From c14bb707d9ff35cd3d44bda7219bc942ee349c99 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sat, 20 Feb 2021 20:05:09 +0800 Subject: [PATCH] =?UTF-8?q?[=E6=96=B0=E6=8E=A5=E5=8F=A3]=20=E5=B8=81?= =?UTF-8?q?=E5=AE=89=E6=AC=A7=E5=BC=8F=E6=9C=9F=E6=9D=83?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/gateway/binanceo/__init__.py | 2 + vnpy/gateway/binanceo/binanceo_gateway.py | 1163 +++++++++++++++++++++ vnpy/gateway/binanceo/exchangeInfo.json | 933 +++++++++++++++++ 3 files changed, 2098 insertions(+) create mode 100644 vnpy/gateway/binanceo/__init__.py create mode 100644 vnpy/gateway/binanceo/binanceo_gateway.py create mode 100644 vnpy/gateway/binanceo/exchangeInfo.json diff --git a/vnpy/gateway/binanceo/__init__.py b/vnpy/gateway/binanceo/__init__.py new file mode 100644 index 00000000..a2c386c4 --- /dev/null +++ b/vnpy/gateway/binanceo/__init__.py @@ -0,0 +1,2 @@ +# 币安期权 +from .binanceo_gateway import BinanceoGateway diff --git a/vnpy/gateway/binanceo/binanceo_gateway.py b/vnpy/gateway/binanceo/binanceo_gateway.py new file mode 100644 index 00000000..c93b0924 --- /dev/null +++ b/vnpy/gateway/binanceo/binanceo_gateway.py @@ -0,0 +1,1163 @@ +""" +Gateway for Binance Crypto Exchange. +""" + +import urllib +import hashlib +import hmac +import time +import json +from copy import copy +from datetime import datetime, timedelta +from enum import Enum +from threading import Lock +from typing import Dict, List, Any + +from vnpy.api.rest import RestClient, Request +from vnpy.api.websocket import WebsocketClient +from vnpy.trader.constant import ( + Direction, + Offset, + Exchange, + Product, + Status, + OrderType, + Interval, + OptionType +) +from vnpy.trader.gateway import BaseGateway +from vnpy.trader.object import ( + TickData, + OrderData, + TradeData, + AccountData, + ContractData, + PositionData, + BarData, + OrderRequest, + CancelRequest, + SubscribeRequest, + HistoryRequest +) +from vnpy.trader.utility import print_dict +from vnpy.trader.event import EVENT_TIMER +from vnpy.event import Event, EventEngine + +REST_HOST: str = "https://vapi.binance.com" +WEBSOCKET_TRADE_HOST: str = "wss://vstream.binance.com/ws/" +WEBSOCKET_DATA_HOST: str = "wss://vstream.binance.com/stream?streams=" + +TESTNET_RESTT_HOST: str = "https://testnet.binancefuture.com" +TESTNET_WEBSOCKET_TRADE_HOST: str = "wss://stream.binancefuture.com/ws/" +TESTNET_WEBSOCKET_DATA_HOST: str = "wss://stream.binancefuture.com/stream?streams=" + +STATUS_BINANCEO2VT: Dict[str, Status] = { + "RECEIVED": Status.SUBMITTING, + "ACCEPTED": Status.NOTTRADED, + "NEW": Status.NOTTRADED, + "PARTIALLY_FILLED": Status.PARTTRADED, + "FILLED": Status.ALLTRADED, + "CANCELLING": Status.CANCELLING, + "CANCELED": Status.CANCELLED, + "REJECTED": Status.REJECTED, + "UNTRIGGERED": Status.REJECTED +} + +# RECEIVED(0) 新建订单 +# UNTRIGGERED(1) 下单失败 +# ACCEPTED(2) 下单成功 +# REJECTED(3) 订单被拒绝 +# PARTIALLY_FILLED(4) 部分成交 +# FILLED(5) 完全成交 +# CANCELLING(6) 撤单中 +# CANCELLED(7) 撤单完成 +STATUS_BINANCEON2VT: Dict[str, Status] = { + 0: Status.SUBMITTING, + 1: Status.REJECTED, + 2: Status.NOTTRADED, + 3: Status.REJECTED, + 4: Status.PARTTRADED, + 5: Status.ALLTRADED, + 6: Status.CANCELLING, + 7: Status.CANCELLED +} +ORDERTYPE_VT2BINANCEO: Dict[OrderType, str] = { + OrderType.LIMIT: "LIMIT", + OrderType.MARKET: "MARKET" +} +ORDERTYPE_BINANCEO2VT: Dict[str, OrderType] = {v: k for k, v in ORDERTYPE_VT2BINANCEO.items()} + +DIRECTION_VT2BINANCEO: Dict[Direction, str] = { + Direction.LONG: "BUY", + Direction.SHORT: "SELL" +} +DIRECTION_BINANCEO2VT: Dict[str, Direction] = {v: k for k, v in DIRECTION_VT2BINANCEO.items()} + +INTERVAL_VT2BINANCEF: Dict[Interval, str] = { + Interval.MINUTE: "1m", + Interval.HOUR: "1h", + Interval.DAILY: "1d", +} + +TIMEDELTA_MAP: Dict[Interval, timedelta] = { + Interval.MINUTE: timedelta(minutes=1), + Interval.HOUR: timedelta(hours=1), + Interval.DAILY: timedelta(days=1), +} + + +class Security(Enum): + NONE: int = 0 + SIGNED: int = 1 + API_KEY: int = 2 + + +symbol_name_map: Dict[str, str] = {} + + +class BinanceoGateway(BaseGateway): + """ + VN Trader Gateway for Binance connection. + 币安欧式期权接口 + API开通： API管理=》API编辑=》勾选 ‘欧式期权’ + -大佳 28880502 + """ + + default_setting = { + "key": "", + "secret": "", + "session_number": 3, + "server": ["TESTNET", "REAL"], + "proxy_host": "", + "proxy_port": 0, + } + + exchanges: Exchange = [Exchange.BINANCE] + + def __init__(self, event_engine: EventEngine, gateway_name="BINANCEO"): + """Constructor""" + super().__init__(event_engine, gateway_name) + self.count = 0 + + self.trade_ws_api = BinanceoTradeWebsocketApi(self) + self.market_ws_api = BinanceoDataWebsocketApi(self) + self.rest_api = BinanceoRestApi(self) + + def connect(self, setting: dict) -> None: + """""" + key = setting["key"] + secret = setting["secret"] + session_number = setting["session_number"] + server = setting["server"] + proxy_host = setting["proxy_host"] + proxy_port = setting["proxy_port"] + + self.rest_api.connect(key, secret, session_number, server, + proxy_host, proxy_port) + self.market_ws_api.connect(proxy_host, proxy_port, server) + + self.event_engine.register(EVENT_TIMER, self.process_timer_event) + + def subscribe(self, req: SubscribeRequest) -> None: + """""" + self.market_ws_api.subscribe(req) + + def send_order(self, req: OrderRequest) -> str: + """""" + return self.rest_api.send_order(req) + + def cancel_order(self, req: CancelRequest) -> Request: + """""" + self.rest_api.cancel_order(req) + return True + + def query_account(self) -> None: + """""" + pass + + def query_position(self) -> None: + """""" + pass + + def query_history(self, req: HistoryRequest) -> List[BarData]: + """""" + return self.rest_api.query_history(req) + + def close(self) -> None: + """""" + self.rest_api.stop() + self.trade_ws_api.stop() + self.market_ws_api.stop() + + def process_timer_event(self, event: Event) -> None: + """""" + self.rest_api.keep_user_stream() + if self.status.get('td_con', False) \ + and self.status.get('tdws_con', False) \ + and self.status.get('mdws_con', False): + self.status.update({'con': True}) + + self.count += 1 + if self.count < 2: + return + self.count = 0 + if len(self.query_functions) > 0: + func = self.query_functions.pop(0) + func() + self.query_functions.append(func) + + def get_order(self, orderid: str): + return self.rest_api.get_order(orderid) + + +class BinanceoRestApi(RestClient): + """ + BINANCE REST API + """ + + def __init__(self, gateway: BinanceoGateway): + """""" + super().__init__() + + self.gateway: BinanceoGateway = gateway + self.gateway_name: str = gateway.gateway_name + + self.trade_ws_api: BinanceoTradeWebsocketApi = self.gateway.trade_ws_api + + self.key: str = "" + self.secret: str = "" + + self.user_stream_key: str = "" + self.keep_alive_count: int = 0 + self.recv_window: int = 5000 + self.time_offset: int = 0 + + self.contracts = {} + + self.order_count: int = 1_000_000 + self.order_count_lock: Lock = Lock() + self.connect_time: int = 0 + + self.orders = {} + + self.cache_position_symbols = {} + + self.accountid = "" + + def sign(self, request: Request) -> Request: + """ + Generate BINANCE signature. + """ + security = request.data["security"] + if security == Security.NONE: + request.data = None + return request + + if request.params: + path = request.path + "?" + urllib.parse.urlencode(request.params) + else: + request.params = dict() + path = request.path + + if security == Security.SIGNED: + timestamp = int(time.time() * 1000) + + if