[Add] okexFuture相关修改。
我决定了，每一点小修改都commit，无论是否能运行。所以我把修改都提交上来了。
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nanoric
parent
54b93a89b5
commit
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0
vnpy/api/okexfuture/__init__.py
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0
vnpy/api/okexfuture/__init__.py
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vnpy/api/okexfuture/vnokexFuture.py
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vnpy/api/okexfuture/vnokexFuture.py
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# encoding: UTF-8
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import hashlib
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import urllib
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########################################################################
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from vnpy.network.HttpClient import HttpClient
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########################################################################
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class OkexFutureHttpClient(HttpClient):
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#----------------------------------------------------------------------
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def __init__(self):
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super(OkexFutureHttpClient, self).__init__()
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self.apiKey = None
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self.apiSecret = None
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#----------------------------------------------------------------------
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# noinspection PyMethodOverriding
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def init(self, apiKey, apiSecret):
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# type: (str, str) -> any
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super(OkexFutureHttpClient, self).init('https://www.okex.com/api/v1')
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self.apiKey = apiKey
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self.apiSecret = apiSecret
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#----------------------------------------------------------------------
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def beforeRequest(self, method, path, params, data): # type: (str, str, dict, dict)->(str, str, dict, dict, dict)
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args = params or {}
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args.update(data or {})
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if 'sign' in args:
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args.pop('sign')
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if 'apiKey' not in args:
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args['api_key'] = self.apiKey
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data = urllib.urlencode(sorted(args.items()))
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data += "&secret_key=" + self.apiSecret
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sign = hashlib.md5(data.encode()).hexdigest().upper()
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data += "&sign=" + sign
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return method, path, params, data, {'Content-Type': 'application/x-www-form-urlencoded'}
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38
vnpy/network/HeadersAuthenticateHttpClient.py
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38
vnpy/network/HeadersAuthenticateHttpClient.py
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# encoding: UTF-8
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########################################################################
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from abc import abstractmethod
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from vnpy.network.HttpClient import HttpClient
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########################################################################
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class HeadersAuthenticateHttpClient(HttpClient):
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"""
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该类简化了RESTFulAPI客户端的重载。
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该类提供了一个setUser函数，可以方便地设置apiKey和apiSecret。
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使用self.apiKey和self.apiSecret便可以访问设置后的值
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要建立一个签名在HTTP Headers的RESTFul客户端，继承该类并重载authencitate即可。
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"""
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#----------------------------------------------------------------------
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def __init__(self):
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super(HeadersAuthenticateHttpClient, self).__init__()
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self.apiKey = None # type: str
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self.apiSecret = None # type: str
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#----------------------------------------------------------------------
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def beforeRequest(self, method, path, params, data): # type: (str, str, dict, dict)->(str, str, dict, dict, dict)
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return method, path, params, data, self.onAuthenticate(method, path, params, data)
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#----------------------------------------------------------------------
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@abstractmethod
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def onAuthenticate(self, method, path, params, data):
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"""
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重载该函数以添加签名到头部
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该函数在每个请求之前都会被调用。
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@:return dict 返回的数据会被加入到HTTP请求头部中
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"""
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return {}
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0
vnpy/trader/gateway/okexFutureGateway/__init__.py
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vnpy/trader/gateway/okexFutureGateway/__init__.py
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340
vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py
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vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py
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# encoding: UTF-8
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from __future__ import print_function
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import json
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from abc import abstractmethod, abstractproperty
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from vnpy.api.okexfuture.vnokexFuture import OkexFutureHttpClient
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from vnpy.network.HttpClient import Request
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from vnpy.trader.vtFunction import getJsonPath
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from vnpy.trader.vtGateway import *
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orderTypeMap = {
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(constant.DIRECTION_LONG, constant.OFFSET_OPEN): 1,
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(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): 2,
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(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): 3,
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(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): 4,
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}
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orderTypeMapReverse = {v: k for k, v in orderTypeMap.items()}
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contracts = (
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'btc_usd', 'ltc_usd', 'eth_usd', 'etc_usd', 'bch_usd',
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)
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contractTypeMap = {
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'THISWEEK': 'this_week',
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'NEXTWEEK': 'next_week',
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'QUARTER': 'quarter',
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}
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# symbols for ui,
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# keys:给用户看的symbols
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# values: API接口使用的symbol和contractType字段
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symbolsForUi = {} # type: dict[str, [str, str]]
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for s in contracts:
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for vtContractType, contractType_ in contractTypeMap.items():
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vtSymbol = s + '_' + vtContractType
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symbolsForUi[vtSymbol] = (s, contractType_)
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########################################################################
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class VnpyGateway(VtGateway):
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"""
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每个gateway有太多重复代码，难以拓展和维护。
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于是我设计了这个类，将重复代码抽取出来，简化gateway的实现
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"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine):
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super(VnpyGateway, self).__init__(eventEngine, self.gatewayName)
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#----------------------------------------------------------------------
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@abstractproperty
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def gatewayName(self): # type: ()->str
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return 'VnpyGateway'
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#----------------------------------------------------------------------
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@abstractproperty
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def exchange(self): # type: ()->str
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return constant.EXCHANGE_UNKNOWN
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#----------------------------------------------------------------------
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def readConfig(self):
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"""
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从json文件中读取设置，并将其内容返回为一个dict
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:一个一个return:
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"""
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fileName = self.gatewayName + '_connect.json'
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filePath = getJsonPath(fileName, __file__)
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try:
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with open(filePath, 'rt') as f:
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return json.load(f)
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except IOError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'读取连接配置出错，请检查'
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# todo: pop a message box is better
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self.onLog(log)
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return
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#----------------------------------------------------------------------
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@abstractmethod
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def loadSetting(self):
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"""
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载入设置，在connect的时候会被调用到。
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"""
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pass
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########################################################################
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class OkexFutureGateway(VnpyGateway):
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"""OKEX期货交易接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, *args, **kwargs): # args, kwargs is needed for compatibility
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"""Constructor"""
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super(OkexFutureGateway, self).__init__(eventEngine)
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self.apiKey = None # type: str
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self.apiSecret = None # type: str
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self.api = OkexFutureApi(self)
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self.leverRate = 1.0
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self.symbols = []
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#----------------------------------------------------------------------
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@property
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def gatewayName(self):
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return 'OkexFutureGateway'
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#----------------------------------------------------------------------
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@abstractproperty
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def exchange(self): # type: ()->str
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return constant.EXCHANGE_OKEXFUTURE
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#----------------------------------------------------------------------
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def loadSetting(self):
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setting = self.readConfig()
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if setting:
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"""连接"""
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# 载入json文件
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try:
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# todo: check by predefined settings names and types
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# or check by validator
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self.apiKey = str(setting['apiKey'])
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self.apiSecret = str(setting['secretKey'])
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self.leverRate = setting['leverRate']
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self.symbols = setting['symbols']
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'连接配置缺少字段，请检查'
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self.onLog(log)
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return
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#----------------------------------------------------------------------
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def connect(self):
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self.loadSetting()
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self.api.init(self.apiKey, self.apiSecret)
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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pass
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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return self.api.sendOrder(orderReq)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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self.api.cancelOrder(cancelOrderReq)
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#----------------------------------------------------------------------
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def qryAccount(self):
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"""查询账户资金"""
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pass
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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self.api.spotUserInfo()
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.api.close()
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########################################################################
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class VnpyOrder():
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def __init__(self):
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"""
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这个东西将VtOrderReq和VtOrderData还有Request三者绑定起来，以便查询
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"""
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self.vtRequest = None # type: VtOrderReq # 如果这个order是通过sendOrder产生的，则会有对应的vtRequest
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self.request = None # type: Request # 如果这个order是通过sendOrder产生的，request就是对应的网络请求
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self.order = None # type: VtOrderData # 对应的VtOrderData
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self.remoteId = None # type: str # 当确定了这个order在交易所内部的id的时候，这个值才会有效
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########################################################################
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class ApiBase(object):
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"""
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每个Api实现发单等等操作的时候，有太多重复代码。
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于是我写了这个类，以期简化Api的实现。
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发单实现：
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重写_sendOrder函数。
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在_sendOrder的下单请求回执中获取API使用的orderId，并调用_processOrderSent函数即可
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例如：
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def _sendOrder(self, vtRequest):
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return self.httpClient.addReq(..., callback=self._onOrderSent)
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def _onOrderSent(self, data, req):
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remoteId = None
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if data['success'] is True:
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remoteId = data['order_id']
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self._processOrderSent(req, remoteId)
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撤单实现：
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重写_cancelOrder函数。
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"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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self.gateway = gateway # type: VnpyGateway
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#----------------------------------------------------------------------
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# todo: push this / make this standalone
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def generateVnpyOrder(self):
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order = VnpyOrder()
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order.order = VtOrderData()
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order.order.exchange = self.gateway.exchange
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return order
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#----------------------------------------------------------------------
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@staticmethod
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def fillVnpyOrder(order, symbol, price, totalVolume,
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direction): # type: (VnpyOrder, str, float, float, str)->None
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order.order.symbol = symbol
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order.order.vtSymbol = '.'.join([order.order.symbol, order.order.exchange])
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order.order.price = price
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order.order.totalVolume = totalVolume
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order.order.direction = direction
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#----------------------------------------------------------------------
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def sendOrder(self, vtRequest): # type: (VtOrderReq)->str
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"""发单"""
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# 内部状态相关
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order = self.generateVnpyOrder()
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self.fillVnpyOrder(order,
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vtRequest.symbol,
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vtRequest.price,
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vtRequest.volume,
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vtRequest.direction)
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order.vtRequest = vtRequest
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# 发送发单请求
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order.request = self._sendOrder(vtRequest)
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# 增加反向引用
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# 这个写法在逻辑上有漏洞：当请求返回特别快（理论上可能）的时候，返回回调中的extra仍为空
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# 但是这种情况几乎不可能出现，在Python中就更不可能会出现。所以就这样写把，美观一些
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order.request.extra = order
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return order.order.vtOrderID
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#----------------------------------------------------------------------
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def _processOrderSent(self, request, remoteId):
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"""
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如果在_sendOrder中发送了HTTP请求，则应该在收到响应的时候调用该函数，
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并且将remoteId设置为交易所API使用的ID
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如果该下单请求失败，将remoteId设为None即可
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"""
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if remoteId:
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order = request.extra # type: VnpyOrder
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order.remoteId = remoteId # None就是失败或者未返回
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self.gateway.onOrder(order.order)
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# todo: 撤单委托相关
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#----------------------------------------------------------------------
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@abstractmethod
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def _sendOrder(self, vtRequest): # type: (VtOrderReq)->Request
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"""
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这个函数实现下单请求。
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:return: 如果发送了HTTP请求，就应该返回addReq的值。
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"""
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pass
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#----------------------------------------------------------------------
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@abstractmethod
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def _cancelOrder(self, vtCancelRequest): # type: (VtCancelOrderReq)->Request
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"""
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这个函数实现下单请求。
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:return: 如果发送了HTTP请求，就应该返回addReq的值。
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"""
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pass
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########################################################################
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class OkexFutureApi(ApiBase):
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"""OKEX的API实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(OkexFutureApi, self).__init__()
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self.gateway = gateway # type: OkexFutureGateway
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self.localID = 0
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self.client = OkexFutureHttpClient()
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#----------------------------------------------------------------------
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def onOrderSent(self, data, req): # type: (dict, Request)->None
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"""
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下单回执，一般用来保存sysId
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"""
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remoteId = None
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if data['result'] is True:
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remoteId = data['order_id']
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super(OkexFutureApi, self)._processOrderSent(req, remoteId)
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#----------------------------------------------------------------------
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def _cancelOrder(self, vtCancelRequest): # type: (VtCancelOrderReq)->Request
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localId = vtCancelRequest.orderID
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pass
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#----------------------------------------------------------------------
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def _sendOrder(self, vtRequest): # type: (VtOrderReq)->Request
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"""
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单纯的发单
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"""
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symbol, contractType = symbolsForUi[vtRequest.symbol]
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orderType = orderTypeMap[(vtRequest.priceType, vtRequest.offset)] # 开多、开空、平多、平空
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data = {}
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if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE:
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data['match_price'] = 1
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else:
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data['price'] = vtRequest.price
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data.update({
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'symbol': symbol,
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'contract_typ': contractType, # 合约类型：当周/下周/季度
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'amount': vtRequest.volume,
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'type': orderType,
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'lever_rate': self.gateway.leverRate # 杠杆倍数
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})
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request = self.client.addReq('POST',
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'/future_trade.do',
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callback=self.onOrderSent,
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data=data)
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return request
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@ -87,6 +87,7 @@ EXCHANGE_HUOBI = 'HUOBI' # 火币比特币交易所
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EXCHANGE_LBANK = 'LBANK' # LBANK比特币交易所
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EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所
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EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所
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EXCHANGE_OKEXFUTURE = 'OKEXFUTURE' # OKEX比特币交易所-期货
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EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所
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EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所
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EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所
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@ -83,6 +83,7 @@ EXCHANGE_HUOBI = 'HUOBI' # 火币比特币交易所
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EXCHANGE_LBANK = 'LBANK' # LBANK比特币交易所
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EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所
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EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所
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EXCHANGE_OKEXFUTURE = 'OKEXFUTURE' # OKEX比特币交易所-期货
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EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所
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EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所
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EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所
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