diff --git a/vnpy/gateway/okexs/__init__.py b/vnpy/gateway/okexs/__init__.py new file mode 100644 index 00000000..489a467f --- /dev/null +++ b/vnpy/gateway/okexs/__init__.py @@ -0,0 +1 @@ +from .okexs_gateway import OkexsGateway diff --git a/vnpy/gateway/okexs/okexs_gateway.py b/vnpy/gateway/okexs/okexs_gateway.py new file mode 100644 index 00000000..b4551fee --- /dev/null +++ b/vnpy/gateway/okexs/okexs_gateway.py @@ -0,0 +1,860 @@ +""" +Author: nanoric +""" + +import base64 +import hashlib +import hmac +import json +import sys +import time +import zlib +from copy import copy +from datetime import datetime, timezone +from threading import Lock +from urllib.parse import urlencode + +from requests import ConnectionError + +from vnpy.api.rest import Request, RestClient +from vnpy.api.websocket import WebsocketClient +from vnpy.trader.constant import (Direction, Exchange, Interval, Offset, OrderType, Product, Status) +from vnpy.trader.gateway import BaseGateway +from vnpy.trader.object import (AccountData, BarData, CancelRequest, ContractData, HistoryRequest, + OrderData, OrderRequest, PositionData, SubscribeRequest, TickData, + TradeData) + +_ = lambda x: x # noqa +REST_HOST = "https://www.okex.com" +WEBSOCKET_HOST = "wss://real.okex.com:10442/ws/v3" + +STATUS_OKEXS2VT = { + "0": Status.NOTTRADED, + "1": Status.PARTTRADED, + "2": Status.ALLTRADED, + "-1": Status.CANCELLED, +} + +ORDERTYPE_OKEXS2VT = { + "0": OrderType.LIMIT, + "1": OrderType.MARKET, +} + +TYPE_OKEXS2VT = { + "1": (Offset.OPEN, Direction.LONG), + "2": (Offset.OPEN, Direction.SHORT), + "3": (Offset.CLOSE, Direction.SHORT), + "4": (Offset.CLOSE, Direction.LONG), +} +TYPE_VT2OKEXS = {v: k for k, v in TYPE_OKEXS2VT.items()} + +DIRECTION_OKEXS2VT = { + "long": Direction.LONG, + "short": Direction.SHORT, +} + +INTERVAL_VT2OKEXS = { + Interval.MINUTE: "60", + Interval.HOUR: "3600", + Interval.DAILY: "86400", +} + +instruments = set() +utc_tz = timezone.utc +local_tz = datetime.now(timezone.utc).astimezone().tzinfo + + +class OkexsGateway(BaseGateway): + """ + VN Trader Gateway for OKEX connection. + """ + + default_setting = { + "API Key": "", + "Secret Key": "", + "Passphrase": "", + "会话数": 3, + "代理地址": "", + "代理端口": "", + } + + exchanges = [Exchange.OKEX] + + def __init__(self, event_engine): + """Constructor""" + super(OkexsGateway, self).__init__(event_engine, "OKEXS") + + self.rest_api = OkexsRestApi(self) + self.ws_api = OkexsWebsocketApi(self) + + self.orders = {} + + def connect(self, setting: dict): + """""" + key = setting["API Key"] + secret = setting["Secret Key"] + passphrase = setting["Passphrase"] + session_number = setting["会话数"] + proxy_host = setting["代理地址"] + proxy_port = setting["代理端口"] + + if proxy_port.isdigit(): + proxy_port = int(proxy_port) + else: + proxy_port = 0 + + self.rest_api.connect(key, secret, passphrase, + session_number, proxy_host, proxy_port) + self.ws_api.connect(key, secret, passphrase, proxy_host, proxy_port) + + def subscribe(self, req: SubscribeRequest): + """""" + self.ws_api.subscribe(req) + + def send_order(self, req: OrderRequest): + """""" + return self.rest_api.send_order(req) + + def cancel_order(self, req: CancelRequest): + """""" + self.rest_api.cancel_order(req) + + def query_account(self): + """""" + pass + + def query_position(self): + """""" + pass + + def query_history(self, req: HistoryRequest): + """""" + return self.rest_api.query_history(req) + + def close(self): + """""" + self.rest_api.stop() + self.ws_api.stop() + + def on_order(self, order: OrderData): + """""" + self.orders[order.orderid] = order + super().on_order(order) + + def get_order(self, orderid: str): + """""" + return self.orders.get(orderid, None) + + +class OkexsRestApi(RestClient): + """ + OKEX Swap REST API + """ + + def __init__(self, gateway: "OkexsGateway"): + """""" + super(OkexsRestApi, self).