self.time_offset > 0: + timestamp -= abs(self.time_offset) + elif self.time_offset < 0: + timestamp += abs(self.time_offset) + + request.params["timestamp"] = timestamp + + query = urllib.parse.urlencode(sorted(request.params.items())) + signature = hmac.new(self.secret, query.encode( + "utf-8"), hashlib.sha256).hexdigest() + + query += "&signature={}".format(signature) + path = request.path + "?" + query + + request.path = path + request.params = {} + request.data = {} + + # Add headers + headers = { + "Content-Type": "application/x-www-form-urlencoded", + "Accept": "application/json", + "X-MBX-APIKEY": self.key + } + + if security in [Security.SIGNED, Security.API_KEY]: + request.headers = headers + + return request + + def connect( + self, + key: str, + secret: str, + session_number: int, + server: str, + proxy_host: str, + proxy_port: int + ) -> None: + """ + Initialize connection to REST server. + """ + self.key = key + self.secret = secret.encode() + self.proxy_port = proxy_port + self.proxy_host = proxy_host + self.server = server + + self.connect_time = ( + int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count + ) + + if self.server == "REAL": + self.init(REST_HOST, proxy_host, proxy_port) + else: + self.init(TESTNET_RESTT_HOST, proxy_host, proxy_port) + + self.start(session_number) + + self.gateway.write_log("REST API启动成功") + self.gateway.status.update({'td_con': True, 'td_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) + if self.gateway.status.get('md_con', False): + self.gateway.status.update({'con': True}) + self.query_time() + self.query_account() + self.query_position() + + self.query_contract() + time.sleep(1) + for symbol in list(self.contracts.keys()): + self.query_order(symbol) + self.query_trade(symbol) + + self.start_user_stream() + + # 添加到定时查询队列中 + self.gateway.query_functions = [self.query_account, self.query_position] + + def query_time(self) -> Request: + """""" + data = { + "security": Security.NONE + } + path = "/vapi/v1/time" + + return self.add_request( + "GET", + path, + callback=self.on_query_time, + data=data + ) + + def query_account(self) -> Request: + """""" + data = {"security": Security.SIGNED} + + self.add_request( + method="GET", + path="/vapi/v1/account", + callback=self.on_query_account, + data=data + ) + + def query_position(self) -> Request: + """""" + data = {"security": Security.SIGNED} + + self.add_request( + method="GET", + path="/vapi/v1/position", + callback=self.on_query_position, + data=data + ) + + def query_order(self, vt_symbol: str = "") -> Request: + """""" + data = {"security": Security.SIGNED} + params = {} + if vt_symbol: + if '.' in vt_symbol: + vt_symbol = vt_symbol.split('.')[0] + params.update({'symbol': vt_symbol}) + + self.add_request( + method="GET", + path="/vapi/v1/openOrders", + callback=self.on_query_order, + params=params, + data=data + ) + + def query_contract(self) -> Request: + """""" + data = { + "security": Security.NONE + } + self.add_request( + method="GET", + path="/vapi/v1/exchangeInfo", + callback=self.on_query_contract, + data=data + ) + + def query_trade(self, vt_symbol: str = '') -> Request: + """""" + data = {"security": Security.SIGNED} + params = {} + if vt_symbol: + if '.' in vt_symbol: + vt_symbol = vt_symbol.split('.')[0] + params.update({'symbol': vt_symbol}) + + self.add_request( + method="GET", + path="/vapi/v1/historyOrders", + callback=self.on_query_trade, + params=params, + data=data + ) + + def _new_order_id(self) -> int: + """""" + with self.order_count_lock: + self.order_count += 1 + return self.order_count + + def get_order(self, orderid: str): + """返回缓存的Order""" + return self.orders.get(orderid, None) + + def send_order(self, req: OrderRequest) -> str: + """""" + orderid = str(self.connect_time + self._new_order_id()) + order = req.create_order_data( + orderid, + self.gateway_name + ) + order.accountid = self.accountid + order.vt_accountid = f"{self.gateway_name}.