Merge branch 'dev' of https://github.com/vnpy/vnpy into dev
This commit is contained in:
vn.py
commit
9d124ed196
@ -51,7 +51,7 @@ class RestfulClientTest(unittest.TestCase):
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def callback(data, req):
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self.c.p.set_result(data['args'])
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self.c.addReq('GET', '/get', callback, params=args)
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self.c.addRequest('GET', '/get', callback, params=args)
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res = self.c.p.get(3)
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self.assertEqual(args, res)
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@ -63,7 +63,7 @@ class RestfulClientTest(unittest.TestCase):
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def callback(data, req):
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self.c.p.set_result(data['json'])
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self.c.addReq('POST', '/post', callback, data=body)
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self.c.addRequest('POST', '/post', callback, data=body)
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res = self.c.p.get(3)
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self.assertEqual(body, res)
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@ -72,7 +72,7 @@ class RestfulClientTest(unittest.TestCase):
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def callback(data, req):
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pass
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self.c.addReq('POST', '/status/401', callback)
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self.c.addRequest('POST', '/status/401', callback)
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with self.assertRaises(FailedError):
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self.c.p.get(3)
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@ -80,7 +80,7 @@ class RestfulClientTest(unittest.TestCase):
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def callback(data, req):
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pass
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self.c.addReq('GET', '/image/svg', callback)
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self.c.addRequest('GET', '/image/svg', callback)
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with self.assertRaises(JSONDecodeError):
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self.c.p.get(3)
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@ -2,10 +2,10 @@
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import unittest
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from Promise import Promise
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from vnpy.api.websocket import WebsocketClient
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from vnpy.api.websocket import WebSocketClient
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class TestWebsocketClient(WebsocketClient):
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class TestWebsocketClient(WebSocketClient):
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def __init__(self):
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host = 'wss://echo.websocket.org'
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@ -13,11 +13,11 @@ class TestWebsocketClient(WebsocketClient):
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self.init(host)
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self.p = Promise()
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def onMessage(self, packet):
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def onPacket(self, packet):
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self.p.set_result(packet)
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pass
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def onConnect(self):
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def onConnected(self):
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pass
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def onError(self, exceptionType, exceptionValue, tb):
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@ -38,7 +38,7 @@ class WebsocketClientTest(unittest.TestCase):
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req = {
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'name': 'val'
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}
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self.c.sendReq(req)
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self.c.sendPacket(req)
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res = self.c.p.get(3)
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self.assertEqual(res, req)
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@ -75,6 +75,7 @@ class OkexFutureUserInfo(object):
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#----------------------------------------------------------------------
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def __init__(self):
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self.easySymbol = None # 'etc', 'btc', 'eth', etc.
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self.accountRights = None
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self.keepDeposit = None
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self.profitReal = None
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@ -142,7 +143,7 @@ class OkexFutureRestClient(OkexFutureRestBase):
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def sendOrder(self, symbol, contractType, orderType, volume,
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onSuccess, onFailed=None,
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price=None, useMarketPrice=False, leverRate=None,
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extra=None): # type:(str, OkexFutureContractType, OkexFutureOrderType, float, Callable[[int, Any], Any], Callable[[int, Any], Any], float, bool, Union[int, None], Any)->Request
