[增加] 币安合约接口
This commit is contained in:
msincenselee
parent
ba3daf2eeb
commit
b0e75c4e52
@ -5,7 +5,17 @@ from .base import APP_NAME, StopOrder
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from .engine import CtaEngine
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from .template import CtaTemplate, CtaSignal, TargetPosTemplate, CtaProTemplate, CtaProFutureTemplate
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from .template import (
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Direction,
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Offset,
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Status,
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TickData,
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BarData,
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TradeData,
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OrderData,
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CtaTemplate, CtaSignal, TargetPosTemplate, CtaProTemplate, CtaProFutureTemplate) # noqa
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from vnpy.trader.utility import BarGenerator, ArrayManager # noqa
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from .template_spread import CtaSpreadTemplate
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@ -18,6 +18,7 @@ from vnpy.trader.utility import virtual, append_data, extract_vt_symbol, get_und
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from .base import StopOrder, EngineType
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from vnpy.component.cta_grid_trade import CtaGrid, CtaGridTrade, LOCK_GRID
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from vnpy.component.cta_position import CtaPosition
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from vnpy.component.cta_policy import CtaPolicy
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class CtaTemplate(ABC):
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@ -5,7 +5,7 @@ import sys
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from abc import ABC
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from enum import Enum
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from logging import INFO, ERROR
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from vnpy.trader.constant import Direction
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class Area(Enum):
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""" Kline area """
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@ -99,9 +99,9 @@ class BinanceGateway(BaseGateway):
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exchanges = [Exchange.BINANCE]
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def __init__(self, event_engine):
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def __init__(self, event_engine, gateway_name="BINANCE"):
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"""Constructor"""
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super().__init__(event_engine, "BINANCE")
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super().__init__(event_engine, gateway_name)
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self.trade_ws_api = BinanceTradeWebsocketApi(self)
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self.market_ws_api = BinanceDataWebsocketApi(self)
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1
vnpy/gateway/binancef/__init__.py
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1
vnpy/gateway/binancef/__init__.py
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@ -0,0 +1 @@
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from .binancef_gateway import BinancefGateway
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848
vnpy/gateway/binancef/binancef_gateway.py
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848
vnpy/gateway/binancef/binancef_gateway.py
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@ -0,0 +1,848 @@
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"""
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Gateway for Binance Crypto Exchange.
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"""
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import urllib
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import hashlib
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import hmac
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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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from enum import Enum
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from threading import Lock
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from typing import Dict, List
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from vnpy.api.rest import RestClient, Request
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from vnpy.api.websocket import WebsocketClient
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from vnpy.trader.constant import (
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Direction,
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Exchange,
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Product,
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Status,
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OrderType,
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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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PositionData,
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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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from vnpy.trader.event import EVENT_TIMER
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from vnpy.event import Event, EventEngine
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REST_HOST: str = "https://fapi.binance.com"
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WEBSOCKET_TRADE_HOST: str = "wss://fstream.binance.com/ws/"
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WEBSOCKET_DATA_HOST: str = "wss://fstream.binance.com/stream?streams="
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TESTNET_RESTT_HOST: str = "https://testnet.binancefuture.com"
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TESTNET_WEBSOCKET_TRADE_HOST: str = "wss://stream.binancefuture.com/ws/"
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TESTNET_WEBSOCKET_DATA_HOST: str = "wss://stream.binancefuture.com/stream?streams="
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STATUS_BINANCEF2VT: Dict[str, Status] = {
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"NEW": Status.NOTTRADED,
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"PARTIALLY_FILLED": Status.PARTTRADED,
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"FILLED": Status.ALLTRADED,
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"CANCELED": Status.CANCELLED,
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"REJECTED": Status.REJECTED
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}
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ORDERTYPE_VT2BINANCEF: Dict[OrderType, str] = {
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OrderType.LIMIT: "LIMIT",
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OrderType.MARKET: "MARKET"
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}
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ORDERTYPE_BINANCEF2VT: Dict[str, OrderType] = {v: k for k, v in ORDERTYPE_VT2BINANCEF.items()}
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DIRECTION_VT2BINANCEF: Dict[Direction, str] = {
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Direction.LONG: "BUY",
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Direction.SHORT: "SELL"
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}
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DIRECTION_BINANCEF2VT: Dict[str, Direction] = {v: k for k, v in DIRECTION_VT2BINANCEF.items()}
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INTERVAL_VT2BINANCEF: Dict[Interval, str] = {
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Interval.MINUTE: "1m",
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Interval.HOUR: "1h",
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Interval.DAILY: "1d",
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}
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TIMEDELTA_MAP: Dict[Interval, timedelta] = {
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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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class Security(Enum):
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NONE: int = 0
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SIGNED: int = 1
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API_KEY: int = 2
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symbol_name_map: Dict[str, str] = {}
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class BinancefGateway(BaseGateway):
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"""
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VN Trader Gateway for Binance connection.
