Create bitfinex_gateway.py
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vnpy/gateway/bitfinex/bitfinex_gateway.py
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706
vnpy/gateway/bitfinex/bitfinex_gateway.py
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# encoding: UTF-8
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"""
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Author: vigarbuaa
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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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from copy import copy
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from datetime import datetime
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from urllib.parse import urlencode
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from vnpy.api.rest import Request, RestClient
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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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)
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from vnpy.trader.gateway import BaseGateway
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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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PositionData,
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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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)
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BASE_URL = "https://api.bitfinex.com/"
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REST_HOST = "https://api.bitfinex.com/"
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WEBSOCKET_HOST = "wss://api-pub.bitfinex.com/ws/2"
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STATUS_BITFINEX2VT = {
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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_VT2BITFINEX = {
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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_VT2BITFINEX = {
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Direction.LONG: "Buy",
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Direction.SHORT: "Sell",
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}
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DIRECTION_BITFINEX2VT = {
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"Buy": Direction.LONG,
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"Sell": Direction.SHORT,
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}
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class BitfinexGateway(BaseGateway):
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"""
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VN Trader Gateway for bitfineX 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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"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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def __init__(self, event_engine):
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"""Constructor"""
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super(BitfinexGateway, self).__init__(event_engine, "BITFINEX")
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self.rest_api = BitfinexRestApi(self)
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self.ws_api = BitfinexWebsocketApi(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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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, session, proxy_host, proxy_port)
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self.ws_api.connect(key, secret, proxy_host, proxy_port)
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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.ws_api.send_order(req)
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def cancel_order(self, req: CancelRequest):
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""""""
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self.ws_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 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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class BitfinexRestApi(RestClient):
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"""
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BitfineX REST API
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"""
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def __init__(self, gateway: BaseGateway):
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""""""
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super(BitfinexRestApi, self).__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.key = ""
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self.secret = ""
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self.order_count = 1_000_000
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self.connect_time = 0
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def sign(self, request):
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"""
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Generate BitfineX signature.
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"""
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# Sign
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nonce = str(int(round(time.time() * 1000000)))
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if request.params:
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query = urlencode(request.params)
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path = request.path + "?" + query
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else:
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path = request.path
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if request.data:
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request.data = urlencode(request.data)
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else:
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request.data = ""
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msg = request.method + \
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"/api/v2/{}{}{}".format(path, nonce, request.data)
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signature = hmac.new(
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self.secret, msg.encode("utf8"), digestmod=hashlib.sha384
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).hexdigest()
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# Add headers
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headers = {
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"bfx-nonce": nonce,
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"bfx-apikey": self.key,
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"bfx-signature": signature,
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"content-type": "application/json"
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}
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request.headers = headers
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return request
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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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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.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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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="/v1/symbols_details",
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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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contract = ContractData(
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symbol=d["pair"].upper(),
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exchange=Exchange.BITFINEX,
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name=d["pair"].upper(),
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product=Product.SPOT,
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size=1,
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pricetick=1 / pow(10, d["price_precision"]),
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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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self.gateway.write_log("账户资金查询成功")
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def on_failed(self, status_code: int, request: Request):
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"""
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Callback to handle request failed.
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"""
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msg = f"请求失败，状态码：{status_code}，信息：{request.response.text}"
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self.gateway.write_log(msg)
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def on_error(
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self, exception_type: type, exception_value: Exception, tb, request: Request
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):
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"""
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Callback to handler request exception.
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"""
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msg = f"触发异常，状态码：{exception_type}，信息：{exception_value}"
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self.gateway.write_log(msg)
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sys.stderr.write(
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self.exception_detail(exception_type, exception_value, tb, request)
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)
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class BitfinexWebsocketApi(WebsocketClient):
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""""""
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def __init__(self, gateway):
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""""""
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super(BitfinexWebsocketApi, 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_id = 1_000_000
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self.trade_id = 1_000_000
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self.key = ""
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self.secret = ""
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self.callbacks = {
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"trade": self.on_tick,
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"orderBook10": self.on_depth,
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"execution": self.on_trade,
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"order": self.on_order,
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"position": self.on_position,
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}
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self.ticks = {}
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self.accounts = {}
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self.orders = {}
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self.trades = set()
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self.tickDict = {}
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self.bidDict = {}
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self.askDict = {}
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self.orderLocalDict = {}
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self.channelDict = {} # channel_id : (Channel, Symbol)
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def connect(
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self, key: str, secret: str, proxy_host: str, proxy_port: int
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):
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""""""
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self.key = key
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self.secret = secret.encode()
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self.init(WEBSOCKET_HOST, proxy_host, proxy_port)
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self.start()
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def subscribe(self, req: SubscribeRequest):
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"""
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Subscribe to tick data upate.
