[Del] remove _split_url
This commit is contained in:
vn.py
parent
4ae3b2acae
commit
93b4ff40a3
@ -11,7 +11,6 @@ import time
|
||||
from copy import copy
|
||||
from datetime import datetime
|
||||
|
||||
from vnpy.event import Event
|
||||
from vnpy.api.rest import RestClient, Request
|
||||
from vnpy.api.websocket import WebsocketClient
|
||||
from vnpy.trader.constant import (
|
||||
@ -21,7 +20,7 @@ from vnpy.trader.constant import (
|
||||
Status,
|
||||
OrderType
|
||||
)
|
||||
from vnpy.trader.gateway import BaseGateway, LocalOrderManager
|
||||
from vnpy.trader.gateway import BaseGateway
|
||||
from vnpy.trader.object import (
|
||||
TickData,
|
||||
OrderData,
|
||||
@ -32,11 +31,11 @@ from vnpy.trader.object import (
|
||||
CancelRequest,
|
||||
SubscribeRequest
|
||||
)
|
||||
from vnpy.trader.event import EVENT_TIMER
|
||||
|
||||
|
||||
REST_HOST = "https://www.binance.com"
|
||||
WEBSOCKET_TRADE_HOST = "wss://stream.binance.com:9443/ws/" # Account and Order
|
||||
# Account and Order
|
||||
WEBSOCKET_TRADE_HOST = "wss://stream.binance.com:9443/ws/"
|
||||
WEBSOCKET_DATA_HOST = "wss://stream.binance.com:9443/stream?streams=" # Market Data
|
||||
|
||||
STATUS_BINANCE2VT = {
|
||||
@ -50,7 +49,7 @@ STATUS_BINANCE2VT = {
|
||||
ORDERTYPE_VT2BINANCE = {
|
||||
OrderType.LIMIT: "LIMIT",
|
||||
OrderType.MARKET: "MARKET",
|
||||
OrderType.STOP: "STOP_LOSS",
|
||||
OrderType.STOP: "STOP_LOSS",
|
||||
}
|
||||
ORDERTYPE_BINANCE2VT = {v: k for k, v in ORDERTYPE_VT2BINANCE.items()}
|
||||
|
||||
@ -84,8 +83,6 @@ class BinanceGateway(BaseGateway):
|
||||
"""Constructor"""
|
||||
super().__init__(event_engine, "BINANCE")
|
||||
|
||||
self.order_manager = LocalOrderManager(self)
|
||||
|
||||
self.rest_api = BinanceRestApi(self)
|
||||
self.trade_ws_api = BinanceTradeWebsocketApi(self)
|
||||
self.market_ws_api = BinanceDataWebsocketApi(self)
|
||||
@ -100,13 +97,13 @@ class BinanceGateway(BaseGateway):
|
||||
|
||||
self.rest_api.connect(key, secret, session_number,
|
||||
proxy_host, proxy_port)
|
||||
# self.trade_ws_api.connect(key, secret, proxy_host, proxy_port)
|
||||
# self.market_ws_api.connect(key, secret, proxy_host, proxy_port)
|
||||
self.trade_ws_api.connect(key, secret, proxy_host, proxy_port)
|
||||
self.market_ws_api.connect(key, secret, proxy_host, proxy_port)
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
""""""
|
||||
self.market_ws_api.subscribe(req)
|
||||
# self.trade_ws_api.subscribe(req)
|
||||
self.trade_ws_api.subscribe(req)
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
""""""
|
||||
@ -136,21 +133,21 @@ class BinanceRestApi(RestClient):
|
||||
BINANCE REST API
|
||||
"""
|
||||
|
||||
def __init__(self, gateway: BaseGateway):
|
||||
def __init__(self, gateway: BinanceGateway):
|
||||
""""""
|
||||
super(BinanceRestApi, self).__init__()
|
||||
super().__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
self.order_manager = gateway.order_manager
|
||||
self.trade_ws_api = BinanceTradeWebsocketApi(self.gateway)
|
||||
|
||||
self.host = ""
|
||||
self.trade_ws_api = self.gateway.trade_ws_api
|
||||
|
||||
self.key = ""
|
||||
self.secret = ""
|
||||
self.userStreamKey = ""
|
||||
self.keepaliveCount = 0
|
||||
self.recvWindow = 5000
|
||||
|
||||
self.user_stream_key = ""
|
||||
self.keep_alive_count = 0
|
||||
self.recv_window = 5000
|
||||
self.time_offset = 0
|
||||
|
||||
self.cancel_requests = {}
|
||||
@ -165,34 +162,44 @@ class BinanceRestApi(RestClient):
|
||||
else:
|
||||
request.params = dict()
|
||||
path = request.path
|
||||
|
||||
security = "NONE"
|
||||
|
||||
if request.data:
|
||||
security = request.data['security']
|
||||
|
||||
if security == "SIGNED":
|
||||
timestamp = int(time.time() * 1000)
|
||||
|
||||
if self.time_offset > 0:
|
||||
timestamp -= abs(self.time_offset)
|
||||
elif self.time_offset < 0:
|
||||
timestamp += abs(self.time_offset)
|
||||
|
||||
request.params['timestamp'] = timestamp
|
||||
request.params['recvWindow'] = self.recvWindow
|
||||
request.params['recv_window'] = self.recv_window
|
||||
|
||||
query = urllib.parse.urlencode(sorted(request.params.items()))
|
||||
signature = hmac.new(self.secret, query.encode('utf-8'), hashlib.sha256).hexdigest()
|
||||
signature = hmac.new(self.secret, query.encode(
|
||||
'utf-8'), hashlib.sha256).hexdigest()
|
||||
|
||||
query += "&signature={}".format(signature)
|
||||
path = request.path + "?" + query
|
||||
|
||||
request.path = path
|
||||
request.params = {}
|
||||
request.data = {}
|
||||
|
||||
# Add headers
|
||||
headers = {
|
||||
"Content-Type": "application/x-www-form-urlencoded",
|
||||
"Accept": "application/json",
|
||||
"X-MBX-APIKEY": self.key
|
||||
}
|
||||
|
||||
if security == "SIGNED" or security == "API-KEY":
|
||||
request.headers = headers
|
||||
|
||||
return request
|
||||
|
||||
def connect(
|
||||
@ -209,9 +216,7 @@ class BinanceRestApi(RestClient):
|
||||
self.key = key
|
||||
self.secret = secret.encode()
|
||||
self.proxy_port = proxy_port
|
||||
self.proxy_host = proxy_host
|
||||
|
||||
self.host, _ = _split_url(REST_HOST)
|
||||
self.proxy_host = proxy_host
|
||||
|
||||
self.init(REST_HOST, proxy_host, proxy_port)
|
||||
self.start(session_number)
|
||||
@ -222,7 +227,7 @@ class BinanceRestApi(RestClient):
|
||||
self.query_account()
|
||||
self.query_order()
|
||||
self.query_contract()
|
||||
self.start_userStream()
|
||||
self.start_user_stream()
|
||||
|
||||
def query_time(self):
|
||||
""""""
|
||||
@ -230,6 +235,7 @@ class BinanceRestApi(RestClient):
|
||||
"security": "NONE"
|
||||
}
|
||||
path = '/api/v1/time'
|
||||
|
||||
return self.add_request(
|
||||
"GET",
|
||||
path,
|
||||
@ -331,7 +337,7 @@ class BinanceRestApi(RestClient):
|
||||
|
||||
print("撤单本地id：", req.orderid, "撤单远端id：", sys_orderid)
|
||||
|
||||
def start_userStream(self):
|
||||
def start_user_stream(self):
|
||||
""""""
|
||||
data = {
|
||||
"security": "API-KEY"
|
||||
@ -339,26 +345,26 @@ class BinanceRestApi(RestClient):
|
||||
self.add_request(
|
||||
method="POST",
|
||||
path='/api/v1/userDataStream',
|
||||
callback=self.on_start_userStream,
|
||||
callback=self.on_start_user_stream,
|
||||
data=data
|
||||
)
|
||||
|
||||
def keepalive_userStream(self):
