[Add] 将OkexFutureRestClient做成独立的API分离出来
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nanoric
parent
b34dcf6a73
commit
f5755b222a
337
vnpy/api/okexfuture/OkexFutureApi.py
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337
vnpy/api/okexfuture/OkexFutureApi.py
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@ -0,0 +1,337 @@
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# encoding: UTF-8
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from enum import Enum
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from typing import Any, Callable, List, Union
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from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase
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from vnpy.network.RestClient import Request
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class _OkexFutureCustomExtra(object):
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def __init__(self, onSuccess, onFailed, extra):
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self.onFailed = onFailed
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self.onSuccess = onSuccess
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self.extra = extra
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class OkexFuturePriceType(Enum):
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Buy = 'buy'
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Sell = 'sell'
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class OkexFutureContractType(Enum):
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ThisWeek = 'this_week'
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NextWeek = 'next_week'
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Quarter = 'quarter'
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class OkexFutureStatus(Enum):
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NoTraded = '0'
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PartialTraded = '1'
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AllTraded = '2'
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Canceled = '-1'
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CancelProcessing = '4'
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Canceling = '5'
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class OkexFutureOrderType(Enum):
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OpenLong = '1'
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OpenShort = '2'
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CloseLong = '3'
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CloseShort = '4'
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class OkexFutureOrder(object):
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def __init__(self):
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self.symbol = None
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self.volume = None
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self.price = None
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self.priceAvg = None
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self.status = None
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self.orderType = None
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self.unitAmount = None
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self.leverRate = None
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self.remoteId = None
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self.fee = None
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self.tradedVolume = None
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self.createDate = None
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class OkexFutureUserInfo(object):
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def __init__(self):
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self.accountRights = None
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self.keepDeposit = None
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self.profitReal = None
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self.profitUnreal = None
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self.riskRate = None
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class OkexFuturePosition(object):
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def __init__(self, ):
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self.forceLiquidatePrice = None
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self.holding = [] # type: List[OkexFuturePositionDetail]
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class OkexFuturePositionDetail(object):
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def __init__(self, ):
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self.buyAmount = None
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self.buyAvailable = None
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self.buyPriceAvg = None
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self.buyPriceCost = None
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self.buyProfitReal = None
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self.contractId = None
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self.createDate = None
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self.leverRate = None
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self.sellAmount = None
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self.sellAvailable = None
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self.sellPriceAvg = None
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self.sellPriceCost = None
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self.sellProfitReal = None
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self.symbol = None
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self.contractType = None
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########################################################################
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class OkexFutureRestClient(OkexFutureRestBase):
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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super(OkexFutureRestClient, self).__init__()
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self.client = ()
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self._redirectedOnError = None # type: Callable[[object, object, object, Request], Any]
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#----------------------------------------------------------------------
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def setOnError(self, callback): # type: (Callable[[object, object, object, Request], Any])->None
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self._redirectedOnError = callback
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#----------------------------------------------------------------------
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def onError(self, exceptionType, exceptionValue, tb, req):
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if self._redirectedOnError:
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self._redirectedOnError(exceptionType, exceptionValue, tb, req)
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#----------------------------------------------------------------------
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def onFailed(self, httpStatusCode, req):
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super(OkexFutureRestClient, self).onFailed(httpStatusCode, req)
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#----------------------------------------------------------------------
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def sendOrder(self, symbol, contractType, orderType, volume,
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onSuccess, onFailed=None,
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price=None, useMarketPrice=False, leverRate=None,
