Merge pull request #1159 from nanoric/refactor.network
Refactor.network
This commit is contained in:
vn.py
GitHub
commit
9d834b040e
59
tests/Promise.py
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59
tests/Promise.py
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@ -0,0 +1,59 @@
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# encoding: UTF-8
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from Queue import Queue
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from enum import Enum
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class PromiseResultType(Enum):
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Result = 1
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Exception = 2
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Traceback = 3
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class Promise(object):
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"""
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用队列实现的一个简单的Promise类型
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"""
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def __init__(self):
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self._queue = Queue()
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def set_result(self, val):
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self._queue.put((PromiseResultType.Result, val))
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def get(self, timeout=None):
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res = self._queue.get(timeout=timeout)
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if res[0] == PromiseResultType.Result:
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return res[1]
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elif res[0] == PromiseResultType.Exception:
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raise res[1]
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else:
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et, ev, tb = res[1]
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raise et, ev, tb
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def set_exception(self, valueOrType, val=None, tb=None):
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if val is None:
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self._queue.put((PromiseResultType.Exception, valueOrType))
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else:
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self._queue.put((PromiseResultType.Traceback, (valueOrType, val, tb)))
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def catch(self):
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"""
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Usage :
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with promise.catch():
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raise Exception();
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"""
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return _PromiseCatchContext(self)
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class _PromiseCatchContext(object):
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def __init__(self, promise):
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self.promise = promise
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def __enter__(self):
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return self
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def __exit__(self, exc_type, exc_val, exc_tb):
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self.promise.set_exception(exc_type, exc_val, exc_tb)
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0
tests/__init__.py
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0
tests/__init__.py
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8
tests/all_test.py
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8
tests/all_test.py
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import unittest
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# noinspection PyUnresolvedReferences
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from tests.network.RestfulClientTest import *
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from tests.network.WebSocketClientTest import *
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if __name__ == "__main__":
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unittest.main()
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86
tests/network/RestfulClientTest.py
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86
tests/network/RestfulClientTest.py
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# encoding: UTF-8
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import json
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import unittest
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from simplejson import JSONDecodeError
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from Promise import Promise
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from vnpy.network.RestClient import RestClient, Request
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class FailedError(RuntimeError):
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pass
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class TestRestClient(RestClient):
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def __init__(self):
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urlBase = 'https://httpbin.org'
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super(TestRestClient, self).__init__()
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self.init(urlBase)
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self.p = Promise()
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def beforeRequest(self, req): #type: (Request)->Request
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req.data = json.dumps(req.data)
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req.headers = {'Content-Type': 'application/json'}
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return req
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def onError(self, exceptionType, exceptionValue, tb, req):
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self.p.set_exception(exceptionType, exceptionValue, tb)
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def onFailed(self, httpStatusCode, req):
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with self.p.catch():
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raise FailedError("request failed")
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class RestfulClientTest(unittest.TestCase):
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def setUp(self):
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self.c = TestRestClient()
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self.c.start()
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def tearDown(self):
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self.c.stop()
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def test_addReq_get(self):
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args = {'user': 'username',
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'pw': 'password'}
