1. 增加vn.trader里OKCOIN比特币交易所的接入

2. 增加CTA模块回测中的部分业绩分析数据：盈亏比等
3. 修复之前vn.okcoin里的几个BUG

vn.okcoin/test.py

@@ -15,9 +15,9 @@ api.connect(OKCOIN_USD, apiKey, secretKey, True)
 sleep(1)
 
 # 测试现货行情API
-api.subscribeSpotTicker(SYMBOL_BTC)
+#api.subscribeSpotTicker(SYMBOL_BTC)
 #api.subscribeSpotTradeData(SYMBOL_BTC)
-#api.subscribeSpotDepth(SYMBOL_BTC, DEPTH_20)
+api.subscribeSpotDepth(SYMBOL_BTC, DEPTH_20)
 #api.subscribeSpotKline(SYMBOL_BTC, INTERVAL_1M)
 
 # 测试现货交易API

vn.okcoin/vnokcoin.py

@@ -41,7 +41,7 @@ INTERVAL_1W = 'week'
 
 # 交易代码，需要后缀货币名才能完整
 TRADING_SYMBOL_BTC = 'btc_'
-TRADING_SYMBOL_LTS = 'ltc_'
+TRADING_SYMBOL_LTC = 'ltc_'
 
 # 委托类型
 TYPE_BUY = 'buy'
@@ -86,6 +86,7 @@ class OkCoinApi(object):
         self.apiKey = ''        # 用户名
         self.secretKey = ''     # 密码
         self.host = ''          # 服务器地址
+        
         self.currency = ''      # 货币类型（usd或者cny）
         
         self.ws = None          # websocket应用对象
@@ -165,10 +166,6 @@ class OkCoinApi(object):
         self.thread = Thread(target=self.ws.run_forever)
         self.thread.start()
         
-    #######################
-    ## 现货相关
-    #######################        
-    
     #----------------------------------------------------------------------
     def sendMarketDataRequest(self, channel):
         """发送行情请求"""
@@ -200,6 +197,10 @@ class OkCoinApi(object):
         j = json.dumps(d)
         self.ws.send(j)        
     
+    #######################
+    ## 现货相关
+    #######################        
+    
     #----------------------------------------------------------------------
     def subscribeSpotTicker(self, symbol):
         """订阅现货普通报价"""
@@ -224,8 +225,8 @@ class OkCoinApi(object):
     def spotTrade(self, symbol, type_, price, amount):
         """现货委托"""
         params = {}
-        params['symbol'] = str(symbol)
+        params['symbol'] = str(symbol+self.currency)
-        params['type'] = str(type_+self.currency)
+        params['type'] = str(type_)
         params['price'] = str(price)
         params['amount'] = str(amount)
         
@@ -258,7 +259,7 @@ class OkCoinApi(object):
         params['symbol'] = str(symbol+self.currency)
         params['order_id'] = str(orderid)
         
-        channel = 'ok_spot%s_orderinfo'
+        channel = 'ok_spot%s_orderinfo' %(self.currency)
         
         self.sendTradingRequest(channel, params)
         

vn.trader/ctaAlgo/ctaBacktesting.py

@@ -4,6 +4,7 @@
 本文件中包含的是CTA模块的回测引擎，回测引擎的API和CTA引擎一致，
 可以使用和实盘相同的代码进行回测。
 '''
+from __future__ import division
 
 from datetime import datetime, timedelta
 from collections import OrderedDict
@@ -504,6 +505,11 @@ class BacktestingEngine(object):
         capitalList = []        # 盈亏汇总的时间序列
         drawdownList = []       # 回撤的时间序列
         
+        winningResult = 0       # 盈利次数
+        losingResult = 0        # 亏损次数
+        totalWinning = 0        # 总盈利金额
+        totalLosing = 0         # 总亏损金额
+        
         for time, result in resultDict.items():
             capital += result.pnl
             maxCapital = max(capital, maxCapital)
@@ -519,6 +525,19 @@ class BacktestingEngine(object):
             totalCommission += result.commission
             totalSlippage += result.slippage
             
+            if result.pnl >= 0:
+                winningResult += 1
+                totalWinning += result.pnl
+            else:
+                losingResult += 1
+                totalLosing += result.pnl
+                
+        # 计算盈亏相关数据
+        winningRate = winningResult/totalResult*100     # 胜率
+        averageWinning = totalWinning/winningResult     # 平均每笔盈利
+        averageLosing = totalLosing/losingResult        # 平均每笔亏损
+        profitLossRatio = -averageWinning/averageLosing # 盈亏比
+        
         # 返回回测结果
         d = {}
         d['capital'] = capital
@@ -532,6 +551,11 @@ class BacktestingEngine(object):
         d['pnlList'] = pnlList
         d['capitalList'] = capitalList
         d['drawdownList'] = drawdownList   
+        d['winningRate'] = winningRate
+        d['averageWinning'] = averageWinning
+        d['averageLosing'] = averageLosing
+        d['profitLossRatio'] = profitLossRatio
+        
         return d
         
     #----------------------------------------------------------------------
@@ -552,6 +576,11 @@ class BacktestingEngine(object):
         self.output(u'平均每笔滑点：\t%s' %formatNumber(d['totalSlippage']/d['totalResult']))
         self.output(u'平均每笔佣金：\t%s' %formatNumber(d['totalCommission']/d['totalResult']))
         
+        self.output(u'胜率\t\t%s%%' %formatNumber(d['winningRate']))
+        self.output(u'平均每笔盈利\t%s' %formatNumber(d['averageWinning']))
+        self.output(u'平均每笔亏损\t%s' %formatNumber(d['averageLosing']))
+        self.output(u'盈亏比：\t%s' %formatNumber(d['profitLossRatio']))
+            
         # 绘图
         import matplotlib.pyplot as plt
         
@@ -651,11 +680,11 @@ class TradingResult(object):
         self.exit = exit        # 平仓价格
         self.volume = volume    # 交易数量（+/-代表方向）
         
