From c9fd1dfbd6ada617aeda5c47d1e7ba0542cfd292 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sun, 7 Jul 2019 15:27:02 +0800 Subject: [PATCH] =?UTF-8?q?=E5=8D=87=E7=BA=A7=20v3=E7=89=88=E6=9C=AC?= =?UTF-8?q?=E6=8E=A5=E5=8F=A3(from=20=E9=99=88=E8=87=AA=E5=9F=B9)?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/okex/vnokex.py | 997 ++++-- vnpy/data/okex/okex_future_data.py | 234 +- .../trader/gateway/okexGateway/okexGateway.py | 2946 +++++------------ 3 files changed, 1590 insertions(+), 2587 deletions(-) diff --git a/vnpy/api/okex/vnokex.py b/vnpy/api/okex/vnokex.py index 29f30f0b..38f462b6 100644 --- a/vnpy/api/okex/vnokex.py +++ b/vnpy/api/okex/vnokex.py @@ -2,7 +2,7 @@ import hashlib import zlib -import json +import json,os from time import sleep from threading import Thread import traceback @@ -11,13 +11,19 @@ import requests import sys import ssl from datetime import datetime -# API文档 https://github.com/okcoin-okex/OKEx.com-api-docs +import time +import hmac +import base64 + +# API文档 https://www.okex.com/docs/zh/ +# OKEX V3 +# By Chen zhipei from vnpy.api.okex.okexData import SPOT_TRADE_SIZE_DICT,SPOT_REST_ERROR_DICT, FUTURES_ERROR_DICT # OKEX网站 -OKEX_USD_SPOT = 'wss://real.okex.com:10441/websocket?compress=true' # OKEX (币币交易）现货地址 -OKEX_USD_CONTRACT = 'wss://real.okex.com:10440/websocket/okexapi?compress=true' # OKEX 期货地址 +OKEX_USD_SPOT = 'wss://real.okex.com:10442/ws/v3' # OKEX (币币交易）现货地址 +OKEX_USD_CONTRACT = 'wss://real.okex.com:10442/ws/v3' # OKEX 期货地址 OKEX_CONTRACT_HOST = 'https://www.okex.com/api/v1/future_hold_amount.do?symbol=%s_usd&contract_type=%s' # 合约持仓查询地址 @@ -54,14 +60,15 @@ SPOT_SYMBOL_PAIRS = set(["ltc_btc", KLINE_PERIOD = ["1min","3min","5min","15min","30min","1hour","2hour","4hour","6hour","12hour","day","3day","week"] -CONTRACT_SYMBOL = ["btc","ltc","eth","etc","bch","eos","xrp","btg"] +CONTRACT_SYMBOL = ["BTC-USD","ETH-USD","EOS-USD","ETC-USD","LTC-USD"] # 合约类型 ： 当周，下周，季度 CONTRACT_TYPE = ["this_week", "next_week", "quarter"] -######################################################################## -class OkexApi(object): + + +class OkexApi(object): """交易接口""" #---------------------------------------------------------------------- @@ -70,7 +77,7 @@ class OkexApi(object): self.host = '' # 服务器 self.apiKey = '' # 用户名 self.secretKey = '' # 密码 - + self.passphrase = '' self.ws = None # websocket应用对象 现货对象 self.thread = None # 初始化线程 @@ -88,14 +95,13 @@ class OkexApi(object): on_open=self.onOpen) kwargs = {'sslopt': {'cert_reqs': ssl.CERT_NONE}} - self.thread = Thread(target=self.ws.run_forever, kwargs=kwargs) + self.thread = Thread(target=self.ws.run_forever, kwargs=kwargs, name='Okex_websock') self.thread.start() except Exception as ex: print(u'{} OkexApi reconnect exception :{},{}'.format(datetime.now(), str(ex), traceback.format_exc()), file=sys.stderr) - - #---------------------------------------------------------------------- - def connect(self, apiKey, secretKey, trace=False): + + def connect(self, apiKey, secretKey, passphrase, trace=False): """ 连接网关 :param apiKey : 申请的API key @@ -104,27 +110,25 @@ class OkexApi(object): :return: """ # 更新websocket服务器地址/API key/ - self.host = OKEX_USD_SPOT + self.host = OKEX_USD_CONTRACT self.apiKey = apiKey self.secretKey = secretKey + self.passphrase = passphrase + self.trace = trace try: - # 是否开启日志 websocket.enableTrace(trace) - # 创建websocket，绑定本地回调函数 onMessage/onError/onClose/onOpen self.ws = websocket.WebSocketApp(self.host, - on_message=self.onMessage, - on_error=self.onError, - on_close=self.onClose, - on_open=self.onOpen) - + on_message=self.onMessage, + on_error=self.onError, + on_close=self.onClose, + on_open=self.onOpen) kwargs = {'sslopt': {'cert_reqs': ssl.CERT_NONE}} self.thread = Thread(target=self.ws.run_forever, kwargs=kwargs) self.thread.start() except Exception as ex: - print(u'{} OkexApi connect exception :{},{}'.format(datetime.now(), str(ex), traceback.format_exc()), - file=sys.stderr) - #---------------------------------------------------------------------- + print(u'{} wsFuturesApi connect exception :{},{}'.format(datetime.now(), str(ex),traceback.format_exc()), file=sys.stderr) + def readData(self, evt): """ 解码推送收到的数据 @@ -136,13 +140,11 @@ class OkexApi(object): data = json.loads(evt) return data - #---------------------------------------------------------------------- def close(self): """ 关闭接口 :return: """ - if self.thread and self.thread.isAlive(): print(u'vnokex.close') self.ws.close() @@ -160,8 +162,7 @@ class OkexApi(object): if len(args) == 2: evt = args[-1] print(u'vnokex.onMessage:{}'.format(evt)) - - #---------------------------------------------------------------------- + def onError(self, *args): """ 接口错误推送事件 @@ -174,8 +175,6 @@ class OkexApi(object): evt = args[-1] print(u'vnokex.onApiError:{}'.format(evt)) - - #---------------------------------------------------------------------- def onClose(self, ws): """ 接口断开事件 @@ -183,8 +182,7 @@ class OkexApi(object): :return: """ print(u'vnokex.onClose') - - # ---------------------------------------------------------------------- + def onOpen(self, ws): """ 接口打开事件 @@ -193,22 +191,16 @@ class OkexApi(object): """ print(u'vnokex.onOpen') - # ---------------------------------------------------------------------- def inflate(self,data): """解压数据流""" - decompress = zlib.decompressobj( - -zlib.MAX_WBITS # see above - ) + decompress = zlib.decompressobj(-zlib.MAX_WBITS) inflated = decompress.decompress(data) inflated += decompress.flush() - # bytes=>string if isinstance(inflated,bytes): inflated = inflated.decode('utf-8') - return inflated - #---------------------------------------------------------------------- def generateSign(self, params): """生成签名""" #print(u'vnokex.generateSign') @@ -219,30 +211,25 @@ class OkexApi(object): sign = '&'.join(l) return hashlib.md5(sign.encode('utf-8')).hexdigest().upper() - #---------------------------------------------------------------------- def sendRequest(self, channel, params): """发送指令请求""" #print(u'vnokex.sendRequest:{}'.format(channel)) # 在参数字典中加上api_key和签名字段 params['api_key'] = self.apiKey params['sign'] = self.generateSign(params) - # 生成请求 d = {} d['event'] = 'addChannel' - d['channel'] = channel + d['channel'] = channel d['parameters'] = params - # 使用json打包并发送 j = json.dumps(d) - # 若触发异常则重连 try: self.ws.send(j) except websocket.WebSocketConnectionClosedException as ex: print(u'vnokex.sendTradingRequest Exception:{}'.format(str(ex)),file=sys.stderr) - #---------------------------------------------------------------------- def sendDataRequest(self, channel): """发送数据请求""" #print(u'vnokex.sendDataRequest:{}'.format(channel)) @@ -250,7 +237,7 @@ class OkexApi(object): d['event'] = 'addChannel' d['channel'] = channel j = json.dumps(d) - + # 若触发异常则重连 try: self.ws.send(j) @@ -264,34 +251,47 @@ class OkexApi(object): 发送心跳 :return: """ - d = {'event': 'ping'} - # 若触发异常则重连 - try: - #print(u'vnokex.sendHeartBeat') - j = json.dumps(d) - self.ws.send(j) - except websocket.WebSocketConnectionClosedException as ex: - print(u'vnokex.sendHeartBeat Exception:{}'.format(str(ex)), file=sys.stderr) + # d = {'event': 'ping'} + # # 若触发异常则重连 + # try: + # #print(u'vnokex.sendHeartBeat') + # j = json.dumps(d) + # self.ws.send(j) + # except websocket.WebSocketConnectionClosedException as ex: + # print(u'vnokex.sendHeartBeat Exception:{}'.format(str(ex)), file=sys.stderr) + pass + + def login_params(self): + times = str(time.time()) + message = times + 'GET'+'/users/self/verify' + mac = hmac.new(bytes(message, encoding='utf-8'), bytes(self.secretKey, encoding='utf-8'), digestmod='sha256') + d = mac.digest() + sign = base64.b64encode(d) + + login_param = {"op":"login","args":[self.apiKey, self.passphrase, times, sign.decode("utf-8")]} + login_str = json.dumps(login_param) + return login_str + + def onSpotUserInfo(self,ws_data): + pass - #---------------------------------------------------------------------- def login(self): """ 登录 :return: True/False """ print(u'vnokex.login()') - params = {} - params['api_key'] = self.apiKey - params['sign'] = self.generateSign(params) - - # 生成请求 - d = {} - d['event'] = 'login' - d['parameters'] = params - + times = str(time.time()) + message = times + 'GET'+'/users/self/verify' + mac = hmac.new(bytes(self.secretKey, encoding='utf8'), bytes(message, encoding='utf-8'), digestmod='sha256') + d = mac.digest() + sign = base64.b64encode(d) + login_param = {"op":"login","args":[self.apiKey, self.passphrase, times, sign.decode("utf-8")]} + login_str = json.dumps(login_param) + j = login_str # 使用json打包并发送 - j = json.dumps(d) - + # j = json.dumps(d) + # 若触发异常则重连 try: self.ws.send(j) @@ -301,45 +301,47 @@ class OkexApi(object): return False -######################################################################## class WsSpotApi(OkexApi): """现货交易接口""" - #---------------------------------------------------------------------- def __init__(self): """Constructor""" super(WsSpotApi, self).__init__() - #---------------------------------------------------------------------- + def sendTransfer(self,symbol, amount,tfrom, tto): + method = 'POST' + request_path = '/api/account/v3/transfer' + params={ + 'amount':amount, + 'currency':symbol, + 'from':tfrom, + 'to':tto + } + self.send_request(method, request_path, params) + def subscribeSpotTicker(self, symbol): - #print(u'vnokex.subscribeSpotTicker:{}'.format(symbol)) - """订阅现货的Tick""" - channel = 'ok_sub_spot_%s_ticker' %symbol - self.sendDataRequest(channel) + req = {"op":"subscribe","args":["spot/ticker:%s"%symbol]} + req = json.dumps(req) + self.ws.send(req) - #---------------------------------------------------------------------- - def subscribeSpotDepth(self, symbol, depth=0): + def subscribeSpotDepth(self, symbol): """订阅现货的深度""" - #print(u'vnokex.subscribeSpotDepth:{}'.format(symbol)) - channel = 'ok_sub_spot_%s_depth' %symbol - if depth: - channel = channel + '_' + str(depth) - self.sendDataRequest(channel) + req = {"op": "subscribe", "args": ["spot/depth5:%s" % symbol]} + req = json.dumps(req) + self.ws.send(req) - #---------------------------------------------------------------------- - def subscribeSpotDeals(self, symbol): + def subscribeSpotTrades(self, symbol): """ 订阅成交记录 :param symbol: :return: """ - #print(u'vnokex.subscribeSpotDeals:{}'.format(symbol)) - channel = 'ok_sub_spot_%s_deals' %symbol - self.sendDataRequest(channel) + req = {"op":"subscribe","args":["spot/order:%s"%symbol]} + req = json.dumps(req) + self.ws.send(req) - #---------------------------------------------------------------------- def subscribeSpotKlines(self, symbol, period): """ 订阅K线数据 @@ -348,31 +350,77 @@ class WsSpotApi(OkexApi): :return: """ #print(u'vnokex.subscribeSpotKlines:{} {}'.format(symbol,period)) - channel = 'ok_sub_spot_%s_kline_%s' %(symbol, period) - self.sendDataRequest(channel) + # channel = 'ok_sub_spot_%s_kline_%s' %(symbol, period) + # self.sendDataRequest(channel) + pass - #---------------------------------------------------------------------- - def spotTrade(self, symbol, type_, price, amount): + def spotTrade(self, symbol, type_, price, amount,order_id=0): """现货委托""" - #print(u'vnokex.stopTrade:symbol:{} type:{} price:{} amount:{}'.format(symbol, type_, price,amount)) + params = { + 'client_oid':order_id, + 'instrument_id':symbol, + 'side':type_, + 'type':'limit', + 'size':amount, + 'price':price, + 'margin_trading':'1' + } + method = 'POST' + request_path = '/api/spot/v3/orders' + self.send_request(method, request_path, params) - params = {} - params['symbol'] = str(symbol) - params['type'] = str(type_) + def send_request(self, method, request_path, params, cursor=False): + if method == 'GET': + url = '?' + for key,value in params.items(): + url = url + str(key)+'='+str(value)+'&' + request_path = request_path + url[0:-1] + url = 'https://www.okex.com'+ request_path + urlt = 'https://www.okex.com' + '/api/general/v3/time' + response2 = requests.get(urlt) + if response2.status_code == 200: + timestamp = response2.json()['iso'] + body = json.dumps(params) if method == 'POST' else '' + message = str(timestamp) + method + request_path + body + mac = hmac.new(bytes(self.secretKey, encoding='utf8'), bytes(message, encoding='utf-8'), digestmod='sha256') + d = mac.digest() + sign = base64.b64encode(d) + head = dict() + head['Content-Type'] = 'application/json' + head['OK-ACCESS-KEY'] = self.apiKey + head['OK-ACCESS-SIGN'] = sign + head['OK-ACCESS-TIMESTAMP'] = str(timestamp) + head['OK-ACCESS-PASSPHRASE'] = self.passphrase + header = head - if str(type_) == 'buy' or str(type_) == 'sell': - params['price'] = str(price) - params['amount'] = str(amount) - elif str(type_) == 'buy_market': - params['type'] = str(type_) - elif str(type_) == 'sell_market': - params['amount'] = str(amount) + if method == 'POST': + response=requests.post(url, data=body, headers=header) + else: + response = requests.get(url, data=body, headers=header) - channel = 'ok_spot_order' - - self.sendRequest(channel, params) + if str(response.status_code).startswith('2'): + if cursor is True: + return response.text + + self.onMessage(response.text) + + # print(response.text) + + try: + res_header = response.headers + if False: + r = dict() + try: + r['before'] = res_header['OK-BEFORE'] + r['after'] = res_header['OK-AFTER'] + except: + print("") + return response.json(), r + else: + return response.json() + except ValueError: + raise print(response.text) - #---------------------------------------------------------------------- def spotCancelOrder(self, symbol, orderid): """ 现货撤单指令 @@ -380,82 +428,74 @@ class WsSpotApi(OkexApi): :param orderid: :return: """ - #print(u'vnokex.spotCancelOrder:{} orderid:{}'.format(symbol, orderid)) - params = {} - params['symbol'] = str(symbol) - params['order_id'] = str(orderid) - - channel = 'ok_spot_cancel_order' + method = 'POST' + request_path = '/api/spot/v3/cancel_orders/%s'%orderid + + params = { + 'instrument_id':symbol.lower() + } + + self.send_request(method, request_path, params) - self.sendRequest(channel, params) - - #---------------------------------------------------------------------- def spotUserInfo(self): """ - 查询现货账户" - :return: - """"" - #print(u'vnokex.spotUserInfo()') - channel = 'ok_spot_userinfo' - self.sendRequest(channel, {}) - - #---------------------------------------------------------------------- - def spotOrderInfo(self, symbol, orderid): - """ - 查询现货委托信息 - :param symbol: 现货合约 - :param orderid: 委托编号 + 查询现货账户 :return: """ - #print(u'vnokex.spotOrderInfo:{},orderid:{}'.format(symbol,orderid)) + # req = {"op":"subscribe","args":["spot/account:BTC","spot/account:USDT","spot/account:ETH","spot/account:EOS"]} + # j = json.dumps(req) + # self.ws.send(j) + # # self.querySpotAccount() + # + # method = 'GET' + # request_path = '/api/spot/v3/accounts' + # respose = self.send_request(method, request_path, {},cursor=True) - params = {} - params['symbol'] = str(symbol) - params['order_id'] = str(orderid) - - channel = 'ok_spot_orderinfo' - - self.sendRequest(channel, params) + # self.onSpotUserInfo(respose) + pass - -######################################################################## -''' -OKEX 合约接口 - -[{ - "channel": "btc_forecast_price", - "timestamp":"1490341322021", - "data": "998.8" -}] -data(string): 预估交割价格 -timestamp(string): 时间戳 -操作说明 -无需订阅，交割前一小时自动返回 - -这段数据，交割前会自动返回 -''' + def spotOrderInfo(self, symbol): + """ + # 查询现货委托信息 + # :param symbol: 现货合约 + # :param orderid: 委托编号 + # :return: + # """ + method = 'GET' + request_path = '/api/spot/v3/orders?instrument_id=%s&status=open'%(symbol) + self.send_request(method, request_path, {}) class WsFuturesApi(object): - # ---------------------------------------------------------------------- + def __init__(self): """Constructor""" self.apiKey = '' # 用户名 self.secretKey = '' # 密码 - + self.passphrase = '' self.ws = None # websocket应用对象 期货对象 self.active = False # 还存活 - self.use_lever_rate = 10 - self.trace = False + self.contractInfo = {} # 储存合约信息 - # ----------------------------------------------------------------------- - def connect(self, apiKey, secretKey, trace=False): + def connect(self, apiKey, secretKey, passphrase, trace=False): + """ + + :param apiKey: + :param secretKey: + :param passphrase: + :param trace: + :return: + """ self.host = OKEX_USD_CONTRACT self.apiKey = apiKey self.secretKey = secretKey + self.passphrase = passphrase self.trace = trace + self.writechaLog(apiKey) + self.writechaLog(secretKey) + self.writechaLog(passphrase) try: websocket.enableTrace(trace) @@ -470,47 +510,61 @@ class WsFuturesApi(object): except Exception as ex: print(u'{} wsFuturesApi connect exception :{},{}'.format(datetime.now(), str(ex),traceback.format_exc()), file=sys.stderr) - # ---------------------------------------------------------------------- - def http_get_request(self, url, params, add_to_headers=None, TIMEOUT=5): - headers = { - "Content-type": "application/x-www-form-urlencoded", - 'User-Agent': 'Mozilla/5.0 (Windows NT 6.1; WOW64; rv:53.0) Gecko/20100101 Firefox/53.0' - } - if add_to_headers: - headers.update(add_to_headers) - #postdata = urllib.urlencode(params) - try: - # response = requests.get(url, postdata, headers=headers, timeout=TIMEOUT) - response = requests.get(url, headers=headers, timeout=TIMEOUT) - if response.status_code == 200: - return response.json() + def writechaLog(self, content): + """ + + :param content: + :return: + """ + pass + + def queryContractInfo(self, type_contract): + """ + 主动获取：获取合约信息，主要针对交割合约，含有日期 + :return: + """ + method = 'GET' + if 'SWAP' in type_contract: + request_path = '/api/swap/v3/instruments' + else: + request_path = '/api/futures/v3/instruments' + response = self.send_request(method, request_path,{}, onMessage=False,reback=True) + if response is None: + print('{},response is None'.format(type_contract)) + return + res = json.loads(response) + for each in res: + if 'SWAP'in type_contract: + self.contractInfo[each['instrument_id']] = 'SWAP' else: - return {"status": "fail"} - except Exception as e: - print(u'httpGet failed :{},trace:{}'.format(str(e),traceback.format_exc()), file=sys.stderr) - return {"status": "fail", "msg": e} + self.contractInfo[each['instrument_id']] = each['alias'] - # ---------------------------------------------------------------------- - def getContractName(self, symbol_no_usd, contract_type): - try: - url = OKEX_CONTRACT_HOST % (symbol_no_usd, contract_type) - data = self.http_get_request(url, {}) - - if type(data) == type([]) and len(data) > 0: - d1 = data[0] - contract_name = d1["contract_name"] - return contract_name - - except Exception as ex: - print(u'OkexContractApi.getContractName exception:{},{}'.format(str(ex),traceback.format_exc()), file=sys.stderr) - return None + def sendTransfer(self, symbol, amount, tfrom, tto): + """ + 转币 0:子账户 1:币币 3:合约 4:C2C 5:币币杠杆 6:钱包 7:ETT 8:余币宝 9 永续合约 + :param symbol: 币种，需要大写 + :param amount: + :param tfrom: + :param tto: + :return: + """ + method = 'POST' + request_path = '/api/account/v3/transfer' + params={ + 'amount':amount, + 'currency':symbol, + 'from':tfrom, + 'to':tto + } + self.send_request(method, request_path, params) def sendHeartBeat(self): """ 发送心跳 :return: """ - d = {'event': 'ping'} + d = {'op': 'subscribe', + 'args':'ping'} # 若触发异常则重连 try: print(u'vnokex.futuresApi.sendHeartBeat') @@ -519,29 +573,23 @@ class WsFuturesApi(object): except websocket.WebSocketConnectionClosedException as ex: print(u'vnokex.futuresApi.sendHeartBeat Exception:{}'.format(str(ex)), file=sys.stderr) - # ---------------------------------------------------------------------- def close(self): """关闭接口""" if self.thread and self.thread.isAlive(): self.ws.close() self.thread.join() - # ---------------------------------------------------------------------- def inflate(self, data): - """解压数据流""" - decompress = zlib.decompressobj( - -zlib.MAX_WBITS # see above - ) + """ + 解压数据流 + """ + decompress = zlib.decompressobj(-zlib.MAX_WBITS) inflated = decompress.decompress(data) inflated += decompress.flush() - - # bytes=>string - if isinstance(inflated, bytes): + if isinstance(inflated, bytes): # bytes=>string inflated = inflated.decode('utf-8') - return inflated - # ---------------------------------------------------------------------- def readData(self, evt): """解压缩推送收到的数据""" # # 创建解压器 @@ -553,23 +601,18 @@ class WsFuturesApi(object): # 通过json解析字符串 # data = json.loads(inflated) data = json.loads(evt) - return data - # ---------------------------------------------------------------------- def onMessage(self, *args): """信息推送""" if len(args)>0: print(args[-1]) - # ---------------------------------------------------------------------- def onError(self, *args): """错误推送""" if len(args) > 0: + print('OkexContractApi.onError:{}'.format(args[-1])) - print('OkexContractApi.onError:{}'.format(evt[-1])) - - # ---------------------------------------------------------------------- def onClose(self, ws): """接口断开""" print('OkexContractApi.onClose') @@ -579,84 +622,196 @@ class WsFuturesApi(object): """接口打开""" print('OkexContractApi.onOpen') - def subsribeFutureTicker(self, symbol, contract_type): - req = "{'event':'addChannel','channel':'ok_sub_futureusd_%s_ticker_%s'}" % (symbol, contract_type) - self.ws.send(req) + def subsribeFutureTicker(self, symbol): + """ + ws，订阅ticker频道 + :param symbol: + :return: + """ + if symbol.endswith('SWAP'): + req = {"op":"subscribe","args":["swap/ticker:%s"%symbol]} + else: + req = {"op":"subscribe","args":["futures/ticker:%s"%symbol]} + req = json.dumps(req) + try: + self.ws.send(req) + except websocket.WebSocketConnectionClosedException as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), + file=sys.stderr) + except Exception as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), + file=sys.stderr) - def subscribeFutureKline(self, symbol, contract_type, time_period): - req = "{'event':'addChannel','channel':'ok_sub_futureusd_%s_kline_%s_%s'}" % ( - symbol, contract_type, time_period) - self.ws.send(req) + def subscribeFutureKline(self, symbol): + """ + ws, 订阅Kline平道 + :param symbol: + :param contract_type: + :param time_period: + :return: + """ + pass - def subscribeFutureDepth(self, symbol, contract_type): - req = "{'event':'addChannel','channel':'ok_sub_future_%s_depth_%s_usd'}" % (symbol, contract_type) - self.ws.send(req) + def subscribeFutureDepth(self, symbol): + """ + ws，订阅Depth + :param symbol: + :return: + """ + if symbol.endswith('SWAP'): + req = {"op": "subscribe", "args": ["swap/depth5:%s"%symbol]} + else: + req = {"op": "subscribe", "args": ["futures/depth5:%s" % symbol]} + req = json.dumps(req) + try: + self.ws.send(req) + except websocket.WebSocketConnectionClosedException as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), + file=sys.stderr) + except Exception as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), + file=sys.stderr) - def subscribeFutureDepth20(self, symbol, contract_type): - req = "{'event':'addChannel','channel':'ok_sub_futureusd_%s_depth_%s_20'}" % (symbol, contract_type) - self.ws.send(req) - - def subscribeFutureTrades(self, symbol, contract_type): - req = "{'event':'addChannel','channel':'ok_sub_futureusd_%s_trade_%s'}" % (symbol, contract_type) - self.ws.send(req) + def subscribeFutureTrades(self, symbol): + """ + ws，订阅交易频道 + :param symbol: + :param contract_type: + :return: + """ + if symbol.endswith('SWAP'): + req = {"op": "subscribe", "args": ["swap/order:%s"%symbol]} + else: + req = {"op": "subscribe", "args": ["futures/order:%s"%symbol]} + req = json.dumps(req) + try: + self.ws.send(req) + except websocket.WebSocketConnectionClosedException as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), + file=sys.stderr) + except Exception as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), + file=sys.stderr) def subscribeFutureIndex(self, symbol): - req = "{'event':'addChannel','channel':'ok_sub_futureusd_%s_index'}" % (symbol) - self.ws.send(req) + # req = "{'event':'addChannel','channel':'ok_sub_futureusd_%s_index'}" % (symbol) + # self.ws.send(req) + pass - # ---------------------------------------------------------------------- - def generateSign(self, params): - """生成签名""" - l = [] - for key in sorted(params.keys()): - l.append('%s=%s' % (key, params[key])) - l.append('secret_key=%s' % self.secretKey) - sign = '&'.join(l) - return hashlib.md5(sign.encode('utf-8')).hexdigest().upper() + def setSingleleverage(self, symbol, leverage, margin_mode=None, instrument_id=None, direction=None): + """ + 设置币种全仓和逐仓 + :param symbol: + :param leverage: + :param margin_mode: + :param instrument_id: + :param direction: + :return: + """ + method = 'POST' + lower_case = symbol.split('-')[0].lower() + if symbol.endswith('SWAP'): + # 永续 + # 1.逐仓-多仓 2.逐仓-空仓 3.全仓 + request_path = '/api/swap/v3/accounts/%s/leverage' % symbol + parameter = dict() + if margin_mode is None: # 全仓模式 + parameter["leverage"] = leverage + parameter["side"] = 3 + else: + parameter["leverage"] = leverage + parameter["side"] = margin_mode + request_path += self.__dictToStr(parameter) + self.send_request(method,request_path,{}) + else: + # 交割 + request_path = '/api/futures/v3/accounts/%s/leverage' % lower_case + parameter = dict() + if margin_mode is None: # 全仓模式 + parameter['leverage'] = leverage + request_path += self.__dictToStr(parameter) + self.send_request(method, request_path, {}) + else: # 逐仓模式 + if direction is not None: + parameter['leverage'] = leverage + parameter['direction'] = direction + parameter['instrument_id'] = symbol + request_path += self.__dictToStr(parameter) + self.send_request(method, request_path, {}) + else: + parameter['leverage'] = leverage + parameter['direction'] = 'long' + parameter['instrument_id'] = symbol + request_path += self.__dictToStr(parameter) + self.send_request(method, request_path, {}) + parameter['leverage'] = leverage + parameter['direction'] = 'short' + parameter['instrument_id'] = symbol + request_path += self.__dictToStr(parameter) + self.send_request(method, request_path, {}) - # ---------------------------------------------------------------------- - def sendTradingRequest(self, channel, params): - """发送交易请求""" - # 在参数字典中加上api_key和签名字段 - params['api_key'] = self.apiKey - params['sign'] = self.generateSign(params) + def __dictToStr(self, dic): + """ + 将dict转换为纯str + :param dic: + :return: + """ + c = '{' + for key, value in dic.items(): + c += ("\"%s\":\"%s\"" % (key, value)) + c += '}' + return c - # 生成请求 - d = {} - d['event'] = 'addChannel' - d['channel'] = channel - d['parameters'] = params + def queryFuturePosition(self, symbol): + """ + 主动获取：查询单币种的持仓信息 + :param symbol: + :return: + """ + method = 'GET' + if symbol.endswith('SWAP'): + request_path = '/api/swap/v3/%s/position' % symbol + else: + request_path = '/api/futures/v3/%s/position'%symbol + response = self.send_request(method, request_path, {}, onMessage=False, reback=True) + if response is None: + return + response = json.loads(response) + self.treatFuturePositionInfo(response, symbol) - # 使用json打包并发送 - j = json.dumps(d) + def treatFuturePositionInfo(self, message, symbol): + """ + 处理函数：用于处理持仓信息查询返回的内容 + :param message: + :return: + """ + pass - # 若触发异常则重连 - try: - self.ws.send(j) - except websocket.WebSocketConnectionClosedException as ex: - print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex),traceback.format_exc()), file=sys.stderr) - except Exception as ex: - print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), file=sys.stderr) + def login_params(self): + times = str(time.time()) + message = times + 'GET'+'/users/self/verify' + mac = hmac.new(bytes(self.secretKey, encoding='utf8'), bytes(message, encoding='utf-8'), digestmod='sha256') + d = mac.digest() + sign = base64.b64encode(d) - # ---------------------------------------------------------------------- + login_param = {"op":"login","args":[self.apiKey, self.passphrase, times, sign.decode("utf-8")]} + login_str = json.dumps(login_param) + return login_str def login(self): """ 登录 :return: """ - params = {} - params['api_key'] = self.apiKey - params['sign'] = self.generateSign(params) - - # 生成请求 - d = {} - d['event'] = 'login' - d['parameters'] = params - - # 使用json打包并发送 - j = json.dumps(d) + times = str(time.time()) + message = times + 'GET'+'/users/self/verify' + mac = hmac.new(bytes(self.secretKey, encoding='utf8'), bytes(message, encoding='utf-8'), digestmod='sha256') + d = mac.digest() + sign = base64.b64encode(d) + login_param = {"op":"login","args":[self.apiKey, self.passphrase, times, sign.decode("utf-8")]} + login_str = json.dumps(login_param) + j = login_str # 若触发异常则重连 try: self.ws.send(j) @@ -665,79 +820,228 @@ class WsFuturesApi(object): except Exception as ex: print(u'OkexContractApi.login exception:{},{}'.format(str(ex), traceback.format_exc()), file=sys.stderr) - # ---------------------------------------------------------------------- - def futureSubscribeIndex(self, symbol): """ 订阅期货合约指数行情 :param symbol: 合约 :return: """ - channel = 'ok_sub_futureusd_%s_index' % symbol - self.sendTradingRequest(channel, {}) + # channel = 'ok_sub_futureusd_%s_index' % symbol + # self.sendTradingRequest(channel, {}) + pass - # ---------------------------------------------------------------------- - def futureAllIndexSymbol(self): + def subFutureAllIndexSymbol(self): """ - 订阅所有的期货合约指数行情 + 订阅所有的期货合约指数行情 TODO: 需要做 :return: """ - for symbol in CONTRACT_SYMBOL: - self.futureSubscribeIndex(symbol) + # for symbol in CONTRACT_SYMBOL: + # self.futureSubscribeIndex(symbol) + pass - # ---------------------------------------------------------------------- - def futureTrade(self, symbol_pair, contract_type, type_, price, amount, _match_price='0', _lever_rate=None): - """期货委托""" - params = {} - params['symbol'] = str(symbol_pair) - params['contract_type'] = str(contract_type) - params['price'] = str(price) - params['amount'] = str(amount) - params['type'] = type_ # 1:开多 2:开空 3:平多 4:平空 - params['match_price'] = _match_price # 是否为对手价： 0:不是 1:是 当取值为1时,price无效 - - if _lever_rate != None: - params['lever_rate'] = _lever_rate - else: - params['lever_rate'] = str(self.use_lever_rate) - - channel = 'ok_futureusd_trade' - - self.sendTradingRequest(channel, params) - - # ---------------------------------------------------------------------- - def futureCancelOrder(self, symbol_pair, orderid, contract_type): + def futureTrade(self, symbol_pair, type_, price, amount, _match_price='0', order_id=0): """ - 期货撤单指令 + 期货委托 + :return + """ + params = { + 'client_oid': order_id, + 'instrument_id': symbol_pair, + 'type': type_, + 'price': price, + 'size': amount, + 'match_price':'0' , + 'leverage':'10'} + method = 'POST' + if symbol_pair.endswith('SWAP'): + request_path = '/api/swap/v3/order' + else: + request_path = '/api/futures/v3/order' + self.send_request(method, request_path, params) + + + def send_request(self, method, request_path, params, onMessage=True, reback=False): + """ + REST_API接口 + :param method: + :param request_path: + :param params: + :param cursor: + :return: + """ + base_url = 'https://www.okex.com' + time_stamp_url = 'https://www.okex.com/api/general/v3/time' + time_response = requests.get(time_stamp_url) + if time_response.status_code == 200: + timestamp = time_response.json()['iso'] + else: + return + body = json.dumps(params) if method == 'POST' else '' + sign_name = self.signature(timestamp, method, request_path, self.secretKey, body) + if not self.passphrase: + print('s') + header = self.get_header(self.apiKey, sign_name, timestamp, self.passphrase) + url = base_url + request_path + + if method == 'POST': + response=requests.post(url, data=body, headers=header) + else: + response = requests.get(url, data=body, headers=header) + + if str(response.status_code).startswith('2'): + if onMessage: + self.onMessage(response.text) + return response.text + elif reback: + return response.text + else: + print("错误：{}".format(response.text)) + + + def signature(self, timestamp, method, request_path, secret_key, body): + """ + 隶属send_order + :param params: + :return: + """ + message = str(timestamp) + str.upper(method) + request_path + body + mac = hmac.new(bytes(secret_key, encoding='utf8'), bytes(message, encoding='utf-8'), digestmod='sha256') + d = mac.digest() + return base64.b64encode(d) + + def get_header(self, api_key, sign, timestamp, passphrase='123456'): + """ + 隶属send_order + :param params: + :return: + """ + header = dict() + header['Content-Type'] = 'application/json' + header['OK-ACCESS-KEY'] = api_key + header['OK-ACCESS-SIGN'] = sign + header['OK-ACCESS-TIMESTAMP'] = str(timestamp) + header['OK-ACCESS-PASSPHRASE'] = '123456' + return header + + def parse_params_to_str(self, params): + """ + 隶属send_order + :param params: + :return: + """ + url = '?' + for key, value in params.items(): + url = url + str(key) + '=' + str(value) + '&' + return url[0:-1] + + def queryFutureCancelOrder(self, symbol_pair, orderid): + """ + 主动函数：期货撤单指令 :param symbol_pair: 合约对 :param orderid: 委托单编号 :param contract_type: 合约类型 :return: """ - params = {} - params['symbol'] = str(symbol_pair) - params['order_id'] = str(orderid) - params['contract_type'] = str(contract_type) - channel = 'ok_futureusd_cancel_order' + method = 'POST' + if symbol_pair.endswith('SWAP'): + request_path = '/api/swap/v3/cancel_order/%s/%s'%(symbol_pair,orderid) + else: + request_path = '/api/futures/v3/cancel_order/%s/%s' % (symbol_pair, orderid) - self.sendTradingRequest(channel, params) + response = self.send_request(method, request_path,{},onMessage=False, reback=True) + if response is None: + print('symbol_pair:{},orderId:{} respon is None'.format(symbol_pair, orderid)) + return False,'false' + response = json.loads(response) + if response['result']: + return True, response + else: + return False,'false' - # ---------------------------------------------------------------------- - def futureUserInfo(self): - """查询期货账户""" - channel = 'ok_futureusd_userinfo' - self.sendTradingRequest(channel, {}) - - # ---------------------------------------------------------------------- - # def futureSubUserInfo(self): - # channel = 'ok_sub_futureusd_userinfo' - # self.sendTradingRequest(channel, {}) - - # ---------------------------------------------------------------------- - def futureOrderInfo(self, symbol_pair, order_id, contract_type, status, current_page, page_length=50): + def subFutureUserInfo(self,symbol='BTC'): """ - 发出查询期货委托 + ws, 订阅账户频道信息 + """ + if symbol.endswith('SWAP'): + req = {"op":"subscribe","args":["swap/account:%s"%symbol]} + else: + req = {"op": "subscribe", "args": ["futures/account:%s" % symbol.split('-USD')[0]]} + j = json.dumps(req) + try: + self.ws.send(j) + except websocket.WebSocketConnectionClosedException as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex),traceback.format_exc()), file=sys.stderr) + except Exception as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), file=sys.stderr) + + def queryFutureOrderStatus(self, symbol, orderID): + """ + 查询订单状态 + :param symbol: + :param orderID: + :return: + """ + method = 'GET' + if symbol.endswith('SWAP'): + request_path = '' + else: + request_path = '/api/futures/v3/orders/'+symbol+'/'+orderID + response = self.send_request(method, request_path, {}, onMessage=False, reback=True) + if response is None: + return + response = json.loads(response) + return self.treatFutureOrderStatus(response) + + def treatFutureOrderStatus(self, response): + pass + + def queryFuturesAccountInfo(self, symbol): + """ + 主动获取：查询账户对应币种信息 + :param symbol: + :return: + """ + method = 'GET' + if symbol.endswith('SWAP'): + request_path = '/api/swap/v3/%s/accounts'%symbol + else: + request_path = '/api/futures/v3/accounts/' + symbol.split('-')[0].lower() + response = self.send_request(method, request_path, {}, onMessage=False, reback=True) + if response is None: + return + response = json.loads(response) + self.treatFutureAccountInfo(response, symbol) + + def treatFutureAccountInfo(self, message, symbol): + """ + 处理函数：用于处理查询账户信息返回来的信息 + :param message: + :return: + """ + pass + + def subFuturePositionInfo(self,symbol): + """ + ws, 订阅期货账户持仓 + """ + if symbol.endswith('SWAP'): + req = {"op":"subscribe","args":["swap/position:%s"%symbol]} + else: + req = {"op": "subscribe", "args": ["futures/position:%s" % symbol]} + j = json.dumps(req) + try: + self.ws.send(j) + except websocket.WebSocketConnectionClosedException as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), + file=sys.stderr) + except Exception as ex: + print(u'OkexContractApi.sendTradingRequest exception:{},{}'.format(str(ex), traceback.format_exc()), + file=sys.stderr) + + def queryFutureOrderInfo(self, symbol_pair, status, current_page, page_length=50): + """ + 主动函数：发出查询期货订单列表 :param symbol_pair: 合约对 :param order_id: 委托单编号 :param contract_type: 合约类型 @@ -746,49 +1050,24 @@ class WsFuturesApi(object): :param page_length: 每页长度 :return: """ - params = {} - params['symbol'] = str(symbol_pair) - params['order_id'] = str(order_id) - params['contract_type'] = str(contract_type) - params['status'] = str(status) - params['current_page'] = str(current_page) - params['page_length'] = str(page_length) - channel = 'ok_futureusd_orderinfo' + method = 'GET' + if symbol_pair.endswith('SWAP'): + request_path = '/api/swap/v3/orders/%s?status=%s&from=%s&limit=%s'%(symbol_pair, status,current_page,page_length) + else: + symbol_pair = symbol_pair + request_path = '/api/futures/v3/orders/%s?status=%s&from=%s&limit=%s' % (symbol_pair, status, current_page, page_length) + response = self.send_request(method, request_path, {}, onMessage=False, reback=True) # TODO 需要检查 + if response is None: + return + response = json.loads(response) + self.treatFutureOrderInfo(symbol_pair,response) - self.sendTradingRequest(channel, params) - - # ---------------------------------------------------------------------- - def futureAllUnfinishedOrderInfo(self): + def treatFutureOrderInfo(self, symbol_pair, message): """ - 订阅所有未完成的委托单信息 + 处理函数：用于处理查询订单返回来的信息 + :param message: :return: """ - for symbol in CONTRACT_SYMBOL: - symbol_usd = symbol + "_usd" - for contract_type in CONTRACT_TYPE: - # orderid = -1, - self.futureOrderInfo(symbol_usd, -1, contract_type, 1, 1, 50) + pass - # ---------------------------------------------------------------------- - def subscribeFutureTrades(self): - """ - 订阅期货成交回报 - :return: - """ - channel = 'ok_sub_futureusd_trades' - self.sendTradingRequest(channel, {}) - - # ---------------------------------------------------------------------- - def subscribeFutureUserInfo(self): - """订阅期货账户信息""" - channel = 'ok_sub_futureusd_userinfo' - - self.sendTradingRequest(channel, {}) - - # ---------------------------------------------------------------------- - def subscribeFuturePositions(self): - """订阅期货持仓信息""" - channel = 'ok_sub_futureusd_positions' - - self.sendTradingRequest(channel, {}) \ No newline at end of file diff --git a/vnpy/data/okex/okex_future_data.py b/vnpy/data/okex/okex_future_data.py index 8575ab28..f09331f9 100644 --- a/vnpy/data/okex/okex_future_data.py +++ b/vnpy/data/okex/okex_future_data.py @@ -1,71 +1,225 @@ # encoding: UTF-8 # 从okex下载数据 -from datetime import datetime, timezone +from datetime import datetime, timedelta import requests import execjs import traceback +import time as td from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData -period_list = ['1min','3min','5min','15min','30min','1day','1week','1hour','2hour','4hour','6hour','12hour'] +period_list = {'1min': 60 ,'3min':180,'5min':300,'15min':900,'30min':1800, + '1hour':3600,'2hour':7200,'4hour':14400,'6hour':21600,'12hour':43200} symbol_list = ['btc_usd','eth_usd','etc_usd','bch_usd','xrp_usd','eos_usd','btg_usd'] +period_limited = {"4hour":180, "2hour":94, "1hour":168, "30min":192, "15min":192, "5min":144} +# 4小时是间隔30天，2小时是间隔7天，1小时是间隔7天，30分钟是间隔4天，15分钟是间隔2天 +# 15分钟以下，间隔1日拿一次 + class OkexFutureData(object): - # ---------------------------------------------------------------------- def __init__(self, strategy): - """ - 构造函数 - :param strategy: 上层策略，主要用与使用strategy.writeCtaLog（） - """ self.strategy = strategy - # 设置HTTP请求的尝试次数，建立连接session self.session = requests.session() self.session.keep_alive = False - def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None): + + def get_data(self, symbol, period, start_dt=None): + """ + + :param symbol: + :param period: + :param start_dt: + :return: + """ + ret_bars = [] + symbol_pair = symbol + url_list = [] + if start_dt is None: + if symbol_pair.endswith('SWAP'): + url = u'https://www.okex.com/api/swap/v3/instruments/{}/candles?granularity={}'.format(symbol_pair,period_list[period]) + else: + url = u'https://www.okex.com/api/futures/v3/instruments/{}/candles?granularity={}'.format(symbol_pair,period_list[period]) + url_list.append(url) + else: + if symbol_pair.endswith('SWAP'): + url = u'https://www.okex.com/api/swap/v3/instruments/{}/candles?'.format(symbol_pair) + else: + url = u'https://www.okex.com/api/futures/v3/instruments/{}/candles?'.format(symbol_pair) + datetime_now = datetime.now() + datetime_start_dt = datetime.strptime(start_dt, "%Y-%m-%d %H:%M:%S") + if '4h' in period: + interval = period_list['4hour'] * period_limited['4hour'] + status = True + start_time = datetime_start_dt + while status: + end_time = start_time + timedelta(seconds=interval) + if end_time > datetime_now: + status = False + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z' + info = 'start={}&granularity={}'.format(start, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + else: + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z' + end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z' + info = 'start={}&end={}&granularity={}'.format(start,end,period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + start_time = end_time + elif '2h' in period: + interval = period_list['2hour'] * period_limited['2hour'] + status = True + start_time = datetime_start_dt + while status: + end_time = start_time + timedelta(seconds=interval) + if end_time > datetime_now: + status = False + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', + 'T') + '.000Z' + info = 'start={}&granularity={}'.format(start, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + else: + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', + 'T') + '.000Z' + end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z' + info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + start_time = end_time + elif '1h' in period: + interval = period_list['1hour'] * period_limited['1hour'] + status = True + start_time = datetime_start_dt + while status: + end_time = start_time + timedelta(seconds=interval) + if end_time > datetime_now: + status = False + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', + 'T') + '.000Z' + info = 'start={}&granularity={}'.format(start, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + else: + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', + 'T') + '.000Z' + end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z' + info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + start_time = end_time + elif '30m' in period: + interval = period_list['30min'] * period_limited['30min'] + status = True + start_time = datetime_start_dt + while status: + end_time = start_time + timedelta(seconds=interval) + if end_time > datetime_now: + status = False + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', + 'T') + '.000Z' + info = 'start={}&granularity={}'.format(start, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + else: + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', + 'T') + '.000Z' + end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z' + info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + start_time = end_time + elif '15m' in period: + interval = period_list['15min'] * period_limited['15min'] + status = True + start_time = datetime_start_dt + while status: + end_time = start_time + timedelta(seconds=interval) + if end_time > datetime_now: + status = False + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z' + info = 'start={}&granularity={}'.format(start, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + else: + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z' + end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z' + info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + start_time = end_time + elif '5m' in period: + interval = period_list['5min'] * period_limited['5min'] + status = True + start_time = datetime_start_dt + while status: + end_time = start_time + timedelta(seconds=interval) + if end_time > datetime_now: + status = False + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z' + info = 'start={}&granularity={}'.format(start, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + else: + start = (start_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ','T') + '.000Z' + end = (end_time - timedelta(hours=8)).strftime("%Y-%m-%d %H:%M:%S").replace(' ', 'T') + '.000Z' + info = 'start={}&end={}&granularity={}'.format(start, end, period_list[period]) + tmp_url = url + info + url_list.append(tmp_url) + start_time = end_time + + self.strategy.writeCtaLog('{}开始下载:{} {}数据,第一日期{}'.format(datetime.now(), symbol, period, start_dt)) + total_bars = [] + try: + while True: + times = 1 + for url in url_list: + content = self.session.get(url).content.decode('gbk') + bars = execjs.eval(content) + if not isinstance(bars, list): + self.strategy.writeCtaLog('扑街了，bars不是list') + td.sleep(4) + break + if bars == []: + self.strategy.writeCtaLog('扑街了，bars为空') + td.sleep(4) + break + bars = bars[::-1] + if times == 1: + times -= 1 + else: + bars = bars[1:] + total_bars.extend(bars) + return True, total_bars + except Exception as ex: + self.strategy.writeCtaError('exception in get:{},{},{}'.format(url, str(ex), traceback.format_exc())) + return False, total_bars + + + def get_bars(self, symbol, period, callback, bar_is_completed=False, bar_freq=1, start_dt=None): """ 返回k线数据 symbol：合约b tc:next_week:10 period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour """ ret_bars = [] - if ':' not in symbol: - self.strategy.writeCtaError(u'{} {}格式需要包含合约类型,如:btc:next_week:10'.format(datetime.now(), symbol)) - return False, ret_bars - s = symbol.split(':') - symbol_pair, contract_type = s[0],s[1] - if not symbol_pair.endswith('_usd'): - symbol_pair += '_usd' - - if symbol_pair not in symbol_list: - self.strategy.writeCtaError(u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair)) - return False, ret_bars - - url = u'https://www.okex.com/api/v1/future_kline.do?symbol={}&type={}&contract_type={}'.format(symbol_pair, period,contract_type) - self.strategy.writeCtaLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period, url)) - bars = [] - content = None - try: - content = self.session.get(url).content.decode('gbk') - bars = execjs.eval(content) - except Exception as ex: - self.strategy.writeCtaError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc())) - return False, ret_bars - + status, bars = self.get_data(symbol, period, start_dt) + if not status: + return False, bars for i, bar in enumerate(bars): if len(bar) < 5: self.strategy.writeCtaError('error when import bar:{}'.format(bar)) return False - add_bar = CtaBarData() try: + time = bar[0].replace('T', ' ')[:-5] add_bar.vtSymbol = symbol add_bar.symbol = symbol - add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000) + add_bar.datetime = datetime.strptime(time, '%Y-%m-%d %H:%M:%S') + timedelta(hours=8) add_bar.date = add_bar.datetime.strftime('%Y-%m-%d') add_bar.time = add_bar.datetime.strftime('%H:%M:%S') add_bar.tradingDay = add_bar.date @@ -77,13 +231,9 @@ class OkexFutureData(object): except Exception as ex: self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc())) return False, ret_bars - - if start_dt is not None and bar.datetime < start_dt: - continue ret_bars.append(add_bar) if callback is not None: callback(add_bar, bar_is_completed, bar_freq) - return True, ret_bars @@ -110,8 +260,10 @@ class TestStrategy(object): print(content) if __name__ == '__main__': - + data = '2018-01-01 00:00:00' + b = datetime.strptime(data,'%Y-%m-%d %H:%M:%S') + timedelta(hours=8) t = TestStrategy() of = OkexFutureData(t) - of.get_bars(symbol='btc:next_week:10', period='1min', callback=t.addBar) - + a = of.get_bars(symbol='BTC-USD-190628', period='5min', start_dt='2019-03-17 00:00:00',callback=t.addBar) + print(a) + print('b') \ No newline at end of file diff --git a/vnpy/trader/gateway/okexGateway/okexGateway.py b/vnpy/trader/gateway/okexGateway/okexGateway.py index 0d44750c..5c2c6f29 100644 --- a/vnpy/trader/gateway/okexGateway/okexGateway.py +++ b/vnpy/trader/gateway/okexGateway/okexGateway.py @@ -2,20 +2,22 @@ ''' vnpy.api.okex的gateway接入 -注意： -1. 目前仅支持USD现货交易 +更新OKEX V3 +By Chenzhipei ''' import os import json -from datetime import datetime +from datetime import datetime, timedelta from time import sleep +import time as td from copy import copy from threading import Condition from queue import Queue from threading import Thread from time import sleep import traceback +import ast import zlib # 新增解压功能 from vnpy.api.okex import WsSpotApi, WsFuturesApi, SPOT_SYMBOL_PAIRS, CONTRACT_SYMBOL, CONTRACT_TYPE, SPOT_CURRENCY @@ -38,10 +40,10 @@ priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE) priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} priceContractOffsetTypeMap = {} -priceContractOffsetTypeMap['1'] = (DIRECTION_LONG , OFFSET_OPEN) -priceContractOffsetTypeMap['2'] = (DIRECTION_SHORT , OFFSET_OPEN ) -priceContractOffsetTypeMap['3'] = (DIRECTION_SHORT , OFFSET_CLOSE ) -priceContractOffsetTypeMap['4'] = (DIRECTION_LONG , OFFSET_CLOSE) +priceContractOffsetTypeMap['1'] = (DIRECTION_LONG, OFFSET_OPEN) +priceContractOffsetTypeMap['2'] = (DIRECTION_SHORT, OFFSET_OPEN) +priceContractOffsetTypeMap['3'] = (DIRECTION_SHORT, OFFSET_CLOSE) +priceContractOffsetTypeMap['4'] = (DIRECTION_LONG, OFFSET_CLOSE) priceContractTypeMapReverse = {v: k for k, v in priceContractOffsetTypeMap.items()} # 委托状态印射 @@ -53,10 +55,14 @@ statusMap[2] = STATUS_ALLTRADED # 全部成交 statusMap[3] = STATUS_UNKNOWN statusMap[4] = STATUS_UNKNOWN # 未知状态 statusMap[5] = STATUS_CANCELING # 撤销中 +statusMap['open'] = STATUS_NOTTRADED +statusMap['cancelled'] = STATUS_CANCELLED +statusMap['filled'] = STATUS_ALLTRADED +statusMap['part_filled'] = STATUS_PARTTRADED EVENT_OKEX_INDEX_FUTURE = "eFuture_Index_OKEX" -######################################################################## + class OkexGateway(VtGateway): """OKEX交易接口""" @@ -70,6 +76,7 @@ class OkexGateway(VtGateway): self.apiKey = EMPTY_STRING self.secretKey = EMPTY_STRING + self.passphrase = EMPTY_STRING self.leverage = 0 self.spot_connected = False # 现货交易接口连接状态 self.use_spot_symbol_pairs = set() # 使用现货合约对（从配置文件读取，减少运算量） @@ -86,12 +93,9 @@ class OkexGateway(VtGateway): # gateway 配置文件 self.fileName = self.gatewayName + '_connect.json' self.filePath = getJsonPath(self.fileName, __file__) - - # 消息调试 self.log_message = False - self.qryFunctionList = [] - # ---------------------------------------------------------------------- + def connect(self): """连接""" # 载入json文件 @@ -100,65 +104,65 @@ class OkexGateway(VtGateway): except IOError: self.writeError(u'OkexGateway.connect:读取连接配置{}出错，请检查'.format(self.filePath)) return - - # 解析json文件 setting = json.load(f) try: self.apiKey = str(setting['apiKey']) self.secretKey = str(setting['secretKey']) + self.passphrase = str(setting['passphrase']) trace = setting['trace'] self.leverage = setting.get('leverage', 1) spot_connect = setting['spot_connect'] futures_connect = setting['futures_connect'] self.log_message = setting.get('log_message', False) - # 若限定使用的合约对 if "symbol_pairs" in setting.keys(): self.use_spot_symbol_pairs = set(setting["symbol_pairs"]) - # 若希望连接后自动订阅 if 'auto_subscribe' in setting.keys(): auto_subscribe = set(setting['auto_subscribe']) for symbol in auto_subscribe: - if '_' in symbol and ':' not in symbol: - self.auto_subscribe_symbol_pairs.add(symbol) - elif ':' in symbol: + if ':' in symbol or 'SWAP' in symbol: self.auto_subscribe_future_symbols.add(symbol) - + else: + self.auto_subscribe_symbol_pairs.add(symbol) self.qryEnabled = setting.get('qryEnabled', True) except KeyError: self.writeError(u'OkexGateway.connect:连接配置缺少字段，请检查') return - if spot_connect: self.api_spot.active = True - for symbol_pair in self.auto_subscribe_symbol_pairs: self.writeLog(u'自动订阅现货合约:{}'.format(symbol_pair)) self.api_spot.registerSymbolPairArray.add(symbol_pair) - - self.api_spot.connect(self.apiKey, self.secretKey, trace) + self.api_spot.connect(self.apiKey, self.secretKey,self.passphrase, trace) self.writeLog(u'connect okex ws spot api') self.api_spot.setSymbolPairs(self.use_spot_symbol_pairs) - if futures_connect: self.api_futures.active = True - self.api_futures.connect(self.apiKey, self.secretKey, trace) + self.api_futures.connect(self.apiKey, self.secretKey,self.passphrase, trace) self.writeLog(u'connect okex ws contract api') - for future_symbol in self.auto_subscribe_future_symbols: self.writeLog(u'添加订阅期货合约:{}'.format(future_symbol)) self.api_futures.registered_symbols.add(future_symbol) - log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'接口初始化成功' self.onLog(log) - # 启动查询 self.initQuery() self.startQuery() + def sendTransfer(self, symbol, amount, tfrom, tto): + """ + 转币操作 + :param symbol: + :param amount: + :param tfrom: + :param tto: + :return: + """ + self.api_futures.sendTransfer(symbol, amount, tfrom, tto) + def writeLog(self, content): """ 记录日志文件 @@ -179,20 +183,21 @@ class OkexGateway(VtGateway): error.errorID = error_id error.errorMsg = content self.onError(error) - if self.logger: self.logger.error(content) def checkStatus(self): + """ + 检查接口运行状态 + :return: + """ if not self.spot_connected and not self.futures_connected: return False - - if self.spot_connected: - return self.api_spot.checkStatus() - + # if self.spot_connected: + # return self.api_spot.checkStatus() if self.futures_connected: return self.api_futures.checkStatus() - # ---------------------------------------------------------------------- + def subscribe(self, subscribeReq): """ 订阅行情 @@ -204,8 +209,7 @@ class OkexGateway(VtGateway): arr = symbol_pair_gateway.split('.') # 提取品种对 eth_usdt symbol_pair = arr[0] - - if symbol_pair in SPOT_SYMBOL_PAIRS: + if symbol_pair.find('-USDT')>0: if self.api_spot and self.spot_connected: self.api_spot.subscribe(subscribeReq) else: @@ -221,15 +225,11 @@ class OkexGateway(VtGateway): self.writeError(u'OkexGateway.subscribe 异常,请检查日志:{}'.format(str(ex))) self.writeLog(u'OkexGateway.subscribe Exception :{},{}'.format(str(ex), traceback.format_exc())) - # ---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" - - # btc_usdt.OKEX => btc_usdt order_req_symbol = orderReq.symbol order_req_symbol = order_req_symbol.replace('.{}'.format(EXCHANGE_OKEX),'') - - if order_req_symbol in SPOT_SYMBOL_PAIRS: + if order_req_symbol.split('-')[-1].isdigit() is False and order_req_symbol.endswith('SWAP') is False: if self.api_spot and self.spot_connected: return self.api_spot.spotSendOrder(orderReq) else: @@ -237,90 +237,92 @@ class OkexGateway(VtGateway): return '' else: if self.api_futures and self.futures_connected: - return self.api_futures.futureSendOrder(orderReq) + return self.api_futures.sendFutureSendOrder(orderReq) else: self.writeError(u'期货接口未创建/连接，无法调用sendOrder') return '' - # ---------------------------------------------------------------------- + + def checkOrderStatus(self, orderReq): + """检查订单情况""" + order_req_symbol = orderReq.symbol + order_req_symbol = order_req_symbol.replace('.{}'.format(EXCHANGE_OKEX), '') + if 'USDT' in order_req_symbol: + if self.spot_connected: + return self.api_spot.querySpotOrder(orderReq) + else: + self.writeError(u'现货接口未创建/连接，checkOrder') + else: + if self.futures_connected: + return self.api_futures.queryFutureOrder(orderReq) + else: + self.writeError(u'期货接口未创建/连接，无法调用checkOrder') + def cancelOrder(self, cancelOrderReq): """撤单""" - # btc_usdt.OKEX => btc_usdt order_req_symbol = cancelOrderReq.symbol order_req_symbol = order_req_symbol.replace('.{}'.format(EXCHANGE_OKEX), '') - if order_req_symbol in SPOT_SYMBOL_PAIRS: + if order_req_symbol.find('USDT') != -1: if self.spot_connected: self.api_spot.spotCancel(cancelOrderReq) else: self.writeError(u'现货接口未创建/连接，无法调用cancelOrder') else: if self.futures_connected: - self.api_futures.futureCancel(cancelOrderReq) + self.api_futures.sendFutureCancelOrder(cancelOrderReq) else: self.writeError(u'期货接口未创建/连接，无法调用cancelOrder') - # ---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" if self.spot_connected: self.api_spot.spotUserInfo() if self.futures_connected: - self.api_futures.futureUserInfo() + self.api_futures.queryAllFutureAccountInfo() - # ---------------------------------------------------------------------- def qryOrderInfo(self): - if self.spot_connected: - self.api_spot.spotAllOrders() - + # if self.spot_connected: + # self.api_spot.spotAllOrders() + # if self.futures_connected: - self.api_futures.futureAllUnfinishedOrderInfo() + # self.api_futures.queryAllFutureOrderInfo() + pass - # ---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" if self.futures_connected: - pass - #self.api_futures.subscribeFuturePositions() + self.api_futures.queryAllFuturePositionInfo() - # ---------------------------------------------------------------------- def close(self): """关闭""" if self.spot_connected: self.api_spot.active = False self.api_spot.close() - if self.futures_connected: self.api_futures.active = False self.api_futures.close() - # ---------------------------------------------------------------------- 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.qryAccount, self.qryOrderInfo,self.qryPosition] - #self.qryFunctionList = [self.qryOrderInfo] - # self.qryFunctionList = [] + self.qryFunctionList = [self.qryAccount, self.qryOrderInfo, self.qryPosition] - self.qryCount = 0 # 查询触发倒计时 - self.qryTrigger = 2 # 查询触发点 - self.qryNextFunction = 0 # 上次运行的查询函数索引 + self.qryCount = 0 # 查询触发倒计时 + self.qryTrigger = 2 # 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): @@ -332,10 +334,8 @@ class OkexGateway(VtGateway): :return: """ self.hbCount += 1 - if self.hbCount < self.hbTrigger: return - # 清空倒计时 self.hbCount = 0 # 发送心跳请求 @@ -345,18 +345,15 @@ class OkexGateway(VtGateway): if self.api_futures.active and self.futures_connected: self.api_futures.sendHeartBeat() - # ---------------------------------------------------------------------- def startQuery(self): """启动连续查询""" self.eventEngine.register(EVENT_TIMER, self.query) - self.eventEngine.register(EVENT_TIMER, self.heartbeat) + # self.eventEngine.register(EVENT_TIMER, self.heartbeat) - # ---------------------------------------------------------------------- def setQryEnabled(self, qryEnabled): """设置是否要启动循环查询""" self.qryEnabled = qryEnabled - #---------------------------------------------------------------------- def onFutureIndexPush(self, push_dic): """ 合约指数更新事件 @@ -367,11 +364,13 @@ class OkexGateway(VtGateway): event1.dict_['data'] = push_dic self.eventEngine.put(event1) -######################################################################## +class WalletApi(): + pass + + class OkexSpotApi(WsSpotApi): """okex的API实现""" - # ---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(WsSpotApi, self).__init__() @@ -384,10 +383,12 @@ class OkexSpotApi(WsSpotApi): self.tickDict = {} # 缓存最新tick字典 self.orderDict = {} # 委托单字典 self.localOrderDict = {} # 本地缓存的order_dict，key 是 localNo.gatewayName - + self.clientorderDict = {} #client_oid和orderId的对应,key是order_id self.channelSymbolMap = {} # 请求数据类型与合约的映射字典 - self.localNo = 1 # 本地委托号 + self.localNo = 10000 # 本地委托号 + self.orderId = 1000000 + self.loginTime = 0 self.localNoQueue = Queue() # 未收到系统委托号的本地委托号队列 self.localNoDict = {} # key为本地委托号，value为系统委托号 self.orderIdDict = {} # key为系统委托号，value为本地委托号 @@ -395,7 +396,7 @@ class OkexSpotApi(WsSpotApi): self.recordOrderId_BefVolume = {} # 记录的之前处理的量 - self.tradeID = 0 + self.tradeID = 10000 # 缺省启动得品种对队列 self.use_symbol_pairs = set([]) @@ -414,22 +415,10 @@ class OkexSpotApi(WsSpotApi): """ if isinstance(symbol_pairs,list): self.use_symbol_pairs = set(symbol_pairs) - elif isinstance(symbol_pairs, set): self.use_symbol_pairs = symbol_pairs - self.gateway.writeLog(u'设置合约对:{}'.format(symbol_pairs)) - ''' - 登录后，每次订单执行撤销后又这样的 推送。。不知道干啥的。先过滤掉了 - {u'binary': 1, u'product': u'spot', u'type': u'order', u'base': u'etc' -, u'quote': u'usdt', u'data': {u'status': -1, u'orderType': 0, u'price': u'25.4050', u'modifyTime': -1512288275000L, u'userId': 6548935, u'createTime': 1512288275000L, u'source': 0, u'quoteSize': u'0.0 -0000000', u'executedValue': u'0.00000000', u'id': 62877909, u'filledSize': u'0.00000000', u'side': 1 -, u'size': u'0.01000000'}} - ''' - - # ---------------------------------------------------------------------- def onMessage(self, *args): """ 响应信息处理，包括心跳响应、请求响应、数据推送 @@ -437,67 +426,42 @@ class OkexSpotApi(WsSpotApi): :param evt: 消息体 :return: """ - if len(args)==0: + if len(args) == 0: return evt = args[-1] - # str => json - decmp_evt = self.inflate(evt) - ws_data = self.readData(decmp_evt) + if isinstance(evt,bytes): + # bytes => str => json + decmp_evt = self.inflate(evt) + ws_data = self.readData(decmp_evt) + else: + ws_data = self.readData(evt) - if self.gateway.log_message: - self.gateway.writeLog(u'SpotApi.onMessage:{}'.format(ws_data)) - - # 消息是dict格式 if isinstance(ws_data, dict): if 'event' in ws_data: - #处理心跳得 if ws_data['event'] == 'pong': self.gateway.writeLog(u'heart beat response {}'.format(datetime.now())) return - else: - self.gateway.writeLog(u'其他 event:{}'.format(ws_data)) - else: - self.gateway.writeLog(u'其他数据:{}'.format(ws_data)) - - # 消息是list格式 + if ws_data['event'] == 'login': + self.gateway.writeLog(u'现货接口连接成功') + self.onOpens() + # else: + # self.gateway.writeLog(u'其他 event:{}'.format(ws_data)) + if 'table' in ws_data: + if ws_data['table'].endswith('ticker'): + self.onTicker(ws_data['data']) + if ws_data['table'].endswith('depth5'): + self.onDepth(ws_data['data']) + if ws_data['table'].endswith('account'): + self.onSpotUserInfo(ws_data['data']) + if ws_data['table'].endswith('order'): + self.onSpotSubOrder(ws_data['data']) + if 'client_oid' in ws_data: + self.onSpotOrder(ws_data) if isinstance(ws_data, list): for data in ws_data: - channel_value = data.get('channel', None) - if channel_value == None: - continue + if 'client_oid' in data: + self.onSpotOrderInfo(data) - # 登录请求恢复 - if channel_value == 'login': - login_data = data.get('data', {}) - result = login_data.get('result', False) - if result: - self.gateway.writeLog(u'Spot login success: {}'.format(datetime.now())) - self.gateway.spot_connected = True - else: - self.gateway.writeError(u'SpotApi login fail: {},data:{}'.format(datetime.now(), data)) - continue - - # 功能订阅得回复 - elif channel_value == 'addChannel': - channel_data = data.get('data', {}) - result = channel_data.get('result', False) - channel_value = channel_data.get('channel', "") - if result: - self.gateway.writeLog(u'功能订阅请求:{} 成功:'.format(channel_value)) - continue - - # 其他回调/数据推送 - callback = self.cbDict.get(channel_value) - if callback: - try: - callback(data) - except Exception as ex: - self.gateway.writeError(u'Spot {}回调函数处理异常，请查日志'.format(channel_value)) - self.gateway.writeLog(u'Spot onMessage call back {} exception：{},{}'.format(channel_value, str(ex),traceback.format_exc())) - else: - self.gateway.writeError(u'Spot unkown msg:{}'.format(data)) - - # ---------------------------------------------------------------------- def onError(self, *args): """Api方法重载,错误推送""" if len(args)== 0: @@ -513,7 +477,6 @@ class OkexSpotApi(WsSpotApi): error.errorMsg = str(evt) self.gateway.onError(error) - # ---------------------------------------------------------------------- def onErrorMsg(self, data): error = VtErrorData() error.gatewayName = self.gatewayName @@ -525,8 +488,7 @@ class OkexSpotApi(WsSpotApi): error.errorMsg = str(data) self.gateway.onError(error) - # ---------------------------------------------------------------------- - def onClose(self, ws): + def onClose(self, *args): """ 断开接口 :param ws: websocket @@ -536,10 +498,8 @@ class OkexSpotApi(WsSpotApi): if not self.gateway.spot_connected: self.gateway.writeLog(u'spot接口未连接，忽略断开提示') return - self.gateway.spot_connected = False self.gateway.writeLog(u'Spot服务器连接断开') - # 重新连接 if self.active: def reconnect(): @@ -548,11 +508,9 @@ class OkexSpotApi(WsSpotApi): sleep(10) if not self.gateway.spot_connected: self.reconnect() - t = Thread(target=reconnect) t.start() - # ---------------------------------------------------------------------- def subscribe(self, subscribeReq): """ 订阅行情 @@ -560,63 +518,41 @@ class OkexSpotApi(WsSpotApi): :return: """ self.gateway.writeLog(u'SpotApi.subscribe({})'.format(subscribeReq.symbol)) - - # 检查：带有网关特征的品种对symbol, 如：eth_usdt.OKEX symbol_pair_gateway = subscribeReq.symbol arr = symbol_pair_gateway.split('.') - # 提取品种对 eth_usdt symbol_pair = arr[0] - - # 若品种对未登记过 + # 若品种对未登记过添加登记品种对 if symbol_pair not in self.registerSymbolPairArray: - # 添加登记品种对 self.registerSymbolPairArray.add(symbol_pair) - # 发起品种行情订阅请求 self.subscribeSingleSymbol(symbol_pair) - # 查询该品种对的订单 - self.spotOrderInfo(symbol_pair, '-1') + self.spotOrderInfo(symbol_pair) - # ---------------------------------------------------------------------- def subscribeSingleSymbol(self, symbol): """ 订阅合约（对） :param symbol:合约（对） :return: """ - self.gateway.writeLog(u'SpotApi.subscribeSingleSymbol({})'.format(symbol)) - if symbol in SPOT_SYMBOL_PAIRS: - # 订阅行情数据 - self.subscribeSpotTicker(symbol) - # 订阅委托深度 - self.subscribeSpotDepth(symbol, depth=5) - # 订阅该合约的委托成交回报（所有人，不是你得账号) - #self.subscribeSpotDeals(symbol) - else: - self.gateway.writeError(u'SpotApi:订阅失败，{}不在SPOT_SYMBOL_PAIRS中，'.format(symbol)) + self.subscribeSpotTicker(symbol) + self.subscribeSpotDepth(symbol) + self.subscribeSpotTrades(symbol) + self.spotOrderInfo(symbol) - # ---------------------------------------------------------------------- def spotAllOrders(self): """ 查询所有委托清单 :return: """ - self.gateway.writeLog('SpotApi.spotAllOrders()') + # self.gateway.writeLog('SpotApi.spotAllOrders()') + # + # # 根据已登记的品种对清单，逐一发委托查询 + # for symbol in self.registerSymbolPairArray: + # if symbol in SPOT_SYMBOL_PAIRS: + # self.spotOrderInfo(symbol, '-1') + pass - # 根据已登记的品种对清单，逐一发委托查询 - for symbol in self.registerSymbolPairArray: - if symbol in SPOT_SYMBOL_PAIRS: - self.spotOrderInfo(symbol, '-1') - - # 对已经发送委托，根据orderid，发出查询请求 - #for orderId in self.orderIdDict.keys(): - # order = self.orderDict.get(orderId, None) - # if order != None: - # symbol_pair = (order.symbol.split('.'))