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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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res = self.c.p.get(3)
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self.assertEqual(args, res)
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def test_addReq_post(self):
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body = {'user': 'username',
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'pw': 'password'}
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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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res = self.c.p.get(3)
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self.assertEqual(body, res)
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def test_addReq_onFailed(self):
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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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with self.assertRaises(FailedError):
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self.c.p.get(3)
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def test_addReq_jsonParseError(self):
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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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with self.assertRaises(JSONDecodeError):
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self.c.p.get(3)
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45
tests/network/WebSocketClientTest.py
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45
tests/network/WebSocketClientTest.py
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# encoding: UTF-8
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import json
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import unittest
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from Promise import Promise
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from vnpy.network.WebSocketClient import 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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super(TestWebsocketClient, self).__init__()
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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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self.p.set_result(packet)
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pass
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def onConnect(self):
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pass
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def onError(self, exceptionType, exceptionValue, tb):
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self.p.set_exception(exceptionValue)
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pass
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class WebsocketClientTest(unittest.TestCase):
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def setUp(self):
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self.c = TestWebsocketClient()
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self.c.start()
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def tearDown(self):
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self.c.stop()
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def test_sendReq(self):
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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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res = self.c.p.get(3)
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self.assertEqual(res, req)
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0
tests/network/__init__.py
Normal file
0
tests/network/__init__.py
Normal file
345
vnpy/api/okexfuture/OkexFutureApi.py
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345
vnpy/api/okexfuture/OkexFutureApi.py
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# encoding: UTF-8
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from enum import Enum
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from typing import Any, Callable, List, Union
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from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase
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from vnpy.network.RestClient import Request
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class _OkexFutureCustomExtra(object):
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def __init__(self, onSuccess, onFailed, extra):
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self.onFailed = onFailed
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self.onSuccess = onSuccess
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self.extra = extra
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class OkexFuturePriceType(Enum):
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Buy = 'buy'
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Sell = 'sell'
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class OkexFutureContractType(Enum):
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ThisWeek = 'this_week'
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NextWeek = 'next_week'
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Quarter = 'quarter'
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class OkexFutureStatus(Enum):
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NoTraded = '0'
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PartialTraded = '1'
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AllTraded = '2'
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Canceled = '-1'
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CancelProcessing = '4'
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Canceling = '5'
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class OkexFutureOrderType(Enum):
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OpenLong = '1'
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OpenShort = '2'
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CloseLong = '3'
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CloseShort = '4'
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class OkexFutureOrder(object):
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def __init__(self):
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self.volume = None
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self.contractName = None
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self.createDate = None
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self.tradedVolume = None
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self.fee = None
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self.leverRate = None
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self.remoteId = None
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self.price = None
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self.priceAvg = None
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self.status = None
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self.symbol = None
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self.orderType = None
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self.unitAmount = None
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class OkexFutureUserInfo(object):
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def __init__(self):
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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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self.profitUnreal = None
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self.riskRate = None
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class OkexFuturePosition(object):
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def __init__(self, ):
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self.forceLiquidatePrice = None
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self.holding = [] # type: List[OkexFuturePositionDetail]
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class OkexFuturePositionDetail(object):
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def __init__(self, ):
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self.buyAmount = None
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self.buyAvailable = None
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self.buyPriceAvg = None
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self.buyPriceCost = None
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self.buyProfitReal = None
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self.contractId = None
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self.createDate = None
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self.leverRate = None
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self.sellAmount = None
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self.sellAvailable = None
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self.sellPriceAvg = None
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self.sellPriceCost = None
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self.sellProfitReal = None
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self.symbol = None
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self.contractType = None
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########################################################################
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class OkexFutureRestClient(OkexFutureRestBase):
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(OkexFutureRestClient, self).__init__()
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self.client = ()
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self._redirectedOnError = None # type: Callable[[object, object, object, Request], Any]
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#----------------------------------------------------------------------
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def setOnError(self, callback): # type: (Callable[[object, object, object, Request], Any])->None
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self._redirectedOnError = callback
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#----------------------------------------------------------------------
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def onError(self, exceptionType, exceptionValue, tb, req):
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if self._redirectedOnError:
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self._redirectedOnError(exceptionType, exceptionValue, tb, req)
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#----------------------------------------------------------------------
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def onFailed(self, httpStatusCode, req):
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super(OkexFutureRestClient, self).onFailed(httpStatusCode, req)
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#----------------------------------------------------------------------
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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[[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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:param orderType: OkexFutureOrderType
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:param volume: float
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:param onSuccess: (orderId: int)->Any
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:param onFailed: ()->Any
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:param price: float
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:param useMarketPrice: bool
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:param leverRate: int | None
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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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if useMarketPrice:
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data['match_price'] = 1
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else:
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data['price'] = price
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data.update({
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'symbol': symbol,
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'contract_typ': contractType, # 合约类型：当周/下周/季度
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'amount': volume,
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'type': orderType,
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})
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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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'/future_trade.do',
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callback=self.onOrderSent,
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data=data,
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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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return request
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#----------------------------------------------------------------------
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def cancelOrder(self, symbol, contractType, orderId, onSuccess, onFailed=None,
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extra=None): # type: (str, OkexFutureContractType, str, Callable[[object], Any], Callable[[Any], Any], Any)->Request
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"""
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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: ()->Any
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:param onFailed: ()->Any
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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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'order_id': orderId
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}
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return self.addReq('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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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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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[[Any], Any], Any)->Request
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"""
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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 onFailed: (extra: Any)->Any
