[Mod]complete trading test of okex gateway
This commit is contained in:
vn.py
parent
7024a7d2ca
commit
7d86efce39
@ -10,6 +10,7 @@ from vnpy.gateway.ib import IbGateway
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from vnpy.gateway.ctp import CtpGateway
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from vnpy.gateway.tiger import TigerGateway
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from vnpy.gateway.oes import OesGateway
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from vnpy.gateway.okex import OkexGateway
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from vnpy.app.cta_strategy import CtaStrategyApp
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from vnpy.app.csv_loader import CsvLoaderApp
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@ -22,12 +23,13 @@ def main():
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event_engine = EventEngine()
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main_engine = MainEngine(event_engine)
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main_engine.add_gateway(CtpGateway)
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main_engine.add_gateway(IbGateway)
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main_engine.add_gateway(FutuGateway)
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main_engine.add_gateway(BitmexGateway)
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main_engine.add_gateway(TigerGateway)
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main_engine.add_gateway(OesGateway)
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# main_engine.add_gateway(CtpGateway)
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# main_engine.add_gateway(IbGateway)
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# main_engine.add_gateway(FutuGateway)
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# main_engine.add_gateway(BitmexGateway)
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# main_engine.add_gateway(TigerGateway)
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# main_engine.add_gateway(OesGateway)
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main_engine.add_gateway(OkexGateway)
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main_engine.add_app(CtaStrategyApp)
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main_engine.add_app(CsvLoaderApp)
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@ -8,6 +8,7 @@ import sys
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import time
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import json
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import base64
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import zlib
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from copy import copy
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from datetime import datetime
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from threading import Lock
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@ -39,7 +40,7 @@ from vnpy.trader.object import (
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)
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REST_HOST = "https://www.okex.com"
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WEBSOCKET_HOST = "wss://real.okex.com:10440/websocket/okexapi?compress=true"
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WEBSOCKET_HOST = "wss://real.okex.com:10442/ws/v3"
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STATUS_OKEX2VT = {
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"ordering": Status.SUBMITTING,
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@ -88,7 +89,7 @@ class OkexGateway(BaseGateway):
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def connect(self, setting: dict):
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""""""
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key = setting["API KEY"]
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key = setting["API Key"]
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secret = setting["Secret Key"]
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passphrase = setting["Passphrase"]
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session_number = setting["会话数"]
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@ -142,7 +143,7 @@ class OkexRestApi(RestClient):
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self.secret = ""
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self.passphrase = ""
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self.order_count = 1_000_000
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self.order_count = 10000
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self.order_count_lock = Lock()
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self.connect_time = 0
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@ -152,7 +153,8 @@ class OkexRestApi(RestClient):
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Generate OKEX signature.
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"""
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# Sign
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timestamp = str(time.time())
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# timestamp = str(time.time())
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timestamp = get_timestamp()
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request.data = json.dumps(request.data)
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if request.params:
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@ -177,7 +179,7 @@ class OkexRestApi(RestClient):
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self,
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key: str,
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secret: str,
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passphrase: str
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passphrase: str,
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session_number: int,
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proxy_host: str,
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proxy_port: int,
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@ -185,18 +187,21 @@ class OkexRestApi(RestClient):
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"""
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Initialize connection to REST server.
