|
"secretKey": "",
|
||||||
|
"symbols": ["BTCUSDT", "ETHUSDT", "ETHBTC"]
|
||||||
|
}
|
||||||
5
examples/CryptoTrader/BITFINEX_connect.json
Normal file
5
examples/CryptoTrader/BITFINEX_connect.json
Normal file
@ -0,0 +1,5 @@
|
|||||||
|
{
|
||||||
|
"apiKey": "",
|
||||||
|
"secretKey": "",
|
||||||
|
"symbols": ["BTCUSD", "ETHUSD", "ETHBTC"]
|
||||||
|
}
|
||||||
6
examples/CryptoTrader/BITMEX_connect.json
Normal file
6
examples/CryptoTrader/BITMEX_connect.json
Normal file
@ -0,0 +1,6 @@
|
|||||||
|
{
|
||||||
|
"apiKey": "",
|
||||||
|
"apiSecret": "",
|
||||||
|
"sessionCount": 3,
|
||||||
|
"symbols": ["XBTUSD", "EOSM18", "XRPM18"]
|
||||||
|
}
|
||||||
6
examples/CryptoTrader/CCXT_connect.json
Normal file
6
examples/CryptoTrader/CCXT_connect.json
Normal file
@ -0,0 +1,6 @@
|
|||||||
|
{
|
||||||
|
"exchange": "huobipro",
|
||||||
|
"apiKey": "",
|
||||||
|
"apiSecret": "",
|
||||||
|
"symbols": ["THETA/BTC", "BTC/USDT", "ETH/USDT"]
|
||||||
|
}
|
||||||
7
examples/CryptoTrader/COINBASE_connect.json
Normal file
7
examples/CryptoTrader/COINBASE_connect.json
Normal file
@ -0,0 +1,7 @@
|
|||||||
|
{
|
||||||
|
"apiKey": "",
|
||||||
|
"secretKey": "",
|
||||||
|
"passphrase": "",
|
||||||
|
"sessionCount": 10,
|
||||||
|
"symbols": ["ETH-USD"]
|
||||||
|
}
|
||||||
5
examples/CryptoTrader/FCOIN_connect.json
Normal file
5
examples/CryptoTrader/FCOIN_connect.json
Normal file
@ -0,0 +1,5 @@
|
|||||||
|
{
|
||||||
|
"apiKey": "",
|
||||||
|
"apiSecret": "",
|
||||||
|
"symbols": ["ethusdt"]
|
||||||
|
}
|
||||||
6
examples/CryptoTrader/HUOBI_connect.json
Normal file
6
examples/CryptoTrader/HUOBI_connect.json
Normal file
@ -0,0 +1,6 @@
|
|||||||
|
{
|
||||||
|
"exchange": "huobi",
|
||||||
|
"accessKey": "",
|
||||||
|
"secretKey": "",
|
||||||
|
"symbols": ["btcusdt","ethusdt","ethbtc"]
|
||||||
|
}
|
||||||
5
examples/CryptoTrader/LBANK_connect.json
Normal file
5
examples/CryptoTrader/LBANK_connect.json
Normal file
@ -0,0 +1,5 @@
|
|||||||
|
{
|
||||||
|
"apiKey": "",
|
||||||
|
"secretKey": "",
|
||||||
|
"symbols": ["eth_usdt", "sc_btc", "btc_usdt"]
|
||||||
|
}
|
||||||
6
examples/CryptoTrader/OKEX_connect.json
Normal file
6
examples/CryptoTrader/OKEX_connect.json
Normal file
@ -0,0 +1,6 @@
|
|||||||
|
{
|
||||||
|
"apiKey": "",
|
||||||
|
"secretKey": "",
|
||||||
|
"trace": false,
|
||||||
|
"symbols": ["eth_btc", "btc_usdt", "eth_usdt"]
|
||||||
|
}
|
||||||
20
examples/CryptoTrader/VT_setting.json
Normal file
20
examples/CryptoTrader/VT_setting.json
Normal file
@ -0,0 +1,20 @@
|
|||||||
|
{
|
||||||
|
"fontFamily": "微软雅黑",
|
||||||
|
"fontSize": 12,
|
||||||
|
|
||||||
|
"mongoHost": "localhost",
|
||||||
|
"mongoPort": 27017,
|
||||||
|
"mongoLogging": true,
|
||||||
|
|
||||||
|
"darkStyle": true,
|
||||||
|
"language": "chinese",
|
||||||
|
|
||||||
|
"logActive": false,
|
||||||
|
"logLevel": "debug",
|
||||||
|
"logConsole": true,
|
||||||
|
"logFile": true,
|
||||||
|
|
||||||
|
"tdPenalty": [],
|
||||||
|
|
||||||
|
"maxDecimal": 10
|
||||||
|
}
|
||||||
3
examples/CryptoTrader/algoBasket.csv
Normal file
3
examples/CryptoTrader/algoBasket.csv
Normal file
@ -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
|
||||||
|
70
examples/CryptoTrader/run.py
Normal file
70
examples/CryptoTrader/run.py
Normal file
@ -0,0 +1,70 @@
|
|||||||
|
# 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
|
||||||
|
|
||||||
|
# 加载底层接口
|
||||||
|
from vnpy.trader.gateway import (huobiGateway, okexGateway,
|
||||||
|
binanceGateway, bitfinexGateway,
|
||||||
|
bitmexGateway, fcoinGateway,
|
||||||
|
bigoneGateway, lbankGateway,
|
||||||
|
coinbaseGateway, ccxtGateway)
|
||||||
|
|
||||||
|
# 加载上层应用
|
||||||
|
from vnpy.trader.app import (algoTrading)
|
||||||
|
|
||||||
|
# 当前目录组件
|
||||||
|
from uiCryptoWindow import MainWindow
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
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(ccxtGateway)
|
||||||
|
me.addGateway(coinbaseGateway)
|
||||||
|
me.addGateway(lbankGateway)
|
||||||
|
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(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()
|
||||||
1282
examples/CryptoTrader/uiCryptoWidget.py
Normal file
1282
examples/CryptoTrader/uiCryptoWidget.py
Normal file
File diff suppressed because it is too large
Load Diff
333
examples/CryptoTrader/uiCryptoWindow.py
Normal file
333
examples/CryptoTrader/uiCryptoWindow.py
Normal file
@ -0,0 +1,333 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
import psutil
|
||||||
|
import traceback
|
||||||
|
|
||||||
|
from vnpy.trader.vtFunction import loadIconPath
|
||||||
|
from vnpy.trader.vtGlobal import globalSetting
|
||||||
|
|
||||||
|
from uiCryptoWidget import *
|
||||||
|
|
||||||
|
|
||||||
|
########################################################################
|
||||||
|
class MainWindow(QtWidgets.QMainWindow):
|
||||||
|
"""主窗口"""
|
||||||
|
|
||||||
|
signalStatusBar = QtCore.Signal(type(Event()))