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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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'order_id': orderId
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}
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return self.addReq('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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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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#----------------------------------------------------------------------
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def queryUserInfo(self, onSuccess, onFailed=None,
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extra=None): # type: (Callable[[List[OkexFutureUserInfo], Any], Any], Callable[[Any], Any], Any)->Request
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"""
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查询用户信息
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:param onSuccess: (userInfos: List[OkexFutureUserInfo], 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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"""
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return self.addReq('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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#----------------------------------------------------------------------
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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[[Any], Any], Any)->Request
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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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'/future_position.do',
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data=data,
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callback=self.onPosition,
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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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#----------------------------------------------------------------------
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@staticmethod
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def onOrderSent(data, req): # type: (dict, Request)->None
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"""
|
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下单回执，一般用来保存sysId
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"""
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extra = req.extra # type: _OkexFutureCustomExtra
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if data['result'] is True:
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remoteId = data['order_id']
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extra.onSuccess(remoteId, extra.extra)
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else:
|
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if extra.onFailed:
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||||
extra.onFailed(extra.extra)
|
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|
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#----------------------------------------------------------------------
|
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@staticmethod
|
||||
def onOrderCanceled(data, req): # type: (dict, Request)->None
|
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"""
|
||||
取消订单回执
|
||||
"""
|
||||
success = data['result']
|
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extra = req.extra # type: _OkexFutureCustomExtra
|
||||
if success:
|
||||
extra.onSuccess(extra.extra)
|
||||
else:
|
||||
if extra.onFailed:
|
||||
extra.onFailed(extra.extra)
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|
||||
#----------------------------------------------------------------------
|
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@staticmethod
|
||||
def onOrder(data, req): # type: (dict, Request)->None
|
||||
success = data['result']
|
||||
extra = req.extra # type: _OkexFutureCustomExtra
|
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if success:
|
||||
order = data['orders'][0]
|
||||
okexOrder = OkexFutureOrder()
|
||||
|
||||
okexOrder.volume = order['amount']
|
||||
okexOrder.contractName = order['contract_name']
|
||||
okexOrder.createDate = order['create_date']
|
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okexOrder.tradedVolume = order['deal_amount']
|
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okexOrder.fee = order['fee']
|
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okexOrder.leverRate = order['lever_rate']
|
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okexOrder.remoteId = order['order_id']
|
||||
okexOrder.price = order['price']
|
||||
okexOrder.priceAvg = order['price_avg']
|
||||
okexOrder.status = order['status']
|
||||
okexOrder.orderType = order['type']
|
||||
okexOrder.unitAmount = order['unit_amount']
|
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okexOrder.symbol = order['symbol']
|
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|
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extra.onSuccess(okexOrder, extra.extra)
|
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else:
|
||||
if extra.onFailed:
|
||||
extra.onFailed(extra.extra)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def onUserInfo(data, req): # type: (dict, Request)->None
|
||||
success = data['result']
|
||||
extra = req.extra # type: _OkexFutureCustomExtra
|
||||
if success:
|
||||
infos = data['info']
|
||||
uis = []
|
||||
for symbol, info in infos.items(): # type: str, dict
|
||||
ui = OkexFutureUserInfo()
|
||||
ui.accountRights = info['account_rights']
|
||||
ui.keepDeposit = info['keep_deposit']
|
||||
ui.profitReal = info['profit_real']
|
||||
ui.profitUnreal = info['profit_unreal']
|
||||
ui.riskRate = info['risk_rate']
|
||||
uis.append(ui)
|
||||
extra.onSuccess(uis, extra.extra)
|
||||
else:
|
||||
if extra.onFailed:
|
||||
extra.onFailed(extra.extra)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def onPosition(data, req): # type: (dict, Request)->None
|
||||
success = data['result']
|
||||
extra = req.extra # type: _OkexFutureCustomExtra
|
||||
if success:
|
||||
pos = OkexFuturePosition()
|
||||
pos.forceLiquidatePrice = data['force_liqu_price']
|
||||
for item in data['holding']:
|
||||
posDetail = OkexFuturePositionDetail()
|
||||
posDetail.buyAmount = item['buy_amount']
|
||||
posDetail.buyAvailable = item['buy_available']
|
||||
posDetail.buyPriceAvg = item['buy_price_avg']
|
||||
posDetail.buyPriceCost = item['buy_price_cost']
|
||||
posDetail.buyProfitReal = item['buy_profit_real']
|
||||
posDetail.contractId = item['contract_id']
|
||||
posDetail.contractType = item['contract_type']
|
||||
posDetail.createDate = item['create_date']
|
||||
posDetail.leverRate = item['lever_rate']
|
||||
posDetail.sellAmount = item['sell_amount']
|
||||
posDetail.sellAvailable = item['sell_available']
|
||||
posDetail.sellPriceAvg = item['sell_price_avg']
|
||||
posDetail.sellPriceCost = item['sell_price_cost']
|
||||
posDetail.sellProfitReal = item['sell_profit_real']
|
||||
posDetail.symbol = item['symbol']
|
||||
pos.holding.append(posDetail)
|
||||
extra.onSuccess(pos, extra.extra)
|
||||
else:
|
||||