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"""
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d = {
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"event": "subscribe",
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"channel": "book",
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"symbol": req.symbol,
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}
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self.send_packet(d)
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d = {
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"event": "subscribe",
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"channel": "ticker",
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"symbol": req.symbol,
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}
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self.send_packet(d)
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return int(round(time.time() * 1000))
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def _gen_unqiue_cid(self):
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self.order_id += 1
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local_oid = time.strftime("%y%m%d") + str(self.order_id)
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return int(local_oid)
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def send_order(self, req: OrderRequest):
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orderid = self._gen_unqiue_cid()
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if req.direction == Direction.LONG:
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amount = req.volume
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else:
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amount = -req.volume
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o = {
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"cid": orderid,
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"type": ORDERTYPE_VT2BITFINEX[req.type],
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"symbol": "t" + req.symbol,
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"amount": str(amount),
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"price": str(req.price),
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}
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request = [0, "on", None, o]
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order = req.create_order_data(orderid, self.gateway_name)
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self.send_packet(request)
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self.gateway.on_order(order)
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return order.vt_orderid
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def cancel_order(self, req: CancelRequest):
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""""""
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orderid = req.orderid
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date_str = "20" + str(orderid)[0:6]
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date = date_str[0:4] + "-" + date_str[4:6] + "-" + date_str[6:8]
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request = [
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0,
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"oc",
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None,
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{
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"cid": int(orderid),
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"cid_date": date
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}
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]
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self.send_packet(request)
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def on_connected(self):
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""""""
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self.gateway.write_log("Websocket API连接成功")
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self.authenticate()
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def on_disconnected(self):
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""""""
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self.gateway.write_log("Websocket API连接断开")
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def on_packet(self, packet: dict):
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""""""
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if isinstance(packet, dict):
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self.on_response(packet)
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else:
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self.on_update(packet)
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def on_response(self, data):
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""""""
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if "event" not in data:
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return
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if data["event"] == "subscribed":
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symbol = str(data["symbol"].replace("t", ""))
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self.channelDict[data["chanId"]] = (data["channel"], symbol)
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def on_update(self, data):
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""""""
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if data[1] == "hb":
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return
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channel_id = data[0]
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if not channel_id:
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self.on_trade_update(data)
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else:
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self.on_data_update(data)
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def on_data_update(self, data):
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""""""
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channel_id = data[0]
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channel, symbol = self.channelDict[channel_id]
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symbol = str(symbol.replace("t", ""))
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# Get the Tick object
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if symbol in self.tickDict:
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tick = self.tickDict[symbol]
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else:
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tick = TickData(
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symbol=symbol,
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exchange=Exchange.BITFINEX,
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name=symbol,
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datetime=datetime.now(),
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gateway_name=self.gateway_name,
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)
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self.tickDict[symbol] = tick
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l_data1 = data[1]
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# Update general quote
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if channel == "ticker":
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tick.volume = float(l_data1[-3])
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tick.high_price = float(l_data1[-2])
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tick.low_price = float(l_data1[-1])
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tick.last_price = float(l_data1[-4])
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tick.open_price = float(tick.last_price - l_data1[4])
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# Update deep quote
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elif channel == "book":