{self.accountid}" + order.datetime = datetime.now() + self.orders.update({orderid: copy(order)}) + self.gateway.write_log(f'创建委托订单:{order.__dict__}') + self.gateway.on_order(order) + + data = { + "security": Security.SIGNED + } + + params = { + "symbol": req.symbol, + "timeInForce": "GTC", + "side": DIRECTION_VT2BINANCEO[req.direction], + "reduceOnly": True if req.offset==Offset.CLOSE else False, + "type": ORDERTYPE_VT2BINANCEO[req.type], + "price": float(req.price), + "quantity": float(req.volume), + "clientOrderId": orderid, + "newOrderRespType": "ACK" + } + if req.type == OrderType.MARKET: + params.pop('timeInForce', None) + params.pop('price', None) + + self.add_request( + method="POST", + path="/vapi/v1/order", + callback=self.on_send_order, + data=data, + params=params, + extra=order, + on_error=self.on_send_order_error, + on_failed=self.on_send_order_failed + ) + + return order.vt_orderid + + def cancel_order(self, req: CancelRequest) -> Request: + """""" + data = { + "security": Security.SIGNED + } + params = { + "symbol": req.symbol} + + order = self.orders.get(req.orderid) + if order is not None: + params.update({ "orderId": order.sys_orderid}) + else: + params.update({"clientOrderId": req.orderid}) + + self.add_request( + method="DELETE", + path="/vapi/v1/order", + callback=self.on_cancel_order, + params=params, + data=data, + extra=req + ) + + def start_user_stream(self) -> Request: + """""" + data = { + "security": Security.SIGNED # API_KEY + } + + self.add_request( + method="POST", + path="/vapi/v1/userDataStream", + callback=self.on_start_user_stream, + data=data + ) + + def keep_user_stream(self) -> Request: + """""" + self.keep_alive_count += 1 + if self.keep_alive_count < 600: + return + self.keep_alive_count = 0 + + data = { + "security": Security.NONE # API_KEY + } + + params = { + "listenKey": self.user_stream_key + } + + self.add_request( + method="PUT", + path="/vapi/v1/userDataStream", + callback=self.on_keep_user_stream, + params=params, + data=data + ) + + def on_query_time(self, data: Any, request: Request) -> None: + """""" + # self.gateway.write_log(f'on_query_time: \n {print_dict(data)}') + local_time = int(time.time() * 1000) + server_time = int(data['data']) + self.time_offset = local_time - server_time + + def on_query_account(self, data: dict, request: Request) -> None: + """""" + # self.gateway.write_log(f'on_query_account: \n {print_dict(data)}') + # { + # "code": 0, + # "msg": "success", + # "data": [ + # { + # "currency": "USDT", // 资产类型 + # "equity": 10094.44662, // 账户权益 + # "available": 8725.92524, // 账户可用 + # "orderMargin": 1084.52138, // 委托保证金 + # "positionMargin": 289.00138, // 持仓保证金 + # "unrealizedPNL": -5.00138, // 未实现盈亏 + # "maintMargin": 151.00138, // 维持保证金 + # "balance": 10099.448 // 账户余额 + # } + # ] + # } + if data.get('code') != 0: + return + datas = data.get('data', []) + for d in datas: + if d.get('currency', "") != "USDT": + continue + if not self.accountid: + self.accountid = f"{self.gateway_name}_{d['currency']}" + account = AccountData( + accountid=self.accountid, + balance=float(d["balance"]), + frozen=float(d["orderMargin"]), + holding_profit=float(d['unrealizedPNL']), + currency='USDT', + margin=float(d["positionMargin"]), + gateway_name=self.gateway_name, + trading_day=datetime.now().strftime('%Y-%m-%d') + ) + account.available = float(d["available"]) + if account.balance: + self.gateway.on_account(account) + + # self.gateway.write_log("账户资金查询成功") + + def on_query_position(self, data: dict, request: Request) -> None: + """持仓""" + # self.gateway.write_log(f'on_query_position: \n {print_dict(data)}') + if data.get('code') != 0: + return + data = data.get('data', []) + for d in data: + # self.gateway.write_log(d) + direction = Direction.SHORT if d.get('side') == 'SHORT' else Direction.LONG + volume = abs(float(d["quantity"])) # 持仓数量（正数为多，负数为空） => 正数 + available_volume = abs(float(d['reducibleQty'])) + frozen_volume = volume - available_volume + + position = PositionData( + accountid=self.accountid, + symbol=d["symbol"], + exchange=Exchange.BINANCE, + direction=direction, + volume=volume, + yd_volume=available_volume, + frozen=frozen_volume, + price=float(d["entryPrice"]), + cur_price=float(d["markPrice"]), + pnl=float(d["unrealizedPNL"]), + gateway_name=self.gateway_name, + ) + + # 如果持仓数量为0，且不在之前缓存过的合约信息中，不做on_position + if position.volume == 0: + if position.symbol not in self.cache_position_symbols: + continue + else: + if position.symbol not in self.cache_position_symbols: + self.cache_position_symbols.update({position.symbol: 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: + """期权查询当前挂单 """ + + # self.gateway.write_log(f'on_query_order: \n {print_dict(data)}') + if data.get('code') != 0: + return + data = data.get('data', []) + + for d in data: + dt = datetime.fromtimestamp(d["createDate"] / 1000) + time = dt.strftime("%Y-%m-%d %H:%M:%S") + orderid = d["clientOrderId"] + if len(orderid) == 0: + orderid = str(d["id"]) + + order = OrderData( + accountid=self.accountid, + orderid=orderid, + sys_orderid=str(d["id"]), + symbol=d["symbol"], + exchange=Exchange.BINANCE, + price=float(d["price"]), + volume=float(d["quantity"]), + type=ORDERTYPE_BINANCEO2VT[d["type"]], + direction=DIRECTION_BINANCEO2VT[d["side"]], + offset=Offset.OPEN if d.get('reduceOnly', True) else Offset.CLOSE, + traded=float(d["executedQty"]), + status=STATUS_BINANCEO2VT.get(d["status"], None), + datetime=dt, + time=time, + gateway_name=self.gateway_name, + ) + + self.orders.update({order.orderid: copy(order)}) + self.gateway.write_log(f'返回订单查询结果：{order.__dict__}') + self.gateway.on_order(order) + + self.gateway.write_log("委托信息查询成功") + + def on_query_trade(self, data: dict, request: Request) -> None: + """""" + + self.gateway.write_log(f'on_query_trade: \n {print_dict(data)}') + return + + for d in data: + dt = datetime.fromtimestamp(d["time"] / 1000) + time = dt.strftime("%Y-%m-%d %H:%M:%S") + + trade = TradeData( + accountid=self.accountid, + symbol=d['symbol'], + exchange=Exchange.BINANCE, + orderid=d['orderId'], + tradeid=d["id"], + direction=Direction.SHORT if d['side'] == 'SELL' else Direction.LONG, + offset=Offset.CLOSE if d['buyer'] else Offset.OPEN, + price=float(d["price"]), + volume=float(d['qty']), + time=time, + datetime=dt, + gateway_name=self.gateway_name, + ) + self.gateway.on_trade(trade) + + 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}') + # self.gateway.write_log(f'on_query_contract: \n {print_dict(data)}') + if data.get('code') != 0: + return + data = data.get('data', []) + + for d in data["optionSymbols"]: + + symbol = d["symbol"] + if d['side'] == 'CALL': + name = symbol.replace('-C', '看涨') + option_type = OptionType.CALL + else: + name = symbol.replace('-P', '看跌') + option_type = OptionType.PUT + pricetick = 0.0001 + min_volume = d['minQty'] + + # 合约乘数 + symbol_size = 1 + + contract = ContractData( + symbol=symbol, + exchange=Exchange.BINANCE, + name=name, + pricetick=pricetick, + size=symbol_size, + margin_rate=float(d['initialMargin']), + min_volume=min_volume, + product=Product.FUTURES, + history_data=True, + option_strike=float(d['strikePrice']), + option_underlying=d['underlying'], + option_type=option_type, + option_expiry=datetime.fromtimestamp(d['expiryDate'] / 1000), + option_index=d['underlying'], + gateway_name=self.gateway_name, + ) + self.contracts.update({contract.symbol: contract}) + 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.orders.update({order.orderid: copy(order)}) + self.gateway.write_log(f'订单委托失败:{order.