if extra.onFailed:
|
||||
extra.onFailed(extra.extra)
|
||||
0
vnpy/api/okexfuture/__init__.py
Normal file
0
vnpy/api/okexfuture/__init__.py
Normal file
43
vnpy/api/okexfuture/vnokexFuture.py
Normal file
43
vnpy/api/okexfuture/vnokexFuture.py
Normal file
@ -0,0 +1,43 @@
|
||||
# encoding: UTF-8
|
||||
import hashlib
|
||||
import urllib
|
||||
|
||||
|
||||
########################################################################
|
||||
from vnpy.network.RestClient import RestClient, Request
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFutureRestBase(RestClient):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
super(OkexFutureRestBase, self).__init__()
|
||||
self.apiKey = None
|
||||
self.apiSecret = None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
# noinspection PyMethodOverriding
|
||||
def init(self, apiKey, apiSecret):
|
||||
# type: (str, str) -> any
|
||||
super(OkexFutureRestBase, self).init('https://www.okex.com/api/v1')
|
||||
self.apiKey = apiKey
|
||||
self.apiSecret = apiSecret
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def beforeRequest(self, req): # type: (Request)->Request
|
||||
args = req.params or {}
|
||||
args.update(req.data or {})
|
||||
if 'sign' in args:
|
||||
args.pop('sign')
|
||||
if 'apiKey' not in args:
|
||||
args['api_key'] = self.apiKey
|
||||
data = urllib.urlencode(sorted(args.items()))
|
||||
data += "&secret_key=" + self.apiSecret
|
||||
|
||||
sign = hashlib.md5(data.encode()).hexdigest().upper()
|
||||
data += "&sign=" + sign
|
||||
|
||||
req.headers = {'Content-Type': 'application/x-www-form-urlencoded'}
|
||||
return req
|
||||
|
||||
241
vnpy/network/RestClient.py
Normal file
241
vnpy/network/RestClient.py
Normal file
@ -0,0 +1,241 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
|
||||
import sys
|
||||
from Queue import Empty, Queue
|
||||
from abc import abstractmethod
|
||||
from multiprocessing.dummy import Pool
|
||||
|
||||
import requests
|
||||
from enum import Enum
|
||||
from typing import Any, Callable
|
||||
|
||||
|
||||
class RequestStatus(Enum):
|
||||
ready = 0 # 刚刚构建
|
||||
success = 1 # 请求成功 code == 200
|
||||
failed = 2
|
||||
error = 3 # 发生错误 网络错误、json解析错误，等等
|
||||
|
||||
|
||||
########################################################################
|
||||
class Request(object):
|
||||
"""
|
||||
表示一个内部的Request，用于状态查询
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, method, path, callback, params, data, headers):
|
||||
self.method = method # type: str
|
||||
self.path = path # type: str
|
||||
self.callback = callback # type: callable
|
||||
self.params = params # type: dict #, bytes, str
|
||||
self.data = data # type: dict #, bytes, str
|
||||
self.headers = headers # type: dict
|
||||
self.onFailed = None # type: callable
|
||||
self.skipDefaultOnFailed = None # type: callable
|
||||
self.extra = None # type: Any
|
||||
|
||||
self._response = None # type: requests.Response
|
||||
self._status = RequestStatus.ready
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def success(self):
|
||||
assert self.finished, "'success' property is only available after request is finished"
|
||||
return self._status == RequestStatus.success
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def failed(self):
|
||||
assert self.finished, "'failed' property is only available after request is finished"
|
||||
return self._status == RequestStatus.failed
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def finished(self):
|
||||
return self._status != RequestStatus.ready
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def error(self):
|
||||
return self._status == RequestStatus.error
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def response(self): # type: ()->requests.Response
|
||||
return self._response
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __str__(self):
|
||||
statusCode = 'not finished'
|
||||
if self._response:
|
||||
statusCode = self._response.status_code
|
||||
return "{} {} : {} {}\n".format(self.method, self.path, self._status, statusCode)
|
||||
|
||||
|
||||
########################################################################
|
||||
class RestClient(object):
|
||||
"""
|
||||
HTTP 客户端。目前是为了对接各种RESTfulAPI而设计的。
|
||||
|
||||
如果需要给请求加上签名，请重载beforeRequest函数。
|
||||
如果需要处理非200的请求，请重载onFailed函数。
|
||||
如果每一个请求的非200返回都需要单独处理，使用addReq函数的onFailed参数
|
||||
如果捕获Python内部错误，例如网络连接失败等等，请重载onError函数。
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""
|
||||
:param urlBase: 路径前缀。 例如'https://www.bitmex.com/api/v1/'
|
||||
"""
|
||||
self.urlBase = None # type: str
|
||||
self.sessionProvider = requestsSessionProvider
|
||||
|
||||
self._active = False
|
||||
|
||||
self._queue = Queue()
|
||||
self._pool = None # type: Pool
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def init(self, urlBase):
|
||||
self.urlBase = urlBase
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setSessionProvider(self, sessionProvider):
|
||||
"""
|
||||
设置sessionProvider可以使用自定义的requests实现。
|
||||
@:param sessionProvider: callable。调用后应该返回一个对象带request函数的对象，该request函数的用法应该和requests中的一致。 \
|
||||
每个工作线程会调用该函数一次以期获得一个独立的session实例。
|
||||
"""
|
||||
self.sessionProvider = sessionProvider
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def start(self, n=3):
|
||||
"""启动"""
|
||||
assert not self._active
|
||||
|
||||
self._active = True
|
||||
self._pool = Pool(n)
|
||||
self._pool.apply_async(self._run)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""
|
||||
强制停止运行，未发出的请求都会被暂停（仍处于队列中）
|
||||
:return:
|
||||
"""
|
||||
self._active = False
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def addReq(self, method, path, callback,
|
||||
params=None, data=None, headers = None,
|
||||
onFailed=None, skipDefaultOnFailed=True,
|
||||
extra=None): # type: (str, str, Callable[[dict, Request], Any], dict, dict, dict, Callable[[dict, Request], Any], bool, Any)->Request
|
||||
"""
|
||||
发送一个请求
|
||||
:param method: GET, POST, PUT, DELETE, QUERY
|
||||
:param path:
|
||||
:param callback: 请求成功后的回调(状态吗为2xx时认为请求成功) type: (dict, Request)
|
||||
:param params: dict for query string
|
||||
:param data: dict for body
|
||||
:param headers: dict for headers
|
||||
:param onFailed: 请求失败后的回调(状态吗不为2xx时认为请求失败) type: (code, dict, Request)
|
||||
:param skipDefaultOnFailed: 仅当onFailed参数存在时有效：忽略对虚函数onFailed的调用
|
||||
:param extra: 返回值的extra字段会被设置为这个值。当然，你也可以在函数调用之后再设置这个字段。
|
||||
:return: Request
|
||||
"""
|
||||
|
||||
req = Request(method, path, callback, params, data, headers)
|
||||
req.onFailed = onFailed
|
||||
req.skipDefaultOnFailed = skipDefaultOnFailed
|
||||
req.extra = extra
|
||||
self._queue.put(req)
|
||||
return req
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _run(self):
|
||||
session = self.sessionProvider()
|
||||
while self._active:
|
||||
try:
|
||||
req = self._queue.get(timeout=1)
|
||||
self.processReq(req, session)
|
||||
except Empty:
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def beforeRequest(self, req): # type: (Request)->Request
|
||||
"""
|
||||
所有请求在发送之前都会经过这个函数
|
||||
签名之类的前奏可以在这里面实现
|
||||
需要对request进行什么修改就做什么修改吧
|
||||
@:return (req)
|
||||
"""
|
||||
return req
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onFailed(self, httpStatusCode, req): # type:(int, Request)->None
|
||||
"""
|
||||
请求失败处理函数（HttpStatusCode!=200）.