[0] - # self.spotOrderInfo(symbol_pair, orderId) - - # ---------------------------------------------------------------------- - def onOpen(self, ws): + def onOpen(self, *args): """ ws连接成功事件回调函数 :param ws: @@ -624,55 +560,18 @@ class OkexSpotApi(WsSpotApi): """ self.gateway.spot_connected = True self.gateway.writeLog(u'Spot服务器连接成功') - - # 登录 + self.loginTime = int(datetime.now().strftime('%y%m%d%H%M%S'))*self.orderId self.login() - # 连接后查询现货账户和委托数据 - self.spotUserInfo() - - self.gateway.writeLog(u'SpotApi初始化合约信息') - # 如果有缺省得使用合约对，就仅初始化这些合约对，否则全部初始化 - for symbol in SPOT_SYMBOL_PAIRS if len(self.use_symbol_pairs) == 0 else self.use_symbol_pairs: - # self.subscribeSpotTicker(symbol) - # self.subscribeSpotDepth5(symbol) - # self.subscribeSpotDeals(symbol) - - # Ticker数据 - self.channelSymbolMap["ok_sub_spot_%s_ticker" % symbol] = symbol - # 盘口的深度 - self.channelSymbolMap["ok_sub_spot_%s_depth_5" % symbol] = symbol - # 所有人的交易数据 - self.channelSymbolMap["ok_sub_spot_%s_deals" % symbol] = symbol - - # 更新至数据引擎的合约信息 - contract = VtContractData() - contract.gatewayName = self.gatewayName - contract.exchange = EXCHANGE_OKEX - contract.symbol = '.'.join([symbol, contract.exchange]) - contract.vtSymbol = contract.symbol - contract.name = u'%s[现货]' % symbol - contract.size = 1 # 现货是1:1 - contract.priceTick = 0.0001 - contract.volumeTick = SPOT_TRADE_SIZE_DICT[symbol] - contract.productClass = PRODUCT_SPOT - self.gateway.onContract(contract) - - # 对所有登记得品种对，发起订阅 - for symbol_pair in self.registerSymbolPairArray: - # 发起品种行情订阅请求 + def onOpens(self): + """ + 登录成功后，进行一系列查询过程 + :return: + """ + for symbol_pair in list(self.registerSymbolPairArray): self.subscribeSingleSymbol(symbol_pair) - # 查询该品种对的订单 - self.spotOrderInfo(symbol_pair, '-1') + self.spotUserInfo() - ''' - [{ - "channel":"ok_sub_spot_bch_btc_deals", - "data":[["1001","2463.86","0.052","16:34:07","ask"]] - }] - ''' - - # ---------------------------------------------------------------------- def onSpotSubDeals(self, ws_data): """ 当前现货委托成交信息回报 @@ -681,69 +580,12 @@ class OkexSpotApi(WsSpotApi): """ self.gateway.writeLog(u'SpotApi.onSpotSubDeals:{}'.format(ws_data)) - # ---------------------------------------------------------------------- def initCallback(self): """ 初始化回调函数 :return: """ - self.gateway.writeLog(u'ok spot api 初始化回调函数') - # USD_SPOT 把每一个币币交易对的回调函数登记在字典中 - for symbol_pair in SPOT_SYMBOL_PAIRS: - self.cbDict["ok_sub_spot_%s_ticker" % symbol_pair] = self.onTicker # 该币对的行情数据回报 - self.cbDict["ok_sub_spot_%s_depth_5" % symbol_pair] = self.onDepth # 该币对的委托深度回报 - self.cbDict["ok_sub_spot_%s_deals" % symbol_pair] = self.onSpotSubDeals # 该币对的成交记录回报 - - self.cbDict["ok_sub_spot_%s_order" % symbol_pair] = self.onSpotSubOrder # 该币对的交易更新回报 - self.cbDict["ok_sub_spot_%s_balance" % symbol_pair] = self.onSpotBalance # 该币对的账号信息回报 - - self.cbDict['ok_spot_userinfo'] = self.onSpotUserInfo # 合约账户信息回报 - self.cbDict['ok_spot_orderinfo'] = self.onSpotOrderInfo # 委托查询信息回报 - - # 下面这两个好像废弃了 - # self.cbDict['ok_sub_spot_userinfo'] = self.onSpotSubUserInfo - # self.cbDict['ok_sub_spot_trades'] = self.onSpotSubTrades - - self.cbDict['ok_spot_order'] = self.onSpotOrder # 交易委托回报 - self.cbDict['ok_spot_cancel_order'] = self.onSpotCancelOrder # 交易撤单回报 - - # ---------------------------------------------------------------------- - """ - ok_sub_spot_X_ticker 订阅行情数据 - websocket.send("{'event':'addChannel','channel':'ok_sub_spot_X_ticker'}"); - - X值为币对，如ltc_btc - # Request - {'event':'addChannel','channel':'ok_sub_spot_bch_btc_ticker'} - # Response - [ - { - "binary": 0, - "channel": "ok_sub_spot_bch_btc_ticker", - "data": { - "high": "10000", - "vol": "185.03743858", - "last": "111", - "low": "0.00000001", - "buy": "115", - "change": "101", - "sell": "115", - "dayLow": "0.00000001", - "dayHigh": "10000", - "timestamp": 1500444626000 - } - } - ] - 返回值说明 - - buy(double): 买一价 - high(double): 最高价 - last(double): 最新成交价 - low(double): 最低价 - sell(double): 卖一价 - timestamp(long)：时间戳 - vol(double): 成交量(最近的24小时) - """ + pass def checkStatus(self): """ @@ -754,7 +596,6 @@ class OkexSpotApi(WsSpotApi): symbol,last_tick = list(self.tickDict.items())[0] if (datetime.now()-last_tick.datetime).seconds > 60: return False - return True else: return False @@ -765,138 +606,33 @@ class OkexSpotApi(WsSpotApi): :param ws_data: dict :return: """ - channel = ws_data.get('channel') - data = ws_data.get('data', {}) - # 检查channel/data - if channel is None and len(data) == 0: - return - + data = ws_data[0] try: - symbol = self.channelSymbolMap[channel] - + symbol = data['instrument_id'] if symbol not in self.tickDict: tick = VtTickData() tick.exchange = EXCHANGE_OKEX - tick.symbol = '.'.join([symbol, tick.exchange]) - tick.vtSymbol = '.'.join([symbol, tick.exchange]) - + tick.symbol = symbol + tick.vtSymbol = symbol tick.gatewayName = self.gatewayName self.tickDict[symbol] = tick else: tick = self.tickDict[symbol] - - tick.highPrice = float(data['high']) - tick.lowPrice = float(data['low']) + tick.highPrice = float(data['high_24h']) + tick.lowPrice = float(data['low_24h']) tick.lastPrice = float(data['last']) - tick.volume = float(data['vol'].replace(',', '')) - # 这里不发出onTick event，留待深度行情发出 + tick.volume = float(data['base_volume_24h'].split('.')[0]) except Exception as ex: self.gateway.writeError(u'SpotApi.onTicker异常') - self.gateway.writeLog('SpotApi.onTicker channel {} exception:{},{} '.format(channel,str(ex), traceback.format_exc())) + self.gateway.writeLog('SpotApi.onTicker exception:{},{} '.format(str(ex), traceback.format_exc())) - # ---------------------------------------------------------------------- - """ - ok_sub_spot_X_depth 订阅币币市场深度(200增量数据返回) - websocket.send("{'event':'addChannel','channel':'ok_sub_spot_X_depth'}"); - - X值为币对，如ltc_btc - - 示例 - - # Request - {'event':'addChannel','channel':'ok_sub_spot_bch_btc_depth'} - # Response - [ - { - "binary": 0, - "channel": "ok_sub_spot_bch_btc_depth", - "data": { - "asks": [], - "bids": [ - [ - "115", - "1" - ], - [ - "114", - "1" - ], - [ - "1E-8", - "0.0008792" - ] - ], - "timestamp": 1504529236946 - } - } - ] - 返回值说明 - - bids([string, string]):买方深度 - asks([string, string]):卖方深度 - timestamp(string):服务器时间戳 - 使用描述 - - 第一次返回全量数据，根据接下来数据对第一次返回数据进行如下操作：删除（量为0时）；修改（价格相同量不同）；增加（价格不存在）。 - - 3、ok_sub_spot_X_depth_Y 订阅市场深度 - websocket.send("{'event':'addChannel','channel':'ok_sub_spot_X_depth_Y'}"); - - X值为币对，如ltc_btc - - Y值为获取深度条数，如5，10，20 - - 示例 - - # Request - {'event':'addChannel','channel':'ok_sub_spot_bch_btc_depth_5'} - # Response - [ - { - "binary": 0, - "channel": "ok_sub_spot_bch_btc_depth_5", - "data": { - "asks": [], - "bids": [ - [ - "115", - "1" - ], - [ - "114", - "1" - ], - [ - "1E-8", - "0.0008792" - ] - ], - "timestamp": 1504529432367 - } - } - ] - 返回值说明 - - bids([string, string]):买方深度 - asks([string, string]):卖方深度 - timestamp(long):服务器时间戳 - """ def onDepth(self, ws_data): """ - 5档深度行情数据回报 :param ws_data: :return: """ - channel = ws_data.get('channel') - data = ws_data.get('data', {}) - # 检查channel/data - if channel is None and len(data) == 0: - return - - symbol = self.channelSymbolMap.get(channel) - if symbol == None: - return - + data = ws_data[0] + symbol = data['instrument_id'] # 更新tick if symbol not in self.tickDict: tick = VtTickData() @@ -906,18 +642,17 @@ class OkexSpotApi(WsSpotApi): self.tickDict[symbol] = tick else: tick = self.tickDict[symbol] + tick.bidPrice1, tick.bidVolume1 = data['bids'][0][0:2] + tick.bidPrice2, tick.bidVolume2 = data['bids'][1][0:2] + tick.bidPrice3, tick.bidVolume3 = data['bids'][2][0:2] + tick.bidPrice4, tick.bidVolume4 = data['bids'][3][0:2] + tick.bidPrice5, tick.bidVolume5 = data['bids'][4][0:2] - tick.bidPrice1, tick.bidVolume1 = data['bids'][0] - tick.bidPrice2, tick.bidVolume2 = data['bids'][1] - tick.bidPrice3, tick.bidVolume3 = data['bids'][2] - tick.bidPrice4, tick.bidVolume4 = data['bids'][3] - tick.bidPrice5, tick.bidVolume5 = data['bids'][4] - - tick.askPrice1, tick.askVolume1 = data['asks'][-1] - tick.askPrice2, tick.askVolume2 = data['asks'][-2] - tick.askPrice3, tick.askVolume3 = data['asks'][-3] - tick.askPrice4, tick.askVolume4 = data['asks'][-4] - tick.askPrice5, tick.askVolume5 = data['asks'][-5] + tick.askPrice1, tick.askVolume1 = data['asks'][0][0:2] + tick.askPrice2, tick.askVolume2 = data['asks'][1][0:2] + tick.askPrice3, tick.askVolume3 = data['asks'][2][0:2] + tick.askPrice4, tick.askVolume4 = data['asks'][3][0:2] + tick.askPrice5, tick.askVolume5 = data['asks'][4][0:2] tick.bidPrice1, tick.bidVolume1 = float(tick.bidPrice1), float(tick.bidVolume1) tick.bidPrice2, tick.bidVolume2 = float(tick.bidPrice2), float(tick.bidVolume2) @@ -931,19 +666,15 @@ class OkexSpotApi(WsSpotApi): tick.askPrice5, tick.askVolume5 = float(tick.askPrice5), float(tick.askVolume5) tick.date, tick.time,tick.datetime = self.generateDateTime(data['timestamp']) - # print "Depth", tick.date, tick.time tick.tradingDay = tick.date - - # 推送tick事件 if tick.lastPrice == 0 and tick.askPrice1 != 0 and tick.bidPrice1 != 0: tick.lastPrice = (tick.askPrice1 + tick.bidPrice1) / 2 - if tick.lastPrice == 0 or tick.askPrice1 == 0 or tick.bidPrice1 == 0: print('onDepth drop tick {},lastprice:{},askprice1={},bidPrice1:{}' .format(tick.vtSymbol, tick.lastPrice, tick.askPrice1, tick.bidPrice1)) return - newtick = copy(tick) + self.gateway.onTick(newtick) def onSpotBalance(self, ws_data): @@ -958,20 +689,16 @@ class OkexSpotApi(WsSpotApi): if data is None: self.gateway.writeError(u'SpotApi.onSpotBalance, no data in ws_data') return - data_info = data.get('info') if data_info is None: self.gateway.writeError(u'SpotApi.onSpotBalance, no info in data') return - data_info_free = data_info.get('free', {}) # 可用资产 data_info_freezed = data_info.get('freezed') # 冻结资产 - if data_info_freezed is None or not isinstance(data_info_freezed, dict): self.gateway.writeError(u'SpotApi.onSpotBalance, no freezed in data_info') self.gateway.writeLog(ws_data) return - # 只更新freezed内容 for symbol, position in data_info_freezed.items(): pos = VtPositionData() @@ -984,81 +711,19 @@ class OkexSpotApi(WsSpotApi): pos.position = pos.frozen + float(data_info_free.get(symbol, 0)) self.gateway.onPosition(pos) - """ - [{"binary":0,"channel":"ok_spot_userinfo","data":{"result":true,"info":{"funds":{"borrow":{"dgd":"0" -,"bcd":"0","bcc":"0","bch":"0","hsr":"0","xuc":"0","omg":"0","eos":"0","qtum":"0","btc":"0","act":"0 -","bcs":"0","btg":"0","etc":"0","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0","ltc":"0","bt1":" -0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"},"free":{"dgd":"0","bcd -":"0","bcc":"0","bch":"0","hsr":"0","xuc":"3","omg":"0","eos":"0","qtum":"0","btc":"0.00266884258369 -","act":"0","bcs":"0","btg":"0","etc":"7.9909635","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0" -,"ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"},"fre -ezed":{"dgd":"0","bcd":"0","bcc":"0","bch":"0","hsr":"0","xuc":"0","omg":"0","eos":"0","qtum":"0","b -tc":"0","act":"0","bcs":"0","btg":"0","etc":"0","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0"," -ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"}}}}}] -{u'binary': 0, - u'data': {u'info': - {u'funds': - {u'freezed': - {u'zec': u'0', u'usdt': u'0', u'btg': u'0' - , u'btc': u'0', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj': u'0', u'iota': u'0', u'omg': u'0 - ', u'dgd': u'0', u'bt2': u'0', u'xuc': u'0', u'gas': u'0', u'hsr': u'0', u'snt': u'0', u'dash': u'0' - , u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc': u'0', u'eos': u'0', u'etc': u'0', - u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, u'borrow': {u'zec': u'0', u'usdt': u'0', u - 'btg': u'0', u'btc': u'0', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj': u'0', u'iota': u'0', - u'omg': u'0', u'dgd': u'0', u'bt2': u'0', u'xuc': u'0', u'gas': u'0', u'hsr': u'0', u'snt': u'0', u' - dash': u'0', u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc': u'0', u'eos': u'0', u' - etc': u'0', u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, - u'free': - {u'zec': u'0', u'usdt': u'0', u'btg': u'0', u'btc': u'0.00266884258369', u'bt1': u'0', u'neo': u'0', - u'pay': u'0', u'storj': u'0', u'iota': u'0', u'omg': u'0', u'dgd': u'0', u'bt2': u'0', u'xuc': u'3', - u'gas': u'0', u'hsr': u'0', u'snt': u'0', u'dash': u'0', u'bch': u'0', u'gnt': u'0', u'bcd': u'0', - u'qtum': u'0', u'bcc': u'0', u'eos': u'0', u'etc': u'7.9909635', u'act': u'0', u'eth': u'0', - u'ltc': u'0', u'bcs': u'0'} - } - }, u'result': True}, - u'channel': u'ok_spot_userinfo'} - """ - - # ---------------------------------------------------------------------- def onSpotUserInfo(self, ws_data): """现货账户资金推送""" - if 'data' not in ws_data or 'info' not in ws_data['data'] or 'funds' not in ws_data['data']['info']: - self.gateway.writeError(u'SpotApi.onSpotUserInfo 数据不完整,请检查日志') - self.gateway.writeLog(ws_data) - return + if isinstance(ws_data, str): + ws_data = json.loads(ws_data) + for data in ws_data: + account = VtAccountData() + account.gatewayName = self.gatewayName + account.accountID = data['currency'] + account.vtAccountID = data['currency'] + ".{}".format(EXCHANGE_OKEX) + account.balance = float(data['balance']) + self.gateway.onAccount(account) - data = ws_data.get('data') - data_info = data.get('info') - data_info_funds = data_info.get('funds') - - # 持仓信息 - for symbol in SPOT_CURRENCY: - #for symbol in ['btc', 'ltc', 'eth', self.currency]: - # for symbol in : - if symbol in data_info_funds['free']: - pos = VtPositionData() - pos.gatewayName = self.gatewayName - pos.symbol = symbol + "." + EXCHANGE_OKEX - pos.vtSymbol = symbol + "." + EXCHANGE_OKEX - pos.vtPositionName = symbol + "[现货]" - pos.direction = DIRECTION_NET - - pos.frozen = float(data_info_funds['freezed'][symbol]) - pos.position = pos.frozen + float(data_info_funds['free'][symbol]) - - self.gateway.onPosition(pos) - - # 账户资金 - #account = VtAccountData() - #account.gatewayName = self.gatewayName - #account.accountID = self.gatewayName - #account.vtAccountID = account.accountID - #account.balance = 0.0 - # account.balance = float(funds['asset']['net']) - #self.gateway.onAccount(account) - - # ---------------------------------------------------------------------- def onSpotSubUserInfo(self, ws_data): """ 现货子账户资金推送 @@ -1069,12 +734,9 @@ ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0 self.gateway.writeError(u'SpotApi.onSpotSubUserInfo 数据不完整,请检查日志') self.gateway.writeLog(ws_data) return - data = ws_data.get('data') data_info = data.get('info') - # 持仓信息 - # for symbol in ['btc', 'ltc','eth', self.currency]: for symbol in SPOT_CURRENCY: if symbol in data_info['free']: pos = VtPositionData() @@ -1083,167 +745,73 @@ ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0 pos.vtSymbol = symbol #+ "." + EXCHANGE_OKEX pos.vtPositionName = symbol pos.direction = DIRECTION_NET - pos.frozen = float(data_info['freezed'][symbol]) pos.position = pos.frozen + float(data_info['free'][symbol]) - self.gateway.onPosition(pos) - """ - 委托回报数据 - { - "base": "bch", - "binary": 0, - "channel": "ok_sub_spot_bch_btc_order", - "data": { - "symbol": "bch_btc", - "tradeAmount": "1.00000000", - "createdDate": "1504530228987", - "orderId": 6191, - "completedTradeAmount": "0.00000000", - "averagePrice": "0", - "tradePrice": "0.00000000", - "tradeType": "buy", - "status": 0, - "tradeUnitPrice": "113.00000000" - }, - "product": "spot", - "quote": "btc", - "type": "balance" - } - - {u'binary': 0, u'data': {u'orderId': 62870564, u'status': 0, u'tradeType': u'sell', u'tradeUnitPrice -': u'25.3500', u'symbol': u'etc_usdt', u'tradePrice': u'0.0000', u'createdDate': u'1512287172393', u -'averagePrice': u'0', u'tradeAmount': u'0.01000000', u'completedTradeAmount': u'0.00000000'}, u'chan -nel': u'ok_sub_spot_etc_usdt_order'} - - 返回值说明： - createdDate(string):创建日期 - orderId(long):订单id - tradeType(string):交易类型（buy:买入；sell:卖出；buy_market:按市价买入；sell_market:按市价卖出） - sigTradeAmount(string):单笔成交数量 - sigTradePrice(string):单笔成交价格 - tradeAmount(string):委托数量（市价卖代表要卖总数量；限价单代表委托数量） - tradeUnitPrice(string):委托价格（市价买单代表购买总金额； 限价单代表委托价格） - symbol(string):交易币对，如ltc_btc - completedTradeAmount(string):已完成成交量 - tradePrice(string):成交金额 - averagePrice(string):平均成交价 - unTrade(string):当按市场价买币时表示剩余金额，其他情况表示此笔交易剩余买/卖币的数量 - status(int):-1已撤销,0等待成交,1部分成交,2完全成交,4撤单处理中 - """ - - # ---------------------------------------------------------------------- def onSpotSubOrder(self, ws_data): """ 交易委托更新回报（发生部分成交/全部成交/拒单/撤销时，API推送的回报) :param ws_data:ws推送的单个委托更新数据 :return: """ - self.gateway.writeLog(u'SpotApi.onSpotSubOrder:{}'.format(ws_data)) - data = ws_data.get("data") - if data is None: return - - # 本地和系统委托号 - ok_order_id = str(data['orderId']) - - localNo = self.orderIdDict.get(ok_order_id, None) - if localNo == None: - self.gateway.writeError(u'onSpotSubOrder:ok_order_id:{}与本地委托无关联,'.format(ok_order_id)) - self.gateway.writeLog(data) - + data = ws_data[0] + if 'client_oid' in data: + if data['client_oid'] is not '' and data['client_oid'] is not '0': + orderId = str(data['client_oid']) + else: + orderId = str(data['order_id']) + self.clientorderDict[orderId] = str(data['order_id']) + else: + orderId = self.clientorderDict[data['order_id']] + if orderId not in self.orderIdDict: + while str(self.localNo) in self.localNoDict: + self.localNo += 1 localNo = str(self.localNo) - if ok_order_id not in self.orderIdDict: - # orderId 不在本地缓存中，需要增加一个绑定关系 - while str(self.localNo) in self.localNoDict: - self.localNo += 1 - localNo = str(self.localNo) - self.localNoDict[localNo] = ok_order_id - self.orderIdDict[ok_order_id] = localNo - self.gateway.writeLog(u'onFutureOrderInfo add orderid: local:{}<=>okex:{}'.format(localNo, ok_order_id)) - - # 委托信息 - if ok_order_id not in self.orderDict: - self.gateway.writeLog(u'onSpotSubOrder:添加至委托单缓存:{}'.format(data)) + self.localNoDict[localNo] = orderId + self.orderIdDict[orderId] = localNo + self.gateway.writeLog(u'onFutureOrderInfo add orderid: local:{}<=>okex:{}'.format(localNo, orderId)) + if orderId not in self.orderDict: order = VtOrderData() order.gatewayName = self.gatewayName - - order.symbol = '.'.join([data['symbol'], EXCHANGE_OKEX]) + order.symbol = data['instrument_id'] order.vtSymbol = order.symbol - - order.orderID = localNo + order.orderID = orderId order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) - - order.price = float(data['tradeUnitPrice']) - order.totalVolume = float(data['tradeAmount']) - order.direction, priceType = priceTypeMap[data['tradeType']] - order.offset = OFFSET_OPEN if order.direction == DIRECTION_LONG else OFFSET_CLOSE - create_date, order.orderTime,_ = self.generateDateTime(data['createdDate']) - self.orderDict[ok_order_id] = order + order.price = float(data['price']) + order.totalVolume = float(data['size']) + order.direction, priceType =data['side'],'limit' + order.offset = OFFSET_OPEN + create_date, order.orderTime,_ = self.generateDateTime(data['timestamp']) + self.orderDict[orderId] = order else: - order = self.orderDict[ok_order_id] - - order.tradedVolume = float(data['completedTradeAmount']) + order = self.orderDict[orderId] + order.tradedVolume = float(data['filled_size']) order.status = statusMap[data['status']] if order.status == STATUS_CANCELLED: dt = datetime.now() order.cancelTime = dt.strftime("%H:%M:%S.