add websocket into alpaca
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vigarbuaa
parent
5e5137f9ab
commit
7be2a90e4c
@ -37,6 +37,7 @@ from vnpy.trader.object import (
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REST_HOST = "https://api.alpaca.markets"
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PAPER_REST_HOST = "https://paper-api.alpaca.markets"
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WEBSOCKET_HOST = "wss://paper-api.alpaca.markets/stream" # Market Data
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KEY = ""
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SECRET = ""
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@ -79,7 +80,7 @@ class AlpacaGateway(BaseGateway):
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super(AlpacaGateway, self).__init__(event_engine, "ALPACA")
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self.rest_api = AlpacaRestApi(self)
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#self.ws_api = AlpacaWebsocketApi(self)
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self.ws_api = AlpacaWebsocketApi(self)
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self.order_map = {}
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def connect(self, setting: dict):
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@ -92,7 +93,7 @@ class AlpacaGateway(BaseGateway):
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self.rest_api.connect(key, secret, session, proxy_host, proxy_port)
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#self.ws_api.connect(key, secret, proxy_host, proxy_port)
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self.ws_api.connect(key, secret, proxy_host, proxy_port)
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def subscribe(self, req: SubscribeRequest):
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""""""
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@ -139,7 +140,7 @@ class AlpacaRestApi(RestClient):
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self.order_count = 1_000_000
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self.order_count_lock = Lock()
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self.connect_time = 0
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self.order_dict={}
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self.order_list = []
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def query_account(self):
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print("call query_account")
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@ -151,7 +152,6 @@ class AlpacaRestApi(RestClient):
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)
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def on_query_account(self, data, request):
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print("debug on_query_account: ", data, request)
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account = AccountData(
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accountid=data['id'],
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balance=float(data['cash']),
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@ -170,7 +170,6 @@ class AlpacaRestApi(RestClient):
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)
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def on_query_position(self, data, request):
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print("debug on_query_position: ", data, "!!!", request)
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for d in data:
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position = PositionData(
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symbol=d['symbol'],
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@ -225,14 +224,14 @@ class AlpacaRestApi(RestClient):
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self.gateway.write_log("ALPACA REST API启动成功")
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self.query_account()
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self.query_position()
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#self.query_contracts()
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def on_send_order(self, data, request: Request):
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print("debug on send order: ", data, request)
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order = request.extra
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lcoal_order_id= order.orderId
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def on_send_order(self, data, request ):
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print("debug on_send_order data is {} request is {} ---".format( data, request))
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remote_order_id = data['id']
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self.order_dict[local_order_id]=remote_order_id
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print('debug on_send_order: ', local_order_id, remote_order_id)
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order = request.extra
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self.order_list.append(remote_order_id)
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print('debug on_send_order: local is {} ---'.format(self.order_list))
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self.gateway.on_order(order)
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def on_failed_order(self, status_code: int, request: Request):
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@ -266,12 +265,13 @@ class AlpacaRestApi(RestClient):
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# need debug 0608
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def cancel_order(self, req: CancelRequest):
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""""""
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"""
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order_id = req.orderid
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remote_order_id = self.order_dict['order_id']
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if remote_order_id is None:
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print("[error]: can not get remote_order_id from local dict!")
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return
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path="/v1/orders/"+str(remote_order_id)
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path = "/v1/orders/" + str(remote_order_id)
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self.add_request(
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"DELETE",
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path,
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@ -280,6 +280,8 @@ class AlpacaRestApi(RestClient):
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extra=req
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)
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print("come to cancel_order", order_id)
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"""
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pass
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def on_cancel_order(self, data, request):
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"""Websocket will push a new order status"""
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@ -314,6 +316,38 @@ class AlpacaRestApi(RestClient):
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)
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return order.vt_orderid
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def on_query_contracts(self, data, request: Request):
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for instrument_data in data:
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symbol = instrument_data['symbol']
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contract = ContractData(
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symbol=symbol,
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exchange=Exchange.ALPACA,
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name=symbol,
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product=Product.SPOT,
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size=1, # need debug
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pricetick=0.01, # need debug
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gateway_name=self.gateway_name
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)
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self.on_contract(contract)
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def on_failed_query_contracts(self, status_code: int, request: Request):
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pass
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def on_error_query_contracts(self, exception_type: type, exception_value: Exception, tb, request: Request):
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pass
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def query_contracts(self):
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params = {"status": "active"}
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self.add_request(
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"GET",
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"/v1/assets",
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params = params,
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callback=self.on_query_contracts,
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on_failed=self.on_failed_query_contracts,
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on_error=self.on_error_query_contracts,
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# data=data,
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)
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class AlpacaWebsocketApi(WebsocketClient):
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""""""
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@ -354,10 +388,26 @@ class AlpacaWebsocketApi(WebsocketClient):
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):
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""""""
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self.key = key
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self.secret = secret.encode()
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self.secret = secret
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self.init(WEBSOCKET_HOST, proxy_host, proxy_port)
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self.start()
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def login(self):
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""""""
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params={"action":"authenticate", "data": {
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"key_id":self.key,"secret_key":self.secret
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}}
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print("string is {} ===".format(params))
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self.send_packet(params)
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def on_login(self, packet):
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""""""
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print("websocket authenticate success!!! msg: ", packet)
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params={"action":"listen", "data": {
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"streams":["account_updates", "trade_updates"]
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}}
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self.send_packet(params)
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def subscribe(self, req: SubscribeRequest):
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pass
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@ -372,7 +422,7 @@ class AlpacaWebsocketApi(WebsocketClient):
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def on_connected(self):
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""""""
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self.gateway.write_log("Websocket API连接成功")
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self.authenticate()
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self.login()
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def on_disconnected(self):
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""""""
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@ -382,6 +432,17 @@ class AlpacaWebsocketApi(WebsocketClient):
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def on_packet(self, packet: dict):
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""""""
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print("debug on_packet: ", packet)
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if "ping" in packet:
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# has ping???
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req = {"pong": packet["ping"]}
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print("ping response: ", req)
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self.send_packet(req)
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elif "stream" in packet and "data" in packet:
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# on_data
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pass
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else:
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print("unrecognize mesg", packet)
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#parse authenticate/trade/other data here
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# ----------------------------------------------------------------------
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def on_response(self, data):
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@ -408,10 +469,6 @@ class AlpacaWebsocketApi(WebsocketClient):
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print("on_error: ", type, Exception, tb)
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pass
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# debug OK , 0405
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def authenticate(self):
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pass
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def subscribe_topic(self):
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pass
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