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[Add] OkexFutureGateway.subscribe

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[Add] OkexFutureApi增加WebSocket客户端实现
This commit is contained in:
nanoric 2018-10-16 05:48:49 -04:00
parent e8ded9edf5
commit c141360847
3 changed files with 261 additions and 169 deletions
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31
vnpy/api/okexfuture/OkexFutureApi.py
View File

@ -12,8 +12,20 @@ class _OkexFutureCustomExtra(object):
self.onFailed = onFailed
self.onSuccess = onSuccess
self.extra = extra
########################################################################
class OkexFutureEasySymbol(object):
BTC = 'btc'
LTC = 'ltc'
ETH = 'eth'
ETC = 'etc'
BCH = 'bch'
EOS = 'eos'
XRP = 'xrp'
BTG = 'btg'
########################################################################
class OkexFutureSymbol(object):
BTC = 'btc_usd'
@ -428,15 +440,16 @@ class OkexFutureRestClient(OkexFutureRestBase):
return restErrorCodeMap[code]
#----------------------------------------------------------------------
class OkexFutureWebSocketApi(OkexFutureWebSocketBase):
########################################################################
class OkexFutureWebSocketClient(OkexFutureWebSocketBase):
def subscribe(self, packet):
pass
#----------------------------------------------------------------------
def subscribe(self, easySymbol, contractType): # type: (OkexFutureEasySymbol, OkexFutureContractType)->None
self.sendPacket({
'event': 'addChannel',
'channel': 'ok_sub_futureusd_' + easySymbol + '_ticker_' + contractType
})
def onPacket(self, packet):
pass
restErrorCodeMap = {
0: '远程服务器并未给出错误代码',

4
vnpy/api/okexfuture/__init__.py
View File

@ -1,2 +1,2 @@
from .OkexFutureApi import OkexFutureSymbol, OkexFutureContractType, OkexFutureOrder, OkexFutureOrderStatus, OkexFuturePosition, \
OkexFuturePositionDetail, OkexFuturePriceType, OkexFutureRestClient, OkexFutureUserInfo
from .OkexFutureApi import OkexFutureRestClient, OkexFutureWebSocketClient, OkexFutureSymbol, OkexFutureContractType, OkexFutureOrder, OkexFutureOrderStatus, OkexFuturePosition, \
OkexFuturePositionDetail, OkexFuturePriceType, OkexFutureUserInfo

395
vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py
View File

@ -4,83 +4,14 @@ from __future__ import print_function
import json
from abc import abstractmethod, abstractproperty
from datetime import datetime
from enum import Enum
from typing import Dict
from vnpy.api.okexfuture.OkexFutureApi import *
from vnpy.trader.vtFunction import getJsonPath
from vnpy.trader.vtGateway import *
_orderTypeMap = {
(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong,
(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort,
(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseLong,
(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseShort,
}
_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()}
_contractTypeMap = {
'THISWEEK': OkexFutureContractType.ThisWeek,
'NEXTWEEK': OkexFutureContractType.NextWeek,
'QUARTER': OkexFutureContractType.Quarter,
}
_contractTypeMapReverse = {v: k for k, v in _contractTypeMap.items()}
_remoteSymbols = {
OkexFutureSymbol.BTC,
OkexFutureSymbol.LTC,
OkexFutureSymbol.ETH,
OkexFutureSymbol.ETC,
OkexFutureSymbol.BCH,
}
# symbols for ui,
# keys:给用户看的symbols : f"{internalSymbol}_{contractType}"
# values: API接口使用的symbol和contractType字段
_symbolsForUi = {(remoteSymbol.upper() + '_' + upperContractType.upper()): (remoteSymbol, remoteContractType)
for remoteSymbol in _remoteSymbols
for upperContractType, remoteContractType in
_contractTypeMap.items()} # type: Dict[str, List[str, str]]
_symbolsForUiReverse = {v: k for k, v in _symbolsForUi.items()}
#----------------------------------------------------------------------
def localOrderTypeToRemote(direction, offset): # type: (str, str)->str
return _orderTypeMap[(direction, offset)]
#----------------------------------------------------------------------
def remoteOrderTypeToLocal(orderType): # type: (str)->(str, str)
"""
:param orderType:
:return: direction, offset
"""
return _orderTypeMapReverse[orderType]
#----------------------------------------------------------------------
def localContractTypeToRemote(localContractType):
return _contractTypeMap[localContractType]
#----------------------------------------------------------------------
def remoteContractTypeToLocal(remoteContractType):
return _contractTypeMapReverse[remoteContractType]
#----------------------------------------------------------------------
def localSymbolToRemote(symbol): # type: (str)->(OkexFutureSymbol, OkexFutureContractType)
"""