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"""
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default_setting = {
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"key": "",
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"secret": "",
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"session_number": 3,
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"server": ["TESTNET", "REAL"],
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"proxy_host": "",
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"proxy_port": 0,
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}
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exchanges: Exchange = [Exchange.BINANCE]
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def __init__(self, event_engine: EventEngine, gateway_name="BINANCEF"):
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"""Constructor"""
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super().__init__(event_engine, gateway_name)
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self.trade_ws_api = BinancefTradeWebsocketApi(self)
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self.market_ws_api = BinancefDataWebsocketApi(self)
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self.rest_api = BinancefRestApi(self)
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def connect(self, setting: dict) -> None:
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""""""
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key = setting["key"]
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secret = setting["secret"]
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session_number = setting["session_number"]
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server = setting["server"]
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proxy_host = setting["proxy_host"]
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proxy_port = setting["proxy_port"]
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self.rest_api.connect(key, secret, session_number, server,
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proxy_host, proxy_port)
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self.market_ws_api.connect(proxy_host, proxy_port, server)
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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def subscribe(self, req: SubscribeRequest) -> None:
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""""""
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self.market_ws_api.subscribe(req)
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def send_order(self, req: OrderRequest) -> str:
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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) -> Request:
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""""""
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self.rest_api.cancel_order(req)
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def query_account(self) -> None:
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""""""
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pass
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def query_position(self) -> None:
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""""""
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pass
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def query_history(self, req: HistoryRequest) -> List[BarData]:
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""""""
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return self.rest_api.query_history(req)
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def close(self) -> None:
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""""""
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self.rest_api.stop()
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self.trade_ws_api.stop()
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self.market_ws_api.stop()
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def process_timer_event(self, event: Event) -> None:
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""""""
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self.rest_api.keep_user_stream()
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class BinancefRestApi(RestClient):
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"""
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BINANCE REST API
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"""
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def __init__(self, gateway: BinancefGateway):
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""""""
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super().__init__()
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self.gateway: BinancefGateway = gateway
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self.gateway_name: str = gateway.gateway_name
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self.trade_ws_api: BinancefTradeWebsocketApi = self.gateway.trade_ws_api
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self.key: str = ""
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self.secret: str = ""
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self.user_stream_key: str = ""
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self.keep_alive_count: int = 0
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self.recv_window: int = 5000
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self.time_offset: int = 0
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self.order_count: int = 1_000_000
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self.order_count_lock: Lock = Lock()
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self.connect_time: int = 0
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def sign(self, request: Request) -> Request:
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"""
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Generate BINANCE signature.
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"""
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security = request.data["security"]
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if security == Security.NONE:
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request.data = None
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return request
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if request.params:
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path = request.path + "?" + urllib.parse.urlencode(request.params)
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else:
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request.params = dict()
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path = request.path
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if security == Security.SIGNED:
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timestamp = int(time.time() * 1000)
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if self.time_offset > 0:
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timestamp -= abs(self.time_offset)
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elif self.time_offset < 0:
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timestamp += abs(self.time_offset)
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request.params["timestamp"] = timestamp
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query = urllib.parse.urlencode(sorted(request.params.items()))
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signature = hmac.new(self.secret, query.encode(
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"utf-8"), hashlib.sha256).hexdigest()
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query += "&signature={}".format(signature)
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path = request.path + "?" + query
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request.path = path
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request.params = {}
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request.data = {}
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# Add headers
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headers = {
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"Content-Type": "application/x-www-form-urlencoded",
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"Accept": "application/json",
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"X-MBX-APIKEY": self.key
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}
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if security in [Security.SIGNED, Security.API_KEY]:
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request.headers = headers
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return request
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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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session_number: int,
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server: str,
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proxy_host: str,
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proxy_port: int
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) -> None:
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"""
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Initialize connection to REST server.
