[Mod]修改okexGateway部分实现
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vn.py
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@ -1,10 +1,10 @@
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# encoding: UTF-8
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'''
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vn.okex的gateway接入
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vnpy.api.okex的gateway接入
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注意：
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1. 前仅支持USD 现货交易，以及usd的期货交易
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1. 目前仅支持USD现货交易
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'''
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import os
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@ -17,7 +17,7 @@ from Queue import Queue
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from threading import Thread
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from time import sleep
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from vnpy.api.okex import OKEX_Sub_Spot_Api , OKEX_Contract_Api , okex_all_symbol_pairs , okex_all_contract_symbol , okex_all_symbol_type
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from vnpy.api.okex import OkexSpotApi, CONTRACT_SYMBOL, SPOT_CURRENCY
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from vnpy.trader.vtGateway import *
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from vnpy.trader.vtFunction import getJsonPath
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@ -40,13 +40,15 @@ statusMap[4] = STATUS_UNKNOWN
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########################################################################
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class okexGateway(VtGateway):
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class OkexGateway(VtGateway):
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"""OKEX交易接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='OKEX'):
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"""Constructor"""
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super(okexGateway, self).__init__(eventEngine, gatewayName)
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super(OkexGateway, self).__init__(eventEngine, gatewayName)
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self.api_spot = Api_Spot(self)
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self.api_spot = SpotApi(self)
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# self.api_contract = Api_contract(self)
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self.leverage = 0
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@ -85,9 +87,8 @@ class okexGateway(VtGateway):
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# 初始化接口
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self.leverage = leverage
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self.api_spot.active = True
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self.api_spot.connect_Subpot( apiKey, secretKey, trace)
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self.api_spot.connect(apiKey, secretKey, trace)
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log = VtLogData()
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log.gatewayName = self.gatewayName
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@ -107,6 +108,7 @@ class okexGateway(VtGateway):
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def sendOrder(self, orderReq):
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"""发单"""
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return self.api_spot.spotSendOrder(orderReq)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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@ -116,6 +118,7 @@ class okexGateway(VtGateway):
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def qryAccount(self):
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"""查询账户资金"""
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self.api_spot.spotUserInfo()
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#----------------------------------------------------------------------
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def qryOrderInfo(self):
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self.api_spot.spotAllOrders()
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@ -136,7 +139,7 @@ class okexGateway(VtGateway):
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"""初始化连续查询"""
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if self.qryEnabled:
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# 需要循环的查询函数列表
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#self.qryFunctionList = [self.qryAccount , self.qryOrderInfo]
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#self.qryFunctionList = [self.qryAccount, self.qryOrderInfo]
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self.qryFunctionList = [ self.qryOrderInfo]
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#self.qryFunctionList = []
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@ -176,19 +179,17 @@ class okexGateway(VtGateway):
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########################################################################
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class Api_Spot(OKEX_Sub_Spot_Api):
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class SpotApi(OkexSpotApi):
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"""okex的API实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(Api_Spot, self).__init__()
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super(SpotApi, self).__init__()
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self.gateway = gateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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self.active = False # 若为True则会在断线后自动重连
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self.active = False # 若为True则会在断线后自动重连
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self.cbDict = {}
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self.tickDict = {}
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@ -292,9 +293,9 @@ class Api_Spot(OKEX_Sub_Spot_Api):
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if symbol_pair not in self.registerSymbolPairArray:
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self.registerSymbolPairArray.add(symbol_pair)
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self.subscribeSingleSymbol( symbol_pair)
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self.subscribeSingleSymbol(symbol_pair)
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self.spotOrderInfo(symbol_pair , '-1')
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self.spotOrderInfo(symbol_pair, '-1')
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#----------------------------------------------------------------------
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def subscribeSingleSymbol(self, symbol):
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@ -308,13 +309,13 @@ class Api_Spot(OKEX_Sub_Spot_Api):
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print spotAllOrders
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for symbol in registerSymbolPairArray:
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if symbol in okex_all_symbol_pairs:
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self.spotOrderInfo(symbol , '-1')
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self.spotOrderInfo(symbol, '-1')
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for orderId in self.orderIdDict.keys():
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order = self.orderDict.get(orderId , None)
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order = self.orderDict.get(orderId, None)
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if order != None:
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symbol_pair = (order.symbol.split('.'))[0]
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self.spotOrderInfo(symbol_pair , orderId)
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self.spotOrderInfo(symbol_pair, orderId)
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#----------------------------------------------------------------------
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def onOpen(self, ws):
