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Merge pull request #1193 from nanoric/okexv3

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[Add] OkexGateway:增加深度信息
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vn.py 2018-10-26 11:54:58 +08:00 committed by GitHub
commit a45a55d2f6
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1 changed files with 81 additions and 18 deletions
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99
vnpy/trader/gateway/okexFuturesGateway/okexFuturesGateway.py
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@ -150,6 +150,8 @@ class OkexFuturesGateway(VtGateway):
self.tradeID = 0 self.tradeID = 0
self._orders = {} # type: Dict[str, Order] self._orders = {} # type: Dict[str, Order]
self._remoteIds = {} # type: Dict[str, Order] self._remoteIds = {} # type: Dict[str, Order]
self._lastTicker = None # type: VtTickData
self._utcOffset = datetime.now() - datetime.utcnow()
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def readConfig(self): def readConfig(self):
@ -211,9 +213,18 @@ class OkexFuturesGateway(VtGateway):
remoteSymbol = s.v1Symbol.lower() remoteSymbol = s.v1Symbol.lower()
remoteContractType = s.remoteContractType remoteContractType = s.remoteContractType
# ticker
self.webSocket.sendPacket({ self.webSocket.sendPacket({
'event': 'addChannel', 'event': 'addChannel',
'channel': 'ok_sub_futureusd_' + remoteSymbol.lower() + '_ticker_' + remoteContractType 'channel':
'ok_sub_futureusd_' + remoteSymbol.lower() + '_ticker_' + remoteContractType
})
# depth
self.webSocket.sendPacket({
'event': 'addChannel',
'channel':
'ok_sub_futureusd_' + remoteSymbol.lower() + '_depth' + remoteContractType + '_5'
}) })
#---------------------------------------------------------------------- #----------------------------------------------------------------------
@ -620,18 +631,64 @@ class OkexFuturesGateway(VtGateway):
uiSymbol = remoteSymbolToLocal(channel.symbol, uiSymbol = remoteSymbolToLocal(channel.symbol,
remoteContractTypeToLocal( remoteContractTypeToLocal(
channel.remoteContractType)) channel.remoteContractType))
self.onTick(VtTickData.createFromGateway( if self._lastTicker is None:
gateway=self, self._lastTicker = VtTickData.createFromGateway(
symbol=uiSymbol, gateway=self,
exchange=self.exchange, symbol=uiSymbol,
lastPrice=data['last'], exchange=self.exchange,
lastVolume=data['vol'], lastPrice=float(data['last']),
highPrice=data['high'], lastVolume=float(data['vol']),
lowPrice=data['low'], highPrice=float(data['high']),
openInterest=data['hold_amount'], lowPrice=float(data['low']),
lowerLimit=data['limitLow'], openInterest=float(data['hold_amount']),
upperLimit=data['limitHigh'], lowerLimit=float(data['limitLow']),
)) upperLimit=float(data['limitHigh']),
)
else:
self._lastTicker.lastPrice = float(data['last'])
self._lastTicker.lastVolume = float(data['vol'])
self._lastTicker.highPrice = float(data['high'])
self._lastTicker.lowPrice = float(data['low'])
self._lastTicker.openInterest = float(data['hold_amount'])
self._lastTicker.lowerLimit = float(data['limitLow'])
self._lastTicker.upperLimit = float(data['limitHigh'])
self._lastTicker.datetime = datetime.now()
self._lastTicker.date = self._lastTicker.datetime.strftime('%Y%m%d')
self._lastTicker.time = self._lastTicker.datetime.strftime('%H:%M:%S')
self.onTick(self._lastTicker)
elif channel.type == ChannelType.Depth:
asks = data['asks']
bids = data['bids']
if self._lastTicker is not None:
timestamp = float(data['timestamp'])
ts = datetime.utcfromtimestamp(timestamp/1000) + self._utcOffset
self._lastTicker.askPrice1 = asks[0][0]
self._lastTicker.askPrice2 = asks[1][0]
self._lastTicker.askPrice3 = asks[2][0]
self._lastTicker.askPrice4 = asks[3][0]
self._lastTicker.askPrice5 = asks[4][0]
self._lastTicker.askVolume1 = asks[0][1]
self._lastTicker.askVolume2 = asks[1][1]
self._lastTicker.askVolume3 = asks[2][1]
self._lastTicker.askVolume4 = asks[3][1]
self._lastTicker.askVolume5 = asks[4][1]
self._lastTicker.bidPrice1 = bids[0][0]
self._lastTicker.bidPrice2 = bids[1][0]
self._lastTicker.bidPrice3 = bids[2][0]
self._lastTicker.bidPrice4 = bids[3][0]
self._lastTicker.bidPrice5 = bids[4][0]
self._lastTicker.bidVolume1 = bids[0][1]
self._lastTicker.bidVolume2 = bids[1][1]
self._lastTicker.bidVolume3 = bids[2][1]
self._lastTicker.bidVolume4 = bids[3][1]
self._lastTicker.bidVolume5 = bids[4][1]
self._lastTicker.datetime = ts
self._lastTicker.date = self._lastTicker.datetime.strftime('%Y%m%d')
self._lastTicker.time = self._lastTicker.datetime.strftime('%H:%M:%S')
self.onTick(self._lastTicker)
elif channel.type == ChannelType.Position: elif channel.type == ChannelType.Position:
symbol = data['symbol'] symbol = data['symbol']
positions = data['positions'] positions = data['positions']
@ -771,16 +828,22 @@ def parseChannel(channel): # type: (str)->Channel
easySymbol + '_' + crash, easySymbol + '_' + crash,
remotePrefixToRemoteContractType(contractTypePrefix)) remotePrefixToRemoteContractType(contractTypePrefix))
elif sp[-1] == 'week': elif sp[-1] == 'week':
# if lsp == 9:
# _, _, _, easySymbol, crash, typeName, contractTypePrefix, _, depth = sp
# return ExtraSymbolChannel(ChannelType.Depth, easySymbol + '_' + crash,
# remotePrefixToRemoteContractType(contractTypePrefix),
# depth)
if lsp == 8: if lsp == 8:
_, _, _, easySymbol, crash, typeName, contractTypePrefix, _ = sp _, _, _, easySymbol, crash, typeName, contractTypePrefix, _ = sp
return Channel(ChannelType.Tick, return Channel(ChannelType.Tick,
easySymbol + '_' + crash, easySymbol + '_' + crash,
remotePrefixToRemoteContractType(contractTypePrefix)) remotePrefixToRemoteContractType(contractTypePrefix))
if sp[-1] == '5':
if lsp == 7: # eg "ok_sub_futureusd_eth_usd_depthquarter_5"
_, _, _, easySymbol, crash, typeName_contractTypePrefix, depth = sp
return Channel(ChannelType.Depth, easySymbol + '_' + crash,
remotePrefixToRemoteContractType(typeName_contractTypePrefix[5:]),
depth)
if lsp == 8: # eg "ok_sub_futureusd_eth_usd_depthnext_week_5"
_, _, _, easySymbol, crash, typeName_contractTypePrefix, _, depth = sp
return Channel(ChannelType.Depth, easySymbol + '_' + crash,
remotePrefixToRemoteContractType(typeName_contractTypePrefix[5:]),
depth)
#---------------------------------------------------------------------- #----------------------------------------------------------------------