[Mod] complete test of gateio gateway
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vn.py
parent
4336ccf065
commit
8f7ddd985a
@ -8,9 +8,8 @@ import sys
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import time
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from copy import copy
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from datetime import datetime, timedelta
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from threading import Lock
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from urllib.parse import urlencode
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from typing import List
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from typing import List, Dict
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from vnpy.api.rest import Request, RestClient
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from vnpy.api.websocket import WebsocketClient
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@ -31,11 +30,6 @@ REST_HOST = "https://api.gateio.ws"
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TESTNET_WEBSOCKET_HOST = "wss://fx-ws-testnet.gateio.ws/v4/ws"
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WEBSOCKET_HOST = "wss://fx-ws.gateio.ws/v4/ws"
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STATUS_GATEIO2VT = {
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"open": Status.NOTTRADED,
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"finished": Status.ALLTRADED,
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}
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INTERVAL_VT2GATEIO = {
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Interval.MINUTE: "1m",
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Interval.HOUR: "1h",
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@ -72,7 +66,7 @@ class GateiosGateway(BaseGateway):
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self.ws_api = GateiosWebsocketApi(self)
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self.rest_api = GateiosRestApi(self)
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def connect(self, setting: dict):
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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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secret = setting["Secret Key"]
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@ -99,7 +93,7 @@ class GateiosGateway(BaseGateway):
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def cancel_order(self, req: CancelRequest):
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""""""
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self.order_manager.cancel_order(req)
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self.rest_api.cancel_order(req)
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def query_account(self):
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""""""
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@ -320,12 +314,15 @@ class GateiosRestApi(RestClient):
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on_failed=self.on_send_order_failed
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)
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self.gateway.on_order(order)
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self.order_manager.on_order(order)
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return order.vt_orderid
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def cancel_order(self, req: CancelRequest):
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""""""
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sys_orderid = self.order_manager.get_sys_orderid(req.orderid)
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if not sys_orderid:
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self.write_log("撤单失败，找不到对应系统委托号{}".format(req.orderid))
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return
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self.add_request(
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method="DELETE",
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@ -367,7 +364,7 @@ class GateiosRestApi(RestClient):
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def on_query_order(self, data, request):
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""""""
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for d in data:
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local_orderid = self.new_local_orderid()
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local_orderid = self.order_manager.new_local_orderid()
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sys_orderid = str(d["id"])
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self.order_manager.update_orderid_map(
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@ -375,12 +372,15 @@ class GateiosRestApi(RestClient):
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sys_orderid=sys_orderid
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)
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volume = d["size"]
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if volume > 0:
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if d["size"] > 0:
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direction = Direction.LONG
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else:
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direction = Direction.SHORT
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volume = abs(d["size"])
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traded = abs(d["size"] - d["left"])
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status = get_order_status(d["status"], volume, traded)
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dt = datetime.fromtimestamp(d["create_time"])
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order = OrderData(
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@ -391,7 +391,7 @@ class GateiosRestApi(RestClient):
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volume=abs(volume),
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type=OrderType.LIMIT,
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direction=direction,
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status=STATUS_GATEIO2VT[d["status"]],
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status=status,
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time=dt.strftime("%H:%M:%S"),
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gateway_name=self.gateway_name,
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)
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@ -434,16 +434,7 @@ class GateiosRestApi(RestClient):
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def on_send_order(self, data, request):
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""""""
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order = request.extra
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order.status = STATUS_GATEIO2VT[data["status"]]
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if order.status == Status.ALLTRADED:
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order.traded = order.volume
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dt = datetime.fromtimestamp(data["create_time"])
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order.time = dt.strftime("%H:%M:%S")
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sys_orderid = data["id"]
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self.order_manager.on_order(order)
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sys_orderid = str(data["id"])
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self.order_manager.update_orderid_map(order.orderid, sys_orderid)
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def on_send_order_failed(self, status_code: str, request: Request):
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@ -473,17 +464,10 @@ class GateiosRestApi(RestClient):
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def on_cancel_order(self, data, request):
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""""""
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cancel_request = request.extra
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local_orderid = cancel_request.orderid
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order = self.order_manager.get_order_with_local_orderid(local_orderid)
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if data["status"] == "error":
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error_code = data["err_code"]
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error_msg = data["err_msg"]
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self.gateway.write_log(f"撤单失败，错误代码：{error_code}，信息：{error_msg}")
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else:
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order.status = Status.CANCELLED
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self.order_manager.on_order(order)
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def on_cancel_order_failed(self, status_code: str, request: Request):
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"""
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@ -540,19 +524,16 @@ class GateiosWebsocketApi(WebsocketClient):
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self.gateway.write_log("Websocket API连接成功")
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for symbol in self.symbols:
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update_order = self.generate_req(
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channel="futures.orders",
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event="subscribe",
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pay_load=[self.account_id, symbol]
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)
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self.send_packet(update_order)
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update_position = self.generate_req(
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channel="futures.position_closes",
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event="subscribe",
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pay_load=[self.account_id, symbol]
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)
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self.send_packet(update_position)
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for channel in [
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"futures.orders",
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"futures.usertrades"
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]:
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req = self.generate_req(
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channel=channel,
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event="subscribe",
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pay_load=[self.account_id, symbol]
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)
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self.send_packet(req)
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def subscribe(self, req: SubscribeRequest):
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"""
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@ -585,7 +566,7 @@ class GateiosWebsocketApi(WebsocketClient):
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""""""
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self.gateway.write_log("Websocket API连接断开")
