From c578d4e04de5d2cddc110a1f7a1bac487e2d6831 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 5 Jun 2018 09:03:55 +0800 Subject: [PATCH] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9EBitfinex=E6=95=B0?= =?UTF-8?q?=E5=AD=97=E8=B4=A7=E5=B8=81=E4=BA=A4=E6=98=93=E6=89=80=E6=8E=A5?= =?UTF-8?q?=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/bitfinex/__init__.py | 1 + vnpy/api/bitfinex/vnbitfinex.py | 95 ++++ .../gateway/binanceGateway/binanceGateway.py | 2 - .../bitfinexGateway/BITFINEX_connect.json | 5 + .../gateway/bitfinexGateway/__init__.py | 10 + .../bitfinexGateway/bitfinexGateway.py | 526 ++++++++++++++++++ vnpy/trader/language/chinese/constant.py | 2 + vnpy/trader/language/english/constant.py | 2 + 8 files changed, 641 insertions(+), 2 deletions(-) create mode 100644 vnpy/api/bitfinex/__init__.py create mode 100644 vnpy/api/bitfinex/vnbitfinex.py create mode 100644 vnpy/trader/gateway/bitfinexGateway/BITFINEX_connect.json create mode 100644 vnpy/trader/gateway/bitfinexGateway/__init__.py create mode 100644 vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py diff --git a/vnpy/api/bitfinex/__init__.py b/vnpy/api/bitfinex/__init__.py new file mode 100644 index 00000000..15180a7a --- /dev/null +++ b/vnpy/api/bitfinex/__init__.py @@ -0,0 +1 @@ +from .vnbitfinex import BitfinexApi \ No newline at end of file diff --git a/vnpy/api/bitfinex/vnbitfinex.py b/vnpy/api/bitfinex/vnbitfinex.py new file mode 100644 index 00000000..23bc3a9d --- /dev/null +++ b/vnpy/api/bitfinex/vnbitfinex.py @@ -0,0 +1,95 @@ +# encoding: UTF-8 + +import json +import requests +from threading import Thread +from queue import Queue, Empty + +import websocket + + +WEBSOCKET_V2_URL = 'wss://api.bitfinex.com/ws/2' +RESTFUL_V1_URL = 'https://api.bitfinex.com/v1' + + +######################################################################## +class BitfinexApi(object): + """""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + self.ws = None + self.thread = None + self.active = False + + self.restQueue = Queue() + self.restThread = None + + #---------------------------------------------------------------------- + def start(self): + """""" + self.ws = websocket.create_connection(WEBSOCKET_V2_URL) + + self.active =True + self.thread = Thread(target=self.run) + self.thread.start() + + self.restThread = Thread(target=self.runRest) + self.restThread.start() + + #---------------------------------------------------------------------- + def run(self): + """""" + while self.active: + stream = self.ws.recv() + data = json.loads(stream) + self.onData(data) + + #---------------------------------------------------------------------- + def onData(self, data): + """""" + print data + + #---------------------------------------------------------------------- + def sendReq(self, req): + """""" + self.ws.send(json.dumps(req)) + + #---------------------------------------------------------------------- + def sendRestReq(self, path, callback): + """""" + self.restQueue.put((path, callback)) + + #---------------------------------------------------------------------- + def runRest(self): + """""" + while self.active: + try: + path, callback = self.restQueue.get(timeout=1) + self.httpGet(path, callback) + except Empty: + pass + + #---------------------------------------------------------------------- + def httpGet(self, path, callback): + """""" + url = RESTFUL_V1_URL + path + resp = requests.get(url) + callback(resp.json()) + + + +if __name__ == '__main__': + api = BitfinexApi() + api.start() + + d = { + 'event': 'subscribe', + 'channel': 'book', + 'symbol': 'BTCUSD' + } + api.sendReq(d) + + raw_input() + \ No newline at end of file diff --git a/vnpy/trader/gateway/binanceGateway/binanceGateway.py b/vnpy/trader/gateway/binanceGateway/binanceGateway.py index 7bc1e0c4..897a7877 100644 --- a/vnpy/trader/gateway/binanceGateway/binanceGateway.py +++ b/vnpy/trader/gateway/binanceGateway/binanceGateway.py @@ -479,8 +479,6 @@ class GatewayApi(BinanceApi): #---------------------------------------------------------------------- def sendOrder(self, orderReq): """""" - orderReq.volume = 0.02 - self.orderId += 1 orderId = self.date + str(self.orderId).rjust(6, '0') vtOrderID = '.'