vn.py
GitHub
commit
afb079c9ca
@ -28,6 +28,7 @@ from vnpy.gateway.okexs import OkexsGateway
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# from vnpy.gateway.tora import ToraGateway
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# from vnpy.gateway.alpaca import AlpacaGateway
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from vnpy.gateway.da import DaGateway
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from vnpy.gateway.coinbase import CoinbaseGateway
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from vnpy.app.cta_strategy import CtaStrategyApp
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# from vnpy.app.csv_loader import CsvLoaderApp
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@ -69,8 +70,9 @@ def main():
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# main_engine.add_gateway(TapGateway)
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# main_engine.add_gateway(ToraGateway)
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# main_engine.add_gateway(AlpacaGateway)
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main_engine.add_gateway(OkexsGateway)
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main_engine.add_gateway(DaGateway)
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# main_engine.add_gateway(OkexsGateway)
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# main_engine.add_gateway(DaGateway)
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main_engine.add_gateway(CoinbaseGateway)
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main_engine.add_app(CtaStrategyApp)
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main_engine.add_app(CtaBacktesterApp)
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@ -106,6 +106,10 @@ class ChartWidget(pg.PlotWidget):
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# Store plot object in dict
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self._plots[plot_name] = plot
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# Add plot onto the layout
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self._layout.nextRow()
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self._layout.addItem(plot)
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def add_item(
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self,
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item_class: Type[ChartItem],
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@ -120,10 +124,8 @@ class ChartWidget(pg.PlotWidget):
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plot = self._plots.get(plot_name)
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plot.addItem(item)
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self._item_plot_map[item] = plot
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self._layout.nextRow()
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self._layout.addItem(plot)
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self._item_plot_map[item] = plot
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def get_plot(self, plot_name: str) -> pg.PlotItem:
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"""
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1
vnpy/gateway/coinbase/__init__.py
Normal file
1
vnpy/gateway/coinbase/__init__.py
Normal file
@ -0,0 +1 @@
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from .coinbase_gateway import CoinbaseGateway
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892
vnpy/gateway/coinbase/coinbase_gateway.py
Normal file
892
vnpy/gateway/coinbase/coinbase_gateway.py
Normal file
@ -0,0 +1,892 @@
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import hashlib
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import hmac
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import json
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import sys
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import time
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from copy import copy
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from datetime import datetime, timedelta
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import base64
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import uuid
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from typing import List, Sequence
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from requests import ConnectionError
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from vnpy.event import Event
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from vnpy.api.rest import Request, RestClient
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from vnpy.api.websocket import WebsocketClient
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from vnpy.trader.event import EVENT_TIMER
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from vnpy.trader.constant import (
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Direction,
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Exchange,
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OrderType,
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Product,
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Status,
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Interval
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)
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from vnpy.trader.gateway import BaseGateway
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from vnpy.trader.object import (
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TickData,
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OrderData,
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TradeData,
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AccountData,
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ContractData,
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BarData,
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OrderRequest,
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CancelRequest,
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SubscribeRequest,
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HistoryRequest
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)
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REST_HOST = "https://api.pro.coinbase.com"
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WEBSOCKET_HOST = "wss://ws-feed.pro.coinbase.com"
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SANDBOX_REST_HOST = "https://api-public.sandbox.pro.coinbase.com"
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SANDBOX_WEBSOCKET_HOST = "wss://ws-feed-public.sandbox.pro.coinbase.com"
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DIRECTION_VT2COINBASE = {Direction.LONG: "buy", Direction.SHORT: "sell"}
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DIRECTION_COINBASE2VT = {v: k for k, v in DIRECTION_VT2COINBASE.items()}