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extra=None): # type:(str, OkexFutureContractType, OkexFutureOrderType, float, Callable[[int, Any], Any], Callable[[object], Any], float, bool, Union[int, None], Any)->Request
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"""
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:param symbol: str
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:param contractType: OkexFutureContractType
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:param orderType: OkexFutureOrderType
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:param volume: float
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:param onSuccess: (orderId: int)->Any
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:param onFailed: ()->Any
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:param price: float
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:param useMarketPrice: bool
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:param leverRate: int | None
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:param extra: Any
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:return:
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"""
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data = {}
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if useMarketPrice:
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data['match_price'] = 1
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else:
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data['price'] = price
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data.update({
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'symbol': symbol,
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'contract_typ': contractType, # 合约类型：当周/下周/季度
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'amount': volume,
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'type': orderType,
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'lever_rate': leverRate # 杠杆倍数
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})
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request = self.addReq('POST',
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'/future_trade.do',
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callback=self.onOrderSent,
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data=data,
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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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return request
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#----------------------------------------------------------------------
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def cancelOrder(self, symbol, contractType, orderId, onSuccess, onFailed=None,
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extra=None): # type: (str, OkexFutureContractType, str, Callable[[object], Any], Callable[[object], Any], Any)->Request
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"""
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:param symbol: str
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:param contractType: OkexFutureContractType
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:param orderId: str
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:param onSuccess: ()->Any
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:param onFailed: ()->Any
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:param extra: Any
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:return: Request
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"""
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data = {
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'symbol': symbol,
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'contractType': contractType,
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'order_id': orderId
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}
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return self.addReq('POST',
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'/future_cancel.do',
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callback=self.onOrderCanceled,
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data=data,
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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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#----------------------------------------------------------------------
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def queryOrder(self, symbol, contractType, orderId, onSuccess, onFailed=None,
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extra=None): # type: (str, OkexFutureContractType, str, Callable[[OkexFutureOrder, Any], Any], Callable[[Any], Any], Any)->Request
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"""
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:param symbol: str
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:param contractType: OkexFutureContractType
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:param orderId: str
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:param onSuccess: (OkexFutureOrder, extra:Any)->Any
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:param onFailed: (extra: Any)->Any
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:param extra: Any
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:return: Request
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"""
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data = {
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'symbol': symbol,
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'contractType': contractType,
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'order_id': orderId
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}
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return self.addReq('POST',
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'/future_order_info.do',
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callback=self.onOrder,
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data=data,
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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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#----------------------------------------------------------------------
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def queryUserInfo(self, onSuccess, onFailed=None,
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extra=None): # type: (Callable[[List[OkexFutureUserInfo], Any], Any], Callable[[Any], Any], Any)->Request
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"""
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查询用户信息
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:param onSuccess: (userInfos: List[OkexFutureUserInfo], extra: Any)->Any
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:param onFailed: (extra: Any)->Any
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:param extra: Any
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:return: Request
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"""
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return self.addReq('POST',
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'/future_userinfo.do',
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callback=self.onOrder,
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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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#----------------------------------------------------------------------
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def queryPosition(self, symbol, contractType,
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onSuccess, onFailed=None,
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extra=None): # type: (str, OkexFutureContractType, Callable[[OkexFuturePosition, Any], Any], Callable[[Any], Any], Any)->Request
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data = {
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'symbol': symbol,
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'contractType': contractType
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}
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return self.addReq('POST',
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'/future_position.do',
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data=data,
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callback=self.onPosition,
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extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra))
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#----------------------------------------------------------------------
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@staticmethod
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def onOrderSent(data, req): # type: (dict, Request)->None
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"""
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下单回执，一般用来保存sysId
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"""
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extra = req.extra # type: _OkexFutureCustomExtra
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if data['result'] is True:
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remoteId = data['order_id']
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extra.onSuccess(remoteId, extra.extra)
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else:
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extra.onFailed(extra.extra)
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#----------------------------------------------------------------------
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@staticmethod
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def onOrderCanceled(data, req): # type: (dict, Request)->None
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"""
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取消订单回执
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"""
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success = data['result']
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extra = req.extra # type: _OkexFutureCustomExtra
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if success:
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extra.onSuccess(extra.extra)
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else:
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extra.onFailed(extra.extra)
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#----------------------------------------------------------------------
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@staticmethod
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def onOrder(data, req): # type: (dict, Request)->None
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success = data['result']
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extra = req.extra # type: _OkexFutureCustomExtra
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if success:
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order = data['orders'][0]
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okexOrder = OkexFutureOrder()
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okexOrder.symbol = order['symbol']
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okexOrder.volume = order['amount']
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okexOrder.price = order['price']
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okexOrder.priceAvg = order['price_avg']
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okexOrder.status = order['status']
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okexOrder.orderType = order['type']
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okexOrder.unitAmount = order['unit_amount']
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okexOrder.leverRate = order['lever_rate']
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okexOrder.remoteId = order['order_id']
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okexOrder.fee = order['fee']
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okexOrder.tradedVolume = order['deal_amount']
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okexOrder.createDate = order['create_date']
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extra.onSuccess(okexOrder, extra.extra)
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else:
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extra.onFailed(extra.extra)
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#----------------------------------------------------------------------
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@staticmethod
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def onUserInfo(data, req): # type: (dict, Request)->None
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success = data['result']
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extra = req.extra # type: _OkexFutureCustomExtra
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if success:
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infos = data['info']
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uis = []
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for symbol, info in infos.items(): # type: str, dict
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ui = OkexFutureUserInfo()
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ui.accountRights = info['account_rights']
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ui.keepDeposit = info['keep_deposit']
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ui.profitReal = info['profit_real']
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ui.profitUnreal = info['profit_unreal']
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ui.riskRate = info['risk_rate']
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uis.append(ui)
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extra.onSuccess(uis, extra.extra)
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else:
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extra.onFailed(extra.extra)
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#----------------------------------------------------------------------
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@staticmethod
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def onPosition(data, req): # type: (dict, Request)->None
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success = data['result']
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extra = req.extra # type: _OkexFutureCustomExtra
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if success:
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pos = OkexFuturePosition()
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pos.forceLiquidatePrice = data['force_liqu_price']
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for item in data['holding']:
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posDetail = OkexFuturePositionDetail()
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posDetail.buyAmount = item['buy_amount']
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posDetail.buyAvailable = item['buy_available']
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posDetail.buyPriceAvg = item['buy_price_avg']
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posDetail.buyPriceCost = item['buy_price_cost']
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posDetail.buyProfitReal = item['buy_profit_real']
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posDetail.contractId = item['contract_id']
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posDetail.contractType = item['contract_type']
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posDetail.createDate = item['create_date']
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posDetail.leverRate = item['lever_rate']
