senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #1488 from nanoric/bitmex_optimize

Browse Source 
Bitmex optimize
This commit is contained in:
vn.py 2019-03-17 10:59:00 +08:00 committed by GitHub
commit 9603866f13
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 17 additions and 9 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

26
vnpy/gateway/bitmex/bitmex_gateway.py
View File

@ -8,6 +8,7 @@ import sys
import time import time
from copy import copy from copy import copy
from datetime import datetime from datetime import datetime
from threading import Lock
from urllib.parse import urlencode from urllib.parse import urlencode
from requests import ConnectionError from requests import ConnectionError
@ -62,7 +63,7 @@ class BitmexGateway(BaseGateway):
default_setting = { default_setting = {
"key": "", "key": "",
"secret": "", "secret": "",
"session": 3, "session_number": 3,
"server": ["REAL", "TESTNET"], "server": ["REAL", "TESTNET"],
"proxy_host": "127.0.0.1", "proxy_host": "127.0.0.1",
"proxy_port": 1080, "proxy_port": 1080,
@ -79,15 +80,16 @@ class BitmexGateway(BaseGateway):
"""""" """"""
key = setting["key"] key = setting["key"]
secret = setting["secret"] secret = setting["secret"]
session = setting["session"] session_number = setting["session_number"]
server = setting["server"] server = setting["server"]
proxy_host = setting["proxy_host"] proxy_host = setting["proxy_host"]
proxy_port = setting["proxy_port"] proxy_port = setting["proxy_port"]
self.rest_api.connect(key, secret, session, self.rest_api.connect(key, secret, session_number,
server, proxy_host, proxy_port) server, proxy_host, proxy_port)
self.ws_api.connect(key, secret, server, proxy_host, proxy_port) self.ws_api.connect(key, secret, server, proxy_host, proxy_port)
# websocket will push all account status on connected, including asset, position and orders.
def subscribe(self, req: SubscribeRequest): def subscribe(self, req: SubscribeRequest):
"""""" """"""
@ -131,6 +133,8 @@ class BitmexRestApi(RestClient):
self.secret = "" self.secret = ""
self.order_count = 1_000_000 self.order_count = 1_000_000
self.order_count_lock = Lock()
self.connect_time = 0 self.connect_time = 0
def sign(self, request): def sign(self, request):
@ -172,7 +176,7 @@ class BitmexRestApi(RestClient):
self, self,
key: str, key: str,
secret: str, secret: str,
session: int, session_number: int,
server: str, server: str,
proxy_host: str, proxy_host: str,
proxy_port: int, proxy_port: int,
@ -192,14 +196,18 @@ class BitmexRestApi(RestClient):
else: else:
self.init(TESTNET_REST_HOST, proxy_host, proxy_port) self.init(TESTNET_REST_HOST, proxy_host, proxy_port)
self.start(session) self.start(session_number)
self.gateway.write_log("REST API启动成功") self.gateway.write_log("REST API启动成功")
def _new_order_id(self):
with self.order_count_lock:
self.order_count += 1
return self.order_count
def send_order(self, req: OrderRequest): def send_order(self, req: OrderRequest):
"""""" """"""
self.order_count += 1 orderid = str(self.connect_time + self._new_order_id())
orderid = str(self.connect_time + self.order_count)
data = { data = {
"symbol": req.symbol, "symbol": req.symbol,
@ -272,7 +280,7 @@ class BitmexRestApi(RestClient):
self.on_error(exception_type, exception_value, tb, request) self.on_error(exception_type, exception_value, tb, request)
def on_send_order(self, data, request): def on_send_order(self, data, request):
"""""" """Websocket will push a new order status"""
pass pass
def on_cancel_order_error( def on_cancel_order_error(
@ -286,7 +294,7 @@ class BitmexRestApi(RestClient):
self.on_error(exception_type, exception_value, tb, request) self.on_error(exception_type, exception_value, tb, request)
def on_cancel_order(self, data, request): def on_cancel_order(self, data, request):
"""""" """Websocket will push a new order status"""
pass pass
def on_failed(self, status_code: int, request: Request): def on_failed(self, status_code: int, request: Request):