__init__() + + self.gateway = gateway + self.gateway_name = gateway.gateway_name + + self.key = "" + self.secret = "" + self.passphrase = "" + + self.order_count = 10000 + self.order_count_lock = Lock() + + self.connect_time = 0 + + def sign(self, request): + """ + Generate OKEX Swap signature. + """ + # Sign + timestamp = generate_timestamp() + request.data = json.dumps(request.data) + + if request.params: + path = request.path + "?" + urlencode(request.params) + else: + path = request.path + + msg = timestamp + request.method + path + request.data + signature = generate_signature(msg, self.secret) + + # Add headers + request.headers = { + "OK-ACCESS-KEY": self.key, + "OK-ACCESS-SIGN": signature, + "OK-ACCESS-TIMESTAMP": timestamp, + "OK-ACCESS-PASSPHRASE": self.passphrase, + "Content-Type": "application/json" + } + return request + + def connect( + self, + key: str, + secret: str, + passphrase: str, + session_number: int, + proxy_host: str, + proxy_port: int, + ): + """ + Initialize connection to REST server. + """ + self.key = key + self.secret = secret.encode() + self.passphrase = passphrase + + self.connect_time = int(datetime.now().strftime("%y%m%d%H%M%S")) + + self.init(REST_HOST, proxy_host, proxy_port) + self.start(session_number) + self.gateway.write_log("REST API启动成功") + + self.query_time() + self.query_contract() + self.query_accounts() + self.query_position() + + def _new_order_id(self): + with self.order_count_lock: + self.order_count += 1 + return self.order_count + + def send_order(self, req: OrderRequest): + """""" + # Need both offset and direction for sending order. + if (req.offset, req.direction) not in TYPE_VT2OKEXS: + return "" + + orderid = f"a{self.connect_time}{self._new_order_id()}" + + data = { + "client_oid": orderid, + "type": TYPE_VT2OKEXS[(req.offset, req.direction)], + "instrument_id": req.symbol, + "price": str(req.price), + "size": str(int(req.volume)), + } + + if req.type == OrderType.MARKET: + data["match_price"] = "1" + else: + data["match_price"] = "0" + + order = req.create_order_data(orderid, self.gateway_name) + + self.add_request( + "POST", + "/api/swap/v3/order", + callback=self.on_send_order, + data=data, + extra=order, + on_failed=self.on_send_order_failed, + on_error=self.on_send_order_error, + ) + + self.gateway.on_order(order) + return order.vt_orderid + + def cancel_order(self, req: CancelRequest): + """""" + self.add_request( + "POST", + f"/api/swap/v3/cancel_order/{req.symbol}/{req.orderid}", + callback=self.on_cancel_order, + on_error=self.on_cancel_order_error, + on_failed=self.on_cancel_order_failed, + extra=req + ) + + def query_contract(self): + """""" + self.add_request( + "GET", + "/api/swap/v3/instruments", + callback=self.on_query_contracts + ) + + def query_accounts(self): + """ + :note: This API not functioning well currently. Due to API replies empty data. + :return: + """ + self.add_request( + "GET", + "/api/swap/v3/accounts", + callback=self.on_query_accounts + ) + + def query_orders(self): + """""" + for instrument in instruments: + # get waiting orders + self.add_request( + "GET", + f"/api/swap/v3/orders/{instrument}?status=0", + callback=self.on_query_order, + ) + + # get part traded orders + self.add_request( + "GET", + f"/api/swap/v3/orders/{instrument}?status=1", + callback=self.on_query_order, + ) + + def query_position(self): + """""" + self.add_request( + "GET", + "/api/swap/v3/position", + callback=self.on_query_position + ) + + def query_time(self): + """""" + self.add_request( + "GET", + "/api/general/v3/time", + callback=self.on_query_time + ) + + def on_query_contracts(self, data, request): + """""" + for instrument_data in data: + symbol = instrument_data["instrument_id"] + contract = ContractData( + symbol=symbol, + exchange=Exchange.OKEX, + name=symbol, + product=Product.FUTURES, + size=int(instrument_data["size_increment"]), + pricetick=float(instrument_data["tick_size"]), + history_data=True, + gateway_name=self.gateway_name, + ) + self.gateway.on_contract(contract) + + instruments.add(instrument_data["instrument_id"]) + + self.gateway.write_log("合约信息查询成功") + + # Start websocket api after instruments data collected + self.gateway.ws_api.start() + + # and query pending orders + self.query_orders() + + def on_query_accounts(self, data, request): + """""" + for info in data['info']: + account = _parse_account_info(info, gateway_name=self.gateway_name) + self.gateway.on_account(account) + self.gateway.write_log("账户资金查询成功") + + def on_query_position(self, datas, request): + """""" + for data in datas: + holdings = data['holding'] + assert 'crossed' == data['margin_mode'], _("只支持全仓模式") + for holding in holdings: + symbol = holding["instrument_id"].upper() + pos = _parse_position_holding(holding, symbol=symbol, + gateway_name=self.gateway_name) + self.gateway.on_position(pos) + + def on_query_order(self, data, request): + """""" + for order_info in data["order_info"]: + order = _parse_order_info(order_info, gateway_name=self.gateway_name) + self.gateway.on_order(order) + + def on_query_time(self, data, request): + """""" + server_time = data["iso"] + local_time = datetime.utcnow().isoformat() + msg = f"服务器时间：{server_time}，本机时间：{local_time}" + self.gateway.write_log(msg) + + 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 + order.time = datetime.now().strftime("%H:%M:%S.%f") + 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 + ): + """ + 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): + """ + Websocket will push a new order status + """ + order = request.extra + error_msg = data["error_message"] + if error_msg: + order.status = Status.REJECTED + self.gateway.on_order(order) + + self.gateway.write_log(f"委托失败：{error_msg}") + + def on_cancel_order_error( + self, exception_type: type, exception_value: Exception, tb, request: Request + ): + """ + Callback when cancelling order failed on server. + """ + # 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, request): + """ + Websocket will push a new order status + """ + pass + + def on_cancel_order_failed(self, status_code: int, request: Request): + """ + If cancel failed, mark order status to be rejected. + """ + req = request.extra + order = self.gateway.get_order(req.orderid) + if order: + order.status = Status.REJECTED + self.gateway.on_order(order) + + def on_failed(self, status_code: int, request: Request): + """ + Callback to handle request failed. + """ + msg = f"请求失败，状态码：{status_code}，信息：{request.response.text}" + 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): + """""" + buf = {} + end_time = None + + for i in range(10): + path = f"/api/swap/v3/instruments/{req.symbol}/candles" + + # Create query params + params = { + "granularity": INTERVAL_VT2OKEXS[req.interval] + } + + if end_time: + params["end"] = end_time + + # 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" + break + + for l in data: + ts, o, h, l, c, v, _ = l + dt = datetime.strptime(ts, "%Y-%m-%dT%H:%M:%S.%fZ") + bar = BarData( + symbol=req.symbol, + exchange=req.exchange, + datetime=dt, + interval=req.interval, + volume=float(v), + open_price=float(o), + high_price=float(h), + low_price=float(l), + close_price=float(c), + gateway_name=self.gateway_name + ) + buf[bar.datetime] = bar + + begin = data[-1][0] + end = data[0][0] + 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 + end_time = begin + + index = list(buf.keys()) + index.sort() + + history = [buf[i] for i in index] + return history + + +class OkexsWebsocketApi(WebsocketClient): + """""" + + def __init__(self, gateway): + """""" + super(OkexsWebsocketApi, self).