[Add] OkexFutureGateway增加了queryOrders的接口
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nanoric
parent
c88f5b497a
commit
86586a71c7
@ -4,6 +4,7 @@ from __future__ import print_function
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import json
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from abc import abstractmethod, abstractproperty
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from datetime import datetime
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from typing import Dict
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@ -11,32 +12,57 @@ from vnpy.api.okexfuture.OkexFutureApi import *
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from vnpy.trader.vtFunction import getJsonPath
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from vnpy.trader.vtGateway import *
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orderTypeMap = {
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_orderTypeMap = {
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(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong,
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(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort,
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(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseLong,
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(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseShort,
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}
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orderTypeMapReverse = {v: k for k, v in orderTypeMap.items()}
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_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()}
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contracts = (
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'btc_usd', 'ltc_usd', 'eth_usd', 'etc_usd', 'bch_usd',
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)
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contractTypeMap = {
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_contractTypeMap = {
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'THISWEEK': OkexFutureContractType.ThisWeek,
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'NEXTWEEK': OkexFutureContractType.NextWeek,
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'QUARTER': OkexFutureContractType.Quarter,
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}
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_remoteSymbols = {
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OkexFutureSymbol.BTC,
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OkexFutureSymbol.LTC,
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OkexFutureSymbol.ETH,
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OkexFutureSymbol.ETC,
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OkexFutureSymbol.BCH,
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}
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# symbols for ui,
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# keys:给用户看的symbols
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# keys:给用户看的symbols : f"{internalSymbol}_{contractType}"
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# values: API接口使用的symbol和contractType字段
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symbolsForUi = {} # type: dict[str, [str, str]]
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for s in contracts:
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for vtContractType, contractType_ in contractTypeMap.items():
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vtSymbol = s + '_' + vtContractType
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symbolsForUi[vtSymbol] = (s, contractType_)
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_symbolsForUi = {(remoteSymbol.upper() + '_' + upperContractType.upper()): (remoteSymbol, remoteContractType)
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for remoteSymbol in _remoteSymbols
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for upperContractType, remoteContractType in _contractTypeMap.items()} # type: dict[str, [str, str]]
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_symbolsForUiReverse = {v: k for k, v in _symbolsForUi.items()}
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#----------------------------------------------------------------------
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def localOrderTypeToRemote(direction, offset): # type: (str, str)->str
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return _orderTypeMap[(direction, offset)]
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#----------------------------------------------------------------------
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def remoteOrderTypeToLocal(orderType): # type: (str)->(str, str)
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"""
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:param orderType:
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:return: direction, offset
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"""
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return _orderTypeMapReverse[orderType]
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#----------------------------------------------------------------------
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def localSymbolToRemote(symbol): # type: (str)->(OkexFutureSymbol, OkexFutureContractType)
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"""
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:return: remoteSymbol, remoteContractType
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"""
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return _symbolsForUi[symbol]
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########################################################################
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@ -111,7 +137,9 @@ class OkexFutureGateway(VnpyGateway):
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self.leverRate = 1
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self.symbols = []
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self.tradeID = 0
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self._orders = {} # type: Dict[str, _Order]
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self._remoteIds = {} # type: Dict[str, _Order]
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#----------------------------------------------------------------------
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@property
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def gatewayName(self):
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@ -153,48 +181,58 @@ class OkexFutureGateway(VnpyGateway):
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pass
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#----------------------------------------------------------------------
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@staticmethod
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def _contractTypeFromSymbol(symbol):
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return symbolsForUi[symbol]
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def _getOrderByLocalId(self, localId):
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return self._orders[localId]
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#----------------------------------------------------------------------
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def _getOrder(self, localId):
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return self._orders[localId]
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def _getOrderByRemoteId(self, remoteId):
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return self._remoteIds[remoteId]
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#----------------------------------------------------------------------
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def sendOrder(self, vtRequest): # type: (VtOrderReq)->str
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"""发单"""
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def _saveRemoteId(self, remoteId, myorder):
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myorder.remoteId = remoteId
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self._remoteIds[remoteId] = myorder
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#----------------------------------------------------------------------
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def _genereteLocalOrder(self, symbol, price, volume, direction):
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myorder = _Order()
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localId = myorder.localId
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self._orders[localId] = myorder
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vtOrder = VtOrderData()
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vtOrder.orderID = localId
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vtOrder.vtOrderID = ".".join([self.gatewayName, localId])
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vtOrder.exchange = self.exchange
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vtOrder.symbol = vtRequest.symbol
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vtOrder.symbol = symbol
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vtOrder.vtSymbol = '.'.join([vtOrder.symbol, vtOrder.exchange])
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vtOrder.price = vtRequest.price
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vtOrder.totalVolume = vtRequest.volume
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vtOrder.direction = vtRequest.direction
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vtOrder.price = price
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vtOrder.totalVolume = volume
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vtOrder.direction = direction
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myorder.vtOrder = vtOrder
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return myorder
