diff --git a/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py b/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py index 9884653d..0ad70e6e 100644 --- a/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py +++ b/vnpy/trader/gateway/bitmexGateway/bitmexGateway.py @@ -1,8 +1,9 @@ # encoding: UTF-8 ''' -vnpy.api.bitmex的gateway接入 ''' + + from __future__ import print_function import os @@ -14,11 +15,21 @@ import traceback from datetime import datetime, timedelta from copy import copy from math import pow +from urllib import urlencode -from vnpy.api.bitmex import BitmexRestApi, BitmexWebsocketApi +from vnpy.api.rest import RestClient +from vnpy.api.websocket import WebsocketClient from vnpy.trader.vtGateway import * from vnpy.trader.vtFunction import getJsonPath, getTempPath + +REST_HOST = 'https://www.bitmex.com/api/v1' +WEBSOCKET_HOST = 'wss://www.bitmex.com/realtime' + +TESTNET_REST_HOST = 'https://testnet.bitmex.com/api/v1' +TESTNET_WEBSOCKET_HOST = 'wss://testnet.bitmex.com/realtime' + + # 委托状态类型映射 statusMapReverse = {} statusMapReverse['New'] = STATUS_NOTTRADED @@ -49,8 +60,8 @@ class BitmexGateway(VtGateway): """Constructor""" super(BitmexGateway, self).__init__(eventEngine, gatewayName) - self.restApi = RestApi(self) - self.wsApi = WebsocketApi(self) + self.restApi = BitmexRestApi(self) + self.wsApi = BitmexWebsocketApi(self) self.qryEnabled = False # 是否要启动循环查询 @@ -153,24 +164,69 @@ class BitmexGateway(VtGateway): ######################################################################## -class RestApi(BitmexRestApi): +class BitmexRestApi(RestClient): """REST API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" - super(RestApi, self).__init__() + super(BitmexRestApi, self).__init__() self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 - self.orderId = 1000000 - self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId + self.apiKey = '' + self.apiSecret = '' + self.orderId = 1000000 + self.loginTime = 0 + + #---------------------------------------------------------------------- + def sign(self, request): + """BitMEX的签名方案""" + # 生成签名 + expires = int(time.time() + 5) + + if request.params: + query = urlencode(request.params) + path = request.path + '?' + query + else: + path = request.path + + if request.data: + request.data = urlencode(request.data) + else: + request.data = '' + + msg = request.method + '/api/v1' + path + str(expires) + request.data + signature = hmac.new(self.apiSecret, msg, + digestmod=hashlib.sha256).hexdigest() + + # 添加表头 + headers = { + 'Content-Type': 'application/x-www-form-urlencoded', + 'Accept': 'application/json', + 'api-key': self.apiKey, + 'api-expires': str(expires), + 'api-signature': signature + } + + request.headers = headers + return request + #---------------------------------------------------------------------- def connect(self, apiKey, apiSecret, sessionCount, testnet): """连接服务器""" - self.init(apiKey, apiSecret, testnet) + self.apiKey = apiKey + self.apiSecret = apiSecret + + self.loginTime = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId + + if not testnet: + self.init(REST_HOST) + else: + self.init(TESTNET_REST_HOST) + self.start(sessionCount) self.writeLog(u'REST API启动成功') @@ -187,10 +243,10 @@ class RestApi(BitmexRestApi): def sendOrder(self, orderReq): """""" self.orderId += 1 - orderId = self.date + self.orderId + orderId = self.loginTime + self.orderId vtOrderID = '.'.join([self.gatewayName, str(orderId)]) - req = { + data = { 'symbol': orderReq.symbol, 'side': directionMap[orderReq.direction], 'ordType': priceTypeMap[orderReq.priceType], @@ -199,24 +255,24 @@ class RestApi(BitmexRestApi): 'clOrdID': str(orderId) } - # 市价单不能有price字段 - if orderReq.priceType == PRICETYPE_MARKETPRICE: - req.pop('price') - - self.addReq('POST', '/order', self.onSendOrder, postdict=req) + # 只有限价单才有price字段 + if orderReq.priceType == PRICETYPE_LIMITPRICE: + data['price'] = orderReq.price + self.addRequest('POST', '/order', self.onSendOrder, data=data) return vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """""" orderID = cancelOrderReq.orderID - if orderID.isdigit(): - req = {'clOrdID': orderID} - else: - req = {'orderID': orderID} - self.addReq('DELETE', '/order', self.onCancelOrder, params=req) + if orderID.isdigit(): + params = {'clOrdID': orderID} + else: + params = {'orderID': orderID} + + self.addRequest('DELETE', '/order', self.onCancelOrder, params=params) #---------------------------------------------------------------------- def onSendOrder(self, data, reqid): @@ -229,22 +285,40 @@ class RestApi(BitmexRestApi): pass #---------------------------------------------------------------------- - def onError(self, code, error): - """""" + def onFailed(self, httpStatusCode, request): # type:(int, Request)->None + """ + 请求失败处理函数（HttpStatusCode!