[Add]新增Bitfinex数字货币交易所接口

vnpy/api/bitfinex/__init__.py

@@ -0,0 +1 @@
+from .vnbitfinex import BitfinexApi

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()
+    

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])

vnpy/trader/gateway/bitfinexGateway/BITFINEX_connect.json

@@ -0,0 +1,5 @@
+{
+	"apiKey": "",
+	"secretKey": "",
+	"symbols": ["BTCUSD", "ETHUSD", "ETHBTC"]
+}

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

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')

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

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