-        self.turnover = (self.entry+self.exit)*size         # 成交金额
+        self.turnover = (self.entry+self.exit)*size*abs(volume)     # 成交金额
-        self.commission = self.turnover*rate                # 手续费成本
+        self.commission = self.turnover*rate                        # 手续费成本
-        self.slippage = slippage*2*size                     # 滑点成本
+        self.slippage = slippage*2*size*abs(volume)                 # 滑点成本
         self.pnl = ((self.exit - self.entry) * volume * size 
-                    - self.commission - self.slippage)      # 净盈亏
+                    - self.commission - self.slippage)              # 净盈亏
 
 
 ########################################################################

vn.trader/ctaAlgo/strategyAtrRsi.py

@@ -259,21 +259,21 @@ if __name__ == '__main__':
     # 设置使用的历史数据库
     engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
     
-    ## 在引擎中创建策略对象
+    # 在引擎中创建策略对象
-    #d = {'atrLength': 11}
+    d = {'atrLength': 11}
-    #engine.initStrategy(AtrRsiStrategy, d)
+    engine.initStrategy(AtrRsiStrategy, d)
     
-    ## 开始跑回测
+    # 开始跑回测
-    #engine.runBacktesting()
+    engine.runBacktesting()
     
-    ## 显示回测结果
+    # 显示回测结果
-    #engine.showBacktestingResult()
+    engine.showBacktestingResult()
     
-    # 跑优化
+    ## 跑优化
-    setting = OptimizationSetting()                 # 新建一个优化任务设置对象
+    #setting = OptimizationSetting()                 # 新建一个优化任务设置对象
-    setting.setOptimizeTarget('capital')            # 设置优化排序的目标是策略净盈利
+    #setting.setOptimizeTarget('capital')            # 设置优化排序的目标是策略净盈利
-    setting.addParameter('atrLength', 11, 12, 1)    # 增加第一个优化参数atrLength，起始11，结束12，步进1
+    #setting.addParameter('atrLength', 11, 12, 1)    # 增加第一个优化参数atrLength，起始11，结束12，步进1
-    setting.addParameter('atrMa', 20, 30, 5)        # 增加第二个优化参数atrMa，起始20，结束30，步进1
+    #setting.addParameter('atrMa', 20, 30, 5)        # 增加第二个优化参数atrMa，起始20，结束30，步进1
-    engine.runOptimization(AtrRsiStrategy, setting) # 运行优化函数，自动输出结果
+    #engine.runOptimization(AtrRsiStrategy, setting) # 运行优化函数，自动输出结果
     
     

vn.trader/okcoinGateway/OKCOIN_connect.json

@@ -0,0 +1,7 @@
+{
+    "host": "CNY", 
+    "apiKey": "OKCOIN网站申请",
+    "secretKey": "OKCOIN网站申请",
+    "trace": false,
+    "leverage": 20
+}