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ORDERTYPE_VT2COINBASE = {
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OrderType.LIMIT: "limit",
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OrderType.MARKET: "market",
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}
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ORDERTYPE_COINBASE2VT = {v: k for k, v in ORDERTYPE_VT2COINBASE.items()}
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INTERVAL_VT2COINBASE = {
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Interval.MINUTE: 60,
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Interval.HOUR: 3600,
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Interval.DAILY: 86400,
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}
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TIMEDELTA_MAP = {
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Interval.MINUTE: timedelta(minutes=1),
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Interval.HOUR: timedelta(hours=1),
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Interval.DAILY: timedelta(days=1),
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}
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sys_order_map = {}
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symbol_name_map = {}
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class CoinbaseGateway(BaseGateway):
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"""
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VN Trader Gateway for coinbase connection
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"""
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default_setting = {
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"ID": "",
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"Secret": "",
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"passphrase": "",
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"会话数": 3,
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"server": ["REAL", "SANDBOX"],
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"proxy_host": "",
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"proxy_port": "",
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}
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exchanges = [Exchange.COINBASE]
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def __init__(self, event_engine):
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"""Constructor"""
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super(CoinbaseGateway, self).__init__(event_engine, "COINBASE")
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self.rest_api = CoinbaseRestApi(self)
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self.ws_api = CoinbaseWebsocketApi(self)
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def connect(self, setting: dict):
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""""""
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key = setting["ID"]
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secret = setting["Secret"]
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session_number = setting["会话数"]
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proxy_host = setting["proxy_host"]
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proxy_port = setting["proxy_port"]
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server = setting['server']
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passphrase = setting['passphrase']
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if proxy_port.isdigit():
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proxy_port = int(proxy_port)
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else:
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proxy_port = 0
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self.rest_api.connect(
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key,
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secret,
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passphrase,
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session_number,
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server,
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proxy_host,
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proxy_port
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)
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self.ws_api.connect(
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key,
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secret,
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passphrase,
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server,
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proxy_host,
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proxy_port
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)
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self.init_query()
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def subscribe(self, req: SubscribeRequest):
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""""""
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self.ws_api.subscribe(req)
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def send_order(self, req: OrderRequest):
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""""""
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return self.rest_api.send_order(req)
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def cancel_order(self, req: CancelRequest):
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""""""
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self.rest_api.cancel_order(req)
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def query_account(self):
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""""""
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self.rest_api.query_account()
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def query_position(self):
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"""
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Query holding positions.
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"""
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pass
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def query_history(self, req: HistoryRequest):
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"""
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Query bar history data.
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"""
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return self.rest_api.query_history(req)
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def close(self):
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""""""
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self.rest_api.stop()
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self.ws_api.stop()
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def process_timer_event(self, event: Event):
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""""""
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self.rest_api.query_account()
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def init_query(self):
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""""""
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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class CoinbaseWebsocketApi(WebsocketClient):
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"""
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Coinbase WEBSOCKET API
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"""
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def __init__(self, gateway: BaseGateway):
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""""""
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super(CoinbaseWebsocketApi, self).__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.key = ""
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self.secret = ""
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self.passphrase = ""
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self.callbacks = {
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"ticker": self.on_orderbook,
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"l2update": self.on_orderbook,
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"snapshot": self.on_orderbook,
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"received": self.on_order_received,
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"open": self.on_order_open,
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"done": self.on_order_done,
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"match": self.on_order_match,
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}
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self.orderbooks = {}
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def connect(
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self,
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key: str,
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secret: str,
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passphrase: str,
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server: str,
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proxy_host: str,
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proxy_port: int
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):
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""""""
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self.gateway.write_log("开始连接ws接口")
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self.key = key
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self.secret = secret.encode()
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self.passphrase = passphrase
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if server == "REAL":
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self.init(WEBSOCKET_HOST, proxy_host, proxy_port)
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else:
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self.init(SANDBOX_WEBSOCKET_HOST, proxy_host, proxy_port)
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self.start()
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def subscribe(self, req: SubscribeRequest):
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""""""
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symbol = req.symbol
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exchange = req.exchange
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orderbook = OrderBook(symbol, exchange, self.gateway)
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self.orderbooks[symbol] = orderbook
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sub_req = {
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"type": "subscribe",
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"product_ids": [symbol],
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"channels": ["user", "level2", "ticker"],
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}
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timestamp = str(time.time())
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message = timestamp + 'GET' + '/users/self/verify'
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auth_headers = get_auth_header(
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timestamp,
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message,
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self.key,
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self.secret,
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self.passphrase
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)
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sub_req['signature'] = auth_headers['CB-ACCESS-SIGN']
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sub_req['key'] = auth_headers['CB-ACCESS-KEY']
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sub_req['passphrase'] = auth_headers['CB-ACCESS-PASSPHRASE']
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sub_req['timestamp'] = auth_headers['CB-ACCESS-TIMESTAMP']
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self.send_packet(sub_req)
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def on_connected(self):
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"""
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callback when connection is established
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"""
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self.gateway.write_log("Websocket API连接成功")
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def on_disconnected(self):
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""""""
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self.gateway.write_log("Websocket API连接断开")
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def on_packet(self, packet: dict):
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"""
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callback when data is received and unpacked
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"""
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if packet['type'] == 'error':
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self.gateway.write_log(
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"Websocket API报错： %s" % packet['message'])
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self.gateway.write_log(
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"Websocket API报错原因是： %s" % packet['reason'])
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self.active = False
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else:
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callback = self.callbacks.get(packet['type'], None)
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if callback:
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if packet['type'] not in ['ticker', 'snapshot', 'l2update']:
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callback(packet)
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else:
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product_id = packet['product_id']
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callback(packet, product_id)
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def on_orderbook(self, packet: dict, product_id: str):
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"""
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Call back when data is used to update orderbook
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"""
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orderbook = self.orderbooks[product_id]
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orderbook.on_message(packet)
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def on_order_received(self, packet: dict):
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"""
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Call back when order is received by Coinbase
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"""
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orderid = packet['client_oid']
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sysid = packet['order_id']
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order = OrderData(
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symbol=packet['product_id'],
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exchange=Exchange.COINBASE,
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type=ORDERTYPE_COINBASE2VT[packet['order_type']],
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orderid=orderid,
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direction=DIRECTION_COINBASE2VT[packet['side']],
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price=float(packet['price']),
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volume=float(packet['size']),
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time=packet['time'],
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status=Status.NOTTRADED,
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gateway_name=self.gateway_name,
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)
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sys_order_map[sysid] = order
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self.gateway.on_order(copy(order))
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def on_order_open(self, packet: dict):
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"""
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Call back when the order is on the orderbook
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"""
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sysid = packet['order_id']
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order = sys_order_map[sysid]
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order.traded = order.volume - float(packet['remaining_size'])
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if order.traded:
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order.status = Status.PARTTRADED
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self.gateway.on_order(copy(order))
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def on_order_done(self, packet: dict):
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"""
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Call back when the order is done
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"""
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sysid = packet['order_id']
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order = sys_order_map[sysid]
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if order.status == Status.CANCELLED:
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return
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order.traded = order.volume - float(packet['remaining_size'])
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if packet['reason'] == 'filled':
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order.status = Status.ALLTRADED
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else:
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order.status = Status.CANCELLED
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self.gateway.on_order(copy(order))
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def on_order_match(self, packet: dict):
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""""""
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if packet['maker_order_id'] in sys_order_map:
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order = sys_order_map[packet['maker_order_id']]
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else:
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order = sys_order_map[packet['taker_order_id']]
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trade = TradeData(
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symbol=packet['product_id'],
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exchange=Exchange.COINBASE,
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orderid=order.orderid,
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tradeid=packet['trade_id'],
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direction=DIRECTION_COINBASE2VT[packet['side']],
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price=float(packet['price']),
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volume=float(packet['size']),
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time=packet['time'],
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gateway_name=self.gateway_name,
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)
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self.gateway.on_trade(trade)
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class OrderBook():
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"""
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Used to maintain orderbook of coinbase data
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"""
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def __init__(self, symbol: str, exchange: Exchange, gateway: BaseGateway):
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"""
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one symbol per orderbook
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"""
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self.asks = dict()
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self.bids = dict()
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self.gateway = gateway
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self.tick = TickData(
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symbol=symbol,
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exchange=exchange,
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name=symbol_name_map.get(symbol, ""),
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datetime=datetime.now(),
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gateway_name=gateway.gateway_name,
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)
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self.first_update = False
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def on_message(self, d: dict):
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"""
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callback by websocket when server send orderbook data
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"""
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if d['type'] == 'l2update':
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dt = datetime.strptime(
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d["time"][:-4] + d['time'][-1], "%Y-%m-%dT%H:%M:%S.%fZ")
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self.on_update(d['changes'][0], dt)
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elif d['type'] == 'snapshot':
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self.on_snapshot(d['asks'], d['bids'])
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else:
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self.on_ticker(d)
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def on_update(self, d: list, dt):
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"""
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call back when type is 12update
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"""
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size = d[2]
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price = d[1]
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side = d[0]
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if side == 'buy':
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if float(price) in self.bids:
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if size == 0:
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del self.bids[float(price)]
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else:
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self.bids[float(price)] = float(size)
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else:
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self.bids[float(price)] = float(size)
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else:
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if float(price) in self.asks:
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if size == 0:
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del self.asks[float(price)]
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else:
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self.asks[float(price)] = float(size)
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else:
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self.asks[float(price)] = float(size)
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self.generate_tick(dt)
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def on_ticker(self, d: dict):
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"""
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call back when type is ticker
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"""
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tick = self.tick
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tick.open_price = float(d['open_24h'])
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tick.high_price = float(d['high_24h'])
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tick.low_price = float(d['low_24h'])
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tick.last_price = float(d['price'])
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tick.volume = float(d['volume_24h'])
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self.gateway.on_tick(copy(tick))
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def on_snapshot(self, asks: Sequence[List], bids: Sequence[List]):
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"""
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call back when type is snapshot
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"""
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for price, size in asks:
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self.asks[float(price)] = float(size)
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for price, size in bids:
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self.bids[float(price)] = float(size)
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def generate_tick(self, dt: datetime):
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""""""
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tick = self.tick
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bids_keys = self.bids.keys()
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bids_keys = sorted(bids_keys, reverse=True)
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tick.bid_price_1 = bids_keys[0]
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tick.bid_price_2 = bids_keys[1]
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tick.bid_price_3 = bids_keys[2]
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tick.bid_price_4 = bids_keys[3]
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tick.bid_price_5 = bids_keys[4]
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tick.bid_volume_1 = self.bids[bids_keys[0]]
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||||
tick.bid_volume_2 = self.bids[bids_keys[1]]
|
||||
tick.bid_volume_3 = self.bids[bids_keys[2]]
|
||||
tick.bid_volume_4 = self.bids[bids_keys[3]]
|
||||
tick.bid_volume_5 = self.bids[bids_keys[4]]
|
||||
|
||||
asks_keys = self.asks.keys()
|
||||
asks_keys = sorted(asks_keys)
|
||||
|
||||
tick.ask_price_1 = asks_keys[0]
|
||||
tick.ask_price_2 = asks_keys[1]
|
||||
tick.ask_price_3 = asks_keys[2]
|
||||
tick.ask_price_4 = asks_keys[3]
|
||||
tick.ask_price_5 = asks_keys[4]
|
||||
|
||||
tick.ask_volume_1 = self.asks[asks_keys[0]]
|
||||
tick.ask_volume_2 = self.asks[asks_keys[1]]
|
||||
tick.ask_volume_3 = self.asks[asks_keys[2]]
|
||||
tick.ask_volume_4 = self.asks[asks_keys[3]]
|
||||
tick.ask_volume_5 = self.asks[asks_keys[4]]
|
||||
|
||||
tick.datetime = dt
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
|
||||
class CoinbaseRestApi(RestClient):
|
||||
"""
|
||||
Coinbase REST API
|
||||
"""
|
||||
|
||||
def __init__(self, gateway: BaseGateway):
|