.join([self.gatewayName, orderId]) diff --git a/vnpy/trader/gateway/bitfinexGateway/BITFINEX_connect.json b/vnpy/trader/gateway/bitfinexGateway/BITFINEX_connect.json new file mode 100644 index 00000000..ae25ff9c --- /dev/null +++ b/vnpy/trader/gateway/bitfinexGateway/BITFINEX_connect.json @@ -0,0 +1,5 @@ +{ + "apiKey": "", + "secretKey": "", + "symbols": ["BTCUSD", "ETHUSD", "ETHBTC"] +} \ No newline at end of file diff --git a/vnpy/trader/gateway/bitfinexGateway/__init__.py b/vnpy/trader/gateway/bitfinexGateway/__init__.py new file mode 100644 index 00000000..831aa287 --- /dev/null +++ b/vnpy/trader/gateway/bitfinexGateway/__init__.py @@ -0,0 +1,10 @@ +# encoding: UTF-8 + +from vnpy.trader import vtConstant +from .bitfinexGateway import BitfinexGateay + +gatewayClass = BitfinexGateay +gatewayName = 'BITFINEX' +gatewayDisplayName = u'BITFINEX' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True \ No newline at end of file diff --git a/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py new file mode 100644 index 00000000..b8ce5be4 --- /dev/null +++ b/vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py @@ -0,0 +1,526 @@ +# encoding: UTF-8 + +''' +vnpy.api.bitfinex的gateway接入 +''' + +import os +import json +import hashlib +import hmac +import time +from datetime import datetime, timedelta +from copy import copy +from math import pow + +from vnpy.api.bitfinex import BitfinexApi +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath, getTempPath + +# 委托状态类型映射 +statusMapReverse = {} +statusMapReverse['ACTIVE'] = STATUS_NOTTRADED +statusMapReverse['PARTIALLY FILLED'] = STATUS_PARTTRADED +statusMapReverse['EXECUTED'] = STATUS_ALLTRADED +statusMapReverse['CANCELED'] = STATUS_CANCELLED + +# 价格类型映射 +priceTypeMap = {} +priceTypeMap[PRICETYPE_LIMITPRICE] = 'EXCHANGE LIMIT' +priceTypeMap[PRICETYPE_MARKETPRICE] = 'EXCHANGE MARKET' + + + +######################################################################## +class BitfinexGateay(VtGateway): + """Bitfinex接口""" + + #---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName=''): + """Constructor""" + super(BitfinexGateay, self).__init__(eventEngine, gatewayName) + + self.api = GatewayApi(self) + + self.qryEnabled = False # 是否要启动循环查询 + + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + #---------------------------------------------------------------------- + def connect(self): + """连接""" + try: + f = file(self.filePath) + except IOError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'读取连接配置出错，请检查' + self.onLog(log) + return + + # 解析json文件 + setting = json.load(f) + try: + apiKey = str(setting['apiKey']) + secretKey = str(setting['secretKey']) + symbols = setting['symbols'] + except KeyError: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'连接配置缺少字段，请检查' + self.onLog(log) + return + + # 创建行情和交易接口对象 + self.api.connect(apiKey, secretKey, symbols) + + # 初始化并启动查询 + #self.initQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + return self.api.sendOrder(orderReq) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + self.api.cancelOrder(cancelOrderReq) + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.api.close() + + #---------------------------------------------------------------------- + def queryAccount(self): + """""" + self.api.queryAccount() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + # 需要循环的查询函数列表 + self.qryFunctionList = [self.queryAccount] + + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 1 # 查询触发点 + self.qryNextFunction = 0 # 上次运行的查询函数索引 + + self.startQuery() + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.qryCount += 1 + + if self.qryCount > self.qryTrigger: + # 清空倒计时 + self.qryCount = 0 + + # 执行查询函数 + function = self.qryFunctionList[self.qryNextFunction] + function() + + # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 + self.qryNextFunction += 1 + if self.qryNextFunction == len(self.qryFunctionList): + self.qryNextFunction = 0 + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + +######################################################################## +class GatewayApi(BitfinexApi): + """API实现""" + + #---------------------------------------------------------------------- + def __init__(self, gateway): + """Constructor""" + super(GatewayApi, self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.orderId = 0 + self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId + + self.apiKey = '' + self.secretKey = '' + self.symbols = [] + + self.tickDict = {} + self.bidDict = {} + self.askDict = {} + self.orderLocalDict = {} + + self.channelDict = {} # ChannelID : (Channel, Symbol) + + #---------------------------------------------------------------------- + def connect(self, apiKey, secretKey, symbols): + """连接服务器""" + self.apiKey = apiKey + self.secretKey = secretKey + self.symbols = symbols + + self.start() + self.writeLog(u'交易API启动成功') + + for symbol in symbols: + self.subscribe(symbol, 'ticker') + self.subscribe(symbol, 'book') + self.writeLog(u'行情推送订阅成功') + + self.authenticate() + self.writeLog(u'交易推送订阅成功') + + self.sendRestReq('/symbols_details', self.onSymbolDetails) + + #---------------------------------------------------------------------- + def