:return: remoteSymbol, remoteContractType
"""
return _symbolsForUi[symbol]
#----------------------------------------------------------------------
def remoteSymbolToLocal(remoteSymbol, localContractType):
return remoteSymbol.upper() + localContractType
########################################################################
class VnpyGateway(VtGateway):
@ -89,15 +20,6 @@ class VnpyGateway(VtGateway):
于是我设计了这个类，将重复代码抽取出来，简化gateway的实现
"""
#----------------------------------------------------------------------
def __init__(self, eventEngine):
super(VnpyGateway, self).__init__(eventEngine, self.gatewayName)
#----------------------------------------------------------------------
@abstractproperty
def gatewayName(self): # type: ()->str
return 'VnpyGateway'
#----------------------------------------------------------------------
def readConfig(self):
"""
@ -146,10 +68,15 @@ class OkexFutureGateway(VnpyGateway):
#----------------------------------------------------------------------
def __init__(self, eventEngine, *_, **__): # args, kwargs is needed for compatibility
"""Constructor"""
super(OkexFutureGateway, self).__init__(eventEngine)
super(OkexFutureGateway, self).__init__(eventEngine, 'OkexFutureGateway')
self.apiKey = None # type: str
self.apiSecret = None # type: str
self.api = OkexFutureRestClient()
self.restApi = OkexFutureRestClient()
self.webSocket = OkexFutureWebSocketClient()
self.webSocket.onPacket = self._onWebsocketPacket
self.leverRate = 1
self.symbols = []
@ -157,11 +84,6 @@ class OkexFutureGateway(VnpyGateway):
self._orders = {} # type: Dict[str, _Order]
self._remoteIds = {} # type: Dict[str, _Order]
#----------------------------------------------------------------------
@property
def gatewayName(self):
return 'OkexFutureGateway'
#----------------------------------------------------------------------
@property
def exchange(self): # type: ()->str
@ -190,12 +112,16 @@ class OkexFutureGateway(VnpyGateway):
#----------------------------------------------------------------------
def connect(self):
self.loadSetting()
self.api.init(self.apiKey, self.apiSecret)
self.restApi.init(self.apiKey, self.apiSecret)
self.webSocket.init(self.apiKey, self.apiSecret)
self.restApi.start()
self.webSocket.start()
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
def subscribe(self, subscribeReq): # type: (VtSubscribeReq)->None
"""订阅行情"""
pass
remoteSymbol, remoteContractType = localSymbolToRemote(subscribeReq.symbol)
return self.webSocket.subscribe(remoteSymbol, remoteContractType)
#----------------------------------------------------------------------
def _getOrderByLocalId(self, localId):
@ -241,16 +167,16 @@ class OkexFutureGateway(VnpyGateway):
if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE:
userMarketPrice = True
self.api.sendOrder(symbol=remoteSymbol,
contractType=remoteContractType,
orderType=orderType,
volume=vtRequest.volume,
price=vtRequest.price,
useMarketPrice=userMarketPrice,
leverRate=self.leverRate,
onSuccess=self._onOrderSent,
extra=None,
)
self.restApi.sendOrder(symbol=remoteSymbol,
contractType=remoteContractType,
orderType=orderType,
volume=vtRequest.volume,
price=vtRequest.price,
useMarketPrice=userMarketPrice,
leverRate=self.leverRate,
onSuccess=self._onOrderSent,
extra=None,
)
return myorder.localId
@ -259,12 +185,12 @@ class OkexFutureGateway(VnpyGateway):
"""撤单"""
myorder = self._getOrderByLocalId(vtCancel.orderID)
symbol, contractType = localSymbolToRemote(vtCancel.symbol)
self.api.cancelOrder(symbol=symbol,
contractType=contractType,
orderId=myorder.remoteId,
onSuccess=self._onOrderCanceled,
extra=myorder,
)
self.restApi.cancelOrder(symbol=symbol,
contractType=contractType,
orderId=myorder.remoteId,
onSuccess=self._onOrderCanceled,
extra=myorder,
)
# cancelDict: 不存在的，没有localId就没有remoteId，没有remoteId何来cancel
#----------------------------------------------------------------------
@ -284,15 +210,15 @@ class OkexFutureGateway(VnpyGateway):
remoteContractType = contractType
localContractType = remoteContractTypeToLocal(remoteContractType)
self.api.queryOrders(symbol=symbol,
contractType=remoteContractType,
status=status,
onSuccess=self._onQueryOrders,
extra=localContractType)
self.restApi.queryOrders(symbol=symbol,
contractType=remoteContractType,
status=status,
onSuccess=self._onQueryOrders,
extra=localContractType)
#----------------------------------------------------------------------
def qryAccount(self):
self.api.queryUserInfo(onSuccess=self._onQueryAccount)
self.restApi.queryUserInfo(onSuccess=self._onQueryAccount)
"""查询账户资金"""
pass
@ -301,16 +227,17 @@ class OkexFutureGateway(VnpyGateway):
"""查询持仓"""
for remoteSymbol in _remoteSymbols:
for localContractType, remoteContractType in _contractTypeMap.items():
self.api.queryPosition(remoteSymbol,
remoteContractType,
onSuccess=self._onQueryPosition,
extra=localContractType
)
self.restApi.queryPosition(remoteSymbol,
remoteContractType,
onSuccess=self._onQueryPosition,
extra=localContractType
)
#----------------------------------------------------------------------
def close(self):
"""关闭"""
self.api.stop()
self.restApi.stop()
self.webSocket.stop()
#----------------------------------------------------------------------
def _onOrderSent(self, remoteId, myorder): #type: (str, _Order)->None
@ -319,23 +246,6 @@ class OkexFutureGateway(VnpyGateway):
self._saveRemoteId(remoteId, myorder)
self.onOrder(myorder.vtOrder)
# #----------------------------------------------------------------------
# def _pushOrderAsTraded(self, order):
# trade = VtTradeData()
# trade.gatewayName = order.gatewayName
# trade.symbol = order.symbol
# trade.vtSymbol = order.vtSymbol
# trade.orderID = order.orderID
# trade.vtOrderID = order.vtOrderID
# self.tradeID += 1
# trade.tradeID = str(self.tradeID)
# trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
# trade.direction = order.direction
# trade.price = order.price
# trade.volume = order.tradedVolume
# trade.tradeTime = datetime.now().strftime('%H:%M:%S')
# self.onTrade(trade)
#----------------------------------------------------------------------
@staticmethod
def _onOrderCanceled(myorder): #type: (_Order)->None
@ -367,12 +277,6 @@ class OkexFutureGateway(VnpyGateway):
self._saveRemoteId(myorder.remoteId, myorder)
self.onOrder(myorder.vtOrder)
# # 如果该订单已经交易完成，推送交易完成消息
# # todo: 这样写会导致同一个订单产生多次交易完成消息
# if order.status == OkexFutureOrderStatus.Finished:
# myorder.vtOrder.status = constant.STATUS_ALLTRADED
# self._pushOrderAsTraded(myorder.vtOrder)
#----------------------------------------------------------------------
def _onQueryAccount(self, infos, _): # type: (List[OkexFutureUserInfo], Any)->None
for info in infos:
@ -390,27 +294,202 @@ class OkexFutureGateway(VnpyGateway):
localContractType = extra
for info in posinfo.holding:
# 先生成多头持仓
pos = VtPositionData()
pos.gatewayName = self.gatewayName
pos.symbol = remoteSymbolToLocal(pos.symbol, localContractType)
pos.exchange = self.exchange
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
pos.direction = constant.DIRECTION_NET
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
pos.position = float(info.buyAmount)
pos = VtPositionData.createFromGateway(
gateway=self,
exchange=self.exchange,
symbol=remoteSymbolToLocal(info.symbol, localContractType),
direction=constant.DIRECTION_NET,
position=float(info.buyAmount),
)
self.onPosition(pos)
# 再生存空头持仓
pos = VtPositionData()
pos.gatewayName = self.gatewayName
pos.symbol = remoteSymbolToLocal(pos.symbol, localContractType)
pos.exchange = self.exchange
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
pos.direction = constant.DIRECTION_SHORT
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
pos.position = float(info.sellAmount)
pos = VtPositionData.createFromGateway(
gateway=self,
exchange=self.exchange,
symbol=remoteSymbolToLocal(info.symbol, localContractType),
direction=constant.DIRECTION_SHORT,
position=float(info.sellAmount),
)
self.onPosition(pos)
#----------------------------------------------------------------------
def _onWebsocketPacket(self, packets): # type: (dict)->None
for packet in packets:
print('packets:')
print(packets)
channelName = None
if 'channel' in packet:
channelName = packet['channel']
if not channelName or channelName == 'addChannel':
return
packet = packet['data']
channel = parseChannel(channelName) # type: ExtraSymbolChannel
if channel.type == ChannelType.Tick:
uiSymbol = remoteSymbolToLocal(channel.symbol, remoteContractTypeToLocal(channel.remoteContractType))
tick = VtTickData.createFromGateway(
gateway=self,
symbol=uiSymbol,
exchange=self.exchange,
lastPrice=float(packet['last']),
lastVolume=float(packet['vol']),
highPrice=float(packet['high']),
lowPrice=float(packet['low']),
openInterest=int(packet['hold_amount']),
lowerLimit=float(packet['limitLow']),
upperLimit=float(packet['limitHigh'])
)
self.onTick(tick)
#----------------------------------------------------------------------
def localOrderTypeToRemote(direction, offset): # type: (str, str)->str
return _orderTypeMap[(direction, offset)]
#----------------------------------------------------------------------
def remoteOrderTypeToLocal(orderType): # type: (str)->(str, str)
"""
:param orderType:
:return: direction, offset
"""
return _orderTypeMapReverse[orderType]