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extra=None): # type:(str, OkexFutureContractType, OkexFutureOrderType, float, Callable[[str, Any], Any], Callable[[int, Any], Any], float, bool, Union[int, None], Any)->Request
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"""
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:param symbol: str
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:param contractType: OkexFutureContractType
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@ -171,7 +172,7 @@ class OkexFutureRestClient(OkexFutureRestBase):
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if leverRate:
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data['lever_rate'] = leverRate # 杠杆倍数
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request = self.addReq('POST',
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request = self.addRequest('POST',
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'/future_trade.do',
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callback=self.onOrderSent,
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data=data,
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@ -195,7 +196,7 @@ class OkexFutureRestClient(OkexFutureRestBase):
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'contractType': contractType,
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'order_id': orderId
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}
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return self.addReq('POST',
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return self.addRequest('POST',
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'/future_cancel.do',
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callback=self.onOrderCanceled,
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data=data,
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@ -203,12 +204,14 @@ class OkexFutureRestClient(OkexFutureRestBase):
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#----------------------------------------------------------------------
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def queryOrder(self, symbol, contractType, orderId, onSuccess, onFailed=None,
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extra=None): # type: (str, OkexFutureContractType, str, Callable[[OkexFutureOrder, Any], Any], Callable[[int, Any], Any], Any)->Request
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extra=None): # type: (str, OkexFutureContractType, str, Callable[[List[OkexFutureOrder], Any], Any], Callable[[int, Any], Any], Any)->Request
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"""
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@note onSuccess接收的第一个参数是列表，并且有可能为空
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:param symbol: str
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:param contractType: OkexFutureContractType
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:param orderId: str
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:param onSuccess: (OkexFutureOrder, extra:Any)->Any
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:param onSuccess: (orders: List[OkexFutureOrder], extra:Any)->Any
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:param onFailed: (extra: Any)->Any
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:param extra: Any
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:return: Request
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@ -218,7 +221,7 @@ class OkexFutureRestClient(OkexFutureRestBase):
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'contractType': contractType,
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'order_id': orderId
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}
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return self.addReq('POST',
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return self.addRequest('POST',
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'/future_order_info.do',
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callback=self.onOrder,
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data=data,
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@ -227,28 +230,30 @@ class OkexFutureRestClient(OkexFutureRestBase):
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#----------------------------------------------------------------------
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def queryOrders(self, symbol, contractType, status,
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onSuccess, onFailed=None,
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pageIndex=None, pageLength=50,
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extra=None): # type: (str, OkexFutureContractType, OkexFutureOrderStatus, Callable[[OkexFutureOrder, Any], Any], Callable[[int, Any], Any], int, int, Any)->Request
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pageIndex=0, pageLength=50,
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extra=None): # type: (str, OkexFutureContractType, OkexFutureOrderStatus, Callable[[List[OkexFutureOrder], Any], Any], Callable[[int, Any], Any], int, int, Any)->Request
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"""
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@note onSuccess接收的第一个参数是列表，并且有可能为空
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:param symbol: str
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:param contractType: OkexFutureContractType
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:param orderId: str
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:param onSuccess: (OkexFutureOrder, extra:Any)->Any
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:param onSuccess: (List[OkexFutureOrder], extra:Any)->Any
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:param onFailed: (extra: Any)->Any
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:param pageIndex: 页码
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:param pageLength: 最大显示数量（最大值50）
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:param extra: Any