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"""
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self.key = key
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self.secret = secret.encode()
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self.proxy_port = proxy_port
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self.proxy_host = proxy_host
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self.server = server
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self.connect_time = (
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int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count
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)
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if self.server == "REAL":
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self.init(REST_HOST, proxy_host, proxy_port)
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else:
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self.init(TESTNET_RESTT_HOST, proxy_host, proxy_port)
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self.start(session_number)
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self.gateway.write_log("REST API启动成功")
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self.query_time()
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self.query_account()
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self.query_position()
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self.query_order()
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self.query_contract()
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self.start_user_stream()
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def query_time(self) -> Request:
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""""""
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data = {
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"security": Security.NONE
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}
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path = "/fapi/v1/time"
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return self.add_request(
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"GET",
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path,
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callback=self.on_query_time,
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data=data
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)
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def query_account(self) -> Request:
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""""""
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data = {"security": Security.SIGNED}
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self.add_request(
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method="GET",
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path="/fapi/v1/account",
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callback=self.on_query_account,
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data=data
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)
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def query_position(self) -> Request:
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""""""
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data = {"security": Security.SIGNED}
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self.add_request(
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method="GET",
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path="/fapi/v1/positionRisk",
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callback=self.on_query_position,
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data=data
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)
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def query_order(self) -> Request:
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""""""
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data = {"security": Security.SIGNED}
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self.add_request(
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method="GET",
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path="/fapi/v1/openOrders",
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callback=self.on_query_order,
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data=data
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)
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def query_contract(self) -> Request:
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""""""
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data = {
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"security": Security.NONE
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}
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self.add_request(
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method="GET",
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path="/fapi/v1/exchangeInfo",
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callback=self.on_query_contract,
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data=data
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)
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def _new_order_id(self) -> int:
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""""""
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with self.order_count_lock:
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self.order_count += 1
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return self.order_count
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def send_order(self, req: OrderRequest) -> str:
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""""""
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orderid = str(self.connect_time + self._new_order_id())
