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[Mod]修改okexGateway部分实现

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vn.py 2017-12-18 09:38:10 +08:00
parent 680c0dd535
commit 7a255ae4cf
1 changed files with 36 additions and 35 deletions
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69
vnpy/trader/gateway/okexGateway/okexGateway.py
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@ -1,10 +1,10 @@
# encoding: UTF-8 # encoding: UTF-8
''' '''
vn.okex的gateway接入 vnpy.api.okex的gateway接入
注意： 注意：
1. 前仅支持USD 现货交易，以及usd的期货交易 1. 目前仅支持USD现货交易
''' '''
import os import os
@ -17,7 +17,7 @@ from Queue import Queue
from threading import Thread from threading import Thread
from time import sleep from time import sleep
from vnpy.api.okex import OKEX_Sub_Spot_Api , OKEX_Contract_Api , okex_all_symbol_pairs , okex_all_contract_symbol , okex_all_symbol_type from vnpy.api.okex import OkexSpotApi, CONTRACT_SYMBOL, SPOT_CURRENCY
from vnpy.trader.vtGateway import * from vnpy.trader.vtGateway import *
from vnpy.trader.vtFunction import getJsonPath from vnpy.trader.vtFunction import getJsonPath
@ -40,13 +40,15 @@ statusMap[4] = STATUS_UNKNOWN
######################################################################## ########################################################################
class okexGateway(VtGateway): class OkexGateway(VtGateway):
"""OKEX交易接口"""
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def __init__(self, eventEngine, gatewayName='OKEX'): def __init__(self, eventEngine, gatewayName='OKEX'):
"""Constructor""" """Constructor"""
super(okexGateway, self).__init__(eventEngine, gatewayName) super(OkexGateway, self).__init__(eventEngine, gatewayName)
self.api_spot = Api_Spot(self) self.api_spot = SpotApi(self)
# self.api_contract = Api_contract(self) # self.api_contract = Api_contract(self)
self.leverage = 0 self.leverage = 0
@ -85,9 +87,8 @@ class okexGateway(VtGateway):
# 初始化接口 # 初始化接口
self.leverage = leverage self.leverage = leverage
self.api_spot.active = True self.api_spot.active = True
self.api_spot.connect_Subpot( apiKey, secretKey, trace) self.api_spot.connect(apiKey, secretKey, trace)
log = VtLogData() log = VtLogData()
log.gatewayName = self.gatewayName log.gatewayName = self.gatewayName
@ -107,6 +108,7 @@ class okexGateway(VtGateway):
def sendOrder(self, orderReq): def sendOrder(self, orderReq):
"""发单""" """发单"""
return self.api_spot.spotSendOrder(orderReq) return self.api_spot.spotSendOrder(orderReq)
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq): def cancelOrder(self, cancelOrderReq):
"""撤单""" """撤单"""
@ -116,6 +118,7 @@ class okexGateway(VtGateway):
def qryAccount(self): def qryAccount(self):
"""查询账户资金""" """查询账户资金"""
self.api_spot.spotUserInfo() self.api_spot.spotUserInfo()
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def qryOrderInfo(self): def qryOrderInfo(self):
self.api_spot.spotAllOrders() self.api_spot.spotAllOrders()
@ -136,7 +139,7 @@ class okexGateway(VtGateway):
"""初始化连续查询""" """初始化连续查询"""
if self.qryEnabled: if self.qryEnabled:
# 需要循环的查询函数列表 # 需要循环的查询函数列表
#self.qryFunctionList = [self.qryAccount , self.qryOrderInfo] #self.qryFunctionList = [self.qryAccount, self.qryOrderInfo]
self.qryFunctionList = [ self.qryOrderInfo] self.qryFunctionList = [ self.qryOrderInfo]
#self.qryFunctionList = [] #self.qryFunctionList = []
@ -176,18 +179,16 @@ class okexGateway(VtGateway):
######################################################################## ########################################################################
class Api_Spot(OKEX_Sub_Spot_Api): class SpotApi(OkexSpotApi):
"""okex的API实现""" """okex的API实现"""