#----------------------------------------------------------------------
def localContractTypeToRemote(localContractType):
return _contractTypeMap[localContractType]
#----------------------------------------------------------------------
def remoteContractTypeToLocal(remoteContractType):
return _contractTypeMapReverse[remoteContractType]
#----------------------------------------------------------------------
def localSymbolToRemote(symbol): # type: (str)->(OkexFutureSymbol, OkexFutureContractType)
"""
:return: remoteSymbol, remoteContractType
"""
return _symbolsForUi[symbol]
#----------------------------------------------------------------------
def remoteSymbolToLocal(remoteSymbol, localContractType):
return remoteSymbol.upper() + '_' + localContractType
#----------------------------------------------------------------------
def remotePrefixToRemoteContractType(prefix):
return _prefixForRemoteContractType[prefix]
#----------------------------------------------------------------------
class ChannelType(Enum):
Login = 1
ForecastPrice = 2
Tick = 3
Depth = 4
Trade = 5
Index = 6
########################################################################
class Channel(object):
#----------------------------------------------------------------------
def __init__(self, type):
self.type = type
########################################################################
class SymbolChannel(Channel):
#----------------------------------------------------------------------
def __init__(self, type, symbol):
super(SymbolChannel, self).__init__(type)
self.symbol = symbol
########################################################################
class FutureSymbolChannel(SymbolChannel):
#----------------------------------------------------------------------
def __init__(self, type, symbol, remoteContractType):
super(FutureSymbolChannel, self).__init__(type, symbol)
self.remoteContractType = remoteContractType
########################################################################
class ExtraSymbolChannel(FutureSymbolChannel):
#----------------------------------------------------------------------
def __init__(self, type, symbol, remoteContractType, extra):
super(ExtraSymbolChannel, self).__init__(type, symbol, remoteContractType)
self.extra = extra
#----------------------------------------------------------------------
def parseChannel(channel): # type: (str)->Channel
if channel == 'login':
return Channel(ChannelType.Login)
elif channel[4:12] == 'forecast': # eg: 'btc_forecast_price'
return SymbolChannel(ChannelType.ForecastPrice, channel[:3])
sp = channel.split('_')
if sp[-1] == 'index': # eg: 'ok_sub_futureusd_btc_index'
return SymbolChannel(ChannelType.Index, channel[17:20])
l = len(sp)
if len(sp) == 9:
_, _, _, easySymbol, crash, typeName, contractTypePrefix, _, depth = sp
return ExtraSymbolChannel(ChannelType.Depth, easySymbol + '_' + crash,
remotePrefixToRemoteContractType(contractTypePrefix),
depth)
_, _, _, easySymbol, crash, typeName, contractTypePrefix, _ = sp
return FutureSymbolChannel(ChannelType.Tick, easySymbol + '_' + crash,
remotePrefixToRemoteContractType(contractTypePrefix))
_orderTypeMap = {
(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong,
(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort,
(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseLong,
(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseShort,
}
_orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()}
_prefixForRemoteContractType = {v.split('_')[0]: v for k, v in OkexFutureContractType.__dict__.items() if
not k.startswith('_')}
_contractTypeMap = {
k.upper(): v for k, v in OkexFutureContractType.__dict__.items() if not k.startswith('_')
}
_contractTypeMapReverse = {v: k for k, v in _contractTypeMap.items()}
_easySymbols = {
v for k, v in OkexFutureEasySymbol.__dict__.items() if not k.startswith('_')
}
_remoteSymbols = {
v for k, v in OkexFutureSymbol.__dict__.items() if not k.startswith('_')
}
# symbols for ui,
# keys:给用户看的symbols : f"{internalSymbol}_{contractType}"
# values: API接口使用的symbol和contractType字段
_symbolsForUi = {(remoteSymbol.upper() + '_' + upperContractType.upper()): (remoteSymbol, remoteContractType)
for remoteSymbol in _remoteSymbols
for upperContractType, remoteContractType in
_contractTypeMap.items()} # type: Dict[str, List[str, str]]
_symbolsForUiReverse = {v: k for k, v in _symbolsForUi.items()}
_channel_for_subscribe = {
'ok_sub_futureusd_' + easySymbol + '_ticker_' + remoteContractType: (easySymbol, remoteContractType)
for easySymbol in _easySymbols
for remoteContractType in _contractTypeMap.values()
}