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@ -445,11 +446,11 @@ class Api_Spot(OKEX_Sub_Spot_Api):
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tick.volume = float(rawData['vol'].replace(',', ''))
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# tick.date, tick.time = self.generateDateTime(rawData['timestamp'])
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# print "ticker", tick.date , tick.time
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# print "ticker", tick.date, tick.time
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# newtick = copy(tick)
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# self.gateway.onTick(newtick)
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except Exception,ex:
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print "Error in onTicker " , channel
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print "Error in onTicker ", channel
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#----------------------------------------------------------------------
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def onDepth(self, data):
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@ -492,7 +493,7 @@ class Api_Spot(OKEX_Sub_Spot_Api):
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tick.askPrice5, tick.askVolume5 = rawData['asks'][-5]
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tick.date, tick.time = self.generateDateTime(rawData['timestamp'])
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# print "Depth", tick.date , tick.time
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# print "Depth", tick.date, tick.time
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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@ -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
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# 持仓信息
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#for symbol in ['btc', 'ltc','eth', self.currency]:
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for symbol in okex_all_symbol_type:
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for symbol in :
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if symbol in funds['free']:
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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@ -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
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# 持仓信息
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#for symbol in ['btc', 'ltc','eth', self.currency]:
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for symbol in okex_all_symbol_type:
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for symbol in SPOT_CURRENCY:
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if symbol in info['free']:
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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@ -664,19 +665,19 @@ nel': u'ok_sub_spot_etc_usdt_order'}
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# 本地和系统委托号
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orderId = str(rawData['orderId'])
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# 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
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# 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
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# 先这样返回试一下
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# 因为 发完单，订单变化是先推送的。。导致不清楚他的localID
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# 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
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localNo = self.orderIdDict.get(orderId , None)
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localNo = self.orderIdDict.get(orderId, None)
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if localNo == None:
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arr = self.cache_some_order.get(orderId , None)
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arr = self.cache_some_order.get(orderId, None)
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if arr == None:
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arr = []
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arr.append( data)
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arr.append(data)
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self.cache_some_order[orderId] = arr
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else:
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arr.append( data)
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arr.append(data)
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return
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# 委托信息
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@ -684,7 +685,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.symbol = '.'.join([rawData['symbol'] , EXCHANGE_OKEX])
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order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX])
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#order.symbol = spotSymbolMap[rawData['symbol']]
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order.vtSymbol = order.symbol
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@ -705,7 +706,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
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self.gateway.onOrder(copy(order))
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bef_volume = self.recordOrderId_BefVolume.get( orderId , 0.0 )
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bef_volume = self.recordOrderId_BefVolume.get(orderId, 0.0 )
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now_volume = float(rawData['completedTradeAmount']) - bef_volume
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if now_volume > 0.000001:
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@ -800,7 +801,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
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order.gatewayName = self.gatewayName
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#order.symbol = spotSymbolMap[d['symbol']]
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order.symbol = '.'.join([d["symbol"] , EXCHANGE_OKEX])
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order.symbol = '.'.join([d["symbol"], EXCHANGE_OKEX])
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order.vtSymbol = order.symbol
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order.orderID = localNo
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@ -843,7 +844,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
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# 符合先发现回的规律，因此这里通过queue获取之前发送的
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# 本地委托号，并把它和推送的系统委托号进行映射
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# localNo = self.orderIdDict.get(orderId , None)
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# localNo = self.orderIdDict.get(orderId, None)
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# if localNo == None:
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localNo = self.localNoQueue.get_nowait()
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@ -851,7 +852,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
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self.localNoDict[localNo] = orderId
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self.orderIdDict[orderId] = localNo
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# print orderId , self.cache_some_order
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# print orderId, self.cache_some_order
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if orderId in self.cache_some_order.keys():
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arr = self.cache_some_order[orderId]
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for d in arr:
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@ -899,7 +900,7 @@ nel': u'ok_sub_spot_etc_usdt_order'}
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.symbol = '.'.join([rawData['symbol'] , EXCHANGE_OKEX])
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order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX])
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order.vtSymbol = order.symbol
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order.orderID = localNo
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