__init__() + self.ping_interval = 20 # OKEX use 30 seconds for ping + + self.gateway = gateway + self.gateway_name = gateway.gateway_name + + self.key = "" + self.secret = "" + self.passphrase = "" + + self._last_trade_id = 10000 + self.connect_time = 0 + + self.callbacks = {} + self.ticks = {} + + def connect( + self, + key: str, + secret: str, + passphrase: str, + proxy_host: str, + proxy_port: int + ): + """""" + self.key = key + self.secret = secret.encode() + self.passphrase = passphrase + + self.connect_time = int(datetime.now().strftime("%y%m%d%H%M%S")) + + self.init(WEBSOCKET_HOST, proxy_host, proxy_port) + + def unpack_data(self, data): + """""" + return json.loads(zlib.decompress(data, -zlib.MAX_WBITS)) + + def subscribe(self, req: SubscribeRequest): + """ + Subscribe to tick data upate. + """ + tick = TickData( + symbol=req.symbol, + exchange=req.exchange, + name=req.symbol, + datetime=datetime.now(), + gateway_name=self.gateway_name, + ) + self.ticks[req.symbol] = tick + + channel_ticker = f"swap/ticker:{req.symbol}" + channel_depth = f"swap/depth5:{req.symbol}" + + self.callbacks[channel_ticker] = self.on_ticker + self.callbacks[channel_depth] = self.on_depth + + req = { + "op": "subscribe", + "args": [channel_ticker, channel_depth] + } + self.send_packet(req) + + def on_connected(self): + """""" + self.gateway.write_log("Websocket API连接成功") + self.login() + + def on_disconnected(self): + """""" + self.gateway.write_log("Websocket API连接断开") + + def on_packet(self, packet: dict): + """""" + if "event" in packet: + event = packet["event"] + if event == "subscribe": + return + elif event == "error": + msg = packet["message"] + self.gateway.write_log(f"Websocket API请求异常：{msg}") + elif event == "login": + self.on_login(packet) + else: + channel = packet["table"] + data = packet["data"] + callback = self.callbacks.get(channel, None) + + if callback: + for d in data: + callback(d) + + def on_error(self, exception_type: type, exception_value: Exception, tb): + """""" + 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)) + + def login(self): + """ + Need to login befores subscribe to websocket topic. + """ + timestamp = str(time.time()) + + msg = timestamp + "GET" + "/users/self/verify" + signature = generate_signature(msg, self.secret) + + req = { + "op": "login", + "args": [ + self.key, + self.passphrase, + timestamp, + signature.decode("utf-8") + ] + } + self.send_packet(req) + self.callbacks["login"] = self.on_login + + def subscribe_topic(self): + """ + Subscribe to all private topics. + """ + self.callbacks["swap/ticker"] = self.on_ticker + self.callbacks["swap/depth5"] = self.on_depth + self.callbacks["swap/account"] = self.on_account + self.callbacks["swap/order"] = self.on_order + self.callbacks["swap/position"] = self.on_position + + # Subscribe to order update + channels = [] + for instrument_id in instruments: + channel = f"swap/order:{instrument_id}" + channels.append(channel) + + req = { + "op": "subscribe", + "args": channels + } + self.send_packet(req) + + # Subscribe to account update + channels = [] + for instrument in instruments: + if instrument != "USD": + channel = f"swap/account:{instrument}" + channels.append(channel) + + req = { + "op": "subscribe", + "args": channels + } + self.send_packet(req) + + # Subscribe to position update + channels = [] + for instrument_id in instruments: + channel = f"swap/position:{instrument_id}" + channels.append(channel) + + req = { + "op": "subscribe", + "args": channels + } + self.send_packet(req) + + def on_login(self, data: dict): + """""" + success = data.get("success", False) + + if success: + self.gateway.write_log("Websocket API登录成功") + self.subscribe_topic() + else: + self.gateway.write_log("Websocket API登录失败") + + def on_ticker(self, d): + """""" + symbol = d["instrument_id"] + tick = self.ticks.get(symbol, None) + if not tick: + return + + tick.last_price = float(d["last"]) + tick.high_price = float(d["high_24h"]) + tick.low_price = float(d["low_24h"]) + tick.volume = float(d["volume_24h"]) + tick.datetime = _parse_timestamp(d["timestamp"]) + + self.gateway.on_tick(copy(tick)) + + def on_depth(self, d): + """""" + symbol = d["instrument_id"] + tick = self.ticks.get(symbol, None) + if not tick: + return + + bids = d["bids"] + asks = d["asks"] + for n, buf in enumerate(bids): + price, volume, _, __ = buf + tick.