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:return: Request
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"""
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data = {
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'symbol': symbol,
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'contractType': contractType,
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'contract_type': contractType,
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'status': status,
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'order_id': '-1',
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'pageLength': 50
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'order_id': -1,
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'current_page': pageIndex,
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'page_length': pageLength
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}
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if pageIndex:
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data['page_index'] = pageIndex
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return self.addReq('POST',
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return self.addRequest('POST',
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'/future_order_info.do',
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callback=self.onOrder,
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data=data,
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@ -264,7 +269,7 @@ class OkexFutureRestClient(OkexFutureRestBase):
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:param extra: Any
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:return: Request
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"""
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return self.addReq('POST',
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return self.addRequest('POST',
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'/future_userinfo.do',
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callback=self.onOrder,
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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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@ -273,11 +278,19 @@ class OkexFutureRestClient(OkexFutureRestBase):
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def queryPosition(self, symbol, contractType,
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onSuccess, onFailed=None,
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extra=None): # type: (str, OkexFutureContractType, Callable[[OkexFuturePosition, Any], Any], Callable[[int, Any], Any], Any)->Request
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"""
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:param symbol: OkexFutureSymbol
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:param contractType: OkexFutureContractType
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:param onSuccess: (pos:OkexFuturePosition, extra: any)->Any
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:param onFailed: (errorCode: int, extra: any)->Any
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:param extra:
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:return:
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"""
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data = {
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'symbol': symbol,
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'contractType': contractType
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}
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return self.addReq('POST',
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return self.addRequest('POST',
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'/future_position.do',
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data=data,
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callback=self.onPosition,
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@ -323,7 +336,8 @@ class OkexFutureRestClient(OkexFutureRestBase):
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success = data['result']
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extra = req.extra # type: _OkexFutureCustomExtra
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if success:
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order = data['orders'][0]
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orders = []
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for order in data['orders']:
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okexOrder = OkexFutureOrder()
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okexOrder.volume = order['amount']
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@ -339,8 +353,8 @@ class OkexFutureRestClient(OkexFutureRestBase):
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okexOrder.orderType = order['type']
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okexOrder.unitAmount = order['unit_amount']
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okexOrder.symbol = order['symbol']
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extra.onSuccess(okexOrder, extra.extra)
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orders.append(okexOrder)
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extra.onSuccess(orders, extra.extra)
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else:
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if extra.onFailed:
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code = 0
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@ -356,8 +370,9 @@ class OkexFutureRestClient(OkexFutureRestBase):
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if success:
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infos = data['info']
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uis = []
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for symbol, info in infos.items(): # type: str, dict
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for easySymbol, info in infos.items(): # type: str, dict
