[Mod] complete general test of coinbase gateway

examples/vn_trader/run.py

@@ -28,6 +28,7 @@ from vnpy.gateway.okexs import OkexsGateway
 # from vnpy.gateway.tora import ToraGateway
 # from vnpy.gateway.alpaca import AlpacaGateway
 from vnpy.gateway.da import DaGateway
+from vnpy.gateway.coinbase import CoinbaseGateway
 
 from vnpy.app.cta_strategy import CtaStrategyApp
 # from vnpy.app.csv_loader import CsvLoaderApp
@@ -69,8 +70,9 @@ def main():
     # main_engine.add_gateway(TapGateway)
     # main_engine.add_gateway(ToraGateway)
     # main_engine.add_gateway(AlpacaGateway)
-    main_engine.add_gateway(OkexsGateway)
+    # main_engine.add_gateway(OkexsGateway)
-    main_engine.add_gateway(DaGateway)
+    # main_engine.add_gateway(DaGateway)
+    main_engine.add_gateway(CoinbaseGateway)
 
     main_engine.add_app(CtaStrategyApp)
     main_engine.add_app(CtaBacktesterApp)

vnpy/gateway/coinbase/coinbase_gateway.py

@@ -41,6 +41,7 @@ from vnpy.trader.object import (
 
 REST_HOST = "https://api.pro.coinbase.com"
 WEBSOCKET_HOST = "wss://ws-feed.pro.coinbase.com"
+
 SANDBOX_REST_HOST = "https://api-public.sandbox.pro.coinbase.com"
 SANDBOX_WEBSOCKET_HOST = "wss://ws-feed-public.sandbox.pro.coinbase.com"
 
@@ -68,6 +69,7 @@ TIMEDELTA_MAP = {
 cancelDict = {}  # orderid:cancelreq
 orderDict = {}  # sysid:order
 orderSysDict = {}  # orderid:sysid
+symbol_name_map = {}
 
 
 class CoinbaseGateway(BaseGateway):
@@ -84,11 +86,13 @@ class CoinbaseGateway(BaseGateway):
         "proxy_host": "",
         "proxy_port": "",
     }
+
     exchanges = [Exchange.COINBASE]
 
     def __init__(self, event_engine):
         """Constructor"""
         super(CoinbaseGateway, self).__init__(event_engine, "COINBASE")
+
         self.rest_api = CoinbaseRestApi(self)
         self.ws_api = CoinbaseWebsocketApi(self)
 
@@ -107,8 +111,15 @@ class CoinbaseGateway(BaseGateway):
         else:
             proxy_port = 0
 
-        self.rest_api.connect(key, secret, passphrase, session_number, server,
+        self.rest_api.connect(
-                              proxy_host, proxy_port)
+            key, 
+            secret, 
+            passphrase, 
+            session_number, 
+            server,
+            proxy_host, 
+            proxy_port
+        )
 
         self.ws_api.connect(
             key,
@@ -186,8 +197,8 @@ class CoinbaseWebsocketApi(WebsocketClient):
             "done": self.on_order_done,
             "match": self.on_order_match,
         }
-        self.ticks = {}
 
+        self.ticks = {}
         self.accounts = {}
         self.orderbooks = {}
 
@@ -349,10 +360,9 @@ class CoinbaseWebsocketApi(WebsocketClient):
             orderid=order.orderid,
             tradeid=packet['trade_id'],
             direction=DIRECTION_COINBASE2VT[packet['side']],
-            price=packet['price'],
+            price=float(packet['price']),
-            volume=packet['size'],
+            volume=float(packet['size']),
-            time=datetime.strptime(
+            time=packet['time'],
-                packet['time'], "%Y-%m-%dT%H:%M:%S.%fZ"),
             gateway_name=self.gateway_name,
         )
         self.gateway.on_trade(trade)
@@ -372,7 +382,12 @@ class OrderBook():
         self.bids = dict()
         self.gateway = gateway
         self.newest_tick = TickData(
-            "COINBASE", symbol, exchange, datetime.now())
+            symbol=symbol, 
+            exchange=exchange, 
+            name=symbol_name_map.get(symbol, ""),
+            datetime=datetime.now(),
+            gateway_name=gateway.gateway_name,
+        )
         self.first_update = False
 
     def on_message(self, d: dict):
@@ -583,16 +598,19 @@ class CoinbaseRestApi(RestClient):
     def on_query_account(self, data, request):
         """"""
         for acc in data:
-            account_id = str(acc['id'])
+            account_id = str(acc['currency'])
+
             account = self.accounts.get(account_id, None)
             if not account:
-                account = AccountData(accountid=account_id,
+                account = AccountData(
-                                      gateway_name=self.gateway_name)
+                    accountid=account_id,
+                    gateway_name=self.gateway_name
+                )
                 self.accounts[account_id] = account
 
-            account.balance = acc.get("balance", account.balance)
+            account.balance = float(acc.get("balance", account.balance))
-            account.available = acc.get("available", account.available)
+            account.available = float(acc.get("available", account.available))
-            account.frozen = acc.get("hold", account.frozen)
+            account.frozen = float(acc.get("hold", account.frozen))
 
             self.gateway.on_account(copy(account))
 
@@ -670,17 +688,18 @@ class CoinbaseRestApi(RestClient):
                 exchange=Exchange.COINBASE,
                 name=d['display_name'],
                 product=Product.SPOT,
-                pricetick=d['quote_increment'],
+                pricetick=float(d['quote_increment']),
-                size=d['base_min_size'],
+                size=1,
-                stop_supported=False,
+                min_volume=float(d['base_min_size']),
                 net_position=True,
                 history_data=False,
                 gateway_name=self.gateway_name,
             )
 
             self.gateway.on_contract(contract)
+            symbol_name_map[contract.symbol] = contract.name
 
-            self.gateway.write_log("")
+        self.gateway.write_log("合约信息查询成功")
 
     def send_order(self, req: OrderRequest):
         """"""