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def __init__(self, mainEngine, eventEngine):
|
||||||
|
"""Constructor"""
|
||||||
|
super(MainWindow, self).__init__()
|
||||||
|
|
||||||
|
self.mainEngine = mainEngine
|
||||||
|
self.eventEngine = eventEngine
|
||||||
|
|
||||||
|
l = self.mainEngine.getAllGatewayDetails()
|
||||||
|
self.gatewayNameList = [d['gatewayName'] for d in l]
|
||||||
|
|
||||||
|
self.widgetDict = {} # 用来保存子窗口的字典
|
||||||
|
|
||||||
|
# 获取主引擎中的上层应用信息
|
||||||
|
self.appDetailList = self.mainEngine.getAllAppDetails()
|
||||||
|
|
||||||
|
self.initUi()
|
||||||
|
self.loadWindowSettings('custom')
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def initUi(self):
|
||||||
|
"""初始化界面"""
|
||||||
|
self.setWindowTitle('VnTrader')
|
||||||
|
self.initCentral()
|
||||||
|
self.initMenu()
|
||||||
|
self.initStatusBar()
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def initCentral(self):
|
||||||
|
"""初始化中心区域"""
|
||||||
|
widgetTradingW, dockTradingW = self.createDock(TradingWidget, vtText.TRADING, QtCore.Qt.RightDockWidgetArea)
|
||||||
|
widgetMarketM, dockMarketM = self.createDock(MarketMonitor, vtText.MARKET_DATA, QtCore.Qt.LeftDockWidgetArea)
|
||||||
|
|
||||||
|
widgetOrderM, dockOrderM = self.createDock(OrderMonitor, vtText.ORDER, QtCore.Qt.LeftDockWidgetArea)
|
||||||
|
widgetWorkingOrderM, dockWorkingOrderM = self.createDock(WorkingOrderMonitor, vtText.WORKING_ORDER, QtCore.Qt.LeftDockWidgetArea)
|
||||||
|
widgetTradeM, dockTradeM = self.createDock(TradeMonitor, vtText.TRADE, QtCore.Qt.LeftDockWidgetArea)
|
||||||
|
|
||||||
|
widgetAccountM, dockAccountM = self.createDock(AccountMonitor, vtText.ACCOUNT, QtCore.Qt.RightDockWidgetArea)
|
||||||
|
widgetPositionM, dockPositionM = self.createDock(PositionMonitor, vtText.POSITION, QtCore.Qt.RightDockWidgetArea)
|
||||||
|
widgetLogM, dockLogM = self.createDock(LogMonitor, vtText.LOG, QtCore.Qt.RightDockWidgetArea)
|
||||||
|
|
||||||
|
self.tabifyDockWidget(dockOrderM, dockWorkingOrderM)
|
||||||
|
self.tabifyDockWidget(dockPositionM, dockAccountM)
|
||||||
|
|
||||||
|
# 保存默认设置
|
||||||
|
self.saveWindowSettings('default')
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def initMenu(self):
|
||||||
|
"""初始化菜单"""
|
||||||
|
# 创建菜单
|
||||||
|
menubar = self.menuBar()
|
||||||
|
|
||||||
|
# 设计为只显示存在的接口
|
||||||
|
gatewayDetails = self.mainEngine.getAllGatewayDetails()
|
||||||
|
|
||||||
|
sysMenu = menubar.addMenu(vtText.SYSTEM)
|
||||||
|
|
||||||
|
for d in gatewayDetails:
|
||||||
|
if d['gatewayType'] == GATEWAYTYPE_FUTURES:
|
||||||
|
self.addConnectAction(sysMenu, d['gatewayName'], d['gatewayDisplayName'])
|
||||||
|
sysMenu.addSeparator()
|
||||||
|
|
||||||
|
for d in gatewayDetails:
|
||||||
|
if d['gatewayType'] == GATEWAYTYPE_EQUITY:
|
||||||
|
self.addConnectAction(sysMenu, d['gatewayName'], d['gatewayDisplayName'])
|
||||||
|
sysMenu.addSeparator()
|
||||||
|
|
||||||
|
for d in gatewayDetails:
|
||||||
|
if d['gatewayType'] == GATEWAYTYPE_INTERNATIONAL:
|
||||||
|
self.addConnectAction(sysMenu, d['gatewayName'], d['gatewayDisplayName'])
|
||||||
|
sysMenu.addSeparator()
|
||||||
|
|
||||||
|
for d in gatewayDetails:
|
||||||
|
if d['gatewayType'] == GATEWAYTYPE_BTC:
|
||||||
|
self.addConnectAction(sysMenu, d['gatewayName'], d['gatewayDisplayName'])
|
||||||
|
sysMenu.addSeparator()
|
||||||
|
|
||||||
|
for d in gatewayDetails:
|
||||||
|
if d['gatewayType'] == GATEWAYTYPE_DATA:
|
||||||
|
self.addConnectAction(sysMenu, d['gatewayName'], d['gatewayDisplayName'])
|
||||||
|
|
||||||
|
sysMenu.addSeparator()
|
||||||
|
sysMenu.addAction(self.createAction(vtText.CONNECT_DATABASE, self.mainEngine.dbConnect, loadIconPath('database.ico')))
|
||||||
|
sysMenu.addSeparator()
|
||||||
|
sysMenu.addAction(self.createAction(vtText.EXIT, self.close, loadIconPath('exit.ico')))
|
||||||
|
|
||||||
|
# 功能应用
|
||||||
|
appMenu = menubar.addMenu(vtText.APPLICATION)
|
||||||
|
|
||||||
|
for appDetail in self.appDetailList:
|
||||||
|
# 如果没有应用界面，则不添加菜单按钮
|
||||||
|
if not appDetail['appWidget']:
|
||||||
|
continue
|
||||||
|
|
||||||
|
function = self.createOpenAppFunction(appDetail)
|
||||||
|
action = self.createAction(appDetail['appDisplayName'], function, loadIconPath(appDetail['appIco']))
|
||||||
|
appMenu.addAction(action)
|
||||||
|
|
||||||
|
# 帮助
|
||||||
|
helpMenu = menubar.addMenu(vtText.HELP)
|
||||||
|
helpMenu.addAction(self.createAction(vtText.CONTRACT_SEARCH, self.openContract, loadIconPath('contract.ico')))
|
||||||
|
helpMenu.addAction(self.createAction(vtText.EDIT_SETTING, self.openSettingEditor, loadIconPath('editor.ico')))
|
||||||
|
helpMenu.addSeparator()
|
||||||
|
helpMenu.addAction(self.createAction(vtText.RESTORE, self.restoreWindow, loadIconPath('restore.ico')))
|
||||||
|
helpMenu.addAction(self.createAction(vtText.ABOUT, self.openAbout, loadIconPath('about.ico')))
|
||||||
|
helpMenu.addSeparator()
|
||||||
|
helpMenu.addAction(self.createAction(vtText.TEST, self.test, loadIconPath('test.ico')))