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posDetail.sellAmount = item['sell_amount']
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posDetail.sellAvailable = item['sell_available']
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posDetail.sellPriceAvg = item['sell_price_avg']
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posDetail.sellPriceCost = item['sell_price_cost']
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posDetail.sellProfitReal = item['sell_profit_real']
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posDetail.symbol = item['symbol']
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pos.holding.append(posDetail)
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extra.onSuccess(pos, extra.extra)
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else:
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extra.onFailed(extra.extra)
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@ -8,11 +8,11 @@ from vnpy.network.RestClient import RestClient, Request
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########################################################################
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class OkexFutureRestClient(RestClient):
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class OkexFutureRestBase(RestClient):
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#----------------------------------------------------------------------
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def __init__(self):
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super(OkexFutureRestClient, self).__init__()
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super(OkexFutureRestBase, self).__init__()
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self.apiKey = None
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self.apiSecret = None
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@ -20,7 +20,7 @@ class OkexFutureRestClient(RestClient):
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# noinspection PyMethodOverriding
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def init(self, apiKey, apiSecret):
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# type: (str, str) -> any
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super(OkexFutureRestClient, self).init('https://www.okex.com/api/v1')
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super(OkexFutureRestBase, self).init('https://www.okex.com/api/v1')
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self.apiKey = apiKey
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self.apiSecret = apiSecret
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@ -5,16 +5,15 @@ from __future__ import print_function
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import json
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from abc import abstractmethod, abstractproperty
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from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestClient
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from vnpy.network.RestClient import Request
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from vnpy.api.okexfuture.OkexFutureApi import *
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from vnpy.trader.vtFunction import getJsonPath
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from vnpy.trader.vtGateway import *
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orderTypeMap = {
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(constant.DIRECTION_LONG, constant.OFFSET_OPEN): 1,
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(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): 2,
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(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): 3,
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(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): 4,
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(constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong,
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(constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort,
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(constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseLong,
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(constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseShort,
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}
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orderTypeMapReverse = {v: k for k, v in orderTypeMap.items()}
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@ -23,9 +22,9 @@ contracts = (
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)
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contractTypeMap = {
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'THISWEEK': 'this_week',
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'NEXTWEEK': 'next_week',
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'QUARTER': 'quarter',
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'THISWEEK': OkexFutureContractType.ThisWeek,
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'NEXTWEEK': OkexFutureContractType.NextWeek,
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'QUARTER': OkexFutureContractType.Quarter,
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}
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# symbols for ui,
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@ -98,7 +97,7 @@ class OkexFutureGateway(VnpyGateway):
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super(OkexFutureGateway, self).__init__(eventEngine)
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self.apiKey = None # type: str
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self.apiSecret = None # type: str
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self.api = OkexFutureApi(self)
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self.api = OkexFutureRestClient()
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self.leverRate = 1.0
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self.symbols = []
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@ -166,249 +165,3 @@ class OkexFutureGateway(VnpyGateway):
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def close(self):
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"""关闭"""
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self.api.close()
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########################################################################
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class VnpyOrder():
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def __init__(self):
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"""
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这个东西将VtOrderReq和VtOrderData还有Request三者绑定起来，以便查询
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"""
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self.vtRequest = None # type: VtOrderReq # 如果这个order是通过sendOrder产生的，则会有对应的vtRequest
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self.request = None # type: Request # 如果这个order是通过sendOrder产生的，request就是对应的网络请求
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self.order = None # type: VtOrderData # 对应的VtOrderData
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self.remoteId = None # type: str # 当确定了这个order在交易所内部的id的时候，这个值才会有效
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########################################################################
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class ApiBase(object):
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"""
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写在前面：现在不打算重构MainEngine才会有这个类的存在
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所以这个类注定活不久。
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每个Api实现发单等等操作的时候，有太多重复代码。
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于是我写了这个类，以期简化Api的实现。
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发单实现：
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重写_sendOrder函数。
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在_sendOrder的下单请求回执中获取API使用的orderId，并调用_processOrderSent函数即可
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例如：
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def _sendOrder(self, vtRequest):
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return self.httpClient.addReq(..., callback=self._onOrderSent)
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def _onOrderSent(self, data, req):
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remoteId = None
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if data['success'] is True:
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remoteId = data['order_id']
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self._processOrderSent(req, remoteId)
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撤单实现：
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重写_cancelOrder函数。
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"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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self.gateway = gateway # type: VnpyGateway
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self._lastOrderId = 0
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self._orders = {} # type: dict[str, VnpyOrder]
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self._cancelDict = {} # type: dict[str, VtCancelOrderReq]
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#----------------------------------------------------------------------
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# todo: push this / make this standalone
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def generateVnpyOrder(self):
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localId = str(self._lastOrderId)
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self._lastOrderId += 1
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order = VnpyOrder()
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order.order = VtOrderData()
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order.order.orderID = localId
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order.order.vtOrderID = ".".join(self.gateway.gatewayName, localId)
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order.order.exchange = self.gateway.exchange
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|
||||
self._orders[localId] = order
|
||||
return order
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@staticmethod
|
||||
def fillVnpyOrder(order, symbol, price, totalVolume,
|
||||
direction): # type: (VnpyOrder, str, float, float, str)->None
|
||||
order.order.symbol = symbol
|
||||
order.order.vtSymbol = '.'.join([order.order.symbol, order.order.exchange])
|
||||
order.order.price = price
|
||||
order.order.totalVolume = totalVolume
|
||||
order.order.direction = direction
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def local2remote(self, localId):
|
||||
"""将localId（orderId）转化为remoteId"""
|
||||
return self._orders[localId]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getOrder(self, localId=None, remoteId=None):
|
||||
"""通过localId或者remoteId获取order"""
|
||||
if remoteId:
|
||||
raise NotImplementedError()
|
||||
return self._orders[localId]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, vtRequest): # type: (VtOrderReq)->str
|
||||
"""发单"""
|
||||
|
||||
# 内部状态相关
|
||||
order = self.generateVnpyOrder()
|
||||
self.fillVnpyOrder(order,
|
||||
vtRequest.symbol,
|
||||
vtRequest.price,
|
||||
vtRequest.volume,
|
||||
vtRequest.direction)
|
||||
order.vtRequest = vtRequest
|
||||
|
||||
# 发送发单请求
|
||||
order.request = self._sendOrder(vtRequest)
|
||||
|
||||
# 增加反向引用
|
||||
# 这个写法在逻辑上有漏洞：当请求返回特别快（理论上可能）的时候，返回回调中的extra仍为空
|
||||
# 但是这种情况几乎不可能出现，在Python中就更不可能会出现。所以就这样写把，美观一些
|
||||
order.request.extra = order
|
||||
|
||||
return order.order.vtOrderID
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, vtCancelRequest): # type: (VtCancelOrderReq)->Request
|
||||
localId = vtCancelRequest.orderID
|
||||
|
||||
order = self.getOrder(localId)
|
||||
if order.remoteId:
|
||||
return self._cancelOrder(vtCancelRequest)
|
||||
else:
|
||||
self._cancelDict[localId] = vtCancelRequest
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _processOrderSent(self, request, remoteId):
|
||||
"""
|
||||
如果在_sendOrder中发送了HTTP请求，则应该在收到响应的时候调用该函数，
|
||||
并且将remoteId设置为交易所API使用的ID
|
||||
|
||||
如果该下单请求失败，将remoteId设为None即可
|
||||
"""
|
||||
order = request.extra # type: VnpyOrder
|
||||
localId = order.order.orderID
|
||||
if remoteId:
|
||||
order.remoteId = remoteId # None就是失败或者未返回
|
||||
self.gateway.onOrder(order.order)
|
||||
order.order.status = constant.STATUS_NOTTRADED
|
||||
|
||||
# todo: 撤单委托相关
|
||||
if localId in self._cancelDict:
|
||||
req = self._cancelDict[localId]
|
||||
self.cancelOrder(req)
|
||||
del self._cancelDict[localId]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _processOrderCancel(self, req, success):
|
||||
"""
|
||||
如果在_cancelOrder中发送了HTTP请求，则应该在收到响应的时候调用该函数，
|
||||
如果取消订单成功，应该将success设置为True。如果取消订单失败，则应该讲success设置为False
|
||||
"""
|
||||
order = req.extra # type: VnpyOrder
|
||||
order.order.status = constant.STATUS_CANCELLED
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def _sendOrder(self, vtRequest): # type: (VtOrderReq)->Request
|
||||
"""
|
||||
这个函数实现下单请求。
|
||||
:return: 如果发送了HTTP请求，就应该返回addReq的值。
|
||||
"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@abstractmethod
|
||||
def _cancelOrder(self, vtCancelRequest): # type: (VtCancelOrderReq)->Request
|
||||
"""
|
||||
这个函数实现下单请求。
|
||||
:return: 如果发送了HTTP请求，就应该返回addReq的值。
|
||||
"""
|
||||
pass
|
||||
|
||||
|
||||
########################################################################
|
||||
class OkexFutureApi(ApiBase):
|
||||
"""OKEX的API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(OkexFutureApi, self).__init__()
|
||||
self.gateway = gateway # type: OkexFutureGateway
|
||||
|
||||
self.localID = 0
|
||||
self.client = OkexFutureRestClient()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrderSent(self, data, req): # type: (dict, Request)->None
|
||||
"""
|
||||
下单回执，一般用来保存sysId
|
||||
"""
|
||||
remoteId = None
|
||||
if data['result'] is True:
|
||||
remoteId = data['order_id']
|
||||
super(OkexFutureApi, self)._processOrderSent(req, remoteId)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrderCanceled(self, data, req): # type: (dict, Request)->None
|
||||
"""
|
||||
取消订单回执
|
||||
:param data:
|
||||
:param req:
|
||||
:return:
|
||||
"""
|
||||
success = data['result']
|
||||
super(OkexFutureApi, self)._processOrderCancel(req, success)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _cancelOrder(self, vtCancelRequest): # type: (VtCancelOrderReq)->Request
|
||||
localId = vtCancelRequest.orderID
|
||||
order = self.getOrder(localId)
|
||||
|
||||
data = {'symbol': order.order.symbol}
|
||||
return self.client.addReq('POST',
|
||||
'/future_cancel.do',
|
||||
callback=self.onOrderCanceled,
|
||||
data=data
|
||||
)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def _sendOrder(self, vtRequest): # type: (VtOrderReq)->Request
|
||||
"""
|
||||
单纯的发单
|
||||
"""
|
||||
symbol, contractType = symbolsForUi[vtRequest.symbol]
|
||||
orderType = orderTypeMap[(vtRequest.priceType, vtRequest.offset)] # 开多、开空、平多、平空
|
||||
|
||||
data = {}
|
||||
if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE:
|
||||
data['match_price'] = 1
|
||||
else:
|
||||
data['price'] = vtRequest.price
|
||||
data.update({
|
||||
'symbol': symbol,
|
||||
'contract_typ': contractType, # 合约类型：当周/下周/季度
|
||||
'amount': vtRequest.volume,
|
||||
'type': orderType,
|
||||
'lever_rate': self.gateway.leverRate # 杠杆倍数
|
||||
})
|
||||
|
||||
request = self.client.addReq('POST',
|
||||
'/future_trade.do',
|
||||
callback=self.onOrderSent,
|
||||
data=data)
|
||||
return request
|
||||
|
||||
Loading…
Reference in New Issue
Block a user