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[Fix]use abs for trade volume

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This commit is contained in:
vn.py 2019-04-17 09:20:29 +08:00
parent fdd4094d33
commit 9de35bfd43
2 changed files with 18 additions and 9 deletions
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2
tests/trader/run.py
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@ -12,6 +12,7 @@ from vnpy.gateway.tiger import TigerGateway
from vnpy.gateway.oes import OesGateway
from vnpy.gateway.okex import OkexGateway
from vnpy.gateway.huobi import HuobiGateway
from vnpy.gateway.bitfinex import BitfinexGateway
from vnpy.app.cta_strategy import CtaStrategyApp
from vnpy.app.csv_loader import CsvLoaderApp
@ -34,6 +35,7 @@ def main():
main_engine.add_gateway(OesGateway)
main_engine.add_gateway(OkexGateway)
main_engine.add_gateway(HuobiGateway)
main_engine.add_gateway(BitfinexGateway)
main_engine.add_app(CtaStrategyApp)
main_engine.add_app(CtaBacktesterApp)

25
vnpy/gateway/bitfinex/bitfinex_gateway.py
View File

@ -50,11 +50,11 @@ ORDERTYPE_VT2BITFINEX = {
OrderType.MARKET: "EXCHANGE MARKET",
}
DIRECTION_VT2BITFINEX = {
Direction.LONG: "Buy",
Direction.LONG: "Buy",
Direction.SHORT: "Sell",
}
DIRECTION_BITFINEX2VT = {
"Buy": Direction.LONG,
"Buy": Direction.LONG,
"Sell": Direction.SHORT,
}
@ -204,7 +204,7 @@ class BitfinexRestApi(RestClient):
def on_query_contract(self, data, request):
""""""
for d in data:
for d in data:
contract = ContractData(
symbol=d["pair"].upper(),
exchange=Exchange.BITFINEX,
@ -215,7 +215,7 @@ class BitfinexRestApi(RestClient):
gateway_name=self.gateway_name,
)
self.gateway.on_contract(contract)
self.gateway.write_log("账户资金查询成功")
def on_failed(self, status_code: int, request: Request):
@ -357,7 +357,7 @@ class BitfinexWebsocketApi(WebsocketClient):
def on_packet(self, packet: dict):
""""""
if isinstance(packet, dict):
if isinstance(packet, dict):
self.on_response(packet)
else:
self.on_update(packet)
@ -412,7 +412,7 @@ class BitfinexWebsocketApi(WebsocketClient):
tick.low_price = float(l_data1[-1])
tick.last_price = float(l_data1[-4])
tick.open_price = float(tick.last_price - l_data1[4])
# Update deep quote
elif channel == "book":
bid = self.bidDict.setdefault(symbol, {})
@ -490,6 +490,7 @@ class BitfinexWebsocketApi(WebsocketClient):
def on_wallet(self, data):
""""""
if str(data[0]) == "exchange":
print("wallet", data)
accountid = str(data[1])
account = self.accounts.get(accountid, None)
if not account:
@ -602,7 +603,8 @@ class BitfinexWebsocketApi(WebsocketClient):
tick.__setattr__("ask_price_%s" % (n + 1), price)
tick.__setattr__("ask_volume_%s" % (n + 1), volume)
tick.datetime = datetime.strptime(d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
tick.datetime = datetime.strptime(
d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
self.gateway.on_tick(copy(tick))
def on_trade(self, data):
@ -619,7 +621,7 @@ class BitfinexWebsocketApi(WebsocketClient):
exchange=Exchange.BITFINEX,
orderid=data[-1],
direction=direction,
volume=data[4],
volume=abs(data[4]),
price=data[5],
tradeid=str(self.trade_id),
time=self.generate_date_time(data[2]),
@ -641,7 +643,12 @@ class BitfinexWebsocketApi(WebsocketClient):
data = d[4]
error_info = d[-1]
# Filter cancel of non-existing order
orderid = str(data[2])
if orderid == "None":
self.gateway.write_log("撤单失败，委托不存在")
return
if data[6] > 0:
direction = Direction.LONG
else:
@ -666,7 +673,7 @@ class BitfinexWebsocketApi(WebsocketClient):
def on_order(self, data):
""""""
orderid = str(data[2])
if data[7] > 0:
direction = Direction.LONG
else: