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[Add]初步完成BitMEX接口

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This commit is contained in:
vn.py 2018-06-16 22:10:36 +08:00
parent 4c6ea66b77
commit f408cb30ca
12 changed files with 628 additions and 28 deletions
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5
examples/CryptoTrader/BINANCE_connect.json Normal file
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@ -0,0 +1,5 @@
{
"apiKey": "",
"secretKey": "",
"symbols": ["BTCUSDT", "ETHUSDT", "ETHBTC"]
}

5
examples/CryptoTrader/BITFINEX_connect.json Normal file
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@ -0,0 +1,5 @@
{
"apiKey": "",
"secretKey": "",
"symbols": ["BTCUSD", "ETHUSD", "ETHBTC"]
}

6
examples/CryptoTrader/BITMEX_connect.json Normal file
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@ -0,0 +1,6 @@
{
"apiKey": "",
"apiSecret": "",
"sessionCount": 3,
"symbols": ["XBTUSD", "EOSM18", "XRPM18"]
}

6
examples/CryptoTrader/HUOBI_connect.json Normal file
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@ -0,0 +1,6 @@
{
"exchange": "huobi",
"accessKey": "",
"secretKey": "",
"symbols": ["btcusdt","ethusdt","ethbtc"]
}

6
examples/CryptoTrader/OKEX_connect.json Normal file
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@ -0,0 +1,6 @@
{
"apiKey": "",
"secretKey": "",
"trace": false,
"symbols": ["eth_btc", "btc_usdt", "eth_usdt"]
}

4
examples/CryptoTrader/run.py
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@ -21,7 +21,8 @@ from vnpy.trader.uiMainWindow import MainWindow
# 加载底层接口
from vnpy.trader.gateway import (huobiGateway, okexGateway,
binanceGateway, bitfinexGateway)
binanceGateway, bitfinexGateway,
bitmexGateway)
# 加载上层应用
from vnpy.trader.app import (riskManager, algoTrading)
@ -40,6 +41,7 @@ def main():
me = MainEngine(ee)
# 添加交易接口
me.addGateway(bitmexGateway)
me.addGateway(huobiGateway)
me.addGateway(okexGateway)
me.addGateway(binanceGateway)

70
vnpy/api/bitmex/vnbitmex.py
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@ -4,6 +4,7 @@ import hashlib
import hmac
import json
import ssl
import traceback
from queue import Queue, Empty
from multiprocessing.dummy import Pool
@ -84,14 +85,20 @@ class BitmexRestApi(object):
url = REST_HOST + path
expires = int(time() + 5)
rq = requests.Request(url=url, data=postdict)
p = rq.prepare()
header = copy(self.header)
header['api-expires'] = str(expires)
header['api-key'] = self.apiKey
header['api-signature'] = self.generateSignature(method, path, expires, params, postdict)
header['api-signature'] = self.generateSignature(method, path, expires, params, body=p.body)
# 使用长连接的session，比短连接的耗时缩短80%
session = self.sessionDict[i]
resp = session.request(method, url, headers=header, params=params, json=postdict)
resp = session.request(method, url, headers=header, params=params, data=postdict)
#resp = requests.request(method, url, headers=header, params=params, data=postdict)
code = resp.status_code
d = resp.json()
@ -113,21 +120,17 @@ class BitmexRestApi(object):
pass
#----------------------------------------------------------------------
def generateSignature(self, method, path, expires, params=None, postdict=None):
def generateSignature(self, method, path, expires, params=None, body=None):
"""生成签名"""
# 对params在HTTP报文路径中，以请求字段方式序列化
if params:
query = urlencode(sorted(params.items()))
path = path + '?' + query
msg = method + '/api/v1' + path + str(expires)
# 对postdict在HTTP报文体中，是作为表单内容以json序列化
# 因此这里需要采用同样方式，不能直接用str()来转换
if postdict:
buf = json.dumps(postdict)
msg += buf
if body is None:
body = ''
msg = method + '/api/v1' + path + str(expires) + body
signature = hmac.new(self.apiSecret, msg,
digestmod=hashlib.sha256).hexdigest()
return signature
@ -171,7 +174,7 @@ class BitmexWebsocketApi(object):
#----------------------------------------------------------------------
def reconnect(self):
"""重连"""
self.ws = websocket.create_connection(WEBSOCKET_V2_URL,
self.ws = websocket.create_connection(WEBSOCKET_HOST,
sslopt={'cert_reqs': ssl.CERT_NONE})
self.onConnect()
@ -205,7 +208,11 @@ class BitmexWebsocketApi(object):
#----------------------------------------------------------------------
def onData(self, data):
"""数据回调"""
print data
print '-' * 30
l = data.keys()
l.sort()
for k in l:
print k, data[k]
#----------------------------------------------------------------------
def onError(self, msg):
@ -226,22 +233,39 @@ if __name__ == '__main__':
API_SECRET = ''
## REST测试
#rest = BitmexRestApi()
#rest.init(API_KEY, API_SECRET)
#rest.start(3)
rest = BitmexRestApi()
rest.init(API_KEY, API_SECRET)
rest.start(3)
#data = {
#'token': 'test'
#}
#rest.addReq('POST', '/confirmEmail', rest.onData, postdict=data)
data = {
'symbol': 'XBTUSD'
}
rest.addReq('POST', '/position/isolate', rest.onData, postdict=data)
#rest.addReq('GET', '/instrument', rest.onData)
# WEBSOCKET测试
ws = BitmexWebsocketApi()
ws.start()
#ws = BitmexWebsocketApi()
#ws.start()
req = {"op": "subscribe", "args": ['quote']}
ws.sendReq(req)
#req = {"op": "subscribe", "args": ['order', 'trade', 'position', 'margin']}
#ws.sendReq(req)
#expires = int(time())
#method = 'GET'
#path = '/realtime'
#msg = method + path + str(expires)
#signature = hmac.new(API_SECRET, msg, digestmod=hashlib.sha256).hexdigest()
#req = {
#'op': 'authKey',
#'args': [API_KEY, expires, signature]
#}
#ws.sendReq(req)
#req = {"op": "subscribe", "args": ['order', 'execution', 'position', 'margin']}
#req = {"op": "subscribe", "args": ['instrument']}
#ws.sendReq(req)
raw_input()

