Merge pull request #2114 from vnpy/dev-bitstamp-gateway
Dev bitstamp gateway
This commit is contained in:
vn.py
GitHub
commit
cdbbb7867e
@ -14,7 +14,7 @@
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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。
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**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：
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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：
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<p align="center">
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<img src ="https://vnpy.oss-cn-shanghai.aliyuncs.com/vnpy_qr.jpg"/>
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@ -29,6 +29,7 @@ from vnpy.gateway.okexs import OkexsGateway
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# from vnpy.gateway.alpaca import AlpacaGateway
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from vnpy.gateway.da import DaGateway
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from vnpy.gateway.coinbase import CoinbaseGateway
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from vnpy.gateway.bitstamp import BitstampGateway
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from vnpy.app.cta_strategy import CtaStrategyApp
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# from vnpy.app.csv_loader import CsvLoaderApp
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@ -73,7 +74,8 @@ def main():
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# main_engine.add_gateway(AlpacaGateway)
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# main_engine.add_gateway(OkexsGateway)
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# main_engine.add_gateway(DaGateway)
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main_engine.add_gateway(CoinbaseGateway)
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# main_engine.add_gateway(CoinbaseGateway)
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main_engine.add_gateway(BitstampGateway)
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main_engine.add_app(CtaStrategyApp)
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main_engine.add_app(CtaBacktesterApp)
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1
vnpy/gateway/bitstamp/__init__.py
Normal file
1
vnpy/gateway/bitstamp/__init__.py
Normal file
@ -0,0 +1 @@
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from .bitstamp_gateway import BitstampGateway
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675
vnpy/gateway/bitstamp/bitstamp_gateway.py
Normal file
675
vnpy/gateway/bitstamp/bitstamp_gateway.py
Normal file
@ -0,0 +1,675 @@
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"""
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Author: Wudi
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bitstamp合约接口
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"""
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import hashlib
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import hmac
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import sys
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import time
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import uuid
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from copy import copy
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from datetime import datetime, timedelta
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from urllib.parse import urlencode
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from typing import Dict
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import requests
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from vnpy.api.rest import Request, RestClient, RequestStatus
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from vnpy.api.websocket import WebsocketClient
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from vnpy.trader.constant import (
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Direction,
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Exchange,
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OrderType,
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Product,
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Status,
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Interval
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)
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from vnpy.trader.gateway import BaseGateway, LocalOrderManager
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from vnpy.trader.object import (
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TickData,
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OrderData,
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TradeData,
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BarData,
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AccountData,
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ContractData,
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OrderRequest,
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CancelRequest,
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SubscribeRequest,
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HistoryRequest
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)
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from vnpy.trader.event import EVENT_TIMER
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REST_HOST = "https://www.bitstamp.net/api/v2"
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WEBSOCKET_HOST = "wss://ws.bitstamp.net"
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STATUS_BITSTAMP2VT = {
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"ACTIVE": Status.NOTTRADED,
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"PARTIALLY FILLED": Status.PARTTRADED,
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"EXECUTED": Status.ALLTRADED,
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"CANCELED": Status.CANCELLED,
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}
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ORDERTYPE_VT2BITSTAMP = {
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OrderType.LIMIT: "EXCHANGE LIMIT",
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OrderType.MARKET: "EXCHANGE MARKET",
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}
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DIRECTION_VT2BITSTAMP = {
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Direction.LONG: "Buy",
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Direction.SHORT: "Sell",
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}
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DIRECTION_BITSTAMP2VT = {
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"0": Direction.LONG,
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"1": Direction.SHORT,
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}
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INTERVAL_VT2BITSTAMP = {
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Interval.MINUTE: "60",
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Interval.HOUR: "3600",
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Interval.DAILY: "86400",
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}
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TIMEDELTA_MAP = {
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Interval.MINUTE: timedelta(minutes=1),
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Interval.HOUR: timedelta(hours=1),
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Interval.DAILY: timedelta(days=1),
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}
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symbol_name_map = {}
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name_symbol_map = {}
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class BitstampGateway(BaseGateway):
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"""
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VN Trader Gateway for BITSTAMP connection.
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"""
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default_setting = {
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"key": "",
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"secret": "",
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"username": "",
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"session": 3,
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"proxy_host": "127.0.0.1",
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"proxy_port": 1080,
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}
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exchanges = [Exchange.BITSTAMP]
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def __init__(self, event_engine):
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"""Constructor"""
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super().__init__(event_engine, "BITSTAMP")
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self.order_manager = LocalOrderManager(self)
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self.rest_api = BitstampRestApi(self)
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self.ws_api = BitstampWebsocketApi(self)
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def connect(self, setting: dict):
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""""""
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key = setting["key"]
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secret = setting["secret"]
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username = setting["username"]
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session = setting["session"]
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proxy_host = setting["proxy_host"]
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proxy_port = setting["proxy_port"]
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self.rest_api.connect(key, secret, username,
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session, proxy_host, proxy_port)
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self.ws_api.connect(proxy_host, proxy_port)
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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def subscribe(self, req: SubscribeRequest):
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""""""
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self.ws_api.subscribe(req)
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def send_order(self, req: OrderRequest):
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""""""
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return self.rest_api.send_order(req)
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def cancel_order(self, req: CancelRequest):
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""""""
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self.rest_api.cancel_order(req)
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def query_account(self):
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""""""
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pass
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def query_position(self):
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""""""
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pass
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def query_history(self, req: HistoryRequest):
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""""""
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pass
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def close(self):
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""""""
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self.rest_api.stop()
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self.ws_api.stop()
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def process_timer_event(self, event):
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""""""
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self.rest_api.query_account()
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class BitstampRestApi(RestClient):
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"""
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Bitstamp REST API
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"""
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def __init__(self, gateway: BaseGateway):
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""""""
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super(BitstampRestApi, self).__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.order_manager = gateway.order_manager
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self.key = ""
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self.secret = ""
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self.username = "qxfe9863"
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self.order_count = 1_000_000
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self.connect_time = 0
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def connect(
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self,
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key: str,
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secret: str,
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username: str,
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session: int,
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proxy_host: str,
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proxy_port: int,
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):
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"""
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Initialize connection to REST server.
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"""
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self.key = key
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self.secret = secret.encode()
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self.username = username
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self.connect_time = (
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int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count
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)
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self.init(REST_HOST, proxy_host, proxy_port)
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self.start(session)
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self.gateway.write_log("REST API启动成功")
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self.query_contract()
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self.query_account()
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def sign(self, request: Request):
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"""
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Sign Bitstamp request.
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"""
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if request.method == "GET":
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return request
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timestamp = str(int(round(time.time() * 1000)))
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nonce = str(uuid.uuid4())
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content_type = "application/x-www-form-urlencoded"
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# Empty post data leads to API0020 error,
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# so use this offset dict instead.
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if not request.data:
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request.data = {"offset": "1"}
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payload_str = urlencode(request.data)
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message = "BITSTAMP " + self.key + \
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request.method + \
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"www.bitstamp.net/api/v2" + \
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request.path + \
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"" + \
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content_type + \
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nonce + \
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timestamp + \
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"v2" + \
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payload_str
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message = message.encode("utf-8")
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signature = hmac.new(
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self.secret,
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msg=message,
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digestmod=hashlib.sha256
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).hexdigest().upper()
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request.headers = {
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"X-Auth": "BITSTAMP " + self.key,
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"X-Auth-Signature": signature,
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"X-Auth-Nonce": nonce,
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"X-Auth-Timestamp": timestamp,
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"X-Auth-Version": "v2",
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"Content-Type": content_type
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}
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request.data = payload_str
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return request
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def _process_request(
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self, request: Request
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):
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"""
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Bistamp API server does not support keep-alive connection.
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So when using session.request will cause header related error.
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Reimplement this method to use requests.request instead.
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"""
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try:
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request = self.sign(request)
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url = self.make_full_url(request.path)
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response = requests.request(
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request.method,
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url,
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headers=request.headers,
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params=request.params,
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data=request.data,
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proxies=self.proxies,
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)
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request.response = response
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status_code = response.status_code
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if status_code // 100 == 2: # 2xx codes are all successful
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if status_code == 204:
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json_body = None
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else:
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json_body = response.json()
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request.callback(json_body, request)
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request.status = RequestStatus.success
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else:
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request.status = RequestStatus.failed
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if request.on_failed:
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request.on_failed(status_code, request)
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else:
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self.on_failed(status_code, request)
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except Exception:
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request.status = RequestStatus.error
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t, v, tb = sys.exc_info()
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if request.on_error:
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request.on_error(t, v, tb, request)
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else:
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self.on_error(t, v, tb, request)
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def query_order(self):
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""""""
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path = "/open_orders/all/"
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self.add_request(
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method="POST",
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path=path,
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callback=self.on_query_order
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)
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def on_query_order(self, data, request):
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"""获取委托订单"""
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for d in data:
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sys_orderid = d["id"]
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local_orderid = self.order_manager.get_local_orderid(sys_orderid)
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direction = DIRECTION_BITSTAMP2VT[d["type"]]
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name = d["currency_pair"]
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symbol = name_symbol_map[name]
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order = OrderData(
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orderid=local_orderid,
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symbol=symbol,
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exchange=Exchange.BITSTAMP,
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price=float(d["price"]),
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volume=float(d["amount"]),
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traded=float(0),
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direction=direction,
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status=Status.NOTTRADED,
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time=d["datetime"],
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gateway_name=self.gateway_name,
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)
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self.order_manager.on_order(order)
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self.gateway.write_log("委托信息查询成功")
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def query_account(self):
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""""""
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path = "/balance/"
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self.add_request(
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method="POST",
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path=path,
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callback=self.on_query_account
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)
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def on_query_account(self, data, request):
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""""""
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for key in data.keys():
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if "balance" not in key:
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continue
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currency = key.replace("_balance", "")
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account = AccountData(
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accountid=currency,
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balance=float(data[currency + "_balance"]),
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frozen=float(data[currency + "_reserved"]),
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gateway_name=self.gateway_name
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)
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self.gateway.on_account(account)
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def query_contract(self):
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""""""
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self.add_request(
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method="GET",
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path="/trading-pairs-info/",
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callback=self.on_query_contract,
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)
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def on_query_contract(self, data, request):
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""""""
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for d in data:
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pricetick = 1 / pow(10, d["counter_decimals"])
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min_volume = 1 / pow(10, d["base_decimals"])
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contract = ContractData(
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symbol=d["url_symbol"],
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exchange=Exchange.BITSTAMP,
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name=d["name"],
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product=Product.SPOT,
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size=1,
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pricetick=pricetick,
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min_volume=min_volume,
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history_data=False,
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gateway_name=self.gateway_name,
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)
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self.gateway.on_contract(contract)
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symbol_name_map[contract.symbol] = contract.name
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name_symbol_map[contract.name] = contract.symbol
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self.gateway.write_log("合约信息查询成功")
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self.query_order()
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def cancel_order(self, req: CancelRequest):
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""""""
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path = "/cancel_order/"
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sys_orderid = self.order_manager.get_sys_orderid(req.orderid)
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data = {"id": sys_orderid}
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|
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self.add_request(
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method="POST",
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path=path,
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data=data,
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callback=self.on_cancel_order,
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extra=req
|
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)
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def on_cancel_order(self, data, request):
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""""""
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error = data.get("error", "")
|
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if error:
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self.gateway.write_log(error)
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return
|
||||
|
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cancel_request = request.extra
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local_orderid = cancel_request.orderid
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order = self.order_manager.get_order_with_local_orderid(local_orderid)
|
||||
|
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if order.is_active:
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order.status = Status.CANCELLED
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self.order_manager.on_order(order)
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|
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self.gateway.write_log(f"撤单成功：{order.orderid}")
|
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def on_cancel_order_error(self, data, request):
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""""""
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error_msg = data["error"]
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self.gateway.write_log(f"撤单请求出错，信息：{error_msg}")
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|
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def send_order(self, req: OrderRequest):
|
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""""""
|
||||
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 = {
|
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"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))
|
||||
@ -69,11 +69,14 @@ EXCHANGE_VT2IB = {
|
||||
EXCHANGE_IB2VT = {v: k for k, v in EXCHANGE_VT2IB.items()}
|
||||
|
||||
STATUS_IB2VT = {
|
||||
"Submitted": Status.NOTTRADED,
|
||||
"Filled": Status.ALLTRADED,
|
||||
"Cancelled": Status.CANCELLED,
|
||||
"ApiPending": Status.SUBMITTING,
|
||||
"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
|
||||
|
||||
@ -121,6 +121,8 @@ class Exchange(Enum):
|
||||
BINANCE = "BINANCE"
|
||||
BYBIT = "BYBIT" # bybit.com
|
||||
COINBASE = "COINBASE"
|
||||
BITSTAMP = "BITSTAMP"
|
||||
|
||||
|
||||
# Special Function
|
||||
LOCAL = "LOCAL" # For local generated data
|
||||
|
||||
Loading…
Reference in New Issue
Block a user