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symbol, contractType = self._contractTypeFromSymbol(vtRequest.symbol)
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orderType = orderTypeMap[(vtRequest.priceType, vtRequest.offset)] # 开多、开空、平多、平空
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#----------------------------------------------------------------------
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def sendOrder(self, vtRequest): # type: (VtOrderReq)->str
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"""发单"""
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myorder = self._genereteLocalOrder(vtRequest.symbol,
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vtRequest.price,
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vtRequest.volume,
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vtRequest.direction)
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remoteSymbol, remoteContractType = localSymbolToRemote(vtRequest.symbol)
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orderType = _orderTypeMap[(vtRequest.priceType, vtRequest.offset)] # 开多、开空、平多、平空
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userMarketPrice = False
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if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE:
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userMarketPrice = True
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self.api.sendOrder(symbol=symbol,
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contractType=contractType,
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self.api.sendOrder(symbol=remoteSymbol,
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contractType=remoteContractType,
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orderType=orderType,
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volume=vtRequest.volume,
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price=vtRequest.price,
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useMarketPrice=userMarketPrice,
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leverRate=self.leverRate,
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onSuccess=self.onOrderSent,
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onSuccess=self._onOrderSent,
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extra=None,
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)
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@ -203,18 +241,23 @@ class OkexFutureGateway(VnpyGateway):
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#----------------------------------------------------------------------
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def cancelOrder(self, vtCancel): # type: (VtCancelOrderReq)->None
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"""撤单"""
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myorder = self._getOrder(vtCancel.orderID)
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myorder = self._getOrderByLocalId(vtCancel.orderID)
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symbol, contractType = self._contractTypeFromSymbol(vtCancel.symbol)
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self.api.cancelOrder(symbol=symbol,
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contractType=contractType,
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orderId=myorder.remoteId,
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onSuccess=self.onOrderCanceled,
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onSuccess=self._onOrderCanceled,
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extra=myorder,
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)
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# cancelDict: 不存在的，没有localId就没有remoteId，没有remoteId何来cancel
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#----------------------------------------------------------------------
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def queryOrder(self):
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def queryOrders(self, symbol, contractType,
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status): # type: (str, OkexFutureContractType, OkexFutureOrderStatus)->None
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"""订单查询"""
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self.api.queryOrders(symbol, contractType=contractType, status=status,
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onSuccess=self._onQueryOrders,
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extra=contractType)
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#----------------------------------------------------------------------
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def qryAccount(self):
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@ -232,15 +275,62 @@ class OkexFutureGateway(VnpyGateway):
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self.api.close()
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#----------------------------------------------------------------------
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def onOrderSent(self, remoteId, myorder): #type: (int, _Order)->None
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def _onOrderSent(self, remoteId, myorder): #type: (str, _Order)->None
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myorder.remoteId = remoteId
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myorder.vtOrder.status = constant.STATUS_NOTTRADED
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self._saveRemoteId(remoteId, myorder)
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self.onOrder(myorder.vtOrder)
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#----------------------------------------------------------------------
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def _pushOrderAsTraded(self, order):
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trade = VtTradeData()
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trade.gatewayName = order.gatewayName
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trade.symbol = order.symbol
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trade.vtSymbol = order.vtSymbol
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trade.orderID = order.orderID
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trade.vtOrderID = order.vtOrderID
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self.tradeID += 1
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trade.tradeID = str(self.tradeID)
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trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
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trade.direction = order.direction
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trade.price = order.price
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trade.volume = order.tradedVolume
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trade.tradeTime = datetime.now().strftime('%H:%M:%S')
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self.onTrade(trade)
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#----------------------------------------------------------------------
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@staticmethod
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def onOrderCanceled(myorder): #type: (_Order)->None
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def _onOrderCanceled(myorder): #type: (_Order)->None
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myorder.vtOrder.status = constant.STATUS_CANCELLED
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#----------------------------------------------------------------------
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def _onQueryOrders(self, orders, extra): # type: (List[OkexFutureOrder], Any)->None
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contractType = extra
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for order in orders:
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remoteId = order.remoteId
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if remoteId in self._remoteIds:
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# 如果订单已经缓存在本地，则尝试更新订单状态
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myorder = self._getOrderByRemoteId(remoteId)
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# 有新交易才推送更新
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if order.tradedVolume != myorder.vtOrder.tradedVolume:
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myorder.vtOrder.tradedVolume = order.tradedVolume
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myorder.vtOrder.status = constant.STATUS_PARTTRADED
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self.onOrder(myorder.vtOrder)
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else:
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# 本地无此订单的缓存（例如，用其他工具的下单）
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# 缓存该订单，并推送
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symbol = order.symbol + contractType
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direction, offset = remoteOrderTypeToLocal(order.orderType)
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myorder = self._genereteLocalOrder(symbol, order.price, order.volume, direction)
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myorder.vtOrder.tradedVolume = order.tradedVolume
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myorder.remoteId = order.remoteId
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self._saveRemoteId(myorder.remoteId, myorder)
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self.onOrder(myorder.vtOrder)
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# 如果该订单已经交易完成，推送交易完成消息
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# todo: 这样写会导致同一个订单产生多次交易完成消息
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if order.status == OkexFutureOrderStatus.Finished:
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myorder.vtOrder.status = constant.STATUS_ALLTRADED
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self._pushOrderAsTraded(myorder.vtOrder)
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