6
vnpy/trader/gateway/bitfinexGateway/bitfinexGateway.py
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@ -157,7 +157,7 @@ class GatewayApi(BitfinexApi):
self.gateway = gateway # gateway对象
self.gatewayName = gateway.gatewayName # gateway对象名称
self.orderId = 0
self.orderId = 1000000
self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId
self.apiKey = ''
@ -245,8 +245,6 @@ class GatewayApi(BitfinexApi):
#----------------------------------------------------------------------
def sendOrder(self, orderReq):
""""""
orderReq.volume = 0.02
self.orderId += 1
orderId = self.date + self.orderId
vtOrderID = '.'.join([self.gatewayName, str(orderId)])
@ -468,7 +466,7 @@ class GatewayApi(BitfinexApi):
pos.exchange = EXCHANGE_BITFINEX
pos.vtSymbol = '.'.join([pos.vtSymbol, pos.direction])
pos.direction = DIRECTION_LONG
pos.vtPositionName = '.'.join([pos.symbol, pos.direction])
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
pos.position = float(data[2])
if data[-1] is None:

10
vnpy/trader/gateway/bitmexGateway/__init__.py Normal file
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@ -0,0 +1,10 @@
# encoding: UTF-8
from vnpy.trader import vtConstant
from .bitmexGateway import BitmexGateay
gatewayClass = BitmexGateay
gatewayName = 'BITMEX'
gatewayDisplayName = 'BITMEX'
gatewayType = vtConstant.GATEWAYTYPE_BTC
gatewayQryEnabled = False

536
vnpy/trader/gateway/bitmexGateway/bitmexGateway.py Normal file
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@ -0,0 +1,536 @@
# encoding: UTF-8
'''
vnpy.api.bitmex的gateway接入
'''
import os
import json
import hashlib
import hmac
import time
import traceback
from datetime import datetime, timedelta
from copy import copy
from math import pow
from vnpy.api.bitmex import BitmexRestApi, BitmexWebsocketApi
from vnpy.trader.vtGateway import *
from vnpy.trader.vtFunction import getJsonPath, getTempPath
# 委托状态类型映射
statusMapReverse = {}
statusMapReverse['New'] = STATUS_NOTTRADED
statusMapReverse['Partially filled'] = STATUS_PARTTRADED
statusMapReverse['Filled'] = STATUS_ALLTRADED
statusMapReverse['Canceled'] = STATUS_CANCELLED
statusMapReverse['Rejected'] = STATUS_REJECTED
# 方向映射
directionMap = {}
directionMap[DIRECTION_LONG] = 'Buy'
directionMap[DIRECTION_SHORT] = 'Sell'
directionMapReverse = {v:k for k,v in directionMap.items()}
# 价格类型映射
priceTypeMap = {}
priceTypeMap[PRICETYPE_LIMITPRICE] = 'Limit'
priceTypeMap[PRICETYPE_MARKETPRICE] = 'Market'
########################################################################
class BitmexGateay(VtGateway):
"""Bitfinex接口"""
#----------------------------------------------------------------------
def __init__(self, eventEngine, gatewayName=''):
"""Constructor"""
super(BitmexGateay, self).__init__(eventEngine, gatewayName)
self.restApi = RestApi(self)
self.wsApi = WebsocketApi(self)
self.qryEnabled = False # 是否要启动循环查询
self.fileName = self.gatewayName + '_connect.json'
self.filePath = getJsonPath(self.fileName, __file__)
#----------------------------------------------------------------------
def connect(self):
"""连接"""
try:
f = file(self.filePath)
except IOError:
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'读取连接配置出错，请检查'
self.onLog(log)
return
# 解析json文件
setting = json.load(f)
try:
apiKey = str(setting['apiKey'])
apiSecret = str(setting['apiSecret'])
sessionCount = int(setting['sessionCount'])
symbols = setting['symbols']
except KeyError:
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'连接配置缺少字段，请检查'
self.onLog(log)
return
# 创建行情和交易接口对象
self.restApi.connect(apiKey, apiSecret, sessionCount)
self.wsApi.connect(apiKey, apiSecret, symbols)
# 初始化并启动查询
#self.initQuery()
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
"""订阅行情"""
pass
#----------------------------------------------------------------------
def sendOrder(self, orderReq):
"""发单"""
return self.restApi.sendOrder(orderReq)
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
"""撤单"""
self.restApi.cancelOrder(cancelOrderReq)
#----------------------------------------------------------------------
def close(self):
"""关闭"""
self.restApi.close()
self.wsApi.close()
#----------------------------------------------------------------------
def initQuery(self):
"""初始化连续查询"""
if self.qryEnabled:
# 需要循环的查询函数列表
self.qryFunctionList = [self.queryAccount]
self.qryCount = 0 # 查询触发倒计时
self.qryTrigger = 1 # 查询触发点
self.qryNextFunction = 0 # 上次运行的查询函数索引
self.startQuery()
#----------------------------------------------------------------------
def query(self, event):
"""注册到事件处理引擎上的查询函数"""
self.qryCount += 1
if self.qryCount > self.qryTrigger:
# 清空倒计时
self.qryCount = 0
# 执行查询函数
function = self.qryFunctionList[self.qryNextFunction]
function()
# 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
self.qryNextFunction += 1
if self.qryNextFunction == len(self.qryFunctionList):
self.qryNextFunction = 0
#----------------------------------------------------------------------
def startQuery(self):
"""启动连续查询"""
self.eventEngine.register(EVENT_TIMER, self.query)
#----------------------------------------------------------------------
def setQryEnabled(self, qryEnabled):
"""设置是否要启动循环查询"""
self.qryEnabled = qryEnabled
########################################################################
class RestApi(BitmexRestApi):
"""REST API实现"""
#----------------------------------------------------------------------
def __init__(self, gateway):
"""Constructor"""
super(RestApi, self).__init__()
self.gateway = gateway # gateway对象
self.gatewayName = gateway.gatewayName # gateway对象名称
self.orderId = 1000000
self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId
#----------------------------------------------------------------------
def connect(self, apiKey, apiSecret, sessionCount):
"""连接服务器"""
self.init(apiKey, apiSecret)
self.start(sessionCount)
self.writeLog(u'REST API启动成功')
#----------------------------------------------------------------------
def writeLog(self, content):
"""发出日志"""
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = content
self.gateway.onLog(log)
#----------------------------------------------------------------------
def sendOrder(self, orderReq):
""""""
self.orderId += 1
orderId = self.date + self.orderId
vtOrderID = '.'.join([self.gatewayName, str(orderId)])
req = {
'symbol': orderReq.symbol,
'side': directionMap[orderReq.direction],
'ordType': priceTypeMap[orderReq.priceType],
'price': orderReq.price,
'orderQty': orderReq.volume,
'clOrdID': str(orderId)
}
self.addReq('POST', '/order', self.onSendOrder, postdict=req)
return vtOrderID
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
""""""
orderID = cancelOrderReq.orderID
if orderID.isdigit():
req = {'clOrdID': orderID}
else:
req = {'orderID': orderID}
self.addReq('DELETE', '/order', self.onCancelOrder, params=req)
#----------------------------------------------------------------------
def onSendOrder(self, data, reqid):
""""""
pass
#----------------------------------------------------------------------
def onCancelOrder(self, data, reqid):
""""""
pass
#----------------------------------------------------------------------
def onError(self, code, error):
""""""
e = VtErrorData()
e.errorID = code
e.errorID = error
self.gateway.onError(e)
########################################################################
class WebsocketApi(BitmexWebsocketApi):
""""""
#----------------------------------------------------------------------
def __init__(self, gateway):
"""Constructor"""
super(WebsocketApi, self).__init__()
self.gateway = gateway
self.gatewayName = gateway.gatewayName
self.apiKey = ''
self.apiSecret = ''
self.callbackDict = {
'trade': self.onTick,
'orderBook10': self.onDepth,
'execution': self.onTrade,
'order': self.onOrder,
'position': self.onPosition,
'margin': self.onAccount,
'instrument': self.onContract
}
self.tickDict = {}
self.accountDict = {}
self.orderDict = {}
self.tradeSet = set()
#----------------------------------------------------------------------
def connect(self, apiKey, apiSecret, symbols):
""""""
self.apiKey = apiKey
self.apiSecret = apiSecret
for symbol in symbols:
tick = VtTickData()
tick.gatewayName = self.gatewayName
tick.symbol = symbol
tick.exchange = EXCHANGE_BITMEX
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
self.tickDict[symbol] = tick
self.start()
#----------------------------------------------------------------------
def onConnect(self):
"""连接回调"""
self.writeLog(u'Websocket API连接成功')
self.authenticate()
#----------------------------------------------------------------------
def onData(self, data):
"""数据回调"""
if 'request' in data:
req = data['request']
success = data['success']
if success:
if req['op'] == 'authKey':
self.writeLog(u'Websocket API验证授权成功')
self.subscribe()
elif 'table' in data:
name = data['table']
callback = self.callbackDict[name]
if isinstance(data['data'], list):
for d in data['data']:
callback(d)
else:
callback(data['data'])
#if data['action'] == 'update' and data['table'] != 'instrument':
#callback(data['data'])
#elif data['action'] == 'partial':
#for d in data['data']:
#callback(d)
#----------------------------------------------------------------------
def onError(self, msg):
"""错误回调"""
self.writeLog(msg)
#----------------------------------------------------------------------
def writeLog(self, content):
"""发出日志"""
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = content
self.gateway.onLog(log)
#----------------------------------------------------------------------
def authenticate(self):
""""""
expires = int(time.time())
method = 'GET'
path = '/realtime'
msg = method + path + str(expires)
signature = hmac.new(self.apiSecret, msg, digestmod=hashlib.sha256).hexdigest()
req = {
'op': 'authKey',
'args': [self.apiKey, expires, signature]
}
self.sendReq(req)
#----------------------------------------------------------------------
def subscribe(self):
""""""
req = {
'op': 'subscribe',
'args': ['instrument', 'trade', 'orderBook10', 'execution', 'order', 'position', 'margin']
}
self.sendReq(req)
#----------------------------------------------------------------------
def onTick(self, d):
""""""
symbol = d['symbol']
tick = self.tickDict.get(symbol, None)
if not tick:
return
tick.lastPrice = d['price']
date, time = str(d['timestamp']).split('T')
tick.date = date.replace('-', '')
tick.time = time.replace('Z', '')
self.gateway.onTick(tick)
#----------------------------------------------------------------------
def onDepth(self, d):
""""""
symbol = d['symbol']
tick = self.tickDict.get(symbol, None)
if not tick:
return
for n, buf in enumerate(d['bids'][:5]):
price, volume = buf
