[Mod] complete test of gateio gateway
This commit is contained in:
vn.py
parent
4336ccf065
commit
8f7ddd985a
@ -8,9 +8,8 @@ import sys
|
||||
import time
|
||||
from copy import copy
|
||||
from datetime import datetime, timedelta
|
||||
from threading import Lock
|
||||
from urllib.parse import urlencode
|
||||
from typing import List
|
||||
from typing import List, Dict
|
||||
|
||||
from vnpy.api.rest import Request, RestClient
|
||||
from vnpy.api.websocket import WebsocketClient
|
||||
@ -31,11 +30,6 @@ REST_HOST = "https://api.gateio.ws"
|
||||
TESTNET_WEBSOCKET_HOST = "wss://fx-ws-testnet.gateio.ws/v4/ws"
|
||||
WEBSOCKET_HOST = "wss://fx-ws.gateio.ws/v4/ws"
|
||||
|
||||
STATUS_GATEIO2VT = {
|
||||
"open": Status.NOTTRADED,
|
||||
"finished": Status.ALLTRADED,
|
||||
}
|
||||
|
||||
INTERVAL_VT2GATEIO = {
|
||||
Interval.MINUTE: "1m",
|
||||
Interval.HOUR: "1h",
|
||||
@ -72,7 +66,7 @@ class GateiosGateway(BaseGateway):
|
||||
self.ws_api = GateiosWebsocketApi(self)
|
||||
self.rest_api = GateiosRestApi(self)
|
||||
|
||||
def connect(self, setting: dict):
|
||||
def connect(self, setting: Dict):
|
||||
""""""
|
||||
key = setting["API Key"]
|
||||
secret = setting["Secret Key"]
|
||||
@ -99,7 +93,7 @@ class GateiosGateway(BaseGateway):
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
self.order_manager.cancel_order(req)
|
||||
self.rest_api.cancel_order(req)
|
||||
|
||||
def query_account(self):
|
||||
""""""
|
||||
@ -320,12 +314,15 @@ class GateiosRestApi(RestClient):
|
||||
on_failed=self.on_send_order_failed
|
||||
)
|
||||
|
||||
self.gateway.on_order(order)
|
||||
self.order_manager.on_order(order)
|
||||
return order.vt_orderid
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
sys_orderid = self.order_manager.get_sys_orderid(req.orderid)
|
||||
if not sys_orderid:
|
||||
self.write_log("撤单失败，找不到对应系统委托号{}".format(req.orderid))
|
||||
return
|
||||
|
||||
self.add_request(
|
||||
method="DELETE",
|
||||
@ -367,7 +364,7 @@ class GateiosRestApi(RestClient):
|
||||
def on_query_order(self, data, request):
|
||||
""""""
|
||||
for d in data:
|
||||
local_orderid = self.new_local_orderid()
|
||||
local_orderid = self.order_manager.new_local_orderid()
|
||||
sys_orderid = str(d["id"])
|
||||
|
||||
self.order_manager.update_orderid_map(
|
||||
@ -375,12 +372,15 @@ class GateiosRestApi(RestClient):
|
||||
sys_orderid=sys_orderid
|
||||
)
|
||||
|
||||
volume = d["size"]
|
||||
if volume > 0:
|
||||
if d["size"] > 0:
|
||||
direction = Direction.LONG
|
||||
else:
|
||||
direction = Direction.SHORT
|
||||
|
||||
volume = abs(d["size"])
|
||||
traded = abs(d["size"] - d["left"])
|
||||
status = get_order_status(d["status"], volume, traded)
|
||||
|
||||
dt = datetime.fromtimestamp(d["create_time"])
|
||||
|
||||
order = OrderData(
|
||||
@ -391,7 +391,7 @@ class GateiosRestApi(RestClient):
|
||||
volume=abs(volume),
|
||||
type=OrderType.LIMIT,
|
||||
direction=direction,
|
||||
status=STATUS_GATEIO2VT[d["status"]],
|
||||
status=status,
|
||||
time=dt.strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
@ -434,16 +434,7 @@ class GateiosRestApi(RestClient):
|
||||
def on_send_order(self, data, request):
|
||||
""""""
|
||||
order = request.extra
|
||||
order.status = STATUS_GATEIO2VT[data["status"]]
|
||||
|
||||
if order.status == Status.ALLTRADED:
|
||||
order.traded = order.volume
|
||||
|
||||