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def initStatusBar(self):
|
||||||
|
"""初始化状态栏"""
|
||||||
|
self.statusLabel = QtWidgets.QLabel()
|
||||||
|
self.statusLabel.setAlignment(QtCore.Qt.AlignLeft)
|
||||||
|
|
||||||
|
self.statusBar().addPermanentWidget(self.statusLabel)
|
||||||
|
self.statusLabel.setText(self.getCpuMemory())
|
||||||
|
|
||||||
|
self.sbCount = 0
|
||||||
|
self.sbTrigger = 10 # 10秒刷新一次
|
||||||
|
self.signalStatusBar.connect(self.updateStatusBar)
|
||||||
|
self.eventEngine.register(EVENT_TIMER, self.signalStatusBar.emit)
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def updateStatusBar(self, event):
|
||||||
|
"""在状态栏更新CPU和内存信息"""
|
||||||
|
self.sbCount += 1
|
||||||
|
|
||||||
|
if self.sbCount == self.sbTrigger:
|
||||||
|
self.sbCount = 0
|
||||||
|
self.statusLabel.setText(self.getCpuMemory())
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def getCpuMemory(self):
|
||||||
|
"""获取CPU和内存状态信息"""
|
||||||
|
cpuPercent = psutil.cpu_percent()
|
||||||
|
memoryPercent = psutil.virtual_memory().percent
|
||||||
|
return vtText.CPU_MEMORY_INFO.format(cpu=cpuPercent, memory=memoryPercent)
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def addConnectAction(self, menu, gatewayName, displayName=''):
|
||||||
|
"""增加连接功能"""
|
||||||
|
if gatewayName not in self.gatewayNameList:
|
||||||
|
return
|
||||||
|
|
||||||
|
def connect():
|
||||||
|
self.mainEngine.connect(gatewayName)
|
||||||
|
|
||||||
|
if not displayName:
|
||||||
|
displayName = gatewayName
|
||||||
|
|
||||||
|
actionName = vtText.CONNECT + displayName
|
||||||
|
connectAction = self.createAction(actionName, connect,
|
||||||
|
loadIconPath('connect.ico'))
|
||||||
|
menu.addAction(connectAction)
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def createAction(self, actionName, function, iconPath=''):
|
||||||
|
"""创建操作功能"""
|
||||||
|
action = QtWidgets.QAction(actionName, self)
|
||||||
|
action.triggered.connect(function)
|
||||||
|
|
||||||
|
if iconPath:
|
||||||
|
icon = QtGui.QIcon(iconPath)
|
||||||
|
action.setIcon(icon)
|
||||||
|
|
||||||
|
return action
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def createOpenAppFunction(self, appDetail):
|
||||||
|
"""创建打开应用UI的函数"""
|
||||||
|
def openAppFunction():
|
||||||
|
appName = appDetail['appName']
|
||||||
|
try:
|
||||||
|
self.widgetDict[appName].show()
|
||||||
|
except KeyError:
|
||||||
|
appEngine = self.mainEngine.getApp(appName)
|
||||||
|
self.widgetDict[appName] = appDetail['appWidget'](appEngine, self.eventEngine)
|
||||||
|
self.widgetDict[appName].show()
|
||||||
|
|
||||||
|
return openAppFunction
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def test(self):
|
||||||
|
"""测试按钮用的函数"""
|
||||||
|
# 有需要使用手动触发的测试函数可以写在这里
|
||||||
|
pass
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def openAbout(self):
|
||||||
|
"""打开关于"""
|
||||||
|
try:
|
||||||
|
self.widgetDict['aboutW'].show()
|
||||||
|
except KeyError:
|
||||||
|
self.widgetDict['aboutW'] = AboutWidget(self)
|
||||||
|
self.widgetDict['aboutW'].show()
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def openContract(self):
|
||||||
|
"""打开合约查询"""
|
||||||
|
try:
|
||||||
|
self.widgetDict['contractM'].show()
|
||||||
|
except KeyError:
|
||||||
|
self.widgetDict['contractM'] = ContractManager(self.mainEngine)
|
||||||
|
self.widgetDict['contractM'].show()
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def openSettingEditor(self):
|
||||||
|
"""打开配置编辑"""
|
||||||
|
try:
|
||||||
|
self.widgetDict['settingEditor'].show()
|
||||||
|
except KeyError:
|
||||||
|
self.widgetDict['settingEditor'] = SettingEditor(self.mainEngine)
|
||||||
|
self.widgetDict['settingEditor'].show()
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def closeEvent(self, event):
|
||||||
|
"""关闭事件"""
|
||||||
|
reply = QtWidgets.QMessageBox.question(self, vtText.EXIT,
|
||||||
|
vtText.CONFIRM_EXIT, QtWidgets.QMessageBox.Yes |
|
||||||
|
QtWidgets.QMessageBox.No, QtWidgets.QMessageBox.No)
|
||||||
|
|
||||||
|
if reply == QtWidgets.QMessageBox.Yes:
|
||||||
|
for widget in self.widgetDict.values():
|
||||||
|
widget.close()
|
||||||
|
self.saveWindowSettings('custom')
|
||||||
|
|
||||||
|
self.mainEngine.exit()
|
||||||
|
event.accept()
|
||||||
|
else:
|
||||||
|
event.ignore()
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def createDock(self, widgetClass, widgetName, widgetArea):
|
||||||
|
"""创建停靠组件"""
|
||||||
|
widget = widgetClass(self.mainEngine, self.eventEngine)
|
||||||
|
dock = QtWidgets.QDockWidget(widgetName)
|
||||||
|
dock.setWidget(widget)
|
||||||
|
dock.setObjectName(widgetName)
|
||||||
|
dock.setFeatures(dock.DockWidgetFloatable|dock.DockWidgetMovable)
|
||||||
|
self.addDockWidget(widgetArea, dock)
|
||||||
|
return widget, dock
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def saveWindowSettings(self, settingName):
|
||||||
|
"""保存窗口设置"""
|
||||||
|