=2xx）. + 默认行为是打印到stderr + """ e = VtErrorData() - e.errorID = code - e.errorID = error + e.gatewayName = self.gatewayName + e.errorID = httpStatusCode + e.errorMsg = request.response.text + self.gateway.onError(e) + print(request.response.text) + + #---------------------------------------------------------------------- + def onError(self, exceptionType, exceptionValue, tb, request): + """ + Python内部错误处理：默认行为是仍给excepthook + """ + e = VtErrorData() + e.gatewayName = self.gatewayName + e.errorID = exceptionType + e.errorMsg = exceptionValue self.gateway.onError(e) + traceback.print_exc() + ######################################################################## -class WebsocketApi(BitmexWebsocketApi): +class BitmexWebsocketApi(WebsocketClient): """""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" - super(WebsocketApi, self).__init__() + super(BitmexWebsocketApi, self).__init__() self.gateway = gateway self.gatewayName = gateway.gatewayName @@ -273,10 +347,15 @@ class WebsocketApi(BitmexWebsocketApi): self.apiKey = apiKey self.apiSecret = apiSecret + if not testnet: + self.init(WEBSOCKET_HOST) + else: + self.init(TESTNET_WEBSOCKET_HOST) + + self.start() + for symbol in symbols: - self.subscribeMarketData(symbol) - - self.start(testnet) + self.subscribeMarketData(symbol) #---------------------------------------------------------------------- def subscribeMarketData(self, symbol): @@ -289,50 +368,55 @@ class WebsocketApi(BitmexWebsocketApi): self.tickDict[symbol] = tick #---------------------------------------------------------------------- - def onConnect(self): + def onConnected(self): """连接回调""" self.writeLog(u'Websocket API连接成功') self.authenticate() #---------------------------------------------------------------------- - def onData(self, data): + def onDisconnected(self): + """连接回调""" + self.writeLog(u'Websocket API连接断开') + self.authenticate() + + #---------------------------------------------------------------------- + def onPacket(self, packet): """数据回调""" - if 'error' in data: - self.writeLog(u'Websocket API报错：%s' %data['error']) + if 'error' in packet: + self.writeLog(u'Websocket API报错：%s' %packet['error']) - if 'not valid' in data['error']: + if 'not valid' in packet['error']: self.active = False - elif 'request' in data: - req = data['request'] - success = data['success'] + elif 'request' in packet: + req = packet['request'] + success = packet['success'] if success: if req['op'] == 'authKey': self.writeLog(u'Websocket API验证授权成功') self.subscribe() - elif 'table' in data: - name = data['table'] + elif 'table' in packet: + name = packet['table'] callback = self.callbackDict[name] - if isinstance(data['data'], list): - for d in data['data']: + if isinstance(packet['data'], list): + for d in packet['data']: callback(d) else: - callback(data['data']) - - #if data['action'] == 'update' and data['table'] != 'instrument': - #callback(data['data']) - #elif data['action'] == 'partial': - #for d in data['data']: - #callback(d) - + callback(packet['data']) #---------------------------------------------------------------------- - def onError(self, msg): - """错误回调""" - self.writeLog(msg) + def onError(self, exceptionType, exceptionValue, tb): + """Python错误回调""" + e = VtErrorData() + e.gatewayName = self.gatewayName + e.errorID = exceptionType + e.errorMsg = exceptionValue + self.gateway.onError(e) + + traceback.print_exc() #---------------------------------------------------------------------- def writeLog(self, content): @@ -355,7 +439,7 @@ class WebsocketApi(BitmexWebsocketApi): 'op': 'authKey', 'args': [self.apiKey, expires, signature] } - self.sendReq(req) + self.sendPacket(req) #---------------------------------------------------------------------- def subscribe(self): @@ -364,7 +448,7 @@ class WebsocketApi(BitmexWebsocketApi): 'op': 'subscribe', 'args': ['instrument', 'trade', 'orderBook10', 'execution', 'order', 'position', 'margin'] } - self.sendReq(req) + self.sendPacket(req) #---------------------------------------------------------------------- def onTick(self, d):