dt = datetime.fromtimestamp(data["create_time"])
|
||||
order.time = dt.strftime("%H:%M:%S")
|
||||
|
||||
sys_orderid = data["id"]
|
||||
self.order_manager.on_order(order)
|
||||
sys_orderid = str(data["id"])
|
||||
self.order_manager.update_orderid_map(order.orderid, sys_orderid)
|
||||
|
||||
def on_send_order_failed(self, status_code: str, request: Request):
|
||||
@ -473,17 +464,10 @@ class GateiosRestApi(RestClient):
|
||||
|
||||
def on_cancel_order(self, data, request):
|
||||
""""""
|
||||
cancel_request = request.extra
|
||||
local_orderid = cancel_request.orderid
|
||||
order = self.order_manager.get_order_with_local_orderid(local_orderid)
|
||||
|
||||
if data["status"] == "error":
|
||||
error_code = data["err_code"]
|
||||
error_msg = data["err_msg"]
|
||||
self.gateway.write_log(f"撤单失败，错误代码：{error_code}，信息：{error_msg}")
|
||||
else:
|
||||
order.status = Status.CANCELLED
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
def on_cancel_order_failed(self, status_code: str, request: Request):
|
||||
"""
|
||||
@ -540,19 +524,16 @@ class GateiosWebsocketApi(WebsocketClient):
|
||||
self.gateway.write_log("Websocket API连接成功")
|
||||
|
||||
for symbol in self.symbols:
|
||||
update_order = self.generate_req(
|
||||
channel="futures.orders",
|
||||
for channel in [
|
||||
"futures.orders",
|
||||
"futures.usertrades"
|
||||
]:
|
||||
req = self.generate_req(
|
||||
channel=channel,
|
||||
event="subscribe",
|
||||
pay_load=[self.account_id, symbol]
|
||||
)
|
||||
self.send_packet(update_order)
|
||||
|
||||
update_position = self.generate_req(
|
||||
channel="futures.position_closes",
|
||||
event="subscribe",
|
||||
pay_load=[self.account_id, symbol]
|
||||
)
|
||||
self.send_packet(update_position)
|
||||
self.send_packet(req)
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
"""
|
||||
@ -585,7 +566,7 @@ class GateiosWebsocketApi(WebsocketClient):
|
||||
""""""
|
||||
self.gateway.write_log("Websocket API连接断开")
|
||||
|
||||
def on_packet(self, packet: dict):
|
||||
def on_packet(self, packet: Dict):
|
||||
""""""
|
||||
timestamp = packet["time"]
|
||||
channel = packet["channel"]
|
||||
@ -597,17 +578,14 @@ class GateiosWebsocketApi(WebsocketClient):
|
||||
self.gateway.write_log("Websocket API报错：%s" % error)
|
||||
return
|
||||
|
||||
print(packet)
|
||||
|
||||
if channel == "futures.tickers":
|
||||
if event == "update":
|
||||
if channel == "futures.tickers" and event == "update":
|
||||
self.on_tick(result, timestamp)
|
||||
elif channel == "futures.order_book":
|
||||
if event == "all":
|
||||
elif channel == "futures.order_book" and event == "all":
|
||||
self.on_depth(result, timestamp)
|
||||
elif channel == "futures.orders":
|
||||
if event == "update":
|
||||
elif channel == "futures.orders" and event == "update":
|
||||
self.on_order(result, timestamp)
|
||||
elif channel == "futures.usertrades" and event == "update":
|
||||
self.on_trade(result, timestamp)
|
||||
|
||||
def on_error(self, exception_type: type, exception_value: Exception, tb):
|
||||
""""""
|
||||
@ -617,10 +595,11 @@ class GateiosWebsocketApi(WebsocketClient):
|
||||
sys.stderr.write(self.exception_detail(
|
||||
exception_type, exception_value, tb))
|
||||
|
||||
def generate_req(self, channel: str, event: str, pay_load: list):
|
||||
def generate_req(self, channel: str, event: str, pay_load: List):
|
||||
""""""
|
||||
expires = int(time.time())
|
||||
signature = generate_websocket_sign(self.secret, channel, event, expires)
|
||||
signature = generate_websocket_sign(
|
||||
self.secret, channel, event, expires)
|
||||
|
||||
req = {
|
||||
"time": expires,
|
||||
@ -636,7 +615,7 @@ class GateiosWebsocketApi(WebsocketClient):
|
||||
|
||||
return req
|
||||
|
||||
def on_tick(self, l: list, t: int):
|
||||
def on_tick(self, l: List, t: int):
|
||||
""""""
|
||||
d = l[0]
|
||||
symbol = d["contract"]
|
||||
@ -645,10 +624,11 @@ class GateiosWebsocketApi(WebsocketClient):
|
||||
return
|
||||
|
||||
tick.last_price = float(d["last"])
|
||||
tick.volume = int(d["volume_24h"])
|
||||
tick.datetime = datetime.fromtimestamp(t)
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
def on_depth(self, d: dict, t: int):
|
||||
def on_depth(self, d: Dict, t: int):
|
||||
""""""
|
||||
symbol = d["contract"]
|
||||
tick = self.ticks.get(symbol, None)
|
||||
@ -671,18 +651,21 @@ class GateiosWebsocketApi(WebsocketClient):
|
||||
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
def on_order(self, l: list, t: int):
|
||||
def on_order(self, l: List, t: int):
|
||||
""""""
|
||||
d = l[0]
|
||||
|
||||
local_orderid = str(d["text"])[2:]
|
||||
|
||||
volume = d["size"]
|
||||
if volume > 0:
|
||||
if d["size"] > 0:
|
||||
direction = Direction.LONG
|
||||
else:
|
||||
direction = Direction.SHORT
|
||||
|
||||
volume = abs(d["size"])
|
||||
traded = abs(d["size"] - d["left"])
|
||||
status = get_order_status(d["status"], volume, traded)
|
||||
|
||||
order = OrderData(
|
||||
orderid=local_orderid,
|
||||
symbol=d["contract"],
|
||||
@ -691,26 +674,31 @@ class GateiosWebsocketApi(WebsocketClient):
|
||||
volume=abs(volume),
|
||||
type=OrderType.LIMIT,
|
||||
direction=direction,
|
||||
status=STATUS_GATEIO2VT[d["status"]],
|
||||
status=status,
|
||||
time=datetime.fromtimestamp(t).strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.order_manager.on_order(copy(order))
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
# Update trade
|
||||
if order.status == Status.ALLTRADED:
|
||||
self.trade_count += 1
|
||||
def on_trade(self, l: List, t: int):
|
||||
""""""
|
||||
d = l[0]
|
||||
|
||||
sys_orderid = d["order_id"]
|
||||
order = self.order_manager.get_order_with_sys_orderid(sys_orderid)
|
||||
if not order:
|
||||
return
|
||||
|
||||
trade = TradeData(
|
||||
symbol=order.symbol,
|
||||
exchange=order.exchange,
|
||||
orderid=order.orderid,
|
||||
tradeid=str(self.trade_count).rjust(8, "0"),
|
||||
tradeid=d["id"],
|
||||
direction=order.direction,
|
||||
price=float(d["fill_price"]),
|
||||
volume=order.volume,
|
||||
time=order.time,
|
||||
price=float(d["price"]),
|
||||
volume=abs(d["size"]),
|
||||
time=datetime.fromtimestamp(d["create_time"]).strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
@ -768,3 +756,17 @@ def generate_websocket_sign(secret, channel, event, time):
|
||||
).hexdigest()
|
||||
|
||||
return signature
|
||||
|
||||
|
||||
def get_order_status(status: str, volume: int, traded: int):
|
||||
""""""
|
||||
if status == "open":
|
||||
if traded:
|
||||
return Status.PARTTRADED
|
||||
else:
|
||||
return Status.NOTTRADED
|
||||
else:
|
||||
if traded == volume:
|
||||
return Status.ALLTRADED
|
||||
else:
|
||||
return Status.CANCELLED
|
||||
|
||||
Loading…
Reference in New Issue
Block a user