vn.trader/okcoinGateway/okcoinGateway.py

@@ -0,0 +1,657 @@
+# encoding: UTF-8
+
+'''
+vn.okcoin的gateway接入
+
+注意：
+1. 该接口尚处于测试阶段，用于实盘请谨慎
+2. 目前仅支持USD和CNY的现货交易，USD的期货合约交易暂不支持
+'''
+
+
+import os
+import json
+from datetime import datetime
+from copy import copy
+from threading import Condition
+
+import vnokcoin
+from vtGateway import *
+
+# 价格类型映射
+priceTypeMap = {}
+priceTypeMap['buy'] = (DIRECTION_LONG, PRICETYPE_LIMITPRICE)
+priceTypeMap['buy_market'] = (DIRECTION_LONG, PRICETYPE_MARKETPRICE)
+priceTypeMap['sell'] = (DIRECTION_SHORT, PRICETYPE_LIMITPRICE)
+priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE)
+priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} 
+
+# 方向类型映射
+directionMap = {}
+directionMapReverse = {v: k for k, v in directionMap.items()}
+
+# 委托状态印射
+statusMap = {}
+statusMap[-1] = STATUS_CANCELLED
+statusMap[0] = STATUS_NOTTRADED
+statusMap[1] = STATUS_PARTTRADED
+statusMap[2] = STATUS_ALLTRADED
+statusMap[4] = STATUS_UNKNOWN
+
+############################################
+## 交易合约代码
+############################################
+
+# USD
+BTC_USD_SPOT = 'BTC_USD_SPOT'
+BTC_USD_THISWEEK = 'BTC_USD_THISWEEK'
+BTC_USD_NEXTWEEK = 'BTC_USD_NEXTWEEK'
+BTC_USD_QUARTER = 'BTC_USD_QUARTER'
+
+LTC_USD_SPOT = 'LTC_USD_SPOT'
+LTC_USD_THISWEEK = 'LTC_USD_THISWEEK'
+LTC_USD_NEXTWEEK = 'LTC_USD_NEXTWEEK'
+LTC_USD_QUARTER = 'LTC_USD_QUARTER'
+
+# CNY
+BTC_CNY_SPOT = 'BTC_CNY_SPOT'
+LTC_CNY_SPOT = 'LTC_CNY_SPOT'
+
+# 印射字典
+spotSymbolMap = {}
+spotSymbolMap['ltc_usd'] = LTC_USD_SPOT
+spotSymbolMap['btc_usd'] = BTC_USD_SPOT
+spotSymbolMap['ltc_cny'] = LTC_CNY_SPOT
+spotSymbolMap['btc_cny'] = BTC_CNY_SPOT
+spotSymbolMapReverse = {v: k for k, v in spotSymbolMap.items()}
+
+
+############################################
+## Channel和Symbol的印射
+############################################
+channelSymbolMap = {}
+
+# USD
+channelSymbolMap['ok_sub_spotusd_btc_ticker'] = BTC_USD_SPOT
+channelSymbolMap['ok_sub_spotusd_ltc_ticker'] = LTC_USD_SPOT
+
+channelSymbolMap['ok_sub_spotusd_btc_depth_20'] = BTC_USD_SPOT
+channelSymbolMap['ok_sub_spotusd_ltc_depth_20'] = LTC_USD_SPOT
+
+# CNY
+channelSymbolMap['ok_sub_spotcny_btc_ticker'] = BTC_CNY_SPOT
+channelSymbolMap['ok_sub_spotcny_ltc_ticker'] = LTC_CNY_SPOT
+
+channelSymbolMap['ok_sub_spotcny_btc_depth_20'] = BTC_CNY_SPOT
+channelSymbolMap['ok_sub_spotcny_ltc_depth_20'] = LTC_CNY_SPOT
+
+
+
+
+########################################################################
+class OkcoinGateway(VtGateway):
+    """OkCoin接口"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, eventEngine, gatewayName='OKCOIN'):
+        """Constructor"""
+        super(OkcoinGateway, self).__init__(eventEngine, gatewayName)
+        
+        self.api = Api(self)     
+        
+        self.leverage = 0
+        self.connected = False
+        
+    #----------------------------------------------------------------------
+    def connect(self):
+        """连接"""
+        # 载入json文件
+        fileName = self.gatewayName + '_connect.json'
+        fileName = os.getcwd() + '/okcoinGateway/' + fileName
+        
+        try:
+            f = file(fileName)
+        except IOError:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'读取连接配置出错，请检查'
+            self.onLog(log)
+            return
+        
+        # 解析json文件
+        setting = json.load(f)
+        try:
+            host = str(setting['host'])
+            apiKey = str(setting['apiKey'])
+            secretKey = str(setting['secretKey'])
+            trace = setting['trace']
+            leverage = setting['leverage']
+        except KeyError:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'连接配置缺少字段，请检查'
+            self.onLog(log)
+            return            
+        
+        # 初始化接口
+        self.leverage = leverage
+        
+        if host == 'CNY':
+            host = vnokcoin.OKCOIN_CNY
+        else:
+            host = vnokcoin.OKCOIN_USD
+            
+        self.api.connect(host, apiKey, secretKey, trace)
+        
+        log = VtLogData()
+        log.gatewayName = self.gatewayName
+        log.logContent = u'接口初始化成功'
+        self.onLog(log)
+        
+        # 启动查询
+        self.initQuery()
+        self.startQuery()
+    
+    #----------------------------------------------------------------------
+    def subscribe(self, subscribeReq):
+        """订阅行情"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def sendOrder(self, orderReq):
+        """发单"""
+        return self.api.spotSendOrder(orderReq)
+        
+    #----------------------------------------------------------------------
+    def cancelOrder(self, cancelOrderReq):
+        """撤单"""
+        self.api.spotCancel(cancelOrderReq)
+        
+    #----------------------------------------------------------------------
+    def qryAccount(self):
+        """查询账户资金"""
+        self.api.spotUserInfo()
+        
+    #----------------------------------------------------------------------
+    def qryPosition(self):
+        """查询持仓"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def close(self):
+        """关闭"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def initQuery(self):
+        """初始化连续查询"""
+        if self.qryEnabled:
+            # 需要循环的查询函数列表
+            self.qryFunctionList = [self.qryAccount]
+            
+            self.qryCount = 0           # 查询触发倒计时
+            self.qryTrigger = 2         # 查询触发点
+            self.qryNextFunction = 0    # 上次运行的查询函数索引
+            
+            self.startQuery()  
+    
+    #----------------------------------------------------------------------
+    def query(self, event):
+        """注册到事件处理引擎上的查询函数"""
+        self.qryCount += 1
+        
+        if self.qryCount > self.qryTrigger:
+            # 清空倒计时
+            self.qryCount = 0
+            
+            # 执行查询函数
+            function = self.qryFunctionList[self.qryNextFunction]
+            function()
+            
+            # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
+            self.qryNextFunction += 1
+            if self.qryNextFunction == len(self.qryFunctionList):
+                self.qryNextFunction = 0
+                
+    #----------------------------------------------------------------------
+    def startQuery(self):
+        """启动连续查询"""
+        self.eventEngine.register(EVENT_TIMER, self.query)
+    
+    #----------------------------------------------------------------------
+    def setQryEnabled(self, qryEnabled):
+        """设置是否要启动循环查询"""
+        self.qryEnabled = qryEnabled
+    
+
+
+########################################################################
+class Api(vnokcoin.OkCoinApi):
+    """OkCoin的API实现"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, gateway):
+        """Constructor"""
+        super(Api, self).__init__()
+        
+        self.gateway = gateway                  # gateway对象
+        self.gatewayName = gateway.gatewayName  # gateway对象名称
+        
+        self.cbDict = {}
+        self.tickDict = {}
+        self.orderDict = {}
+        
+        self.lastOrderID = ''
+        self.orderCondition = Condition()
+        
+        self.initCallback()
+        
+    #----------------------------------------------------------------------
+    def onMessage(self, ws, evt):
+        """信息推送""" 
+        data = self.readData(evt)[0]
+        channel = data['channel']
+        callback = self.cbDict[channel]
+        callback(data)
+        
+    #----------------------------------------------------------------------
+    def onError(self, ws, evt):
+        """错误推送"""