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order = req.create_order_data(
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orderid,
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self.gateway_name
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)
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self.gateway.on_order(order)
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data = {
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"security": Security.SIGNED
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}
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params = {
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"symbol": req.symbol,
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"timeInForce": "GTC",
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"side": DIRECTION_VT2BINANCEF[req.direction],
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"type": ORDERTYPE_VT2BINANCEF[req.type],
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"price": float(req.price),
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"quantity": int(req.volume),
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"newClientOrderId": orderid,
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"newOrderRespType": "ACK"
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}
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self.add_request(
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method="POST",
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path="/fapi/v1/order",
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callback=self.on_send_order,
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data=data,
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params=params,
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extra=order,
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on_error=self.on_send_order_error,
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on_failed=self.on_send_order_failed
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)
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return order.vt_orderid
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def cancel_order(self, req: CancelRequest) -> Request:
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""""""
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data = {
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"security": Security.SIGNED
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}
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params = {
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"symbol": req.symbol,
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"origClientOrderId": req.orderid
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}
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self.add_request(
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method="DELETE",
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path="/fapi/v1/order",
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callback=self.on_cancel_order,
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params=params,
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data=data,
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extra=req
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)
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def start_user_stream(self) -> Request:
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""""""
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data = {
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"security": Security.API_KEY
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}
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self.add_request(
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method="POST",
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path="/fapi/v1/listenKey",
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callback=self.on_start_user_stream,
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data=data
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)
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def keep_user_stream(self) -> Request:
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""""""
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self.keep_alive_count += 1
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if self.keep_alive_count < 1800:
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return
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data = {
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"security": Security.API_KEY
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}
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params = {
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"listenKey": self.user_stream_key
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}
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self.add_request(
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method="PUT",
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path="/fapi/v1/listenKey",
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callback=self.on_keep_user_stream,
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params=params,
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data=data
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)
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def on_query_time(self, data: dict, request: Request) -> None:
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""""""
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local_time = int(time.time() * 1000)
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server_time = int(data["serverTime"])
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self.time_offset = local_time - server_time
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def on_query_account(self, data: dict, request: Request) -> None:
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""""""
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for asset in data["assets"]:
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account = AccountData(
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accountid=asset["asset"],
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balance=float(asset["walletBalance"]),
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frozen=float(asset["maintMargin"]),
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gateway_name=self.gateway_name
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)
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if account.balance:
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self.gateway.on_account(account)
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self.gateway.write_log("账户资金查询成功")
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def on_query_position(self, data: dict, request: Request) -> None:
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""""""
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for d in data:
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position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.NET,
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volume=int(float(d["positionAmt"])),
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price=float(d["entryPrice"]),
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pnl=float(d["unRealizedProfit"]),
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gateway_name=self.gateway_name,
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)
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if position.volume:
|
||||
self.gateway.on_position(position)
|
||||
|
||||
self.gateway.write_log("持仓信息查询成功")
|
||||
|
||||
def on_query_order(self, data: dict, request: Request) -> None:
|
||||
""""""
|
||||
for d in data:
|
||||
dt = datetime.fromtimestamp(d["time"] / 1000)
|
||||
time = dt.strftime("%Y-%m-%d %H:%M:%S")
|
||||
|
||||
order = OrderData(
|
||||
orderid=d["clientOrderId"],
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.BINANCE,
|
||||
price=float(d["price"]),
|
||||
volume=float(d["origQty"]),
|
||||
type=ORDERTYPE_BINANCEF2VT[d["type"]],
|
||||
direction=DIRECTION_BINANCEF2VT[d["side"]],
|
||||
traded=float(d["executedQty"]),
|
||||
status=STATUS_BINANCEF2VT.get(d["status"], None),
|
||||
time=time,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
self.gateway.write_log("委托信息查询成功")
|
||||
|
||||
def on_query_contract(self, data: dict, request: Request) -> None:
|
||||
"""处理合约配置"""
|
||||
import json
|
||||
rate_limits = data.get('rateLimits')
|
||||
rate_limits = json.dumps(rate_limits, indent=2)
|
||||
self.gateway.write_log(f'速率限制:{rate_limits}')
|
||||
|
||||
for d in data["symbols"]:
|
||||
base_currency = d["baseAsset"]
|
||||
quote_currency = d["quoteAsset"]
|
||||
name = f"{base_currency.upper()}/{quote_currency.upper()}"
|
||||
|
||||
pricetick = 1
|
||||
min_volume = 1
|
||||
|
||||
for f in d["filters"]:
|
||||
if f["filterType"] == "PRICE_FILTER":
|
||||
pricetick = float(f["tickSize"])
|
||||
elif f["filterType"] == "LOT_SIZE":
|
||||
min_volume = float(f["stepSize"])
|
||||
|
||||
contract = ContractData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.BINANCE,
|
||||
name=name,
|
||||
pricetick=pricetick,
|
||||
size=1,
|
||||
min_volume=min_volume,
|
||||
product=Product.FUTURES,
|
||||
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 on_send_order(self, data: dict, request: Request) -> None:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def on_send_order_failed(self, status_code: str, request: Request) -> None:
|
||||
"""
|
||||
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
|
||||
) -> None:
|
||||
"""
|
||||
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: dict, request: Request) -> None:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def on_start_user_stream(self, data: dict, request: Request) -> None:
|
||||
""""""
|
||||
self.user_stream_key = data["listenKey"]
|
||||
self.keep_alive_count = 0
|
||||
|
||||
if self.server == "REAL":
|
||||
url = WEBSOCKET_TRADE_HOST + self.user_stream_key
|
||||
else:
|
||||
url = TESTNET_WEBSOCKET_TRADE_HOST + self.user_stream_key
|
||||
|
||||
self.trade_ws_api.connect(url, self.proxy_host, self.proxy_port)
|
||||
|
||||
def on_keep_user_stream(self, data: dict, request: Request) -> None:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def query_history(self, req: HistoryRequest) -> List[OrderData]:
|
||||
""""""
|
||||
history = []
|
||||
limit = 1000
|
||||
start_time = int(datetime.timestamp(req.start))
|
||||
|
||||
while True:
|
||||
# Create query params
|
||||
params = {
|
||||
"symbol": req.symbol,
|
||||
"interval": INTERVAL_VT2BINANCEF[req.interval],
|
||||
"limit": limit,
|
||||
"startTime": start_time * 1000, # convert to millisecond
|
||||
}
|
||||
|
||||
# Add end time if specified
|
||||
if req.end:
|
||||
end_time = int(datetime.timestamp(req.end))
|
||||
params["endTime"] = end_time * 1000 # convert to millisecond
|
||||
|
||||
# Get response from server
|
||||
resp = self.request(
|
||||
"GET",
|
||||
"/api/v1/klines",
|
||||
data={"security": Security.NONE},
|
||||
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}"
|
||||
self.gateway.write_log(msg)
|
||||
break
|
||||
|
||||
buf = []
|
||||
|
||||
for l in data:
|
||||
dt = datetime.fromtimestamp(l[0] / 1000) # convert to second
|
||||
|
||||
bar = BarData(
|
||||
symbol=req.symbol,
|
||||
exchange=req.exchange,
|
||||
datetime=dt,
|
||||
interval=req.interval,
|
||||
volume=float(l[5]),
|
||||
open_price=float(l[1]),
|
||||
high_price=float(l[2]),
|
||||
low_price=float(l[3]),
|
||||
close_price=float(l[4]),
|
||||
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)
|
||||
|