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ui = OkexFutureUserInfo()
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ui.easySymbol = easySymbol
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ui.accountRights = info['account_rights']
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ui.keepDeposit = info['keep_deposit']
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ui.profitReal = info['profit_real']
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@ -406,9 +421,9 @@ class OkexFutureRestClient(OkexFutureRestBase):
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code = data['error_code']
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extra.onFailed(code, extra.extra)
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#----------------------------------------------------------------------
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#---------------------------------------------------------------------
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@staticmethod
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def errorCode2String(code):
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def errorCodeToString(code):
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assert code in errorCodeMap
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return errorCodeMap[code]
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@ -2,13 +2,22 @@
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import hashlib
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import urllib
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from vnpy.api.rest import Request, RestClient
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########################################################################
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from vnpy.api.rest import RestClient, Request
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#----------------------------------------------------------------------
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def sign(dataWithApiKey, apiSecret):
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"""
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:param dataWithApiKey: sorted urlencoded args with apiKey
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:return: param 'sign' for okex api
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"""
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dataWithSecret = dataWithApiKey + "&secret_key=" + apiSecret
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return hashlib.md5(dataWithSecret.encode()).hexdigest().upper()
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########################################################################
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class OkexFutureRestBase(RestClient):
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host = 'https://www.okex.com/api/v1'
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#----------------------------------------------------------------------
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def __init__(self):
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@ -20,7 +29,7 @@ class OkexFutureRestBase(RestClient):
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# noinspection PyMethodOverriding
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def init(self, apiKey, apiSecret):
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||||
# type: (str, str) -> any
|
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super(OkexFutureRestBase, self).init('https://www.okex.com/api/v1')
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super(OkexFutureRestBase, self).init(self.host)
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self.apiKey = apiKey
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self.apiSecret = apiSecret
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@ -33,11 +42,9 @@ class OkexFutureRestBase(RestClient):
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if 'apiKey' not in args:
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args['api_key'] = self.apiKey
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data = urllib.urlencode(sorted(args.items()))
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data += "&secret_key=" + self.apiSecret
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|
||||
sign = hashlib.md5(data.encode()).hexdigest().upper()
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data += "&sign=" + sign
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signature = sign(data, self.apiSecret)
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data += "&sign=" + signature
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|
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req.headers = {'Content-Type': 'application/x-www-form-urlencoded'}
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req.data = data
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return req
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@ -139,7 +139,7 @@ class RestClient(object):
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self._queue.join()
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|
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#----------------------------------------------------------------------
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def addReq(self, method, path, callback,
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def addRequest(self, method, path, callback,
|
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params=None, data=None, headers = None,
|
||||
onFailed=None, skipDefaultOnFailed=True,
|
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extra=None): # type: (str, str, Callable[[dict, Request], Any], dict, dict, dict, Callable[[dict, Request], Any], bool, Any)->Request
|
||||
@ -171,7 +171,7 @@ class RestClient(object):
|
||||
try:
|
||||
req = self._queue.get(timeout=1)
|
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try:
|
||||
self._processReq(req, session)
|
||||