|
||||
""""""
|
||||
self.keepaliveCount += 1
|
||||
if self.keepaliveCount < 1800:
|
||||
self.keep_alive_count += 1
|
||||
if self.keep_alive_count < 1800:
|
||||
return
|
||||
data = {
|
||||
"security": "SIGNED"
|
||||
}
|
||||
params = {
|
||||
'listenKey': self.userStreamKey
|
||||
'listenKey': self.user_stream_key
|
||||
}
|
||||
self.add_request(
|
||||
method='PUT',
|
||||
path='/api/v1/userDataStream',
|
||||
method='PUT',
|
||||
path='/api/v1/userDataStream',
|
||||
callback=self.on_keepalive_userStream,
|
||||
params=params,
|
||||
params=params,
|
||||
data=data
|
||||
)
|
||||
|
||||
@ -376,7 +382,7 @@ class BinanceRestApi(RestClient):
|
||||
callback=self.on_close_userStream,
|
||||
params=params,
|
||||
data=data
|
||||
)
|
||||
)
|
||||
|
||||
def on_query_time(self, data, request):
|
||||
""""""
|
||||
@ -473,7 +479,7 @@ class BinanceRestApi(RestClient):
|
||||
order.status = STATUS_BINANCE2VT.get(data["status"], None)
|
||||
sys_orderid = data["orderId"]
|
||||
self.order_manager.on_order(order)
|
||||
self.order_manager.update_orderid_map(order.orderid, sys_orderid)
|
||||
self.order_manager.update_orderid_map(order.orderid, sys_orderid)
|
||||
|
||||
def on_send_order_failed(self, status_code: str, request: Request):
|
||||
"""
|
||||
@ -514,22 +520,22 @@ class BinanceRestApi(RestClient):
|
||||
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
def on_start_userStream(self, data, request):
|
||||
self.userStreamKey = data['listenKey']
|
||||
self.keepaliveCount = 0
|
||||
url = WEBSOCKET_TRADE_HOST + self.userStreamKey
|
||||
def on_start_user_stream(self, data, request):
|
||||
self.user_stream_key = data['listenKey']
|
||||
self.keep_alive_count = 0
|
||||
url = WEBSOCKET_TRADE_HOST + self.user_stream_key
|
||||
self.trade_ws_api.connect(
|
||||
key=self.key,
|
||||
secret=self.secret,
|
||||
url=url,
|
||||
proxy_host=self.proxy_host,
|
||||
key=self.key,
|
||||
secret=self.secret,
|
||||
url=url,
|
||||
proxy_host=self.proxy_host,
|
||||
proxy_port=self.proxy_port)
|
||||
|
||||
def on_keepalive_userStream(self, data, request):
|
||||
self.gateway.write_log("交易推送刷新成功")
|
||||
if self.keepaliveCount >= 1800:
|
||||
self.keepaliveCount = 0
|
||||
self.keepalive_userStream(self.userStreamKey)
|
||||
if self.keep_alive_count >= 1800:
|
||||
self.keep_alive_count = 0
|
||||
self.keepalive_userStream(self.user_stream_key)
|
||||
|
||||
def on_close_userStream(self, listenKey):
|
||||
self.gateway.write_log("交易推送关闭")
|
||||
@ -562,11 +568,11 @@ class BinanceWebsocketApiBase(WebsocketClient):
|
||||
self.path = ""
|
||||
|
||||
def connect(
|
||||
self,
|
||||
key: str,
|
||||
secret: str,
|
||||
url: str,
|
||||
proxy_host: str,
|
||||
self,
|
||||
key: str,
|
||||
secret: str,
|
||||
url: str,
|
||||
proxy_host: str,
|
||||
proxy_port: int
|
||||
):
|
||||
""""""
|
||||
@ -583,7 +589,7 @@ class BinanceWebsocketApiBase(WebsocketClient):
|
||||
def login(self):
|
||||
""""""
|
||||
params = {"op": "auth"}
|
||||
# params.update(create_signature(self.key, "GET", self.sign_host, self.path, self.secret))
|
||||