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"""
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self.key = key.encode()
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self.key = key
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self.secret = secret.encode()
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self.passphrase = passphrase
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self.connect_time = (
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int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count
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)
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self.connect_time = int(datetime.now().strftime("%y%m%d%H%M%S"))
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self.init(REST_HOST, proxy_host, proxy_port)
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self.start(session_number)
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self.gateway.write_log("REST API启动成功")
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self.query_time()
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self.query_contract()
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self.query_account()
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self.query_order()
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def _new_order_id(self):
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with self.order_count_lock:
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self.order_count += 1
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@ -204,8 +209,8 @@ class OkexRestApi(RestClient):
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def send_order(self, req: OrderRequest):
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""""""
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orderid = str(self.connect_time + self._new_order_id())
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orderid = f"a{self.connect_time}{self._new_order_id()}"
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data = {
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"client_oid": orderid,
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"type": ORDERTYPE_VT2OKEX[req.type],
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@ -227,11 +232,11 @@ class OkexRestApi(RestClient):
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self.add_request(
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"POST",
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"/api/spot/v3/orders",
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callback=self.on_send_order,
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data=data,
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extra=order,
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on_failed=self.on_send_order_failed,
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on_error=self.on_send_order_error,
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callback = self.on_send_order,
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data = data,
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extra = order,
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on_failed = self.on_send_order_failed,
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on_error = self.on_send_order_error,
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)
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self.gateway.on_order(order)
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@ -239,7 +244,7 @@ class OkexRestApi(RestClient):
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def cancel_order(self, req: CancelRequest):
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""""""
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data = {
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data={
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"instrument_id": req.symbol,
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"client_oid": req.orderid
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}
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@ -248,25 +253,41 @@ class OkexRestApi(RestClient):
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self.add_request(
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"POST",
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path,
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callback=self.on_cancel_order,
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data=data,
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on_error=self.on_cancel_order_error,
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callback = self.on_cancel_order,
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data = data,
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on_error = self.on_cancel_order_error,
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)
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def query_contract(self):
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""""""
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data = {
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"instrument_id": req.symbol,
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"client_oid": req.orderid
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}
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path = "/api/spot/v3/cancel_orders/" + req.orderid
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self.add_request(
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"POST",
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path,
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callback=self.on_cancel_order,
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data=data,
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on_error=self.on_cancel_order_error,
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"GET",
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"/api/spot/v3/instruments",
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callback = self.on_query_contract
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)
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def query_account(self):
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""""""
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self.add_request(
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"GET",
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"/api/spot/v3/accounts",
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callback = self.on_query_account
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)
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def query_order(self):
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""""""
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self.add_request(
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"GET",
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"/api/spot/v3/orders_pending",
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callback = self.on_query_order
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)
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def query_time(self):
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""""""
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self.add_request(
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"GET",
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"/api/general/v3/time",
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callback=self.on_query_time
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)
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def on_query_contract(self, data, request):
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@ -279,8 +300,8 @@ class OkexRestApi(RestClient):
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name=symbol,
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product=Product.SPOT,
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size=1,
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pricetick=instrument_data["tick_size"]
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pricetick = instrument_data["tick_size"],
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gateway_name = self.gateway_name
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)
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self.gateway.on_contract(contract)
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@ -290,6 +311,48 @@ class OkexRestApi(RestClient):
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self.gateway.write_log("合约信息查询成功")
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# Start websocket api after instruments data collected
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self.gateway.ws_api.start()
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def on_query_account(self, data, request):
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""""""
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for account_data in data:
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account = AccountData(
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accountid=account_data["currency"],
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balance=float(account_data["balance"]),
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frozen=float(account_data["hold"]),
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gateway_name=self.gateway_name
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)
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self.gateway.on_account(account)
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self.gateway.write_log("账户资金查询成功")
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def on_query_order(self, data, request):
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""""""
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for order_data in data:
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order = OrderData(
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symbol=order_data["instrument_id"],
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exchange=Exchange.OKEX,
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type=ORDERTYPE_OKEX2VT[order_data["type"]],
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orderid=order_data["client_oid"],
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direction=DIRECTION_OKEX2VT[order_data["side"]],
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price=float(order_data["price"]),
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volume=float(order_data["size"]),
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time=order_data["timestamp"][11:19],
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status=STATUS_OKEX2VT[order_data["status"]],
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gateway_name=self.gateway_name,
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)
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self.gateway.on_order(order)
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self.gateway.write_log("委托信息查询成功")
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def on_query_time(self, data, request):
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""""""
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server_time = data["iso"]
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local_time = datetime.utcnow().isoformat()
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msg = f"服务器时间：{server_time}，本机时间：{local_time}"
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self.gateway.write_log(msg)
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def on_send_order_failed(self, status_code: str, request: Request):
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"""
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Callback when sending order failed on server.
