From f0ab8df80e9a4e012df8ba8ba24cb6cbf12b9255 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 18 Mar 2018 21:54:39 +0800 Subject: [PATCH] =?UTF-8?q?[Mod]=E4=BF=AE=E6=94=B9huobiGateway=E7=9A=84?= =?UTF-8?q?=E5=A7=94=E6=89=98=E5=8F=B7=E4=BD=BF=E7=94=A8=E6=9C=AC=E5=9C=B0?= =?UTF-8?q?=E5=A7=94=E6=89=98=E5=8F=B7?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/VnTrader/VT_setting.json | 2 +- .../gateway/huobiGateway/HUOBI_connect.json | 4 +- .../gateway/huobiGateway/huobiGateway.py | 120 ++++++++++++------ 3 files changed, 81 insertions(+), 45 deletions(-) diff --git a/examples/VnTrader/VT_setting.json b/examples/VnTrader/VT_setting.json index a00ff35e..62f5903e 100644 --- a/examples/VnTrader/VT_setting.json +++ b/examples/VnTrader/VT_setting.json @@ -11,7 +11,7 @@ "logActive": true, "logLevel": "debug", - "logConsole": true, + "logConsole": false, "logFile": true, "tdPenalty": ["IF", "IH", "IC"] diff --git a/vnpy/trader/gateway/huobiGateway/HUOBI_connect.json b/vnpy/trader/gateway/huobiGateway/HUOBI_connect.json index 7ce3c74c..cda14c9c 100644 --- a/vnpy/trader/gateway/huobiGateway/HUOBI_connect.json +++ b/vnpy/trader/gateway/huobiGateway/HUOBI_connect.json @@ -1,6 +1,6 @@ { "exchange": "hadax", - "accessKey": "请在火币网站获取", - "secretKey": "请在火币网站获取", + "accessKey": "5c856252-f33605d0-a5aed4b1-ac608", + "secretKey": "87a284ac-6c731c62-ae3c39c8-c57d8", "symbols": ["aaceth"] } \ No newline at end of file diff --git a/vnpy/trader/gateway/huobiGateway/huobiGateway.py b/vnpy/trader/gateway/huobiGateway/huobiGateway.py index aea78b43..acf0b4c8 100644 --- a/vnpy/trader/gateway/huobiGateway/huobiGateway.py +++ b/vnpy/trader/gateway/huobiGateway/huobiGateway.py @@ -122,20 +122,12 @@ class HuobiGateway(VtGateway): self.tradeApi.cancelOrder(cancelOrderReq) #---------------------------------------------------------------------- - def qryPosition(self): - """查询持仓""" - self.tradeApi.qryPosition() - - #---------------------------------------------------------------------- - def qryTrade(self): - """查询成交""" + def qryInfo(self): + """查询委托、成交、持仓""" + self.tradeApi.qryOrder() self.tradeApi.qryTrade() - - #---------------------------------------------------------------------- - def qryOrder(self): - """查询委托""" - self.tradeApi.qryOrder() - + self.tradeApi.qryPosition() + #---------------------------------------------------------------------- def close(self): """关闭""" @@ -149,11 +141,7 @@ class HuobiGateway(VtGateway): """初始化连续查询""" if self.qryEnabled: # 需要循环的查询函数列表 - self.qryFunctionList = [ - self.qryPosition, - self.qryTrade, - self.qryOrder - ] + self.qryFunctionList = [self.qryInfo] self.qryCount = 0 # 查询触发倒计时 self.qryTrigger = 1 # 查询触发点 @@ -331,6 +319,7 @@ class HuobiDataApi(DataApi): tick.lowPrice = t['low'] tick.lastPrice = t['close'] tick.volume = t['vol'] + tick.preClosePrice = tick.openPrice if tick.bidPrice1: newtick = copy(tick) @@ -350,9 +339,6 @@ class HuobiTradeApi(TradeApi): self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 - self.reqID = EMPTY_INT # 操作请求编号 - self.localID = EMPTY_INT # 订单编号 - self.connectionStatus = False # 连接状态 self.accountid = '' @@ -365,7 +351,13 @@ class HuobiTradeApi(TradeApi): self.tradeIDs = set() # 成交编号集合 self.qryOrderID = None # 查询起始委托编号 - + + self.localid = 100000 # 订单编号，10000为起始 + self.reqLocalDict = {} # 请求编号和本地委托编号映射 + self.localOrderDict = {} # 本地委托编号和交易所委托编号映射 + self.orderLocalDict = {} # 交易所委托编号和本地委托编号映射 + self.cancelReqDict = {} # 撤单请求字典 + #---------------------------------------------------------------------- def connect(self, exchange, accessKey, secretKey, symbols=''): """初始化连接""" @@ -388,6 +380,9 @@ class HuobiTradeApi(TradeApi): #---------------------------------------------------------------------- def qryOrder(self): """查询委托""" + if not self.accountid: + return + states = 'pre-submitted,submitting,submitted,partial-filled,partial-canceled,filled,canceled' for symbol in self.symbols: self.getOrders(symbol, states, startDate=self.todayDate) @@ -397,6 +392,9 @@ class HuobiTradeApi(TradeApi): #---------------------------------------------------------------------- def qryTrade(self): """查询成交""" + if not self.accountid: + return + for symbol in self.symbols: self.getMatchResults(symbol, startDate=self.todayDate) #self.getMatchResults(symbol, startDate=self.todayDate, from_=self.qryTradeID) @@ -404,28 +402,40 @@ class HuobiTradeApi(TradeApi): #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" - self.localID += 1 - vtOrderID = '.'.join([self.gatewayName, str(self.localID)]) + self.localid += 1 + localid = str(self.localid) + vtOrderID = '.'.join([self.gatewayName, localid]) if orderReq.direction == DIRECTION_LONG: type_ = 'buy-limit' else: type_ = 'sell-limit' - self.placeOrder(self.accountid, - str(orderReq.volume), - orderReq.symbol, - type_, - price=str(orderReq.price), - source='api') - + reqid = self.placeOrder(self.accountid, + str(orderReq.volume), + orderReq.symbol, + type_, + price=str(orderReq.price), + source='api') + + self.reqLocalDict[reqid] = localid + + print 'send', vtOrderID # 返回订单号 return vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" - super(HuobiTradeApi, self).cancelOrder(cancelOrderReq.orderID) + localid = cancelOrderReq.orderID + orderID = self.localOrderDict.get(localid, None) + + if orderID: + super(HuobiTradeApi, self).cancelOrder(orderID) + if localid in self.cancelReqDict: + del self.cancelReqDict[localid] + else: + self.cancelReqDict[localid] = cancelOrderReq #---------------------------------------------------------------------- def writeLog(self, content): @@ -500,25 +510,37 @@ class HuobiTradeApi(TradeApi): pos.direction = DIRECTION_LONG pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) - if d['type'] == 'trade': - pos.position = float(d['balance']) - else: + pos.position += float(d['balance']) + if d['type'] == 'fozen': pos.frozen = float(d['balance']) posDict[symbol] = pos for pos in posDict.values(): - self.gateway.onPosition(pos) + if pos.position: + self.gateway.onPosition(pos) #---------------------------------------------------------------------- def onGetOrders(self, data, reqid): """查询委托回调""" qryOrderID = None + data.reverse() + for d in data: orderID = d['id'] + strOrderID = str(orderID) updated = False + if strOrderID in self.orderLocalDict: + localid = self.orderLocalDict[strOrderID] + else: + self.localid += 1 + localid = str(self.localid) + + self.orderLocalDict[strOrderID] = localid + self.localOrderDict[localid] = strOrderID + order = self.orderDict.get(orderID, None) if not order: updated = True @@ -526,7 +548,7 @@ class HuobiTradeApi(TradeApi): order = VtOrderData() order.gatewayName = self.gatewayName - order.orderID = str(orderID) + order.orderID = localid order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) order.symbol = d['symbol'] @@ -541,7 +563,9 @@ class HuobiTradeApi(TradeApi): order.direction = DIRECTION_LONG else: order.direction = DIRECTION_SHORT - order.offset = OFFSET_NONE + order.offset = OFFSET_NONE + + self.orderDict[orderID] = order # 数据更新，只有当成交数量或者委托状态变化时，才执行推送 if d['canceled-at']: @@ -573,6 +597,8 @@ class HuobiTradeApi(TradeApi): #---------------------------------------------------------------------- def onGetMatchResults(self, data, reqid): """查询成交回调""" + data.reverse() + for d in data: tradeID = d['match-id'] @@ -600,10 +626,13 @@ class HuobiTradeApi(TradeApi): else: trade.direction = DIRECTION_SHORT trade.offset = OFFSET_NONE - - trade.orderID = str(d['order-id']) + + strOrderID = str(d['order-id']) + localid = self.orderLocalDict.get(strOrderID, '') + trade.orderID = localid trade.vtOrderID = '.'.join([trade.gatewayName, trade.orderID]) - trade.tradeID = str(d['match-id']) + + trade.tradeID = str(tradeID) trade.vtTradeID = '.'.join([trade.gatewayName, trade.tradeID]) trade.price = float(d['price']) @@ -627,7 +656,14 @@ class HuobiTradeApi(TradeApi): #---------------------------------------------------------------------- def onPlaceOrder(self, data, reqid): """委托回调""" - print reqid, data + localid = self.reqLocalDict[reqid] + + self.localOrderDict[localid] = data + self.orderLocalDict[data] = localid + + if localid in self.cancelReqDict: + req = self.cancelReqDict[localid] + self.cancelOrder(req) #---------------------------------------------------------------------- def onCancelOrder(self, data, reqid):