add websocket into alpaca

vnpy/gateway/alpaca/alpaca_gateway.py

@@ -37,6 +37,7 @@ from vnpy.trader.object import (
 
 REST_HOST = "https://api.alpaca.markets"
 PAPER_REST_HOST = "https://paper-api.alpaca.markets"
+WEBSOCKET_HOST = "wss://paper-api.alpaca.markets/stream"               # Market Data
 KEY = ""
 SECRET = ""
 
@@ -79,7 +80,7 @@ class AlpacaGateway(BaseGateway):
         super(AlpacaGateway, self).__init__(event_engine, "ALPACA")
 
         self.rest_api = AlpacaRestApi(self)
-        #self.ws_api = AlpacaWebsocketApi(self)
+        self.ws_api = AlpacaWebsocketApi(self)
         self.order_map = {}
 
     def connect(self, setting: dict):
@@ -92,7 +93,7 @@ class AlpacaGateway(BaseGateway):
 
         self.rest_api.connect(key, secret, session, proxy_host, proxy_port)
 
-        #self.ws_api.connect(key, secret, proxy_host, proxy_port)
+        self.ws_api.connect(key, secret, proxy_host, proxy_port)
 
     def subscribe(self, req: SubscribeRequest):
         """"""
@@ -139,7 +140,7 @@ class AlpacaRestApi(RestClient):
         self.order_count = 1_000_000
         self.order_count_lock = Lock()
         self.connect_time = 0
-        self.order_dict={}
+        self.order_list = []
 
     def query_account(self):
         print("call query_account")
@@ -151,7 +152,6 @@ class AlpacaRestApi(RestClient):
         )
 
     def on_query_account(self, data, request):
-        print("debug on_query_account: ", data, request)
         account = AccountData(
             accountid=data['id'],
             balance=float(data['cash']),
@@ -170,7 +170,6 @@ class AlpacaRestApi(RestClient):
         )
 
     def on_query_position(self, data, request):
-        print("debug on_query_position: ", data, "!!!", request)
         for d in data:
             position = PositionData(
                 symbol=d['symbol'],
@@ -225,14 +224,14 @@ class AlpacaRestApi(RestClient):
         self.gateway.write_log("ALPACA REST API启动成功")
         self.query_account()
         self.query_position()
+        #self.query_contracts()
 
-    def on_send_order(self, data, request: Request):
+    def on_send_order(self, data, request ):
-        print("debug on send order: ", data, request)
+        print("debug on_send_order data is {}  request is {} ---".format( data, request))
-        order = request.extra
-        lcoal_order_id= order.orderId
         remote_order_id = data['id']
-        self.order_dict[local_order_id]=remote_order_id
+        order = request.extra
-        print('debug on_send_order: ', local_order_id, remote_order_id)
+        self.order_list.append(remote_order_id)
+        print('debug on_send_order:  local is {} ---'.format(self.order_list))
         self.gateway.on_order(order)
 
     def on_failed_order(self, status_code: int, request: Request):
@@ -266,6 +265,7 @@ class AlpacaRestApi(RestClient):
     # need debug 0608
     def cancel_order(self, req: CancelRequest):
         """"""
+        """
         order_id = req.orderid
         remote_order_id = self.order_dict['order_id']
         if remote_order_id is None:
@@ -280,6 +280,8 @@ class AlpacaRestApi(RestClient):
             extra=req
         )
         print("come to cancel_order", order_id)
+"""
+        pass
 
     def on_cancel_order(self, data, request):
         """Websocket will push a new order status"""
@@ -314,6 +316,38 @@ class AlpacaRestApi(RestClient):
         )
         return order.vt_orderid
 
+    def on_query_contracts(self, data, request: Request):
+       for instrument_data in data:
+            symbol = instrument_data['symbol']
+            contract = ContractData(
+                symbol=symbol,
+                exchange=Exchange.ALPACA,  
+                name=symbol,
+                product=Product.SPOT,
+                size=1, # need debug
+                pricetick=0.01, # need debug
+                gateway_name=self.gateway_name
+            )
+            self.on_contract(contract)
+
+    def on_failed_query_contracts(self, status_code: int, request: Request):
+        pass
+
+    def on_error_query_contracts(self, exception_type: type, exception_value: Exception, tb, request: Request):
+        pass
+
+    def query_contracts(self):
+        params = {"status": "active"}
+        self.add_request(
+            "GET",
+            "/v1/assets",
+            params = params,
+            callback=self.on_query_contracts,
+            on_failed=self.on_failed_query_contracts,
+            on_error=self.on_error_query_contracts,
+            # data=data,
+        )
+
 
 class AlpacaWebsocketApi(WebsocketClient):
     """"""
@@ -354,10 +388,26 @@ class AlpacaWebsocketApi(WebsocketClient):
     ):
         """"""
         self.key = key
-        self.secret = secret.encode()
+        self.secret = secret
         self.init(WEBSOCKET_HOST, proxy_host, proxy_port)
         self.start()
 
+    def login(self):
+        """"""
+        params={"action":"authenticate", "data": {
+                "key_id":self.key,"secret_key":self.secret
+        }}
+        print("string is {} ===".format(params))
+        self.send_packet(params)
+
+    def on_login(self, packet):
+        """"""
+        print("websocket authenticate success!!! msg: ", packet)
+        params={"action":"listen", "data": {
+            "streams":["account_updates", "trade_updates"]
+        }}
+        self.send_packet(params)
+    
     def subscribe(self, req: SubscribeRequest):
         pass
 
@@ -372,7 +422,7 @@ class AlpacaWebsocketApi(WebsocketClient):
     def on_connected(self):
         """"""
         self.gateway.write_log("Websocket API连接成功")
-        self.authenticate()
+        self.login()
 
     def on_disconnected(self):
         """"""
@@ -382,6 +432,17 @@ class AlpacaWebsocketApi(WebsocketClient):
     def on_packet(self, packet: dict):
         """"""
         print("debug on_packet: ", packet)
+        if "ping" in packet:
+            # has ping???
+            req = {"pong": packet["ping"]}
+            print("ping response: ", req)
+            self.send_packet(req)
+        elif "stream" in packet and "data" in packet:
+            # on_data
+            pass
+        else:
+            print("unrecognize mesg", packet)
+        #parse authenticate/trade/other data here
 
     # ----------------------------------------------------------------------
     def on_response(self, data):
@@ -408,10 +469,6 @@ class AlpacaWebsocketApi(WebsocketClient):
         print("on_error: ", type, Exception, tb)
         pass
 
-    # debug OK , 0405
-    def authenticate(self):
-        pass
-
     def subscribe_topic(self):
         pass