||||
""""""
|
||||
super(CoinbaseRestApi, self).__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
self.key = ""
|
||||
self.secret = ""
|
||||
self.passphrase = ""
|
||||
|
||||
self.accounts = {}
|
||||
|
||||
def sign(self, request):
|
||||
"""
|
||||
Generate Coinbase signature
|
||||
"""
|
||||
timestamp = str(time.time())
|
||||
message = ''.join([timestamp, request.method,
|
||||
request.path, request.data or ""])
|
||||
request.headers = (get_auth_header(timestamp, message,
|
||||
self.key,
|
||||
self.secret,
|
||||
self.passphrase))
|
||||
return request
|
||||
|
||||
def connect(
|
||||
self,
|
||||
key: str,
|
||||
secret: str,
|
||||
passphrase: str,
|
||||
session_number: int,
|
||||
server: str,
|
||||
proxy_host: str,
|
||||
proxy_port: int,
|
||||
):
|
||||
"""
|
||||
Initialize connection to REST server
|
||||
"""
|
||||
self.key = key
|
||||
self.secret = secret.encode()
|
||||
self.passphrase = passphrase
|
||||
|
||||
if server == "REAL":
|
||||
self.init(REST_HOST, proxy_host, proxy_port)
|
||||
else:
|
||||
self.init(SANDBOX_REST_HOST, proxy_host, proxy_port)
|
||||
|
||||
self.start(session_number)
|
||||
|
||||
self.query_instrument()
|
||||
self.query_order()
|
||||
|
||||
self.gateway.write_log("REST API启动成功")
|
||||
|
||||
def query_instrument(self):
|
||||
"""
|
||||
Get the instrument of Coinbase
|
||||
"""
|
||||
self.add_request(
|
||||
"GET",
|
||||
"/products",
|
||||
callback=self.on_query_instrument
|
||||
)
|
||||
|
||||
def query_order(self):
|
||||
""""""
|
||||
self.add_request(
|
||||
"GET",
|
||||
"/orders?status=open",
|
||||
callback=self.on_query_order
|
||||
)
|
||||
|
||||
def query_account(self):
|
||||
""""""
|
||||
self.add_request(
|
||||
"GET",
|
||||
"/accounts",
|
||||
callback=self.on_query_account,
|
||||
)
|
||||
|
||||
def on_query_account(self, data, request):
|
||||
""""""
|
||||
for acc in data:
|
||||
account_id = str(acc['currency'])
|
||||
|
||||
account = self.accounts.get(account_id, None)
|
||||
if not account:
|
||||
account = AccountData(
|
||||
accountid=account_id,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.accounts[account_id] = account
|
||||
|
||||
account.balance = float(acc.get("balance", account.balance))
|
||||
account.available = float(acc.get("available", account.available))
|
||||
account.frozen = float(acc.get("hold", account.frozen))
|
||||
|
||||
self.gateway.on_account(copy(account))
|
||||
|
||||
def on_query_order(self, data, request):
|
||||
""""""
|
||||
for d in data:
|
||||
date, time = d['created_at'].split('T')
|
||||
|
||||
if d['status'] == 'open':
|
||||
if not float(d['filled_size']):
|
||||
status = Status.NOTTRADED
|
||||
else:
|
||||
status = Status.PARTTRADED
|
||||
else:
|
||||
if d['size'] == d['filled_size']:
|
||||
status = Status.ALLTRADED
|
||||
else:
|
||||
status = Status.CANCELLED
|
||||
|
||||
order = OrderData(
|
||||
symbol=d['product_id'],
|
||||
gateway_name=self.gateway_name,
|
||||
exchange=Exchange.COINBASE,
|
||||
orderid=d['id'],
|
||||
direction=DIRECTION_COINBASE2VT[d['side']],
|
||||
price=float(d['price']),
|
||||
volume=float(d['size']),
|
||||
traded=float(d['filled_size']),
|
||||
time=time.replace('Z', ""),
|
||||
status=status,
|
||||
)
|
||||
self.gateway.on_order(copy(order))
|
||||
|
||||
sys_order_map[order.orderid] = order
|
||||
|
||||
self.gateway.write_log(u'委托信息查询成功')
|
||||
|
||||
def on_query_instrument(self, data, request):
|
||||
""""""
|
||||
for d in data:
|
||||
contract = ContractData(
|
||||
symbol=d['id'],
|
||||
exchange=Exchange.COINBASE,
|
||||
name=d['display_name'],
|
||||
product=Product.SPOT,
|
||||
pricetick=float(d['quote_increment']),
|
||||
size=1,
|
||||
min_volume=float(d['base_min_size']),
|
||||
net_position=True,
|
||||
history_data=True,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.gateway.on_contract(contract)
|
||||
symbol_name_map[contract.symbol] = contract.name
|
||||
|
||||
self.gateway.write_log("合约信息查询成功")
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
""""""
|
||||
orderid = str(uuid.uuid1())
|
||||
order = req.create_order_data(orderid, self.gateway_name)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
data = {
|
||||
"size": req.volume,
|
||||
"product_id": req.symbol,
|
||||
"side": DIRECTION_VT2COINBASE[req.direction],
|
||||
"type": ORDERTYPE_VT2COINBASE[req.type],
|
||||
"client_oid": orderid,
|
||||
}
|
||||
|
||||
if req.type == OrderType.LIMIT:
|
||||
data['price'] = req.price
|
||||
|
||||
self.add_request(
|
||||
"POST",
|
||||
"/orders",
|
||||
callback=self.on_send_order,
|
||||
data=json.dumps(data),
|
||||
params={},
|
||||
extra=order,
|
||||
on_failed=self.on_send_order_failed,
|
||||
on_error=self.on_send_order_error,
|
||||
)
|
||||
|
||||
return order.vt_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)
|
||||
|
||||
if request.response.text:
|
||||
data = request.response.json()
|
||||
error = data["message"]
|
||||
msg = f"委托失败，状态码：{status_code}，信息：{error}"
|
||||
else:
|
||||
msg = f"委托失败，状态码：{status_code}"
|
||||
|
||||
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_send_order(self, data, request):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
orderid = req.orderid
|
||||
|
||||
# For open orders from previous trading session, use sysid to cancel
|
||||
if orderid in sys_order_map:
|
||||
path = f"/orders/{orderid}"
|
||||
# For open orders from currenct trading session, use client_oid to cancel
|
||||
else:
|
||||
path = f"/orders/client:{orderid}"
|
||||
|
||||
self.add_request(
|
||||
"DELETE",
|
||||
path,
|
||||
callback=self.on_cancel_order,
|
||||
on_failed=self.on_cancel_order_failed,
|
||||
)
|
||||
|
||||
def on_cancel_order(self, data, request):
|
||||
"""
|
||||
Callback when order cancelled
|
||||
"""
|
||||
sysid = data[0]
|
||||
order = sys_order_map[sysid]
|
||||
|
||||
if order.status != Status.CANCELLED:
|
||||
order.status = Status.CANCELLED
|
||||
self.gateway.on_order(copy(order))
|
||||
|
||||
def on_cancel_order_failed(self, status_code: str, request: Request):
|
||||
"""
|
||||
Callback when sending order failed on server.
|
||||
"""
|
||||
if request.response.text:
|
||||
data = request.response.json()
|
||||
error = data["message"]
|
||||
msg = f"撤单失败，状态码：{status_code}，信息：{error}"
|
||||
else:
|
||||
msg = f"撤单失败，状态码：{status_code}"
|
||||
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
def on_failed(self, status_code: int, request: Request):
|
||||
"""
|
||||
Callback to handle request failed.
|
||||
"""
|
||||
data = request.response.json()
|
||||
error = data['message']
|
||||
msg = f"请求失败，状态码：{status_code},信息：{error}"
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
def on_error(
|
||||
self,
|
||||
exception_type: type,
|
||||
exception_value: Exception,
|
||||
tb,
|
||||
request: Request
|
||||
):
|
||||
"""
|
||||
Callback to handler request exception.