%f") - - # 推送现货委托单到vtGateway.onOrder event self.gateway.writeLog(u'onSpotSubOrder:发出OnOrder，vtOrderId={},orderStatus:{}'.format(order.vtOrderID,order.status)) self.gateway.onOrder(copy(order)) - - bef_volume = self.recordOrderId_BefVolume.get(ok_order_id, 0.0) - now_volume = float(data['completedTradeAmount']) - bef_volume - + bef_volume = self.recordOrderId_BefVolume.get(orderId, 0.0) + now_volume = float(data['filled_size']) - bef_volume if now_volume > 0.000001: trade = VtTradeData() trade.gatewayName = self.gatewayName - trade.symbol = order.symbol trade.vtSymbol = order.symbol - self.tradeID += 1 trade.tradeID = str(self.tradeID) trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) - - trade.orderID = localNo + trade.orderID = orderId trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) - - trade.price = float(data['tradeUnitPrice']) + trade.price = float(data['filled_notional'])/float(data['filled_size']) trade.volume = float(now_volume) - - trade.direction, priceType = priceTypeMap[data['tradeType']] + trade.direction, priceType = data['side'],'limit' trade.tradeTime = datetime.now().strftime('%H:%M:%S') - - # 推送onTrade事件 self.gateway.writeLog(u'onSpotSubOrder:发出onTrader，vtOrderId={}'.format(trade.vtOrderID)) self.gateway.onTrade(trade) - # ---------------------------------------------------------------------- - """ 委托信息查询回调得例子 - { - "binary": 0, - "channel": "ok_spot_orderinfo", - "data": { - "result": true, - "orders": [ - { - "symbol": "bch_btc", - "amount": "0.10000000", - "price": "1.00000000", - "avg_price": 0, - "create_date": 1504529828000, - "type": "buy", - "deal_amount": 0, - "order_id": 6189, - "status": -1 - } - ] - } - } - """ - def onSpotOrderInfo(self, ws_data): """ 所有委托信息查询响应 @@ -1255,139 +823,80 @@ nel': u'ok_sub_spot_etc_usdt_order'} self.gateway.writeLog(u'SpApi.onSpotOrderInfo:{}'.format(ws_data)) # 获取channel的数据 - data = ws_data.get('data', {}) + data = ws_data # 获取所有返回的委托单清单 - orders = data.get('orders', []) - for data_order in orders: - ok_order_id = data_order.get('order_id') - if ok_order_id is None: - ok_order_id = data_order.get('orders_id') - - if ok_order_id is None: - self.gateway.writeError(u'提取order_id出错') - continue - ok_order_id = str(ok_order_id) + if data['client_oid'] is not '0' and data['client_oid'] is not '': + orderId = str(data['client_oid']) + self.clientorderDict[ws_data['order_id']] = orderId + else: + orderId = str(data['order_id']) + self.clientorderDict[ws_data['order_id']] = orderId localNo = str(self.localNo) - if ok_order_id not in self.orderIdDict: - # orderId 不在本地缓存中，需要增加一个绑定关系 - while str(self.localNo) in self.localNoDict: - self.localNo += 1 - localNo = str(self.localNo) + if orderId not in self.orderIdDict: + while str(self.localNo) in self.localNoDict: + self.localNo += 1 + + localNo = str(self.localNo) # 绑定localNo 与 orderId - self.localNoDict[localNo] = ok_order_id - self.orderIdDict[ok_order_id] = localNo - self.gateway.writeLog(u'onFutureOrderInfo add orderid: local:{}<=>okex:{}'.format(localNo, ok_order_id)) - else: + self.localNoDict[localNo] = orderId + self.orderIdDict[orderId] = localNo + else: # orderid在本地缓存中， - localNo = self.orderIdDict[ok_order_id] + localNo = self.orderIdDict[orderId] # 检验 localNo是否在本地缓存，没有则补充 - if localNo not in self.localNoDict: - self.localNoDict[localNo] = ok_order_id - self.gateway.writeLog(u'onFutureOrderInfo update orderid: local:{}<=>okex:{}'.format(localNo, ok_order_id)) - - if ok_order_id not in self.orderDict: # 不在本地委托单缓存时，添加 - self.gateway.writeLog(u'onSpotOrderInfo:添加至委托单缓存:{}'.format(data_order)) - order = VtOrderData() - order.gatewayName = self.gatewayName + if localNo not in self.localNoDict: + self.localNoDict[localNo] = orderId + self.gateway.writeLog(u'onFutureOrderInfo update orderid: local:{}<=>okex:{}'.format(localNo, orderId)) + if orderId not in self.orderDict: + # 不在本地委托单缓存时，添加 + self.gateway.writeLog(u'onSpotOrderInfo:添加至委托单缓存:{}'.format(orderId)) + order = VtOrderData() + order.gatewayName = self.gatewayName # order.symbol = spotSymbolMap[d['symbol']] - order.symbol = '.'.join([data_order["symbol"], EXCHANGE_OKEX]) - order.vtSymbol = order.symbol + order.symbol =data['instrument_id'] + order.vtSymbol = order.symbol - order.orderID = localNo - order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + order.orderID = orderId + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) - order.price = data_order['price'] - order.totalVolume = data_order['amount'] - order.direction, priceType = priceTypeMap[data_order['type']] - create_date, order.orderTime,_ = self.generateDateTime(data_order['create_date']) - self.orderDict[ok_order_id] = order - else: - order = self.orderDict[ok_order_id] # 使用本地缓存 + order.price = float(data['price']) + order.totalVolume = int(data['size']) + order.direction, priceType = data['side'],'现货开仓' + create_date, order.orderTime,_ = self.generateDateTime(data['created_at']) + self.orderDict[orderId] = order + else: + order = self.orderDict[orderId] # 使用本地缓存 - order.tradedVolume = data_order['deal_amount'] # 更新成交数量 - order.status = statusMap[data_order['status']] # 更新成交状态 - self.gateway.writeLog('orderId:{},tradedVolume:{},status:{}'.format(order.vtOrderID,order.tradedVolume,order.status)) - self.gateway.onOrder(copy(order)) # 提交现货委托单到vtGatway.onOrder事件 + order.tradedVolume = int(data['filled_size']) # 更新成交数量 + order.status = data['status'] # 更新成交状态 + self.gateway.writeLog('orderId:{},tradedVolume:{},status:{}'.format(order.vtOrderID,order.tradedVolume,order.status)) + self.gateway.onOrder(copy(order)) # 提交现货委托单到vtGatway.onOrder事件 - # ---------------------------------------------------------------------- - """ onSpotOrder的回报 ws_data 例子 - { - "binary": 0, - "channel": "ok_spot_order", - "data": { - "result": true, - "order_id": 6189 - } - } - """ def onSpotOrder(self, ws_data): """ 交易委托回报 :param ws_data: :return: """ - self.gateway.writeLog(u'SpotApi.onSpotOrder:{}'.format(ws_data)) - data = ws_data.get('data', {}) - - if 'error_code' in data: - error_id = data.get('error_code') - self.gateway.writeError(u'SpotApi.onSpotOrder 委托返回错误:{}'.format(SPORT_WS_ERROR_DICT.get(str(error_id))), error_id=error_id) - self.gateway.writeLog(ws_data) - - # 特殊处理服务超时得异常 - if str(error_id) == '20100': - return - - localNo = self.localNoQueue.get_nowait() - self.gateway.writeLog(u'移除本地localNo:{}'.format(localNo)) - vtOrderId = '.'.join([self.gatewayName,localNo]) - order = self.localOrderDict.get(vtOrderId) - if order is not None: - order.status = STATUS_REJECTED - order.updateTime = datetime.now().strftime("%H:%M:%S.%f") - order.symbol= '.'.join([order.symbol,self.gatewayName]) - order.vtsymbol=order.symbol - order.totalVolume=order.totalVolume - self.gateway.writeLog(u'发出OnOrder，拒单,vtOrderId={}'.format(vtOrderId)) - - # 发送现货委托单（拒单消息）到vtGateway - self.gateway.onOrder(order) + client_oid = ws_data.get('client_oid') + if client_oid is not '': + self.clientorderDict[ws_data['order_id']] = client_oid + vtOrderId = '.'.join([self.gatewayName,str(client_oid)]) + order = self.localOrderDict.get(vtOrderId) + if order: + order.orderID = client_oid + order.symbol = '.'.join([order.symbol, self.gatewayName]) + order.vtsymbol = order.symbol + order.status = STATUS_NOTTRADED + order.updateTime = datetime.now().strftime("%H:%M:%S.%f") + order.totalVolume=order.totalVolume + self.gateway.onOrder(order) return - ok_order_id = data.get('order_id') - - if ok_order_id is None: - self.gateway.writeError(u'SpotApi.onSpotOrder 委托返回中，没有orderid') - self.gateway.writeLog(ws_data) - return - - # 从本地编号Queue中，FIFO，提取最早的localNo - localNo = self.localNoQueue.get_nowait() - if localNo is None: - self.gateway.writeError(u'SpotApi.onSpotOrder，未找到本地LocalNo，检查日志') - self.gateway.writeLog(ws_data) - return - - self.gateway.writeLog(u'SpotApi.onSpotOrder,绑定 local:{} <==> ok_order_id:{}'.format(localNo,ok_order_id)) - self.localNoDict[localNo] = str(ok_order_id) - self.orderIdDict[str(ok_order_id)] = localNo - - # ---------------------------------------------------------------------- - """ - onSpotCancelOrder得回报 ws_data例子 - { - "binary": 0, - "channel": "ok_spot_cancel_order", - "data": { - "result": true, - "order_id": "125433027" - } - } - """ def onSpotCancelOrder(self, ws_data): """ 撤单请求回报 @@ -1396,56 +905,40 @@ nel': u'ok_sub_spot_etc_usdt_order'} """ self.gateway.writeLog(u'SpotApi.onSpotCancelOrder()') data = ws_data.get('data', {}) - if 'error_code' in data: error_id = data.get('error_code') self.gateway.writeError(u'SpotApi.onSpotCancelOrder 委托返回错误:{}'.format(SPORT_WS_ERROR_DICT.get(str(error_id))), error_id=error_id) self.gateway.writeLog(ws_data) return - ok_order_id = data.get('order_id') ok_result = data.get('result',False) if ok_order_id is None: self.gateway.writeError(u'SpotApi.onSpotCancelOrder 委托返回中，没有order_id') self.gateway.writeLog(ws_data) return - if not ok_result: self.gateway.writeError(u'SpotApi.onSpotCancelOrder 撤单失败') self.gateway.writeLog(ws_data) return - ok_order_id = str(ok_order_id) localNo = self.orderIdDict[ok_order_id] - if ok_order_id not in self.orderDict: self.gateway.writeLog(u'onSpotCancelOrder,{}的订单不在self.orderDict,创建order对象'.format(ok_order_id)) order = VtOrderData() order.gatewayName = self.gatewayName - order.symbol = '.'.join([data['symbol'], EXCHANGE_OKEX]) order.vtSymbol = order.symbol - order.orderID = localNo order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) - self.orderDict[ok_order_id] = order else: order = self.orderDict[ok_order_id] - order.status = STATUS_CANCELLED dt = datetime.now() order.cancelTime = dt.strftime("%H:%M:%S.%f") # 发送现货委托单（撤单消息）到vtGateway self.gateway.onOrder(order) - # #self.gateway.writeLog(u'onSpotCancelOrder:删除self.orderDict[{}]'.format(ok_order_id)) - #del self.orderDict[ok_order_id] - #self.gateway.writeLog(u'移除 localno: {} <==> ok_order_id:{}'.format(localNo,ok_order_id)) - #del self.orderIdDict[ok_order_id] - #del self.localNoDict[localNo] -# - # ---------------------------------------------------------------------- def spotSendOrder(self, req): """ 发出委托指令 @@ -1453,9 +946,8 @@ nel': u'ok_sub_spot_etc_usdt_order'} :return: """ self.gateway.writeLog(u'SpotApi.spotSendOrder()') - # 取得币币配对symbol_pair,如果上层在symbol后添加 .OKEX，需要去除 symbol = (req.symbol.split('.'))[0] - + symbol = symbol.lower() if not symbol in self.registerSymbolPairArray: self.registerSymbolPairArray.add(symbol) @@ -1463,11 +955,12 @@ nel': u'ok_sub_spot_etc_usdt_order'} type_ = priceTypeMapReverse[(req.direction, req.priceType)] # 本地委托号加1，并将对应字符串保存到队列中，返回基于本地委托号的vtOrderID - self.localNo += 1 - - self.gateway.writeLog(u'localNo:{}'.format(self.localNo)) - self.localNoQueue.put(str(self.localNo)) - vtOrderID = '.'.join([self.gatewayName, str(self.localNo)]) + # self.localNo += 1 + self.orderId += 1 + # self.gateway.writeLog(u'localNo:{}'.format(self.localNo)) + # self.localNoQueue.put(str(self.localNo)) + orderId = 'Spot'+ str(self.loginTime + self.orderId) + vtOrderID = '.'.join([self.gatewayName, orderId]) self.gateway.writeLog(u'创建本地Order对象，vtOrderId:{}'.format(vtOrderID)) # 创建本地order对象 @@ -1475,93 +968,117 @@ nel': u'ok_sub_spot_etc_usdt_order'} order.gatewayName = self.gatewayName order.symbol = symbol order.vtSymbol = order.symbol - order.orderID = self.localNo + order.orderID = orderId order.vtOrderID = vtOrderID order.price = req.price order.totalVolume = req.volume - order.direction, priceType = priceTypeMap[type_] + # order.direction, priceType = priceTypeMap[type_] + order.direction = req.direction order.offset = OFFSET_OPEN if req.direction == DIRECTION_LONG else OFFSET_CLOSE order.status = STATUS_NOTTRADED dt = datetime.now() order.orderTime = dt.strftime("%H:%M:%S.%f") self.localOrderDict[vtOrderID] = order - + if order.direction == DIRECTION_LONG: + type_ = 'buy' + if order.direction == DIRECTION_SHORT: + type_ = 'sell' # 调用ws api发送委托 self.gateway.writeLog(u'调用ws api发送委托') - self.spotTrade(symbol, type_, str(req.price), str(req.volume)) + self.spotTrade(symbol, type_, str(req.price), str(req.volume),orderId) self.gateway.writeLog('SpotSendOrder:symbol:{},Type:{},price:{},volume:{}'.format(symbol, type_, str(req.price), str(req.volume))) return vtOrderID - # ---------------------------------------------------------------------- def spotCancel(self, req): """ 发出撤单指令 :param req: :return: """ - # symbol = spotSymbolMapReverse[req.symbol][:4] symbol = (req.symbol.split('.'))[0] localNo = req.orderID + self.spotCancelOrder(symbol, localNo) + # else: + # # 如果在系统委托号返回前客户就发送了撤单请求，则保存 + # # 在cancelDict字典中，等待返回后执行撤单任务 + # self.cancelDict[localNo] = req - if localNo in self.localNoDict: - orderID = self.localNoDict[localNo] - self.spotCancelOrder(symbol, orderID) - else: - # 如果在系统委托号返回前客户就发送了撤单请求，则保存 - # 在cancelDict字典中，等待返回后执行撤单任务 - self.cancelDict[localNo] = req - - # ---------------------------------------------------------------------- def generateDateTime(self, s): """生成时间""" - dt = datetime.fromtimestamp(float(s) / 1e3) + s = s.split('.')[0] + s = s.split('T')[0]+u' '+s.split('T')[1] + s = td.mktime(td.strptime(s, "%Y-%m-%d %H:%M:%S")) + s = s + 60*60*8 + dt = datetime.fromtimestamp(s) time = dt.strftime("%H:%M:%S.%f") - date = dt.strftime("%Y-%m-%d") - return date, time, dt + date = dt.strftime("%Y%m%d") + return date, time,dt + -######################################################################## class OkexFuturesApi(WsFuturesApi): """okex的合约API实现""" - # ---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" - super(WsFuturesApi, self).__init__() + super(OkexFuturesApi, self).__init__() #TODO???? self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 - self.active = False # 若为True则会在断线后自动重连 - self.cbDict = {} self.tickDict = {} self.orderDict = {} self.localOrderDict = {} # 本地缓存的order_dict，key 是 localNo.gatewayName - self.channelSymbolMap = {} - self.localNo = 1 # 本地委托号 + # self.orderId = 1000000 # + self.loginTime = 0 + self.localNo = 0 # 本地委托号 self.localNoQueue = Queue() # 未收到系统委托号的本地委托号队列 self.localNoDict = {} # key为本地委托号，value为系统委托号 self.orderIdDict = {} # key为系统委托号，value为本地委托号 self.cancelDict = {} # key为本地委托号，value为撤单请求 self.recordOrderId_BefVolume = {} # 记录的之前处理的量 - self.tradeID = 0 - self.registered_symbols = set([]) self.queryed_pos_symbols = set([]) self._use_leverage = "10" # 缺省使用的杠杆比率 self.bids_depth_dict = {} self.asks_depth_dict = {} - self.contract_name_dict = {} - self.contractIdToSymbol = {} - # ---------------------------------------------------------------------- + self.CONTRACT_SYMBOL_SWAP = ["BTC-USD-SWAP", "ETH-USD-SWAP", "EOS-USD-SWAP", "ETC-USD-SWAP", "LTC-USD-SWAP"] + + def queryFutureOrder(self, orderReq): + """ + + :param orderReq: + :return: + """ + orderID = orderReq.orderID + symbol = orderReq.symbol + return self.queryFutureOrderStatus(symbol, orderID) + + def treatFutureOrderStatus(self, response): + if response == {}: + return STATUS_CANCELLED + else: + index = response['status'] + orderIndex = {'-1':STATUS_CANCELLED, '0':STATUS_NOTTRADED, '1':STATUS_PARTTRADED, '2':STATUS_ALLTRADED} + return orderIndex[index] + + def queryFutureAccount(self): + """ + + :return: + """ + for symbol in self.registered_symbols: + symbol = self.dealSymbolFunc(symbol)[1] + self.queryFuturesAccountInfo(symbol) + def setLeverage(self, __leverage): """ 设置杠杆比率 @@ -1570,7 +1087,6 @@ class OkexFuturesApi(WsFuturesApi): """ self._use_leverage = __leverage - # ---------------------------------------------------------------------- def onMessage(self, *args): """ 信息推送的处理 @@ -1578,78 +1094,47 @@ class OkexFuturesApi(WsFuturesApi): :param evt: :return: """ + # self.onClose() if len(args)==0: return evt = args[-1] if isinstance(evt,bytes): - # bytes => str => json - decmp_evt = self.inflate(evt) + decmp_evt = self.inflate(evt) # bytes => str => json ws_data = self.readData(decmp_evt) else: ws_data = self.readData(evt) - if self.gateway.log_message: self.gateway.writeLog(u'FutureApi.onMessage:{}'.format(ws_data)) - - # 返回dict if isinstance(ws_data, dict): if 'event' in ws_data: - # 处理心跳得 if ws_data['event'] == 'pong': - self.writeLog(u'heart beat response {}'.format(datetime.now())) + # TODO：设置重连机制 return - else: - self.writeLog(u'其他 event:{}'.format(ws_data)) - else: - self.writeLog(u'其他数据:{}'.format(ws_data)) + elif ws_data['event'] == 'login': + self.writeLog(u'期货接口登陆成功') + self.onOpens() + # else: + # self.gateway.writeLog(ws_data) + elif 'table' in ws_data: + if ws_data['table'].endswith('ticker'): + self.onTicker(ws_data['data']) + elif ws_data['table'].endswith('depth5'): + self.onDepth(ws_data['data']) + elif ws_data['table'].endswith('account'): + self.onFutureAccountInfo(ws_data['data']) + elif ws_data['table'].endswith('position'): + self.onFuturePositionInfo(ws_data['data']) + elif ws_data['table'].endswith('order'): + self.onFutureTrades(ws_data['data']) + elif 'client_oid' in ws_data: # 委托后发送回应 + self.treatRespondFutureOrder(ws_data) + else: # 报错信息 35008 + self.gateway.writeLog(u'很烦很烦') + self.gateway.writeLog(ws_data) + else: + self.gateway.writeLog(u'其他信息') + self.gateway.writeLog(ws_data) - # 返回list - if isinstance(ws_data, list): - for data in ws_data: - channel_value = data['channel'] if 'channel' in data else None - if channel_value == None: - continue - - # 登录请求恢复 - if channel_value == 'login': - if 'data' in data: - login_data = data['data'] - result = login_data['result'] if 'result' in login_data else False - if result: - self.writeLog(u'登录成功: {}'.format(datetime.now())) - self.gateway.futures_connected = True - else: - self.gateway.writeError(u'登录失败') - self.writeLog(u'登录失败: {},data:{}'.format(datetime.now(), data)) - continue - - # 功能请求回复 - elif channel_value == "addChannel": - if 'data' in data: - channel_data = data['data'] - result = channel_data['result'] if 'result' in channel_data else False - channel_value = channel_data["channel"] - if result: - self.writeLog(u'请求:{} 成功:'.format(channel_value)) - continue - else: - self.gateway.writeError(u'addChannel回复数据没有data') - self.writeLog(u'not data in :addChannel:{}'.format(data)) - - # 其他回调/数据推送 - callback = self.cbDict.get(channel_value) - if callback: - try: - callback(data) - except Exception as ex: - self.gateway.writeError(u'回调{}发生异常'.format(channel_value)) - self.writeLog(u'onMessage call back {} exception：{},{}'.format(channel_value, str(ex), - traceback.format_exc())) - else: - self.gateway.writeError(u'okFutureApi:出现无回调处理的channel:{}'.format(channel_value)) - self.writeLog(u'unkonw msg:{}'.format(data)) - - # ---------------------------------------------------------------------- def onError(self, *args): """重载WsFutureApi.onError错误Event推送""" if len(args)== 0: @@ -1664,7 +1149,6 @@ class OkexFuturesApi(WsFuturesApi): error.errorMsg = str(evt) self.gateway.onError(error) - # #---------------------------------------------------------------------- def onErrorMsg(self, data): """错误信息处理""" error = VtErrorData() @@ -1675,7 +1159,6 @@ class OkexFuturesApi(WsFuturesApi): error.errorMsg = u'FutureApi Error:{}'.format(FUTURES_ERROR_DICT.get(error_code)) self.gateway.onError(error) - # ---------------------------------------------------------------------- def reconnect(self): """ 重连 @@ -1683,35 +1166,44 @@ class OkexFuturesApi(WsFuturesApi): """ while not self.gateway.futures_connected: self.writeLog(u'okex Api_contract 等待10秒后重新连接') - self.connect(self.apiKey, self.secretKey, self.trace) - + self.connect(self.apiKey, self.secretKey, self.passphrase, self.trace) sleep(10) if not self.gateway.futures_connected: self.reconnect() - # ---------------------------------------------------------------------- - def onClose(self, ws): + def writechaLog(self, content): + """ + + :param content: + :return: + """ + self.writeLog(content) + + def onClose(self): """接口断开""" # 如果尚未连上，则忽略该次断开提示 if not self.gateway.futures_connected: return - self.gateway.futures_connected = False self.writeLog(u'期货服务器连接断开') - # 重新连接 if self.active: self.writeLog(u'重新连接期货服务器') t = Thread(target=self.reconnect) t.start() - # ---------------------------------------------------------------------- def dealSymbolFunc(self, symbol): """ 分解委托单symbol :param symbol: :return: """ + if symbol.find(':') == -1: + symbol_pair = symbol + symbol = symbol + contract_type = 'this_week' + leverage = '10' + return (symbol_pair, symbol, contract_type, leverage) arr = symbol.split('.') symbol_pair = arr[0] l = symbol_pair.split(':') @@ -1726,228 +1218,277 @@ class OkexFuturesApi(WsFuturesApi): return (symbol_pair, symbol, contract_type, leverage) - # ---------------------------------------------------------------------- def subscribe(self, subscribeReq): """ - 订阅行情 + 订阅行情,外接okexGateway, 在vtEngine中的dataEngine进行调用 :param subscribeReq: :return: """ - try: - # 分解出 合约对/合约/合约类型/杠杆倍数 - (symbol_pair, symbol, contract_type, leverage) = self.dealSymbolFunc(subscribeReq.symbol) - except Exception as ex: - self.writeLog(u'订阅合约行情异常:{}'.format(str(ex))) - return + self.subscribeSingleSymbol(subscribeReq.symbol) - if subscribeReq.symbol not in self.registered_symbols: - # 登记合约对（btc_usd ltc_usd eth_usd etc_usd bch_usd） - self.registered_symbols.add(subscribeReq.symbol) - # 订阅行情 - self.subscribeSingleSymbol(symbol, contract_type, leverage) - - # ---------------------------------------------------------------------- - def subscribeSingleSymbol(self, symbol, contract_type, leverage): + def subscribeSingleSymbol(self, symbol): """ - 订阅行情 + 订阅单个对象的行情（Ticker, depth, Trade) :param symbol: 合约，如btc，eth，etc等 :param contract_type: 合约类型，当周，下周，季度 :param leverage:杠杆倍数 :return: """ - self.gateway.writeLog(u'FuturesApi.subscribeSingleSymbol:symbol:{},cotract_type:{},leverage:{}'.format(symbol, contract_type, leverage)) - if symbol in CONTRACT_SYMBOL: - # 订阅tick行情 - self.subsribeFutureTicker(symbol, contract_type) - # 订阅深度行情 - self.subscribeFutureDepth(symbol, contract_type) - # 查询该合约的委托清单 - self.futureOrderInfo(symbol + "_usd", -1, contract_type, status="1", current_page=1, page_length=50) - # 订阅该合约得市场成交 - #self.subscribeFutureTrades(symbol+"_usd",contract_type) - # self.cbDict["ok_sub_futureusd_%s_trade_%s" % (symbol+'_usd', contract_type)] = self.onFutureSub + self.subsribeFutureTicker(symbol) + self.subscribeFutureDepth(symbol) + self.subscribeFutureTrades(symbol) + self.queryFutureOrderInfo(symbol, status="6", current_page=1, page_length=50) - # ---------------------------------------------------------------------- - def futureAllOrders(self): + def treatFutureOrderInfo(self, symbol_pair, message): """ - 发出查询所有合约委托查询 + 处理函数：用于处理查询订单返回来的信息 + 1.