Merge pull request #1296 from nanoric/beta_new_huobi

[Add] 基于新的RestClient和WebSocketClient重写了huobiGateway的底层

beta/gateway/huobiGateway/huobiGateway.py

@@ -0,0 +1,302 @@
+# encoding: UTF-8
+
+'''
+'''
+
+from __future__ import print_function
+
+import base64
+import hashlib
+import hmac
+import json
+import re
+import urllib
+import zlib
+
+from vnpy.api.rest import Request, RestClient
+from vnpy.api.websocket import WebsocketClient
+from vnpy.trader.vtGateway import *
+
+REST_HOST = 'https://api.huobipro.com'
+WEBSOCKET_MARKET_HOST = 'wss://api.huobi.pro/ws'  # Global站行情
+WEBSOCKET_ASSETS_HOST = 'wss://api.huobi.pro/ws/v1'  # 资产和订单
+WEBSOCKET_CONTRACT_HOST = 'wss://www.hbdm.com/ws'  # 合约站行情
+
+
+#----------------------------------------------------------------------
+def _split_url(url):
+    """
+    将url拆分为host和path
+    :return: host, path
+    """
+    m = re.match('\w+://([^/]*)(.*)', url)
+    if m:
+        return m.group(1), m.group(2)
+
+
+#----------------------------------------------------------------------
+def createSignature(apiKey, method, host, path, secretKey):
+    """创建签名"""
+    sortedParams = (
+        ("AccessKeyId", apiKey),
+        ("SignatureMethod", 'HmacSHA256'),
+        ("SignatureVersion", "2"),
+        ("Timestamp", datetime.utcnow().strftime('%Y-%m-%dT%H:%M:%S'))
+    )
+    encodeParams = urllib.urlencode(sortedParams)
+    
+    payload = [method, host, path, encodeParams]
+    payload = '\n'.join(payload)
+    payload = payload.encode(encoding='UTF8')
+    
+    secretKey = secretKey.encode(encoding='UTF8')
+    
+    digest = hmac.new(secretKey, payload, digestmod=hashlib.sha256).digest()
+    
+    signature = base64.b64encode(digest)
+    params = dict(sortedParams)
+    params["Signature"] = signature
+    return params
+
+
+########################################################################
+class HuobiRestApi(RestClient):
+    
+    def __init__(self, gateway):  # type: (VtGateway)->HuobiRestApi
+        super(HuobiRestApi, self).__init__()
+        self.gateway = gateway
+        self.gatewayName = gateway.gatewayName
+        
+        self.apiKey = ""
+        self.apiSecret = ""
+        self.signHost = ""
+    
+    #----------------------------------------------------------------------
+    def sign(self, request):
+        request.headers = {
+            "User-Agent":
+                "Mozilla/5.0 (Windows NT 6.1; WOW64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/39.0.2171.71 Safari/537.36"}
+        additionalParams = createSignature(self.apiKey,
+                                           request.method,
+                                           self.signHost,
+                                           request.path,
+                                           self.apiSecret)
+        if not request.params:
+            request.params = additionalParams
+        else:
+            request.params.update(additionalParams)
+        if request.method == "POST":
+            request.headers['Content-Type'] = 'application/json'
+        return request
+    
+    #----------------------------------------------------------------------
+    def connect(self, apiKey, apiSecret, sessionCount=3):
+        """连接服务器"""
+        self.apiKey = apiKey
+        self.apiSecret = apiSecret
+        
+        host, path = _split_url(REST_HOST)
+        self.init(REST_HOST)
+        self.signHost = host
+        self.start(sessionCount)
+    
+    #----------------------------------------------------------------------
+    def qeuryAccount(self):
+        self.addRequest('GET', '/v1/account/accounts', self.onAccount)
+    
+    #----------------------------------------------------------------------
+    def onAccount(self, data, request):  # type: (dict, Request)->None
+        pass
+    
+    #----------------------------------------------------------------------
+    def cancelWithdraw(self, id):
+        self.addRequest('POST',
+                        "/v1/dw/withdraw-virtual/" + str(id) + "/cancel",
+                        self.onWithdrawCanceled
+                        )
+
+    #----------------------------------------------------------------------
+    def onWithdrawCanceled(self, data, request):  # type: (dict, Request)->None
+        pass
+
+
+########################################################################
+class HuobiWebsocketApiBase(WebsocketClient):
+    
+    #----------------------------------------------------------------------
+    def __init__(self, gateway):
+        """Constructor"""
+        super(HuobiWebsocketApiBase, self).__init__()
+        
+        self.gateway = gateway
+        self.gatewayName = gateway.gatewayName
+        
+        self.apiKey = ''
+        self.apiSecret = ''
+        self.signHost = ''
+        self.path = ''
+    
+    #----------------------------------------------------------------------
+    def connect(self, apiKey, apiSecret, url):
+        """"""
+        self.apiKey = apiKey
+        self.apiSecret = apiSecret
+        
+        host, path = _split_url(url)
+        
+        self.init(url)
+        self.signHost = host
+        self.path = path
+        self.start()
+    
+    #----------------------------------------------------------------------
+    def login(self):
+        params = {
+            'op': 'auth',
+        }
+        params.update(
