From f5755b222a61dda4f8a388d634b962e1a2245c1a Mon Sep 17 00:00:00 2001 From: nanoric Date: Wed, 10 Oct 2018 22:00:36 -0400 Subject: [PATCH] =?UTF-8?q?[Add]=20=E5=B0=86OkexFutureRestClient=E5=81=9A?= =?UTF-8?q?=E6=88=90=E7=8B=AC=E7=AB=8B=E7=9A=84API=E5=88=86=E7=A6=BB?= =?UTF-8?q?=E5=87=BA=E6=9D=A5?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/okexfuture/OkexFutureApi.py | 337 ++++++++++++++++++ vnpy/api/okexfuture/vnokexFuture.py | 6 +- .../okexFutureGateway/okexFutureGateway.py | 265 +------------- 3 files changed, 349 insertions(+), 259 deletions(-) create mode 100644 vnpy/api/okexfuture/OkexFutureApi.py diff --git a/vnpy/api/okexfuture/OkexFutureApi.py b/vnpy/api/okexfuture/OkexFutureApi.py new file mode 100644 index 00000000..c5a1a377 --- /dev/null +++ b/vnpy/api/okexfuture/OkexFutureApi.py @@ -0,0 +1,337 @@ +# encoding: UTF-8 +from enum import Enum +from typing import Any, Callable, List, Union + +from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestBase +from vnpy.network.RestClient import Request + + +class _OkexFutureCustomExtra(object): + + def __init__(self, onSuccess, onFailed, extra): + self.onFailed = onFailed + self.onSuccess = onSuccess + self.extra = extra + + +class OkexFuturePriceType(Enum): + Buy = 'buy' + Sell = 'sell' + + +class OkexFutureContractType(Enum): + ThisWeek = 'this_week' + NextWeek = 'next_week' + Quarter = 'quarter' + + +class OkexFutureStatus(Enum): + NoTraded = '0' + PartialTraded = '1' + AllTraded = '2' + Canceled = '-1' + CancelProcessing = '4' + Canceling = '5' + + +class OkexFutureOrderType(Enum): + OpenLong = '1' + OpenShort = '2' + CloseLong = '3' + CloseShort = '4' + + +class OkexFutureOrder(object): + + def __init__(self): + self.symbol = None + self.volume = None + self.price = None + self.priceAvg = None + self.status = None + self.orderType = None + self.unitAmount = None + self.leverRate = None + self.remoteId = None + self.fee = None + self.tradedVolume = None + self.createDate = None + + +class OkexFutureUserInfo(object): + + def __init__(self): + self.accountRights = None + self.keepDeposit = None + self.profitReal = None + self.profitUnreal = None + self.riskRate = None + + +class OkexFuturePosition(object): + + def __init__(self, ): + self.forceLiquidatePrice = None + self.holding = [] # type: List[OkexFuturePositionDetail] + + +class OkexFuturePositionDetail(object): + + def __init__(self, ): + self.buyAmount = None + self.buyAvailable = None + self.buyPriceAvg = None + self.buyPriceCost = None + self.buyProfitReal = None + self.contractId = None + self.createDate = None + self.leverRate = None + self.sellAmount = None + self.sellAvailable = None + self.sellPriceAvg = None + self.sellPriceCost = None + self.sellProfitReal = None + self.symbol = None + self.contractType = None + + +######################################################################## +class OkexFutureRestClient(OkexFutureRestBase): + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + super(OkexFutureRestClient, self).__init__() + + self.client = () + + self._redirectedOnError = None # type: Callable[[object, object, object, Request], Any] + + #---------------------------------------------------------------------- + def setOnError(self, callback): # type: (Callable[[object, object, object, Request], Any])->None + self._redirectedOnError = callback + + #---------------------------------------------------------------------- + def onError(self, exceptionType, exceptionValue, tb, req): + if self._redirectedOnError: + self._redirectedOnError(exceptionType, exceptionValue, tb, req) + + #---------------------------------------------------------------------- + def onFailed(self, httpStatusCode, req): + super(OkexFutureRestClient, self).onFailed(httpStatusCode, req) + + #---------------------------------------------------------------------- + def