重新设定本地单子 + :param message: :return: """ - for symbol in self.registered_symbols: - # 根据已订阅的合约清单，逐一合约发出 - try: - (symbol_pair, symbol, contract_type, leverage) = self.dealSymbolFunc(symbol) - self.futureOrderInfo(symbol + "_usd", -1, contract_type, status="1", current_page=1, page_length=50) - except Exception as ex: - self.writeLog(u'dealSymbolFunc :{}异常:{}'.format(symbol,str(ex))) - continue + if message['order_info'] == []: + return + orders = message['order_info'] + if orders == []: + self.gateway.writeLog(u'{}目前没有订单信息'.format(symbol_pair)) + return + for tmp_order in orders: + if tmp_order['client_oid'] == '': # 不是我们的订单 + return + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = tmp_order['instrument_id'] + order.vtSymbol = '{}.'.format(self.gatewayName) + tmp_order['instrument_id'] + order.orderID = tmp_order['client_oid'] # 用户设置的订单ID + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + order.price = float(tmp_order['price']) + order.totalVolume = int(tmp_order['size']) + order.tradedVolume = int(tmp_order['filled_qty']) + order.direction, order.offset = priceContractOffsetTypeMap[str(tmp_order['type'])] + order.status = statusMap[int(tmp_order['status'])] - for orderId in self.orderIdDict.keys(): - # 根据缓存的委托单id，逐一发出委托查询 - order = self.orderDict.get(orderId, None) - if order != None: - try: - symbol_pair, symbol, contract_type, leverage = self.dealSymbolFunc(order.symbol) - self.futureOrderInfo(symbol + "_usd", orderId, contract_type, status="1", current_page=1, - page_length=50) - except Exception as ex: - self.writeLog(u'发出委托单查询异常:{}'.format(str(ex))) + self.orderDict[order.orderID] = order # 重新订阅本地订单 + self.gateway.onOrder(order) - # ---------------------------------------------------------------------- - def onOpen(self, ws): - """连接成功""" + def onOpen(self): + """ + 连接 + 1.设置回调函数 + 2.设置合约信息 + 3. + """ + self.writeLog(u'服务器OKEX期货————onOpen') self.gateway.futures_connected = True - self.writeLog(u'服务器OKEX期货连接成功') + self.loginTime = int(datetime.now().strftime('%y%m%d%H%M%S')) * 10000 try: self.initCallback() - self.writeLog(u'服务器OKEX期货回调函数设置成功') - for symbol in CONTRACT_SYMBOL: - self.channelSymbolMap[ - "ok_sub_futureusd_%s_index" % symbol] = symbol + "_usd:%s:" + self._use_leverage # + "." + EXCHANGE_OKEX - for use_contract_type in CONTRACT_TYPE: - use_symbol_name = symbol + "_usd:%s:%s" % (use_contract_type, self._use_leverage) - # Ticker数据 - self.channelSymbolMap["ok_sub_futureusd_%s_ticker_%s" % (symbol, use_contract_type)] = use_symbol_name - # 盘口的深度 - self.channelSymbolMap["ok_sub_future_%s_depth_%s_usd" % (symbol, use_contract_type)] = use_symbol_name - # 所有人的交易数据 - self.channelSymbolMap["ok_sub_futureusd_%s_trade_%s" % (symbol, use_contract_type)] = use_symbol_name - - contract = VtContractData() - contract.gatewayName = self.gatewayName - contract.symbol = use_symbol_name + "." + EXCHANGE_OKEX - contract.exchange = EXCHANGE_OKEX - contract.vtSymbol = contract.symbol - contract.name = u'期货%s_%s_%s' % (symbol, use_contract_type, self._use_leverage) - contract.size = 0.00001 - contract.priceTick = 0.00001 - contract.productClass = PRODUCT_FUTURES - self.gateway.onContract(contract) - - # print contract.vtSymbol , contract.name - - quanyi_vtSymbol = symbol + "_usd_future_qy" + "."+ EXCHANGE_OKEX - contract = VtContractData() - contract.gatewayName = self.gatewayName - contract.symbol = quanyi_vtSymbol - contract.exchange = EXCHANGE_OKEX - contract.vtSymbol = contract.symbol - contract.name = u'期货权益%s' % (symbol) - contract.size = 0.00001 - contract.priceTick = 0.00001 - contract.productClass = PRODUCT_FUTURES - self.gateway.onContract(contract) - - self.writeLog(u'服务器OKEX期货合约信息更新成功') - - + for key, items in self.contractInfo.items(): + if symbol in key and use_contract_type==items: + use_symbol_name = key + contract = VtContractData() + contract.gatewayName = self.gatewayName + contract.symbol = use_symbol_name + contract.exchange = EXCHANGE_OKEX + contract.vtSymbol = use_symbol_name + "." + EXCHANGE_OKEX + contract.productClass = PRODUCT_FUTURES + self.gateway.onContract(contract) + for symbol in self.CONTRACT_SYMBOL_SWAP: + contract = VtContractData() + contract.gatewayName = self.gatewayName + contract.symbol = symbol + contract.exchange = EXCHANGE_OKEX + contract.vtSymbol = symbol + "." + EXCHANGE_OKEX + contract.productClass = PRODUCT_FUTURES + self.gateway.onContract(contract) self.login() - # 连接后查询账户和委托数据 - self.futureUserInfo() - self.futureAllUnfinishedOrderInfo() - self.futureAllIndexSymbol() - - for symbol in self.registered_symbols: - try: - self.writeLog(u'okex future_api 重新订阅:'.format(symbol)) - # 分解出 合约对/合约/合约类型/杠杆倍数 - (symbol_pair, symbol, contract_type, leverage) = self.dealSymbolFunc(symbol) - self.subscribeSingleSymbol(symbol, contract_type, leverage) - except Exception as ex: - self.gateway.writeError(u'订阅合约行情异常:{},{}'.format(str(ex),traceback.format_exc())) - continue + self.subFutureAllIndexSymbol() except Exception as ex: self.gateway.writeError(u'期货onOpen异常:{},{}'.format(str(ex), traceback.format_exc())) - # ---------------------------------------------------------------------- + def onOpens(self): + """ + 客户端登录成功后，用于订阅行情 + :return: + """ + for symbol in self.registered_symbols: + try: + (symbol_pair, symbol, contract_type, leverage) = self.dealSymbolFunc(symbol) + self.subscribeSingleSymbol(symbol) + self.subFutureUserInfo(symbol) + self.subFuturePositionInfo(symbol) + self.queryFuturesAccountInfo(symbol) + self.queryFuturePosition(symbol) + except Exception as ex: + self.gateway.writeError(u'订阅合约行情异常:{},{}'.format(str(ex), traceback.format_exc())) + continue + + def queryAllFutureAccountInfo(self): + """ + 查询订阅品种的账户信息 + :return: + """ + for symbol in self.registered_symbols: + (symbol_pair, symbol, contract_type, leverage) = self.dealSymbolFunc(symbol) + self.queryFuturesAccountInfo(symbol) + + def queryAllFuturePositionInfo(self): + """ + 查询订阅品种的持仓信息 + :return: + """ + for symbol in self.registered_symbols: + (symbol_pair, symbol, contract_type, leverage) = self.dealSymbolFunc(symbol) + self.queryFuturePosition(symbol) + + def queryAllFutureOrderInfo(self): + """ + 查询订阅品种的未完成订单信息 + :return: + """ + for symbol in self.registered_symbols: + (symbol_pair, symbol, contract_type, leverage) = self.dealSymbolFunc(symbol) + self.queryFutureOrderInfo(symbol, status="6", current_page=1, page_length=50) + + def treatFutureAccountInfo(self, message, symbol): + """ + 处理函数：用于处理查询账户信息返回来的信息 + :param symbol: + :param message: + :return: + """ + if message == []: + return + accountInfo = VtAccountData() + accountInfo.accountID = symbol + accountInfo.gatewayName = self.gatewayName + if 'SWAP' in symbol: + accountInfo.balance = float(message['info']['equity']) # 权益 + accountInfo.available = float(message['info']['total_avail_balance']) # 账户余额 + accountInfo.closeProfit = float(message['info']['realized_pnl']) + accountInfo.positionProfit = float(message['info']['unrealized_pnl']) + else: + margin_mode = message['margin_mode'] + if margin_mode == 'crossed': + accountInfo.available = float(message['total_avail_balance']) # 账户余额 + accountInfo.balance = float(message['equity']) # 权益 + accountInfo.closeProfit = float(message['realized_pnl']) + accountInfo.positionProfit = float(message['unrealized_pnl']) + else: + accountInfo.available = float(message['total_avail_balance']) # 账户余额 + accountInfo.balance = float(message['equity']) # 权益 + self.gateway.onAccount(accountInfo) + + def treatFuturePositionInfo(self, message, symbol): + """ + 处理函数：用于处理持仓信息查询返回的内容 + :param message: + :param symbol: + :return: + """ + # TODO 设置能检测的东西 + data = message['holding'][0] + if 'SWAP' not in symbol: + if 'crossed' in data: # 全仓 + # if len(message['holding']) == 0: + # self.gateway.writeLog(u'没有仓位') + # return + # data = message['holding'][0] + # Long + pos = VtPositionData() + pos.position = float(data['long_qty']) + if pos.position != 0: + pos.gatewayName = self.gatewayName + pos.symbol = data['instrument_id'] + pos.vtSymbol = self.gatewayName + '.' + pos.symbol + pos.price = float(data['long_avg_cost']) + pos.direction = DIRECTION_LONG + pos.leverage = int(data['leverage']) + pos.margin_mode = data['margin_mode'] + pos.positionProfit = data['realised_pnl'] + self.gateway.onPosition(pos) + # Short + pos = VtPositionData() + pos.position = float(data['short_qty']) + if pos.position != 0: + pos.gatewayName = self.gatewayName + pos.symbol = data['instrument_id'] + pos.vtSymbol = self.gatewayName + '.' + pos.symbol + pos.price = float(data['short_avg_cost']) + pos.direction = DIRECTION_SHORT + pos.leverage = int(data['leverage']) + pos.margin_mode = data['margin_mode'] + pos.positionProfit = data['realised_pnl'] + self.gateway.onPosition(pos) + else: # 逐仓 + # Long + pos = VtPositionData() + pos.position = float(data['long_qty']) + if pos.position != 0: + pos.gatewayName = self.gatewayName + pos.symbol = data['instrument_id'] + pos.vtSymbol = self.gatewayName + '.' + pos.symbol + pos.price = float(data['long_avg_cost']) + pos.direction = DIRECTION_LONG + pos.leverage = int(data['leverage']) + pos.margin_mode = data['margin_mode'] + pos.positionProfit = data['realised_pnl'] + self.gateway.onPosition(pos) + # Short + pos = VtPositionData() + pos.position = float(data['short_qty']) + if pos.position != 0: + pos.gatewayName = self.gatewayName + pos.symbol = data['instrument_id'] + pos.vtSymbol = self.gatewayName + '.' + pos.symbol + pos.price = float(data['short_avg_cost']) + pos.direction = DIRECTION_SHORT + pos.leverage = int(data['leverage']) + pos.margin_mode = data['margin_mode'] + pos.positionProfit = data['realised_pnl'] + self.gateway.onPosition(pos) + else: + if 'crossed' in data: # 全仓 + data = message['holding'][0] + pos = VtPositionData() + pos.position = float(data['position']) + pos.price = float(data['avg_cost']) + pos.direction = DIRECTION_LONG if data['side'] == 'long' else DIRECTION_SHORT + pos.positionProfit = float(data['realized_pnl']) + pos.symbol = data['instrument_id'] + pos.vtSymbol = self.gatewayName + '.' + pos.symbol + self.gateway.onPosition(pos) + else: + pos = VtPositionData() + pos.position = float(data['position']) + pos.price = float(data['avg_cost']) + pos.direction = DIRECTION_LONG if data['side'] == 'long' else DIRECTION_SHORT + pos.positionProfit = float(data['realized_pnl']) + pos.symbol = data['instrument_id'] + pos.vtSymbol = self.gatewayName + '.' + pos.symbol + self.gateway.onPosition(pos) + def writeLog(self, content): - """快速记录日志""" + """ + 快速记录日志 + """ log = VtLogData() log.gatewayName = self.gatewayName log.logContent = content self.gateway.onLog(log) - # ---------------------------------------------------------------------- - def LoopforceGetContractDict(self, unFishedSet): - """ - 递归强制获取合约信息 - :param unFishedSet: - :return: - """ - if len(unFishedSet) > 0: - new_unfishedSet = set([]) - for symbol, use_contract_type in unFishedSet: - t_contract_name = self.getContractName(symbol, use_contract_type) - if t_contract_name != None: - self.contract_name_dict[t_contract_name] = {"symbol": symbol, "contract_type": use_contract_type} - else: - new_unfishedSet.add((symbol, use_contract_type)) - - if unFishedSet!=new_unfishedSet: - self.LoopforceGetContractDict(new_unfishedSet) - - # ---------------------------------------------------------------------- def initCallback(self): - """初始化回调函数""" - # USD_CONTRACT - unfinished_contract_set = set([]) - for symbol in CONTRACT_SYMBOL: - self.cbDict["ok_sub_futureusd_%s_index" % (symbol)] = self.onFutureIndexInfo - for use_contract_type in CONTRACT_TYPE: - self.cbDict["ok_sub_futureusd_%s_ticker_%s" % (symbol, use_contract_type)] = self.onTicker - self.cbDict["ok_sub_future_%s_depth_%s_usd" % (symbol, use_contract_type)] = self.onDepth - self.cbDict["ok_sub_futureusd_%s_trade_%s" % (symbol, use_contract_type)] = self.onTrade - - t_contract_name = self.getContractName(symbol, use_contract_type) - if t_contract_name != None: - self.contract_name_dict[t_contract_name] = {"symbol": symbol, "contract_type": use_contract_type} - else: - unfinished_contract_set.add((symbol, use_contract_type)) - - self.LoopforceGetContractDict(unfinished_contract_set) - - # print self.contract_name_dict.keys() - - self.cbDict['ok_futureusd_trade'] = self.onFutureOrder - self.cbDict['ok_futureusd_cancel_order'] = self.onFutureOrderCancel - - self.cbDict['ok_futureusd_userinfo'] = self.onFutureUserInfo - self.cbDict['ok_futureusd_orderinfo'] = self.onFutureOrderInfo - - self.cbDict['ok_sub_futureusd_trades'] = self.onFutureSubTrades - self.cbDict['ok_sub_futureusd_userinfo'] = self.onFutureSubUserinfo - - self.cbDict['ok_sub_futureusd_positions'] = self.onFutureSubPositions - - # ---------------------------------------------------------------------- - ''' - 推送 币币交易指数过去 - websocket.send("{'event':'addChannel','channel':'ok_sub_futureusd_X_index'}"); - - ① X值为：btc, ltc, eth, etc, bch - # Request - {'event':'addChannel','channel':'ok_sub_futureusd_btc_index'} - # Response - [ - { - "data": { - "timestamp": "1490341322021", - "futureIndex": "998.0" - }, - "channel": "ok_sub_futureusd_btc_index" - } - ] - 返回值说明 - - futureIndex(string): 指数 - timestamp(string): 时间戳 - ''' + """ + 初始化回调函数. 1.获取合约信息，2.设置回调函数（在onMessage中起作用） + :return + """ + self.queryContractInfo('SWAP') + self.queryContractInfo('JiaoGe') def onFutureIndexInfo(self, ws_data): """ - 指数合约推送 + ws, 接收指数合约推送 :param ws_data: :return: """ @@ -1955,44 +1496,15 @@ class OkexFuturesApi(WsFuturesApi): if data is None: return - channel = ws_data['channel'] - - # 获取日期/时间 t_date, t_time,_ = self.generateDateTime(float(data["timestamp"])) - # 获取指数值 float_index = float(data["futureIndex"]) - - # 根据channnel，获取合约 symbol_pattern = self.channelSymbolMap[channel] for use_contract_type in CONTRACT_TYPE: - # 合约， symbol = symbol_pattern % (use_contract_type) push_dic = {"symbol": symbol, "date": t_date, "time": t_time, "index": float_index} - # 调用gateway，推送event事件 self.gateway.onFutureIndexPush(push_dic) - # ---------------------------------------------------------------------- - """ - 期货行情推送 例子 - { - "data": { - "limitHigh": "1030.3", - "vol": 276406, - "last": 998.05, - "sell": 998.05, - "buy": 997.61, - "unitAmount": 100, - "hold_amount": 180178, - "contractId": 20170324034, - "high": 1049.18, - "low": 973.15, - "limitLow": "968.1" - }, - "channel": "ok_sub_futureusd_btc_ticker_this_week" - } - """ - def checkStatus(self): """ 检查状态 @@ -2000,152 +1512,60 @@ class OkexFuturesApi(WsFuturesApi): """ if len(self.tickDict) > 0: symbol,last_tick = list(self.tickDict.items())[0] - if (datetime.now() - last_tick.datetime).seconds > 60: + # self.gateway.writeLog(u'日常检查，最近tick时间：{}'.format(last_tick.datetime.strftime('%Y-%m-%d %H:%M:%S'))) + if (datetime.now() - last_tick.datetime).seconds > 10: + last_tick.datetime = datetime.now() + # self.gateway.writeError(u'【注意：行情出现断开连接】') + self.gateway.writeLog(u'【重新连接】') + # self.onClose() return False - return True else: return False def onTicker(self, ws_data): """ - 期货行情推送 + ws, 接收期货行情 :param ws_data: :return: """ - data = ws_data.get('data', {}) - if len(data) == 0: - return - - channel = ws_data.get('channel') - if channel is None: - return + data = ws_data[0] try: - symbol = self.channelSymbolMap[channel] - # 首次到达tick，记录在tickDict缓存 + symbol = data['instrument_id'] if symbol not in self.tickDict: tick = VtTickData() tick.exchange = EXCHANGE_OKEX - tick.symbol = '.'.join([symbol, tick.exchange]) + tick.symbol = symbol tick.vtSymbol = tick.symbol - tick.gatewayName = self.gatewayName self.tickDict[symbol] = tick - - # 创建symbol对应得深度行情字典缓存 self.bids_depth_dict[symbol] = {} self.asks_depth_dict[symbol] = {} else: tick = self.tickDict[symbol] - - # 更新 - tick.highPrice = float(data['high']) - tick.lowPrice = float(data['low']) + tick.datetime = datetime.now() + self.bids_depth_dict[symbol] = {} + self.asks_depth_dict[symbol] = {} + tick.highPrice = float(data['high_24h']) + tick.lowPrice = float(data['low_24h']) tick.lastPrice = float(data['last']) - - if symbol.startswith('btc'): - tick.volume = float(str(data['vol']).replace(',', '')) - tick.volume=(tick.volume/tick.lastPrice)*100 - else: - tick.volume = float(str(data['vol']).replace(',', '')) - tick.volume=(tick.volume/tick.lastPrice)*10 - - - self.contractIdToSymbol[str(data["contractId"])] = tick.symbol - # 待深度行情推送onTick + tick.volume = float(data['volume_24h']) except Exception as ex: self.gateway.writeError(u'ContractApi.onTicker exception:{}'.format(str(ex))) self.gateway.writeLog(ws_data) self.gateway.writeLog(u'ContractApi.onTicker exception:{},{}'.format(str(ex), traceback.format_exc())) - # ---------------------------------------------------------------------- - """ - { - "data": { - "timestamp": 1490337551299, - "asks": [ - [ - "996.72", - "20.0", - "2.0065", - "85.654", - "852.0" - ] - ], - "bids": [ - [ - "991.67", - "6.0", - "0.605", - "0.605", - "6.0" - ] - }, - "channel": "ok_sub_futureusd_btc_depth_this_week" - } - - timestamp(long): 服务器时间戳 - asks(array):卖单深度 数组索引(string) 0 价格, 1 量(张), 2 量(币) 3, 累计量(币) 4,累积量(张) - bids(array):买单深度 数组索引(string) 0 价格, 1 量(张), 2 量(币) 3, 累计量(币) 4,累积量(张) - 使用描述: - 1，第一次返回全量数据 - 2，根据接下来数据对第一次返回数据进行，如下操作 - 删除（量为0时） - 修改（价格相同量不同） - 增加（价格不存在） - {u'binary': 0, u'data': {u'timestamp': 1515745170254L, u'bids': [[33.824, 6, 1.7 -738, 1.7738, 6], [33.781, 6, 1.7761, 7.6905, 26], [33.775, 6, 1.7764, 9.4669, 32 -], [33.741, 0, 11.2622, 20.1331, 68], [33.692, 6, 1.7808, 991.3629, 3341], [33.6 -35, 7, 2.0811, 1213.9536, 4090], [33.633, 0, 2.3786, 1223.1365, 4121], [33.629, -0, 1.1894, 1224.3259, 4125], [33.62, 14, 4.1641, 1218.1177, 4104], [33.617, 0, 1 -.4873, 1225.8132, 4130], [33.614, 7, 2.0824, 1221.6875, 4116], [33.601, 0, 1.785 -6, 1344.853, 4530], [33.591, 4, 1.1907, 1343.4074, 4525], [33.581, 16, 4.7645, 1 -351.7451, 4553], [33.579, 6, 1.7868, 1353.5319, 4559], [33.552, 6, 1.7882, 1360. -0871, 4581], [33.543, 0, 1.4906, 1386.5663, 4670], [33.54, 136, 40.5485, 1423.88 -44, 4795], [33.539, 9, 2.6834, 1426.5678, 4804], [33.53, 50, 14.912, 1441.4798, -4854], [33.525, 5, 1.4914, 1442.9712, 4859], [33.522, 5, 1.4915, 1444.4627, 4864 -], [33.511, 10, 2.984, 1448.6402, 4878], [33.502, 0, 2.6864, 1409.2357, 4746], [ -33.479, 4, 1.1947, 2353.4177, 7909], [25.245, 0, 9.9029, 21190.5178, 68253], [25 -.235, 0, 10.3031, 21200.8209, 68279], [25.225, 0, 4.3607, 21205.1816, 68290], [2 -5.215, 0, 3.9658, 21209.1474, 68300], [25.205, 0, 3.9674, 21213.1148, 68310]], u -'asks': [[43.493, 0, 3.2189, 21250.6634, 74286], [43.473, 0, 4.8305, 21247.4445, - 74272], [43.463, 0, 5.5219, 21242.614, 74251], [43.453, 0, 5.5232, 21237.0921, -74227], [43.433, 0, 3.6838, 21231.5689, 74203], [34.238, 500, 146.0365, 5495.506 -5, 18746], [34.18, 5, 1.4628, 3523.3267, 12000], [34.159, 6, 1.7564, 3521.8639, -11995], [34.137, 5, 1.4646, 3020.1076, 10282], [34.107, 6, 1.7591, 2013.2213, 68 -46], [34.105, 4, 1.1728, 2011.4622, 6840], [34.09, 4, 1.1733, 1345.1823, 4568], -[34.072, 500, 146.748, 1324.3485, 4497], [34.07, 6, 1.761, 1177.6005, 3997], [34 -.068, 683, 200.4813, 1175.8395, 3991], [34.063, 0, 1.1742, 944.5044, 3203], [34. -039, 15, 4.4067, 975.3582, 3308], [34.025, 0, 1.4695, 943.3302, 3199], [34.024, -7, 2.0573, 970.9515, 3293], [34.014, 0, 1.4699, 941.8607, 3194], [33.992, 5, 1.4 -709, 815.0705, 2763], [33.977, 0, 1.4715, 784.8013, 2660], [33.976, 0, 1.4716, 7 -83.3298, 2655], [33.971, 0, 2.3549, 781.8582, 2650], [33.968, 0, 2.0607, 779.503 -3, 2642], [33.965, 0, 1.1776, 777.4426, 2635], [33.96, 0, 2.0612, 776.265, 2631] -, [33.953, 200, 58.9049, 811.8338, 2752], [33.909, 13, 3.8337, 294.4836, 997], [ -33.908, 0, 7.0779, 315.7585, 1069], [33.905, 27, 7.9634, 286.5209, 970], [33.899 -, 8, 2.3599, 261.4503, 885], [33.895, 9, 2.6552, 259.0904, 877], [33.894, 0, 4.4 -255, 273.2863, 925], [33.893, 13, 3.8356, 256.4352, 868], [33.891, 0, 4.1308, 26 -8.8608, 910], [33.884, 6, 1.7707, 252.5996, 855], [33.878, 13, 3.8372, 250.8289, - 849], [33.825, 0, 17.7383, 17.7383, 60]]}, u'channel': u'ok_sub_future_etc_dept -h_this_week_usd'} - """ def onDepth(self, ws_data): """ - 期货深度行情推送 + ws, 接收深度信息 + 期货深度行情推送。