__setattr__("bid_price_%s" % (n + 1), price) + tick.__setattr__("bid_volume_%s" % (n + 1), volume) + + for n, buf in enumerate(asks): + price, volume, _, __ = buf + tick.__setattr__("ask_price_%s" % (n + 1), price) + tick.__setattr__("ask_volume_%s" % (n + 1), volume) + + tick.datetime = _parse_timestamp(d["timestamp"]) + self.gateway.on_tick(copy(tick)) + + def on_order(self, data): + """""" + order = _parse_order_info(data, gateway_name=self.gateway_name) + self.gateway.on_order(copy(order)) + + traded_volume = float(data.get("last_fill_qty", 0)) + if traded_volume != 0: + tradeid = f"{self.connect_time}{self._last_trade_id}" + self._last_trade_id += 1 + + trade = TradeData( + symbol=order.symbol, + exchange=order.exchange, + orderid=order.orderid, + tradeid=tradeid, + direction=order.direction, + offset=order.offset, + price=float(data["last_fill_px"]), + volume=float(traded_volume), + time=order.time, + gateway_name=self.gateway_name, + ) + self.gateway.on_trade(trade) + + def on_account(self, data): + """""" + account = _parse_account_info(data, gateway_name=self.gateway_name) + self.gateway.on_account(account) + + def on_position(self, data): + """""" + holdings = data['holding'] + symbol = data['instrument_id'] + for holding in holdings: + pos = _parse_position_holding(holding=holding, symbol=symbol, + gateway_name=self.gateway_name) + self.gateway.on_position(pos) + + +def generate_signature(msg: str, secret_key: str): + """OKEX V3 signature""" + return base64.b64encode(hmac.new(secret_key, msg.encode(), hashlib.sha256).digest()) + + +def generate_timestamp(): + """""" + now = datetime.utcnow() + timestamp = now.isoformat("T", "milliseconds") + return timestamp + "Z" + + +def _parse_timestamp(timestamp): + """parse timestamp into local time.""" + time = datetime.strptime(timestamp, "%Y-%m-%dT%H:%M:%S.%fZ") + utc_time = time.replace(tzinfo=utc_tz) + local_time = utc_time.astimezone(local_tz) + return local_time + + +def _parse_position_holding(holding, symbol, gateway_name): + """parse single 'holding' record in replied position data to PositionData. """ + position = int(holding["position"]) + pos = PositionData( + symbol=symbol, + exchange=Exchange.OKEX, + direction=DIRECTION_OKEXS2VT[holding['side']], + volume=position, + frozen=float(position - float(holding["avail_position"])), + price=float(holding['avg_cost']), + pnl=float(holding['realized_pnl']), + gateway_name=gateway_name, + ) + return pos + + +def _parse_account_info(info, gateway_name): + """ + parse single 'info' record inside account reply to AccountData. + """ + account = AccountData( + accountid=info['instrument_id'].upper(), + balance=float(info["equity"]), + frozen=float(info["margin_frozen"]), + gateway_name=gateway_name, + ) + return account + + +def _parse_order_info(order_info, gateway_name: str): + offset, direction = TYPE_OKEXS2VT[order_info["type"]] + order_id = order_info["client_oid"] + if not order_id: + order_id = order_info["order_id"] + order = OrderData( + symbol=order_info["instrument_id"], + exchange=Exchange.OKEX, + type=ORDERTYPE_OKEXS2VT[order_info["order_type"]], + orderid=order_id, + direction=direction, + offset=offset, + traded=int(order_info["filled_qty"]), + price=float(order_info["price"]), + volume=float(order_info["size"]), + time=_parse_timestamp(order_info["timestamp"]).strftime("%H:%M:%S"), + status=STATUS_OKEXS2VT[order_info["status"]], + gateway_name=gateway_name, + ) + return order