|
||||
默认行为是打印到stderr
|
||||
"""
|
||||
print("reuqest : {} {} failed with {}: \n"
|
||||
"headers: {}\n"
|
||||
"params: {}\n"
|
||||
"data: {}\n"
|
||||
"response:"
|
||||
"{}\n"
|
||||
.format(req.method, req.path, httpStatusCode,
|
||||
req.headers,
|
||||
req.params,
|
||||
req.data,
|
||||
req._response.raw))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, exceptionType, exceptionValue, tb, req):
|
||||
"""
|
||||
Python内部错误处理：默认行为是仍给excepthook
|
||||
"""
|
||||
print("error in req : {}\n".format(req))
|
||||
sys.excepthook(exceptionType, exceptionValue, tb)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def processReq(self, req, session): # type: (Request, requests.Session)->None
|
||||
"""处理请求"""
|
||||
try:
|
||||
req = self.beforeRequest(req)
|
||||
|
||||
url = self.makeFullUrl(req.path)
|
||||
|
||||
response = session.request(req.method, url, headers=req.headers, params=req.params, data=req.data)
|
||||
req._response = response
|
||||
|
||||
httpStatusCode = response.status_code
|
||||
if httpStatusCode/100 == 2:
|
||||
jsonBody = response.json()
|
||||
req.callback(jsonBody, req)
|
||||
req._status = RequestStatus.success
|
||||
else:
|
||||
req._status = RequestStatus.failed
|
||||
|
||||
if req.onFailed:
|
||||
req.onFailed(httpStatusCode, response.raw, req)
|
||||
|
||||
# 若没有onFailed或者没设置skipDefaultOnFailed，则调用默认的处理函数
|
||||
if not req.onFailed or not req.skipDefaultOnFailed:
|
||||
self.onFailed(httpStatusCode, req)
|
||||
except:
|
||||
req._status = RequestStatus.error
|
||||
t, v, tb = sys.exc_info()
|
||||
self.onError(t, v, tb, req)
|
||||
|
||||
def makeFullUrl(self, path):
|
||||
url = self.urlBase + path
|
||||
return url
|
||||
|
||||
|
||||
########################################################################
|
||||
def requestsSessionProvider():
|
||||
return requests.session()
|
||||
151
vnpy/network/WebSocketClient.py
Normal file
151
vnpy/network/WebSocketClient.py
Normal file
@ -0,0 +1,151 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
|
||||
########################################################################
|
||||
import json
|
||||
import ssl
|
||||
import sys
|
||||
import time
|
||||
from abc import abstractmethod
|
||||
from threading import Thread, Lock
|
||||
|
||||
import websocket
|
||||
|
||||
|
||||
class WebsocketClient(object):
|
||||
"""Websocket API"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
self.host = None # type: str
|
||||
|
||||
self._ws_lock = Lock()
|
||||
self._ws = None # type: websocket.WebSocket
|
||||
|
||||
self._workerThread = None # type: Thread
|
||||
self._pingThread = None # type: Thread
|
||||
self._active = False
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def init(self, host):
|
||||
self.host = host
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def start(self):
|
||||
"""启动"""
|
||||
self._connect()
|
||||
|
||||
self._active = True
|
||||
self._workerThread = Thread(target=self._run)
|
||||
self._workerThread.start()
|
||||
|
||||
self._pingThread = Thread(target=self._runPing)
|
||||
self._pingThread.start()
|
||||
|
||||
self.onConnect()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""
|
||||
关闭
|
||||
@note 不能从工作线程，也就是websocket的回调中调用
|
||||
"""
|
||||
self._active = False
|
||||
self._disconnect()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendReq(self, req): # type: (dict)->None
|
||||
"""发出请求"""
|
||||
return self._get_ws().send(json.dumps(req), opcode=websocket.ABNF.OPCODE_TEXT)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendText(self, text): # type: (str)->None
|
||||
"""发出请求"""
|
||||
return self._get_ws().send(text, opcode=websocket.ABNF.OPCODE_TEXT)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendData(self, data): # type: (bytes)->None
|
||||
"""发出请求"""
|
||||
return self._get_ws().send_binary(data)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _reconnect(self):
|
||||
"""重连"""
|
||||
self._disconnect()
|
||||
self._connect()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _connect(self):
|
||||
""""""
|
||||
self._ws = websocket.create_connection(self.host, sslopt={'cert_reqs': ssl.CERT_NONE})
|
||||
self.onConnect()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _disconnect(self):
|
||||
"""
|
||||
断开连接
|
||||
"""
|
||||
with self._ws_lock:
|
||||
if self._ws:
|
||||
self._ws.close()
|
||||
self._ws = None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _get_ws(self):
|
||||
with self._ws_lock:
|
||||
return self._ws
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _run(self):
|
||||
"""运行"""
|
||||
ws = self._get_ws()
|
||||
while self._active:
|
||||
try:
|
||||
stream = ws.recv()
|
||||
if not stream:
|
||||
if self._active:
|
||||
self._reconnect()
|
||||
continue
|
||||
|
||||
data = json.loads(stream)
|
||||
self.onMessage(data)
|
||||
except:
|
||||
et, ev, tb = sys.exc_info()
|
||||
self.onError(et, ev, tb)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _runPing(self):
|
||||
while self._active:
|
||||
self._ping()
|
||||
for i in range(60):
|
||||
if not self._active:
|
||||
break
|
||||
time.sleep(1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _ping(self):
|
||||
return self._get_ws().send('ping', websocket.ABNF.OPCODE_PING)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def onConnect(self):
|
||||
"""连接回调"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def onMessage(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
|
||||
@:param data: dict
|
||||
@:return:
|
||||
"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def onError(self, exceptionType, exceptionValue, tb):
|
||||
"""Python错误回调"""
|
||||
pass
|
||||
0
vnpy/network/__init__.py
Normal file
0
vnpy/network/__init__.py
Normal file
0
vnpy/trader/gateway/okexFutureGateway/__init__.py
Normal file
0
vnpy/trader/gateway/okexFutureGateway/__init__.py
Normal file
214
vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py
Normal file
214
vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py
Normal file
@ -0,0 +1,214 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
from __future__ import print_function
|
||||
|
||||
import json
|
||||
from abc import abstractmethod, abstractproperty
|
||||
|
||||
from vnpy.api.okexfuture.OkexFutureApi import *
|
||||
from vnpy.trader.vtFunction import getJsonPath
|
||||
from vnpy.trader.vtGateway import *
|
||||
|
||||
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()}
|
||||
|
||||
contracts = (
|
||||
'btc_usd', 'ltc_usd', 'eth_usd', 'etc_usd', 'bch_usd',
|
||||
)
|
||||
|
||||
contractTypeMap = {
|
||||
'THISWEEK': OkexFutureContractType.ThisWeek,
|
||||
'NEXTWEEK': OkexFutureContractType.NextWeek,
|
||||
'QUARTER': OkexFutureContractType.Quarter,
|
||||
}
|
||||
|
||||
# symbols for ui,
|
||||
# keys:给用户看的symbols
|
||||
# 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_)
|
||||
|
||||
|
||||
########################################################################
|
||||
class VnpyGateway(VtGateway):
|
||||
"""
|
||||
每个gateway有太多重复代码，难以拓展和维护。
|
||||
于是我设计了这个类，将重复代码抽取出来，简化gateway的实现
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine):
|
||||
super(VnpyGateway, self).__init__(eventEngine, self.gatewayName)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractproperty
|
||||
def gatewayName(self): # type: ()->str
|
||||
return 'VnpyGateway'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractproperty
|
||||
def exchange(self): # type: ()->str
|
||||
return constant.EXCHANGE_UNKNOWN
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def readConfig(self):
|
||||
"""
|
||||
从json文件中读取设置，并将其内容返回为一个dict
|
||||
:一个一个return:
|
||||
"""
|
||||
fileName = self.gatewayName + '_connect.json'
|
||||
filePath = getJsonPath(fileName, __file__)
|
||||
|
||||
try:
|
||||
with open(filePath, 'rt') as f:
|
||||
return json.load(f)
|
||||
except IOError:
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'读取连接配置出错，请检查'
|
||||
# todo: pop a message box is better
|
||||
self.onLog(log)
|
||||
return
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def loadSetting(self):