okex期货的深度数据原生返回是张数，需要转换为个数。 + 转换公式（btc把10改为100，其他币种都是乘10） ：张数/成交价*10=个数 :param ws_data: :return: - okex期货的深度数据原生返回是张数，需要转换为个数。转换公式（btc把10改为100，其他币种都是乘10）：张数/成交价*10=个数 """ - channel = ws_data.get('channel') - data = ws_data.get('data', {}) - if channel is None or len(data) == 0: - return - - symbol = self.channelSymbolMap.get(channel) - if symbol is None: - return - + symbol = ws_data[0]['instrument_id'] + data = ws_data[0] try: if symbol not in self.tickDict: tick = VtTickData() @@ -2153,39 +1573,33 @@ h_this_week_usd'} tick.vtSymbol = symbol tick.gatewayName = self.gatewayName self.tickDict[symbol] = tick - self.bids_depth_dict[symbol] = {} self.asks_depth_dict[symbol] = {} else: tick = self.tickDict[symbol] - + self.bids_depth_dict[symbol] = {} + self.asks_depth_dict[symbol] = {} tick_bids_depth = self.bids_depth_dict[symbol] tick_asks_depth = self.asks_depth_dict[symbol] - # 更新bids得价格深度 - for inf in data.get('bids', []): - price1, vol1, vol2, acc_vol1, acc_vol2 = inf + for inf in list(data['bids']): + price1, vol1,acc_vol1, acc_vol2 = inf if abs(float(vol1)) < 0.00001 and price1 in tick_bids_depth: del tick_bids_depth[price1] else: tick_bids_depth[price1] = float(vol1) - try: # 根据bidPrice价格排序 arr = sorted(tick_bids_depth.items(), key=lambda x: x[0]) - - # 取后五个 tick.bidPrice1, tick.bidVolume1 = arr[-1] tick.bidPrice2, tick.bidVolume2 = arr[-2] tick.bidPrice3, tick.bidVolume3 = arr[-3] tick.bidPrice4, tick.bidVolume4 = arr[-4] tick.bidPrice5, tick.bidVolume5 = arr[-5] - except Exception as ex: self.writeLog(u'ContractApi.onDepth exception:{},{}'.format(str(ex), traceback.format_exc())) - - for inf in data.get('asks', []): - price1, vol1, vol2, acc_vol1, acc_vol2 = inf + for inf in list(data['asks']): + price1, vol1,acc_vol1, acc_vol2 = inf if abs(float(vol1)) < 0.00001 and price1 in tick_asks_depth: del tick_asks_depth[price1] else: @@ -2199,35 +1613,15 @@ h_this_week_usd'} tick.askPrice3, tick.askVolume3 = arr[2] tick.askPrice4, tick.askVolume4 = arr[3] tick.askPrice5, tick.askVolume5 = arr[4] - except Exception as ex: self.writeLog(u'ContractApi.onDepth exception:{},{}'.format(str(ex), traceback.format_exc())) - tick.date, tick.time ,tick.datetime= self.generateDateTime(data['timestamp']) - - # 推送onTick事件 newtick = copy(tick) + self.writeLog('tickTime:{};tickSymbol:{}'.format(tick.time, tick.symbol)) self.gateway.onTick(newtick) - except Exception as ex: self.writeLog(u'ContractApi.onDepth exception:{},{}'.format(str(ex), traceback.format_exc())) - # ---------------------------------------------------------------------- - """ - [ - { - "data":{ - "result":true, - "order_id":5017287829 - }, - "channel":"ok_futureusd_trade" - } - ] - - real data - {u'binary': 0, u'data': {u'order_id': 230874269033472L, u'result': True}, u'channel': u'ok_futureusd_trade'} - """ - def onTrade(self, ws_data): """ 委托全部成交回报 @@ -2236,989 +1630,177 @@ h_this_week_usd'} """ self.writeLog(u'onTrade {}'.format(ws_data)) - # ---------------------------------------------------------------------- - - """ - { - "data":{ - "result":true, - "order_id":"5017402127" - }, - "channel":"ok_futureusd_order" - } - """ - def onFutureOrder(self, ws_data): + def treatRespondFutureOrder(self, ws_data): """ - 委托下单请求响应， + ws, 绑定本地订单 + 委托下单请求响应，撤单请求响应，拒单请求响应等，将订单和本地编号挂起 :param ws_data: 出错代码，或者委托成功得order_id :return: """ - - data = ws_data.get('data', {}) + data = ws_data + self.gateway.writeLog(ws_data) error_code = data.get('error_code') - if error_code is not None: + if int(error_code) != 0: self.gateway.writeError(u'onFutureOrder委托返回错误:{}'.format(FUTURES_ERROR_DICT.get(str(error_code))), error_id=error_code) self.gateway.writeLog(ws_data) localNo = self.localNoQueue.get_nowait() if localNo is None: return - self.gateway.writeLog(u'onFutureOrder移除本地localNo:{}'.format(localNo)) - vtOrderId = '.'.join([self.gatewayName,str(localNo)]) - order = self.localOrderDict.get(vtOrderId) + order = self.localOrderDict.get(localNo) if order: - order.orderID=localNo + order.orderID = localNo + order.symbol = order.symbol + order.vtsymbol = '.'.join([self.gatewayName, order.symbol]) + order.totalVolume = order.totalVolume dt = datetime.now() - order.symbol= '.'.join([order.symbol,self.gatewayName]) - order.vtsymbol=order.symbol - order.totalVolume=order.totalVolume order.cancelTime = dt.strftime("%H:%M:%S.%f") - order.status = STATUS_REJECTED - self.gateway.writeLog(u'onFutureOrder发出OnOrder，拒单,vtOrderId={}'.format(vtOrderId)) - # 发送期货委托单（拒单消息）到vtGateway + order.status = STATUS_REJECTED # 发送期货委托单（拒单消息）到vtGateway + self.gateway.writeLog(u'onFutureOrder发出OnOrder，拒单,vtOrderId={}'.format(localNo)) self.gateway.onOrder(order) return - ok_order_id = data.get('order_id') - + ok_order_id = data.get('client_oid') if ok_order_id is None: self.gateway.writeError(u'FuturesApi.onFutureOrder 委托返回中，没有orderid') self.gateway.writeLog(ws_data) return - - ok_order_id = str(ok_order_id) - - # 从本地编号Queue中，FIFO，提取最早的localNo - localNo = self.localNoQueue.get_nowait() + localNo = self.localNoQueue.get_nowait() # 从本地编号Queue中，FIFO，提取最早的localNo if localNo is None: self.gateway.writeError(u'FuturesApi.onSportOrder，未找到本地LocalNo，检查日志') self.gateway.writeLog(ws_data) return - - self.gateway.writeLog(u'FuturesApi.onSportOrder,绑定 local:{} <==> ok_order_id:{}'.format(localNo, ok_order_id)) self.localNoDict[localNo] = ok_order_id self.orderIdDict[ok_order_id] = localNo - # ---------------------------------------------------------------------- - """ - { - "data":{ - "result":true, - "order_id":"5017402127" - }, - "channel":"ok_futureusd_cancel_order" - } - """ - - def onFutureOrderCancel(self, ws_data): + def onFutureTrades(self, ws_data): """ - 委托撤单的响应" - :param ws_data: - :return: - """"" - data = ws_data.get('data', {}) - - if 'error_code' in data: - error_code = data.get('error_code', 0) - self.gateway.writeError(u'SpotApi.onFutureOrderCancel 委托返回错误:{}'.format(FUTURES_ERROR_DICT.get(error_code)), error_id=error_code) - self.gateway.writeLog(ws_data) - return - - ok_order_id = data.get('order_id') - if ok_order_id is None: - self.gateway.writeError(u'SpotApi.onFutureOrderCancel 委托返回中，没有orderid') - self.gateway.writeLog(ws_data) - return - - ok_order_id = str(ok_order_id) - # 获取本地委托流水号 - localNo = self.orderIdDict[ok_order_id] - - # 发送onOrder事件 - order = self.orderDict[ok_order_id] - dt = datetime.now() - order.cancelTime = dt.strftime("%H:%M:%S.%f") - order.status = STATUS_CANCELLED - # 发送现货委托单（撤单消息）到vtGateway - self.gateway.onOrder(order) - - # 删除本地委托号与orderid的绑定 - #del self.orderDict[orderId] - #del self.orderIdDict[orderId] - #del self.localNoDict[localNo] - - ''' - 逐仓返回： - [{ - "channel": "ok_futureusd_userinfo", - "data": { - "info": { - "btc": { - "balance": 0.00000673, - "contracts": [{ - "available": 0.00000673, - "balance": 0, - "bond": 0, - "contract_id": 20150327013, - "contract_type": "quarter", - "freeze": 0, - "profit": 0, - "unprofit": 0 - }], - "rights": 0.00000673 - }, - "ltc": { - "balance": 0.00007773, - "contracts": [{ - "available": 16.5915, - "balance": 0, - "bond": 0.70871722, - "contract_type": "this_week", - "contractid": 20150130115, - "freeze": 0, - "profit": 17.30020414, - "unprofit": -1.8707 - }, { - "available": 0.00007773, - "balance": 0.03188496, - "bond": 0, - "contract_type": "quarter", - "contractid": 20150327116, - "freeze": 0, - "profit": -0.03188496, - "unprofit": 0 - }], - "rights": 0.00007773 - } - }, - "result": true - } - }] - - - 逐仓信息 - balance(double):账户余额 - available(double):合约可用 - balance(double):合约余额 - bond(double):固定保证金 - contract_id(long):合约ID - contract_type(string):合约类别 - freeze(double):冻结 - profit(double):已实现盈亏 - unprofit(double):未实现盈亏 - rights(double):账户权益 - - 全仓返回： - [{ - "channel": "ok_futureusd_userinfo", - "data": { - "info": { - "btc": { - "account_rights": 1, - "keep_deposit": 0, - "profit_real": 3.33, - "profit_unreal": 0, - "risk_rate": 10000 - }, - "ltc": { - "account_rights": 2, - "keep_deposit": 2.22, - "profit_real": 3.33, - "profit_unreal": 2, - "risk_rate": 10000 - } - }, - "result": true - } - }] - balance(double): 账户余额 - symbol(string)：币种 - keep_deposit(double)：保证金 - profit_real(double)：已实现盈亏 - unit_amount(int)：合约价值 - - 实际日志（逐仓模式) - {u'info': { - u'ltc': {u'contracts': [], u'balance': 0, u'rights': 0}, - u'bch': {u'contracts': [], u'balance': 0, u'rights': 0}, - u'eos': {u'contracts': [], u'balance': 0, u'rights': 0}, - u'etc': {u'contracts': [], u'balance': 4.98, u'rights': 4.98}, - u'btg': {u'contracts': [], u'balance': 0, u'rights': 0}, - u'btc': {u'contracts': [], u'balance': 0, u'rights': 0}, - u'eth': {u'contracts': [], u'balance': 0, u'rights': 0}, - u'xrp': {u'contracts': [], u'balance': 0, u'rights': 0} - },u'result': True} - # 逐仓模式，持有期货合约 - u'etc': {u'contracts': - [{u'available': 4.92279753, u'contract_id': 201802160040063L, u'profit': -0.01702246, u'unprofit': 0.0005, - u'freeze': 0, u'contract_type': u'this_week', u'balance': 0.05720247, u'bond': 0.04018001}], - u'balance': 4.92279753, u'rights': 4.96357399}, - - {'eos': {'risk_rate': 10000, 'account_rights': 0, 'profit_real': 0, 'keep_deposit': 0, 'profit_unreal': 0}, - 'btc': {'risk_rate': 10000, 'account_rights': 0.01, 'profit_real': 0, 'keep_deposit': 0, 'profit_unreal': 0}, - 'ltc': {'risk_rate': 10000, 'account_rights': 0, 'profit_real': 0, 'keep_deposit': 0, 'profit_unreal': 0}, - 'etc': {'risk_rate': 10000, 'account_rights': 0, 'profit_real': 0, 'keep_deposit': 0, 'profit_unreal': 0}, - 'xrp': {'risk_rate': 10000, 'account_rights': 0, 'profit_real': 0, 'keep_deposit': 0, 'profit_unreal': 0}, - 'eth': {'risk_rate': 10000, 'account_rights': 0, 'profit_real': 0, 'keep_deposit': 0, 'profit_unreal': 0}, - 'btg': {'risk_rate': 10000, 'account_rights': 0, 'profit_real': 0, 'keep_deposit': 0, 'profit_unreal': 0}, - 'bch': {'risk_rate': 10000, 'account_rights': 0, 'profit_real': 0, 'keep_deposit': 0, 'profit_unreal': 0}} - ''' - - # ---------------------------------------------------------------------- - def onFutureUserInfo(self, ws_data): - """ - 合约账户信息推送（账户权益/已实现盈亏/未实现盈亏/可用/已用/冻结） + ws，接收成交信息(onTrade, onOrder) + Trade交易信息回报, 包括onOrder，onTrade信息回报 :param ws_data: :return: """ - data = ws_data.get('data', {}) - if len(data) == 0: - self.writeLog(u'FuturesApi.onFutureUserInfo:not data in:{}'.format(ws_data)) - return - - info = data.get("info", {}) - if len(data) == 0: - self.writeLog(u'FuturesApi.onFutureUserInfo:not info in:{}'.format(ws_data)) - return - - for symbol, s_inf in info.items(): - if "account_rights" in s_inf.keys(): - # 说明是 全仓返回 - account = VtAccountData() - account.gatewayName = self.gatewayName - account.accountID = u'[全仓]{}'.format(symbol) - account.vtAccountID = account.accountID - account.balance = float(s_inf.get('account_rights',0.0)) - account.closeProfit = float(s_inf.get('profit_real',0.0)) - account.positionProfit = float(s_inf.get('profit_unreal',0.0)) - account.margin = float(s_inf.get('keep_deposit',0.0)) - - # 更新持仓信息 - pos = VtPositionData() - pos.gatewayName = self.gatewayName #+ u'_Future' - pos.symbol = u'{}.{}_Future'.format(symbol, EXCHANGE_OKEX) - pos.vtSymbol = u'{}.{}_Future'.format(symbol, EXCHANGE_OKEX) - pos.position = account.balance - pos.frozen = float(s_inf.get('keep_deposit',0.0)) - pos.direction = DIRECTION_NET - self.gateway.onPosition(pos) - - self.gateway.onAccount(account) - - # 如果该合约账号的净值大于0,则通过rest接口，逐一合约类型获取持仓 - if account.balance > 0: - for contractType in CONTRACT_TYPE: - self.query_future_position(symbol=symbol,contractType=contractType,leverage=self._use_leverage) - else: - # 说明是逐仓返回 - t_contracts = s_inf.get('contracts',[]) - t_balance = float(s_inf.get('balance',0.0)) - t_rights = float(s_inf.get('rights',0.0)) - - #if t_balance > 0 or t_rights > 0: - account = VtAccountData() - account.gatewayName = self.gatewayName #+ u'_Future' - account.accountID = u'[逐仓]{}'.format(symbol) - account.vtAccountID = account.accountID - account.balance = t_rights - account.available = t_balance - - # 更新持仓信息 - pos = VtPositionData() - pos.gatewayName = self.gatewayName #+ u'_Future' - pos.symbol = u'{}.{}_Future'.format(symbol,EXCHANGE_OKEX) - pos.vtSymbol = u'{}.{}_Future'.format(symbol,EXCHANGE_OKEX) - pos.position = t_rights - pos.frozen = t_rights - t_balance - pos.direction = DIRECTION_NET - self.gateway.onPosition(pos) - - for contract in t_contracts: - # 保证金 - account.margin += contract.get('bond',0.0) - # 平仓盈亏 - account.closeProfit += contract.get('profit',0.0) - # 持仓盈亏 - account.positionProfit += contract.get('unprofit',0.0) - - - if account.balance > 0 or account.available > 0: - for contractType in CONTRACT_TYPE: - self.query_future_position_4fix(symbol=symbol, contractType=contractType) - - self.gateway.onAccount(account) - - def query_future_position(self, symbol, contractType, leverage): - """全仓模式下，查询持仓信息""" - qry_symbol = '{}_usd'.format(symbol) + ':' + contractType - if qry_symbol in self.queryed_pos_symbols: - sleep(0.1) - else: - self.queryed_pos_symbols.add(qry_symbol) - resp = self.get_future_position(symbol='{}_usd'.format(symbol), contractType=contractType) - result = resp.get('result', False) - holdings = resp.get('holding', []) - - if result and len(holdings) > 0: - for holding in holdings: - pos = VtPositionData() - pos.gatewayName = self.gatewayName #+ u'_Future' - contract_symbol = holding.get('symbol', '{}_usd'.format(symbol)) + ':' + contractType + ':' + str( - holding.get('lever_rate', leverage)) - # 如果此合约不在已订阅清单中，重新订阅 - if contract_symbol not in self.registered_symbols: - v = VtSubscribeReq() - v.symbol = contract_symbol - self.subscribe(v) - - pos.symbol = '.'.join([contract_symbol, EXCHANGE_OKEX]) - pos.vtSymbol = pos.symbol - tick = self.tickDict.get(contract_symbol, None) - - if holding.get('buy_amount', 0) > 0: - # 持有多仓 - pos.direction = DIRECTION_LONG - pos.vtPositionName = pos.symbol + pos.direction - pos.price = holding.get('buy_price_avg', 0.0) - price = tick.lastPrice if tick is not None else pos.price - if price == 0.0: - continue - - # 20181110 ，改回用多少份合约 - pos.position = holding.get('buy_amount') - - if holding.get('buy_available') > 0: - pos.frozen = pos.position - holding.get('buy_available',0) - else: - pos.frozen = 0 - - pos.positionProfit = holding.get('buy_profit_real', 0.0) - self.gateway.onPosition(pos) - if holding.get('sell_amount', 0) > 0: - sell_pos = copy(pos) - sell_pos.direction = DIRECTION_SHORT - sell_pos.vtPositionName = sell_pos.symbol + sell_pos.direction - sell_pos.price = holding.get('sell_price_avg', 0.0) - price = tick.lastPrice if tick is not None else sell_pos.price - if price == 0: - continue - - # 20181110 改回用多少份合约 - sell_pos.position =holding.get('sell_amount') - if holding.get('sell_available', 0) > 0: - sell_pos.frozen = sell_pos.position - holding.get('sell_available') - else: - sell_pos.frozen = 0 - sell_pos.positionProfit = holding.get('sell_profit_real', 0.0) - self.gateway.onPosition(sell_pos) - - def query_future_position_4fix(self,symbol, contractType,leverate=1): - """ - 逐仓模式下，查询仓位 - :param symbol: - :param contractType: - :param leverate: 默认返回10倍杠杆持仓 type=1 返回全部持仓数据 - :return: - """ - qry_symbol = '{}_usd'.format(symbol) + ':' + contractType - if qry_symbol in self.queryed_pos_symbols: - sleep(0.1) - else: - self.queryed_pos_symbols.add(qry_symbol) - resp = self.get_future_position_4fix(symbol='{}_usd'.format(symbol), contractType=contractType,type1=leverate) - result = resp.get('result', False) - holdings = resp.get('holding', []) - - if result and len(holdings) > 0: - for holding in holdings: - pos = VtPositionData() - pos.gatewayName = self.gatewayName #+ u'_Future' - contract_symbol = holding.get('symbol', '{}_usd'.format(symbol)) + ':' + contractType + ':' + str( - holding.get('lever_rate', 10)) - # 如果此合约不在已订阅清单中，重新订阅 - if contract_symbol not in self.registered_symbols: - v = VtSubscribeReq() - v.symbol = contract_symbol - self.subscribe(v) - - pos.symbol = '.'.join([contract_symbol, EXCHANGE_OKEX]) - pos.vtSymbol = pos.symbol - tick = self.tickDict.get(contract_symbol, None) - pos.gatewayName = self.gatewayName #+ u'_Future' - if holding.get('buy_amount', 0) > 0: - # 持有多仓 - pos.direction = DIRECTION_LONG - pos.vtPositionName = pos.symbol + pos.direction - pos.price = holding.get('buy_price_avg', 0.0) - price = tick.lastPrice if tick is not None else pos.price - if price == 0.0: - continue - - pos.position =holding.get('buy_amount') - if holding.get('buy_available') > 0: - pos.frozen = pos.position - holding.get('buy_available',0) - else: - pos.frozen = 0 - pos.positionProfit = holding.get('profit_real', 0.0) - self.gateway.onPosition(pos) - if holding.get('sell_amount', 0) > 0: - sell_pos = copy(pos) - sell_pos.direction = DIRECTION_SHORT - sell_pos.vtPositionName = sell_pos.symbol + sell_pos.direction - sell_pos.price = holding.get('sell_price_avg', 0.0) - price = tick.lastPrice if tick is not None else sell_pos.price - if price == 0: - continue - sell_pos.position =holding.get('sell_amount') - if holding.get('sell_available', 0) > 0: - sell_pos.frozen = sell_pos.position - holding.get('sell_available',0) - else: - sell_pos.frozen = 0 - sell_pos.positionProfit = holding.get('profit_real', 0.0) - self.gateway.onPosition(sell_pos) - # ---------------------------------------------------------------------- - """ 所有委托查询回报 ws_data - { - "data":{ - "result":true, - "orders":[ - { - "fee":0, - "amount":1, - "price":2, - "contract_name":"LTC0331", - "symbol":"ltc_usd", - "create_date":1490347972000, - "status":-1, - "lever_rate":10, - "deal_amount":0, - "price_avg":0, - "type":1, - "order_id":5017402127, - "unit_amount":10 - } - ] - }, - "channel":"ok_futureusd_orderinfo" - } - """ - def onFutureOrderInfo(self, ws_data): - """ - 所有委托信息查询响应 - :param ws_data: - :return: - """ - error_code = ws_data.get('error_code') - if error_code is not None: - self.gateway.writeError(u'期货委托查询报错:{}'.format(FUTURES_ERROR_DICT.get(error_code)), error_id=error_code) - self.gateway.writeLog(u'FutureApi.onFutureOrderInfo:{}'.format(ws_data)) - return - - data = ws_data.get("data", {}) - - for order_data in data.get('orders', []): - orderId = str(order_data['order_id']) - localNo = str(self.localNo) - - if orderId not in self.orderIdDict: - # orderId 不在本地缓存中，需要增加一个绑定关系 - while str(self.localNo) in self.localNoDict: - self.localNo += 1 - localNo = str(self.localNo) - # 绑定localNo 与 orderId - self.localNoDict[localNo] = orderId - self.orderIdDict[orderId] = localNo - self.writeLog(u'onFutureOrderInfo add orderid: local:{}<=>okex:{}'.format(localNo,orderId)) - else: - # orderid在本地缓存中， - localNo = self.orderIdDict[orderId] - # 检验 localNo是否在本地缓存，没有则补充 - if localNo not in self.localNoDict: - self.localNoDict[localNo] = orderId - self.writeLog(u'onFutureOrderInfo update orderid: local:{}<=>okex:{}'.format(localNo, orderId)) - - # order新增或更新在orderDict - if orderId not in self.orderDict: - order = VtOrderData() - order.gatewayName = self.gatewayName - contract_name = order_data["contract_name"] - dic_info = self.contract_name_dict[contract_name] - - use_contract_type = dic_info["contract_type"] - order.symbol = '.'.join([order_data["symbol"] + ":" + use_contract_type + ":" + str(self._use_leverage), EXCHANGE_OKEX]) - - order.vtSymbol = order.symbol - order.orderID = self.orderIdDict[orderId] # 更新orderId为本地的序列号 - order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) - - order.price = order_data.get('price') - #volume_rate = 100 if order.symbol.startswith('btc') else 10 - order.totalVolume = order_data.get('amount') - order.direction, order.offset = priceContractOffsetTypeMap.get(str(order_data.get('type'))) - order.orderTime = datetime.now().strftime("%H:%M:%S.