From 86586a71c74f632e74594a8a7f6301aeb01fceff Mon Sep 17 00:00:00 2001 From: nanoric Date: Fri, 12 Oct 2018 02:19:38 -0400 Subject: [PATCH] =?UTF-8?q?[Add]=20OkexFutureGateway=E5=A2=9E=E5=8A=A0?= =?UTF-8?q?=E4=BA=86queryOrders=E7=9A=84=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../okexFutureGateway/okexFutureGateway.py | 172 +++++++++++++----- 1 file changed, 131 insertions(+), 41 deletions(-) diff --git a/vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py b/vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py index 3b5287c3..67e7337a 100644 --- a/vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py +++ b/vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py @@ -4,6 +4,7 @@ from __future__ import print_function import json from abc import abstractmethod, abstractproperty +from datetime import datetime from typing import Dict @@ -11,32 +12,57 @@ from vnpy.api.okexfuture.OkexFutureApi import * from vnpy.trader.vtFunction import getJsonPath from vnpy.trader.vtGateway import * -orderTypeMap = { +_orderTypeMap = { (constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong, (constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort, (constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseLong, (constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseShort, } -orderTypeMapReverse = {v: k for k, v in orderTypeMap.items()} +_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()} -contracts = ( - 'btc_usd', 'ltc_usd', 'eth_usd', 'etc_usd', 'bch_usd', -) - -contractTypeMap = { +_contractTypeMap = { 'THISWEEK': OkexFutureContractType.ThisWeek, 'NEXTWEEK': OkexFutureContractType.NextWeek, 'QUARTER': OkexFutureContractType.Quarter, } +_remoteSymbols = { + OkexFutureSymbol.BTC, + OkexFutureSymbol.LTC, + OkexFutureSymbol.ETH, + OkexFutureSymbol.ETC, + OkexFutureSymbol.BCH, +} + # symbols for ui, -# keys:给用户看的symbols +# keys:给用户看的symbols : f"{internalSymbol}_{contractType}" # values: API接口使用的symbol和contractType字段 -symbolsForUi = {} # type: dict[str, [str, str]] -for s in contracts: - for vtContractType, contractType_ in contractTypeMap.items(): - vtSymbol = s + '_' + vtContractType - symbolsForUi[vtSymbol] = (s, contractType_) +_symbolsForUi = {(remoteSymbol.upper() + '_' + upperContractType.upper()): (remoteSymbol, remoteContractType) + for remoteSymbol in _remoteSymbols + for upperContractType, remoteContractType in _contractTypeMap.items()} # type: dict[str, [str, str]] +_symbolsForUiReverse = {v: k for k, v in _symbolsForUi.items()} + + +#---------------------------------------------------------------------- +def localOrderTypeToRemote(direction, offset): # type: (str, str)->str + return _orderTypeMap[(direction, offset)] + + +#---------------------------------------------------------------------- +def remoteOrderTypeToLocal(orderType): # type: (str)->(str, str) + """ + :param orderType: + :return: direction, offset + """ + return _orderTypeMapReverse[orderType] + + +#---------------------------------------------------------------------- +def localSymbolToRemote(symbol): # type: (str)->(OkexFutureSymbol, OkexFutureContractType) + """ + :return: remoteSymbol, remoteContractType + """ + return _symbolsForUi[symbol] ######################################################################## @@ -111,7 +137,9 @@ class OkexFutureGateway(VnpyGateway): self.leverRate = 1 self.symbols = [] + self.tradeID = 0 self._orders = {} # type: Dict[str, _Order] + self._remoteIds = {} # type: Dict[str, _Order] #---------------------------------------------------------------------- @property def gatewayName(self): @@ -153,48 +181,58 @@ class OkexFutureGateway(VnpyGateway): pass #---------------------------------------------------------------------- - @staticmethod - def _contractTypeFromSymbol(symbol): - return symbolsForUi[symbol] + def _getOrderByLocalId(self, localId): + return self._orders[localId] #---------------------------------------------------------------------- - def _getOrder(self, localId): - return self._orders[localId] - + def _getOrderByRemoteId(self, remoteId): + return self._remoteIds[remoteId] + #---------------------------------------------------------------------- - def sendOrder(self, vtRequest): # type: (VtOrderReq)->str - """发单""" + def _saveRemoteId(self, remoteId, myorder): + myorder.remoteId = remoteId + self._remoteIds[remoteId] = myorder + + #---------------------------------------------------------------------- + def _genereteLocalOrder(self, symbol, price, volume, direction): myorder = _Order() localId = myorder.localId - + self._orders[localId] = myorder vtOrder = VtOrderData() vtOrder.orderID = localId vtOrder.vtOrderID = ".".join([self.gatewayName, localId]) vtOrder.exchange = self.exchange - - vtOrder.symbol = vtRequest.symbol + vtOrder.symbol = symbol vtOrder.vtSymbol = '.'