From fd4ba628380bf37415cad066d7d2bdd678273c0a Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 16 Jul 2019 17:15:42 +0800 Subject: [PATCH] [Add] query_history function for BitfinexGateway --- examples/vn_trader/run.py | 8 +- vnpy/gateway/bitfinex/bitfinex_gateway.py | 95 ++++++++++++++++++++++- 2 files changed, 97 insertions(+), 6 deletions(-) diff --git a/examples/vn_trader/run.py b/examples/vn_trader/run.py index a841933f..32d3596e 100644 --- a/examples/vn_trader/run.py +++ b/examples/vn_trader/run.py @@ -16,7 +16,7 @@ from vnpy.trader.ui import MainWindow, create_qapp # from vnpy.gateway.oes import OesGateway from vnpy.gateway.okex import OkexGateway # from vnpy.gateway.huobi import HuobiGateway -# from vnpy.gateway.bitfinex import BitfinexGateway +from vnpy.gateway.bitfinex import BitfinexGateway # from vnpy.gateway.onetoken import OnetokenGateway from vnpy.gateway.okexf import OkexfGateway # from vnpy.gateway.xtp import XtpGateway @@ -53,11 +53,11 @@ def main(): # main_engine.add_gateway(BitmexGateway) # main_engine.add_gateway(TigerGateway) # main_engine.add_gateway(OesGateway) - main_engine.add_gateway(OkexGateway) + # main_engine.add_gateway(OkexGateway) # main_engine.add_gateway(HuobiGateway) - # main_engine.add_gateway(BitfinexGateway) + main_engine.add_gateway(BitfinexGateway) # main_engine.add_gateway(OnetokenGateway) - main_engine.add_gateway(OkexfGateway) + # main_engine.add_gateway(OkexfGateway) # main_engine.add_gateway(HbdmGateway) # main_engine.add_gateway(XtpGateway) # main_engine.add_gateway(TapGateway) diff --git a/vnpy/gateway/bitfinex/bitfinex_gateway.py b/vnpy/gateway/bitfinex/bitfinex_gateway.py index ecec31d3..c3442d0b 100644 --- a/vnpy/gateway/bitfinex/bitfinex_gateway.py +++ b/vnpy/gateway/bitfinex/bitfinex_gateway.py @@ -7,7 +7,7 @@ import hmac import sys import time from copy import copy -from datetime import datetime +from datetime import datetime, timedelta from urllib.parse import urlencode from vnpy.api.rest import Request, RestClient from vnpy.api.websocket import WebsocketClient @@ -18,18 +18,21 @@ from vnpy.trader.constant import ( OrderType, Product, Status, + Interval ) from vnpy.trader.gateway import BaseGateway from vnpy.trader.object import ( TickData, OrderData, TradeData, + BarData, PositionData, AccountData, ContractData, OrderRequest, CancelRequest, SubscribeRequest, + HistoryRequest ) BASE_URL = "https://api.bitfinex.com/" @@ -57,6 +60,18 @@ DIRECTION_BITFINEX2VT = { "Sell": Direction.SHORT, } +INTERVAL_VT2BITFINEX = { + Interval.MINUTE: "1m", + Interval.HOUR: "1h", + Interval.DAILY: "1D", +} + +TIMEDELTA_MAP = { + Interval.MINUTE: timedelta(minutes=1), + Interval.HOUR: timedelta(hours=1), + Interval.DAILY: timedelta(days=1), +} + class BitfinexGateway(BaseGateway): """ @@ -112,6 +127,10 @@ class BitfinexGateway(BaseGateway): """""" pass + def query_history(self, req: HistoryRequest): + """""" + return self.rest_api.query_history(req) + def close(self): """""" self.rest_api.stop() @@ -214,6 +233,7 @@ class BitfinexRestApi(RestClient): size=1, pricetick=1 / pow(10, d["price_precision"]), min_volume=float(d["minimum_order_size"]), + history_data=True, gateway_name=self.gateway_name, ) self.gateway.on_contract(contract) @@ -240,6 +260,78 @@ class BitfinexRestApi(RestClient): self.exception_detail(exception_type, exception_value, tb, request) ) + def query_history(self, req: HistoryRequest): + """""" + history = [] + limit = 5000 + + interval = INTERVAL_VT2BITFINEX[req.interval] + path = f"/v2/candles/trade:{interval}:t{req.symbol}/hist" + + start_time = req.start + + while True: + # Create query params + params = { + "limit": 5000, + "start": datetime.timestamp(start_time) * 1000, + "sort": 1 + } + + # Get response from server + resp = self.request( + "GET", + path, + params=params + ) + + # Break if request failed with other status code + if resp.status_code // 100 != 2: + msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}" + self.gateway.write_log(msg) + break + else: + data = resp.json() + if not data: + msg = f"获取历史数据为空，开始时间：{start_time}，数量：{count}" + break + + buf = [] + + for l in data: + ts, o, h, l, c, v = l + dt = datetime.fromtimestamp(ts / 1000) + + bar = BarData( + symbol=req.symbol, + exchange=req.exchange, + datetime=dt, + interval=req.interval, + volume=v, + open_price=o, + high_price=h, + low_price=l, + close_price=c, + gateway_name=self.gateway_name + ) + buf.append(bar) + + history.extend(buf) + + begin = buf[0].datetime + end = buf[-1].datetime + msg = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}" + self.gateway.write_log(msg) + + # Break if total data count less than 5000 (latest date collected) + if len(data) < limit: + break + + # Update start time + start_time = bar.datetime + TIMEDELTA_MAP[req.interval] + + return history + class BitfinexWebsocketApi(WebsocketClient): """""" @@ -492,7 +584,6 @@ class BitfinexWebsocketApi(WebsocketClient): def on_wallet(self, data): """""" if str(data[0]) == "exchange": - print("wallet", data) accountid = str(data[1]) account = self.accounts.get(accountid, None) if not account: