From 9d8db0fbfd082d1a1f7372a35ff96e6b92a96e85 Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Tue, 11 Jun 2019 17:02:43 +0800 Subject: [PATCH] Create binance_gateway.py --- vnpy/gateway/binance/binance_gateway.py | 873 ++++++++++++++++++++++++ 1 file changed, 873 insertions(+) create mode 100644 vnpy/gateway/binance/binance_gateway.py diff --git a/vnpy/gateway/binance/binance_gateway.py b/vnpy/gateway/binance/binance_gateway.py new file mode 100644 index 00000000..a677be9a --- /dev/null +++ b/vnpy/gateway/binance/binance_gateway.py @@ -0,0 +1,873 @@ +# encoding: UTF-8 + +""" +币安交易接口 +""" + +import re +import urllib +import base64 +import json +import zlib +import hashlib +import hmac +import time +from copy import copy +from datetime import datetime +from threading import Thread + +from vnpy.event import Event +from vnpy.api.rest import RestClient, Request +from vnpy.api.websocket import WebsocketClient +from vnpy.trader.constant import ( + Direction, + Exchange, + Product, + Status, + OrderType +) +from vnpy.trader.gateway import BaseGateway, LocalOrderManager +from vnpy.trader.object import ( + TickData, + OrderData, + TradeData, + AccountData, + ContractData, + OrderRequest, + CancelRequest, + SubscribeRequest +) +from vnpy.trader.event import EVENT_TIMER + + +REST_HOST = "https://www.binance.com" +WEBSOCKET_TRADE_HOST = "wss://stream.binance.com:9443/ws/" # Account and Order +WEBSOCKET_DATA_HOST = "wss://stream.binance.com:9443/stream?streams=" # Market Data + +STATUS_BINANCE2VT = { + "NEW": Status.NOTTRADED, + "PARTIALLY_FILLED": Status.PARTTRADED, + "FILLED": Status.ALLTRADED, + "CANCELED": Status.CANCELLED, + "REJECTED": Status.REJECTED +} + +ORDERTYPE_VT2BINANCE = { + OrderType.LIMIT: "LIMIT", + OrderType.MARKET: "MARKET", + OrderType.STOP: "STOP_LOSS", +} + +ORDERTYPE_BINANCE2VT = {v: k for k, v in ORDERTYPE_VT2BINANCE.items()} + +DIRECTION_VT2BINANCE = { + Direction.LONG: "BUY", + Direction.SHORT: "SELL" +} + +DIRECTION_BINANCE2VT = {v: k for k, v in DIRECTION_VT2BINANCE.items()} + +binance_symbols = set() +symbol_name_map = {} + + +class BinanceGateway(BaseGateway): + """ + VN Trader Gateway for Binance connection. + """ + + default_setting = { + "key": "", + "secret": "", + "session_number": 3, + "proxy_host": "127.0.0.1", + "proxy_port": 2000, + } + + exchanges = [Exchange.BINANCE] + + def __init__(self, event_engine): + """Constructor""" + super(BinanceGateway, self).__init__(event_engine, "BINANCE") + + self.order_manager = LocalOrderManager(self) + + self.rest_api = BinanceRestApi(self) + self.trade_ws_api = BinanceTradeWebsocketApi(self) + self.market_ws_api = BinanceDataWebsocketApi(self) + + def connect(self, setting: dict): + """""" + key = setting["key"] + secret = setting["secret"] + session_number = setting["session_number"] + proxy_host = setting["proxy_host"] + proxy_port = setting["proxy_port"] + + self.rest_api.connect(key, secret, session_number, + proxy_host, proxy_port) + #self.trade_ws_api.connect(key, secret, proxy_host, proxy_port) + #self.market_ws_api.connect(key, secret, proxy_host, proxy_port) + + #self.init_query() + + def subscribe(self, req: SubscribeRequest): + """""" + self.market_ws_api.subscribe(req) + #self.trade_ws_api.subscribe(req) + + def send_order(self, req: OrderRequest): + """""" + return self.rest_api.send_order(req) + + def cancel_order(self, req: CancelRequest): + """""" + self.rest_api.cancel_order(req) + + def query_account(self): + """""" + self.rest_api.query_account() + + def query_position(self): + """""" + pass + + def close(self): + """""" + self.rest_api.stop() + self.trade_ws_api.stop() + self.market_ws_api.stop() + + def process_timer_event(self, event: Event): + """""" + self.count += 1 + if self.count < 3: + return + + self.query_account() + + def init_query(self): + """""" + self.count = 0 + self.event_engine.register(EVENT_TIMER, self.process_timer_event) + +class BinanceRestApi(RestClient): + """ + BINANCE REST API + """ + + def __init__(self, gateway: BaseGateway): + """""" + super(BinanceRestApi, self).__init__() + + self.gateway = gateway + self.gateway_name = gateway.gateway_name + self.order_manager = gateway.order_manager + self.trade_ws_api = BinanceTradeWebsocketApi(self.gateway) + + self.host = "" + self.key = "" + self.secret = "" + self.userStreamKey = "" + self.keepaliveCount = 0 + self.recvWindow = 5000 + self.time_offset = 0 + + self.cancel_requests = {} + self.orders = {} + + def sign(self, request): + """ + Generate BINANCE signature. + """ + if request.params: + path = request.path + "?" + urllib.parse.urlencode(request.params) + else: + request.params = dict() + path = request.path + security = "NONE" + if request.data: + security = request.data['security'] + + if security == "SIGNED": + timestamp = int(time.time() * 1000) + if self.time_offset > 0: + timestamp -= abs(self.time_offset) + elif self.time_offset < 0: + timestamp += abs(self.time_offset) + request.params['timestamp'] = timestamp + request.params['recvWindow'] = self.recvWindow + + query = urllib.parse.urlencode(sorted(request.params.items())) + signature = hmac.new(self.secret, query.encode('utf-8'), hashlib.sha256).hexdigest() + query += "&signature={}".format(signature) + path = request.path + "?" + query + request.path = path + request.params = {} + request.data = {} + # Add headers + headers = { + "Content-Type": "application/x-www-form-urlencoded", + "Accept": "application/json", + "X-MBX-APIKEY": self.key + } + if security == "SIGNED" or security == "API-KEY": + request.headers = headers + return request + + def connect( + self, + key: str, + secret: str, + session_number: int, + proxy_host: str, + proxy_port: int + ): + """ + Initialize connection to REST server. + """ + self.key = key + self.secret = secret.encode() + self.proxy_port = proxy_port + self.proxy_host = proxy_host + + self.host, _ = _split_url(REST_HOST) + + self.init(REST_HOST, proxy_host, proxy_port) + self.start(session_number) + + self.gateway.write_log("REST API启动成功") + + self.query_time() + self.query_account() + self.query_order() + self.query_contract() + self.start_userStream() + + def query_time(self): + """""" + data = { + "security": "NONE" + } + path = '/api/v1/time' + return self.add_request( + "GET", + path, + callback=self.on_query_time, + data=data + ) + + def query_account(self): + """""" + data = { + "security": "SIGNED" + } + self.add_request( + method="GET", + path="/api/v3/account", + callback=self.on_query_account, + data=data + ) + + def query_order(self): + """""" + data = { + "security": "SIGNED" + } + self.add_request( + method="GET", + path="/api/v3/openOrders", + callback=self.on_query_order, + data=data + ) + + def query_contract(self): + """""" + data = { + "security": "NONE" + } + self.add_request( + method="GET", + path="/api/v1/exchangeInfo", + callback=self.on_query_contract, + data=data + ) + + def send_order(self, req: OrderRequest): + """""" + local_orderid = self.order_manager.new_local_orderid() + order = req.create_order_data( + local_orderid, + self.gateway_name + ) + order.time = datetime.now().strftime("%H:%M:%S") + + data = { + "security": "SIGNED" + } + + params = { + "symbol": req.symbol, + "timeInForce": "GTC", + "side": DIRECTION_VT2BINANCE[req.direction], + "type": ORDERTYPE_VT2BINANCE[req.type], + "price": str(req.price), + "quantity": str(req.volume) + } + + self.add_request( + method="POST", + path="/api/v3/order", + callback=self.on_send_order, + data=data, + params=params, + extra=order, + on_error=self.on_send_order_error, + on_failed=self.on_send_order_failed + ) + + self.order_manager.on_order(order) + return order.vt_orderid + + def cancel_order(self, req: CancelRequest): + """""" + sys_orderid = self.order_manager.get_sys_orderid(req.orderid) + + data = { + "security": "SIGNED" + } + params = { + "symbol": req.symbol, + "orderId": sys_orderid + } + self.add_request( + method="DELETE", + path="/api/v3/order", + callback=self.on_cancel_order, + params=params, + data=data, + extra=req + ) + print("撤单本地id：", req.orderid, "撤单远端id：", sys_orderid) + + def start_userStream(self): + """""" + data = { + "security": "API-KEY" + } + self.add_request( + method="POST", + path='/api/v1/userDataStream', + callback=self.on_start_userStream, + data=data + ) + + def keepalive_userStream(self): + """""" + self.keepaliveCount += 1 + if self.keepaliveCount < 1800: + return + data = { + "security": "SIGNED" + } + params = { + 'listenKey': self.userStreamKey + } + self.add_request( + method='PUT', + path='/api/v1/userDataStream', + callback=self.on_keepalive_userStream, + params=params, + data=data + ) + + def close_userStream(self, listenKey): + """""" + data = { + "security": "SIGNED" + } + params = { + 'listenKey': listenKey + } + self.add_request( + method='DELETE', + path='/api/v1/userDataStream', + callback=self.on_close_userStream, + params=params, + data=data + ) + + def on_query_time(self, data, request): + """""" + time_now = int(time.time() * 1000) + time_server = int(data["serverTime"]) + server_local_time = time.localtime(float(time_server / 1000)) + now_local_time = time.localtime(float(time_now / 1000)) + self.time_offset = time_now - time_server + server_time = time.strftime("%Y-%m-%d %H:%M:%S", server_local_time) + local_time = time.strftime("%Y-%m-%d %H:%M:%S", now_local_time) + msg = f"服务器时间：{server_time}，本机时间：{local_time}" + self.gateway.write_log(msg) + + def on_query_account(self, data, request): + """""" + for account_data in data["balances"]: + account = AccountData( + accountid=account_data["asset"], + balance=float(account_data["free"]), + frozen=float(account_data["locked"]), + gateway_name=self.gateway_name + ) + self.gateway.on_account(account) + + self.gateway.write_log("账户资金查询成功") + + def on_query_order(self, data, request): + """""" + for d in data: + sys_orderid = d["orderId"] + local_orderid = self.order_manager.get_local_orderid(sys_orderid) + + direction = DIRECTION_BINANCE2VT[d["side"]] + order_type = ORDERTYPE_BINANCE2VT[d["type"]] + dt = datetime.fromtimestamp(d["time"] / 1000) + time = dt.strftime("%Y-%m-%d %H:%M:%S") + + order = OrderData( + orderid=local_orderid, + symbol=d["symbol"], + exchange=Exchange.BINANCE, + price=float(d["price"]), + volume=float(d["origQty"]), + type=order_type, + direction=direction, + traded=float(d["executedQty"]), + status=STATUS_BINANCE2VT.get(d["status"], None), + time=time, + gateway_name=self.gateway_name, + ) + print("委托查询--远端id：",sys_orderid, "本地Id：", local_orderid) + self.order_manager.on_order(order) + + self.gateway.write_log("委托信息查询成功") + + def on_query_contract(self, data, request): + """""" + for d in data["symbols"]: + base_currency = d["baseAsset"] + quote_currency = d["quoteAsset"] + name = f"{base_currency.upper()}/{quote_currency.upper()}" + pricetick = 0 + min_volume = 0 + for f in d["filters"]: + if f["filterType"] == "PRICE_FILTER": + pricetick = f["tickSize"] + if f["filterType"] == "LOT_SIZE": + min_volume = f["stepSize"] + contract = ContractData( + symbol=d["symbol"], + exchange=Exchange.BINANCE, + name=name, + pricetick=pricetick, + size=1, + min_volume=min_volume, + product=Product.SPOT, + gateway_name=self.gateway_name, + ) + self.gateway.on_contract(contract) + + binance_symbols.add(contract.symbol) + symbol_name_map[contract.symbol] = contract.name + + self.gateway.write_log("合约信息查询成功") + + def on_send_order(self, data, request): + """""" + order = request.extra + if self.check_error(data, "委托"): + order.status = Status.REJECTED + self.order_manager.on_order(order) + return + order.status = STATUS_BINANCE2VT.get(data["status"], None) + sys_orderid = data["orderId"] + self.order_manager.on_order(order) + self.order_manager.update_orderid_map(order.orderid, sys_orderid) + + def on_send_order_failed(self, status_code: str, request: Request): + """ + Callback when sending order failed on server. + """ + order = request.extra + order.status = Status.REJECTED + self.gateway.on_order(order) + + msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}" + self.gateway.write_log(msg) + + def on_send_order_error( + self, exception_type: type, exception_value: Exception, tb, request: Request + ): + """ + Callback when sending order caused exception. + """ + order = request.extra + order.status = Status.REJECTED + self.gateway.on_order(order) + + # Record exception if not ConnectionError + if not issubclass(exception_type, ConnectionError): + self.on_error(exception_type, exception_value, tb, request) + + def on_cancel_order(self, data, request): + """""" + cancel_request = request.extra + local_orderid = cancel_request.orderid + order = self.order_manager.get_order_with_local_orderid(local_orderid) + + if self.check_error(data, "撤单"): + order.status = Status.REJECTED + else: + order.status = Status.CANCELLED + self.gateway.write_log(f"委托撤单成功：{order.orderid}") + + self.order_manager.on_order(order) + + def on_start_userStream(self, data, request): + self.userStreamKey = data['listenKey'] + self.keepaliveCount = 0 + url = WEBSOCKET_TRADE_HOST + self.userStreamKey + self.trade_ws_api.connect( + key=self.key, + secret=self.secret, + url=url, + proxy_host=self.proxy_host, + proxy_port=self.proxy_port) + + def on_keepalive_userStream(self, data, request): + self.gateway.write_log("交易推送刷新成功") + if self.keepaliveCount >= 1800: + self.keepaliveCount = 0 + self.keepalive_userStream(self.userStreamKey) + + def on_close_userStream(self, listenKey): + self.gateway.write_log("交易推送关闭") + + def check_error(self, data: dict, func: str = ""): + """""" + if data["status"] != "error": + return False + + error_code = data["err-code"] + error_msg = data["err-msg"] + + self.gateway.write_log(f"{func}请求出错，代码：{error_code}，信息：{error_msg}") + return True + + +class BinanceWebsocketApiBase(WebsocketClient): + """""" + + def __init__(self, gateway): + """""" + super(BinanceWebsocketApiBase, self).__init__() + + self.gateway = gateway + self.gateway_name = gateway.gateway_name + + self.key = "" + self.secret = "" + #self.sign_host = "" + self.path = "" + + def connect( + self, + key: str, + secret: str, + url: str, + proxy_host: str, + proxy_port: int + ): + """""" + self.key = key + self.secret = secret + + #host, path = _split_url(url) + #self.sign_host = host + #self.path = path + + self.init(url, proxy_host, proxy_port) + self.start() + + def login(self): + """""" + params = {"op": "auth"} + #params.update(create_signature(self.key, "GET", self.sign_host, self.path, self.secret)) + return self.send_packet(params) + + def on_login(self, packet): + """""" + pass + + @staticmethod + def unpack_data(data): + """""" + print("==============unpack_data============") + print(data) + return json.loads(data) + #return json.loads(zlib.decompress(data, zlib.Z_BEST_COMPRESSION)) + + def on_packet(self, packet): + """""" + print("=============on_packet=============") + print("event type:"+packet["e"]) + print(packet) + #if packet["e"] == "executionReport": + if "ping" in packet: + req = {"pong": packet["ping"]} + self.send_packet(req) + elif "op" in packet and packet["op"] == "ping": + req = { + "op": "pong", + "ts": packet["ts"] + } + self.send_packet(req) + elif "err-msg" in packet: + return self.on_error_msg(packet) + elif "op" in packet and packet["op"] == "auth": + return self.on_login() + else: + self.on_data(packet) + + def on_data(self, packet): + """""" + print("data : {}".format(packet)) + + def on_error_msg(self, packet): + """""" + msg = packet["err-msg"] + if msg == "invalid pong": + return + + self.gateway.write_log(packet["err-msg"]) + + +class BinanceTradeWebsocketApi(BinanceWebsocketApiBase): + """""" + def __init__(self, gateway): + """""" + super().__init__(gateway) + + self.order_manager = gateway.order_manager + self.order_manager.push_data_callback = self.on_data + + self.req_id = 0 + + def connect(self, key, secret, url, proxy_host, proxy_port): + """""" + super().connect(key, secret, url, proxy_host, proxy_port) + self.gateway.write_log("交易Websocket API连接成功") + self.gateway.rest_api.keepalive_userStream() + + def subscribe(self, req: SubscribeRequest): + """""" + self.req_id += 1 + req = { + "op": "sub", + "cid": str(self.req_id), + "topic": f"orders.{req.symbol}" + } + self.send_packet(req) + + def on_connected(self): + """""" + pass + + def on_login(self): + """""" + pass + + def on_data(self, packet): # type: (dict)->None + """""" + print("==========on_data1=========") + # push order data change + if packet["e"] == "executionReport": + self.on_order(packet) + + # order = OrderData( + # symbol=packet["s"], + # exchange=Exchange.BINANCE, + # orderid=packet["i"], + # status=STATUS_BINANCE2VT.get(packet["X"], None), + # traded=float(packet["Z"]), + # price=float(packet["L"]), + # time=packet["O"], + # gateway_name=self.gateway_name + # ) + # self.on_order(order) + + # push account data change + if packet["e"] == "outboundAccountInfo": + for account_data in packet["B"]: + account = AccountData( + accountid=account_data["a"], + balance=float(account_data["f"]), + frozen=float(account_data["l"]), + gateway_name=self.gateway_name + ) + self.on_account(account) + + def on_order(self, data: dict): + """""" + + sys_orderid = str(data["i"]) + order = self.order_manager.get_order_with_sys_orderid(sys_orderid) + if not order: + self.order_manager.add_push_data(sys_orderid, data) + return + + traded_volume = float(data["Z"]) + # Push order event + + order.traded += traded_volume + order.status = STATUS_BINANCE2VT.get(packet["X"], None) + order.price = float(data["L"]) + order.time = data["O"] + order.symbol = data["s"] + + print("远端ID：", sys_orderid, "本地ID：", order) + self.order_manager.on_order(order) + + + # Push trade event + traded_volume = data.traded + if not traded_volume: + return + + trade = TradeData( + symbol=order.symbol, + exchange=Exchange.BINANCE, + orderid=order.orderid, + direction=order.direction, + price=float(order.price), + volume=float(order.traded), + time=datetime.now().strftime("%H:%M:%S"), + gateway_name=self.gateway_name, + ) + self.gateway.on_trade(trade) + + def on_account(self, data: dict): + """""" + self.gateway.on_account(data) + +class BinanceDataWebsocketApi(BinanceWebsocketApiBase): + """""" + + def __init__(self, gateway): + """""" + super().__init__(gateway) + + self.req_id = 0 + self.ticks = {} + + def connect(self, key: str, secret: str, proxy_host: str, proxy_port: int): + """""" + super().connect(key, secret, WEBSOCKET_DATA_HOST, proxy_host, proxy_port) + self.gateway.write_log("行情Websocket API连接成功") + + def on_connected(self): + """""" + pass + + def subscribe(self, req: SubscribeRequest): + """""" + symbol = req.symbol + print("============BinanceDataWebsocketApi.subscribe===========") + print("symbol"+symbol) + # Create tick data buffer + tick = TickData( + symbol=symbol, + name=symbol_name_map.get(symbol, ""), + exchange=Exchange.BINANCE, + datetime=datetime.now(), + gateway_name=self.gateway_name, + ) + self.ticks[symbol] = tick + + # Subscribe to market depth update + self.req_id += 1 + req = { + "sub": f"market.{symbol}.depth.step0", + "id": str(self.req_id) + } + self.send_packet(req) + + # Subscribe to market detail update + self.req_id += 1 + req = { + "sub": f"market.{symbol}.detail", + "id": str(self.req_id) + } + self.send_packet(req) + + def on_data(self, packet): # type: (dict)->None + """""" + print("===================on_data=====================") + print(packet) + + channel = packet.get("ch", None) + if channel: + if "depth.step" in channel: + self.on_market_depth(packet) + elif "detail" in channel: + self.on_market_detail(packet) + elif "err-code" in packet: + code = packet["err-code"] + msg = packet["err-msg"] + self.gateway.write_log(f"错误代码：{code}, 错误信息：{msg}") + + def on_market_depth(self, data): + """行情深度推送 """ + symbol = data["ch"].split(".")[1] + tick = self.ticks[symbol] + tick.datetime = datetime.fromtimestamp(data["ts"] / 1000) + + bids = data["tick"]["bids"] + for n in range(5): + price, volume = bids[n] + tick.__setattr__("bid_price_" + str(n + 1), float(price)) + tick.__setattr__("bid_volume_" + str(n + 1), float(volume)) + + asks = data["tick"]["asks"] + for n in range(5): + price, volume = asks[n] + tick.__setattr__("ask_price_" + str(n + 1), float(price)) + tick.__setattr__("ask_volume_" + str(n + 1), float(volume)) + + if tick.last_price: + self.gateway.on_tick(copy(tick)) + + def on_market_detail(self, data): + """市场细节推送""" + symbol = data["ch"].split(".")[1] + tick = self.ticks[symbol] + tick.datetime = datetime.fromtimestamp(data["ts"] / 1000) + + tick_data = data["tick"] + tick.open_price = float(tick_data["open"]) + tick.high_price = float(tick_data["high"]) + tick.low_price = float(tick_data["low"]) + tick.last_price = float(tick_data["close"]) + tick.volume = float(tick_data["vol"]) + + if tick.bid_price_1: + self.gateway.on_tick(copy(tick)) + + +def _split_url(url): + """ + 将url拆分为host和path + :return: host, path + """ + result = re.match("\w+://([^/]*)(.*)", url) # noqa + if result: + return result.group(1), result.group(2) \ No newline at end of file