self._processRequest(req, session)
|
||||
finally:
|
||||
self._queue.task_done()
|
||||
except Empty:
|
||||
@ -215,8 +215,10 @@ class RestClient(object):
|
||||
sys.excepthook(exceptionType, exceptionValue, tb)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _processReq(self, req, session): # type: (Request, requests.Session)->None
|
||||
"""处理请求"""
|
||||
def _processRequest(self, req, session): # type: (Request, requests.Session)->None
|
||||
"""
|
||||
用于内部：将请求发送出去
|
||||
"""
|
||||
try:
|
||||
req = self.beforeRequest(req)
|
||||
|
||||
|
||||
@ -9,11 +9,27 @@ import time
|
||||
from abc import abstractmethod
|
||||
from threading import Thread, Lock
|
||||
|
||||
import vnpy.api.websocket
|
||||
import websocket
|
||||
|
||||
|
||||
class WebsocketClient(object):
|
||||
"""Websocket API"""
|
||||
class WebSocketClient(object):
|
||||
"""
|
||||
Websocket API
|
||||
|
||||
继承使用该类。
|
||||
实例化之后，应调用start开始后台线程。调用start()函数会自动连接websocket。
|
||||
若要终止后台线程，请调用stop()。 stop()函数会顺便断开websocket。
|
||||
|
||||
可以重写以下函数：
|
||||
onConnected
|
||||
onDisconnected
|
||||
onPacket
|
||||
onError
|
||||
|
||||
当然，为了不让用户随意自定义，用自己的init函数覆盖掉原本的init(host)也是个不错的选择。
|
||||
|
||||
@note 继承使用该类
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
@ -27,6 +43,15 @@ class WebsocketClient(object):
|
||||
self._pingThread = None # type: Thread
|
||||
self._active = False
|
||||
|
||||
self.createConnection = websocket.create_connection
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setCreateConnection(self, func):
|
||||
"""
|
||||
for internal usage
|
||||
"""
|
||||
self.createConnection = func
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def init(self, host):
|
||||
self.host = host
|
||||
@ -43,7 +68,7 @@ class WebsocketClient(object):
|
||||
self._pingThread = Thread(target=self._runPing)
|
||||
self._pingThread.start()
|
||||
|
||||
self.onConnect()
|
||||
self.onConnected()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
@ -55,18 +80,18 @@ class WebsocketClient(object):
|
||||
self._disconnect()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendReq(self, req): # type: (dict)->None
|
||||
"""发出请求"""
|
||||
return self._get_ws().send(json.dumps(req), opcode=vnpy.api.websocket.ABNF.OPCODE_TEXT)
|
||||
def sendPacket(self, dictObj): # type: (dict)->None
|
||||
"""发出请求:相当于sendText(json.dumps(dictObj))"""
|
||||
return self._get_ws().send(json.dumps(dictObj), opcode=websocket.ABNF.OPCODE_TEXT)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendText(self, text): # type: (str)->None
|
||||
"""发出请求"""
|
||||
return self._get_ws().send(text, opcode=vnpy.api.websocket.ABNF.OPCODE_TEXT)
|
||||
"""发送文本数据"""
|
||||
return self._get_ws().send(text, opcode=websocket.ABNF.OPCODE_TEXT)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendData(self, data): # type: (bytes)->None
|
||||
"""发出请求"""
|
||||
"""发送字节数据"""
|
||||
return self._get_ws().send_binary(data)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -78,8 +103,8 @@ class WebsocketClient(object):
|
||||
#----------------------------------------------------------------------
|
||||
def _connect(self):
|
||||
""""""
|
||||
self._ws = vnpy.api.websocket.create_connection(self.host, sslopt={'cert_reqs': ssl.CERT_NONE})
|
||||
self.onConnect()
|
||||
self._ws = self.createConnection(self.host, sslopt={'cert_reqs': ssl.CERT_NONE})
|
||||
self.onConnected()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _disconnect(self):
|
||||
@ -104,12 +129,13 @@ class WebsocketClient(object):
|
||||
try:
|
||||
stream = ws.recv()
|
||||
if not stream:
|
||||
self.onDisconnected()
|
||||
if self._active:
|
||||
self._reconnect()
|
||||
continue
|
||||
|
||||
data = json.loads(stream)
|
||||
self.onMessage(data)
|
||||
self.onPacket(data)
|
||||
except:
|
||||
et, ev, tb = sys.exc_info()
|
||||
self.onError(et, ev, tb)
|
||||
@ -125,17 +151,25 @@ class WebsocketClient(object):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _ping(self):
|
||||
return self._get_ws().send('ping', vnpy.api.websocket.ABNF.OPCODE_PING)
|
||||
return self._get_ws().send('ping', websocket.ABNF.OPCODE_PING)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def onConnect(self):
|
||||
"""连接回调"""
|
||||
def onConnected(self):
|
||||
"""
|
||||
连接成功回调
|
||||
"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onDisconnected(self):
|
||||
"""
|
||||
连接断开回调
|
||||
"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def onMessage(self, packet):
|
||||
def onPacket(self, packet):
|
||||
"""
|
||||
数据回调。
|
||||
只有在数据为json包的时候才会触发这个回调
|
||||
@ -145,7 +179,6 @@ class WebsocketClient(object):
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def onError(self, exceptionType, exceptionValue, tb):
|
||||
"""Python错误回调"""
|
||||
pass
|
||||
return sys.excepthook(exceptionType, exceptionValue, tb)
|
||||
|
||||
@ -1 +1 @@
|
||||
from .WebSocketClient import WebsocketClient
|
||||
from .WebSocketClient import WebSocketClient
|
||||
|
||||
@ -4,6 +4,7 @@ from __future__ import print_function
|
||||
|
||||
import json
|
||||
from abc import abstractmethod, abstractproperty
|
||||
from datetime import datetime
|
||||
|
||||
from typing import Dict
|
||||
|
||||
@ -11,32 +12,74 @@ from vnpy.api.okexfuture.OkexFutureApi import *
|
||||
from vnpy.trader.vtFunction import getJsonPath
|
||||
from vnpy.trader.vtGateway import *
|
||||
|
||||
orderTypeMap = {
|
||||
_orderTypeMap = {
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort,
|
||||
(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseLong,
|
||||
(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseShort,
|
||||
}
|
||||
orderTypeMapReverse = {v: k for k, v in orderTypeMap.items()}
|
||||
_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()}
|
||||
|
||||
contracts = (
|
||||
'btc_usd', 'ltc_usd', 'eth_usd', 'etc_usd', 'bch_usd',
|
||||
)
|
||||
|
||||
contractTypeMap = {
|
||||
_contractTypeMap = {
|
||||
'THISWEEK': OkexFutureContractType.ThisWeek,
|
||||
'NEXTWEEK': OkexFutureContractType.NextWeek,
|
||||
'QUARTER': OkexFutureContractType.Quarter,
|
||||
}
|
||||
_contractTypeMapReverse = {v: k for k, v in _contractTypeMap.items()}
