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This commit is contained in:
msincenselee 2019-03-13 12:29:01 +08:00
parent 7b53dc8f14
commit d5c1bcfcb4
1 changed files with 42 additions and 14 deletions
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56
vnpy/trader/gateway/binanceGateway/binanceGateway.py
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@ -401,9 +401,8 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
continue
status = symbol_dict.get("status", None)
if status == "TRADING":
filters = symbol_dict["filters"]
price_filter = filters[0]
volume_filter = filters[1]
contract = VtContractData()
contract.gatewayName = self.gatewayName
@ -411,10 +410,14 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
contract.exchange = EXCHANGE_BINANCE
contract.vtSymbol = contract.symbol
contract.name = u"现货" + contract.vtSymbol
contract.size = float(volume_filter["stepSize"])
contract.priceTick = float(price_filter["tickSize"])
contract.productClass = PRODUCT_SPOT
contract.volumeTick = float(volume_filter["minQty"])
for filter in filters:
filter_type = filter.get('filterType',None)
if filter_type == 'PRICE_FILTER':
contract.priceTick = float(filter.get("tickSize",0.001))
elif filter_type == 'LOT_SIZE':
contract.size = float(filter.get('stepSize',1))
contract.volumeTick = float(filter.get("minQty",0.01))
self.gateway.onContract(contract)
@ -478,6 +481,15 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
tick.datetime , tick.date , tick.time = self.generateDateTime( float(msg["E"]))
utc_dt = datetime.utcfromtimestamp( float(msg["E"])/1e3)
tick.tradingDay = utc_dt.strftime('%Y-%m-%d')
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('onAllTicker drop tick {},lastprice:{},askprice1={},bidPrice1:{}'
.format(tick.vtSymbol,tick.lastPrice,tick.askPrice1,tick.bidPrice1))
return
self.gateway.onTick(tick)
#----------------------------------------------------------------------
@ -550,6 +562,7 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
def onDepth(self, msg):
upper_symbol = msg.get('s',None)
if upper_symbol is None:
self.gateway.writeLog('no s in msg:{}'.format(msg))
return
symbol_pair = systemSymbolToVnSymbol(upper_symbol)
first_update_id = msg["U"]
@ -560,7 +573,7 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
all_keys = self.symbol_real_depth_dict.keys()
# print "onDepth"
#print("onDepth:\n{}\n".format(msg))
# 判断是否已经 读取过历史数据
if symbol_pair in all_keys:
# print "if symbol_pair in all_keys:"
@ -570,7 +583,8 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
last_event_id = info["last_event_id"]
if int(last_event_id) + 1 >= int(first_update_id) and int(last_event_id) < int(final_update_id):
for b_arr in bids:
price , volume , tmp_arr = b_arr
#price , volume , tmp_arr = b_arr
price, volume = b_arr
price = float(price)
volume = float(volume)
if volume > 0:
@ -579,7 +593,8 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
if price in depth_dict_bids.keys():
del depth_dict_bids[price]
for a_arr in asks:
price , volume , tmp_arr = a_arr
#price , volume , tmp_arr = a_arr
price, volume = a_arr
price = float(price)
volume = float(volume)
if volume > 0:
@ -632,8 +647,9 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
(tick.bidPrice4, tick.bidVolume4) = arr[-4] if arr_len >=4 else (0,0)
(tick.bidPrice5, tick.bidVolume5) = arr[-5] if arr_len >=5 else (0,0)
except Exception as ex:
self.gateway.writeError(u'OnDepth Exception:{}'.format(str(ex)))
self.gateway.writeLog(u'OnDepth {}'.format(traceback.format_exc()))
self.gateway.writeLog(u'OnDepth exception, msg:{} \n trace: {}'.format(msg,traceback.format_exc()))
try:
arr = sorted(depth_dict_asks.items(), key=lambda x: x[0])
@ -646,12 +662,20 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
(tick.askPrice5, tick.askVolume5) = arr[4] if arr_len >=5 else (0,0)
except Exception as ex:
self.gateway.writeError(u'OnDepth Exception:{}'.format(str(ex)))
self.gateway.writeLog(u'OnDepth {}'.format(traceback.format_exc()))
self.gateway.writeLog(u'OnDepth exception, msg:{} \n trace: {}'.format(msg,traceback.format_exc()))
tick.datetime , tick.date, tick.time = self.generateDateTime(uu_time_stamp)
utc_dt = datetime.utcfromtimestamp(float(uu_time_stamp)/ 1e3)
tick.tradingDay = utc_dt.strftime('%Y-%m-%d')
# print tick.__dict__
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:
self.gateway.writeLog('onDepth drop tick {},lastprice:{},askprice1={},bidPrice1:{}'
.format(tick.vtSymbol, tick.lastPrice, tick.askPrice1, tick.bidPrice1))
return
self.gateway.onTick(tick)
#self.gateway.onTick(copy(tick))
@ -665,12 +689,14 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
bids = data["bids"]
asks = data["asks"]
for b_arr in bids:
price , volume , tmp_arr = b_arr
#price , volume , tmp_arr = b_arr
price, volume = b_arr
price = float(price)
volume = float(volume)
depth_dict_bids[price] = volume
for a_arr in asks:
price , volume , tmp_arr = a_arr
#price , volume , tmp_arr = a_arr
price, volume = a_arr
price = float(price)
volume = float(volume)
depth_dict_asks[price] = volume
@ -683,13 +709,15 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
bids = msg["b"]
asks = msg["a"]
for b_arr in bids:
price , volume , tmp_arr = b_arr
#price , volume , tmp_arr = b_arr
price, volume = b_arr
price = float(price)
volume = float(volume)
if volume > 0:
depth_dict_bids[price] = volume
for a_arr in asks:
price , volume , tmp_arr = a_arr
#price , volume , tmp_arr = a_arr
price, volume = a_arr
price = float(price)
volume = float(volume)
if volume > 0: