Merge branch 'dev-gateios' into gateiof_gateway

README.md

@@ -14,7 +14,7 @@
 
 vn.py是一套基于Python的开源量化交易系统开发框架，于2015年1月正式发布，在开源社区5年持续不断的贡献下一步步成长为全功能量化交易平台，目前国内外金融机构用户已经超过300家，包括：私募基金、证券自营和资管、期货资管和子公司、高校研究机构、自营交易公司、交易所、Token Fund等。
 
-**傻瓜式入门教程**已经在官方微信公众号[**vnpy-community**]全新上线，新手使用过程中有任何疑问看这个解决是最快的，后续会不断增加进阶经验、发布公告、活动报名等功能，请扫描下方二维码关注：
+全新的《vn.py全实战进阶》在线课程，已经在官方微信公众号[**vnpy-community**]上线，50节内容覆盖从策略设计开发、参数回测优化，到最终实盘自动交易的完整CTA量化业务流程。购买请扫描下方二维码关注后，点击菜单栏的【进阶课程】按钮即可：
 
 <p align="center">
   <img src ="https://vnpy.oss-cn-shanghai.aliyuncs.com/vnpy_qr.jpg"/>

examples/vn_trader/run.py

@@ -29,6 +29,7 @@ from vnpy.gateway.okexs import OkexsGateway
 # from vnpy.gateway.alpaca import AlpacaGateway
 from vnpy.gateway.da import DaGateway
 from vnpy.gateway.coinbase import CoinbaseGateway
+from vnpy.gateway.bitstamp import BitstampGateway
 
 from vnpy.app.cta_strategy import CtaStrategyApp
 # from vnpy.app.csv_loader import CsvLoaderApp
@@ -73,7 +74,8 @@ def main():
     # main_engine.add_gateway(AlpacaGateway)
     # main_engine.add_gateway(OkexsGateway)
     # main_engine.add_gateway(DaGateway)
-    main_engine.add_gateway(CoinbaseGateway)
+    # main_engine.add_gateway(CoinbaseGateway)
+    main_engine.add_gateway(BitstampGateway)
 
     main_engine.add_app(CtaStrategyApp)
     main_engine.add_app(CtaBacktesterApp)

vnpy/gateway/bitstamp/__init__.py

@@ -0,0 +1 @@
+from .bitstamp_gateway import BitstampGateway

vnpy/gateway/bitstamp/bitstamp_gateway.py

@@ -0,0 +1,639 @@
+"""
+Author: Wudi
+"""
+
+import hashlib
+import hmac
+import sys
+import time
+import uuid
+from copy import copy
+from datetime import datetime
+from urllib.parse import urlencode
+from typing import Dict
+
+import requests
+
+from vnpy.api.rest import Request, RestClient, RequestStatus
+from vnpy.api.websocket import WebsocketClient
+
+from vnpy.trader.constant import (
+    Direction,
+    Exchange,
+    OrderType,
+    Product,
+    Status
+)
+from vnpy.trader.gateway import BaseGateway, LocalOrderManager
+from vnpy.trader.object import (
+    TickData,
+    OrderData,
+    TradeData,
+    AccountData,
+    ContractData,
+    OrderRequest,
+    CancelRequest,
+    SubscribeRequest,
+    HistoryRequest
+)
+
+from vnpy.trader.event import EVENT_TIMER
+
+
+REST_HOST = "https://www.bitstamp.net/api/v2"
+WEBSOCKET_HOST = "wss://ws.bitstamp.net"
+
+DIRECTION_BITSTAMP2VT = {
+    "0": Direction.LONG,
+    "1": Direction.SHORT,
+}
+
+
+symbol_name_map = {}
+name_symbol_map = {}
+
+
+class BitstampGateway(BaseGateway):
+    """
+    VN Trader Gateway for BITSTAMP connection.
+    """
+
+    default_setting = {
+        "key": "",
+        "secret": "",
+        "username": "",
+        "proxy_host": "127.0.0.1",
+        "proxy_port": 1080,
+    }
+
+    exchanges = [Exchange.BITSTAMP]
+
+    def __init__(self, event_engine):
+        """Constructor"""
+        super().__init__(event_engine, "BITSTAMP")
+
+        self.order_manager = LocalOrderManager(self)
+
+        self.rest_api = BitstampRestApi(self)
+        self.ws_api = BitstampWebsocketApi(self)
+
+    def connect(self, setting: dict):
+        """"""
+        key = setting["key"]
+        secret = setting["secret"]
+        username = setting["username"]
+        proxy_host = setting["proxy_host"]
+        proxy_port = setting["proxy_port"]
+
+        self.rest_api.connect(key, secret, username, proxy_host, proxy_port)
+        self.ws_api.connect(proxy_host, proxy_port)
+
+        self.event_engine.register(EVENT_TIMER, self.process_timer_event)
+
+    def subscribe(self, req: SubscribeRequest):
+        """"""
+        self.ws_api.subscribe(req)
+
+    def send_order(self, req: OrderRequest):
+        """"""
+        return self.rest_api.send_order(req)
+
+    def cancel_order(self, req: CancelRequest):
+        """"""
+        self.rest_api.cancel_order(req)
+
+    def query_account(self):
+        """"""
+        pass
+
+    def query_position(self):
+        """"""
+        pass
+
+    def query_history(self, req: HistoryRequest):
+        """"""
+        pass
+
+    def close(self):
+        """"""
+        self.rest_api.stop()
+        self.ws_api.stop()
+
+    def process_timer_event(self, event):
+        """"""
+        self.rest_api.query_account()
+
+
+class BitstampRestApi(RestClient):
+    """
+    Bitstamp REST API
+    """
+
+    def __init__(self, gateway: BaseGateway):
+        """"""
+        super(BitstampRestApi, self).__init__()
+
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+        self.order_manager = gateway.order_manager
+
+        self.key = ""
+        self.secret = ""
+        self.username = "qxfe9863"
+
+        self.order_count = 1_000_000
+        self.connect_time = 0
+
+    def connect(
+        self,
+        key: str,
+        secret: str,
+        username: str,
+        proxy_host: str,
+        proxy_port: int,
+    ):
+        """
+        Initialize connection to REST server.
+        """
+        self.key = key
+        self.secret = secret.encode()
+        self.username = username
+
+        self.connect_time = (
+            int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count
+        )
+
+        self.init(REST_HOST, proxy_host, proxy_port)
+        self.start(3)
+
+        self.gateway.write_log("REST API启动成功")
+
+        self.query_contract()
+        self.query_account()
+
+    def sign(self, request: Request):
+        """
+        Sign Bitstamp request.
+        """
+        if request.method == "GET":
+            return request
+
+        timestamp = str(int(round(time.time() * 1000)))
+        nonce = str(uuid.uuid4())
+        content_type = "application/x-www-form-urlencoded"
+
+        # Empty post data leads to API0020 error,
+        # so use this offset dict instead.
+        if not request.data:
+            request.data = {"offset": "1"}
+
+        payload_str = urlencode(request.data)
+
+        message = "BITSTAMP " + self.key + \
+            request.method + \
+            "www.bitstamp.net/api/v2" + \
+            request.path + \
+            "" + \
+            content_type + \
+            nonce + \
+            timestamp + \
+            "v2" + \
+            payload_str
+        message = message.encode("utf-8")
+
+        signature = hmac.new(
+            self.secret,
+            msg=message,
+            digestmod=hashlib.sha256
+        ).hexdigest().upper()
+
+        request.headers = {
+            "X-Auth": "BITSTAMP " + self.key,
+            "X-Auth-Signature": signature,
+            "X-Auth-Nonce": nonce,
+            "X-Auth-Timestamp": timestamp,
+            "X-Auth-Version": "v2",
+            "Content-Type": content_type
+        }
+        request.data = payload_str
+
+        return request
+
+    def _process_request(
+        self, request: Request
+    ):
+        """
+        Bistamp API server does not support keep-alive connection.
+        So when using session.request will cause header related error.
+        Reimplement this method to use requests.request instead.
+        """
+        try:
+            request = self.sign(request)
+
+            url = self.make_full_url(request.path)
+
+            response = requests.request(
+                request.method,
+                url,
+                headers=request.headers,
+                params=request.params,
+                data=request.data,
+                proxies=self.proxies,
+            )
+            request.response = response
+            status_code = response.status_code
+            if status_code // 100 == 2:  # 2xx codes are all successful
+                if status_code == 204:
+                    json_body = None
+                else:
+                    json_body = response.json()
+
+                request.callback(json_body, request)
+                request.status = RequestStatus.success
+            else:
+                request.status = RequestStatus.failed
+
+                if request.on_failed:
+                    request.on_failed(status_code, request)
+                else:
+                    self.on_failed(status_code, request)
+        except Exception:
+            request.status = RequestStatus.error
+            t, v, tb = sys.exc_info()
+            if request.on_error:
+                request.on_error(t, v, tb, request)
+            else:
+                self.on_error(t, v, tb, request)
+
+    def query_order(self):
+        """"""
+        path = "/open_orders/all/"
+
+        self.add_request(
+            method="POST",
+            path=path,
+            callback=self.on_query_order
+        )
+
+    def on_query_order(self, data, request):
+        """获取委托订单"""
+        for d in data:
+            sys_orderid = d["id"]
+            local_orderid = self.order_manager.get_local_orderid(sys_orderid)
+
+            direction = DIRECTION_BITSTAMP2VT[d["type"]]
+            name = d["currency_pair"]
+            symbol = name_symbol_map[name]
+
+            order = OrderData(
+                orderid=local_orderid,
+                symbol=symbol,
+                exchange=Exchange.BITSTAMP,
+                price=float(d["price"]),
+                volume=float(d["amount"]),
+                traded=float(0),
+                direction=direction,
+                status=Status.NOTTRADED,
+                time=d["datetime"],
+                gateway_name=self.gateway_name,
+            )
+            self.order_manager.on_order(order)
+
+        self.gateway.write_log("委托信息查询成功")
+
+    def query_account(self):
+        """"""
+        path = "/balance/"
+
+        self.add_request(
+            method="POST",
+            path=path,
+            callback=self.on_query_account
+        )
+
+    def on_query_account(self, data, request):
+        """"""
+        for key in data.keys():
+            if "balance" not in key:
+                continue
+            currency = key.replace("_balance", "")
+
+            account = AccountData(
+                accountid=currency,
+                balance=float(data[currency + "_balance"]),
+                frozen=float(data[currency + "_reserved"]),
+                gateway_name=self.gateway_name
+            )
+            self.gateway.on_account(account)
+
+    def query_contract(self):
+        """"""
+        self.add_request(
+            method="GET",
+            path="/trading-pairs-info/",
+            callback=self.on_query_contract,
+        )
+
+    def on_query_contract(self, data, request):
+        """"""
+        for d in data:
+            pricetick = 1 / pow(10, d["counter_decimals"])
+            min_volume = 1 / pow(10, d["base_decimals"])
+
+            contract = ContractData(
+                symbol=d["url_symbol"],
+                exchange=Exchange.BITSTAMP,
+                name=d["name"],
+                product=Product.SPOT,
+                size=1,
+                pricetick=pricetick,
+                min_volume=min_volume,
+                history_data=False,
+                gateway_name=self.gateway_name,
+            )
+            self.gateway.on_contract(contract)
+
+            symbol_name_map[contract.symbol] = contract.name
+            name_symbol_map[contract.name] = contract.symbol
+
+        self.gateway.write_log("合约信息查询成功")
+
+        self.query_order()
+
+    def cancel_order(self, req: CancelRequest):
+        """"""
+        path = "/cancel_order/"
+
+        sys_orderid = self.order_manager.get_sys_orderid(req.orderid)
+
+        data = {"id": sys_orderid}
+
+        self.add_request(
+            method="POST",
+            path=path,
+            data=data,
+            callback=self.on_cancel_order,
+            extra=req
+        )
+
+    def on_cancel_order(self, data, request):
+        """"""
+        error = data.get("error", "")
+        if error:
+            self.gateway.write_log(error)
+            return
+
+        cancel_request = request.extra
+        local_orderid = cancel_request.orderid
+        order = self.order_manager.get_order_with_local_orderid(local_orderid)
+
+        if order.is_active:
+            order.status = Status.CANCELLED
+            self.order_manager.on_order(order)
+
+        self.gateway.write_log(f"撤单成功：{order.orderid}")
+
+    def on_cancel_order_error(self, data, request):
+        """"""
+        error_msg = data["error"]
+        self.gateway.write_log(f"撤单请求出错，信息：{error_msg}")
+
+    def send_order(self, req: OrderRequest):
+        """"""
+        local_orderid = self.order_manager.new_local_orderid()
+        order = req.create_order_data(
+            local_orderid,
+            self.gateway_name
+        )
+        order.time = datetime.now().strftime("%H:%M:%S")
+
+        data = {
+            "amount": req.volume,
+            "price": req.price
+        }
+
+        if req.direction == Direction.LONG:
+            if req.type == OrderType.LIMIT:
+                path = f"/buy/{req.symbol}/"
+            elif req.type == OrderType.MARKET:
+                path = f"/buy/market/{req.symbol}/"
+        else:
+            if req.type == OrderType.LIMIT:
+                path = f"/sell/{req.symbol}/"
+            elif req.type == OrderType.MARKET:
+                path = f"/sell/market/{req.symbol}/"
+
+        self.add_request(
+            method="POST",
+            path=path,
+            data=data,
+            callback=self.on_send_order,
+            extra=order,
+        )
+        self.order_manager.on_order(order)
+        return order.vt_orderid
+
+    def on_send_order(self, data, request):
+        """"""
+        order = request.extra
+
+        status = data.get("status", None)
+        if status and status == "error":
+            order.status = Status.REJECTED
+            self.order_manager.on_order(order)
+
+            msg = data["reason"]["__all__"][0]
+            self.gateway.write_log(msg)
+            return
+
+        sys_orderid = data["id"]
+        self.order_manager.update_orderid_map(order.orderid, sys_orderid)
+
+        order.status = Status.NOTTRADED
+        self.order_manager.on_order(order)
+
+    def on_send_order_error(
+        self, exception_type: type, exception_value: Exception, tb, request: Request
+    ):
+        """
+        Callback when sending order caused exception.
+        """
+        # Record exception if not ConnectionError
+        if not issubclass(exception_type, ConnectionError):
+            self.on_error(exception_type, exception_value, tb, request)
+
+    def on_failed(self, status_code: int, request: Request):
+        """
+        Callback to handle request failed.
+        """
+        data = request.response.json()
+        reason = data["reason"]
+        code = data["code"]
+
+        msg = f"{request.path} 请求失败，状态码：{status_code}，错误信息：{reason}，错误代码: {code}"
+        self.gateway.write_log(msg)
+
+    def on_error(
+        self, exception_type: type, exception_value: Exception, tb, request: Request
+    ):
+        """
+        Callback to handler request exception.
+        """
+        msg = f"触发异常，状态码：{exception_type}，信息：{exception_value}"
+        self.gateway.write_log(msg)
+
+        sys.stderr.write(
+            self.exception_detail(exception_type, exception_value, tb, request)
+        )
+
+
+class BitstampWebsocketApi(WebsocketClient):
+    """"""
+
+    def __init__(self, gateway):
+        """"""
+        super().__init__()
+
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+        self.order_manager = gateway.order_manager
+
+        self.subscribed: Dict[str, SubscribeRequest] = {}
+        self.ticks: Dict[str, TickData] = {}
+
+    def connect(self, proxy_host: str, proxy_port: int):
+        """"""
+        self.init(WEBSOCKET_HOST, proxy_host, proxy_port)
+        self.start()
+
+    def on_connected(self):
+        """"""
+        self.gateway.write_log("Websocket API连接成功")
+
+        # Auto re-subscribe market data after reconnected
+        for req in self.subscribed.values():
+            self.subscribe(req)
+
+    def subscribe(self, req: SubscribeRequest):
+        """"""
+        self.subscribed[req.symbol] = req
+        if not self._active:
+            return
+
+        tick = TickData(
+            symbol=req.symbol,
+            name=symbol_name_map.get(req.symbol, ""),
+            exchange=Exchange.BITSTAMP,
+            datetime=datetime.now(),
+            gateway_name=self.gateway_name,
+        )
+
+        for prefix in [
+            "order_book_",
+            "live_trades_",
+            "live_orders_"
+        ]:
+            channel = f"{prefix}{req.symbol}"
+            d = {
+                "event": "bts:subscribe",
+                "data": {
+                    "channel": channel
+                }
+            }
+            self.ticks[channel] = tick
+            self.send_packet(d)
+
+    def on_packet(self, packet):
+        """"""
+        event = packet["event"]
+
+        if event == "trade":
+            self.on_market_trade(packet)
+        elif event == "data":
+            self.on_market_depth(packet)
+        elif "order_" in event:
+            self.on_market_order(packet)
+        elif event == "bts:request_reconnect":
+            self._disconnect()      # Server requires to reconnect
+
+    def on_market_trade(self, packet):
+        """"""
+        channel = packet["channel"]
+        data = packet["data"]
+
+        tick = self.ticks[channel]
+        tick.last_price = data["price"]
+        tick.last_volume = data["amount"]
+        tick.datetime = datetime.fromtimestamp(int(data["timestamp"]))
+
+        self.gateway.on_tick(copy(tick))
+
+        # Order status check
+        buy_orderid = str(data["buy_order_id"])
+        sell_orderid = str(data["sell_order_id"])
+
+        for sys_orderid in [buy_orderid, sell_orderid]:
+            order = self.order_manager.get_order_with_sys_orderid(
+                sys_orderid)
+
+            if order:
+                order.traded += data["amount"]
+
+                if order.traded < order.volume:
+                    order.status = Status.PARTTRADED
+                else:
+                    order.status = Status.ALLTRADED
+
+                self.order_manager.on_order(copy(order))
+
+                trade = TradeData(
+                    symbol=order.symbol,
+                    exchange=order.exchange,
+                    orderid=order.orderid,
+                    tradeid=data["id"],
+                    direction=order.direction,
+                    price=data["price"],
+                    volume=data["amount"],
+                    time=tick.datetime.strftime("%H:%M:%S"),
+                    gateway_name=self.gateway_name
+                )
+                self.gateway.on_trade(trade)
+
+    def on_market_depth(self, packet):
+        """"""
+        channel = packet["channel"]
+        data = packet["data"]
+
+        tick = self.ticks[channel]
+        tick.datetime = datetime.fromtimestamp(int(data["timestamp"]))
+
+        bids = data["bids"]
+        asks = data["asks"]
+
+        for n in range(5):
+            ix = n + 1
+
+            bid_price, bid_volume = bids[n]
+            tick.__setattr__(f"bid_price_{ix}", float(bid_price))
+            tick.__setattr__(f"bid_volume_{ix}", float(bid_volume))
+
+            ask_price, ask_volume = asks[n]
+            tick.__setattr__(f"ask_price_{ix}", float(ask_price))
+            tick.__setattr__(f"ask_volume_{ix}", float(ask_volume))
+
+        self.gateway.on_tick(copy(tick))
+
+    def on_market_order(self, packet):
+        """"""
+        event = packet["event"]
+        data = packet["data"]
+
+        if event != "order_deleted":
+            return
+
+        sys_orderid = str(data["id"])
+        order = self.order_manager.get_order_with_sys_orderid(sys_orderid)
+
+        if order and order.is_active():
+            order.status = Status.CANCELLED
+            self.order_manager.on_order(copy(order))

vnpy/gateway/ib/ib_gateway.py

@@ -69,11 +69,14 @@ EXCHANGE_VT2IB = {
 EXCHANGE_IB2VT = {v: k for k, v in EXCHANGE_VT2IB.items()}
 
 STATUS_IB2VT = {
-    "Submitted": Status.NOTTRADED,
+    "ApiPending": Status.SUBMITTING,
-    "Filled": Status.ALLTRADED,
-    "Cancelled": Status.CANCELLED,
     "PendingSubmit": Status.SUBMITTING,
     "PreSubmitted": Status.NOTTRADED,
+    "Submitted": Status.NOTTRADED,
+    "ApiCancelled": Status.CANCELLED,
+    "Cancelled": Status.CANCELLED,
+    "Filled": Status.ALLTRADED,
+    "Inactive": Status.REJECTED,
 }
 
 PRODUCT_VT2IB = {
@@ -358,9 +361,13 @@ class IbApi(EWrapper):
 
         orderid = str(orderId)
         order = self.orders.get(orderid, None)
-        order.status = STATUS_IB2VT[status]
         order.traded = filled
 
+        # To filter PendingCancel status
+        order_status = STATUS_IB2VT.get(status, None)
+        if order_status:
+            order.status = order_status
+
         self.gateway.on_order(copy(order))
 
     def openOrder(  # pylint: disable=invalid-name

vnpy/trader/constant.py

@@ -122,6 +122,7 @@ class Exchange(Enum):
     BYBIT = "BYBIT"         # bybit.com
     COINBASE = "COINBASE"
     GATEIO = "GATEIO"
+    BITSTAMP = "BITSTAMP"
 
     # Special Function
     LOCAL = "LOCAL"         # For local generated data