|
||||
|
||||
_remoteSymbols = {
|
||||
OkexFutureSymbol.BTC,
|
||||
OkexFutureSymbol.LTC,
|
||||
OkexFutureSymbol.ETH,
|
||||
OkexFutureSymbol.ETC,
|
||||
OkexFutureSymbol.BCH,
|
||||
}
|
||||
|
||||
# symbols for ui,
|
||||
# keys:给用户看的symbols
|
||||
# keys:给用户看的symbols : f"{internalSymbol}_{contractType}"
|
||||
# values: API接口使用的symbol和contractType字段
|
||||
symbolsForUi = {} # type: dict[str, [str, str]]
|
||||
for s in contracts:
|
||||
for vtContractType, contractType_ in contractTypeMap.items():
|
||||
vtSymbol = s + '_' + vtContractType
|
||||
symbolsForUi[vtSymbol] = (s, contractType_)
|
||||
_symbolsForUi = {(remoteSymbol.upper() + '_' + upperContractType.upper()): (remoteSymbol, remoteContractType)
|
||||
for remoteSymbol in _remoteSymbols
|
||||
for upperContractType, remoteContractType in
|
||||
_contractTypeMap.items()} # type: Dict[str, List[str, str]]
|
||||
_symbolsForUiReverse = {v: k for k, v in _symbolsForUi.items()}
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localOrderTypeToRemote(direction, offset): # type: (str, str)->str
|
||||
return _orderTypeMap[(direction, offset)]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteOrderTypeToLocal(orderType): # type: (str)->(str, str)
|
||||
"""
|
||||
:param orderType:
|
||||
:return: direction, offset
|
||||
"""
|
||||
return _orderTypeMapReverse[orderType]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localContractTypeToRemote(localContractType):
|
||||
return _contractTypeMap[localContractType]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteContractTypeToLocal(remoteContractType):
|
||||
return _contractTypeMapReverse[remoteContractType]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def localSymbolToRemote(symbol): # type: (str)->(OkexFutureSymbol, OkexFutureContractType)
|
||||
"""
|
||||
:return: remoteSymbol, remoteContractType
|
||||
"""
|
||||
return _symbolsForUi[symbol]
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def remoteSymbolToLocal(remoteSymbol, localContractType):
|
||||
return remoteSymbol.upper() + localContractType
|
||||
|
||||
|
||||
########################################################################
|
||||
@ -55,11 +98,6 @@ class VnpyGateway(VtGateway):
|
||||
def gatewayName(self): # type: ()->str
|
||||
return 'VnpyGateway'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractproperty
|
||||
def exchange(self): # type: ()->str
|
||||
return constant.EXCHANGE_UNKNOWN
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def readConfig(self):
|
||||
"""
|
||||
@ -88,9 +126,13 @@ class VnpyGateway(VtGateway):
|
||||
"""
|
||||
pass
|
||||
|
||||
|
||||
########################################################################
|
||||
class _Order(object):
|
||||
_lastLocalId = 0
|
||||
def __init__(self):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __ini__(self):
|
||||
_Order._lastLocalId += 1
|
||||
self.localId = str(_Order._lastLocalId)
|
||||
self.remoteId = None
|
||||
@ -102,7 +144,7 @@ class OkexFutureGateway(VnpyGateway):
|
||||
"""OKEX期货交易接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, *args, **kwargs): # args, kwargs is needed for compatibility
|
||||
def __init__(self, eventEngine, *_, **__): # args, kwargs is needed for compatibility
|
||||
"""Constructor"""
|
||||
super(OkexFutureGateway, self).__init__(eventEngine)
|
||||
self.apiKey = None # type: str
|
||||
@ -111,14 +153,17 @@ class OkexFutureGateway(VnpyGateway):
|
||||
self.leverRate = 1
|
||||
self.symbols = []
|
||||
|
||||
self.tradeID = 0
|
||||
self._orders = {} # type: Dict[str, _Order]
|
||||
self._remoteIds = {} # type: Dict[str, _Order]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def gatewayName(self):
|
||||
return 'OkexFutureGateway'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractproperty
|
||||
@property
|
||||
def exchange(self): # type: ()->str
|
||||
return constant.EXCHANGE_OKEXFUTURE
|
||||
|
||||
@ -153,48 +198,57 @@ class OkexFutureGateway(VnpyGateway):
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def _contractTypeFromSymbol(symbol):
|
||||
return symbolsForUi[symbol]
|
||||
def _getOrderByLocalId(self, localId):
|
||||
return self._orders[localId]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _getOrder(self, localId):
|
||||
return self._orders[localId]
|
||||
def _getOrderByRemoteId(self, remoteId):
|
||||
return self._remoteIds[remoteId]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _saveRemoteId(self, remoteId, myorder):
|
||||
myorder.remoteId = remoteId
|
||||
self._remoteIds[remoteId] = myorder
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _genereteLocalOrder(self, symbol, price, volume, direction, offset):
|
||||
myorder = _Order()
|
||||
localId = myorder.localId
|
||||
self._orders[localId] = myorder
|
||||
myorder.vtOrder = VtOrderData.createFromGateway(self,
|
||||
self.exchange,
|
||||
localId,
|
||||
symbol,
|
||||
price,
|
||||
volume,
|
||||
direction,
|
||||
offset)
|
||||
return myorder
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, vtRequest): # type: (VtOrderReq)->str
|
||||
"""发单"""
|
||||
myorder = _Order()
|
||||
localId = myorder.localId
|
||||
myorder = self._genereteLocalOrder(vtRequest.symbol,
|
||||
vtRequest.price,
|
||||
vtRequest.volume,
|
||||
vtRequest.direction,
|
||||
vtRequest.offset)
|
||||
|
||||
vtOrder = VtOrderData()
|
||||
vtOrder.orderID = localId
|
||||
vtOrder.vtOrderID = ".".join([self.gatewayName, localId])
|
||||
vtOrder.exchange = self.exchange
|
||||
|
||||
vtOrder.symbol = vtRequest.symbol
|
||||
vtOrder.vtSymbol = '.'.join([vtOrder.symbol, vtOrder.exchange])
|
||||
vtOrder.price = vtRequest.price
|
||||
vtOrder.totalVolume = vtRequest.volume
|
||||
vtOrder.direction = vtRequest.direction
|
||||
|
||||
myorder.vtOrder = vtOrder
|
||||
|
||||
symbol, contractType = self._contractTypeFromSymbol(vtRequest.symbol)
|
||||
orderType = orderTypeMap[(vtRequest.priceType, vtRequest.offset)] # 开多、开空、平多、平空
|
||||
remoteSymbol, remoteContractType = localSymbolToRemote(vtRequest.symbol)
|
||||
orderType = _orderTypeMap[(vtRequest.priceType, vtRequest.offset)] # 开多、开空、平多、平空
|
||||