+        error = VtErrorData()
+        error.gatewayName = self.gatewayName
+        error.errorMsg = str(evt)
+        self.gateway.onError(error)
+        
+    #----------------------------------------------------------------------
+    def onClose(self, ws):
+        """接口断开"""
+        self.gateway.connected = True
+        self.writeLog(u'服务器连接断开')
+        
+    #----------------------------------------------------------------------
+    def onOpen(self, ws):        
+        self.gateway.connected = True
+        self.writeLog(u'服务器连接成功')
+        
+        # 连接后查询账户和委托数据
+        self.spotUserInfo()
+        
+        self.spotOrderInfo(vnokcoin.TRADING_SYMBOL_LTC, '-1')
+        self.spotOrderInfo(vnokcoin.TRADING_SYMBOL_BTC, '-1')
+        
+        # 连接后订阅现货的成交和账户数据
+        self.subscribeSpotTrades()
+        self.subscribeSpotUserInfo()   
+        
+        self.subscribeSpotTicker(vnokcoin.SYMBOL_BTC)
+        self.subscribeSpotTicker(vnokcoin.SYMBOL_LTC)
+        
+        self.subscribeSpotDepth(vnokcoin.SYMBOL_BTC, vnokcoin.DEPTH_20)
+        self.subscribeSpotDepth(vnokcoin.SYMBOL_LTC, vnokcoin.DEPTH_20)
+        
+        # 如果连接的是USD网站则订阅期货相关回报数据
+        if self.currency == vnokcoin.CURRENCY_USD:
+            self.subscribeFutureTrades()
+            self.subscribeFutureUserInfo()
+            self.subscribeFuturePositions()
+        
+        # 返回合约信息
+        if self.currency == vnokcoin.CURRENCY_CNY:
+            l = self.generateCnyContract()
+        else:
+            l = self.generateUsdContract()
+            
+        for contract in l:
+            contract.gatewayName = self.gatewayName
+            self.gateway.onContract(contract)
+            
+    #----------------------------------------------------------------------
+    def writeLog(self, content):
+        """快速记录日志"""
+        log = VtLogData()
+        log.gatewayName = self.gatewayName
+        log.logContent = content
+        self.gateway.onLog(log)
+        
+    #----------------------------------------------------------------------
+    def initCallback(self):
+        """初始化回调函数"""
+        # USD_SPOT
+        self.cbDict['ok_sub_spotusd_btc_ticker'] = self.onTicker
+        self.cbDict['ok_sub_spotusd_ltc_ticker'] = self.onTicker
+        
+        self.cbDict['ok_sub_spotusd_btc_depth_20'] = self.onDepth
+        self.cbDict['ok_sub_spotusd_ltc_depth_20'] = self.onDepth
+        
+        self.cbDict['ok_spotusd_userinfo'] = self.onSpotUserInfo
+        self.cbDict['ok_spotusd_orderinfo'] = self.onSpotOrderInfo
+        
+        self.cbDict['ok_sub_spotusd_userinfo'] = self.onSpotSubUserInfo
+        self.cbDict['ok_sub_spotusd_trades'] = self.onSpotSubTrades
+        
+        self.cbDict['ok_spotusd_trade'] = self.onSpotTrade
+        self.cbDict['ok_spotusd_cancel_order'] = self.onSpotCancelOrder
+        
+        # CNY_SPOT
+        self.cbDict['ok_sub_spotcny_btc_ticker'] = self.onTicker
+        self.cbDict['ok_sub_spotcny_ltc_ticker'] = self.onTicker        
+        
+        self.cbDict['ok_sub_spotcny_btc_depth_20'] = self.onDepth
+        self.cbDict['ok_sub_spotcny_ltc_depth_20'] = self.onDepth
+        
+        self.cbDict['ok_spotcny_userinfo'] = self.onSpotUserInfo
+        self.cbDict['ok_spotcny_orderinfo'] = self.onSpotOrderInfo
+        
+        self.cbDict['ok_sub_spotcny_userinfo'] = self.onSpotSubUserInfo
+        self.cbDict['ok_sub_spotcny_trades'] = self.onSpotSubTrades
+        
+        self.cbDict['ok_spotcny_trade'] = self.onSpotTrade
+        self.cbDict['ok_spotcny_cancel_order'] = self.onSpotCancelOrder        
+
+        # USD_FUTURES
+        
+    #----------------------------------------------------------------------
+    def onTicker(self, data):
+        """"""
+        if 'data' not in data:
+            return
+        
+        channel = data['channel']
+        symbol = channelSymbolMap[channel]
+        
+        if symbol not in self.tickDict:
+            tick = VtTickData()
+            tick.symbol = symbol
+            tick.vtSymbol = symbol
+            tick.gatewayName = self.gatewayName
+            self.tickDict[symbol] = tick
+        else:
+            tick = self.tickDict[symbol]
+        
+        rawData = data['data']
+        tick.highPrice = float(rawData['high'])
+        tick.lowPrice = float(rawData['low'])
+        tick.lastPrice = float(rawData['last'])
+        tick.volume = float(rawData['vol'].replace(',', ''))
+        tick.date, tick.time = generateDateTime(rawData['timestamp'])
+        
+        newtick = copy(tick)
+        self.gateway.onTick(newtick)
+    
+    #----------------------------------------------------------------------
+    def onDepth(self, data):
+        """"""
+        if 'data' not in data:
+            return
+        
+        channel = data['channel']
+        symbol = channelSymbolMap[channel]
+        
+        if symbol not in self.tickDict:
+            tick = VtTickData()
+            tick.symbol = symbol
+            tick.vtSymbol = symbol
+            tick.gatewayName = self.gatewayName
+            self.tickDict[symbol] = tick
+        else:
+            tick = self.tickDict[symbol]
+        
+        if 'data' not in data:
+            return
+        rawData = data['data']
+        
+        tick.bidPrice1, tick.bidVolume1 = rawData['bids'][0]
+        tick.bidPrice2, tick.bidVolume2 = rawData['bids'][1]
+        tick.bidPrice3, tick.bidVolume3 = rawData['bids'][2]
+        tick.bidPrice4, tick.bidVolume4 = rawData['bids'][3]
+        tick.bidPrice5, tick.bidVolume5 = rawData['bids'][4]
+        
+        tick.askPrice1, tick.askVolume1 = rawData['asks'][0]
+        tick.askPrice2, tick.askVolume2 = rawData['asks'][1]
+        tick.askPrice3, tick.askVolume3 = rawData['asks'][2]
+        tick.askPrice4, tick.askVolume4 = rawData['asks'][3]
+        tick.askPrice5, tick.askVolume5 = rawData['asks'][4]            
+        
+        newtick = copy(tick)
+        self.gateway.onTick(newtick)
+    
+    #----------------------------------------------------------------------
+    def onSpotUserInfo(self, data):
+        """现货账户资金推送"""
+        rawData = data['data']
+        info = rawData['info']
+        funds = rawData['info']['funds']
+        
+        # 持仓信息
+        for symbol in ['btc', 'ltc', self.currency]:
+            if symbol in funds['free']:
+                pos = VtPositionData()
+                pos.gatewayName = self.gatewayName
+                
+                pos.symbol = symbol
+                pos.vtSymbol = symbol
+                pos.vtPositionName = symbol
+                pos.direction = DIRECTION_NET
+                
+                pos.frozen = float(funds['freezed'][symbol])
+                pos.position = pos.frozen + float(funds['free'][symbol])
+                
+                self.gateway.onPosition(pos)
+
+        # 账户资金
+        account = VtAccountData()
+        account.gatewayName = self.gatewayName
+        account.accountID = self.gatewayName
+        account.vtAccountID = account.accountID
+        account.balance = float(funds['asset']['net'])
+        self.gateway.onAccount(account)    
+        
+    #----------------------------------------------------------------------
+    def onSpotSubUserInfo(self, data):
+        """现货账户资金推送"""
+        if 'data' not in data:
+            return
+        
+        rawData = data['data']
+        info = rawData['info']
+        
+        # 持仓信息
+        for symbol in ['btc', 'ltc', self.currency]:
+            if symbol in info['free']:
+                pos = VtPositionData()
+                pos.gatewayName = self.gatewayName
+                
+                pos.symbol = symbol
+                pos.vtSymbol = symbol
+                pos.vtPositionName = symbol
+                pos.direction = DIRECTION_NET
+                
+                pos.frozen = float(info['freezed'][symbol])
+                pos.position = pos.frozen + float(info['free'][symbol])
+                
+                self.gateway.onPosition(pos)  
+                
+    #----------------------------------------------------------------------
+    def onSpotSubTrades(self, data):
+        """成交和委托推送"""
+        if 'data' not in data:
+            return
+        rawData = data['data']
+        
+        # 委托信息
+        orderID = str(rawData['orderId'])
+        if orderID not in self.orderDict:
+            order = VtOrderData()
+            order.gatewayName = self.gatewayName
+            
+            order.symbol = spotSymbolMap[rawData['symbol']]
+            order.vtSymbol = order.symbol
+    
+            order.orderID = str(rawData['orderId'])
+            order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
+            
+            order.price = float(rawData['tradeUnitPrice'])
+            order.totalVolume = float(rawData['tradeAmount'])
+            order.direction, priceType = priceTypeMap[rawData['tradeType']]    
+            
+            self.orderDict[orderID] = order
+        else:
+            order = self.orderDict[orderID]
+            
+        order.tradedVolume = float(rawData['completedTradeAmount'])
+        order.status = statusMap[rawData['status']]
+        
+        self.gateway.onOrder(copy(order))
+        
+        # 成交信息
+        if 'sigTradeAmount' in rawData and float(rawData['sigTradeAmount'])>0:
+            trade = VtTradeData()
+            trade.gatewayName = self.gatewayName
+            
+            trade.symbol = spotSymbolMap[rawData['symbol']]
+            trade.vtSymbol = order.symbol            
+            
+            trade.tradeID = str(rawData['id'])
+            trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
+            
+            trade.orderID = str(rawData['orderId'])
+            trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
+            
+            trade.price = float(rawData['sigTradePrice'])
+            trade.volume = float(rawData['sigTradeAmount'])
+            
+            trade.direction, priceType = priceTypeMap[rawData['tradeType']]    
+            
+            trade.tradeTime = datetime.now().strftime('%H:%M:%S')
+            
+            self.gateway.onTrade(trade)
+        
+    #----------------------------------------------------------------------
+    def onSpotOrderInfo(self, data):
+        """委托信息查询回调"""
+        rawData = data['data']
+        
+        for d in rawData['orders']:
+            orderID = str(d['order_id'])
+            
+            if orderID not in self.orderDict:
+                order = VtOrderData()
+                order.gatewayName = self.gatewayName
+                
+                order.symbol = spotSymbolMap[d['symbol']]
+                order.vtSymbol = order.symbol
+    
+                order.orderID = str(d['order_id'])
+                order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
+                
+                order.price = d['price']
+                order.totalVolume = d['amount']
+                order.direction, priceType = priceTypeMap[d['type']]
+                
+                self.orderDict[orderID] = order
+            else:
+                order = self.orderDict[orderID]
+                
+            order.tradedVolume = d['deal_amount']
+            order.status = statusMap[d['status']]            
+            
+            self.gateway.onOrder(copy(order))
+    
+    #----------------------------------------------------------------------
+    def generateSpecificContract(self, contract, symbol):
+        """生成合约"""
+        new = copy(contract)
+        new.symbol = symbol
+        new.vtSymbol = symbol
+        new.name = symbol
+        return new
+
+    #----------------------------------------------------------------------
+    def generateCnyContract(self):
+        """生成CNY合约信息"""
+        contractList = []
+        
+        contract = VtContractData()
+        contract.exchange = EXCHANGE_OKCOIN
+        contract.productClass = PRODUCT_SPOT
+        contract.size = 1
+        contract.priceTick = 0.01
+        
+        contractList.append(self.generateSpecificContract(contract, BTC_CNY_SPOT))
+        contractList.append(self.generateSpecificContract(contract, LTC_CNY_SPOT))
+        
+        return contractList
+    
+    #----------------------------------------------------------------------
+    def generateUsdContract(self):
+        """生成USD合约信息"""
+        contractList = []
+        
+        # 现货
+        contract = VtContractData()
+        contract.exchange = EXCHANGE_OKCOIN
+        contract.productClass = PRODUCT_SPOT
+        contract.size = 1
+        contract.priceTick = 0.01
+        
+        contractList.append(self.generateSpecificContract(contract, BTC_USD_SPOT))
+        contractList.append(self.generateSpecificContract(contract, LTC_USD_SPOT))
+        
+        # 期货
+        contract.productClass = PRODUCT_FUTURES
+        
+        contractList.append(self.generateSpecificContract(contract, BTC_USD_THISWEEK))
+        contractList.append(self.generateSpecificContract(contract, BTC_USD_NEXTWEEK))
+        contractList.append(self.generateSpecificContract(contract, BTC_USD_QUARTER))
+        contractList.append(self.generateSpecificContract(contract, LTC_USD_THISWEEK))
+        contractList.append(self.generateSpecificContract(contract, LTC_USD_NEXTWEEK))
+        contractList.append(self.generateSpecificContract(contract, LTC_USD_QUARTER))
+        
+        return contractList        
+    
+    #----------------------------------------------------------------------
+    def onSpotTrade(self, data):
+        """委托回报"""
+        rawData = data['data']
+        self.lastOrderID = rawData['order_id']
+        
+        # 收到委托号后，通知发送委托的线程返回委托号
+        self.orderCondition.acquire()
+        self.orderCondition.notify()
+        self.orderCondition.release()
+    
+    #----------------------------------------------------------------------
+    def onSpotCancelOrder(self, data):
+        """撤单回报"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def spotSendOrder(self, req):
+        """发单"""
+        symbol = spotSymbolMapReverse[req.symbol][:4]
+        type_ = priceTypeMapReverse[(req.direction, req.priceType)]
+        self.spotTrade(symbol, type_, str(req.price), str(req.volume))
+        
+        # 等待发单回调推送委托号信息
+        self.orderCondition.acquire()
+        self.orderCondition.wait()
+        self.orderCondition.release()
+        
+        vtOrderID = '.'.join([self.gatewayName, self.lastOrderID])
+        self.lastOrderID = ''
+        return vtOrderID
+    
+    #----------------------------------------------------------------------
+    def spotCancel(self, req):
+        """撤单"""
+        symbol = spotSymbolMapReverse[req.symbol][:4]
+        self.spotCancelOrder(symbol, req.orderID)
+        
+    
+#----------------------------------------------------------------------
+def generateDateTime(s):
+    """生成时间"""
+    dt = datetime.fromtimestamp(float(s)/1e3)
+    time = dt.strftime("%H:%M:%S.%f")
+    date = dt.strftime("%Y%m%d")
+    return date, time

vn.trader/okcoinGateway/vnokcoin.py

@@ -0,0 +1,382 @@
+# encoding: UTF-8
+
+import hashlib
+import zlib
+import json
+from time import sleep
+from threading import Thread
+
+import websocket    
+
+
+# OKCOIN网站
+OKCOIN_CNY = 'wss://real.okcoin.cn:10440/websocket/okcoinapi'
+OKCOIN_USD = 'wss://real.okcoin.com:10440/websocket/okcoinapi'
+
+# 账户货币代码
+CURRENCY_CNY = 'cny'
+CURRENCY_USD = 'usd'
+
+# 电子货币代码
+SYMBOL_BTC = 'btc'
+SYMBOL_LTC = 'ltc'
+
+# 行情深度
+DEPTH_20 = 20
+DEPTH_60 = 60
+
+# K线时间区间
+INTERVAL_1M = '1min'
+INTERVAL_3M = '3min'
+INTERVAL_5M = '5min'
+INTERVAL_15M = '15min'
+INTERVAL_30M = '30min'
+INTERVAL_1H = '1hour'
+INTERVAL_2H = '2hour'
+INTERVAL_4H = '4hour'
+INTERVAL_6H = '6hour'
+INTERVAL_1D = 'day'
+INTERVAL_3D = '3day'
+INTERVAL_1W = 'week'
+
+# 交易代码，需要后缀货币名才能完整
+TRADING_SYMBOL_BTC = 'btc_'
+TRADING_SYMBOL_LTC = 'ltc_'
+
+# 委托类型
+TYPE_BUY = 'buy'
+TYPE_SELL = 'sell'
+TYPE_BUY_MARKET = 'buy_market'
+TYPE_SELL_MARKET = 'sell_market'
+
+# 期货合约到期类型
+FUTURE_EXPIRY_THIS_WEEK = 'this_week'
+FUTURE_EXPIRY_NEXT_WEEK = 'next_week'
+FUTURE_EXPIRY_QUARTER = 'quarter'
+
+# 期货委托类型
+FUTURE_TYPE_LONG = 1
+FUTURE_TYPE_SHORT = 2
+FUTURE_TYPE_SELL = 3
+FUTURE_TYPE_COVER = 4
+
+# 期货是否用现价
+FUTURE_ORDER_MARKET = 1
+FUTURE_ORDER_LIMIT = 0
+
+# 期货杠杆
+FUTURE_LEVERAGE_10 = 10
+FUTURE_LEVERAGE_20 = 20
+
+# 委托状态
+ORDER_STATUS_NOTTRADED = 0
+ORDER_STATUS_PARTTRADED = 1
+ORDER_STATUS_ALLTRADED = 2
+ORDER_STATUS_CANCELLED = -1
+ORDER_STATUS_CANCELLING = 4
+
+
+########################################################################
+class OkCoinApi(object):
+    """基于Websocket的API对象"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.apiKey = ''        # 用户名
+        self.secretKey = ''     # 密码
+        self.host = ''          # 服务器地址
+        
+        self.currency = ''      # 货币类型（usd或者cny）
+        
+        self.ws = None          # websocket应用对象
+        self.thread = None      # 工作线程
+    
+    #######################
+    ## 通用函数
+    #######################
+    
+    #----------------------------------------------------------------------
+    def readData(self, evt):
+        """解压缩推送收到的数据"""
+        # 创建解压器
+        decompress = zlib.decompressobj(-zlib.MAX_WBITS)
+        
+        # 将原始数据解压成字符串
+        inflated = decompress.decompress(evt) + decompress.flush()
+        
+        # 通过json解析字符串
+        data = json.loads(inflated)
+        
+        return data
+    
+    #----------------------------------------------------------------------
+    def generateSign(self, params):
+        """生成签名"""
+        l = []
+        for key in sorted(params.keys()):
+            l.append('%s=%s' %(key, params[key]))
+        l.append('secret_key=%s' %self.secretKey)
+        sign = '&'.join(l)
+        return hashlib.md5(sign.encode('utf-8')).hexdigest().upper()
+    
+    #----------------------------------------------------------------------
+    def onMessage(self, ws, evt):
+        """信息推送""" 
+        print 'onMessage'
+        data = self.readData(evt)
+        print data
+        
+    #----------------------------------------------------------------------
+    def onError(self, ws, evt):
+        """错误推送"""
+        print 'onError'
+        print evt
+        
+    #----------------------------------------------------------------------
+    def onClose(self, ws):
+        """接口断开"""
+        print 'onClose'
+        
+    #----------------------------------------------------------------------
+    def onOpen(self, ws):
+        """接口打开"""
+        print 'onOpen'
+        
+    #----------------------------------------------------------------------
+    def connect(self, host, apiKey, secretKey, trace=False):
+        """连接服务器"""
+        self.host = host
+        self.apiKey = apiKey
+        self.secretKey = secretKey
+        
+        if self.host == OKCOIN_CNY:
+            self.currency = CURRENCY_CNY
+        else:
+            self.currency = CURRENCY_USD
+            
+        websocket.enableTrace(trace)
+        
+        self.ws = websocket.WebSocketApp(host, 
+                                         on_message=self.onMessage,
+                                         on_error=self.onError,
+                                         on_close=self.onClose,
+                                         on_open=self.onOpen)        
+        
+        self.thread = Thread(target=self.ws.run_forever)
+        self.thread.start()
+        
+    #----------------------------------------------------------------------
+    def sendMarketDataRequest(self, channel):
+        """发送行情请求"""
+        # 生成请求
+        d = {}
+        d['event'] = 'addChannel'
+        d['binary'] = True
+        d['channel'] = channel
+        
+        # 使用json打包并发送
+        j = json.dumps(d)
+        self.ws.send(j)
+        
+    #----------------------------------------------------------------------
+    def sendTradingRequest(self, channel, params):
+        """发送交易请求"""
+        # 在参数字典中加上api_key和签名字段
+        params['api_key'] = self.apiKey
+        params['sign'] = self.generateSign(params)
+        
+        # 生成请求
+        d = {}
+        d['event'] = 'addChannel'
+        d['binary'] = True
+        d['channel'] = channel        
+        d['parameters'] = params
+        
+        # 使用json打包并发送
+        j = json.dumps(d)
+        self.ws.send(j)        
+    
+    #######################
+    ## 现货相关
+    #######################        
+    
+    #----------------------------------------------------------------------
+    def subscribeSpotTicker(self, symbol):
+        """订阅现货普通报价"""
+        self.sendMarketDataRequest('ok_sub_spot%s_%s_ticker' %(self.currency, symbol))
+    
+    #----------------------------------------------------------------------
+    def subscribeSpotDepth(self, symbol, depth):
+        """订阅现货深度报价"""
+        self.sendMarketDataRequest('ok_sub_spot%s_%s_depth_%s' %(self.currency, symbol, depth))   
+        
+    #----------------------------------------------------------------------
+    def subscribeSpotTradeData(self, symbol):
+        """订阅现货成交记录"""
+        self.sendMarketDataRequest('ok_sub_spot%s_%s_trades' %(self.currency, symbol))
+        
+    #----------------------------------------------------------------------
+    def subscribeSpotKline(self, symbol, interval):
+        """订阅现货K线"""
+        self.sendMarketDataRequest('ok_sub_spot%s_%s_kline_%s' %(self.currency, symbol, interval))
