[Mod] improve code quality of coinbase gateway
This commit is contained in:
vn.py
parent
77c2b52842
commit
eec5d0a769
@ -5,7 +5,6 @@ import sys
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import time
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from copy import copy
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from datetime import datetime, timedelta
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from threading import Lock
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import base64
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import uuid
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@ -127,7 +126,10 @@ class CoinbaseGateway(BaseGateway):
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passphrase,
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server,
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proxy_host,
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proxy_port)
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proxy_port
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)
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self.init_query()
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def subscribe(self, req: SubscribeRequest):
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""""""
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@ -164,12 +166,11 @@ class CoinbaseGateway(BaseGateway):
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def process_timer_event(self, event: Event):
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""""""
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self.rest_api.reset_rate_limit()
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self.init_query()
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self.rest_api.query_account()
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def init_query(self):
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""""""
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self.rest_api.query_account()
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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class CoinbaseWebsocketApi(WebsocketClient):
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@ -198,8 +199,6 @@ class CoinbaseWebsocketApi(WebsocketClient):
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"match": self.on_order_match,
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}
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self.ticks = {}
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self.accounts = {}
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self.orderbooks = {}
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def connect(
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@ -209,7 +208,8 @@ class CoinbaseWebsocketApi(WebsocketClient):
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passphrase: str,
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server: str,
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proxy_host: str,
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proxy_port: int):
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proxy_port: int
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):
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""""""
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self.gateway.write_log("开始连接ws接口")
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self.key = key
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@ -220,9 +220,8 @@ class CoinbaseWebsocketApi(WebsocketClient):
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self.init(WEBSOCKET_HOST, proxy_host, proxy_port)
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else:
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self.init(SANDBOX_WEBSOCKET_HOST, proxy_host, proxy_port)
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self.start()
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self.gateway.event_engine.register(EVENT_TIMER, self.gateway.process_timer_event)
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self.start()
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def subscribe(self, req: SubscribeRequest):
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""""""
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@ -240,12 +239,15 @@ class CoinbaseWebsocketApi(WebsocketClient):
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timestamp = str(time.time())
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message = timestamp + 'GET' + '/users/self/verify'
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auth_headers = get_auth_header(
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timestamp,
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message,
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self.key,
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self.secret,
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self.passphrase)
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self.passphrase
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)
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sub_req['signature'] = auth_headers['CB-ACCESS-SIGN']
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sub_req['key'] = auth_headers['CB-ACCESS-KEY']
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sub_req['passphrase'] = auth_headers['CB-ACCESS-PASSPHRASE']
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@ -340,11 +342,14 @@ class CoinbaseWebsocketApi(WebsocketClient):
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order = orderDict.get(packet['order_id'], None)
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if not order:
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return
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order.traded = order.volume - float(packet['remaining_size'])
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if packet['reason'] == 'filled':
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order.status = Status.ALLTRADED
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else:
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order.status = Status.CANCELLED
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self.gateway.on_order(copy(order))
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def on_order_match(self, packet: dict):
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@ -381,13 +386,15 @@ class OrderBook():
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self.asks = dict()
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self.bids = dict()
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self.gateway = gateway
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self.newest_tick = TickData(
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self.tick = TickData(
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symbol=symbol,
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exchange=exchange,
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name=symbol_name_map.get(symbol, ""),
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datetime=datetime.now(),
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gateway_name=gateway.gateway_name,
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)
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self.first_update = False
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def on_message(self, d: dict):
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@ -430,12 +437,11 @@ class OrderBook():
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self.generate_tick(dt)
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def on_ticker(self, d: dict):
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"""
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call back when type is ticker
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"""
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tick = self.newest_tick
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tick = self.tick
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tick.open_price = float(d['open_24h'])
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tick.high_price = float(d['high_24h'])
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@ -457,7 +463,7 @@ class OrderBook():
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def generate_tick(self, dt: datetime):
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""""""
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tick = self.newest_tick
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tick = self.tick
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bids_keys = self.bids.keys()
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bids_keys = sorted(bids_keys, reverse=True)
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@ -509,16 +515,8 @@ class CoinbaseRestApi(RestClient):
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self.secret = ""
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self.passphrase = ""
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self.order_count = 1_000_000
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self.order_count_lock = Lock()
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self.connect_time = 0
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self.accounts = {}
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self.rate_limit = 5
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self.rate_limit_remaining = 5
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def sign(self, request):
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"""
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Generate Coinbase signature
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@ -549,17 +547,15 @@ class CoinbaseRestApi(RestClient):
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self.secret = secret.encode()
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self.passphrase = passphrase
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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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if server == "REAL":
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self.init(REST_HOST, proxy_host, proxy_port)
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else:
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self.init(SANDBOX_REST_HOST, proxy_host, proxy_port)
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self.start(session_number)
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self.query_instrument()
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self.query_orders()
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self.query_order()
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self.gateway.write_log("REST API启动成功")
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@ -570,19 +566,15 @@ class CoinbaseRestApi(RestClient):
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self.add_request(
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"GET",
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"/products",
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callback=self.on_query_instrument,
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params={},
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on_error=self.on_query_instrument_error,
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callback=self.on_query_instrument
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)
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def query_orders(self):
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def query_order(self):
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""""""
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self.add_request(
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"GET",
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"/orders?status=all",
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callback=self.on_query_orders,
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params={},
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on_error=self.on_query_orders_error,
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"/orders?status=open",
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callback=self.on_query_order
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)
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def query_account(self):
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@ -591,8 +583,6 @@ class CoinbaseRestApi(RestClient):
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"GET",
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"/accounts",
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callback=self.on_query_account,
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params={},
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on_error=self.on_query_account_error,
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)
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def on_query_account(self, data, request):
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@ -614,30 +604,11 @@ class CoinbaseRestApi(RestClient):
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self.gateway.on_account(copy(account))
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def on_query_account_error(
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self,
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exception_type: type,
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exception_value: Exception,
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tb,
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request):
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""""""
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if not issubclass(exception_type, ConnectionError):
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self.on_error(exception_type, exception_value, tb, request)
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def on_query_orders_error(
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self,
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exception_type: type,
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exception_value: Exception,
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tb,
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request):
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""""""
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if not issubclass(exception_type, ConnectionError):
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self.on_error(exception_type, exception_value, tb, request)
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def on_query_orders(self, data, request):
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def on_query_order(self, data, request):
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""""""
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for d in data:
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date, time = d['created_at'].split('T')
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if d['status'] == 'open':
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if not float(d['filled_size']):
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status = Status.NOTTRADED
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@ -648,6 +619,7 @@ class CoinbaseRestApi(RestClient):
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status = Status.ALLTRADED
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else:
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status = Status.CANCELLED
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order = OrderData(
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symbol=d['product_id'],
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gateway_name=self.gateway_name,
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@ -667,19 +639,6 @@ class CoinbaseRestApi(RestClient):
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self.gateway.write_log(u'委托信息查询成功')
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def on_query_instrument_error(
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self,
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exception_type: type,
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exception_value: Exception,
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tb,
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request: Request):
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"""
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Callback when sending order caused exception.