userMarketPrice = False
|
||||
|
||||
if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE:
|
||||
userMarketPrice = True
|
||||
|
||||
self.api.sendOrder(symbol=symbol,
|
||||
contractType=contractType,
|
||||
self.api.sendOrder(symbol=remoteSymbol,
|
||||
contractType=remoteContractType,
|
||||
orderType=orderType,
|
||||
volume=vtRequest.volume,
|
||||
price=vtRequest.price,
|
||||
useMarketPrice=userMarketPrice,
|
||||
leverRate=self.leverRate,
|
||||
onSuccess=self.onOrderSent,
|
||||
onSuccess=self._onOrderSent,
|
||||
extra=None,
|
||||
)
|
||||
|
||||
@ -203,44 +257,160 @@ class OkexFutureGateway(VnpyGateway):
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, vtCancel): # type: (VtCancelOrderReq)->None
|
||||
"""撤单"""
|
||||
myorder = self._getOrder(vtCancel.orderID)
|
||||
symbol, contractType = self._contractTypeFromSymbol(vtCancel.symbol)
|
||||
myorder = self._getOrderByLocalId(vtCancel.orderID)
|
||||
symbol, contractType = localSymbolToRemote(vtCancel.symbol)
|
||||
self.api.cancelOrder(symbol=symbol,
|
||||
contractType=contractType,
|
||||
orderId=myorder.remoteId,
|
||||
onSuccess=self.onOrderCanceled,
|
||||
onSuccess=self._onOrderCanceled,
|
||||
extra=myorder,
|
||||
)
|
||||
# cancelDict: 不存在的，没有localId就没有remoteId，没有remoteId何来cancel
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def queryOrder(self):
|
||||
def queryOrders(self, symbol, contractType,
|
||||
status): # type: (str, str, OkexFutureOrderStatus)->None
|
||||
"""
|
||||
:param symbol:
|
||||
:param contractType: 这个参数可以传'THISWEEK', 'NEXTWEEK', 'QUARTER'，也可以传OkexFutureContractType
|
||||
:param status: OkexFutureOrderStatus
|
||||
:return:
|
||||
"""
|
||||
|
||||
if contractType in _contractTypeMap:
|
||||
localContractType = contractType
|
||||
remoteContractType = localContractTypeToRemote(localContractType)
|
||||
else:
|
||||
remoteContractType = contractType
|
||||
localContractType = remoteContractTypeToLocal(remoteContractType)
|
||||
|
||||
self.api.queryOrders(symbol=symbol,
|
||||
contractType=remoteContractType,
|
||||
status=status,
|
||||
onSuccess=self._onQueryOrders,
|
||||
extra=localContractType)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryAccount(self):
|
||||
self.api.queryUserInfo(onSuccess=self._onQueryAccount)
|
||||
"""查询账户资金"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryPosition(self):
|
||||
"""查询持仓"""
|
||||
self.api.spotUserInfo()
|
||||
for remoteSymbol in _remoteSymbols:
|
||||
for localContractType, remoteContractType in _contractTypeMap.items():
|
||||
self.api.queryPosition(remoteSymbol,
|
||||
remoteContractType,
|
||||
onSuccess=self._onQueryPosition,
|
||||
extra=localContractType
|
||||
)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.api.close()
|
||||
self.api.stop()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrderSent(self, remoteId, myorder): #type: (int, _Order)->None
|
||||
def _onOrderSent(self, remoteId, myorder): #type: (str, _Order)->None
|
||||
myorder.remoteId = remoteId
|
||||
myorder.vtOrder.status = constant.STATUS_NOTTRADED
|
||||
self._saveRemoteId(remoteId, myorder)
|
||||
self.onOrder(myorder.vtOrder)
|
||||
|
||||
# #----------------------------------------------------------------------
|
||||
# def _pushOrderAsTraded(self, order):
|
||||
# trade = VtTradeData()
|
||||
# trade.gatewayName = order.gatewayName
|
||||
# trade.symbol = order.symbol
|
||||
# trade.vtSymbol = order.vtSymbol
|
||||
# trade.orderID = order.orderID
|
||||
# trade.vtOrderID = order.vtOrderID
|
||||
# self.tradeID += 1
|
||||
# trade.tradeID = str(self.tradeID)
|
||||
# trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||||
# trade.direction = order.direction
|
||||
# trade.price = order.price
|
||||
# trade.volume = order.tradedVolume
|
||||
# trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||||
# self.onTrade(trade)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def onOrderCanceled(myorder): #type: (_Order)->None
|
||||
def _onOrderCanceled(myorder): #type: (_Order)->None
|
||||
myorder.vtOrder.status = constant.STATUS_CANCELLED
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onQueryOrders(self, orders, extra): # type: (List[OkexFutureOrder], Any)->None
|
||||
localContractType = extra
|
||||
for order in orders:
|
||||
remoteId = order.remoteId
|
||||
|
||||
if remoteId in self._remoteIds:
|
||||
# 如果订单已经缓存在本地，则尝试更新订单状态
|
||||
myorder = self._getOrderByRemoteId(remoteId)
|
||||
|
||||
# 有新交易才推送更新
|
||||
if order.tradedVolume != myorder.vtOrder.tradedVolume:
|
||||
myorder.vtOrder.tradedVolume = order.tradedVolume
|
||||
myorder.vtOrder.status = constant.STATUS_PARTTRADED
|
||||
self.onOrder(myorder.vtOrder)
|
||||
else:
|
||||
# 本地无此订单的缓存（例如，用其他工具的下单）
|
||||
# 缓存该订单，并推送
|
||||
symbol = remoteSymbolToLocal(order.symbol, localContractType)
|
||||
direction, offset = remoteOrderTypeToLocal(order.orderType)
|
||||
myorder = self._genereteLocalOrder(symbol, order.price, order.volume, direction, offset)
|
||||
myorder.vtOrder.tradedVolume = order.tradedVolume
|
||||
myorder.remoteId = order.remoteId
|
||||
self._saveRemoteId(myorder.remoteId, myorder)
|
||||
self.onOrder(myorder.vtOrder)
|
||||
|
||||
# # 如果该订单已经交易完成，推送交易完成消息
|
||||
# # todo: 这样写会导致同一个订单产生多次交易完成消息
|
||||
# if order.status == OkexFutureOrderStatus.Finished:
|
||||
# myorder.vtOrder.status = constant.STATUS_ALLTRADED
|
||||
# self._pushOrderAsTraded(myorder.vtOrder)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onQueryAccount(self, infos, _): # type: (List[OkexFutureUserInfo], Any)->None
|
||||
for info in infos:
|
||||
vtAccount = VtAccountData()
|
||||
vtAccount.accountID = info.easySymbol
|
||||
vtAccount.vtAccountID = self.gatewayName + '.' + vtAccount.accountID
|
||||
vtAccount.balance = info.accountRights
|
||||
vtAccount.margin = info.keepDeposit
|
||||
vtAccount.closeProfit = info.profitReal
|
||||
vtAccount.positionProfit = info.profitUnreal
|
||||
self.onAccount(vtAccount)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _onQueryPosition(self, posinfo, extra): # type: (OkexFuturePosition, Any)->None
|
||||
localContractType = extra
|
||||
