From eaffb3caf60a7fdc9f66427a731fc9d37576e4e5 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Thu, 12 Mar 2020 23:25:39 +0800 Subject: [PATCH] =?UTF-8?q?[bug=20fix]=20=E4=BF=AE=E5=A4=8DOffset?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/gateway/binancef/binancef_gateway.py | 171 ++++++++++++++++++---- 1 file changed, 144 insertions(+), 27 deletions(-) diff --git a/vnpy/gateway/binancef/binancef_gateway.py b/vnpy/gateway/binancef/binancef_gateway.py index 66c367c8..278799c0 100644 --- a/vnpy/gateway/binancef/binancef_gateway.py +++ b/vnpy/gateway/binancef/binancef_gateway.py @@ -6,6 +6,7 @@ import urllib import hashlib import hmac import time +import json from copy import copy from datetime import datetime, timedelta from enum import Enum @@ -16,6 +17,7 @@ from vnpy.api.rest import RestClient, Request from vnpy.api.websocket import WebsocketClient from vnpy.trader.constant import ( Direction, + Offset, Exchange, Product, Status, @@ -162,6 +164,8 @@ class BinancefGateway(BaseGateway): """""" self.rest_api.keep_user_stream() + def get_order(self, orderid: str): + return self.rest_api.get_order(orderid) class BinancefRestApi(RestClient): """ @@ -189,6 +193,8 @@ class BinancefRestApi(RestClient): self.order_count_lock: Lock = Lock() self.connect_time: int = 0 + self.orders = {} + def sign(self, request: Request) -> Request: """ Generate BINANCE signature. @@ -273,6 +279,8 @@ class BinancefRestApi(RestClient): self.query_position() self.query_order() self.query_contract() + self.query_trade() + self.start_user_stream() def query_time(self) -> Request: @@ -334,12 +342,32 @@ class BinancefRestApi(RestClient): data=data ) + + def query_trade(self, vt_symbol: str = '') -> Request: + """""" + data = {"security": Security.SIGNED} + if vt_symbol: + if '.' in vt_symbol: + vt_symbol = vt_symbol.split('.')[0] + data.update({'symbol': vt_symbol}) + + self.add_request( + method="GET", + path="/fapi/v1/userTrades", + callback=self.on_query_trade, + data=data + ) + def _new_order_id(self) -> int: """""" with self.order_count_lock: self.order_count += 1 return self.order_count + def get_order(self, orderid: str): + """返回缓存的Order""" + return self.orders.get(orderid, None) + def send_order(self, req: OrderRequest) -> str: """""" orderid = str(self.connect_time + self._new_order_id()) @@ -347,6 +375,7 @@ class BinancefRestApi(RestClient): orderid, self.gateway_name ) + self.orders.update({orderid: copy(order)}) self.gateway.on_order(order) data = { @@ -457,18 +486,68 @@ class BinancefRestApi(RestClient): def on_query_position(self, data: dict, request: Request) -> None: """""" for d in data: - position = PositionData( - symbol=d["symbol"], - exchange=Exchange.BINANCE, - direction=Direction.NET, - volume=int(float(d["positionAmt"])), - price=float(d["entryPrice"]), - pnl=float(d["unRealizedProfit"]), - gateway_name=self.gateway_name, - ) + volume = float(d["positionAmt"]) - if position.volume: - self.gateway.on_position(position) + if volume > 0: + long_position = PositionData( + symbol=d["symbol"], + exchange=Exchange.BINANCE, + direction=Direction.LONG, + volume=abs(volume), + price=float(d["entryPrice"]), + pnl=float(d["unRealizedProfit"]), + gateway_name=self.gateway_name, + ) + short_position = PositionData( + symbol=d["symbol"], + exchange=Exchange.BINANCE, + direction=Direction.LONG, + volume=0, + price=0, + pnl=0, + gateway_name=self.gateway_name, + ) + elif volume < 0: + long_position = PositionData( + symbol=d["symbol"], + exchange=Exchange.BINANCE, + direction=Direction.LONG, + volume=0, + price=0, + pnl=0, + gateway_name=self.gateway_name, + ) + short_position = PositionData( + symbol=d["symbol"], + exchange=Exchange.BINANCE, + direction=Direction.SHORT, + volume=abs(volume), + price=float(d["entryPrice"]), + pnl=float(d["unRealizedProfit"]), + gateway_name=self.gateway_name, + ) + else: + long_position = PositionData( + symbol=d["symbol"], + exchange=Exchange.BINANCE, + direction=Direction.LONG, + volume=0, + price=0, + pnl=0, + gateway_name=self.gateway_name, + ) + short_position = PositionData( + symbol=d["symbol"], + exchange=Exchange.BINANCE, + direction=Direction.SHORT, + volume=0, + price=0, + pnl=0, + gateway_name=self.gateway_name, + ) + + self.gateway.on_position(long_position) + self.gateway.on_position(short_position) self.gateway.write_log("持仓信息查询成功") @@ -491,10 +570,34 @@ class BinancefRestApi(RestClient): time=time, gateway_name=self.gateway_name, ) + self.orders.update({order.orderid: copy(order)}) self.gateway.on_order(order) self.gateway.write_log("委托信息查询成功") + + def on_query_trade(self, data: dict, request: Request) -> None: + """""" + for d in data: + dt = datetime.fromtimestamp(d["time"] / 1000) + time = dt.strftime("%Y-%m-%d %H:%M:%S") + + trade = TradeData( + symbol=d['symbol'], + exchange=Exchange.BINANCE, + orderid=d['orderId'], + tradeid=d["id"], + direction=Direction.SHORT if d['side'] == 'SELL' else Direction.LONG, + offset=Offset.CLOSE if d['buyer'] else Offset.OPEN, + price=float(d["price"]), + volume=float(d['qty']), + time=time, + gateway_name=self.gateway_name, + ) + self.gateway.on_trade(trade) + + self.gateway.write_log("委托信息查询成功") + def on_query_contract(self, data: dict, request: Request) -> None: """处理合约配置""" import json @@ -528,7 +631,6 @@ class BinancefRestApi(RestClient): gateway_name=self.gateway_name, ) self.gateway.on_contract(contract) - symbol_name_map[contract.symbol] = contract.name self.gateway.write_log("合约信息查询成功") @@ -543,6 +645,7 @@ class BinancefRestApi(RestClient): """ order = request.extra order.status = Status.REJECTED + self.orders.update({order.orderid: copy(order)}) self.gateway.on_order(order) msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}" @@ -556,6 +659,7 @@ class BinancefRestApi(RestClient): """ order = request.extra order.status = Status.REJECTED + self.orders.update({order.orderid: copy(order)}) self.gateway.on_order(order) # Record exception if not ConnectionError @@ -582,7 +686,7 @@ class BinancefRestApi(RestClient): """""" pass - def query_history(self, req: HistoryRequest) -> List[OrderData]: + def query_history(self, req: HistoryRequest) -> List[BarData]: """""" history = [] limit = 1000 @@ -605,7 +709,7 @@ class BinancefRestApi(RestClient): # Get response from server resp = self.request( "GET", - "/api/v1/klines", + "/fapi/v1/klines", data={"security": Security.NONE}, params=params ) @@ -712,24 +816,36 @@ class BinancefTradeWebsocketApi(WebsocketClient): def on_order(self, packet: dict) -> None: """""" + self.gateway.write_log(json.dumps(packet, indent=2)) dt = datetime.fromtimestamp(packet["E"] / 1000) time = dt.strftime("%Y-%m-%d %H:%M:%S") ord_data = packet["o"] + orderid = str(ord_data["c"]) - order = OrderData( - symbol=ord_data["s"], - exchange=Exchange.BINANCE, - orderid=str(ord_data["c"]), - type=ORDERTYPE_BINANCEF2VT[ord_data["o"]], - direction=DIRECTION_BINANCEF2VT[ord_data["S"]], - price=float(ord_data["p"]), - volume=float(ord_data["q"]), - traded=float(ord_data["z"]), - status=STATUS_BINANCEF2VT[ord_data["X"]], - time=time, - gateway_name=self.gateway_name - ) + order = self.gateway.get_order(orderid) + if order: + order.traded = float(ord_data["z"]) + order.status = STATUS_BINANCEF2VT[ord_data["X"]] + if order.status in [Status.CANCELLED, Status.REJECTED]: + order.cancel_time = time + if len(order.sys_orderid) == 0: + order.sys_orderid = str(ord_data["i"]) + else: + self.gateway.write_log(u'缓存中找不到Order,创建一个新的') + order = OrderData( + symbol=ord_data["s"], + exchange=Exchange.BINANCE, + orderid=str(ord_data["c"]), + type=ORDERTYPE_BINANCEF2VT[ord_data["o"]], + direction=DIRECTION_BINANCEF2VT[ord_data["S"]], + price=float(ord_data["p"]), + volume=float(ord_data["q"]), + traded=float(ord_data["z"]), + status=STATUS_BINANCEF2VT[ord_data["X"]], + time=time, + gateway_name=self.gateway_name + ) self.gateway.on_order(order) @@ -747,6 +863,7 @@ class BinancefTradeWebsocketApi(WebsocketClient): orderid=order.orderid, tradeid=ord_data["t"], direction=order.direction, + offset=order.offset, price=float(ord_data["L"]), volume=trade_volume, time=trade_time,