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"""
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# Record exception if not ConnectionError
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if not issubclass(exception_type, ConnectionError):
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self.on_error(exception_type, exception_value, tb, request)
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def on_query_instrument(self, data, request):
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""""""
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for d in data:
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@ -703,9 +662,6 @@ class CoinbaseRestApi(RestClient):
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def send_order(self, req: OrderRequest):
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""""""
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if not self.check_rate_limit():
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return
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orderid = str(uuid.uuid1())
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data = {
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@ -719,7 +675,6 @@ class CoinbaseRestApi(RestClient):
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if req.type == OrderType.LIMIT:
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data['price'] = req.price
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order = req.create_order_data(orderid, self.gateway_name)
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self.add_request(
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"POST",
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@ -732,6 +687,7 @@ class CoinbaseRestApi(RestClient):
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on_error=self.on_send_order_error,
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)
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self.gateway.on_order(order)
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return order.vt_orderid
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def on_send_order_failed(self, status_code: str, request: Request):
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@ -756,7 +712,8 @@ class CoinbaseRestApi(RestClient):
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exception_type: type,
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exception_value: Exception,
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tb,
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request: Request):
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request: Request
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):
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"""
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Callback when sending order caused exception.
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"""
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@ -775,36 +732,15 @@ class CoinbaseRestApi(RestClient):
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def cancel_order(self, req: CancelRequest):
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""""""
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if not self.check_rate_limit():
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return
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orderid = req.orderid
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if orderid not in orderSysDict:
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cancelDict[orderid] = req
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self.add_request(
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"DELETE",
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"/orders/" + orderid,
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f"/orders/client:{orderid}",
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callback=self.on_cancel_order,
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params={},
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on_error=self.on_cancel_order_error,
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on_failed=self.on_cancel_order_failed,
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)
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def on_cancel_order_error(
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self,
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exception_type: type,
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exception_value: Exception,
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tb,
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request: Request):
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"""
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Callback when cancelling order failed on server.
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"""
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# Record exception if not ConnectionError
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if not issubclass(exception_type, ConnectionError):
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self.on_error(exception_type, exception_value, tb, request)
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def on_cancel_order(self, data, request):
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"""Websocket will push a new order status"""
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pass
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@ -816,9 +752,9 @@ class CoinbaseRestApi(RestClient):
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if request.response.text:
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data = request.response.json()
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error = data["message"]
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msg = f"委托失败，状态码：{status_code}，信息：{error}"
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msg = f"撤单失败，状态码：{status_code}，信息：{error}"
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else:
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msg = f"委托失败，状态码：{status_code}"
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msg = f"撤单失败，状态码：{status_code}"
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self.gateway.write_log(msg)
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@ -836,7 +772,8 @@ class CoinbaseRestApi(RestClient):
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exception_type: type,
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exception_value: Exception,
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tb,
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request: Request):
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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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@ -847,35 +784,20 @@ class CoinbaseRestApi(RestClient):
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self.exception_detail(exception_type, exception_value, tb, request)
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)
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def reset_rate_limit(self):
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"""
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reset the rate limit every 1 sec
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"""
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self.rate_limit_remaining = 5
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def check_rate_limit(self):
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"""
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Called before send requests
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"""
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if self.rate_limit_remaining:
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self.rate_limit_remaining -= 1
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return True
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else:
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self.gateway.write_log("已超出请求速率上限，请稍后重试")
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return False
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def get_auth_header(
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timestamp,
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message,
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api_key,
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secret_key,
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passphrase):
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passphrase
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):
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""""""
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message = message.encode("ascii")
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hmac_key = base64.b64decode(secret_key)
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signature = hmac.new(hmac_key, message, hashlib.sha256)
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signature_b64 = base64.b64encode(signature.digest()).decode('utf-8')
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return{
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'Content-Type': 'Application/JSON',
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'CB-ACCESS-SIGN': signature_b64,
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