for info in posinfo.holding:
|
||||
# 先生成多头持仓
|
||||
pos = VtPositionData()
|
||||
pos.gatewayName = self.gatewayName
|
||||
pos.symbol = remoteSymbolToLocal(pos.symbol, localContractType)
|
||||
pos.exchange = self.exchange
|
||||
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
|
||||
|
||||
pos.direction = constant.DIRECTION_NET
|
||||
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
|
||||
pos.position = float(info.buyAmount)
|
||||
|
||||
self.onPosition(pos)
|
||||
|
||||
# 再生存空头持仓
|
||||
pos = VtPositionData()
|
||||
pos.gatewayName = self.gatewayName
|
||||
pos.symbol = remoteSymbolToLocal(pos.symbol, localContractType)
|
||||
pos.exchange = self.exchange
|
||||
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
|
||||
|
||||
pos.direction = constant.DIRECTION_SHORT
|
||||
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
|
||||
pos.position = float(info.sellAmount)
|
||||
|
||||
self.onPosition(pos)
|
||||
|
||||
@ -1,10 +1,11 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
import time
|
||||
from datetime import datetime
|
||||
from logging import INFO
|
||||
|
||||
from vnpy.trader.vtConstant import (EMPTY_STRING, EMPTY_UNICODE,
|
||||
EMPTY_FLOAT, EMPTY_INT)
|
||||
from vnpy.trader.language import constant
|
||||
from vnpy.trader.vtConstant import (EMPTY_FLOAT, EMPTY_INT, EMPTY_STRING, EMPTY_UNICODE)
|
||||
|
||||
|
||||
########################################################################
|
||||
@ -105,7 +106,10 @@ class VtBarData(VtBaseData):
|
||||
|
||||
########################################################################
|
||||
class VtTradeData(VtBaseData):
|
||||
"""成交数据类"""
|
||||
"""
|
||||
成交数据类
|
||||
一般来说，一个VtOrderData可能对应多个VtTradeData：一个订单可能多次部分成交
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
@ -117,7 +121,7 @@ class VtTradeData(VtBaseData):
|
||||
self.exchange = EMPTY_STRING # 交易所代码
|
||||
self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
|
||||
|
||||
self.tradeID = EMPTY_STRING # 成交编号
|
||||
self.tradeID = EMPTY_STRING # 成交编号 gateway内部自己生成的编号
|
||||
self.vtTradeID = EMPTY_STRING # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
|
||||
|
||||
self.orderID = EMPTY_STRING # 订单编号
|
||||
@ -130,6 +134,26 @@ class VtTradeData(VtBaseData):
|
||||
self.volume = EMPTY_INT # 成交数量
|
||||
self.tradeTime = EMPTY_STRING # 成交时间
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def createFromOrderData(order,
|
||||
tradeID,
|
||||
tradePrice,
|
||||
tradeVolume): # type: (VtOrderData, str, float, float)->VtTradeData
|
||||
trade = VtTradeData()
|
||||
trade.gatewayName = order.gatewayName
|
||||
trade.symbol = order.symbol
|
||||
trade.vtSymbol = order.vtSymbol
|
||||
trade.orderID = order.orderID
|
||||
trade.vtOrderID = order.vtOrderID
|
||||
trade.tradeID = tradeID
|
||||
trade.vtTradeID = trade.gatewayName + '.' + tradeID
|
||||
trade.direction = order.direction
|
||||
trade.price = tradePrice
|
||||
trade.volume = tradeVolume
|
||||
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||||
return trade
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtOrderData(VtBaseData):
|
||||
@ -143,10 +167,10 @@ class VtOrderData(VtBaseData):
|
||||
# 代码编号相关
|
||||
self.symbol = EMPTY_STRING # 合约代码
|
||||
self.exchange = EMPTY_STRING # 交易所代码
|
||||
self.vtSymbol = EMPTY_STRING # 统一格式：f"{symbol}.{exchange}"
|
||||
self.vtSymbol = EMPTY_STRING # 索引，统一格式：f"{symbol}.{exchange}"
|
||||
|
||||
self.orderID = EMPTY_STRING # 订单编号 gateway内部自己生成的编号
|
||||
self.vtOrderID = EMPTY_STRING # 统一格式：f"{gatewayName}.{orderId}"
|
||||
self.vtOrderID = EMPTY_STRING # 索引，统一格式：f"{gatewayName}.{orderId}"
|
||||
|
||||
# 报单相关
|
||||
self.direction = EMPTY_UNICODE # 报单方向
|
||||
@ -163,6 +187,33 @@ class VtOrderData(VtBaseData):
|
||||
self.frontID = EMPTY_INT # 前置机编号
|
||||
self.sessionID = EMPTY_INT # 连接编号
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def createFromGateway(gateway, orderId, symbol, exchange, price, volume, direction,
|
||||
offset=EMPTY_UNICODE,
|
||||
tradedVolume=EMPTY_INT,
|
||||
status=constant.STATUS_UNKNOWN,
|
||||
orderTime=EMPTY_UNICODE,
|
||||
cancelTime=EMPTY_UNICODE,
|
||||
): # type: (VtGateway, str, str, str, float, float, str, str, int, str, str, str)->VtOrderData
|
||||
vtOrder = VtOrderData()
|
||||
vtOrder.gatewayName = gateway.gatewayName
|
||||
vtOrder.symbol = symbol
|
||||
vtOrder.exchange = exchange
|
||||
vtOrder.vtSymbol = symbol + '.' + exchange
|
||||
vtOrder.orderID = orderId
|
||||
vtOrder.vtOrderID = gateway.gatewayName + '.' + orderId
|
||||
|
||||
vtOrder.direction = direction
|
||||
vtOrder.offset = offset
|
||||
vtOrder.price = price
|
||||
vtOrder.totalVolume = volume
|
||||
vtOrder.tradedVolume = tradedVolume
|
||||
vtOrder.status = status
|
||||
vtOrder.orderTime = orderTime
|
||||
vtOrder.cancelTime = cancelTime
|
||||
return vtOrder
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtPositionData(VtBaseData):
|
||||
@ -187,6 +238,29 @@ class VtPositionData(VtBaseData):
|
||||
self.ydPosition = EMPTY_INT # 昨持仓
|
||||
self.positionProfit = EMPTY_FLOAT # 持仓盈亏
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def createFromGateway(gateway, exchange, symbol, direction, position,
|
||||
frozen=EMPTY_INT,
|
||||
price=EMPTY_FLOAT,
|
||||
yestordayPosition=EMPTY_INT,
|
||||
profit=EMPTY_FLOAT
|
||||
): # type: (VtGateway, str, str, str, float, int, float, int, float)->VtPositionData
|
||||
vtPosition = VtPositionData()
|
||||
vtPosition.gatewayName = gateway.gatewayName
|
||||
vtPosition.symbol = symbol
|
||||
vtPosition.exchange = exchange
|
||||
vtPosition.vtSymbol = symbol + '.' + exchange
|
||||
|
||||
vtPosition.direction = direction
|
||||
vtPosition.position = position
|
||||
vtPosition.frozen = frozen
|
||||
vtPosition.price = price
|
||||
vtPosition.vtPositionName = vtPosition.vtSymbol + '.' + direction
|
||||
vtPosition.ydPosition = yestordayPosition
|
||||
vtPosition.positionProfit = profit
|
||||
return vtPosition
|
||||
|
||||
|
||||
########################################################################
|
||||
class VtAccountData(VtBaseData):
|
||||
|
||||
Loading…
Reference in New Issue
Block a user