__dict__}') + if not order.accountid: + order.accountid = self.accountid + order.vt_accountid = f"{self.gateway_name}.{self.accountid}" + if not order.datetime: + order.datetime = datetime.now() + self.gateway.on_order(order) + + msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}" + self.gateway.write_error(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.orders.update({order.orderid: copy(order)}) + self.gateway.write_log(f'发送订单异常:{order.__dict__}') + if not order.accountid: + order.accountid = self.accountid + order.vt_accountid = f"{self.gateway_name}.{self.accountid}" + if not order.datetime: + order.datetime = datetime.now() + self.gateway.on_order(order) + + msg = f"委托失败，拒单" + self.gateway.write_error(msg) + # 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: + """响应启动用户数据流""" + if data.get('code') != 0: + self.gateway.write_error(f'申请数据流失败') + return + data = data.get('data', {}) + 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.gateway.write_log(f'申请用户数据流listenKey成功:{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[BarData]: + """""" + 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", + "/vapi/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]), + trading_day=dt.strftime('%Y-%m-%d'), + 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 BinanceoTradeWebsocketApi(WebsocketClient): + """""" + + def __init__(self, gateway: BinanceoGateway): + """""" + super().__init__() + + self.gateway: BinanceoGateway = gateway + self.gateway_name: str = gateway.gateway_name + self.accountid = "" + + 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") + self.gateway.status.update({'tdws_con': True, 'tdws_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) + if self.gateway.status.get('td_con', False): + self.gateway.status.update({'con': True}) + + # 数据默认是GZIP压缩数据连接成功后发送 + # self.send_packet(packet={"method": "BINARY", "params": ["false"], "id": 1}) + + def on_packet(self, packet: dict) -> None: # type: (dict)->None + """""" + event = packet.get('e') + if event is not 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: + """websocket返回得Balance/Position信息更新""" + """ + { + "B":[ // 余额信息 + { + "a":"USDT", // 资产名称 + "wb":"122624.12345678", // 钱包余额 + "cw":"100.12345678" // 除去逐仓保证金的钱包余额 + }, + { + "a":"BNB", + "wb":"1.00000000", + "cw":"0.00000000" + } + ], + "P":[ + { + "s":"BTCUSDT", // 交易对 + "pa":"1", // 仓位 + "ep":"9000", // 入仓价格 + "cr":"200", // (费前)累计实现损益 + "up":"0.2732781800", // 持仓未实现盈亏 + "mt":"isolated", // 保证金模式 + "iw":"0.06391979" // 若为逐仓，仓位保证金 + } + ] + } + """ + # 计算持仓收益 + holding_pnl = 0 + for pos_data in packet.get("P", []): + # print(pos_data) + volume = float(pos_data["c"]) + if not self.accountid: + self.accountid = f"{self.gateway_name}_USDT" + position = PositionData( + accountid=self.accountid, + symbol=pos_data["S"], + exchange=Exchange.BINANCE, + direction=Direction.NET, + volume=volume, + yd_volume=float(pos_data['r']), + price=float(pos_data["a"]), + # pnl=float(pos_data["cr"]), + gateway_name=self.gateway_name, + ) + #holding_pnl += float(pos_data['up']) + # self.gateway.on_position(position) + + for acc_data in packet.get("B", []): + if not self.accountid: + self.accountid = f"{self.gateway_name}_USDT" + account = AccountData( + accountid=self.accountid, + balance=round(float(acc_data["b"]), 7), + frozen=round(float(acc_data["o"]), 7), + holding_profit=round(float(acc_data["u"]), 7), + currency='USDT', + margin=round(float(acc_data["p"]), 