sendOrder(self, symbol, contractType, orderType, volume, + onSuccess, onFailed=None, + price=None, useMarketPrice=False, leverRate=None, + extra=None): # type:(str, OkexFutureContractType, OkexFutureOrderType, float, Callable[[int, Any], Any], Callable[[object], Any], float, bool, Union[int, None], Any)->Request + """ + :param symbol: str + :param contractType: OkexFutureContractType + :param orderType: OkexFutureOrderType + :param volume: float + :param onSuccess: (orderId: int)->Any + :param onFailed: ()->Any + :param price: float + :param useMarketPrice: bool + :param leverRate: int | None + :param extra: Any + :return: + """ + + data = {} + if useMarketPrice: + data['match_price'] = 1 + else: + data['price'] = price + data.update({ + 'symbol': symbol, + 'contract_typ': contractType, # 合约类型：当周/下周/季度 + 'amount': volume, + 'type': orderType, + 'lever_rate': leverRate # 杠杆倍数 + }) + + request = self.addReq('POST', + '/future_trade.do', + callback=self.onOrderSent, + data=data, + extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra)) + return request + + #---------------------------------------------------------------------- + def cancelOrder(self, symbol, contractType, orderId, onSuccess, onFailed=None, + extra=None): # type: (str, OkexFutureContractType, str, Callable[[object], Any], Callable[[object], Any], Any)->Request + """ + :param symbol: str + :param contractType: OkexFutureContractType + :param orderId: str + :param onSuccess: ()->Any + :param onFailed: ()->Any + :param extra: Any + :return: Request + """ + data = { + 'symbol': symbol, + 'contractType': contractType, + 'order_id': orderId + } + return self.addReq('POST', + '/future_cancel.do', + callback=self.onOrderCanceled, + data=data, + extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra)) + + #---------------------------------------------------------------------- + def queryOrder(self, symbol, contractType, orderId, onSuccess, onFailed=None, + extra=None): # type: (str, OkexFutureContractType, str, Callable[[OkexFutureOrder, Any], Any], Callable[[Any], Any], Any)->Request + """ + :param symbol: str + :param contractType: OkexFutureContractType + :param orderId: str + :param onSuccess: (OkexFutureOrder, extra:Any)->Any + :param onFailed: (extra: Any)->Any + :param extra: Any + :return: Request + """ + data = { + 'symbol': symbol, + 'contractType': contractType, + 'order_id': orderId + } + return self.addReq('POST', + '/future_order_info.do', + callback=self.onOrder, + data=data, + extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra)) + + #---------------------------------------------------------------------- + def queryUserInfo(self, onSuccess, onFailed=None, + extra=None): # type: (Callable[[List[OkexFutureUserInfo], Any], Any], Callable[[Any], Any], Any)->Request + """ + 查询用户信息 + :param onSuccess: (userInfos: List[OkexFutureUserInfo], extra: Any)->Any + :param onFailed: (extra: Any)->Any + :param extra: Any + :return: Request + """ + return self.addReq('POST', + '/future_userinfo.do', + callback=self.onOrder, + extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra)) + + #---------------------------------------------------------------------- + def queryPosition(self, symbol, contractType, + onSuccess, onFailed=None, + extra=None): # type: (str, OkexFutureContractType, Callable[[OkexFuturePosition, Any], Any], Callable[[Any], Any], Any)->Request + data = { + 'symbol': symbol, + 'contractType': contractType + } + return self.addReq('POST', + '/future_position.do', + data=data, + callback=self.onPosition, + extra=_OkexFutureCustomExtra(onSuccess, onFailed, extra)) + + #---------------------------------------------------------------------- + @staticmethod + def onOrderSent(data, req): # type: (dict, Request)->None + """ + 下单回执，一般用来保存sysId + """ + extra = req.extra # type: _OkexFutureCustomExtra + if data['result'] is True: + remoteId = data['order_id'] + extra.onSuccess(remoteId, extra.extra) + else: + extra.onFailed(extra.extra) + + #---------------------------------------------------------------------- + @staticmethod + def onOrderCanceled(data, req): # type: (dict, Request)->None + """ + 取消订单回执 + """ + success = data['result'] + extra = req.extra # type: _OkexFutureCustomExtra + if success: + extra.onSuccess(extra.extra) + else: + extra.onFailed(extra.extra) + + #---------------------------------------------------------------------- + @staticmethod + def onOrder(data, req): # type: (dict, Request)->None + success = data['result'] + extra = req.extra # type: _OkexFutureCustomExtra + if success: + order = data['orders'][0] + okexOrder = OkexFutureOrder() + + okexOrder.symbol = order['symbol'] + okexOrder.volume = order['amount'] + okexOrder.price = order['price'] + okexOrder.priceAvg = order['price_avg'] + okexOrder.status = order['status'] + okexOrder.orderType = order['type'] + okexOrder.unitAmount = order['unit_amount'] + okexOrder.leverRate = order['lever_rate'] + okexOrder.remoteId = order['order_id'] + okexOrder.fee = order['fee'] + okexOrder.tradedVolume = order['deal_amount'] + okexOrder.createDate = order['create_date'] + + extra.onSuccess(okexOrder, extra.extra) + else: + extra.onFailed(extra.extra) + + #---------------------------------------------------------------------- + @staticmethod + def onUserInfo(data, req): # type: (dict, Request)->None + success = data['result'] + extra = req.extra # type: _OkexFutureCustomExtra + if success: + infos = data['info'] + uis = [] + for symbol, info in infos.items(): # type: str, dict + ui = OkexFutureUserInfo() + ui.accountRights = info['account_rights'] + ui.keepDeposit = info['keep_deposit'] + ui.profitReal = info['profit_real'] + ui.profitUnreal = info['profit_unreal'] + ui.riskRate = info['risk_rate'] + uis.append(ui) + extra.onSuccess(uis, extra.extra) + else: + extra.onFailed(extra.extra) + + #---------------------------------------------------------------------- + @staticmethod + def onPosition(data, req): # type: (dict, Request)->None + success = data['result'] + extra = req.extra # type: _OkexFutureCustomExtra + if success: + pos = OkexFuturePosition() + pos.forceLiquidatePrice = data['force_liqu_price'] + for item in data['holding']: + posDetail = OkexFuturePositionDetail() + posDetail.buyAmount = item['buy_amount'] + posDetail.buyAvailable = item['buy_available'] + posDetail.buyPriceAvg = item['buy_price_avg'] + posDetail.buyPriceCost = item['buy_price_cost'] + posDetail.buyProfitReal = item['buy_profit_real'] + posDetail.contractId = item['contract_id'] + posDetail.contractType = item['contract_type'] + posDetail.createDate = item['create_date'] + posDetail.leverRate = item['lever_rate'] + posDetail.sellAmount = item['sell_amount'] + posDetail.sellAvailable = item['sell_available'] + posDetail.sellPriceAvg = item['sell_price_avg'] + posDetail.sellPriceCost = item['sell_price_cost'] + posDetail.sellProfitReal = item['sell_profit_real'] + posDetail.symbol = item['symbol'] + pos.holding.append(posDetail) + extra.onSuccess(pos, extra.extra) + else: + extra.onFailed(extra.extra) diff --git a/vnpy/api/okexfuture/vnokexFuture.py b/vnpy/api/okexfuture/vnokexFuture.py index b32236e2..0553827d 100644 --- a/vnpy/api/okexfuture/vnokexFuture.py +++ b/vnpy/api/okexfuture/vnokexFuture.py @@ -8,11 +8,11 @@ from vnpy.network.RestClient import RestClient, Request ######################################################################## -class OkexFutureRestClient(RestClient): +class OkexFutureRestBase(RestClient): #---------------------------------------------------------------------- def __init__(self): - super(OkexFutureRestClient, self).__init__() + super(OkexFutureRestBase, self).__init__() self.apiKey = None self.apiSecret = None @@ -20,7 +20,7 @@ class OkexFutureRestClient(RestClient): # noinspection PyMethodOverriding def init(self, apiKey, apiSecret): # type: (str, str) -> any - super(OkexFutureRestClient, self).init('https://www.okex.com/api/v1') + super(OkexFutureRestBase, self).init('https://www.okex.com/api/v1') self.apiKey = apiKey self.apiSecret = apiSecret diff --git a/vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py b/vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py index 21d0cc2d..252e856d 100644 --- a/vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py +++ b/vnpy/trader/gateway/okexFutureGateway/okexFutureGateway.py @@ -5,16 +5,15 @@ from __future__ import print_function import json from abc import abstractmethod, abstractproperty -from vnpy.api.okexfuture.vnokexFuture import OkexFutureRestClient -from vnpy.network.RestClient import Request +from vnpy.api.okexfuture.OkexFutureApi import * from vnpy.trader.vtFunction import getJsonPath from vnpy.trader.vtGateway import * orderTypeMap = { - (constant.DIRECTION_LONG, constant.OFFSET_OPEN): 1, - (constant.DIRECTION_SHORT, constant.OFFSET_OPEN): 2, - (constant.DIRECTION_LONG, constant.OFFSET_CLOSE): 3, - (constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): 4, + (constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFutureOrderType.OpenLong, + (constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFutureOrderType.OpenShort, + (constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseLong, + (constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFutureOrderType.CloseShort, } orderTypeMapReverse = {v: k for k, v in orderTypeMap.items()} @@ -23,9 +22,9 @@ contracts = ( ) contractTypeMap = { - 'THISWEEK': 'this_week', - 'NEXTWEEK': 'next_week', - 'QUARTER': 'quarter', + 'THISWEEK': OkexFutureContractType.ThisWeek, + 'NEXTWEEK': OkexFutureContractType.NextWeek, + 'QUARTER': OkexFutureContractType.Quarter, } # symbols for ui, @@ -98,7 +97,7 @@ class OkexFutureGateway(VnpyGateway): super(OkexFutureGateway, self).__init__(eventEngine) self.apiKey = None # type: str self.apiSecret = None # type: str - self.api = OkexFutureApi(self) + self.api = OkexFutureRestClient() self.leverRate = 1.0 self.symbols = [] @@ -166,249 +165,3 @@ class OkexFutureGateway(VnpyGateway): def close(self): """关闭""" self.api.close() - - -######################################################################## -class VnpyOrder(): - - def __init__(self): - """ - 这个东西将VtOrderReq和VtOrderData还有Request三者绑定起来，以便查询 - - """ - self.vtRequest = None # type: VtOrderReq # 如果这个order是通过sendOrder产生的，则会有对应的vtRequest - 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 - self.order = None # type: VtOrderData # 对应的VtOrderData - - 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 - - -######################################################################## -class ApiBase(object): - """ - 写在前面：现在不打算重构MainEngine才会有这个类的存在 - 所以这个类注定活不久。 - - 每个Api实现发单等等操作的时候，有太多重复代码。 - 于是我写了这个类，以期简化Api的实现。 - - 发单实现： - 重写_sendOrder函数。 - 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 - - 例如： - def _sendOrder(self, vtRequest): - return self.httpClient.addReq(..., callback=self._onOrderSent) - - def _onOrderSent(self, data, req): - remoteId = None - if data['success'] is True: - remoteId = data['order_id'] - self._processOrderSent(req, remoteId) - - 撤单实现： - 重写_cancelOrder函数。 - """ - - #---------------------------------------------------------------------- - def __init__(self, gateway): - self.gateway = gateway # type: VnpyGateway - - self._lastOrderId = 0 - - self._orders = {} # type: dict[str, VnpyOrder] - self._cancelDict = {} # type: dict[str, VtCancelOrderReq] - - #---------------------------------------------------------------------- - # todo: push this / make this standalone - def generateVnpyOrder(self): - localId = str(self._lastOrderId) - self._lastOrderId += 1 - - order = VnpyOrder() - - order.order = VtOrderData() - order.order.orderID = localId - order.order.vtOrderID = ".".join(self.gateway.gatewayName, localId) - order.order.exchange = self.gateway.exchange - - 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