+            createSignature(self.apiKey,
+                            'GET',
+                            self.signHost,
+                            self.path,
+                            self.apiSecret)
+        )
+        return self.sendPacket(params)
+    
+    #----------------------------------------------------------------------
+    def onLogin(self, packet):
+        pass
+    
+    #----------------------------------------------------------------------
+    @staticmethod
+    def unpackData(data):
+        return json.loads(zlib.decompress(data, 31))
+    
+    #----------------------------------------------------------------------
+    def onPacket(self, packet):
+        """
+        这里我新增了一个onHuobiPacket的函数，也可以让子类重写这个函数，然后调用super.onPacket
+        """
+        if 'ping' in packet:
+            self.sendPacket({'pong': packet['ping']})
+            return
+        
+        # todo: use another error handing method
+        if 'err-msg' in packet:
+            return self.onHuobiErrorPacket(packet)
+        
+        if "op" in packet and packet["op"] == "auth":
+            return self.onLogin(packet)
+        
+        self.onHuobiPacket(packet)
+    
+    #----------------------------------------------------------------------
+    def onHuobiPacket(self, packet):  # type: (dict)->None
+        pass
+    
+    #----------------------------------------------------------------------
+    def onHuobiErrorPacket(self, packet):  # type: (dict)->None
+        print("error : {}".format(packet))
+
+
+########################################################################
+class HuobiAssetsWebsocketApi(HuobiWebsocketApiBase):
+    
+    def connect(self, apiKey, apiSecret, host=WEBSOCKET_ASSETS_HOST):
+        """
+        这里我使用重写connect，添加了默认参数。这样写感觉~~不太好~~，不过目前想到的比较好的方式就是这样了
+        虽然在Python中可以直接把这个connect()写成不接收host和path的形式，但是PyCharm会提示重载错误，所以不接收host和path似乎不太好？
+        
+        我觉得最好的写法应该是这个函数不接收host和path。同时为了让PyCharm不提示重载错误(减少歧义)，应该给
+        HuobiWebsocketApiBase.connect起另外一个名字。
+        """
+        return super(HuobiAssetsWebsocketApi, self). \
+            connect(apiKey, apiSecret, host)
+    
+    #----------------------------------------------------------------------
+    def onConnected(self):
+        self.login()
+    
+    #----------------------------------------------------------------------
+    def subscribeAccount(self):
+        """
+        :param symbol: str ethbtc, ltcbtc, etcbtc, bchbtc
+        :param period: str 1min, 5min, 15min, 30min, 60min, 1day, 1mon, 1week, 1year
+        """
+        self.sendPacket({
+            "op": "sub",
+            "cid": "any thing you want",
+            "topic": "accounts"
+        })
+    
+    #----------------------------------------------------------------------
+    def onHuobiPacket(self, packet):  # type: (dict)->None
+        if 'op' in packet:
+            if packet['op'] == 'sub':
+                timestamp = packet['ts']
+                topic = packet['topic']
+                """
+                  "data": {
+    "event": "order.match|order.place|order.refund|order.cancel|order.fee-refund|margin.transfer|margin.loan|margin.interest|margin.repay|other",
+    "list": [
+      {
+        "account-id": 419013,
+        "currency": "usdt",
+        "type": "trade",
+        "balance": "500009195917.4362872650"
+      },
+      {
+        "account-id": 419013,
+        "currency": "btc",
+        "type": "frozen",
+        "balance": "9786.6783000000"
+      }
+    ]
+  }
+                """
+                pass
+
+
+########################################################################
+class HuobiMarketWebsocketApi(HuobiWebsocketApiBase):
+    
+    #----------------------------------------------------------------------
+    def connect(self, apiKey, apiSecret, host=WEBSOCKET_MARKET_HOST):
+        """
+        这里我使用重写connect，添加了默认参数。这样写感觉~~不太好~~，不过目前想到的比较好的方式就是这样了
+        虽然在Python中可以直接把这个connect()写成不接收host和path的形式，但是PyCharm会提示重载错误，所以不接收host和path似乎不太好？
+        
+        我觉得最好的写法应该是这个函数不接收host和path。同时为了让PyCharm不提示重载错误(减少歧义)，应该给
+        HuobiWebsocketApiBase.connect起另外一个名字。
+        """
+        return super(HuobiMarketWebsocketApi, self). \
+            connect(apiKey, apiSecret, host)
+    
+    #----------------------------------------------------------------------
+    def subscribeKLine(self, symbol, period):  # type:(str, str)->None
+        """
+        :param symbol: str ethbtc, ltcbtc, etcbtc, bchbtc
+        :param period: str 1min, 5min, 15min, 30min, 60min, 1day, 1mon, 1week, 1year
+        :return:
+        """
+        self.sendPacket({
+            "sub": "market." + symbol + ".kline." + period,
+            "id": "any thing you want"
+        })
+    
+    #----------------------------------------------------------------------
+    def onHuobiPacket(self, packet):  # type: (dict)->None
+        # code for test purpose only
+        if 'ch' in packet:
+            if packet['ch'] == 'market.btcusdt.kline.1min':
+                timestamp = packet['ts']
+                data = packet['tick']
+                id = data['id']
+                amount = data['amount']
+                count = data['count']
+                open = data['open']
+                close = data['close']
+                low = data['low']
+                high = data['high']
+                vol = data['vol']
+                pass