[bug fix] 修复Offset
This commit is contained in:
msincenselee
parent
59c1b6710f
commit
eaffb3caf6
@ -6,6 +6,7 @@ import urllib
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import hashlib
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import hmac
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import time
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import json
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from copy import copy
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from datetime import datetime, timedelta
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from enum import Enum
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@ -16,6 +17,7 @@ from vnpy.api.rest import RestClient, Request
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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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Offset,
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Exchange,
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Product,
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Status,
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@ -162,6 +164,8 @@ class BinancefGateway(BaseGateway):
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""""""
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self.rest_api.keep_user_stream()
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def get_order(self, orderid: str):
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return self.rest_api.get_order(orderid)
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class BinancefRestApi(RestClient):
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"""
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@ -189,6 +193,8 @@ class BinancefRestApi(RestClient):
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self.order_count_lock: Lock = Lock()
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self.connect_time: int = 0
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self.orders = {}
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def sign(self, request: Request) -> Request:
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"""
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Generate BINANCE signature.
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@ -273,6 +279,8 @@ class BinancefRestApi(RestClient):
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self.query_position()
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self.query_order()
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self.query_contract()
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self.query_trade()
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self.start_user_stream()
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def query_time(self) -> Request:
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@ -334,12 +342,32 @@ class BinancefRestApi(RestClient):
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data=data
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)
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def query_trade(self, vt_symbol: str = '') -> Request:
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""""""
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data = {"security": Security.SIGNED}
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if vt_symbol:
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if '.' in vt_symbol:
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vt_symbol = vt_symbol.split('.')[0]
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data.update({'symbol': vt_symbol})
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self.add_request(
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method="GET",
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path="/fapi/v1/userTrades",
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callback=self.on_query_trade,
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data=data
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)
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def _new_order_id(self) -> int:
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""""""
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with self.order_count_lock:
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self.order_count += 1
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return self.order_count
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def get_order(self, orderid: str):
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"""返回缓存的Order"""
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return self.orders.get(orderid, None)
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def send_order(self, req: OrderRequest) -> str:
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""""""
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orderid = str(self.connect_time + self._new_order_id())
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@ -347,6 +375,7 @@ class BinancefRestApi(RestClient):
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orderid,
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self.gateway_name
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)
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self.orders.update({orderid: copy(order)})
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self.gateway.on_order(order)
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data = {
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@ -457,18 +486,68 @@ class BinancefRestApi(RestClient):
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def on_query_position(self, data: dict, request: Request) -> None:
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""""""
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for d in data:
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position = PositionData(
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volume = float(d["positionAmt"])
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if volume > 0:
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long_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.NET,
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volume=int(float(d["positionAmt"])),
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direction=Direction.LONG,
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volume=abs(volume),
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price=float(d["entryPrice"]),
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pnl=float(d["unRealizedProfit"]),
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gateway_name=self.gateway_name,
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)
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short_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.LONG,
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volume=0,
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price=0,
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pnl=0,
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gateway_name=self.gateway_name,
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)
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elif volume < 0:
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long_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.LONG,
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volume=0,
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price=0,
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pnl=0,
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gateway_name=self.gateway_name,
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)
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short_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.SHORT,
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volume=abs(volume),
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price=float(d["entryPrice"]),
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pnl=float(d["unRealizedProfit"]),
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gateway_name=self.gateway_name,
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)
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else:
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long_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.LONG,
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volume=0,
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price=0,
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pnl=0,
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gateway_name=self.gateway_name,
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)
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short_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.SHORT,
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volume=0,
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price=0,
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pnl=0,
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gateway_name=self.gateway_name,
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)
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if position.volume:
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self.gateway.on_position(position)
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self.gateway.on_position(long_position)
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self.gateway.on_position(short_position)
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self.gateway.write_log("持仓信息查询成功")
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@ -491,10 +570,34 @@ class BinancefRestApi(RestClient):
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time=time,
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gateway_name=self.gateway_name,
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)
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self.orders.update({order.orderid: copy(order)})
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self.gateway.on_order(order)
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self.gateway.write_log("委托信息查询成功")
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def on_query_trade(self, data: dict, request: Request) -> None:
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""""""
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for d in data:
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dt = datetime.fromtimestamp(d["time"] / 1000)
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time = dt.strftime("%Y-%m-%d %H:%M:%S")
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trade = TradeData(
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symbol=d['symbol'],
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exchange=Exchange.BINANCE,
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orderid=d['orderId'],
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tradeid=d["id"],
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direction=Direction.SHORT if d['side'] == 'SELL' else Direction.LONG,
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offset=Offset.CLOSE if d['buyer'] else Offset.OPEN,
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price=float(d["price"]),
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volume=float(d['qty']),
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time=time,
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gateway_name=self.gateway_name,
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)
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self.gateway.on_trade(trade)
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self.gateway.write_log("委托信息查询成功")
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def on_query_contract(self, data: dict, request: Request) -> None:
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"""处理合约配置"""
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import json
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@ -528,7 +631,6 @@ class BinancefRestApi(RestClient):
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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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symbol_name_map[contract.symbol] = contract.name
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self.gateway.write_log("合约信息查询成功")
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@ -543,6 +645,7 @@ class BinancefRestApi(RestClient):
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"""
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order = request.extra
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order.status = Status.REJECTED
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self.orders.update({order.orderid: copy(order)})
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self.gateway.on_order(order)
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msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}"
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@ -556,6 +659,7 @@ class BinancefRestApi(RestClient):
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"""
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order = request.extra
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order.status = Status.REJECTED
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self.orders.update({order.orderid: copy(order)})
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self.gateway.on_order(order)
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# Record exception if not ConnectionError
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@ -582,7 +686,7 @@ class BinancefRestApi(RestClient):
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""""""
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pass
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def query_history(self, req: HistoryRequest) -> List[OrderData]:
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def query_history(self, req: HistoryRequest) -> List[BarData]:
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""""""
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history = []
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limit = 1000
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@ -605,7 +709,7 @@ class BinancefRestApi(RestClient):
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# Get response from server
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resp = self.request(
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"GET",
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"/api/v1/klines",
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"/fapi/v1/klines",
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data={"security": Security.NONE},
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params=params
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)
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@ -712,11 +816,23 @@ class BinancefTradeWebsocketApi(WebsocketClient):
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def on_order(self, packet: dict) -> None:
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""""""
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self.gateway.write_log(json.dumps(packet, indent=2))
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dt = datetime.fromtimestamp(packet["E"] / 1000)
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time = dt.strftime("%Y-%m-%d %H:%M:%S")
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ord_data = packet["o"]
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orderid = str(ord_data["c"])
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order = self.gateway.get_order(orderid)
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if order:
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order.traded = float(ord_data["z"])
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order.status = STATUS_BINANCEF2VT[ord_data["X"]]
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if order.status in [Status.CANCELLED, Status.REJECTED]:
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order.cancel_time = time
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if len(order.sys_orderid) == 0:
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order.sys_orderid = str(ord_data["i"])
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else:
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self.gateway.write_log(u'缓存中找不到Order,创建一个新的')
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order = OrderData(
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symbol=ord_data["s"],
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exchange=Exchange.BINANCE,
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@ -747,6 +863,7 @@ class BinancefTradeWebsocketApi(WebsocketClient):
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orderid=order.orderid,
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tradeid=ord_data["t"],
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direction=order.direction,
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offset=order.offset,
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price=float(ord_data["L"]),
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volume=trade_volume,
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time=trade_time,
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