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@ -368,22 +431,33 @@ class OkexWebsocketApi(WebsocketClient):
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self.secret = ""
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self.passphrase = ""
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self.callbacks = {}
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self.trade_count = 10000
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self.connect_time = 0
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self.callbacks = {}
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self.ticks = {}
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self.accounts = {}
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self.orders = {}
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self.trades = set()
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def connect(
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self, key: str, secret: str, server: str, proxy_host: str, proxy_port: int
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self,
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key: str,
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secret: str,
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passphrase: str,
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proxy_host: str,
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proxy_port: int
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):
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""""""
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self.key = key.encode()
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self.key = key
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self.secret = secret.encode()
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self.passphrase = passphrase
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self.connect_time = int(datetime.now().strftime("%y%m%d%H%M%S"))
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self.init(WEBSOCKET_HOST, proxy_host, proxy_port)
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self.start()
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# self.start()
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def unpack_data(self, data):
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""""""
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return json.loads(zlib.decompress(data, -zlib.MAX_WBITS))
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def subscribe(self, req: SubscribeRequest):
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"""
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@ -398,10 +472,22 @@ class OkexWebsocketApi(WebsocketClient):
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)
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self.ticks[req.symbol] = tick
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channel_ticker = f"spot/ticker:{req.symbol}"
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channel_depth = f"spot/depth5:{req.symbol}"
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self.callbacks[channel_ticker] = self.on_ticker
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self.callbacks[channel_depth] = self.on_depth
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req = {
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"op": "subscribe",
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"args": [channel_ticker, channel_depth]
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}
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self.send_packet(req)
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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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@ -409,30 +495,27 @@ class OkexWebsocketApi(WebsocketClient):
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def on_packet(self, packet: dict):
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""""""
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if "error" in packet:
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self.gateway.write_log("Websocket API报错：%s" % packet["error"])
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if "event" in packet:
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event = packet["event"]
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if event == "subscribe":
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return
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elif event == "error":
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msg = packet["message"]
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self.gateway.write_log(f"Websocket API请求异常：{msg}")
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elif event == "login":
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self.on_login(packet)
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else:
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channel = packet["table"]
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data = packet["data"]
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callback = self.callbacks[channel]
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if "not valid" in packet["error"]:
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self.active = False
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elif "request" in packet:
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req = packet["request"]
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success = packet["success"]
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if success:
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if req["op"] == "authKey":
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self.gateway.write_log("Websocket API验证授权成功")
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self.subscribe_topic()
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elif "table" in packet:
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name = packet["table"]
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callback = self.callbacks[name]
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if isinstance(packet["data"], list):
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for d in packet["data"]:
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try:
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for d in data:
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callback(d)
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else:
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callback(packet["data"])
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except:
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import traceback
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traceback.print_exc()
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print(packet)
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def on_error(self, exception_type: type, exception_value: Exception, tb):
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""""""
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@ -457,173 +540,151 @@ class OkexWebsocketApi(WebsocketClient):
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self.key,
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self.passphrase,
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timestamp,
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signature
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signature.decode("utf-8")
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]
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}
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self.send_packet(req)
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self.callbacks['login'] = self.on_login
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def subscribe_topic(self):
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"""
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Subscribe to all private topics.