%f") - self.orderDict[orderId] = order - self.gateway.writeLog(u'新增本地orderDict缓存,okex orderId:{},order.orderid:{}'.format(orderId, order.orderID)) - else: - order = self.orderDict[orderId] - - order.tradedVolume = order_data['deal_amount'] - order.status = statusMap[int(order_data['status'])] - # 推送期货委托单到vtGatway.OnOrder中 - self.gateway.onOrder(copy(order)) - - ''' - [{ - "data":{ - amount:1 - contract_id:20170331115, - contract_name:"LTC0331", - contract_type:"this_week", - create_date:1490583736324, - create_date_str:"2017-03-27 11:02:16", - deal_amount:0, - fee:0, - lever_rate:20, - orderid:5058491146, - price:0.145, - price_avg:0, - status:0, - system_type:0, - type:1, - unit_amount:10, - user_id:101 - }, - "channel":"ok_sub_futureusd_trades" - } - ] -实际数据 - ok_sub_futureusd_trades -{u'binary': 0, u'data': {u'orderid': 230874269033472L, u'contract_name': u'ETC0216', u'fee': 0.0, u' -user_id': 6548935, u'contract_id': 201802160040063L, u'price': 24.555, u'create_date_str': u'2018-02 --10 18:34:21', u'amount': 1.0, u'status': 0, u'system_type': 0, u'unit_amount': 10.0, u'price_avg': -0.0, u'contract_type': u'this_week', u'create_date': 1518258861775L, u'lever_rate': 10.0, u'type': 1 -, u'deal_amount': 0.0}, u'channel': u'ok_sub_futureusd_trades'} -ok_sub_futureusd_trades -{u'binary': 0, u'data': {u'orderid': 230874269033472L, u'contract_name': u'ETC0216', u'fee': 0.0, u' -user_id': 6548935, u'contract_id': 201802160040063L, u'price': 24.555, u'create_date_str': u'2018-02 --10 18:34:21', u'amount': 1.0, u'status': 0, u'system_type': 0, u'unit_amount': 10.0, u'price_avg': -0.0, u'contract_type': u'this_week', u'create_date': 1518258861775L, u'lever_rate': 10.0, u'type': 1 -, u'deal_amount': 0.0}, u'channel': u'ok_sub_futureusd_trades'} - ''' - - # ---------------------------------------------------------------------- - def onFutureSubTrades(self, ws_data): - """ - 交易信息回报 - :param ws_data: - :return: - """ - error_code = ws_data.get('error_code') - if error_code is not None: - self.gateway.writeError(u'期货交易报错:{}'.format(FUTURES_ERROR_DICT.get(error_code)), error_id=error_code) - self.gateway.writeLog(u'FutureApi.onFutureSubTrades:{}'.format(ws_data)) - return - - data = ws_data.get("data") - if data is None: - self.gateway.writeError(u'期货交易报错:No data') - self.gateway.writeLog(u'FutureApi.onFutureSubTrades: not data {}'.format(ws_data)) - return - - orderId = str(data["orderid"]) # okex的委托编号 - use_contract_type = data["contract_type"] # 合约类型 - - localNo = self.orderIdDict.get(orderId, None) # 本地委托编号 - - if localNo == None: - self.gateway.writeError(u'期货交易回报，非本地发出:orderid={}'.format(orderId)) - self.gateway.writeLog(u'FutureApi.onFutureSubTrades: not localNo,bypassing this trade {}'.format(ws_data)) - return - - # 委托信息,如果不在本地缓存，创建一个 + data = ws_data[0] + orderId = str(data["client_oid"]) # okex的委托编号 if orderId not in self.orderDict: + symbol = data['instrument_id'] # 自动添加_usd结尾 order = VtOrderData() order.gatewayName = self.gatewayName - contract_name = data.get("contract_name") - contract_info = self.contract_name_dict.get(contract_name) - if contract_info is None: - self.gateway.writeError(u'期货交易回报，找不到合约的登记信息') - self.gateway.writeLog(u'no contract_name:{} in self.contract_name_dict'.format(contract_name)) - return - - symbol = contract_info["symbol"] + "_usd" # 自动添加_usd结尾 - future_symbol = ':'.join([symbol, use_contract_type, str(self._use_leverage)]) # 满足格式 - order.symbol = '.'.join([future_symbol, EXCHANGE_OKEX]) # 合约.OKE - order.vtSymbol = order.symbol - order.orderID = localNo + order.symbol = symbol # 合约.OKE + order.vtSymbol = self.gatewayName + '.' + symbol + order.orderID = orderId order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.price = float(data['price']) - order.totalVolume = float(data['amount']) + order.totalVolume = int(data['size']) + order.tradedVolume = int(data['filled_qty']) order.direction, order.offset = priceContractOffsetTypeMap[str(data['type'])] - order.tradedVolume = float(data['deal_amount']) - order.status = statusMap[data['status']] + order.status = statusMap[int(data['status'])] self.orderDict[orderId] = order - self.gateway.writeLog(u'新增order,orderid:{},symbol:{},data:{}'.format(order.orderID,order.symbol,data)) else: - # 更新成交数量/状态 order = self.orderDict[orderId] - - self.gateway.writeLog(u'orderid:{},tradedVolume:{}=>{},status:{}=>{}' - .format(order.orderID, - order.tradedVolume, float(data['deal_amount']), - order.status, statusMap[data['status']])) - order.tradedVolume = float(data['deal_amount']) - order.status = statusMap[data['status']] - - # 发出期货委托事件 + order.tradedVolume = float(data['filled_qty']) + order.status = statusMap[int(data['status'])] self.gateway.onOrder(copy(order)) - - # 判断成交数量是否有变化，有，则发出onTrade事件 bef_volume = self.recordOrderId_BefVolume.get(orderId, 0.0) - now_volume = float(data['deal_amount']) - bef_volume - + now_volume = float(data['filled_qty']) - bef_volume if now_volume > 0.000001: - self.recordOrderId_BefVolume[orderId] = float(data['deal_amount']) + self.recordOrderId_BefVolume[orderId] = float(data['filled_qty']) trade = VtTradeData() trade.gatewayName = self.gatewayName trade.symbol = order.symbol - trade.vtSymbol = order.symbol + trade.vtSymbol = order.symbol # + '.{}'.format(EXCHANGE_OKEX) self.tradeID += 1 trade.tradeID = str(self.tradeID) trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) - trade.orderID = localNo - trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) - - trade.price = float(data['price']) + trade.orderID = orderId + trade.vtOrderID = 'OKEX_1.' + orderId + trade.price = float(data['price_avg']) trade.volume = float(now_volume) - trade.direction, trade.offset = priceContractOffsetTypeMap[str(data['type'])] - - trade.tradeTime = (data["create_date_str"].split(' '))[1] # u'2018-02-10 18:34:21 - + times = data['timestamp'] + timea, timeb, times = self.generateDateTime(times) + trade.tradeTime = times self.gateway.onTrade(trade) - def onFutureSubDeals(self,ws_data): - """市场上所有得合约成交""" - pass - - ''' - # Response - OKEX的合约是OKEX推出的以BTC/LTC等币种进行结算的虚拟合约产品，每一张合约分别代表100美元的BTC，或10美元的其他币种（LTC,ETH等） - -逐仓信息 - [{ - "data":{ - "balance":10.16491751, - "symbol":"ltc_usd", - "contracts":[ - { - "bond":0.50922987, - "balance":0.50922987, - "profit":0, - "freeze":1.72413792, - "contract_id":20170331115, - "available":6.51526374 - }, - { - "bond":0, - "balance":0, - "profit":0, - "freeze":1.64942529, - "contract_id":20170407135, - "available":6.51526374 - }, - { - "bond":0, - "balance":0, - "profit":0, - "freeze":0.27609056, - "contract_id":20170630116, - "available":6.51526374 - } - ] - }, - "channel":"ok_sub_futureusd_userinfo" - }] -全仓信息 -[{ - "data":{ - "balance":0.2567337, - "symbol":"btc_usd", - "keep_deposit":0.0025, - "profit_real":-0.00139596, - "unit_amount":100 - }, - "channel":"ok_sub_futureusd_userinfo" -}] - -信息 -{u'binary': 0, u'data': {u'contracts': [{u'available': 4.96199982, u'contract_id': 201802160040063L, - u'profit': -0.01800018, u'freeze': 0.0, u'balance': 0.01800018, u'bond': 0.0}], u'symbol': u'etc_us -d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'} - ''' - - # ---------------------------------------------------------------------- - def onFutureSubUserinfo(self, ws_data): + def onFuturePositionInfo(self, ws_data): """ - 子账户持仓信息回报 + ws， 接收账户持仓信息(onPosition) + 针对单币种的持仓信息回调函数 :param ws_data: :return: """ - u_inf = ws_data['data'] - self.gateway.writeLog(u'onFutureSubUserinfo:{}'.format(ws_data)) - if "account_rights" in u_inf.keys(): - # 说明是 全仓返回 - pass - # account = VtAccountData() - # account.gatewayName = self.gatewayName - # account.accountID = self.gatewayName - # account.vtAccountID = account.accountID - # account.balance = float(u_inf["account_rights"]) - # self.gateway.onAccount(account) - else: - pass - # 感觉这里不是很有用。。。 遂放弃 - - # 说明是逐仓返回 - - # t_contracts = u_inf["contracts"] - # t_symbol = u_inf["symbol"].replace('_usd',"") - # for one_contract in t_contracts: - # account = VtAccountData() - # account.gatewayName = self.gatewayName - # account.accountID = self.gatewayName - - # pos = VtPositionData() - # pos.gatewayName = self.gatewayName - # #pos.symbol = t_symbol + "_usd:%s:%s.%s" % ( one_contract["contract_type"], self._use_leverage,EXCHANGE_OKEX) - # pos.symbol = self.contractIdToSymbol[one_contract["contract_id"]] - # pos.vtSymbol = pos.symbol - # pos.direction = DIRECTION_NET - # pos.frozen = float(one_contract["freeze"]) - # pos.position = pos.frozen + float(one_contract["balance"]) - - # self.gateway.onPosition(pos) - - def get_future_position(self,symbol,contractType): - """ - 全仓用户持仓查询 - https://github.com/okcoin-okex/API-docs-OKEx.com/blob/master/API-For-Futures-CN/%E5%90%88%E7%BA%A6%E4%BA%A4%E6%98%93REST%20API.md - - :return: - """ - try: - future_rest = OKCoinFuture(url=OKEX_FUTURE_HOST, apikey=self.gateway.apiKey, secretkey=self.gateway.secretKey) - resp = future_rest.future_position(symbol, contractType) - result = json.loads(resp) - except Exception as ex: - self.writeLog(u'get_future_position异常:{},{}'.format(str(ex),traceback.format_exc())) - result = {'result':False} - return result - - def get_future_position_4fix(self,symbol,contractType,type1): - """ - 逐仓用户持仓查询 - https://github.com/okcoin-okex/API-docs-OKEx.com/blob/master/API-For-Futures-CN/%E5%90%88%E7%BA%A6%E4%BA%A4%E6%98%93REST%20API.md - - :return: - """ - try: - future_rest = OKCoinFuture(url = OKEX_FUTURE_HOST,apikey=self.gateway.apiKey,secretkey=self.gateway.secretKey) - resp = future_rest.future_position_4fix(symbol,contractType,type1) - result = json.loads(resp) - except Exception as ex: - self.writeLog(u'get_future_position_4fix异常:{},{}'.format(str(ex), traceback.format_exc())) - result = {'result': False} - return result - - ''' - [{ - "data":{ - "positions":[ - { - "position":"1", - "contract_name":"BTC0630", - "costprice":"994.89453079", - "bondfreez":"0.0025", - "avgprice":"994.89453079", - "contract_id":20170630013, - "position_id":27782857, - "eveningup":"0", - "hold_amount":"0", - "margin":0, - "realized":0 - }, - { - "position":"2", - "contract_name":"BTC0630", - "costprice":"1073.56", - "bondfreez":"0.0025", - "avgprice":"1073.56", - "contract_id":20170630013, - "position_id":27782857, - "eveningup":"0", - "hold_amount":"0", - "margin":0, - "realized":0 - } - ], - "symbol":"btc_usd", - "user_id":101 - }, - "channel":"ok_sub_futureusd_positions" -}] -逐仓返回 -[{ - "data":{ - "positions":[ - { - "position":"1", - "profitreal":"0.0", - "contract_name":"LTC0407", - "costprice":"0.0", - "bondfreez":"1.64942529", - "forcedprice":"0.0", - "avgprice":"0.0", - "lever_rate":10, - "fixmargin":0, - "contract_id":20170407135, - "balance":"0.0", - "position_id":27864057, - "eveningup":"0.0", - "hold_amount":"0.0" - }, - { - "position":"2", - "profitreal":"0.0", - "contract_name":"LTC0407", - "costprice":"0.0", - "bondfreez":"1.64942529", - "forcedprice":"0.0", - "avgprice":"0.0", - "lever_rate":10, - "fixmargin":0, - "contract_id":20170407135, - "balance":"0.0", - "position_id":27864057, - "eveningup":"0.0", - "hold_amount":"0.0" - } - "symbol":"ltc_usd", - "user_id":101 - }] - - 实际返回的数据 - - {u'binary': 0, u'data': - {u'positions': - [{u'contract_name': u'ETC0216', u'balance': 0.01606774, u'contract_id': 201802160040063L, u'fixmargin': 0.0, - u'position_id': 73790127, u'avgprice': 24.46, u'eveningup': 0.0, u'profitreal': -0.01606774, - u'hold_amount': 0.0, u'costprice': 24.46, u'position': 1, u'lever_rate': 10, u'bondfreez': 0.04085301, u'forcedprice': 0.0}, - - {u'contract_name': u'ETC0216', u'balance': 0.01606774, u'contract_id': 201802160040063L, u'fixmargin': 0.0, - u'position_id': 73790127,u'avgprice': 0.0, u'eveningup': 0.0, u'profitreal': -0.01606774, - u'hold_amount': 0.0, u'costprice':0.0, u'position': 2, u'lever_rate': 10, u'bondfreez': 0.04085301, u'forcedprice': 0.0}, - {u'contract_name': u'ETC0216', u'balance': 0.01606774, u'contract_id': 201802160040063L, u'fixmargin': 0.0, - u'position_id': 73790127, u'avgprice': 0.0, u'eveningup': 0.0, u'profitreal': -0.01606774, u'hold_amount': 0.0, - u'costprice': 0.0, u'position': 1, u'lever_rate': 20, u'bondfreez': 0.04085301, u'forcedprice': 0.0}, - {u'contract_name': u'ETC0216', u'balance': 0.01606774, u'contract_id': 201802160040063L, u'fixmargin': - 0.0, u'position_id': 73790127, u'avgprice': 0.0, u'eveningup': 0.0, u'profitreal': -0.01606774, - u'hold_amount': 0.0, u'costprice': 0.0, u'position': 2, u'lever_rate': 20, u'bondfreez': 0.04085301, u'forcedprice': 0.0}], - u'symbol': u'etc_usd', u'user_id': 6548935}, u'channel': u'ok_sub_futureusd_positions'} - ''' - - # ---------------------------------------------------------------------- - def onFutureSubPositions(self, ws_data): - """期货子账号仓位推送""" - # 这个逐仓才是实际的仓位 ！！ - - data = ws_data.get("data") - if data is None: - self.gateway.writeError(u'onFutureSubPositions: no data in :{}'.format(ws_data)) - return - - symbol = data.get('symbol') - user_id = data.get('user_id') - - positions = data["positions"] - for inf in positions: - if 'fixmargin' in inf.keys(): - # 逐仓模式 - contract_name = inf["contract_name"] - position_leverage = str(inf["lever_rate"]) - - # print contract_name , position_leverage , self._use_leverage - if int(position_leverage) == int(self._use_leverage): - dic_inf = self.contract_name_dict[contract_name] - use_contract_type = dic_inf["contract_type"] - - # print dic_inf - pos = VtPositionData() - pos.gatewayName = self.gatewayName #+ u'_Future' - - if int(inf["position"]) == 1: - pos.direction = DIRECTION_LONG - else: - pos.direction = DIRECTION_SHORT - contract_symbol = symbol + ":" + use_contract_type + ":" + position_leverage - pos.symbol = contract_symbol + "." + EXCHANGE_OKEX - pos.vtSymbol = pos.symbol - pos.vtPositionName = pos.symbol + "." + pos.direction - - # 如果此合约不在已订阅清单中，重新订阅 - if contract_symbol not in self.registered_symbols: - v = VtSubscribeReq() - v.symbol = contract_symbol - self.subscribe(v) - - # 获取实时价格 - tick = self.tickDict.get(symbol + ":" + use_contract_type + ":" +position_leverage, None) - pos.price = float(inf.get('avgprice', 0.0)) - price = pos.price if tick is None else tick.lastPrice - if price == 0.0: - continue - - pos.frozen = float(inf.get("hold_amount",0.0)) - float(inf.get('eveningup',0.0)) - pos.position = float(inf.get("hold_amount",0.0)) - pos.positionProfit = float(inf.get("profitreal",0.0)) - # print inf , pos.symbol - self.gateway.onPosition(pos) - else: - # 全仓模式 - # 通过合约名称，获取合约类型 - contract_name = inf["contract_name"] - dic_inf = self.contract_name_dict[contract_name] - use_contract_type = dic_inf.get("contract_type") - - # + if isinstance(ws_data, list): + data = ws_data[0] # 针对交割 + if 'long_qty' in data and int(data['long_qty']) != 0: # 交割 pos = VtPositionData() - pos.gatewayName = self.gatewayName #+ u'_Future' - - # 持仓合约的方向 - pos.direction = DIRECTION_LONG if int(inf.get("position",0)) == 1 else DIRECTION_SHORT - - pos.symbol = symbol + ":" + use_contract_type + ":" + str(self._use_leverage) + "." + EXCHANGE_OKEX - pos.vtSymbol = pos.symbol - pos.vtPositionName = pos.symbol + "." + pos.direction - - # 获取实时价格 - tick = self.tickDict.get(symbol + ":" + use_contract_type + ":" + str(self._use_leverage),None) - pos.price = float(inf.get('costprice', 0.0)) - price = pos.price if tick is None else tick.lastPrice - if price == 0.0: - continue - # 计算持仓量/冻结量： 100(或10) * hold_amount/ 价格 - - pos.frozen = (float(inf.get('hold_amount',0.0)) - float(inf.get('eveningup',0.0))) - pos.position = float(inf.get('hold_amount',0.0)) - pos.positionProfit = float(inf.get('realized',0.0)) - - # print inf , pos.symbol + pos.gatewayName = self.gatewayName # + u'_Future' + pos.symbol = data['instrument_id'] + pos.vtSymbol = self.gatewayName + '.' + pos.symbol + pos.position = float(data['long_qty']) + pos.price = float(data['long_avg_cost']) + pos.direction = DIRECTION_LONG + pos.leverage = int(data['leverage']) + pos.margin_mode = data['margin_mode'] + pos.positionProfit = data['realised_pnl'] self.gateway.onPosition(pos) + if 'short_qty' in data and int(data['short_qty']) != 0: + pos = VtPositionData() + pos.gatewayName = self.gatewayName # + u'_Future' + pos.symbol = data['instrument_id'] + pos.vtSymbol = self.gatewayName + '.' + pos.symbol + pos.position = float(data['short_qty']) + pos.price = float(data['short_avg_cost']) + pos.direction = DIRECTION_SHORT + pos.leverage = int(data['leverage']) + pos.margin_mode = data['margin_mode'] + pos.positionProfit = data['realised_pnl'] + self.gateway.onPosition(pos) + else: + self.gateway.writeLog(u'onFuturePositionInfo 其他信息') - # ---------------------------------------------------------------------- - def futureSendOrder(self, req): + def onFutureAccountInfo(self, ws_data): """ - 发委托单 + ws, 接收账户信息 + 推送，账户信息（onAccount) + 合约账户信息推送（账户权益/已实现盈亏/未实现盈亏/可用/已用/冻结） + :param ws_data: + :return: # TODO: 交割和永续注意一下 + """ + # if isinstance(ws_data,list): + data = ws_data[0] + try: + symbol = data['instrument_id'] + account = VtAccountData() + account.accountID = symbol + account.vtAccountID = self.gatewayName + '.' + account.accountID + account.gatewayName = self.gatewayName + account.balance = float(data['equity']) # 账户权益 + account.closeProfit = float(data['realized_pnl']) + account.positionProfit = float(data['unrealized_pnl']) + account.available = float(data['total_avail_balance']) + account.margin_mode = 'crossed' if data['margin_mode'] == 'crossed' else 'fixed' + self.gateway.onAccount(account) + except: + for symbol, s_inf in data.items(): + account = VtAccountData() + account.gatewayName = self.gatewayName + account.balance = float(s_inf['equity']) # 账户权益 + account.closeProfit = float(s_inf['realized_pnl']) + account.positionProfit = float(s_inf['unrealized_pnl']) + account.margin = float(s_inf['margin']) # 保证金 + account.available = float(s_inf['total_avail_balance']) + account.margin_mode = 'crossed' if s_inf['margin_mode'] == 'crossed' else 'fixed' + account_list = [] + for num, key in enumerate(self.contractInfo.keys()): + if symbol in key and 'SWAP' not in key: + account.accountID = key + account.vtAccountID = self.gatewayName + '.' + account.accountID + account_list.append(key) + for account in account_list: # TODO:这里不能对交割合约进行发送account信息 + self.gatewayName.onAccount(account) + + def sendFutureSendOrder(self, req): + """ + 发送委托 :param req: :return: """ @@ -3229,83 +1811,73 @@ d', u'balance': 4.96199982}, u'channel': u'ok_sub_futureusd_userinfo'} self.writeLog(u'futureSendOrder 请求合约代码格式错误:{},exception:{},{}'.format(req.symbol,str(ex),traceback.format_exc())) return '' - # print symbol_pair(例如:btc_usd) , symbol(btc), contract_type(this_week) , leverage(10) + # symbol_pair(例如:btc_usd) , symbol(btc), contract_type(this_week) , leverage(10) type_ = priceContractTypeMapReverse[(req.direction, req.offset)] - self.writeLog(u'futureSendOrder:{},{},{},{},{}'.format(symbol_pair, symbol, contract_type, leverage, type_)) + self.writeLog(u'futureSendOrder:{},price:{},num:{},type:{}'.format(symbol, req.price, req.volume, type_)) # 本地委托号加1，并将对应字符串保存到队列中，返回基于本地委托号的vtOrderID self.localNo += 1 - self.localNoQueue.put(str(self.localNo)) - vtOrderID = '.'.join([self.gatewayName, str(self.localNo)]) - self.writeLog(u'futureSendOrder:创建本地订单:orderId:{}'.format(vtOrderID)) + localNo = 'Aa'+ str(self.loginTime + self.localNo) + self.localNoQueue.put(str(localNo)) + vtOrderID = "{}.{}".format(self.gatewayName, localNo) + self.writeLog(u'futureSendOrder:创建本地订单:orderId:{}'.format(localNo)) order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = symbol - order.vtSymbol = order.symbol - order.orderID = self.localNo + order.vtSymbol = "{}.{}".format(symbol, EXCHANGE_OKEX) + order.orderID = localNo order.vtOrderID = vtOrderID order.price = req.price order.totalVolume = req.volume order.direction = req.direction order.offset = req.offset order.status = STATUS_NOTTRADED - dt = datetime.now() - order.orderTime = dt.strftime("%H:%M:%S.%f") - self.localOrderDict[vtOrderID] = order - - # 100美金（btc）；10美金（其他）/每份合约 - volume_rate = 100 if symbol.startswith('btc') else 10 - # 预计冻结的币量 - frozend_quote = (volume_rate/order.price) * req.volume - # 计算杠杆后的币量 - order_amount = frozend_quote * int(leverage) - - self.writeLog(u'futureSendOrder 发送:symbol:{},合约类型:{},交易类型:{},价格:{},合约委托数:{},预计冻结{}:{},期货总额:{}'. - format(symbol + "_usd", contract_type , type_ , str(req.price), str(req.volume), - frozend_quote,symbol,order_amount,symbol)) + order.orderTime = datetime.now().strftime("%H:%M:%S.%f") + self.localOrderDict[localNo] = order try: - - #orginal_volume = req.volume - #amount = round((req.volume * req.price)/volume_rate) - #req.volume = 1 if amount== 0 else amount - #self.writeLog(u'转换为ok合约数:{}=>{}'.format(orginal_volume, req.volume)) - self.futureTrade(symbol + "_usd", contract_type, type_, str(req.price), str(req.volume), - _lever_rate=self._use_leverage) - + self.futureTrade(symbol, type_, str(req.price), str(req.volume), order_id=localNo) return vtOrderID except Exception as ex: self.gateway.writeError(u'futureSendOrder发送委托失败:{}'.format(str(ex))) self.writeLog(u'futureSendOrder发送委托失败.{}'.format(traceback.format_exc())) - return '' - # ---------------------------------------------------------------------- - def futureCancel(self, req): + return False + + def sendFutureCancelOrder(self, req): """ 发出撤单请求 :param req: :return: """ - try: - (symbol_pair, symbol, contract_type, leverage) = self.dealSymbolFunc(req.symbol) - except Exception as ex: - self.writeLog(u'futureCancel 异常:{}'.format(str(ex))) - return - localNo = req.orderID - - if localNo in self.localNoDict: - # 找出okex的委托流水号 - orderID = self.localNoDict[localNo] - # 调用接口发出撤单请求 - self.futureCancelOrder(symbol + "_usd", orderID, contract_type) + status, response = self.queryFutureCancelOrder(req.symbol, localNo) + if status: + self.gateway.writeLog(u'撤单成功') + self.treatFutureOrderCancel(response) + return True else: - # 如果在系统委托号返回前客户就发送了撤单请求，则保存 - # 在cancelDict字典中，等待返回后执行撤单任务 - self.cancelDict[localNo] = req + self.gateway.writeLog(u'撤单失败') + return False + + def treatFutureOrderCancel(self, ws_data): + """ + 委托撤单的响应 + :param ws_data: + :return: + """ + ok_order_id = ws_data.get('client_oid','') + order = self.orderDict[ok_order_id] + dt = datetime.now() + order.cancelTime = dt.strftime("%H:%M:%S.%f") + order.status = STATUS_CANCELLED + self.gateway.onOrder(order) - # ---------------------------------------------------------------------- def generateDateTime(self, s): """生成时间""" - dt = datetime.fromtimestamp(float(s) / 1e3) + s = s.split('.')[0] + s = s.split('T')[0]+u' '+s.split('T')[1] + s = td.mktime(td.strptime(s, "%Y-%m-%d %H:%M:%S")) + s = s + 60*60*8 + dt = datetime.fromtimestamp(s) time = dt.strftime("%H:%M:%S.%f") date = dt.strftime("%Y%m%d") return date, time,dt