settings = QtCore.QSettings('vn.trader', settingName)
|
||||||
|
settings.setValue('state', self.saveState())
|
||||||
|
settings.setValue('geometry', self.saveGeometry())
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def loadWindowSettings(self, settingName):
|
||||||
|
"""载入窗口设置"""
|
||||||
|
settings = QtCore.QSettings('vn.trader', settingName)
|
||||||
|
state = settings.value('state')
|
||||||
|
geometry = settings.value('geometry')
|
||||||
|
|
||||||
|
# 尚未初始化
|
||||||
|
if state is None:
|
||||||
|
return
|
||||||
|
# 老版PyQt
|
||||||
|
elif isinstance(state, QtCore.QVariant):
|
||||||
|
self.restoreState(state.toByteArray())
|
||||||
|
self.restoreGeometry(geometry.toByteArray())
|
||||||
|
# 新版PyQt
|
||||||
|
elif isinstance(state, QtCore.QByteArray):
|
||||||
|
self.restoreState(state)
|
||||||
|
self.restoreGeometry(geometry)
|
||||||
|
# 异常
|
||||||
|
else:
|
||||||
|
content = u'载入窗口配置异常，请检查'
|
||||||
|
self.mainEngine.writeLog(content)
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def restoreWindow(self):
|
||||||
|
"""还原默认窗口设置（还原停靠组件位置）"""
|
||||||
|
self.loadWindowSettings('default')
|
||||||
|
self.showMaximized()
|
||||||
|
|
||||||
|
|
||||||
|
########################################################################
|
||||||
|
class AboutWidget(QtWidgets.QDialog):
|
||||||
|
"""显示关于信息"""
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def __init__(self, parent=None):
|
||||||
|
"""Constructor"""
|
||||||
|
super(AboutWidget, self).__init__(parent)
|
||||||
|
|
||||||
|
self.initUi()
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def initUi(self):
|
||||||
|
""""""
|
||||||
|
self.setWindowTitle(vtText.ABOUT + 'VnTrader')
|
||||||
|
|
||||||
|
text = u"""
|
||||||
|
Developed by Traders, for Traders.
|
||||||
|
|
||||||
|
License：MIT
|
||||||
|
|
||||||
|
Website：www.vnpy.org
|
||||||
|
|
||||||
|
Github：www.github.com/vnpy/vnpy
|
||||||
|
|
||||||
|
"""
|
||||||
|
|
||||||
|
label = QtWidgets.QLabel()
|
||||||
|
label.setText(text)
|
||||||
|
label.setMinimumWidth(500)
|
||||||
|
|
||||||
|
vbox = QtWidgets.QVBoxLayout()
|
||||||
|
vbox.addWidget(label)
|
||||||
|
|
||||||
|
self.setLayout(vbox)
|
||||||
|
|
||||||
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
3
examples/CtaBacktesting/startHds.py
Normal file
3
examples/CtaBacktesting/startHds.py
Normal file
@ -0,0 +1,3 @@
|
|||||||
|
from vnpy.trader.app.ctaStrategy.ctaBacktesting import runHistoryDataServer
|
||||||
|
|
||||||
|
runHistoryDataServer()
|
||||||
@ -1,5 +1,6 @@
|
|||||||
{
|
{
|
||||||
"working": true,
|
"working": true,
|
||||||
|
"marketCloseTime": "15:05:00",
|
||||||
|
|
||||||
"tick":
|
"tick":
|
||||||
[
|
[
|
||||||
|
|||||||
19
examples/FutuTrader/CTA_setting.json
Normal file
19
examples/FutuTrader/CTA_setting.json
Normal file
@ -0,0 +1,19 @@
|
|||||||
|
[
|
||||||
|
{
|
||||||
|
"name": "double ema",
|
||||||
|
"className": "DoubleMaStrategy",
|
||||||
|
"vtSymbol": "rb1805"
|
||||||
|
},
|
||||||
|
|
||||||
|
{
|
||||||
|
"name": "atr rsi",
|
||||||
|
"className": "AtrRsiStrategy",
|
||||||
|
"vtSymbol": "IC1802"
|
||||||
|
},
|
||||||
|
|
||||||
|
{
|
||||||
|
"name": "king keltner",
|
||||||
|
"className": "KkStrategy",
|
||||||
|
"vtSymbol": "IH1802"
|
||||||
|
}
|
||||||
|
]
|
||||||
7
examples/FutuTrader/Futu_connect.json
Normal file
7
examples/FutuTrader/Futu_connect.json
Normal file
@ -0,0 +1,7 @@
|
|||||||
|
{
|
||||||
|
"host": "127.0.0.1",
|
||||||
|
"port": 11111,
|
||||||
|
"market": "HK",
|
||||||
|
"password": "321321",
|
||||||
|
"env": "REAL"
|
||||||
|
}
|
||||||
10
examples/FutuTrader/RM_setting.json
Normal file
10
examples/FutuTrader/RM_setting.json
Normal file
@ -0,0 +1,10 @@
|
|||||||
|
{
|
||||||
|
"active": false,
|
||||||
|
"orderFlowLimit": 50,
|
||||||
|
"orderFlowClear": 1,
|
||||||
|
"orderSizeLimit": 100,
|
||||||
|
"tradeLimit": 1000,
|
||||||
|
"workingOrderLimit": 20,
|
||||||
|
"orderCancelLimit": 10,
|
||||||
|
"marginRatioLimit": 0.85
|
||||||
|
}
|
||||||
20
examples/FutuTrader/VT_setting.json
Normal file
20
examples/FutuTrader/VT_setting.json
Normal file
@ -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
|
||||||
|
}
|
||||||
46
examples/FutuTrader/run.py
Normal file
46
examples/FutuTrader/run.py
Normal file
@ -0,0 +1,46 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
import sys
|
||||||
|
|
||||||
|
# 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 futuGateway
|
||||||
|
|
||||||
|
# 加载上层应用
|
||||||
|
from vnpy.trader.app import riskManager, ctaStrategy
|
||||||
|
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
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(futuGateway)
|
||||||
|
|
||||||
|
# 添加上层应用
|
||||||
|
me.addApp(riskManager)
|
||||||
|
me.addApp(ctaStrategy)
|
||||||
|
|
||||||
|
# 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()
|
||||||
BIN
examples/FutuTrader/temp/ContractData.vt.dat
Normal file
BIN
examples/FutuTrader/temp/ContractData.vt.dat
Normal file
Binary file not shown.