tick.__setattr__('bidPrice%s' %(n+1), price)
tick.__setattr__('bidVolume%s' %(n+1), volume)
for n, buf in enumerate(d['asks'][:5]):
price, volume = buf
tick.__setattr__('askPrice%s' %(n+1), price)
tick.__setattr__('askVolume%s' %(n+1), volume)
date, time = str(d['timestamp']).split('T')
tick.date = date.replace('-', '')
tick.time = time.replace('Z', '')
self.gateway.onTick(tick)
#----------------------------------------------------------------------
def onTrade(self, d):
""""""
if not d['lastQty']:
return
tradeID = d['execID']
if tradeID in self.tradeSet:
return
self.tradeSet.add(tradeID)
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = d['symbol']
trade.exchange = EXCHANGE_BITMEX
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
if d['clOrdID']:
orderID = d['clOrdID']
else:
orderID = d['orderID']
trade.orderID = orderID
trade.vtOrderID = '.'.join([trade.gatewayName, trade.orderID])
trade.tradeID = tradeID
trade.vtTradeID = '.'.join([trade.gatewayName, trade.tradeID])
trade.direction = directionMapReverse[d['side']]
trade.price = d['lastPx']
trade.volume = d['lastQty']
trade.tradeTime = d['timestamp'][0:10].replace('-', '')
self.gateway.onTrade(trade)
#----------------------------------------------------------------------
def onOrder(self, d):
""""""
if 'ordStatus' not in d:
return
sysID = d['orderID']
if sysID in self.orderDict:
order = self.orderDict[sysID]
else:
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = d['symbol']
order.exchange = EXCHANGE_BITMEX
order.vtSymbol = '.'.join([order.symbol, order.exchange])
if d['clOrdID']:
orderID = d['clOrdID']
else:
orderID = sysID
order.orderID = orderID
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.direction = directionMapReverse[d['side']]
if d['price']:
order.price = d['price']
order.totalVolume = d['orderQty']
order.orderTime = d['timestamp'][0:10].replace('-', '')
self.orderDict[sysID] = order
order.tradedVolume = d.get('cumQty', order.tradedVolume)
order.status = statusMapReverse.get(d['ordStatus'], STATUS_UNKNOWN)
self.gateway.onOrder(order)
#----------------------------------------------------------------------
def onPosition(self, d):
""""""
pos = VtPositionData()
pos.gatewayName = self.gatewayName
pos.symbol = d['symbol']
pos.exchange = EXCHANGE_BITMEX
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
pos.direction = DIRECTION_NET
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
pos.position = d['currentQty']
pos.frozen = 0 # 期货没有冻结概念，会直接反向开仓
self.gateway.onPosition(pos)
#----------------------------------------------------------------------
def onAccount(self, d):
""""""
accoundID = str(d['account'])
if accoundID in self.accountDict:
account = self.accountDict[accoundID]
else:
account = VtAccountData()
account.gatewayName = self.gatewayName
account.accountID = accoundID
account.vtAccountID = '.'.join([account.gatewayName, account.accountID])
self.accountDict[accoundID] = account
account.balance = d.get('marginBalance', account.balance)
account.available = d.get('availableMargin', account.available)
account.closeProfit = d.get('realisedPnl', account.closeProfit)
account.positionProfit = d.get('unrealisedPnl', account.positionProfit)
self.gateway.onAccount(account)
#----------------------------------------------------------------------
def onContract(self, d):
""""""
if 'tickSize' not in d:
return
contract = VtContractData()
contract.gatewayName = self.gatewayName
contract.symbol = d['symbol']
contract.exchange = EXCHANGE_BITMEX
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
contract.name = contract.vtSymbol
contract.productClass = PRODUCT_FUTURES
contract.priceTick = d['tickSize']
contract.size = d['multiplier']
self.gateway.onContract(contract)
#----------------------------------------------------------------------
def printDict(d):
""""""
print '-' * 30
l = d.keys()
l.sort()
for k in l:
print k, d[k]

1
vnpy/trader/language/chinese/constant.py
View File

@ -93,6 +93,7 @@ EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所
EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所
EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所
EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所
EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所
# 货币类型
CURRENCY_USD = 'USD' # 美元

1
vnpy/trader/language/english/constant.py
View File

@ -89,6 +89,7 @@ EXCHANGE_ZAIF = "ZAIF" # ZAIF日本比特币交易所
EXCHANGE_COINCHECK = "COINCHECK" # COINCHECK日本比特币交易所
EXCHANGE_BINANCE = "BINANCE" # 币安比特币交易所
EXCHANGE_BITFINEX = "BITFINEX" # Bitfinex比特币交易所
EXCHANGE_BITMEX = 'BITMEX' # BitMEX比特币交易所
# 货币类型
CURRENCY_USD = 'USD' # 美元