|
||||
"""
|
||||
载入设置，在connect的时候会被调用到。
|
||||
"""
|
||||
pass
|
||||
|
||||
class _Order(object):
|
||||
_lastLocalId = 0
|
||||
def __init__(self):
|
||||
_Order._lastLocalId += 1
|
||||
self.localId = str(_Order._lastLocalId)
|
||||
self.remoteId = None
|
||||
self.vtOrder = None # type: VtOrderData
|
||||
|
||||
########################################################################
|
||||
class OkexFutureGateway(VnpyGateway):
|
||||
"""OKEX期货交易接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, *args, **kwargs): # args, kwargs is needed for compatibility
|
||||
"""Constructor"""
|
||||
super(OkexFutureGateway, self).__init__(eventEngine)
|
||||
self.apiKey = None # type: str
|
||||
self.apiSecret = None # type: str
|
||||
self.api = OkexFutureRestClient()
|
||||
self.leverRate = 1
|
||||
self.symbols = []
|
||||
|
||||
self.orders =
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def gatewayName(self):
|
||||
return 'OkexFutureGateway'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractproperty
|
||||
def exchange(self): # type: ()->str
|
||||
return constant.EXCHANGE_OKEXFUTURE
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadSetting(self):
|
||||
setting = self.readConfig()
|
||||
if setting:
|
||||
"""连接"""
|
||||
# 载入json文件
|
||||
try:
|
||||
# todo: check by predefined settings names and types
|
||||
# or check by validator
|
||||
self.apiKey = str(setting['apiKey'])
|
||||
self.apiSecret = str(setting['secretKey'])
|
||||
self.leverRate = setting['leverRate']
|
||||
self.symbols = setting['symbols']
|
||||
except KeyError:
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'连接配置缺少字段，请检查'
|
||||
self.onLog(log)
|
||||
return
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
self.loadSetting()
|
||||
self.api.init(self.apiKey, self.apiSecret)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, vtRequest): # type: (VtOrderReq)->str
|
||||
"""发单"""
|
||||
myorder = _Order()
|
||||
localId = myorder.localId
|
||||
|
||||
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 = symbolsForUi[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,
|
||||
orderType=orderType,
|
||||
volume=vtRequest.volume,
|
||||
price=vtRequest.price,
|
||||
useMarketPrice=userMarketPrice,
|
||||
leverRate=self.leverRate,
|
||||
onSuccess=self.onOrderSent,
|
||||
extra=None)
|
||||
|
||||
return myorder.localId
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
self.api.cancelOrder(cancelOrderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryAccount(self):
|
||||
"""查询账户资金"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryPosition(self):
|
||||
"""查询持仓"""
|
||||
self.api.spotUserInfo()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.api.close()
|
||||
|
||||
def onOrderSent(self, remoteId, myorder): #type: (int, _Order)->None
|
||||
myorder.remoteId = remoteId
|
||||
myorder.vtOrder.status = constant.STATUS_NOTTRADED
|
||||
self.onOrder(myorder.vtOrder)
|
||||
|
||||
@ -87,6 +87,7 @@ EXCHANGE_HUOBI = 'HUOBI' # 火币比特币交易所
|
||||
EXCHANGE_LBANK = 'LBANK' # LBANK比特币交易所
|
||||
EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所
|
||||
EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所
|
||||
EXCHANGE_OKEXFUTURE = 'OKEXFUTURE' # OKEX比特币交易所-期货
|
||||
EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所
|
||||
EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所
|
||||
EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所
|
||||
|
||||
@ -83,6 +83,7 @@ EXCHANGE_HUOBI = 'HUOBI' # 火币比特币交易所
|
||||
EXCHANGE_LBANK = 'LBANK' # LBANK比特币交易所
|
||||
EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所
|
||||
EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所
|
||||
EXCHANGE_OKEXFUTURE = 'OKEXFUTURE' # OKEX比特币交易所-期货
|
||||
EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所
|
||||
EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所
|
||||
EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所
|
||||
|
||||
Loading…
Reference in New Issue
Block a user