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def __init__(self, gateway): def __init__(self, gateway):
"""Constructor""" """Constructor"""
super(Api_Spot, self).__init__() super(SpotApi, self).__init__()
self.gateway = gateway # gateway对象 self.gateway = gateway # gateway对象
self.gatewayName = gateway.gatewayName # gateway对象名称 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.active = False # 若为True则会在断线后自动重连
self.cbDict = {} self.cbDict = {}
@ -292,9 +293,9 @@ class Api_Spot(OKEX_Sub_Spot_Api):
if symbol_pair not in self.registerSymbolPairArray: if symbol_pair not in self.registerSymbolPairArray:
self.registerSymbolPairArray.add(symbol_pair) self.registerSymbolPairArray.add(symbol_pair)
self.subscribeSingleSymbol( symbol_pair) self.subscribeSingleSymbol(symbol_pair)
self.spotOrderInfo(symbol_pair , '-1') self.spotOrderInfo(symbol_pair, '-1')
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def subscribeSingleSymbol(self, symbol): def subscribeSingleSymbol(self, symbol):
@ -308,13 +309,13 @@ class Api_Spot(OKEX_Sub_Spot_Api):
print spotAllOrders print spotAllOrders
for symbol in registerSymbolPairArray: for symbol in registerSymbolPairArray:
if symbol in okex_all_symbol_pairs: if symbol in okex_all_symbol_pairs:
self.spotOrderInfo(symbol , '-1') self.spotOrderInfo(symbol, '-1')
for orderId in self.orderIdDict.keys(): for orderId in self.orderIdDict.keys():
order = self.orderDict.get(orderId , None) order = self.orderDict.get(orderId, None)
if order != None: if order != None:
symbol_pair = (order.symbol.split('.'))[0] symbol_pair = (order.symbol.split('.'))[0]
self.spotOrderInfo(symbol_pair , orderId) self.spotOrderInfo(symbol_pair, orderId)
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def onOpen(self, ws): def onOpen(self, ws):
@ -445,11 +446,11 @@ class Api_Spot(OKEX_Sub_Spot_Api):
tick.volume = float(rawData['vol'].replace(',', '')) tick.volume = float(rawData['vol'].replace(',', ''))
# tick.date, tick.time = self.generateDateTime(rawData['timestamp']) # tick.date, tick.time = self.generateDateTime(rawData['timestamp'])
# print "ticker", tick.date , tick.time # print "ticker", tick.date, tick.time
# newtick = copy(tick) # newtick = copy(tick)
# self.gateway.onTick(newtick) # self.gateway.onTick(newtick)
except Exception,ex: except Exception,ex:
print "Error in onTicker " , channel print "Error in onTicker ", channel
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def onDepth(self, data): def onDepth(self, data):
@ -492,7 +493,7 @@ class Api_Spot(OKEX_Sub_Spot_Api):
tick.askPrice5, tick.askVolume5 = rawData['asks'][-5] tick.askPrice5, tick.askVolume5 = rawData['asks'][-5]
tick.date, tick.time = self.generateDateTime(rawData['timestamp']) tick.date, tick.time = self.generateDateTime(rawData['timestamp'])
# print "Depth", tick.date , tick.time # print "Depth", tick.date, tick.time
newtick = copy(tick) newtick = copy(tick)
self.gateway.onTick(newtick) self.gateway.onTick(newtick)
@ -572,7 +573,7 @@ etc': u'0', u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, u'free': {u
# 持仓信息 # 持仓信息
#for symbol in ['btc', 'ltc','eth', self.currency]: #for symbol in ['btc', 'ltc','eth', self.currency]:
for symbol in okex_all_symbol_type: for symbol in :
if symbol in funds['free']: if symbol in funds['free']:
pos = VtPositionData() pos = VtPositionData()
pos.gatewayName = self.gatewayName pos.gatewayName = self.gatewayName
@ -608,7 +609,7 @@ etc': u'0', u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, u'free': {u
# 持仓信息 # 持仓信息
#for symbol in ['btc', 'ltc','eth', self.currency]: #for symbol in ['btc', 'ltc','eth', self.currency]:
for symbol in okex_all_symbol_type: for symbol in SPOT_CURRENCY:
if symbol in info['free']: if symbol in info['free']:
pos = VtPositionData() pos = VtPositionData()
pos.gatewayName = self.gatewayName pos.gatewayName = self.gatewayName
@ -664,19 +665,19 @@ nel': u'ok_sub_spot_etc_usdt_order'}
# 本地和系统委托号 # 本地和系统委托号
orderId = str(rawData['orderId']) 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 # 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 # 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 # 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 # 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) localNo = self.orderIdDict.get(orderId, None)
if localNo == None: if localNo == None:
arr = self.cache_some_order.get(orderId , None) arr = self.cache_some_order.get(orderId, None)
if arr == None: if arr == None:
arr = [] arr = []
arr.append( data) arr.append(data)
self.cache_some_order[orderId] = arr self.cache_some_order[orderId] = arr
else: else:
arr.append( data) arr.append(data)
return return
# 委托信息 # 委托信息
@ -684,7 +685,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
order = VtOrderData() order = VtOrderData()
order.gatewayName = self.gatewayName order.gatewayName = self.gatewayName
order.symbol = '.'.join([rawData['symbol'] , EXCHANGE_OKEX]) order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX])
#order.symbol = spotSymbolMap[rawData['symbol']] #order.symbol = spotSymbolMap[rawData['symbol']]
order.vtSymbol = order.symbol order.vtSymbol = order.symbol
@ -705,7 +706,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
self.gateway.onOrder(copy(order)) self.gateway.onOrder(copy(order))
bef_volume = self.recordOrderId_BefVolume.get( orderId , 0.0 ) bef_volume = self.recordOrderId_BefVolume.get(orderId, 0.0 )
now_volume = float(rawData['completedTradeAmount']) - bef_volume now_volume = float(rawData['completedTradeAmount']) - bef_volume
if now_volume > 0.000001: if now_volume > 0.000001:
@ -800,7 +801,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
order.gatewayName = self.gatewayName order.gatewayName = self.gatewayName
#order.symbol = spotSymbolMap[d['symbol']] #order.symbol = spotSymbolMap[d['symbol']]
order.symbol = '.'.join([d["symbol"] , EXCHANGE_OKEX]) order.symbol = '.'.join([d["symbol"], EXCHANGE_OKEX])
order.vtSymbol = order.symbol order.vtSymbol = order.symbol
order.orderID = localNo order.orderID = localNo
@ -843,7 +844,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
# 符合先发现回的规律，因此这里通过queue获取之前发送的 # 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 # 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) # localNo = self.orderIdDict.get(orderId, None)
# if localNo == None: # if localNo == None:
localNo = self.localNoQueue.get_nowait() localNo = self.localNoQueue.get_nowait()
@ -851,7 +852,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
self.localNoDict[localNo] = orderId self.localNoDict[localNo] = orderId
self.orderIdDict[orderId] = localNo self.orderIdDict[orderId] = localNo
# print orderId , self.cache_some_order # print orderId, self.cache_some_order
if orderId in self.cache_some_order.keys(): if orderId in self.cache_some_order.keys():
arr = self.cache_some_order[orderId] arr = self.cache_some_order[orderId]
for d in arr: for d in arr:
@ -899,7 +900,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
order = VtOrderData() order = VtOrderData()
order.gatewayName = self.gatewayName order.gatewayName = self.gatewayName
order.symbol = '.'.join([rawData['symbol'] , EXCHANGE_OKEX]) order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX])
order.vtSymbol = order.symbol order.vtSymbol = order.symbol
order.orderID = localNo order.orderID = localNo