|
||||
"""
|
||||
msg = f"触发异常，状态码：{exception_type}，信息：{exception_value}"
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
sys.stderr.write(
|
||||
self.exception_detail(exception_type, exception_value, tb, request)
|
||||
)
|
||||
|
||||
def query_history(self, req: HistoryRequest):
|
||||
""""""
|
||||
history = []
|
||||
count = 300
|
||||
start = req.start
|
||||
path = f"/products/{req.symbol}/candles"
|
||||
time_delta = TIMEDELTA_MAP[req.interval]
|
||||
|
||||
while True:
|
||||
# Break if start time later than end time
|
||||
if start > req.end:
|
||||
break
|
||||
|
||||
# Calculate start and end time for this query
|
||||
start_time = start.isoformat()
|
||||
|
||||
end = start + time_delta * count
|
||||
end = min(end, req.end)
|
||||
end_time = end.isoformat()
|
||||
|
||||
# Create query params
|
||||
params = {
|
||||
"start": start_time,
|
||||
"end": end_time,
|
||||
"granularity": INTERVAL_VT2COINBASE[req.interval],
|
||||
}
|
||||
|
||||
# Get response from server
|
||||
resp = self.request(
|
||||
"GET",
|
||||
path,
|
||||
params=params
|
||||
)
|
||||
|
||||
# Break if request failed with other status code
|
||||
if resp.status_code // 100 != 2:
|
||||
msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
|
||||
self.gateway.write_log(msg)
|
||||
break
|
||||
else:
|
||||
data = resp.json()
|
||||
if not data:
|
||||
msg = f"获取历史数据为空，开始时间：{start_time}，数量：{count}"
|
||||
break
|
||||
|
||||
# Reverse data list
|
||||
data.reverse()
|
||||
buf = []
|
||||
|
||||
for l in data[1:]:
|
||||
dt = datetime.fromtimestamp(l[0])
|
||||
o, h, l, c, v = l[1:]
|
||||
bar = BarData(
|
||||
symbol=req.symbol,
|
||||
exchange=req.exchange,
|
||||
datetime=dt,
|
||||
interval=req.interval,
|
||||
volume=v,
|
||||
open_price=o,
|
||||
high_price=h,
|
||||
low_price=l,
|
||||
close_price=c,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
buf.append(bar)
|
||||
|
||||
history.extend(buf)
|
||||
|
||||
begin = buf[0].datetime
|
||||
end = buf[-1].datetime
|
||||
msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}"
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
# Update start time
|
||||
start = bar.datetime + TIMEDELTA_MAP[req.interval]
|
||||
|
||||
return history
|
||||
|
||||
|
||||
def get_auth_header(
|
||||
timestamp,
|
||||
message,
|
||||
api_key,
|
||||
secret_key,
|
||||
passphrase
|
||||
):
|
||||
""""""
|
||||
message = message.encode("ascii")
|
||||
hmac_key = base64.b64decode(secret_key)
|
||||
signature = hmac.new(hmac_key, message, hashlib.sha256)
|
||||
signature_b64 = base64.b64encode(signature.digest()).decode('utf-8')
|
||||
|
||||
return{
|
||||
'Content-Type': 'Application/JSON',
|
||||
'CB-ACCESS-SIGN': signature_b64,
|
||||
'CB-ACCESS-TIMESTAMP': timestamp,
|
||||
'CB-ACCESS-KEY': api_key,
|
||||
'CB-ACCESS-PASSPHRASE': passphrase
|
||||
}
|
||||
@ -115,7 +115,7 @@ class Exchange(Enum):
|
||||
HUOBI = "HUOBI"
|
||||
BITFINEX = "BITFINEX"
|
||||
BINANCE = "BINANCE"
|
||||
|
||||
COINBASE = "COINBASE"
|
||||
|
||||
class Currency(Enum):
|
||||
"""
|
||||
|
||||
Loading…
Reference in New Issue
Block a user