7), + gateway_name=self.gateway_name, + trading_day=datetime.now().strftime('%Y-%m-%d') + ) + + if account.balance: + # account.balance += account.holding_profit + account.available = account.balance - account.margin - account.frozen + self.gateway.on_account(account) + + def on_order(self, packet: dict) -> None: + """ws处理on_order事件""" + self.gateway.write_log('ws返回订单更新{}:\n'.format(print_dict(packet))) + dt = datetime.fromtimestamp(packet["E"] / 1000) + time = dt.strftime("%Y-%m-%d %H:%M:%S") + + ord_datas = packet["o"] + for ord_data in ord_datas: + orderid = str(ord_data["cid"]) + + order = self.gateway.get_order(orderid) + if order: + order.traded = float(ord_data["e"]) + order.status = STATUS_BINANCEON2VT[ord_data["s"]] + if order.status in [Status.CANCELLED, Status.REJECTED]: + order.cancel_time = time + if len(order.sys_orderid) == 0: + order.sys_orderid = str(ord_data["oid"]) + + self.gateway.write_log(f'WS订单更新:\n{order.__dict__}') + self.gateway.on_order(order) + + # Push trade event + trade_volume = float(ord_data["e"]) + if trade_volume <= 0: + return + + trade_dt = datetime.fromtimestamp(ord_data["T"] / 1000) + trade_time = trade_dt.strftime("%Y-%m-%d %H:%M:%S") + + tradeid = ord_data.get("t") + if tradeid is None: + tradeid = str(ord_data["T"]) + trade = TradeData( + accountid=self.accountid, + symbol=order.symbol, + exchange=order.exchange, + orderid=order.orderid, + tradeid=tradeid, + direction=order.direction, + offset=order.offset, + price=float(ord_data["ec"]), + volume=trade_volume, + time=trade_time, + datetime=trade_dt, + gateway_name=self.gateway_name, + ) + self.gateway.write_log(f'WS成交更新:\n{trade.__dict__}') + self.gateway.on_trade(trade) + + +class BinanceoDataWebsocketApi(WebsocketClient): + """""" + + def __init__(self, gateway: BinanceoGateway): + """""" + super().__init__() + + self.gateway: BinanceoGateway = 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") + self.gateway.status.update({'md_con': True, 'md_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) + if self.gateway.status.get('td_con', False): + self.gateway.status.update({'con': True}) + + # 数据默认是GZIP压缩数据连接成功后发送 + # self.send_packet(packet={"method": "BINARY", "params": ["false"], "id": 1}) + + 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] = 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 + "@depth10") + + 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.get('stream') + if stream is None: + return + + data = packet.get("data", None) + if data is None: + self.gateway.write_log(f'接收数据无data字段:{packet}') + return + + symbol, _ = stream.split("@") + event = data.get('e') + tick = self.ticks[symbol] + + if event == "ticker": + tick_dt = datetime.fromtimestamp(float(data['E']) / 1000) + trading_day = tick_dt.strftime('%Y-%m-%d') + today_volume = float(data['v']) + if tick.trading_day == trading_day: + volume_changed = max(0, today_volume - tick.volume) + else: + volume_changed = today_volume if len(tick.trading_day) > 0 else 1 + + tick.volume = today_volume + tick.last_volume = volume_changed + 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 = tick_dt + tick.trading_day = trading_day + tick.date = tick.trading_day + tick.time = tick.datetime.strftime('%H:%M:%S.