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"""
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self.callbacks["spot/ticker"] = self.on_ticker
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self.callbacks["spot/depth5"] = self.on_depth
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self.callbacks["spot/account"] = self.on_account
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self.callbacks["spot/order"] = self.on_order
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# Subscribe to order update
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channels = []
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for instrument_id in instruments:
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channel = f"spot/order:{instrument_id}"
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req = {"op": "subscribe", "args": [channel]}
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self.send_packet(req)
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self.callbacks[channel] = self.on_trade
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channels.append(channel)
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req = {
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"op": "subscribe",
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"args": channels
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}
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self.send_packet(req)
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# Subscribe to account update
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channels = []
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for currency in currencies:
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channel = f"spot/account:{currency}"
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req = {"op": "subscribe", "args": [channel]}
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self.send_packet(req)
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self.callbacks[channel] = self.on_account
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channels.append(channel)
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def on_login(self, d: dict):
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req = {
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"op": "subscribe",
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"args": channels
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}
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self.send_packet(req)
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def on_login(self, data: dict):
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""""""
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data = d['data']
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success = data.get("success", False)
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if data['success']:
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self.gateway.write_log("Websocket接口登录成功")
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if success:
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self.gateway.write_log("Websocket API登录成功")
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self.subscribe_topic()
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else:
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self.gateway.write_log("Websocket接口登录失败")
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self.gateway.write_log("Websocket API登录失败")
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def on_tick(self, d):
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def on_ticker(self, d):
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""""""
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symbol = d["symbol"]
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symbol = d["instrument_id"]
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tick = self.ticks.get(symbol, None)
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if not tick:
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return
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tick.last_price = d["price"]
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tick.last_price = d["last"]
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tick.open = d["open_24h"]
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tick.high = d["high_24h"]
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tick.low = d["low_24h"]
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tick.volume = d["base_volume_24h"]
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tick.datetime = datetime.strptime(
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d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
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self.gateway.on_tick(copy(tick))
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def on_depth(self, d):
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""""""
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symbol = d["symbol"]
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tick = self.ticks.get(symbol, None)
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if not tick:
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return
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for tick_data in d:
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symbol = d["instrument_id"]
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tick = self.ticks.get(symbol, None)
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if not tick:
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return
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for n, buf in enumerate(d["bids"][:5]):