1
examples/FutuTrader/temp/ContractData.vt.dir
Normal file
1
examples/FutuTrader/temp/ContractData.vt.dir
Normal file
@ -0,0 +1 @@
|
|||||||
|
'data', (0, 1462865)
|
||||||
@ -2,12 +2,16 @@
|
|||||||
|
|
||||||
本文件夹中的内容主要是关于如何在交易业务中使用vn.py的示例
|
本文件夹中的内容主要是关于如何在交易业务中使用vn.py的示例
|
||||||
|
|
||||||
* VnTrader：最常用的vn.py图形交易界面
|
* CryptoTrader：vn.crypto数字货币交易平台
|
||||||
|
|
||||||
|
* VnTrader：最常用的vn.py图形交易系统
|
||||||
|
|
||||||
* OptionMaster: 期权量化交易系统
|
* OptionMaster: 期权量化交易系统
|
||||||
|
|
||||||
* WebTrader：使用Web前端作为监控的交易系统
|
* WebTrader：使用Web前端作为监控的交易系统
|
||||||
|
|
||||||
|
* FutuTrader：针对富途证券futuquant的交易系统（只支持Python 3）
|
||||||
|
|
||||||
* DataRecording：全自动行情记录工具（无需用户每日定时重启）
|
* DataRecording：全自动行情记录工具（无需用户每日定时重启）
|
||||||
|
|
||||||
* CtaTrading：无图形界面模式的CTA策略交易
|
* CtaTrading：无图形界面模式的CTA策略交易
|
||||||
@ -24,4 +28,4 @@
|
|||||||
|
|
||||||
* FutuDataService：富途证券历史行情服务（美股、港股）
|
* 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）
|
* CoinapiDataService：CoinAPI.io历史行情服务（数字货币）
|
||||||
@ -3,5 +3,5 @@
|
|||||||
"mdAddress": "tcp://180.168.146.187:10031",
|
"mdAddress": "tcp://180.168.146.187:10031",
|
||||||
"tdAddress": "tcp://180.168.146.187:10030",
|
"tdAddress": "tcp://180.168.146.187:10030",
|
||||||
"userID": "000300",
|
"userID": "000300",
|
||||||
"password": "19890624"
|
"password": "123456789"
|
||||||
}
|
}
|
||||||
@ -1,5 +0,0 @@
|
|||||||
{
|
|
||||||
"token": "请在OANDA网站申请",
|
|
||||||
"accountId": "请在OANDA网站申请",
|
|
||||||
"settingName": "practice"
|
|
||||||
}
|
|
||||||
@ -5,9 +5,14 @@ try:
|
|||||||
reload # Python 2
|
reload # Python 2
|
||||||
except NameError: # Python 3
|
except NameError: # Python 3
|
||||||
from importlib import reload
|
from importlib import reload
|
||||||
|
|
||||||
import sys
|
import sys
|
||||||
reload(sys)
|
reload(sys)
|
||||||
sys.setdefaultencoding('utf8')
|
|
||||||
|
try:
|
||||||
|
sys.setdefaultencoding('utf8')
|
||||||
|
except AttributeError:
|
||||||
|
pass
|
||||||
|
|
||||||
# 判断操作系统
|
# 判断操作系统
|
||||||
import platform
|
import platform
|
||||||
@ -20,17 +25,17 @@ from vnpy.trader.uiQt import createQApp
|
|||||||
from vnpy.trader.uiMainWindow import MainWindow
|
from vnpy.trader.uiMainWindow import MainWindow
|
||||||
|
|
||||||
# 加载底层接口
|
# 加载底层接口
|
||||||
from vnpy.trader.gateway import (ctpGateway, oandaGateway,
|
from vnpy.trader.gateway import (ctpGateway, ibGateway)
|
||||||
ibGateway)
|
|
||||||
|
|
||||||
if system == 'Linux':
|
if system == 'Linux':
|
||||||
from vnpy.trader.gateway import xtpGateway
|
from vnpy.trader.gateway import xtpGateway
|
||||||
elif system == 'Windows':
|
elif system == 'Windows':
|
||||||
from vnpy.trader.gateway import (femasGateway, xspeedGateway,
|
from vnpy.trader.gateway import (femasGateway, xspeedGateway,
|
||||||
futuGateway, secGateway)
|
secGateway)
|
||||||
|
|
||||||
# 加载上层应用
|
# 加载上层应用
|
||||||
from vnpy.trader.app import (riskManager, ctaStrategy, spreadTrading)
|
from vnpy.trader.app import (riskManager, ctaStrategy,
|
||||||
|
spreadTrading, algoTrading)
|
||||||
|
|
||||||
|
|
||||||
#----------------------------------------------------------------------
|
#----------------------------------------------------------------------
|
||||||
@ -47,14 +52,12 @@ def main():
|
|||||||
|
|
||||||
# 添加交易接口
|
# 添加交易接口
|
||||||
me.addGateway(ctpGateway)
|
me.addGateway(ctpGateway)
|
||||||
me.addGateway(oandaGateway)
|
|
||||||
me.addGateway(ibGateway)
|
me.addGateway(ibGateway)
|
||||||
|
|
||||||
if system == 'Windows':
|
if system == 'Windows':
|
||||||
me.addGateway(femasGateway)
|
me.addGateway(femasGateway)
|
||||||
me.addGateway(xspeedGateway)
|
me.addGateway(xspeedGateway)
|
||||||
me.addGateway(secGateway)
|
me.addGateway(secGateway)
|
||||||
me.addGateway(futuGateway)
|
|
||||||
|
|
||||||
if system == 'Linux':
|
if system == 'Linux':
|
||||||
me.addGateway(xtpGateway)
|
me.addGateway(xtpGateway)
|
||||||
@ -63,6 +66,7 @@ def main():
|
|||||||
me.addApp(riskManager)
|
me.addApp(riskManager)
|
||||||
me.addApp(ctaStrategy)
|
me.addApp(ctaStrategy)
|
||||||
me.addApp(spreadTrading)
|
me.addApp(spreadTrading)
|
||||||
|
me.addApp(algoTrading)
|
||||||
|
|
||||||
# 创建主窗口
|
# 创建主窗口
|
||||||
mw = MainWindow(me, ee)
|
mw = MainWindow(me, ee)
|
||||||
|
|||||||
@ -6,17 +6,17 @@
|
|||||||
|
|
||||||
1. 修改CTP_connect.json中的账号和服务器地址
|
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
|
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
|
3. 打开cmd，运行python run.py
|
||||||
4. 打开另一个cmd，运行python run.py
|
4. 浏览器将会自动打开，并访问http://127.0.0.1:5000/
|
||||||
5. 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. 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. 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
|
||||||
8. 如需运行CTA策略，请修改CTA_setting.json中的配置
|
|
||||||
|
|
||||||
## 文件功能
|
## 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
|
* 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
|
||||||
* 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
|
* 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
|
## 架构设计
|
||||||
|
|
||||||
|
|||||||
@ -9,6 +9,8 @@ from time import sleep
|
|||||||
from datetime import datetime, time
|
from datetime import datetime, time
|
||||||
from multiprocessing import Process
|
from multiprocessing import Process
|
||||||
|
|
||||||
|
import webbrowser
|
||||||
|
|
||||||
from webServer import run as runWebServer
|
from webServer import run as runWebServer
|
||||||
from tradingServer import main as runTradingServer
|
from tradingServer import main as runTradingServer
|
||||||
from vnpy.trader.vtEngine import LogEngine
|
from vnpy.trader.vtEngine import LogEngine
|
||||||
@ -28,6 +30,9 @@ if __name__ == '__main__':
|
|||||||
pWeb = None
|
pWeb = None
|
||||||
pTrading = None
|
pTrading = None
|
||||||
|
|
||||||
|
import os
|
||||||
|
print(os.getpid())
|
||||||
|
|
||||||
while True:
|
while True:
|
||||||
le.info('-'*30)
|
le.info('-'*30)
|
||||||
|
|
||||||
@ -48,6 +53,8 @@ if __name__ == '__main__':
|
|||||||
pWeb = Process(target=runWebServer)
|
pWeb = Process(target=runWebServer)
|
||||||
pWeb.start()
|
pWeb.start()
|
||||||
le.info(u'启动WEB服务器进程')
|
le.info(u'启动WEB服务器进程')
|
||||||
|
|
||||||
|
webbrowser.open('http://127.0.0.1:5000')
|
||||||
|
|
||||||
else:
|
else:
|
||||||
le.info(u'当前处于非交易时间段')
|
le.info(u'当前处于非交易时间段')
|
||||||
|
|||||||
@ -50,8 +50,8 @@ with open("WEB_setting.json") as f:
|
|||||||
|
|
||||||
# 创建Flask对象
|
# 创建Flask对象
|
||||||
from flask import Flask, send_file
|
from flask import Flask, send_file
|
||||||
from flask.ext.restful import Api, Resource, reqparse
|
from flask_restful import Api, Resource, reqparse
|
||||||
from flask.ext.socketio import SocketIO
|
from flask_socketio import SocketIO
|
||||||
from flask_cors import *
|
from flask_cors import *
|
||||||
|
|
||||||
app = Flask(__name__)
|
app = Flask(__name__)
|
||||||
@ -510,6 +510,7 @@ class CtaStrategyStop(Resource):
|
|||||||
engine.stopStrategy(name)
|
engine.stopStrategy(name)
|
||||||
return {'result_code':'success','data':''}
|
return {'result_code':'success','data':''}
|
||||||
|
|
||||||
|
|
||||||
########################################################################
|
########################################################################
|
||||||
class CtaStrategyName(Resource):
|
class CtaStrategyName(Resource):
|
||||||
"""»ñÈ¡²ßÂÔÃû"""
|
"""»ñÈ¡²ßÂÔÃû"""
|
||||||
@ -533,6 +534,7 @@ class CtaStrategyName(Resource):
|
|||||||
l = engine.getStrategyNames()
|
l = engine.getStrategyNames()
|
||||||
return {'result_code':'success','data':l}
|
return {'result_code':'success','data':l}
|
||||||
|
|
||||||
|
|
||||||
########################################################################
|
########################################################################
|
||||||
class CtaStrategyLoad(Resource):
|
class CtaStrategyLoad(Resource):
|
||||||
"""加载策略"""
|
"""加载策略"""
|
||||||
@ -672,7 +674,11 @@ ee.register(EVENT_CTA_STRATEGY, handleEvent)
|
|||||||
#----------------------------------------------------------------------
|
#----------------------------------------------------------------------
|
||||||
def run():
|
def run():
|
||||||
"""启动Web服务"""
|
"""启动Web服务"""
|
||||||
socketio.run(app,debug=True,host='0.0.0.0',port=5000)
|
socketio.run(app,
|
||||||
|
debug=True,
|
||||||
|
host='0.0.0.0',
|
||||||
|
port=5000,
|
||||||
|
use_reloader=False)
|
||||||
|
|
||||||
|
|
||||||
if __name__ == '__main__':
|
if __name__ == '__main__':
|
||||||
|
|||||||
2
init.bat
2
init.bat
@ -2,7 +2,7 @@
|
|||||||
@"%SystemRoot%\System32\WindowsPowerShell\v1.0\powershell.exe" -NoProfile -InputFormat None -ExecutionPolicy Bypass -Command "iex ((New-Object System.Net.WebClient).DownloadString('https://chocolatey.org/install.ps1'))" && SET "PATH=%PATH%;%ALLUSERSPROFILE%\chocolatey\bin"
|
@"%SystemRoot%\System32\WindowsPowerShell\v1.0\powershell.exe" -NoProfile -InputFormat None -ExecutionPolicy Bypass -Command "iex ((New-Object System.Net.WebClient).DownloadString('https://chocolatey.org/install.ps1'))" && SET "PATH=%PATH%;%ALLUSERSPROFILE%\chocolatey\bin"
|
||||||
|
|
||||||
::°²×°Anaconda
|
::°²×°Anaconda
|
||||||
choco install anaconda2 --version 4.0.0 --x86 -y --ignorechecksum --params="'/AddToPath=1'"
|
choco install anaconda2 --version 5.2.0 --x86 -y --ignorechecksum --params="'/AddToPath=1'"
|
||||||
setx PATH "%PATH%;C:\Program Files\Anaconda2\;C:\Program Files\Anaconda2\Scripts\"
|
setx PATH "%PATH%;C:\Program Files\Anaconda2\;C:\Program Files\Anaconda2\Scripts\"
|
||||||
|
|
||||||
::°²×°VC Redist
|
::°²×°VC Redist
|
||||||
|
|||||||
@ -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 config --set show_channel_urls yes
|
||||||
conda install -c quantopian ta-lib=0.4.9 -y
|
conda install -c quantopian ta-lib=0.4.9 -y
|
||||||
|
|
||||||
::conda install -c conda-forge python-snappy -y
|
|
||||||
|
|
||||||
:: Install vn.py
|
:: Install vn.py
|
||||||
python setup.py install
|
python setup.py install
|
||||||
@ -24,7 +24,6 @@ pip install -r requirements.txt
|
|||||||
conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/
|
conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/
