From 7f8617ff2d9649e30d84dad897fac614dcd03812 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Wed, 16 Jan 2019 20:57:30 +0800 Subject: [PATCH] [Mod]Complete test of bitmex gateway --- vnpy/api/rest/rest_client.py | 6 ++-- vnpy/gateway/bitmex/bitmex_gateway.py | 43 ++++++++++++++++----------- vnpy/trader/ui/widget.py | 5 ++++ 3 files changed, 34 insertions(+), 20 deletions(-) diff --git a/vnpy/api/rest/rest_client.py b/vnpy/api/rest/rest_client.py index 9c2eea90..967f9f59 100644 --- a/vnpy/api/rest/rest_client.py +++ b/vnpy/api/rest/rest_client.py @@ -81,7 +81,7 @@ class RestClient(object): * Reimplement before_request function to add signature function. * Reimplement on_failed function to handle Non-2xx responses. - * Use on_failed parameter in add_req function for individual Non-2xx response handling. + * Use on_failed parameter in add_request function for individual Non-2xx response handling. * Reimplement on_error function to handle exception msg. """ @@ -166,9 +166,9 @@ class RestClient(object): data, headers, callback, - extra, on_failed, - on_error + on_error, + extra ) self._queue.put(request) return request diff --git a/vnpy/gateway/bitmex/bitmex_gateway.py b/vnpy/gateway/bitmex/bitmex_gateway.py index 9ebbdb87..f4dee0f8 100644 --- a/vnpy/gateway/bitmex/bitmex_gateway.py +++ b/vnpy/gateway/bitmex/bitmex_gateway.py @@ -162,7 +162,7 @@ class BitmexRestApi(RestClient): msg = request.method + "/api/v1" + path + str(expires) + request.data signature = hmac.new( self.secret, - msg, + msg.encode(), digestmod=hashlib.sha256 ).hexdigest() @@ -191,7 +191,7 @@ class BitmexRestApi(RestClient): Initialize connection to REST server. """ self.key = key - self.secret = secret + self.secret = secret.encode() self.connect_time = int( datetime.now().strftime("%y%m%d%H%M%S") @@ -216,7 +216,7 @@ class BitmexRestApi(RestClient): "side": DIRECTION_VT2BITMEX[req.direction], "ordType": PRICETYPE_VT2BITMEX[req.price_type], "price": req.price, - "orderQty": req.volume, + "orderQty": int(req.volume), "clOrdID": orderid } @@ -243,7 +243,7 @@ class BitmexRestApi(RestClient): """""" orderid = req.orderid - if orderID.isdigit(): + if orderid.isdigit(): params = {"clOrdID": orderid} else: params = {"orderID": orderid} @@ -256,7 +256,7 @@ class BitmexRestApi(RestClient): on_error=self.on_cancel_order_error, ) - def on_send_order_failed(self, _, request: Request): + def on_send_order_failed(self, status_code: str, request: Request): """ Callback when sending order failed on server. """ @@ -264,6 +264,9 @@ class BitmexRestApi(RestClient): order.status = Status.REJECTED self.gateway.on_order(order) + msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}" + self.gateway.write_log(msg) + def on_send_order_error( self, exception_type: type, @@ -483,7 +486,10 @@ class BitmexWebsocketApi(WebsocketClient): return tick.last_price = d["price"] - tick.datetime = datetime.strptime(d["timestamp"], "%Y-%m-%d %H:%M:%SZ") + tick.datetime = datetime.strptime( + d["timestamp"], + "%Y-%m-%dT%H:%M:%S.%fZ" + ) self.gateway.on_tick(copy(tick)) def on_depth(self, d): @@ -503,12 +509,16 @@ class BitmexWebsocketApi(WebsocketClient): tick.__setattr__("ask_price_%s" % (n + 1), price) tick.__setattr__("ask_volume_%s" % (n + 1), volume) - tick.datetime = datetime.strptime(d["timestamp"], "%Y-%m-%d %H:%M:%SZ") + tick.datetime = datetime.strptime( + d["timestamp"], + "%Y-%m-%dT%H:%M:%S.%fZ" + ) self.gateway.on_tick(copy(tick)) def on_trade(self, d): """""" - if not d["lastQty"]: + # Filter trade update with no trade volume and side (funding) + if not d["lastQty"] or not d["side"]: return tradeid = d["execID"] @@ -529,8 +539,7 @@ class BitmexWebsocketApi(WebsocketClient): direction=DIRECTION_BITMEX2VT[d["side"]], price=d["lastPx"], volume=d["lastQty"], - time=d["timestamp"][0:10].replace("-", - ""), + time=d["timestamp"][11:19], gateway_name=self.gateway_name ) @@ -549,7 +558,7 @@ class BitmexWebsocketApi(WebsocketClient): else: orderid = sysid - time = d["timestamp"][0:10].replace("-", ""), + time = d["timestamp"][11:19] order = OrderData( symbol=d["symbol"], @@ -558,13 +567,13 @@ class BitmexWebsocketApi(WebsocketClient): direction=DIRECTION_BITMEX2VT[d["side"]], price=d["price"], volume=d["orderQty"], - time=time, + time=d["timestamp"][11:19], gateway_name=self.gateway_name ) self.orders[sysid] = order - order.traded = d.get("cumQty", order.tradedVolume) - order.status = STATUS_BITMEX2VT.get(d["ordStatus"], STATUS_UNKNOWN) + order.traded = d.get("cumQty", order.traded) + order.status = STATUS_BITMEX2VT.get(d["ordStatus"], order.status) self.gateway.on_order(copy(order)) @@ -572,9 +581,9 @@ class BitmexWebsocketApi(WebsocketClient): """""" position = PositionData( symbol=d["symbol"], - exchange=EXCHANGE_BITMEX, - direction=DIRECTION_NET, - position=d["currentQty"], + exchange=Exchange.BITMEX, + direction=Direction.NET, + volume=d["currentQty"], gateway_name=self.gateway_name ) diff --git a/vnpy/trader/ui/widget.py b/vnpy/trader/ui/widget.py index 1f0f3838..e96f669b 100644 --- a/vnpy/trader/ui/widget.py +++ b/vnpy/trader/ui/widget.py @@ -474,6 +474,11 @@ class TradeMonitor(BaseMonitor): "cell": BaseCell, "update": False }, + "time": { + "display": "时间", + "cell": BaseCell, + "update": False + }, "gateway_name": { "display": "接口", "cell": BaseCell,