.join([vtOrder.symbol, vtOrder.exchange]) - vtOrder.price = vtRequest.price - vtOrder.totalVolume = vtRequest.volume - vtOrder.direction = vtRequest.direction - + vtOrder.price = price + vtOrder.totalVolume = volume + vtOrder.direction = direction myorder.vtOrder = vtOrder + return myorder - symbol, contractType = self._contractTypeFromSymbol(vtRequest.symbol) - orderType = orderTypeMap[(vtRequest.priceType, vtRequest.offset)] # 开多、开空、平多、平空 + #---------------------------------------------------------------------- + def sendOrder(self, vtRequest): # type: (VtOrderReq)->str + """发单""" + myorder = self._genereteLocalOrder(vtRequest.symbol, + vtRequest.price, + vtRequest.volume, + vtRequest.direction) + + remoteSymbol, remoteContractType = localSymbolToRemote(vtRequest.symbol) + orderType = _orderTypeMap[(vtRequest.priceType, vtRequest.offset)] # 开多、开空、平多、平空 userMarketPrice = False if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE: userMarketPrice = True - - self.api.sendOrder(symbol=symbol, - contractType=contractType, + + self.api.sendOrder(symbol=remoteSymbol, + contractType=remoteContractType, orderType=orderType, volume=vtRequest.volume, price=vtRequest.price, useMarketPrice=userMarketPrice, leverRate=self.leverRate, - onSuccess=self.onOrderSent, + onSuccess=self._onOrderSent, extra=None, ) @@ -203,18 +241,23 @@ class OkexFutureGateway(VnpyGateway): #---------------------------------------------------------------------- def cancelOrder(self, vtCancel): # type: (VtCancelOrderReq)->None """撤单""" - myorder = self._getOrder(vtCancel.orderID) + myorder = self._getOrderByLocalId(vtCancel.orderID) symbol, contractType = self._contractTypeFromSymbol(vtCancel.symbol) self.api.cancelOrder(symbol=symbol, contractType=contractType, orderId=myorder.remoteId, - onSuccess=self.onOrderCanceled, + onSuccess=self._onOrderCanceled, extra=myorder, ) # cancelDict: 不存在的，没有localId就没有remoteId，没有remoteId何来cancel #---------------------------------------------------------------------- - def queryOrder(self): + def queryOrders(self, symbol, contractType, + status): # type: (str, OkexFutureContractType, OkexFutureOrderStatus)->None + """订单查询""" + self.api.queryOrders(symbol, contractType=contractType, status=status, + onSuccess=self._onQueryOrders, + extra=contractType) #---------------------------------------------------------------------- def qryAccount(self): @@ -232,15 +275,62 @@ class OkexFutureGateway(VnpyGateway): self.api.close() #---------------------------------------------------------------------- - def onOrderSent(self, remoteId, myorder): #type: (int, _Order)->None + def _onOrderSent(self, remoteId, myorder): #type: (str, _Order)->None myorder.remoteId = remoteId myorder.vtOrder.status = constant.STATUS_NOTTRADED + self._saveRemoteId(remoteId, myorder) self.onOrder(myorder.vtOrder) - + + #---------------------------------------------------------------------- + def _pushOrderAsTraded(self, order): + trade = VtTradeData() + trade.gatewayName = order.gatewayName + trade.symbol = order.symbol + trade.vtSymbol = order.vtSymbol + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + self.tradeID += 1 + trade.tradeID = str(self.tradeID) + trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) + trade.direction = order.direction + trade.price = order.price + trade.volume = order.tradedVolume + trade.tradeTime = datetime.now().strftime('%H:%M:%S') + self.onTrade(trade) + #---------------------------------------------------------------------- @staticmethod - def onOrderCanceled(myorder): #type: (_Order)->None + def _onOrderCanceled(myorder): #type: (_Order)->None myorder.vtOrder.status = constant.STATUS_CANCELLED + + #---------------------------------------------------------------------- + def _onQueryOrders(self, orders, extra): # type: (List[OkexFutureOrder], Any)->None + contractType = extra + for order in orders: + remoteId = order.remoteId + if remoteId in self._remoteIds: + # 如果订单已经缓存在本地，则尝试更新订单状态 + myorder = self._getOrderByRemoteId(remoteId) + + # 有新交易才推送更新 + if order.tradedVolume != myorder.vtOrder.tradedVolume: + myorder.vtOrder.tradedVolume = order.tradedVolume + myorder.vtOrder.status = constant.STATUS_PARTTRADED + self.onOrder(myorder.vtOrder) + else: + # 本地无此订单的缓存（例如，用其他工具的下单） + # 缓存该订单，并推送 + symbol = order.symbol + contractType + direction, offset = remoteOrderTypeToLocal(order.orderType) + myorder = self._genereteLocalOrder(symbol, order.price, order.volume, direction) + myorder.vtOrder.tradedVolume = order.tradedVolume + myorder.remoteId = order.remoteId + self._saveRemoteId(myorder.remoteId, myorder) + self.onOrder(myorder.vtOrder) - + # 如果该订单已经交易完成，推送交易完成消息 + # todo: 这样写会导致同一个订单产生多次交易完成消息 + if order.status == OkexFutureOrderStatus.Finished: + myorder.vtOrder.status = constant.STATUS_ALLTRADED + self._pushOrderAsTraded(myorder.vtOrder)