[Fix] bitmexGateway: 当下单、撤单触发已知错误的时候不再响应默认onError或者onFailed
[Mod] BitmexRestApi.onError:除了推送错误到时间引擎之外，还使用新的exceptionDetail在控制台打印详细的错误消息。 目前已知的错误只有网络错误。若下单时发生网络错误，该订单状态会被设置为rejected.
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nanoric
parent
a4118f3364
commit
7ece16c914
@ -10,6 +10,7 @@ import os
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import json
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import hashlib
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import hmac
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import sys
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import time
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import traceback
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from datetime import datetime, timedelta
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@ -17,7 +18,9 @@ from copy import copy
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from math import pow
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from urllib import urlencode
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from vnpy.api.rest import RestClient
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from requests import ConnectionError
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from vnpy.api.rest import RestClient, Request
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from vnpy.api.websocket import WebsocketClient
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from vnpy.trader.vtGateway import *
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from vnpy.trader.vtFunction import getJsonPath, getTempPath
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@ -67,6 +70,8 @@ class BitmexGateway(VtGateway):
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self.fileName = self.gatewayName + '_connect.json'
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self.filePath = getJsonPath(self.fileName, __file__)
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self.exchange = constant.EXCHANGE_BITMEX
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#----------------------------------------------------------------------
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def connect(self):
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@ -172,7 +177,7 @@ class BitmexRestApi(RestClient):
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"""Constructor"""
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super(BitmexRestApi, self).__init__()
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self.gateway = gateway # gateway对象
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self.gateway = gateway # type: BitmexGateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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self.apiKey = ''
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@ -240,11 +245,11 @@ class BitmexRestApi(RestClient):
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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def sendOrder(self, orderReq):# type: (VtOrderReq)->str
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""""""
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self.orderId += 1
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orderId = self.loginTime + self.orderId
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vtOrderID = '.'.join([self.gatewayName, str(orderId)])
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orderId = str(self.loginTime + self.orderId)
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vtOrderID = '.'.join([self.gatewayName, orderId])
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data = {
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'symbol': orderReq.symbol,
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@ -258,8 +263,22 @@ class BitmexRestApi(RestClient):
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# 只有限价单才有price字段
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if orderReq.priceType == PRICETYPE_LIMITPRICE:
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data['price'] = orderReq.price
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vtOrder = VtOrderData.createFromGateway(
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self.gateway,
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orderId=orderId,
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symbol=orderReq.symbol,
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exchange=self.gateway.exchange,
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price=orderReq.price,
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volume=orderReq.volume,
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direction=orderReq.direction,
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offset=orderReq.offset,
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)
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self.addRequest('POST', '/order', self.onSendOrder, data=data)
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self.addRequest('POST', '/order', callback=self.onSendOrder, data=data, extra=vtOrder,
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onFailed=self.onSendOrderFailed,
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onError=self.onSendOrderError,
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)
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return vtOrderID
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#----------------------------------------------------------------------
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@ -272,12 +291,46 @@ class BitmexRestApi(RestClient):
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else:
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params = {'orderID': orderID}
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self.addRequest('DELETE', '/order', self.onCancelOrder, params=params)
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self.addRequest('DELETE', '/order', callback=self.onCancelOrder, params=params,
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onError=self.onCancelOrderError,
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)
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#----------------------------------------------------------------------
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def onSendOrderFailed(self, _, request):
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"""
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下单失败回调：服务器明确告知下单失败
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"""
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vtOrder = request.extra # type: VtOrderData
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vtOrder.status = constant.STATUS_REJECTED
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self.gateway.onOrder(vtOrder)
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pass
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#----------------------------------------------------------------------
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def onSendOrderError(self, exceptionType, exceptionValue, tb, request):
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"""
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下单失败回调：连接错误
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"""
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vtOrder = request.extra # type: VtOrderData
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vtOrder.status = constant.STATUS_REJECTED
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self.gateway.onOrder(vtOrder)
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# 意料之中的错误只有ConnectionError，若还有其他错误，最好还是记录一下，用原来的onError记录即可
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if not issubclass(exceptionType, ConnectionError):
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self.onError(exceptionType, exceptionValue, tb, request)
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#----------------------------------------------------------------------
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def onSendOrder(self, data, request):
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""""""
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pass
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#----------------------------------------------------------------------
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def onCancelOrderError(self, exceptionType, exceptionValue, tb, request):
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"""
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撤单失败回调：连接错误
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"""
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# 意料之中的错误只有ConnectionError，若还有其他错误，最好还是记录一下，用原来的onError记录即可
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if not issubclass(exceptionType, ConnectionError):
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self.onError(exceptionType, exceptionValue, tb, request)
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#----------------------------------------------------------------------
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def onCancelOrder(self, data, request):
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@ -307,8 +360,8 @@ class BitmexRestApi(RestClient):
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e.errorID = exceptionType
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e.errorMsg = exceptionValue
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self.gateway.onError(e)
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traceback.print_exc()
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sys.stderr.write(self.exceptionDetail(exceptionType, exceptionValue, tb, request))
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########################################################################
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@ -517,10 +570,13 @@ class BitmexWebsocketApi(WebsocketClient):
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trade.orderID = orderID
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trade.vtOrderID = '.'.join([trade.gatewayName, trade.orderID])
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trade.tradeID = tradeID
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trade.vtTradeID = '.'.join([trade.gatewayName, trade.tradeID])
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if 'side' not in d:
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print('no side : \n', d)
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return
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trade.direction = directionMapReverse[d['side']]
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trade.price = d['lastPx']
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trade.volume = d['lastQty']
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