# params.update(create_signature(self.key, "GET", self.sign_host, self.path, self.secret))
|
||||
return self.send_packet(params)
|
||||
|
||||
def on_login(self, packet):
|
||||
@ -620,11 +626,11 @@ class BinanceWebsocketApiBase(WebsocketClient):
|
||||
else:
|
||||
self.on_data(packet)
|
||||
|
||||
def on_data(self, packet):
|
||||
def on_data(self, packet):
|
||||
""""""
|
||||
print("data : {}".format(packet))
|
||||
|
||||
def on_error_msg(self, packet):
|
||||
def on_error_msg(self, packet):
|
||||
""""""
|
||||
msg = packet["err-msg"]
|
||||
if msg == "invalid pong":
|
||||
@ -635,6 +641,7 @@ class BinanceWebsocketApiBase(WebsocketClient):
|
||||
|
||||
class BinanceTradeWebsocketApi(BinanceWebsocketApiBase):
|
||||
""""""
|
||||
|
||||
def __init__(self, gateway):
|
||||
""""""
|
||||
super().__init__(gateway)
|
||||
@ -686,7 +693,7 @@ class BinanceTradeWebsocketApi(BinanceWebsocketApiBase):
|
||||
# gateway_name=self.gateway_name
|
||||
# )
|
||||
# self.on_order(order)
|
||||
|
||||
|
||||
# push account data change
|
||||
if packet["e"] == "outboundAccountInfo":
|
||||
for account_data in packet["B"]:
|
||||
@ -712,11 +719,11 @@ class BinanceTradeWebsocketApi(BinanceWebsocketApiBase):
|
||||
|
||||
order.traded += traded_volume
|
||||
order.status = STATUS_BINANCE2VT.get(data["X"], None)
|
||||
order.price = float(data["L"])
|
||||
order.time = data["O"]
|
||||
order.symbol = data["s"]
|
||||
order.price = float(data["L"])
|
||||
order.time = data["O"]
|
||||
order.symbol = data["s"]
|
||||
|
||||
print("远端ID：", sys_orderid, "本地ID：", order)
|
||||
print("远端ID：", sys_orderid, "本地ID：", order)
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
# Push trade event
|
||||
@ -733,7 +740,7 @@ class BinanceTradeWebsocketApi(BinanceWebsocketApiBase):
|
||||
volume=float(order.traded),
|
||||
time=datetime.now().strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def on_account(self, data: dict):
|
||||
@ -773,13 +780,13 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
|
||||
datetime=datetime.now(),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.ticks[symbol] = tick
|
||||
self.ticks[symbol] = tick
|
||||
|
||||
# Subscribe to market depth update
|
||||
self.req_id += 1
|
||||
req = {
|
||||
"sub": f"market.{symbol}.depth.step0",
|
||||
"id": str(self.req_id)
|
||||
"id": str(self.req_id)
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
@ -787,7 +794,7 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
|
||||
self.req_id += 1
|
||||
req = {
|
||||
"sub": f"market.{symbol}.detail",
|
||||
"id": str(self.req_id)
|
||||
"id": str(self.req_id)
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
@ -843,13 +850,3 @@ class BinanceDataWebsocketApi(BinanceWebsocketApiBase):
|
||||
|
||||
if tick.bid_price_1:
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
|
||||
def _split_url(url):
|
||||
"""
|
||||
将url拆分为host和path
|
||||
:return: host, path
|
||||
"""
|
||||
result = re.match("\w+://([^/]*)(.*)", url) # noqa
|
||||
if result:
|
||||
return result.group(1), result.group(2)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user