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def on_packet(self, packet: dict):
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def on_packet(self, packet: Dict):
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""""""
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timestamp = packet["time"]
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channel = packet["channel"]
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@ -597,17 +578,14 @@ class GateiosWebsocketApi(WebsocketClient):
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self.gateway.write_log("Websocket API报错：%s" % error)
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return
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print(packet)
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if channel == "futures.tickers":
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if event == "update":
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self.on_tick(result, timestamp)
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elif channel == "futures.order_book":
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if event == "all":
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self.on_depth(result, timestamp)
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elif channel == "futures.orders":
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if event == "update":
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self.on_order(result, timestamp)
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if channel == "futures.tickers" and event == "update":
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self.on_tick(result, timestamp)
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elif channel == "futures.order_book" and event == "all":
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self.on_depth(result, timestamp)
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elif channel == "futures.orders" and event == "update":
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self.on_order(result, timestamp)
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elif channel == "futures.usertrades" and event == "update":
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self.on_trade(result, timestamp)
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def on_error(self, exception_type: type, exception_value: Exception, tb):
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""""""
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@ -617,10 +595,11 @@ class GateiosWebsocketApi(WebsocketClient):
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sys.stderr.write(self.exception_detail(
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exception_type, exception_value, tb))
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def generate_req(self, channel: str, event: str, pay_load: list):
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def generate_req(self, channel: str, event: str, pay_load: List):
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""""""
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expires = int(time.time())
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signature = generate_websocket_sign(self.secret, channel, event, expires)
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signature = generate_websocket_sign(
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self.secret, channel, event, expires)
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req = {
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"time": expires,
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@ -636,7 +615,7 @@ class GateiosWebsocketApi(WebsocketClient):
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return req
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def on_tick(self, l: list, t: int):
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def on_tick(self, l: List, t: int):
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""""""
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d = l[0]
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symbol = d["contract"]
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@ -645,10 +624,11 @@ class GateiosWebsocketApi(WebsocketClient):
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return
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tick.last_price = float(d["last"])
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tick.volume = int(d["volume_24h"])
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tick.datetime = datetime.fromtimestamp(t)
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self.gateway.on_tick(copy(tick))
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def on_depth(self, d: dict, t: int):
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def on_depth(self, d: Dict, t: int):
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""""""
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symbol = d["contract"]
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tick = self.ticks.get(symbol, None)
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@ -671,18 +651,21 @@ class GateiosWebsocketApi(WebsocketClient):
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self.gateway.on_tick(copy(tick))
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def on_order(self, l: list, t: int):
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def on_order(self, l: List, t: int):
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""""""
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d = l[0]
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local_orderid = str(d["text"])[2:]
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volume = d["size"]
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if volume > 0:
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if d["size"] > 0:
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direction = Direction.LONG
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else:
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direction = Direction.SHORT
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volume = abs(d["size"])
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traded = abs(d["size"] - d["left"])
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status = get_order_status(d["status"], volume, traded)
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order = OrderData(
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orderid=local_orderid,
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symbol=d["contract"],
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@ -691,29 +674,34 @@ class GateiosWebsocketApi(WebsocketClient):
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volume=abs(volume),
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type=OrderType.LIMIT,
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direction=direction,
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status=STATUS_GATEIO2VT[d["status"]],
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status=status,
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time=datetime.fromtimestamp(t).strftime("%H:%M:%S"),
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gateway_name=self.gateway_name,
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)
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self.order_manager.on_order(copy(order))
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self.order_manager.on_order(order)
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# Update trade
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if order.status == Status.ALLTRADED:
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self.trade_count += 1
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def on_trade(self, l: List, t: int):
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""""""
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d = l[0]
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trade = TradeData(
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symbol=order.symbol,
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exchange=order.exchange,
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orderid=order.orderid,
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tradeid=str(self.trade_count).rjust(8, "0"),
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direction=order.direction,
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price=float(d["fill_price"]),
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volume=order.volume,
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time=order.time,
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gateway_name=self.gateway_name,
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)
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self.gateway.on_trade(trade)
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sys_orderid = d["order_id"]
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order = self.order_manager.get_order_with_sys_orderid(sys_orderid)
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if not order:
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return
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trade = TradeData(
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symbol=order.symbol,
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exchange=order.exchange,
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orderid=order.orderid,
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tradeid=d["id"],
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direction=order.direction,
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price=float(d["price"]),
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volume=abs(d["size"]),
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time=datetime.fromtimestamp(d["create_time"]).strftime("%H:%M:%S"),
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gateway_name=self.gateway_name,
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)
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self.gateway.on_trade(trade)
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def generate_sign(key, secret, method, path, get_params=None, get_data=None):
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@ -768,3 +756,17 @@ def generate_websocket_sign(secret, channel, event, time):
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).hexdigest()
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return signature
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def get_order_status(status: str, volume: int, traded: int):
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""""""
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if status == "open":
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if traded:
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return Status.PARTTRADED
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else:
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return Status.NOTTRADED
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else:
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if traded == volume:
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return Status.ALLTRADED
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else:
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return Status.CANCELLED
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