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price, volume = buf
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tick.__setattr__("bid_price_%s" % (n + 1), price)
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tick.__setattr__("bid_volume_%s" % (n + 1), volume)
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bids = d["bids"]
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asks = d["asks"]
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for n, buf in enumerate(bids):
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price, volume, _ = buf
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tick.__setattr__("bid_price_%s" % (n + 1), price)
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tick.__setattr__("bid_volume_%s" % (n + 1), volume)
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for n, buf in enumerate(d["asks"][:5]):
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price, volume = buf
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tick.__setattr__("ask_price_%s" % (n + 1), price)
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tick.__setattr__("ask_volume_%s" % (n + 1), volume)
|
||||
for n, buf in enumerate(asks):
|
||||
price, volume, _ = buf
|
||||
tick.__setattr__("ask_price_%s" % (n + 1), price)
|
||||
tick.__setattr__("ask_volume_%s" % (n + 1), volume)
|
||||
|
||||
tick.datetime = datetime.strptime(
|
||||
d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
def on_trade(self, d):
|
||||
""""""
|
||||
# Filter trade update with no trade volume and side (funding)
|
||||
if not d["lastQty"] or not d["side"]:
|
||||
return
|
||||
|
||||
tradeid = d["execID"]
|
||||
if tradeid in self.trades:
|
||||
return
|
||||
self.trades.add(tradeid)
|
||||
|
||||
if d["clOrdID"]:
|
||||
orderid = d["clOrdID"]
|
||||
else:
|
||||
orderid = d["orderID"]
|
||||
|
||||
trade = TradeData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.OKEX,
|
||||
orderid=orderid,
|
||||
tradeid=tradeid,
|
||||
direction=DIRECTION_OKEX2VT[d["side"]],
|
||||
price=d["lastPx"],
|
||||
volume=d["lastQty"],
|
||||
time=d["timestamp"][11:19],
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.gateway.on_trade(trade)
|
||||
tick.datetime = datetime.strptime(
|
||||
d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
def on_order(self, d):
|
||||
""""""
|
||||
if "ordStatus" not in d:
|
||||
order = OrderData(
|
||||
symbol=d["instrument_id"],
|
||||
exchange=Exchange.OKEX,
|
||||
type=ORDERTYPE_OKEX2VT[d["type"]],
|
||||
orderid=d["client_oid"],
|
||||
direction=DIRECTION_OKEX2VT[d["side"]],
|
||||
price=d["price"],
|
||||
volume=d["size"],
|
||||
traded=d["filled_size"],
|
||||
time=d["timestamp"][11:19],
|
||||
status=STATUS_OKEX2VT[d["status"]],
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_order(copy(order))
|
||||
|
||||
trade_volume = float(d.get("last_fill_qty", 0))
|
||||
if not trade_volume:
|
||||
return
|
||||
|
||||
sysid = d["orderID"]
|
||||
order = self.orders.get(sysid, None)
|
||||
if not order:
|
||||
if d["clOrdID"]:
|
||||
orderid = d["clOrdID"]
|
||||
else:
|
||||
orderid = sysid
|
||||
self.trade_count += 1
|
||||
tradeid = f"{self.connect_time}{self.trade_count}"
|
||||
|
||||
# time = d["timestamp"][11:19]
|
||||
|
||||
order = OrderData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.OKEX,
|
||||
type=ORDERTYPE_OKEX2VT[d["ordType"]],
|
||||
orderid=orderid,
|
||||
direction=DIRECTION_OKEX2VT[d["side"]],
|
||||
price=d["price"],
|
||||
volume=d["orderQty"],
|
||||
time=d["timestamp"][11:19],
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.orders[sysid] = order
|
||||
|
||||
order.traded = d.get("cumQty", order.traded)
|
||||
order.status = STATUS_OKEX2VT.get(d["ordStatus"], order.status)
|
||||
|
||||
self.gateway.on_order(copy(order))
|
||||
trade = TradeData(
|
||||
symbol=order.symbol,
|
||||
exchange=order.exchange,
|
||||
orderid=order.orderid,
|
||||
tradeid=tradeid,
|
||||
direction=order.direction,
|
||||
price=float(d["last_fill_px"]),
|
||||
volume=float(trade_volume),
|
||||
time=d["last_fill_time"][11:19],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def on_account(self, d):
|
||||
""""""
|
||||
accountid = str(d["account"])
|
||||
account = self.accounts.get(accountid, None)
|
||||
if not account:
|
||||
account = AccountData(accountid=accountid,
|
||||
gateway_name=self.gateway_name)
|
||||
self.accounts[accountid] = account
|
||||
|
||||
account.balance = d.get("marginBalance", account.balance)
|
||||
account.available = d.get("availableMargin", account.available)
|
||||
account.frozen = account.balance - account.available
|
||||
|
||||
self.gateway.on_account(copy(account))
|
||||
|
||||
def on_contract(self, d):
|
||||
""""""
|
||||
if "tickSize" not in d:
|
||||
return
|
||||
|
||||
if not d["lotSize"]:
|
||||
return
|
||||
|
||||
contract = ContractData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.OKEX,
|
||||
name=d["symbol"],
|
||||
product=Product.FUTURES,
|
||||
pricetick=d["tickSize"],
|
||||
size=d["lotSize"],
|
||||
stop_supported=True,
|
||||
net_position=True,
|
||||
gateway_name=self.gateway_name,
|
||||
account = AccountData(
|
||||
accountid=d["currency"],
|
||||
balance=float(d["balance"]),
|
||||
frozen=float(d["hold"]),
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
self.gateway.on_account(copy(account))
|
||||
|
||||
|
||||
def generate_signature(msg: str, secret_key: str):
|
||||
"""OKEX V3 signature"""
|
||||
return base64.b64encode(hmac.new(secret_key, msg.encode(), hashlib.sha256).digest())
|
||||
|
||||
|
||||
def get_timestamp():
|
||||
""""""
|
||||
now = datetime.utcnow()
|
||||
timestamp = now.isoformat("T", "milliseconds")
|
||||
return timestamp + "Z"
|
||||
|
||||
Loading…
Reference in New Issue
Block a user