准备写okex的websocket api

vnpy/api/okexfuture/OkexFutureApi.py

@@ -1,7 +1,7 @@
 # encoding: UTF-8
 from typing import Any, Callable, List, Union
 
-from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase
+from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase, OkexFutureWebSocketBase
 from vnpy.api.rest import Request
 
 
@@ -424,11 +424,21 @@ class OkexFutureRestClient(OkexFutureRestBase):
     #---------------------------------------------------------------------
     @staticmethod
     def errorCodeToString(code):
-        assert code in errorCodeMap
+        assert code in restErrorCodeMap
-        return errorCodeMap[code]
+        return restErrorCodeMap[code]
 
 
-errorCodeMap = {
+#----------------------------------------------------------------------
+class OkexFutureWebSocketApi(OkexFutureWebSocketBase):
+    
+    def subscribe(self, packet):
+        pass
+    
+    def onPacket(self, packet):
+        pass
+
+
+restErrorCodeMap = {
     0: '远程服务器并未给出错误代码',
     
     20001: '用户不存在',
@@ -473,3 +483,104 @@ errorCodeMap = {
     21026: '您的账户已被限制开仓操作',
     20119: '接口已下线或无法使用',
 }
+
+webSocketErrorCodeMap = {
+    10000: '必填参数为空',
+    10001: '参数错误',
+    10002: '验证失败',
+    10003: '该连接已经请求了其他用户的实时交易数据',
+    10004: '该连接没有请求此用户的实时交易数据',
+    10005: 'api_key或者sign不合法',
+    10008: '非法参数',
+    10009: '订单不存在',
+    10010: '余额不足',
+    10011: '卖的数量小于BTC/LTC最小买卖额度',
+    10012: '当前网站暂时只支持btc_usd ltc_usd',
+    10014: '下单价格不得≤0或≥1000000',
+    10015: '暂不支持此channel订阅',
+    10016: '币数量不足',
+    10017: 'WebSocket鉴权失败',
+    10100: '用户被冻结',
+    10049: '小额委托（<0.15BTC)的未成交委托数量不得大于50个',
+    10216: '非开放API',
+    20001: '用户不存在',
+    20002: '用户被冻结',
+    20003: '用户被爆仓冻结',
+    20004: '合约账户被冻结',
+    20005: '用户合约账户不存在',
+    20006: '必填参数为空',
+    20007: '参数错误',
+    20008: '合约账户余额为空',
+    20009: '虚拟合约状态错误',
+    20010: '合约风险率信息不存在',
+    20011: '开仓前保证金率超过90%',
+    20012: '开仓后保证金率超过90%',
+    20013: '暂无对手价',
+    20014: '系统错误',
+    20015: '订单信息不存在',
+    20016: '平仓数量是否大于同方向可用持仓数量',
+    20017: '非本人操作',
+    20018: '下单价格高于前一分钟的105%或低于95%',
+    20019: '该IP限制不能请求该资源',
+    20020: '密钥不存在',
+    20021: '指数信息不存在',
+    20022: '接口调用错误',
+    20023: '逐仓用户',
+    20024: 'sign签名不匹配',
+    20025: '杠杆比率错误',
+    20100: '请求超时',
+    20101: '数据格式无效',
+    20102: '登录无效',
+    20103: '数据事件类型无效',
+    20104: '数据订阅类型无效',
+    20107: 'JSON格式错误',
+    20115: 'quote参数未匹配到',
+    20116: '参数不匹配',
+    1002: '交易金额大于余额',
+    1003: '交易金额小于最小交易值',
+    1004: '交易金额小于0',
+    1007: '没有交易市场信息',
+    1008: '没有最新行情信息',
+    1009: '没有订单',
+    1010: '撤销订单与原订单用户不一致',
+    1011: '没有查询到该用户',
+    1013: '没有订单类型',
+    1014: '没有登录',
+    1015: '没有获取到行情深度信息',
+    1017: '日期参数错误',
+    1018: '下单失败',
+    1019: '撤销订单失败',
+    1024: '币种不存在',
+    1025: '没有K线类型',
+    1026: '没有基准币数量',
+    1027: '参数不合法可能超出限制',
+    1028: '保留小数位失败',
+    1029: '正在准备中',
+    1030: '有融资融币无法进行交易',
+    1031: '转账余额不足',
+    1032: '该币种不能转账',
+    1035: '密码不合法',
+    1036: '谷歌验证码不合法',
+    1037: '谷歌验证码不正确',
+    1038: '谷歌验证码重复使用',
+    1039: '短信验证码输错限制',
+    1040: '短信验证码不合法',
+    1041: '短信验证码不正确',
+    1042: '谷歌验证码输错限制',
+    1043: '登陆密码不允许与交易密码一致',
+    1044: '原密码错误',
+    1045: '未设置二次验证',
+    1046: '原密码未输入',
+    1048: '用户被冻结',
+    1050: '订单已撤销或者撤销中',
+    1051: '订单已完成交易',
+    1201: '账号零时删除',
+    1202: '账号不存在',
+    1203: '转账金额大于余额',
+    1204: '不同种币种不能转账',
+    1205: '账号不存在主从关系',
+    1206: '提现用户被冻结',
+    1207: '不支持转账',
+    1208: '没有该转账用户',
+    1209: '当前api不可用',
+}

vnpy/api/okexfuture/vnokexFuture.py

@@ -1,8 +1,10 @@
 # encoding: UTF-8
 import hashlib
 import urllib
+from abc import abstractmethod
 
 from vnpy.api.rest import Request, RestClient
+from vnpy.api.websocket import WebSocketClient
 
 
 #----------------------------------------------------------------------
@@ -48,3 +50,38 @@ class OkexFutureRestBase(RestClient):
         req.headers = {'Content-Type': 'application/x-www-form-urlencoded'}
         req.data = data
         return req
+
+
+########################################################################
+class OkexFutureWebSocketBase(WebSocketClient):
+    """
+    Okex期货websocket客户端
+    实例化后使用init设置apiKey和secretKey（apiSecret）
+    """
+    host = 'wss://real.okex.com:10440/websocket/okexapi'
+    
+    def __init__(self):
+        super(OkexFutureWebSocketBase, self).__init__()
+        self.apiKey = None
+        self.apiSecret = None
+    
+    #----------------------------------------------------------------------
+    # noinspection PyMethodOverriding
+    def init(self, apiKey, secretKey):
+        super(OkexFutureWebSocketBase, self).init(self.host)
+        
+        self.apiKey = apiKey
+        self.apiSecret = secretKey
+    
+    #----------------------------------------------------------------------
+    def sendPacket(self, dictObj, authenticate=False):
+        if authenticate:
+            data = urllib.urlencode(sorted(dictObj.items()))
+            signature = sign(data, self.apiSecret)
+            dictObj['sign'] = signature
+        return super(OkexFutureWebSocketBase, self).sendPacket(dictObj)
+    
+    #----------------------------------------------------------------------
+    @abstractmethod
+    def onPacket(self, packet):
+        pass

vnpy/api/websocket/WebSocketClient.py

@@ -49,6 +49,7 @@ class WebSocketClient(object):
     def setCreateConnection(self, func):
         """
         for internal usage
+        :param func: a function like websocket.create_connection
         """
         self.createConnection = func