[Add] Rest and websocket client
This commit is contained in:
vn.py
parent
242a97a2b2
commit
f912207d3f
@ -1,3 +1,4 @@
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PyQt5
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qdarkstyle
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futu-api
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futu-api
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websocket-client
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1
vnpy/api/rest/__init__.py
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1
vnpy/api/rest/__init__.py
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from .RestClient import Request, RequestStatus, RestClient
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278
vnpy/api/rest/rest_client.py
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278
vnpy/api/rest/rest_client.py
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# encoding: UTF-8
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import sys
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import traceback
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from queue import Empty, Queue
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from datetime import datetime
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from multiprocessing.dummy import Pool
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import requests
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from enum import Enum
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from typing import Any, Callable, Optional
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class RequestStatus(Enum):
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ready = 0 # 刚刚构建
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success = 1 # 请求成功 code == 2xx
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failed = 2
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error = 3 # 发生错误 网络错误、json解析错误，等等
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class Request(object):
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"""
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表示一个内部的Request，用于状态查询
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"""
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def __init__(self, method, path, params, data, headers, callback):
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self.method = method # type: str
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self.path = path # type: str
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self.callback = callback # type: callable
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self.params = params # type: dict #, bytes, str
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self.data = data # type: dict #, bytes, str
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self.headers = headers # type: dict
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self.onFailed = None # type: callable
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self.onError = None # type: callable
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self.extra = None # type: Any
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self.response = None # type: requests.Response
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self.status = RequestStatus.ready # type: RequestStatus
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def __str__(self):
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if self.response is None:
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statusCode = 'terminated'
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else:
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statusCode = self.response.status_code
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# todo: encoding error
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return (
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"reuqest : {} {} {} because {}: \n"
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"headers: {}\n"
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"params: {}\n"
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"data: {}\n"
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"response:"
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"{}\n".format(
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self.method,
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self.path,
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self.status.name,
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statusCode,
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self.headers,
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self.params,
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self.data,
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'' if self.response is None else self.response.text
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)
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)
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class RestClient(object):
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"""
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HTTP 客户端。目前是为了对接各种RESTfulAPI而设计的。
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如果需要给请求加上签名，请设置beforeRequest, 函数类型请参考defaultBeforeRequest。
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如果需要处理非2xx的请求，请设置onFailed，函数类型请参考defaultOnFailed。
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如果每一个请求的非2xx返回都需要单独处理，使用addReq函数的onFailed参数
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如果捕获Python内部错误，例如网络连接失败等等，请设置onError，函数类型请参考defaultOnError
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"""
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def __init__(self):
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"""
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"""
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self.urlBase = None # type: str
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self._active = False
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self._queue = Queue()
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self._pool = None # type: Pool
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def init(self, urlBase):
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"""
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初始化
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:param urlBase: 路径前缀。 例如'https://www.bitmex.com/api/v1/'
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"""
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self.urlBase = urlBase
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def _createSession(self):
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""""""
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return requests.session()
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def start(self, n=3):
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"""启动"""
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if self._active:
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return
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self._active = True
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self._pool = Pool(n)
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self._pool.apply_async(self._run)
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def stop(self):
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"""
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强制停止运行，未发出的请求都会被暂停（仍处于队列中）
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:return:
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"""
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self._active = False
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def join(self):
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"""
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等待所有请求处理结束
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如果要并确保RestClient的退出，请在调用stop之后紧接着调用join。
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如果只是要确保所有的请求都处理完，直接调用join即可。
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:return:
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"""
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self._queue.join()
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def addRequest(self,
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method, # type: str
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path, # type: str
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callback, # type: Callable[[dict, Request], Any]
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params=None, # type: dict
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data=None, # type: dict
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headers=None, # type: dict
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onFailed=None, # type: Callable[[int, Request], Any]
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onError=None, # type: Callable[[type, Exception, traceback, Request], Any]
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extra=None # type: Any
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): # type: (...)->Request
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"""
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发送一个请求
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:param method: GET, POST, PUT, DELETE, QUERY
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:param path:
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:param callback: 请求成功后的回调(状态吗为2xx时认为请求成功) type: (dict, Request)
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:param params: dict for query string
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:param data: dict for body
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:param headers: dict for headers
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:param onFailed: 请求失败后的回调(状态吗不为2xx时认为请求失败)（如果指定该值，默认的onFailed将不会被调用） type: (code, dict, Request)
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:param onError: 请求出现Python错误后的回调（如果指定该值，默认的onError将不会被调用） type: (etype, evalue, tb, Request)
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:param extra: 返回值的extra字段会被设置为这个值。当然，你也可以在函数调用之后再设置这个字段。
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:return: Request
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"""
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request = Request(method, path, params, data, headers, callback)
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request.extra = extra
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request.onFailed = onFailed
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request.onError = onError
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self._queue.put(request)
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return request
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def _run(self):
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try:
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session = self._createSession()
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while self._active:
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try:
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request = self._queue.get(timeout=1)
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try:
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self._processRequest(request, session)
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finally:
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self._queue.task_done()
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except Empty:
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pass
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except:
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et, ev, tb = sys.exc_info()
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self.onError(et, ev, tb, None)
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def sign(self, request): # type: (Request)->Request
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"""
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所有请求在发送之前都会经过这个函数
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签名之类的前奏可以在这里面实现
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需要对request进行什么修改就做什么修改吧
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@:return (request)
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"""
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return request
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def onFailed(self, httpStatusCode, request): # type:(int, Request)->None
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"""
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请求失败处理函数（HttpStatusCode!=2xx）.
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默认行为是打印到stderr
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"""
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sys.stderr.write(str(request))
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def onError(self,
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exceptionType, # type: type
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exceptionValue, # type: Exception
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tb,
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request # type: Optional[Request]
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):
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"""
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Python内部错误处理：默认行为是仍给excepthook
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:param request 如果是在处理请求的时候出错，它的值就是对应的Request，否则为None
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"""
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sys.stderr.write(
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self.exceptionDetail(exceptionType,
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exceptionValue,
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tb,
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request)
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)
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sys.excepthook(exceptionType, exceptionValue, tb)
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def exceptionDetail(self,
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exceptionType, # type: type
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exceptionValue, # type: Exception
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tb,
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request # type: Optional[Request]
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):
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text = "[{}]: Unhandled RestClient Error:{}\n".format(
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datetime.now().isoformat(),
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exceptionType
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)
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text += "request:{}\n".format(request)
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text += "Exception trace: \n"
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text += "".join(
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traceback.format_exception(
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exceptionType,
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exceptionValue,
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tb,
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)
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)
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return text
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def _processRequest(
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self,
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request,
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session
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): # type: (Request, requests.Session)->None
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"""
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用于内部：将请求发送出去
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"""
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# noinspection PyBroadException
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try:
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request = self.sign(request)
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url = self.makeFullUrl(request.path)
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response = session.request(
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request.method,
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url,
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headers=request.headers,
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params=request.params,
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data=request.data
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)
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request.response = response
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httpStatusCode = response.status_code
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if httpStatusCode / 100 == 2: # 2xx都算成功，尽管交易所都用200
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jsonBody = response.json()
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request.callback(jsonBody, request)
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request.status = RequestStatus.success
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else:
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request.status = RequestStatus.failed
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if request.onFailed:
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request.onFailed(httpStatusCode, request)
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else:
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self.onFailed(httpStatusCode, request)
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except:
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request.status = RequestStatus.error
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t, v, tb = sys.exc_info()
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if request.onError:
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request.onError(t, v, tb, request)
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else:
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self.onError(t, v, tb, request)
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def makeFullUrl(self, path):
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"""
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将相对路径补充成绝对路径：
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eg: makeFullUrl('/get') == 'http://xxxxx/get'
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:param path:
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:return:
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"""
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url = self.urlBase + path
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return url
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1
vnpy/api/websocket/__init__.py
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1
vnpy/api/websocket/__init__.py
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from .WebsocketClient import WebsocketClient
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256
vnpy/api/websocket/websocket_client.py
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256
vnpy/api/websocket/websocket_client.py
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# encoding: UTF-8
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import json
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import ssl
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import sys
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import time
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import traceback
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from datetime import datetime
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from threading import Lock, Thread
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import websocket
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class WebsocketClient(object):
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"""
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Websocket API
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实例化之后，应调用start开始后台线程。调用start()函数会自动连接websocket。
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若要终止后台线程，请调用stop()。 stop()函数会顺便断开websocket。
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该类默认打包方式为json，若从服务器返回的数据不为json，则会触发onError。
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可以覆盖以下回调：
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onConnected
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onDisconnected
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onPacket # 数据回调，只有在返回的数据帧为text并且内容为json时才会回调
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onError
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当然，为了不让用户随意自定义，用自己的init函数覆盖掉原本的init(host)也是个不错的选择。
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关于ping：
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在调用start()之后，该类每60s会自动发送一个ping帧至服务器。
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"""
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def __init__(self):
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"""Constructor"""
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self.host = None # type: str
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self._ws_lock = Lock()
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self._ws = None # type: websocket.WebSocket
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self._workerThread = None # type: Thread
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self._pingThread = None # type: Thread
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self._active = False
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# for debugging:
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self._lastSentText = None
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self._lastReceivedText = None
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def init(self, host):
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self.host = host
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def start(self):
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"""
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启动
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:note 注意：启动之后不能立即发包，需要等待websocket连接成功。
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websocket连接成功之后会响应onConnected函数
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"""
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self._active = True
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self._workerThread = Thread(target=self._run)
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self._workerThread.start()
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self._pingThread = Thread(target=self._runPing)
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self._pingThread.start()
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def stop(self):
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"""
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关闭
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@note 不能从工作线程，也就是websocket的回调中调用
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"""
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self._active = False
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self._disconnect()
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def join(self):
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"""
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等待所有工作线程退出
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正确调用方式：先stop()后join()
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"""
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self._pingThread.join()
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self._workerThread.join()
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def sendPacket(self, dictObj): # type: (dict)->None
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"""发出请求:相当于sendText(json.dumps(dictObj))"""
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text = json.dumps(dictObj)
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self._recordLastSentText(text)
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return self._getWs().send(text, opcode=websocket.ABNF.OPCODE_TEXT)
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def sendText(self, text): # type: (str)->None
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"""发送文本数据"""
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return self._getWs().send(text, opcode=websocket.ABNF.OPCODE_TEXT)
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def sendBinary(self, data): # type: (bytes)->None
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"""发送字节数据"""
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return self._getWs().send_binary(data)
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def _reconnect(self):
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"""重连"""
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if self._active:
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self._disconnect()
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self._connect()
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def _createConnection(self, *args, **kwargs):
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return websocket.create_connection(*args, **kwargs)
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def _connect(self):
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""""""
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self._ws = self._createConnection(
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self.host,
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sslopt={'cert_reqs': ssl.CERT_NONE}
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)
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self.onConnected()
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def _disconnect(self):
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"""
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断开连接
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"""
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with self._ws_lock:
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if self._ws:
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self._ws.close()
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self._ws = None
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def _getWs(self):
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with self._ws_lock:
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return self._ws
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def _run(self):
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"""
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运行，直到stop()被调用
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"""
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try:
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self._connect()
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# todo: onDisconnect
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while self._active:
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try:
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ws = self._getWs()
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if ws:
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text = ws.recv()
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if not text: # recv在阻塞的时候ws被关闭
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self._reconnect()
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continue
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self._recordLastReceivedText(text)
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try:
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data = self.unpackData(text)
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except ValueError as e:
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print('websocket unable to parse data: ' + text)
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raise e
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self.onPacket(data)
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except websocket.WebSocketConnectionClosedException: # 在调用recv之前ws就被关闭了
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self._reconnect()
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except: # Python内部错误（onPacket内出错）
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et, ev, tb = sys.exc_info()
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self.onError(et, ev, tb)
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self._reconnect()
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except:
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et, ev, tb = sys.exc_info()
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self.onError(et, ev, tb)
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self._reconnect()
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@staticmethod
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def unpackData(data):
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"""
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解密数据，默认使用json解密为dict
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解密后的数据将会传入onPacket
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如果需要使用不同的解密方式，就重载这个函数。
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:param data 收到的数据，可能是text frame，也可能是binary frame, 目前并没有区分这两者
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"""
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return json.loads(data)
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def _runPing(self):
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while self._active:
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try:
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self._ping()
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except:
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et, ev, tb = sys.exc_info()
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# todo: just log this, notifying user is not necessary
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self.onError(et, ev, tb)
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self._reconnect()
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for i in range(60):
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if not self._active:
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break
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time.sleep(1)
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def _ping(self):
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ws = self._getWs()
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if ws:
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ws.send('ping', websocket.ABNF.OPCODE_PING)
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@staticmethod
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def onConnected():
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"""
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连接成功回调
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"""
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pass
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@staticmethod
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def onDisconnected():
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"""
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连接断开回调
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"""
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pass
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@staticmethod
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def onPacket(packet):
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"""
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数据回调。
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只有在数据为json包的时候才会触发这个回调
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@:param data: dict
|
||||
@:return:
|
||||
"""
|
||||
pass
|
||||
|
||||
def onError(self, exceptionType, exceptionValue, tb):
|
||||
"""
|
||||
Python错误回调
|
||||
todo: 以后详细的错误信息最好记录在文件里，用uuid来联系/区分具体错误
|
||||
"""
|
||||
sys.stderr.write(
|
||||
self.exceptionDetail(exceptionType,
|
||||
exceptionValue,
|
||||
tb)
|
||||
)
|
||||
|
||||
# 丢给默认的错误处理函数（所以如果不重载onError，一般的结果是程序会崩溃）
|
||||
return sys.excepthook(exceptionType, exceptionValue, tb)
|
||||
|
||||
def exceptionDetail(self, exceptionType, exceptionValue, tb):
|
||||
"""打印详细的错误信息"""
|
||||
text = "[{}]: Unhandled WebSocket Error:{}\n".format(
|
||||
datetime.now().isoformat(),
|
||||
exceptionType
|
||||
)
|
||||
text += "LastSentText:\n{}\n".format(self._lastSentText)
|
||||
text += "LastReceivedText:\n{}\n".format(self._lastReceivedText)
|
||||
text += "Exception trace: \n"
|
||||
text += "".join(
|
||||
traceback.format_exception(
|
||||
exceptionType,
|
||||
exceptionValue,
|
||||
tb,
|
||||
)
|
||||
)
|
||||
return text
|
||||
|
||||
def _recordLastSentText(self, text):
|
||||
"""
|
||||
用于Debug： 记录最后一次发送出去的text
|
||||
"""
|
||||
self._lastSentText = text[:1000]
|
||||
|
||||
def _recordLastReceivedText(self, text):
|
||||
"""
|
||||
用于Debug： 记录最后一次发送出去的text
|
||||
"""
|
||||
self._lastReceivedText = text[:1000]
|
||||
@ -116,6 +116,8 @@ class FutuGateway(BaseGateway):
|
||||
|
||||
self.ticks = {}
|
||||
self.trades = set()
|
||||
self.contracts = {}
|
||||
|
||||
self.thread = Thread(target=self.query_data)
|
||||
|
||||
# For query function.
|
||||
@ -311,6 +313,7 @@ class FutuGateway(BaseGateway):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.on_contract(contract)
|
||||
self.contracts[contract.vt_symbol] = contract
|
||||
|
||||
self.write_log("合约信息查询成功")
|
||||
|
||||
@ -401,6 +404,11 @@ class FutuGateway(BaseGateway):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.ticks[code] = tick
|
||||
|
||||
contract = self.contracts.get(tick.vt_symbol, None)
|
||||
if contract:
|
||||
tick.name = contract.name
|
||||
|
||||
return tick
|
||||
|
||||
def process_quote(self, data):
|
||||
|
||||
@ -197,6 +197,7 @@ class IbApi(EWrapper):
|
||||
self.ticks = {}
|
||||
self.orders = {}
|
||||
self.accounts = {}
|
||||
self.contracts = {}
|
||||
|
||||
self.tick_exchange = {}
|
||||
|
||||
@ -265,6 +266,11 @@ class IbApi(EWrapper):
|
||||
name = TICKFIELD_IB2VT[tickType]
|
||||
setattr(tick, name, price)
|
||||
|
||||
# Update name into tick data.
|
||||
contract = self.contracts.get(tick.vt_symbol, None)
|
||||
if contract:
|
||||
tick.name = contract.name
|
||||
|
||||
# Forex and spot product of IDEALPRO has no tick time and last price.
|
||||
# We need to calculate locally.
|
||||
exchange = self.tick_exchange[reqId]
|
||||
@ -467,8 +473,11 @@ class IbApi(EWrapper):
|
||||
pricetick=contractDetails.minTick,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
self.contracts[contract.vt_symbol] = contract
|
||||
|
||||
def execDetails(self, reqId: int, contract: Contract, execution: Execution):
|
||||
"""
|
||||
Callback of trade data update.
|
||||
|
||||
@ -32,6 +32,7 @@ class TickData(BaseData):
|
||||
exchange: str
|
||||
datetime: datetime
|
||||
|
||||
name: str = ""
|
||||
volume: float = 0
|
||||
last_price: float = 0
|
||||
last_volume: float = 0
|
||||
|
||||
@ -315,6 +315,11 @@ class TickMonitor(BaseMonitor):
|
||||
"cell": BaseCell,
|
||||
"update": False
|
||||
},
|
||||
"name": {
|
||||
"display": "名称",
|
||||
"cell": BaseCell,
|
||||
"update": True
|
||||
},
|
||||
"last_price": {
|
||||
"display": "最新价",
|
||||
"cell": BaseCell,
|
||||
|
||||
Loading…
Reference in New Issue
Block a user