%f') + elif event == 'depth': + bids = data["b"] + for n in range(min(5, len(bids))): + 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(min(5, len(asks))): + 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)) diff --git a/vnpy/gateway/binanceo/exchangeInfo.json b/vnpy/gateway/binanceo/exchangeInfo.json new file mode 100644 index 00000000..269cd26e --- /dev/null +++ b/vnpy/gateway/binanceo/exchangeInfo.json @@ -0,0 +1,933 @@ +{ + 'timezone': 'UTC', + 'serverTime': 1611910692502, + 'optionContracts': [ + { + 'id': 1, + 'baseAsset': 'BTC', + 'quoteAsset': 'USDT', + 'underlying': 'BTCUSDT', + 'settleAsset': 'USDT' + } + ], + 'optionAssets': [ + { + 'id': 1, + 'name': 'USDT' + } + ], + 'optionSymbols': [ + { + 'id': 269, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-44000-C', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'CALL', + 'leverage': '0', + 'strikePrice': '44000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 223, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210226-40000-P', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'PUT', + 'leverage': '0', + 'strikePrice': '40000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1614326400000 + }, + { + 'id': 215, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210226-36000-P', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'PUT', + 'leverage': '0', + 'strikePrice': '36000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1614326400000 + }, + { + 'id': 253, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-36000-C', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'CALL', + 'leverage': '0', + 'strikePrice': '36000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 239, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-28000-P', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'PUT', + 'leverage': '0', + 'strikePrice': '28000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 235, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-24000-P', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'PUT', + 'leverage': '0', + 'strikePrice': '24000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 241, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-30000-C', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'CALL', + 'leverage': '0', + 'strikePrice': '30000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 267, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210226-34000-P', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'PUT', + 'leverage': '0', + 'strikePrice': '34000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1614326400000 + }, + { + 'id': 255, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-36000-P', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'PUT', + 'leverage': '0', + 'strikePrice': '36000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 259, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-40000-P', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'PUT', + 'leverage': '0', + 'strikePrice': '40000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 273, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-48000-C', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'CALL', + 'leverage': '0', + 'strikePrice': '48000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 233, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-24000-C', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'CALL', + 'leverage': '0', + 'strikePrice': '24000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 247, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-32000-P', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 'priceScale': 2, + 'quantityScale': 4, + 'side': 'PUT', + 'leverage': '0', + 'strikePrice': '32000', + 'makerFeeRate': '0.0003', + 'takerFeeRate': '0.0003', + 'initialMargin': '0.15', + 'autoReduceMargin': '0.075', + 'maintenanceMargin': '0.02', + 'minInitialMargin': '0.1', + 'minAutoReduceMargin': '0.05', + 'minMaintenanceMargin': '0.013', + 'expiryDate': 1612512000000 + }, + { + 'id': 257, + 'contractId': 1, + 'underlying': 'BTCUSDT', + 'quoteAsset': 'USDT', + 'symbol': 'BTC-210205-40000-C', + 'unit': '1', + 'minQty': '0.0001', + 'maxQty': '10000', + 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