subscribe(self, symbol, channel): + """""" + req = { + 'event': 'subscribe', + 'channel': channel, + 'symbol': symbol + } + self.sendReq(req) + + #---------------------------------------------------------------------- + def authenticate(self): + """""" + nonce = int(time.time() * 1000000) + authPayload = 'AUTH' + str(nonce) + signature = hmac.new( + self.secretKey.encode(), + msg = authPayload.encode(), + digestmod = hashlib.sha384 + ).hexdigest() + + req = { + 'apiKey': self.apiKey, + 'event': 'auth', + 'authPayload': authPayload, + 'authNonce': nonce, + 'authSig': signature + } + + self.sendReq(req) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """发出日志""" + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = content + self.gateway.onLog(log) + + #---------------------------------------------------------------------- + def generateDateTime(self, s): + """生成时间""" + dt = datetime.fromtimestamp(s/1000.0) + date = dt.strftime('%Y-%m-%d') + time = dt.strftime("%H:%M:%S.%f") + return date, time + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """""" + self.orderId += 1 + orderId = self.date + self.orderId + vtOrderID = '.'.join([self.gatewayName, str(orderId)]) + + if orderReq.direction == DIRECTION_LONG: + amount = orderReq.volume + else: + amount = -orderReq.volume + + o = { + 'CID': orderId, + 'type': priceTypeMap[orderReq.priceType], + 'symbol': 't' + orderReq.symbol, + 'amount': str(amount), + 'price': str(orderReq.price) + } + + req = [0, 'on', None, o] + self.sendReq(req) + + return vtOrderID + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """""" + orderId = int(cancelOrderReq.orderID) + date = cancelOrderReq.sessionID + + req = [ + 0, + 'oc', + None, + { + 'cid': orderId, + 'cid_date': date, + } + ] + + self.sendReq(req) + + #---------------------------------------------------------------------- + def onData(self, data): + """""" + if isinstance(data, dict): + self.onResponse(data) + else: + self.onUpdate(data) + + #---------------------------------------------------------------------- + def onResponse(self, data): + """""" + if 'event' not in data: + return + + if data['event'] == 'subscribed': + symbol = str(data['symbol'].replace('t', '')) + #symbol = str(data['symbol']) + self.channelDict[data['chanId']] = (data['channel'], symbol) + + #---------------------------------------------------------------------- + def onUpdate(self, data): + """""" + if data[1] == u'hb': + return + + channelID = data[0] + + if not channelID: + self.onTradeUpdate(data) + else: + self.onDataUpdate(data) + + #---------------------------------------------------------------------- + def onDataUpdate(self, data): + """""" + channelID = data[0] + channel, symbol = self.channelDict[channelID] + symbol = str(symbol.replace('t', '')) + #symbol = str(symbol) + + # 获取Tick对象 + if symbol in self.tickDict: + tick = self.tickDict[symbol] + else: + tick = VtTickData() + tick.gatewayName = self.gatewayName + tick.symbol = symbol + tick.exchange = EXCHANGE_BITFINEX + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + + self.tickDict[symbol] = tick + + l = data[1] + + # 常规行情更新 + if channel == 'ticker': + tick.volume = l[-3] + tick.highPrice = l[-2] + tick.lowPrice = l[-1] + tick.lastPrice = l[-4] + tick.openPrice = tick.lastPrice - l[4] + # 深度报价更新 + elif channel == 'book': + bid = self.bidDict.setdefault(symbol, {}) + ask = self.askDict.setdefault(symbol, {}) + + if len(l) > 3: + for price, count, amount in l: + if amount > 0: + bid[price] = amount + else: + ask[price] = -amount + else: + price, count, amount = l + if not count: + if price in bid: + del bid[price] + elif price in ask: + del ask[price] + else: + if amount > 0: + bid[price ] = amount + else: + ask[price] = amount + + # BID + bidPriceList = bid.keys() + bidPriceList.sort() + + tick.bidPrice1 = bidPriceList[0] + tick.bidPrice2 = bidPriceList[1] + tick.bidPrice3 = bidPriceList[2] + tick.bidPrice4 = bidPriceList[3] + tick.bidPrice5 = bidPriceList[4] + + tick.bidVolume1 = bid[tick.bidPrice1] + tick.bidVolume2 = bid[tick.bidPrice2] + tick.bidVolume3 = bid[tick.bidPrice3] + tick.bidVolume4 = bid[tick.bidPrice4] + tick.bidVolume5 = bid[tick.bidPrice5] + + # ASK + askPriceList = ask.keys() + askPriceList.sort() + askPriceList.reverse() + + tick.askPrice1 = askPriceList[0] + tick.askPrice2 = askPriceList[1] + tick.askPrice3 = askPriceList[2] + tick.askPrice4 = askPriceList[3] + tick.askPrice5 = askPriceList[4] + + tick.askVolume1 = ask[tick.askPrice1] + tick.askVolume2 = ask[tick.askPrice2] + tick.askVolume3 = ask[tick.askPrice3] + tick.askVolume4 = ask[tick.askPrice4] + tick.askVolume5 = ask[tick.askPrice5] + + dt = datetime.now() + tick.date = dt.strftime('%Y%m%d') + tick.time = dt.strftime('%H:%M:%S.