[Add] query_history function for OkexfGateway

examples/vn_trader/run.py

@@ -4,21 +4,21 @@ from vnpy.event import EventEngine
 from vnpy.trader.engine import MainEngine
 from vnpy.trader.ui import MainWindow, create_qapp
 
-from vnpy.gateway.binance import BinanceGateway
+# from vnpy.gateway.binance import BinanceGateway
 # from vnpy.gateway.bitmex import BitmexGateway
 # from vnpy.gateway.futu import FutuGateway
 # from vnpy.gateway.ib import IbGateway
 # from vnpy.gateway.ctp import CtpGateway
 # from vnpy.gateway.ctptest import CtptestGateway
-from vnpy.gateway.mini import MiniGateway
+# from vnpy.gateway.mini import MiniGateway
 # from vnpy.gateway.femas import FemasGateway
 # from vnpy.gateway.tiger import TigerGateway
 # from vnpy.gateway.oes import OesGateway
-# from vnpy.gateway.okex import OkexGateway
+from vnpy.gateway.okex import OkexGateway
 # from vnpy.gateway.huobi import HuobiGateway
 # from vnpy.gateway.bitfinex import BitfinexGateway
 # from vnpy.gateway.onetoken import OnetokenGateway
-# from vnpy.gateway.okexf import OkexfGateway
+from vnpy.gateway.okexf import OkexfGateway
 # from vnpy.gateway.xtp import XtpGateway
 # from vnpy.gateway.hbdm import HbdmGateway
 # from vnpy.gateway.tap import TapGateway
@@ -43,21 +43,21 @@ def main():
 
     main_engine = MainEngine(event_engine)
 
-    main_engine.add_gateway(BinanceGateway)
+    # main_engine.add_gateway(BinanceGateway)
     # main_engine.add_gateway(CtpGateway)
     # main_engine.add_gateway(CtptestGateway)
-    main_engine.add_gateway(MiniGateway)
+    # main_engine.add_gateway(MiniGateway)
     # main_engine.add_gateway(FemasGateway)
     # main_engine.add_gateway(IbGateway)
     # main_engine.add_gateway(FutuGateway)
     # main_engine.add_gateway(BitmexGateway)
     # main_engine.add_gateway(TigerGateway)
     # main_engine.add_gateway(OesGateway)
-    # main_engine.add_gateway(OkexGateway)
+    main_engine.add_gateway(OkexGateway)
     # main_engine.add_gateway(HuobiGateway)
     # main_engine.add_gateway(BitfinexGateway)
     # main_engine.add_gateway(OnetokenGateway)
-    # main_engine.add_gateway(OkexfGateway)
+    main_engine.add_gateway(OkexfGateway)
     # main_engine.add_gateway(HbdmGateway)
     # main_engine.add_gateway(XtpGateway)
     # main_engine.add_gateway(TapGateway)

vnpy/gateway/okexf/okexf_gateway.py

@@ -25,6 +25,7 @@ from vnpy.trader.constant import (
     Product,
     Status,
     Offset,
+    Interval
 )
 from vnpy.trader.gateway import BaseGateway
 from vnpy.trader.object import (
@@ -33,10 +34,12 @@ from vnpy.trader.object import (
     TradeData,
     AccountData,
     ContractData,
+    PositionData,
+    BarData,
     OrderRequest,
     CancelRequest,
     SubscribeRequest,
-    PositionData,
+    HistoryRequest
 )
 REST_HOST = "https://www.okex.com"
 WEBSOCKET_HOST = "wss://real.okex.com:10442/ws/v3"
@@ -61,6 +64,19 @@ TYPE_OKEXF2VT = {
 }
 TYPE_VT2OKEXF = {v: k for k, v in TYPE_OKEXF2VT.items()}
 
+INTERVAL_VT2OKEXF = {
+    Interval.MINUTE: "60",
+    Interval.HOUR: "3600",
+    Interval.DAILY: "86400",
+}
+
+TIMEDELTA_MAP = {
+    Interval.MINUTE: timedelta(minutes=1),
+    Interval.HOUR: timedelta(hours=1),
+    Interval.DAILY: timedelta(days=1),
+}
+
+
 instruments = set()
 currencies = set()
 
@@ -130,6 +146,10 @@ class OkexfGateway(BaseGateway):
         """"""
         pass
 
+    def query_history(self, req: HistoryRequest):
+        """"""
+        return self.rest_api.query_history(req)
+
     def close(self):
         """"""
         self.rest_api.stop()
@@ -337,6 +357,7 @@ class OkexfRestApi(RestClient):
                 product=Product.FUTURES,
                 size=int(instrument_data["trade_increment"]),
                 pricetick=float(instrument_data["tick_size"]),
+                history_data=True,
                 gateway_name=self.gateway_name,
             )
             self.gateway.on_contract(contract)
@@ -510,6 +531,68 @@ class OkexfRestApi(RestClient):
             self.exception_detail(exception_type, exception_value, tb, request)
         )
 
+    def query_history(self, req: HistoryRequest):
+        """"""
+        buf = {}
+        end_time = None
+
+        for i in range(10):
+            path = f"/api/futures/v3/instruments/{req.symbol}/candles"
+            
+            # Create query params
+            params = {}
+            if end_time:
+                params["end"] = end_time
+
+            # Get response from server
+            resp = self.request(
+                "GET",
+                path,
+                params=params
+            )
+
+            # Break if request failed with other status code
+            if resp.status_code // 100 != 2:
+                msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
+                self.gateway.write_log(msg)
+                break
+            else:
+                data = resp.json()
+                if not data:
+                    msg = f"获取历史数据为空"
+                    break
+
+                for l in data:
+                    ts, o, h, l, c, v, _ = l
+                    dt = datetime.strptime(ts, "%Y-%m-%dT%H:%M:%S.%fZ")
+                    bar = BarData(
+                        symbol=req.symbol,
+                        exchange=req.exchange,
+                        datetime=dt,
+                        interval=req.interval,
+                        volume=float(v),
+                        open_price=float(o),
+                        high_price=float(h),
+                        low_price=float(l),
+                        close_price=float(c),
+                        gateway_name=self.gateway_name
+                    )
+                    buf[bar.datetime] = bar
+
+                begin = data[-1][0]
+                end = data[0][0]
+                msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}"
+                self.gateway.write_log(msg)
+
+                # Update start time
+                end_time = begin
+
+        index = list(buf.keys())
+        index.sort()
+        
+        history = [buf[i] for i in index]
+        return history
+
 
 class OkexfWebsocketApi(WebsocketClient):
     """"""