||||
# Break if total data count less than limit (latest date collected)
|
||||
if len(data) < limit:
|
||||
break
|
||||
|
||||
# Update start time
|
||||
start_dt = bar.datetime + TIMEDELTA_MAP[req.interval]
|
||||
start_time = int(datetime.timestamp(start_dt))
|
||||
|
||||
return history
|
||||
|
||||
|
||||
class BinancefTradeWebsocketApi(WebsocketClient):
|
||||
""""""
|
||||
|
||||
def __init__(self, gateway: BinancefGateway):
|
||||
""""""
|
||||
super().__init__()
|
||||
|
||||
self.gateway: BinancefGateway = gateway
|
||||
self.gateway_name: str = gateway.gateway_name
|
||||
|
||||
def connect(self, url: str, proxy_host: str, proxy_port: int) -> None:
|
||||
""""""
|
||||
self.init(url, proxy_host, proxy_port)
|
||||
self.start()
|
||||
|
||||
def on_connected(self) -> None:
|
||||
""""""
|
||||
self.gateway.write_log("交易Websocket API连接成功")
|
||||
|
||||
def on_packet(self, packet: dict) -> None: # type: (dict)->None
|
||||
""""""
|
||||
if packet["e"] == "ACCOUNT_UPDATE":
|
||||
self.on_account(packet)
|
||||
elif packet["e"] == "ORDER_TRADE_UPDATE":
|
||||
self.on_order(packet)
|
||||
|
||||
def on_account(self, packet: dict) -> None:
|
||||
""""""
|
||||
for acc_data in packet["a"]["B"]:
|
||||
account = AccountData(
|
||||
accountid=acc_data["a"],
|
||||
balance=float(acc_data["wb"]),
|
||||
frozen=float(acc_data["wb"]) - float(acc_data["cw"]),
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
if account.balance:
|
||||
self.gateway.on_account(account)
|
||||
|
||||
for pos_data in packet["a"]["P"]:
|
||||
position = PositionData(
|
||||
symbol=pos_data["s"],
|
||||
exchange=Exchange.BINANCE,
|
||||
direction=Direction.NET,
|
||||
volume=int(float(pos_data["pa"])),
|
||||
price=float(pos_data["ep"]),
|
||||
pnl=float(pos_data["cr"]),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_position(position)
|
||||
|
||||
def on_order(self, packet: dict) -> None:
|
||||
""""""
|
||||
dt = datetime.fromtimestamp(packet["E"] / 1000)
|
||||
time = dt.strftime("%Y-%m-%d %H:%M:%S")
|
||||
|
||||
ord_data = packet["o"]
|
||||
|
||||
order = OrderData(
|
||||
symbol=ord_data["s"],
|
||||
exchange=Exchange.BINANCE,
|
||||
orderid=str(ord_data["c"]),
|
||||
type=ORDERTYPE_BINANCEF2VT[ord_data["o"]],
|
||||
direction=DIRECTION_BINANCEF2VT[ord_data["S"]],
|
||||
price=float(ord_data["p"]),
|
||||
volume=float(ord_data["q"]),
|
||||
traded=float(ord_data["z"]),
|
||||
status=STATUS_BINANCEF2VT[ord_data["X"]],
|
||||
time=time,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
self.gateway.on_order(order)
|
||||
|
||||
# Push trade event
|
||||
trade_volume = float(ord_data["l"])
|
||||
if not trade_volume:
|
||||
return
|
||||
|
||||
trade_dt = datetime.fromtimestamp(ord_data["T"] / 1000)
|
||||
trade_time = trade_dt.strftime("%Y-%m-%d %H:%M:%S")
|
||||
|
||||
trade = TradeData(
|
||||
symbol=order.symbol,
|
||||
exchange=order.exchange,
|
||||
orderid=order.orderid,
|
||||
tradeid=ord_data["t"],
|
||||
direction=order.direction,
|
||||
price=float(ord_data["L"]),
|
||||
volume=trade_volume,
|
||||
time=trade_time,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
|
||||
class BinancefDataWebsocketApi(WebsocketClient):
|
||||
""""""
|
||||
|
||||
def __init__(self, gateway: BinancefGateway):
|
||||
""""""
|
||||
super().__init__()
|
||||
|
||||
self.gateway: BinancefGateway = gateway
|
||||
self.gateway_name: str = gateway.gateway_name
|
||||
|
||||
self.ticks: Dict[str, TickData] = {}
|
||||
|
||||
def connect(
|
||||
self,
|
||||
proxy_host: str,
|
||||
proxy_port: int,
|
||||
server: str
|
||||
) -> None:
|
||||
""""""
|
||||
self.proxy_host = proxy_host
|
||||
self.proxy_port = proxy_port
|
||||
self.server = server
|
||||
|
||||
def on_connected(self) -> None:
|
||||
""""""
|
||||
self.gateway.write_log("行情Websocket API连接刷新")
|
||||
|
||||
def subscribe(self, req: SubscribeRequest) -> None:
|
||||
""""""
|
||||
if req.symbol not in symbol_name_map:
|
||||
self.gateway.write_log(f"找不到该合约代码{req.symbol}")
|
||||
return
|
||||
|
||||
# Create tick buf data
|
||||
tick = TickData(
|
||||
symbol=req.symbol,
|
||||
name=symbol_name_map.get(req.symbol, ""),
|
||||
exchange=Exchange.BINANCE,
|
||||
datetime=datetime.now(),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.ticks[req.symbol.lower()] = tick
|
||||
|
||||
# Close previous connection
|
||||
if self._active:
|
||||
self.stop()
|
||||
self.join()
|
||||
|
||||
# Create new connection
|
||||
channels = []
|
||||
for ws_symbol in self.ticks.keys():
|
||||
channels.append(ws_symbol + "@ticker")
|
||||
channels.append(ws_symbol + "@depth5")
|
||||
|
||||
if self.server == "REAL":
|
||||
url = WEBSOCKET_DATA_HOST + "/".join(channels)
|
||||
else:
|
||||
url = TESTNET_WEBSOCKET_DATA_HOST + "/".join(channels)
|
||||
|
||||
self.init(url, self.proxy_host, self.proxy_port)
|
||||
self.start()
|
||||
|
||||
def on_packet(self, packet: dict) -> None:
|
||||
""""""
|
||||
stream = packet["stream"]
|
||||
data = packet["data"]
|
||||
|
||||
symbol, channel = stream.split("@")
|
||||
tick = self.ticks[symbol]
|
||||
|
||||
if channel == "ticker":
|
||||
tick.volume = float(data['v'])
|
||||
tick.open_price = float(data['o'])
|
||||
tick.high_price = float(data['h'])
|
||||
tick.low_price = float(data['l'])
|
||||
tick.last_price = float(data['c'])
|
||||
tick.datetime = datetime.fromtimestamp(float(data['E']) / 1000)
|
||||
else:
|
||||
bids = data["b"]
|
||||
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["a"]
|
||||
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))
|
||||
@ -84,7 +84,7 @@ from vnpy.data.tdx.tdx_common import (
|
||||
get_cache_json,
|
||||
save_cache_json,
|
||||
TDX_FUTURE_CONFIG)
|
||||
from vnpy.app.cta_strategy_pro.base import (
|
||||
from vnpy.component.base import (
|
||||
MARKET_DAY_ONLY, NIGHT_MARKET_23, NIGHT_MARKET_SQ2
|
||||
)
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user