%f') + tick.datetime = dt + + # 推送 + self.gateway.onTick(copy(tick)) + + #---------------------------------------------------------------------- + def onTradeUpdate(self, data): + """""" + name = data[1] + info = data[2] + + if name == 'ws': + for l in info: + self.onWallet(l) + elif name == 'wu': + self.onWallet(info) + elif name == 'os': + for l in info: + self.onOrder(l) + elif name in ['on', 'ou', 'oc']: + self.onOrder(info) + elif name == 'te': + self.onTrade(info) + + #---------------------------------------------------------------------- + def onWallet(self, data): + """""" + if str(data[0]) == 'exchange': + pos = VtPositionData() + pos.gatewayName = self.gatewayName + + pos.symbol = str(data[1]) + pos.exchange = EXCHANGE_BITFINEX + pos.vtSymbol = '.'.join([pos.vtSymbol, pos.direction]) + pos.direction = DIRECTION_LONG + pos.vtPositionName = '.'.join([pos.symbol, pos.direction]) + pos.position = float(data[2]) + + if data[-1] is None: + pos.frozen = 0 + else: + pos.frozen = pos.position - float(data[-1]) + + self.gateway.onPosition(pos) + + #---------------------------------------------------------------------- + def onOrder(self, data): + """""" + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = str(data[3].replace('t', '')) + order.exchange = EXCHANGE_BITFINEX + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + order.orderID = str(data[2]) + order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) + + if data[7] > 0: + order.direction = DIRECTION_LONG + elif data[7] < 0: + order.direction = DIRECTION_SHORT + + order.price = float(data[16]) + order.totalVolume = abs(data[7]) + order.tradedVolume = order.totalVolume - abs(data[6]) + + orderStatus = str(data[13].split('@')[0]) + orderStatus = orderStatus.replace(' ', '') + order.status = statusMapReverse[orderStatus] + + order.sessionID, order.orderTime = self.generateDateTime(data[4]) + if order.status == STATUS_CANCELLED: + buf, order.cancelTime = self.generateDateTime(data[5]) + + self.orderLocalDict[data[0]] = order.orderID + + self.gateway.onOrder(order) + + #---------------------------------------------------------------------- + def onTrade(self, data): + """""" + trade = VtTradeData() + trade.gatewayName = self.gatewayName + + trade.symbol = data[1].replace('t', '') + trade.exchange = EXCHANGE_BITFINEX + trade.vtSymbol = '.'.join([trade.symbol, trade.exchange]) + trade.orderID = self.orderLocalDict[data[3]] + trade.vtOrderID = '.'.join([trade.gatewayName, trade.orderID]) + trade.tradeID = str(data[0]) + trade.vtTradeID = '.'.join([trade.gatewayName, trade.tradeID]) + + if data[4] > 0: + trade.direction = DIRECTION_LONG + else: + trade.direction = DIRECTION_SHORT + + trade.price = data[5] + trade.volume = abs(data[4]) + buf, trade.tradeTime = self.generateDateTime(data[2]) + + self.gateway.onTrade(trade) + + #---------------------------------------------------------------------- + def onSymbolDetails(self, data): + """""" + for d in data: + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = d['pair'].upper() + contract.exchange = EXCHANGE_BITFINEX + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + contract.name = contract.vtSymbol + contract.productClass = PRODUCT_SPOT + contract.priceTick = pow(10, d["price_precision"]) + contract.size = 1 + + self.gateway.onContract(contract) + + self.writeLog(u'合约信息查询成功') diff --git a/vnpy/trader/language/chinese/constant.py b/vnpy/trader/language/chinese/constant.py index ef49b3dd..0297f79a 100644 --- a/vnpy/trader/language/chinese/constant.py +++ b/vnpy/trader/language/chinese/constant.py @@ -91,6 +91,8 @@ EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所 EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所 EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所 EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 +EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 +EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元 diff --git a/vnpy/trader/language/english/constant.py b/vnpy/trader/language/english/constant.py index 276cabee..d62757e7 100644 --- a/vnpy/trader/language/english/constant.py +++ b/vnpy/trader/language/english/constant.py @@ -87,6 +87,8 @@ EXCHANGE_ZB = 'ZB' # 比特币中国比特币交易所 EXCHANGE_OKEX = 'OKEX' # OKEX比特币交易所 EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所 EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所 +EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所 +EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所 # 货币类型 CURRENCY_USD = 'USD' # 美元