[Mod]使用RestClient和WebsocketClient重新实现
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vn.py
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@ -1,8 +1,9 @@
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# encoding: UTF-8
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'''
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vnpy.api.bitmex的gateway接入
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'''
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from __future__ import print_function
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import os
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@ -14,11 +15,21 @@ import traceback
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from datetime import datetime, timedelta
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from copy import copy
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from math import pow
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from urllib import urlencode
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from vnpy.api.bitmex import BitmexRestApi, BitmexWebsocketApi
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from vnpy.api.rest import RestClient
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from vnpy.api.websocket import WebsocketClient
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from vnpy.trader.vtGateway import *
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from vnpy.trader.vtFunction import getJsonPath, getTempPath
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REST_HOST = 'https://www.bitmex.com/api/v1'
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WEBSOCKET_HOST = 'wss://www.bitmex.com/realtime'
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TESTNET_REST_HOST = 'https://testnet.bitmex.com/api/v1'
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TESTNET_WEBSOCKET_HOST = 'wss://testnet.bitmex.com/realtime'
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# 委托状态类型映射
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statusMapReverse = {}
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statusMapReverse['New'] = STATUS_NOTTRADED
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@ -49,8 +60,8 @@ class BitmexGateway(VtGateway):
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"""Constructor"""
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super(BitmexGateway, self).__init__(eventEngine, gatewayName)
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self.restApi = RestApi(self)
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self.wsApi = WebsocketApi(self)
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self.restApi = BitmexRestApi(self)
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self.wsApi = BitmexWebsocketApi(self)
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self.qryEnabled = False # 是否要启动循环查询
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@ -153,24 +164,69 @@ class BitmexGateway(VtGateway):
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########################################################################
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class RestApi(BitmexRestApi):
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class BitmexRestApi(RestClient):
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"""REST API实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(RestApi, self).__init__()
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super(BitmexRestApi, self).__init__()
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self.gateway = gateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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self.orderId = 1000000
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self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId
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self.apiKey = ''
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self.apiSecret = ''
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self.orderId = 1000000
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self.loginTime = 0
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#----------------------------------------------------------------------
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def sign(self, request):
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"""BitMEX的签名方案"""
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# 生成签名
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expires = int(time.time() + 5)
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if request.params:
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query = urlencode(request.params)
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path = request.path + '?' + query
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else:
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path = request.path
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if request.data:
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request.data = urlencode(request.data)
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else:
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request.data = ''
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msg = request.method + '/api/v1' + path + str(expires) + request.data
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signature = hmac.new(self.apiSecret, msg,
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digestmod=hashlib.sha256).hexdigest()
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# 添加表头
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headers = {
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'Content-Type': 'application/x-www-form-urlencoded',
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'Accept': 'application/json',
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'api-key': self.apiKey,
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'api-expires': str(expires),
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'api-signature': signature
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}
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request.headers = headers
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return request
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#----------------------------------------------------------------------
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def connect(self, apiKey, apiSecret, sessionCount, testnet):
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"""连接服务器"""
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self.init(apiKey, apiSecret, testnet)
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self.apiKey = apiKey
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self.apiSecret = apiSecret
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self.loginTime = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId
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if not testnet:
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self.init(REST_HOST)
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else:
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self.init(TESTNET_REST_HOST)
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self.start(sessionCount)
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self.writeLog(u'REST API启动成功')
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@ -187,10 +243,10 @@ class RestApi(BitmexRestApi):
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def sendOrder(self, orderReq):
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""""""
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self.orderId += 1
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orderId = self.date + self.orderId
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orderId = self.loginTime + self.orderId
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vtOrderID = '.'.join([self.gatewayName, str(orderId)])
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req = {
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data = {
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'symbol': orderReq.symbol,
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'side': directionMap[orderReq.direction],
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'ordType': priceTypeMap[orderReq.priceType],
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@ -199,24 +255,24 @@ class RestApi(BitmexRestApi):
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'clOrdID': str(orderId)
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}
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# 市价单不能有price字段
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if orderReq.priceType == PRICETYPE_MARKETPRICE:
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req.pop('price')
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self.addReq('POST', '/order', self.onSendOrder, postdict=req)
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# 只有限价单才有price字段
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if orderReq.priceType == PRICETYPE_LIMITPRICE:
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data['price'] = orderReq.price
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self.addRequest('POST', '/order', self.onSendOrder, data=data)
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return vtOrderID
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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""""""
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orderID = cancelOrderReq.orderID
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if orderID.isdigit():
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req = {'clOrdID': orderID}
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else:
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req = {'orderID': orderID}
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self.addReq('DELETE', '/order', self.onCancelOrder, params=req)
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if orderID.isdigit():
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params = {'clOrdID': orderID}
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else:
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params = {'orderID': orderID}
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self.addRequest('DELETE', '/order', self.onCancelOrder, params=params)
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#----------------------------------------------------------------------
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def onSendOrder(self, data, reqid):
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@ -229,22 +285,40 @@ class RestApi(BitmexRestApi):
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pass
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#----------------------------------------------------------------------
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def onError(self, code, error):
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""""""
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def onFailed(self, httpStatusCode, request): # type:(int, Request)->None
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"""
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请求失败处理函数（HttpStatusCode!=2xx）.
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默认行为是打印到stderr
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"""
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e = VtErrorData()
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e.errorID = code
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e.errorID = error
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e.gatewayName = self.gatewayName
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e.errorID = httpStatusCode
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e.errorMsg = request.response.text
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self.gateway.onError(e)
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print(request.response.text)
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#----------------------------------------------------------------------
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def onError(self, exceptionType, exceptionValue, tb, request):
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"""
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Python内部错误处理：默认行为是仍给excepthook
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"""
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e = VtErrorData()
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e.gatewayName = self.gatewayName
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e.errorID = exceptionType
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e.errorMsg = exceptionValue
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self.gateway.onError(e)
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traceback.print_exc()
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########################################################################
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class WebsocketApi(BitmexWebsocketApi):
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class BitmexWebsocketApi(WebsocketClient):
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""""""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(WebsocketApi, self).__init__()
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super(BitmexWebsocketApi, self).__init__()
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self.gateway = gateway
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self.gatewayName = gateway.gatewayName
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@ -273,10 +347,15 @@ class WebsocketApi(BitmexWebsocketApi):
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self.apiKey = apiKey
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self.apiSecret = apiSecret
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if not testnet:
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self.init(WEBSOCKET_HOST)
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else:
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self.init(TESTNET_WEBSOCKET_HOST)
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self.start()
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for symbol in symbols:
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self.subscribeMarketData(symbol)
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self.start(testnet)
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self.subscribeMarketData(symbol)
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#----------------------------------------------------------------------
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def subscribeMarketData(self, symbol):
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@ -289,50 +368,55 @@ class WebsocketApi(BitmexWebsocketApi):
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self.tickDict[symbol] = tick
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#----------------------------------------------------------------------
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def onConnect(self):
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def onConnected(self):
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"""连接回调"""
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self.writeLog(u'Websocket API连接成功')
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self.authenticate()
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#----------------------------------------------------------------------
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def onData(self, data):
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def onDisconnected(self):
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"""连接回调"""
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self.writeLog(u'Websocket API连接断开')
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self.authenticate()
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#----------------------------------------------------------------------
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def onPacket(self, packet):
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"""数据回调"""
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if 'error' in data:
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self.writeLog(u'Websocket API报错：%s' %data['error'])
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if 'error' in packet:
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self.writeLog(u'Websocket API报错：%s' %packet['error'])
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if 'not valid' in data['error']:
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if 'not valid' in packet['error']:
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self.active = False
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elif 'request' in data:
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req = data['request']
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success = data['success']
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elif 'request' in packet:
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req = packet['request']
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success = packet['success']
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if success:
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if req['op'] == 'authKey':
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self.writeLog(u'Websocket API验证授权成功')
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self.subscribe()
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elif 'table' in data:
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name = data['table']
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elif 'table' in packet:
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name = packet['table']
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callback = self.callbackDict[name]
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if isinstance(data['data'], list):
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for d in data['data']:
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if isinstance(packet['data'], list):
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for d in packet['data']:
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callback(d)
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else:
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callback(data['data'])
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#if data['action'] == 'update' and data['table'] != 'instrument':
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#callback(data['data'])
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#elif data['action'] == 'partial':
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#for d in data['data']:
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#callback(d)
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callback(packet['data'])
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#----------------------------------------------------------------------
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def onError(self, msg):
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"""错误回调"""
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self.writeLog(msg)
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def onError(self, exceptionType, exceptionValue, tb):
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"""Python错误回调"""
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e = VtErrorData()
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e.gatewayName = self.gatewayName
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e.errorID = exceptionType
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e.errorMsg = exceptionValue
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self.gateway.onError(e)
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traceback.print_exc()
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#----------------------------------------------------------------------
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def writeLog(self, content):
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@ -355,7 +439,7 @@ class WebsocketApi(BitmexWebsocketApi):
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'op': 'authKey',
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'args': [self.apiKey, expires, signature]
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}
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self.sendReq(req)
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self.sendPacket(req)
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#----------------------------------------------------------------------
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def subscribe(self):
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@ -364,7 +448,7 @@ class WebsocketApi(BitmexWebsocketApi):
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'op': 'subscribe',
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'args': ['instrument', 'trade', 'orderBook10', 'execution', 'order', 'position', 'margin']
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}
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self.sendReq(req)
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self.sendPacket(req)
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#----------------------------------------------------------------------
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def onTick(self, d):
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