1. 修改vn.trader的LTS接口中的持仓均价的bug

2. 发布OkCoin的接口，目前只支持现货交易（量衍提供）
2016-06-28 23:49:37 +08:00 · 2016-06-28 23:49:37 +08:00 · eff070ca2a
commit eff070ca2a
parent 7ee3ffbd5d
2 changed files with 274 additions and 1 deletions
--- a/vn.okcoin/vnokcoin.py
+++ b/vn.okcoin/vnokcoin.py
@ -0,0 +1,273 @@
+# 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_LTS = 'ltc_'
+
+# 委托类型
+TYPE_BUY = 'buy'
+TYPE_SELL = 'sell'
+TYPE_BUY_MARKET = 'buy_market'
+TYPE_SELL_MARKET = 'sell_market'
+
+
+########################################################################
+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
+        
+    #----------------------------------------------------------------------
+    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)    
+        
+    #----------------------------------------------------------------------
+    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)
+        params['type'] = str(type_+self.currency)
+        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.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, {})
+        
+
+if __name__ == "__main__":
+    # 在OkCoin网站申请这两个Key，分别对应用户名和密码
+    apiKey = ''
+    secretKey = ''
+    
+    # 创建API对象
+    api = OkCoinApi()
+    
+    # 连接服务器，并等待1秒
+    api.connect(OKCOIN_CNY, apiKey, secretKey, True)
+    
+    sleep(1)
+    
+    # 测试现货行情API
+    #api.subscribeSpotTicker(SYMBOL_BTC)
+    #api.subscribeSpotTradeData(SYMBOL_BTC)
+    #api.subscribeSpotDepth(SYMBOL_BTC, DEPTH_20)
+    #api.subscribeSpotKline(SYMBOL_BTC, INTERVAL_1M)
+    
+    # 测试现货交易API
+    #api.subscribeSpotTrades()
+    #api.subscribeSpotUserInfo()
+    api.spotUserInfo()
+    #api.spotTrade(symbol, type_, price, amount)
+    #api.spotCancelOrder(symbol, orderid)
+    #api.spotOrderInfo(symbol, orderid)
+    
+    raw_input()
--- a/vn.trader/ltsGateway/ltsGateway.py
+++ b/vn.trader/ltsGateway/ltsGateway.py
@ -1157,7 +1157,7 @@ class LtsQryApi(QryApi):
        
        # 持仓均价
        if pos.position:
-            pos.price = data['PositionCost'] / pos.position
+            pos.price = data['OpenCost'] / pos.position
        
        # VT系统持仓名
        pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])