+        
+    #----------------------------------------------------------------------
+    def spotTrade(self, symbol, type_, price, amount):
+        """现货委托"""
+        params = {}
+        params['symbol'] = str(symbol+self.currency)
+        params['type'] = str(type_)
+        params['price'] = str(price)
+        params['amount'] = str(amount)
+        
+        channel = 'ok_spot%s_trade' %(self.currency)
+        
+        self.sendTradingRequest(channel, params)
+        
+    #----------------------------------------------------------------------
+    def spotCancelOrder(self, symbol, orderid):
+        """现货撤单"""
+        params = {}
+        params['symbol'] = str(symbol+self.currency)
+        params['order_id'] = str(orderid)
+        
+        channel = 'ok_spot%s_cancel_order' %(self.currency)
+
+        self.sendTradingRequest(channel, params)
+        
+    #----------------------------------------------------------------------
+    def spotUserInfo(self):
+        """查询现货账户"""
+        channel = 'ok_spot%s_userinfo' %(self.currency)
+        
+        self.sendTradingRequest(channel, {})
+        
+    #----------------------------------------------------------------------
+    def spotOrderInfo(self, symbol, orderid):
+        """查询现货委托信息"""
+        params = {}
+        params['symbol'] = str(symbol+self.currency)
+        params['order_id'] = str(orderid)
+        
+        channel = 'ok_spot%s_orderinfo' %(self.currency)
+        
+        self.sendTradingRequest(channel, params)
+        
+    #----------------------------------------------------------------------
+    def subscribeSpotTrades(self):
+        """订阅现货成交信息"""
+        channel = 'ok_sub_spot%s_trades' %(self.currency)
+        
+        self.sendTradingRequest(channel, {})
+        
+    #----------------------------------------------------------------------
+    def subscribeSpotUserInfo(self):
+        """订阅现货账户信息"""
+        channel = 'ok_sub_spot%s_userinfo' %(self.currency)
+        
+        self.sendTradingRequest(channel, {})
+    
+    #######################
+    ## 期货相关
+    #######################       
+    
+    #----------------------------------------------------------------------
+    def subscribeFutureTicker(self, symbol, expiry):
+        """订阅期货普通报价"""
+        self.sendMarketDataRequest('ok_sub_future%s_%s_ticker_%s' %(self.currency, symbol, expiry))
+    
+    #----------------------------------------------------------------------
+    def subscribeFutureDepth(self, symbol, expiry, depth):
+        """订阅期货深度报价"""
+        self.sendMarketDataRequest('ok_sub_future%s_%s_depth_%s_%s' %(self.currency, symbol, 
+                                                                      expiry, depth))   
+        
+    #----------------------------------------------------------------------
+    def subscribeFutureTradeData(self, symbol, expiry):
+        """订阅期货成交记录"""
+        self.sendMarketDataRequest('ok_sub_future%s_%s_trade_%s' %(self.currency, symbol, expiry))
+        
+    #----------------------------------------------------------------------
+    def subscribeFutureKline(self, symbol, expiry, interval):
+        """订阅期货K线"""
+        self.sendMarketDataRequest('ok_sub_future%s_%s_kline_%s_%s' %(self.currency, symbol, 
+                                                                      expiry, interval))
+        
+    #----------------------------------------------------------------------
+    def subscribeFutureIndex(self, symbol):
+        """订阅期货指数"""
+        self.sendMarketDataRequest('ok_sub_future%s_%s_index' %(self.currency, symbol))
+    
+    #----------------------------------------------------------------------
+    def futureTrade(self, symbol, expiry, type_, price, amount, order, leverage):
+        """期货委托"""
+        params = {}
+        params['symbol'] = str(symbol+self.currency)
+        params['type'] = str(type_)
+        params['price'] = str(price)
+        params['amount'] = str(amount)
+        params['contract_type'] = str(expiry)
+        params['match_price'] = str(order)
+        params['lever_rate'] = str(leverage)
+        
+        channel = 'ok_future%s_trade' %(self.currency)
+        
+        self.sendTradingRequest(channel, params)
+        
+    #----------------------------------------------------------------------
+    def futureCancelOrder(self, symbol, expiry, orderid):
+        """期货撤单"""
+        params = {}
+        params['symbol'] = str(symbol+self.currency)
+        params['order_id'] = str(orderid)
+        params['contract_type'] = str(expiry)
+        
+        channel = 'ok_future%s_cancel_order' %(self.currency)
+
+        self.sendTradingRequest(channel, params)
+        
+    #----------------------------------------------------------------------
+    def futureUserInfo(self):
+        """查询期货账户"""
+        channel = 'ok_future%s_userinfo' %(self.currency)
+        
+        self.sendTradingRequest(channel, {})
+        
+    #----------------------------------------------------------------------
+    def futureOrderInfo(self, symbol, expiry, orderid, status, page, length):
+        """查询期货委托信息"""
+        params = {}
+        params['symbol'] = str(symbol+self.currency)
+        params['order_id'] = str(orderid)
+        params['contract_type'] = expiry
+        params['status'] = status
+        params['current_page'] = page
+        params['page_length'] = length
+        
+        channel = 'ok_future%s_orderinfo'
+        
+        self.sendTradingRequest(channel, params)
+        
+    #----------------------------------------------------------------------
+    def subscribeFutureTrades(self):
+        """订阅期货成交信息"""
+        channel = 'ok_sub_future%s_trades' %(self.currency)
+        
+        self.sendTradingRequest(channel, {})
+        
+    #----------------------------------------------------------------------
+    def subscribeFutureUserInfo(self):
+        """订阅期货账户信息"""
+        channel = 'ok_sub_future%s_userinfo' %(self.currency)
+        
+        self.sendTradingRequest(channel, {})
+        
+    #----------------------------------------------------------------------
+    def subscribeFuturePositions(self):
+        """订阅期货持仓信息"""
+        channel = 'ok_sub_future%s_positions' %(self.currency)
+        
+        self.sendTradingRequest(channel, {})    
+    
+

vn.trader/uiMainWindow.py

@@ -89,6 +89,9 @@ class MainWindow(QtGui.QMainWindow):
         connectOandaAction = QtGui.QAction(u'连接OANDA', self)
         connectOandaAction.triggered.connect(self.connectOanda)
         
+        connectOkcoinAction = QtGui.QAction(u'连接OKCOIN', self)
+        connectOkcoinAction.triggered.connect(self.connectOkcoin)        
+        
         connectDbAction = QtGui.QAction(u'连接数据库', self)
         connectDbAction.triggered.connect(self.mainEngine.dbConnect)
         
@@ -137,6 +140,8 @@ class MainWindow(QtGui.QMainWindow):
             sysMenu.addAction(connectIbAction)    
         if 'OANDA' in self.mainEngine.gatewayDict:
             sysMenu.addAction(connectOandaAction)
+        if 'OKCOIN' in self.mainEngine.gatewayDict:
+            sysMenu.addAction(connectOkcoinAction)        
         sysMenu.addSeparator()
         if 'Wind' in self.mainEngine.gatewayDict:
             sysMenu.addAction(connectWindAction)
@@ -239,6 +244,11 @@ class MainWindow(QtGui.QMainWindow):
         """连接OANDA"""
         self.mainEngine.connect('OANDA')
         
+    #----------------------------------------------------------------------
+    def connectOkcoin(self):
+        """连接OKCOIN"""
+        self.mainEngine.connect('OKCOIN')    
+        
     #----------------------------------------------------------------------
     def test(self):
         """测试按钮用的函数"""

vn.trader/vtConstant.py

@@ -69,6 +69,7 @@ EXCHANGE_GLOBEX = 'GLOBEX'     # CME电子交易平台
 EXCHANGE_IDEALPRO = 'IDEALPRO' # IB外汇ECN
 
 EXCHANGE_OANDA = 'OANDA'       # OANDA外汇做市商
+EXCHANGE_OKCOIN = 'OKCOIN'     # OKCOIN比特币交易所
 
 # 货币类型
 CURRENCY_USD = 'USD'            # 美元

vn.trader/vtEngine.py

@@ -115,6 +115,13 @@ class MainEngine(object):
         except Exception, e:
             print e
         
+        try:
+            from okcoinGateway.okcoinGateway import OkcoinGateway
+            self.addGateway(OkcoinGateway, 'OKCOIN')
+            self.gatewayDict['OKCOIN'].setQryEnabled(True)
+        except Exception, e:
+            print e        
+
     #----------------------------------------------------------------------
     def addGateway(self, gateway, gatewayName=None):
         """创建接口"""