|
||||||
conda config --set show_channel_urls yes
|
conda config --set show_channel_urls yes
|
||||||
conda install -c quantopian ta-lib=0.4.9
|
conda install -c quantopian ta-lib=0.4.9
|
||||||
#conda install -c conda-forge python-snappy
|
|
||||||
|
|
||||||
#Install vn.py
|
#Install vn.py
|
||||||
python setup.py install
|
python setup.py install
|
||||||
|
|||||||
@ -9,4 +9,6 @@ future
|
|||||||
flask-socketio
|
flask-socketio
|
||||||
flask-restful
|
flask-restful
|
||||||
flask-cors
|
flask-cors
|
||||||
gevent-websocket
|
gevent-websocket
|
||||||
|
pyjwt
|
||||||
|
ccxt
|
||||||
|
|||||||
@ -1,4 +1,4 @@
|
|||||||
# encoding: UTF-8
|
# encoding: UTF-8
|
||||||
|
|
||||||
__version__ = '1.8.1'
|
__version__ = '1.9.0'
|
||||||
__author__ = 'Xiaoyou Chen'
|
__author__ = 'Xiaoyou Chen'
|
||||||
@ -1,24 +0,0 @@
|
|||||||
# vn.api - API接口的Python封装
|
|
||||||
|
|
||||||
### 内盘
|
|
||||||
* vn.ctp：CTP接口
|
|
||||||
* vn.lts：华宝LTS接口
|
|
||||||
* vn.femas：飞马接口
|
|
||||||
* vn.xspeed：飞创接口
|
|
||||||
* vn.qdp：量投QDP接口
|
|
||||||
* vn.sgit：飞鼠接口
|
|
||||||
* vn.ksotp：金仕达期权接口
|
|
||||||
* vn.ksgold：金仕达黄金接口
|
|
||||||
|
|
||||||
### 外盘
|
|
||||||
* vn.ib：Interactive Brokers接口
|
|
||||||
* vn.oanda：OANDA接口
|
|
||||||
* vn.shzd：直达期货接口
|
|
||||||
|
|
||||||
### 比特币
|
|
||||||
* vn.okcoin：币行接口
|
|
||||||
* vn.huobi：火币接口
|
|
||||||
* vn.lhang：链行接口
|
|
||||||
|
|
||||||
### 数据下载
|
|
||||||
* vn.datayes：通联数据接口
|
|
||||||
1
vnpy/api/bigone/__init__.py
Normal file
1
vnpy/api/bigone/__init__.py
Normal file
@ -0,0 +1 @@
|
|||||||
|
from .vnbigone import BigoneRestApi
|
||||||
154
vnpy/api/bigone/vnbigone.py
Normal file
154
vnpy/api/bigone/vnbigone.py
Normal file
@ -0,0 +1,154 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
from __future__ import print_function
|
||||||
|
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
|
||||||
|
from six.moves import input
|
||||||
|
|
||||||
|
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, 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):
|
||||||
|
"""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 = ''
|
||||||
|
API_SECRET = ''
|
||||||
|
|
||||||
|
# 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)
|
||||||
|
|
||||||
|
|
||||||
|
input()
|
||||||
1
vnpy/api/binance/__init__.py
Normal file
1
vnpy/api/binance/__init__.py
Normal file
@ -0,0 +1 @@
|
|||||||
|
from .vnbinance import BinanceApi
|
||||||
46
vnpy/api/binance/test.py
Normal file
46
vnpy/api/binance/test.py
Normal file
@ -0,0 +1,46 @@
|
|||||||
|
from __future__ import absolute_import
|
||||||
|
from time import sleep
|
||||||
|
|
||||||
|
from six.moves import input
|
||||||
|
|
||||||
|
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')
|
||||||
|
|
||||||
|
input()
|
||||||
630
vnpy/api/binance/vnbinance.py
Normal file
630
vnpy/api/binance/vnbinance.py
Normal file
@ -0,0 +1,630 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
from __future__ import print_function
|
||||||
|
import json
|
||||||
|
import requests
|
||||||
|
import hmac
|
||||||
|
import hashlib
|
||||||
|
import traceback
|
||||||
|
import ssl
|
||||||
|
|
||||||
|
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
|
||||||
|
|
||||||
|
if self.pool:
|
||||||
|
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,
|
||||||
|
sslopt={'cert_reqs': ssl.CERT_NONE})
|
||||||
|
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,
|
||||||
|
sslopt={'cert_reqs': ssl.CERT_NONE})
|
||||||
|
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)
|
||||||
|
|
||||||
1
vnpy/api/bitfinex/__init__.py
Normal file
1
vnpy/api/bitfinex/__init__.py
Normal file
@ -0,0 +1 @@
|
|||||||
|
from .vnbitfinex import BitfinexApi
|
||||||
136
vnpy/api/bitfinex/vnbitfinex.py
Normal file
136
vnpy/api/bitfinex/vnbitfinex.py
Normal file
@ -0,0 +1,136 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
from __future__ import print_function
|
||||||
|
import json
|
||||||
|
import requests
|
||||||
|
import traceback
|
||||||
|
import ssl
|
||||||
|
from threading import Thread
|
||||||
|
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'
|
||||||
|
|
||||||
|
|
||||||
|
########################################################################
|
||||||
|
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,
|
||||||
|
sslopt={'cert_reqs': ssl.CERT_NONE})
|
||||||
|
|
||||||
|
self.active = True
|
||||||
|
self.thread = Thread(target=self.run)
|
||||||
|
self.thread.start()
|
||||||
|
|
||||||
|
self.restThread = Thread(target=self.runRest)
|
||||||
|
self.restThread.start()
|
||||||
|
|
||||||
|
self.onConnect()
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def reconnect(self):
|
||||||
|
""""""
|
||||||
|
self.ws = websocket.create_connection(WEBSOCKET_V2_URL,
|
||||||
|
sslopt={'cert_reqs': ssl.CERT_NONE})
|
||||||
|
|
||||||
|
self.onConnect()
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def run(self):
|
||||||
|
""""""
|
||||||
|
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):
|
||||||
|
""""""
|
||||||
|
self.active = False
|
||||||
|
|
||||||
|
if self.thread:
|
||||||
|
self.thread.join()
|
||||||
|
|
||||||
|
if self.restThread:
|
||||||
|
self.thread.join()
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def onConnect(self):
|
||||||
|
""""""
|
||||||
|
print('connected')
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def onData(self, data):
|
||||||
|
""""""
|
||||||
|
print(data)
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
def onError(self, msg):
|
||||||
|
""""""
|
||||||
|
print(msg)
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
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)
|
||||||
|
|
||||||
|
input()
|
||||||
1
vnpy/api/bithumb/__init__.py
Normal file
1
vnpy/api/bithumb/__init__.py
Normal file
@ -0,0 +1 @@
|
|||||||
|
from .vnbithumb import BithumbRestApi
|
||||||
166
vnpy/api/bithumb/vnbithumb.py
Normal file
166
vnpy/api/bithumb/vnbithumb.py
Normal file
@ -0,0 +1,166 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
import base64
|
||||||
|
import hashlib
|
||||||
|
import hmac
|
||||||
|
import urllib
|
||||||
|
from multiprocessing.dummy import Pool
|
||||||
|
from time import time
|
||||||
|
|
||||||
|
import requests
|
||||||
|
from six.moves import input
|
||||||
|
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 onBtcTick(jsonObj, reqid):
|
||||||
|
print('on_btc_tick : \n{}'.format(jsonObj))
|
||||||
|
pass
|
||||||
|
|
||||||
|
|
||||||
|
def onAccountInfo(jsonObj, reqid):
|
||||||
|
print('on_account_info : \n{}'.format(jsonObj))
|
||||||
|
pass
|
||||||
|
|
||||||
|
|
||||||
|
rest.addReq('POST', '/public/ticker/BTC', onBtcTick)
|
||||||
|
rest.addReq('POST', '/info/account', onAccountInfo, postdict={'currency': 'BTC'})
|
||||||
|
|
||||||
|
input()
|
||||||
1
vnpy/api/bitmex/__init__.py
Normal file
1
vnpy/api/bitmex/__init__.py
Normal file
@ -0,0 +1 @@
|
|||||||
|
from .vnbitmex import BitmexRestApi, BitmexWebsocketApi
|
||||||
273
vnpy/api/bitmex/vnbitmex.py
Normal file
273
vnpy/api/bitmex/vnbitmex.py
Normal file
@ -0,0 +1,273 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
from __future__ import print_function
|
||||||
|
import hashlib
|
||||||
|
import hmac
|
||||||
|
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://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=3):
|
||||||
|
"""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)
|
||||||
|
|
||||||
|
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, 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, data=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)
|
||||||
|
|
||||||
|
#----------------------------------------------------------------------
|
||||||
|
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, 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 = method + '/api/v1' + path + str(expires) + body
|
||||||
|
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_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__':
|
||||||
|
API_KEY = ''
|
||||||
|
API_SECRET = ''
|
||||||
|
|
||||||
|
## REST测试
|
||||||
|
rest = BitmexRestApi()
|
||||||
|
rest.init(API_KEY, API_SECRET)
|
||||||
|
rest.start(3)
|
||||||
|
|
||||||
|
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()
|
||||||
|
|
||||||
|
#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)
|
||||||
|
|
||||||
|
input()
|
||||||
1
vnpy/api/coinbase/__init__.py
Normal file
1
vnpy/api/coinbase/__init__.py
Normal file
@ -0,0 +1 @@
|
|||||||
|
from .vncoinbase import CoinbaseRestApi, CoinbaseWebsocketApi
|
||||||
294
vnpy/api/coinbase/vncoinbase.py
Normal file
294
vnpy/api/coinbase/vncoinbase.py
Normal file
@ -0,0 +1,294 @@
|
|||||||
|
# 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:
|
||||||
|
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()
|
||||||
1
vnpy/api/fcoin/__init__.py
Normal file
1
vnpy/api/fcoin/__init__.py
Normal file
@ -0,0 +1 @@
|
|||||||
|
from .vnfcoin import FcoinRestApi, FcoinWebsocketApi
|
||||||
294
vnpy/api/fcoin/vnfcoin.py
Normal file
294
vnpy/api/fcoin/vnfcoin.py
Normal file
@ -0,0 +1,294 @@
|
|||||||
|
# encoding: UTF-8
|
||||||
|
|
||||||
|
from __future__ import print_function
|
||||||
|
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
|
||||||
|
from six.moves import input
|
||||||
|
|
||||||
|
|
||||||
|
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)
|
||||||
|
|
||||||
|
input()
|
||||||
|
|
||||||
|
|
||||||
@ -1,3 +1,4 @@
|
|||||||
# encoding: UTF-8
|
# encoding: UTF-8
|
||||||
|
|
||||||
from vnhuobi import TradeApi, DataApi
|
from __future__ import absolute_import
|
||||||
|
from .vnhuobi import TradeApi, DataApi
|
||||||
@ -5,7 +5,8 @@
|
|||||||
#import zlib
|
#import zlib
|
||||||
#import time
|
#import time
|
||||||
|
|
||||||
from vnhuobi import DataApi
|
from __future__ import absolute_import
|
||||||
|
from .vnhuobi import DataApi
|
||||||
|
|
||||||
#if __name__ == '__main__':
|
#if __name__ == '__main__':
|
||||||
#while(1):
|
#while(1):
|
||||||
|
|||||||
Some files were not shown because too many files have changed in this diff Show More
Loading…
Reference in New Issue
Block a user