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bid = self.bidDict.setdefault(symbol, {})
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ask = self.askDict.setdefault(symbol, {})
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if len(l_data1) > 3:
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for price, count, amount in l_data1:
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price = float(price)
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count = int(count)
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amount = float(amount)
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if amount > 0:
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bid[price] = amount
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else:
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ask[price] = -amount
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else:
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price, count, amount = l_data1
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price = float(price)
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count = int(count)
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amount = float(amount)
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if not count:
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if price in bid:
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del bid[price]
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elif price in ask:
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del ask[price]
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else:
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if amount > 0:
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bid[price] = amount
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else:
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ask[price] = -amount
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try:
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# BID
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bid_keys = bid.keys()
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bidPriceList = sorted(bid_keys, reverse=True)
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tick.bid_price_1 = bidPriceList[0]
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tick.bid_price_2 = bidPriceList[1]
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tick.bid_price_3 = bidPriceList[2]
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tick.bid_price_4 = bidPriceList[3]
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tick.bid_price_5 = bidPriceList[4]
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tick.bid_volume_1 = bid[tick.bid_price_1]
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tick.bid_volume_2 = bid[tick.bid_price_2]
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tick.bid_volume_3 = bid[tick.bid_price_3]
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tick.bid_volume_4 = bid[tick.bid_price_4]
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tick.bid_volume_5 = bid[tick.bid_price_5]
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# ASK
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ask_keys = ask.keys()
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askPriceList = sorted(ask_keys, reverse=True)
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tick.ask_price_1 = askPriceList[0]
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tick.ask_price_2 = askPriceList[1]
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tick.ask_price_3 = askPriceList[2]
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tick.ask_price_4 = askPriceList[3]
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tick.ask_price_5 = askPriceList[4]
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tick.ask_volume_1 = ask[tick.ask_price_1]
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tick.ask_volume_2 = ask[tick.ask_price_2]
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tick.ask_volume_3 = ask[tick.ask_price_3]
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tick.ask_volume_4 = ask[tick.ask_price_4]
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tick.ask_volume_5 = ask[tick.ask_price_5]
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except IndexError:
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return
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dt = datetime.now()
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tick.date = dt.strftime("%Y%m%d")
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tick.time = dt.strftime("%H:%M:%S.%f")
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tick.datetime = dt
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self.gateway.on_tick(copy(tick))
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def on_wallet(self, data):
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""""""
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if str(data[0]) == "exchange":
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accountid = str(data[1])
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account = self.accounts.get(accountid, None)
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if not account:
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account = AccountData(
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accountid=accountid,
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gateway_name=self.gateway_name,
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)
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account.balance = float(data[2])
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account.available = 0.0
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account.frozen = 0.0
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self.gateway.on_account(copy(account))
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def on_trade_update(self, data):
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""""""
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name = data[1]
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info = data[2]
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if name == "ws":
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for l in info:
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self.on_wallet(l)
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self.gateway.write_log("账户资金获取成功")
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elif name == "wu":
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self.on_wallet(info)
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elif name == "os":
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for l in info:
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self.on_order(l)
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self.gateway.write_log("活动委托获取成功")
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elif name in ["on", "ou", "oc"]:
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self.on_order(info)
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elif name == "te":
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self.on_trade(info)
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elif name == "n":
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self.on_order_error(info)
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|
||||
def on_error(self, exception_type: type, exception_value: Exception, tb):
|
||||
""""""
|
||||
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)
|
||||
)
|
||||
|
||||
def authenticate(self):
|
||||
"""
|
||||
Authenticate websocket connection to subscribe private topic.
|
||||
"""
|
||||
nonce = int(time.time() * 1000000)
|
||||
authPayload = "AUTH" + str(nonce)
|
||||
signature = hmac.new(
|
||||
self.secret, authPayload.encode(), digestmod=hashlib.sha384
|
||||
).hexdigest()
|
||||
|
||||
req = {
|
||||
"apiKey": self.key,
|
||||
"event": "auth",
|
||||
"authPayload": authPayload,
|
||||
"authNonce": nonce,
|
||||
"authSig": signature
|
||||
}
|
||||
|
||||
self.send_packet(req)
|
||||
|
||||
def subscribe_topic(self):
|
||||
"""
|
||||
Subscribe to all private topics.
|
||||
"""
|
||||
req = {
|
||||
"op": "subscribe",
|
||||
"args": [
|
||||
"instrument",
|
||||
"trade",
|
||||
"orderBook10",
|
||||
"execution",
|
||||
"order",
|
||||
"position",
|
||||
"margin",
|
||||
],
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
def on_tick(self, d):
|
||||
""""""
|
||||
symbol = d["symbol"]
|
||||
tick = self.ticks.get(symbol, None)
|
||||
if not tick:
|
||||
return
|
||||
|
||||
tick.last_price = d["price"]
|
||||
tick.datetime = datetime.strptime(
|
||||
d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ"
|
||||
)
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
def on_depth(self, d):
|
||||
""""""
|
||||
symbol = d["symbol"]
|
||||
tick = self.ticks.get(symbol, None)
|
||||
if not tick:
|
||||
return
|
||||
|
||||
for n, buf in enumerate(d["bids"][:5]):
|
||||
price, volume = buf
|
||||
tick.__setattr__("bid_price_%s" % (n + 1), price)
|
||||
tick.__setattr__("bid_volume_%s" % (n + 1), volume)
|
||||
|
||||
for n, buf in enumerate(d["asks"][:5]):
|
||||
price, volume = buf
|
||||
tick.__setattr__("ask_price_%s" % (n + 1), price)
|
||||
tick.__setattr__("ask_volume_%s" % (n + 1), volume)
|
||||
|
||||
tick.datetime = datetime.strptime(d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
|
||||
self.gateway.on_tick(copy(tick))
|
||||
|
||||
def on_trade(self, data):
|
||||
""""""
|
||||
self.trade_id += 1
|
||||
|
||||
if data[4] > 0:
|
||||
direction = Direction.LONG
|
||||
else:
|
||||
direction = Direction.SHORT
|
||||
|
||||
trade = TradeData(
|
||||
symbol=str(data[1].replace("t", "")),
|
||||
exchange=Exchange.BITFINEX,
|
||||
orderid=data[-1],
|
||||
direction=direction,
|
||||
volume=data[4],
|
||||
price=data[5],
|
||||
tradeid=str(self.trade_id),
|
||||
time=self.generate_date_time(data[2]),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def generate_date_time(self, s):
|
||||
""""""
|
||||
dt = datetime.fromtimestamp(s / 1000.0)
|
||||
time = dt.strftime("%H:%M:%S.%f")
|
||||
return time
|
||||
|
||||
def on_order_error(self, d):
|
||||
""""""
|
||||
if d[-2] != "ERROR":
|
||||
return
|
||||
|
||||
data = d[4]
|
||||
error_info = d[-1]
|
||||
|
||||
orderid = str(data[2])
|
||||
if data[6] > 0:
|
||||
direction = Direction.LONG
|
||||
else:
|
||||
direction = Direction.SHORT
|
||||
|
||||
order = OrderData(
|
||||
symbol=str(data[3].replace("t", "")),
|
||||
exchange=Exchange.BITFINEX,
|
||||
orderid=orderid,
|
||||
status=Status.REJECTED,
|
||||
direction=direction,
|
||||
price=float(data[16]),
|
||||
volume=abs(data[6]),
|
||||
time=self.generate_date_time(d[0]),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.gateway.on_order(copy(order))
|
||||
|
||||
self.gateway.write_log(f"委托拒单：{error_info}")
|
||||
|
||||
def on_order(self, data):
|
||||
""""""
|
||||
orderid = str(data[2])
|
||||
|
||||
if data[7] > 0:
|
||||
direction = Direction.LONG
|
||||
else:
|
||||
direction = Direction.SHORT
|
||||
|
||||
order_status = str(data[13].split("@")[0]).replace(" ", "")
|
||||
if order_status == "CANCELED":
|
||||
order_time = self.generate_date_time(data[5])
|
||||
else:
|
||||
order_time = self.generate_date_time(data[4])
|
||||
|
||||
order = OrderData(
|
||||
symbol=str(data[3].replace("t", "")),
|
||||
exchange=Exchange.BITFINEX,
|
||||
orderid=orderid,
|
||||
status=STATUS_BITFINEX2VT[order_status],
|
||||
direction=direction,
|
||||
price=float(data[16]),
|
||||
volume=abs(data[7]),
|
||||
traded=abs(data[7]) - abs(data[6]),
|
||||
time=order_time,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.gateway.on_order(copy(order))
|
||||
|
||||
def on_position(self, d):
|
||||
""""""
|
||||
position = PositionData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.BITFINEX,
|
||||
direction=Direction.NET,
|
||||
volume=d["currentQty"],
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.gateway.on_position(position)
|
||||
Loading…
Reference in New Issue
Block a user