diff --git a/vnpy/trader/gateway/binanceGateway/BINANCE_connect.json b/vnpy/trader/gateway/binanceGateway/BINANCE_connect.json new file mode 100644 index 00000000..d1b414c6 --- /dev/null +++ b/vnpy/trader/gateway/binanceGateway/BINANCE_connect.json @@ -0,0 +1,6 @@ +{ + "accountID": "---", + "accessKey": "----", + "secretKey": "---", + "interval": 6 +} \ No newline at end of file diff --git a/vnpy/trader/gateway/binanceGateway/DigitalCurrency.py b/vnpy/trader/gateway/binanceGateway/DigitalCurrency.py new file mode 100644 index 00000000..2277c985 --- /dev/null +++ b/vnpy/trader/gateway/binanceGateway/DigitalCurrency.py @@ -0,0 +1,24 @@ +# encoding: utf-8 + +''' + ethusdt --> eth_usdt + etcbtc --> etc_btc + ethusdt.HUOBI --> eth_usdt + etcbtc.HUOBI --> etc_btc +''' +def systemSymbolToVnSymbol(symbol): + symbol = symbol.replace('_','') + symbol = ((symbol.split('.'))[0]).lower() + if 'usdt' in symbol: + return symbol[:-4] + "_usdt" + else: + return symbol[:-3] + "_" + symbol[-3:] + + +''' + etc_btc --> etcbtc + eth_usdt --> ethusdt +''' +def VnSymbolToSystemSymbol(symbol): + symbol = (symbol.split('.'))[0] + return (''.join(symbol.split('_'))).lower() diff --git a/vnpy/trader/gateway/binanceGateway/__init__.py b/vnpy/trader/gateway/binanceGateway/__init__.py new file mode 100644 index 00000000..b329aee1 --- /dev/null +++ b/vnpy/trader/gateway/binanceGateway/__init__.py @@ -0,0 +1,11 @@ +# encoding: UTF-8 + +from vnpy.trader import vtConstant +from vnpy.trader.gateway.binanceGateway.binanceGateway import BinanceGateway + +gatewayClass = BinanceGateway +gatewayName = 'BINANCE' +gatewayDisplayName = u'BINANCE' +gatewayType = vtConstant.GATEWAYTYPE_BTC +gatewayQryEnabled = True + diff --git a/vnpy/trader/gateway/binanceGateway/binanceGateway.py b/vnpy/trader/gateway/binanceGateway/binanceGateway.py new file mode 100644 index 00000000..8ef39c80 --- /dev/null +++ b/vnpy/trader/gateway/binanceGateway/binanceGateway.py @@ -0,0 +1,1076 @@ +# encoding: UTF-8 + +''' +vn.binance的gateway接入 +''' + +import os,sys +import json +from datetime import datetime +from copy import copy +from threading import Condition +from queue import Queue +from threading import Thread +import traceback +import json +from datetime import datetime , timedelta +import time + +from vnpy.api.binance import BinanceSpotApi +from vnpy.trader.vtGateway import * +from vnpy.trader.vtFunction import getJsonPath +from vnpy.trader.gateway.binanceGateway.DigitalCurrency import systemSymbolToVnSymbol , VnSymbolToSystemSymbol +from vnpy.trader.vtConstant import PRICETYPE_LIMITPRICE, DIRECTION_LONG, DIRECTION_NET,DIRECTION_SHORT, PRODUCT_SPOT, EXCHANGE_BINANCE, OFFSET_OPEN, OFFSET_CLOSE +from vnpy.trader.vtConstant import STATUS_UNKNOWN, STATUS_REJECTED, STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_PARTTRADED, STATUS_NOTTRADED +''' +币安接口 +''' +class BinanceGateway(VtGateway): + """Binance 接口""" + #---------------------------------------------------------------------- + def __init__(self, eventEngine , gatewayName='BINANCE'): + """Constructor""" + super(BinanceGateway, self).__init__(eventEngine, gatewayName) + self.api_spot = BinanceApi(self) + + self.connected = False + self.qryEnabled = True + + self.interval = 30 + self.accountID = "None" + self.total_count = 0 + + # gateway 配置文件 + self.fileName = self.gatewayName + '_connect.json' + self.filePath = getJsonPath(self.fileName, __file__) + + # 消息调试 + self.log_message = False + #---------------------------------------------------------------------- + def connect(self): + try: + f = open(self.filePath, 'r') + except IOError: + self.writeError(u'BINANCE读取连接配置出错，请检查') + return + + # 解析json文件 + setting = json.load(f) + try: + self.accountID = str(setting["accountID"]) + apiKey = str(setting['accessKey']) + secretKey = str(setting['secretKey']) + self.interval = float(setting['interval']) + + self.api_spot.setAccount(self.accountID) + + self.log_message = setting['log_message'] if 'log_message' in setting else False + + except KeyError: + self.writeLog(u'BINANCE连接配置缺少字段，请检查') + return + + self.api_spot.active = True + self.api_spot.connect_Subpot( apiKey , secretKey) + self.api_spot.spotExchangeInfo() + + # sub = VtSubscribeReq() + # sub.symbol = "etc_btc.BINANCE" + # self.subscribe(sub) + + self.writeLog(u'{}接口初始化成功'.format(self.gatewayName)) + + # 启动查询 + self.initQuery() + self.startQuery() + + #---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情，自动订阅全部行情，无需实现""" + self.api_spot.register(subscribeReq) + + #---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + try: + return self.api_spot.sendOrder(orderReq) + except Exception as ex: + print(u'send order Exception:{},{}'.format(str(ex),traceback.format_exc()),file=sys.stderr) + + #---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + return self.api_spot.cancel(cancelOrderReq) + + #---------------------------------------------------------------------- + def qryAccount(self): + """查询账户资金""" + pass + + #---------------------------------------------------------------------- + def qryPosition(self): + """查询持仓""" + pass + + #---------------------------------------------------------------------- + def close(self): + """关闭""" + self.api_spot.exit() + + #---------------------------------------------------------------------- + def initQuery(self): + """初始化连续查询""" + if self.qryEnabled: + self.qryFunctionList = [self.api_spot.spotAccountInfo , self.api_spot.list_orders] + #self.qryFunctionList = [self.tradeApi.queryWorkingOrders, self.tradeApi.queryAccount] + + #---------------------------------------------------------------------- + def query(self, event): + """注册到事件处理引擎上的查询函数""" + self.total_count += 1 + if self.total_count % self.interval == 0: + for function in self.qryFunctionList: + function() + + #---------------------------------------------------------------------- + def startQuery(self): + """启动连续查询""" + self.eventEngine.register(EVENT_TIMER, self.query) + + #---------------------------------------------------------------------- + def setQryEnabled(self, qryEnabled): + """设置是否要启动循环查询""" + self.qryEnabled = qryEnabled + + def writeLog(self, content): + """ + 记录日志文件 + :param content: + :return: + """ + if self.logger: + self.logger.info(content) + + def writeError(self, content, error_id = 0): + """ + 发送错误通知/记录日志文件 + :param content: + :return: + """ + error = VtErrorData() + error.gatewayName = self.gatewayName + error.errorID = error_id + error.errorMsg = content + self.onError(error) + + if self.logger: + self.logger.error(content) + + print(u'{} error:{}'.format(self.gatewayName, content), file=sys.stderr) +''' +币安接口 +''' +class BinanceApi(BinanceSpotApi): + """Binance的API实现""" + #---------------------------------------------------------------------- + def __init__(self, gateway): + super(BinanceApi , self).__init__() + + self.gateway = gateway # gateway对象 + self.gatewayName = gateway.gatewayName # gateway对象名称 + + self.accountID = "BINANCE" + self.active = False # 若为True则会在断线后自动重连 + + self.localID = 0 # 本地委托号 + self.localSystemDict = {} # key:localID, value:systemID + self.systemLocalDict = {} # key:systemID, value:localID + self.workingOrderDict = {} # key:localID, value:order + + self.reqLocalDict = {} # key:reqID, value:localID + self.cancelDict = {} # key:localID, value:cancelOrderReq + self.tradedVolumeDict = {} # key:localID, value:volume ,已经交易成功的数量 + self.tradeID = 0 # 本地成交号 + + self.reqToLocalID = {} # req 跟 localID建立本地映射 + + self.tickDict = {} # key:symbol, value:tick + + self.registerSymbolSets = set([]) + + self.tick_depth_array_dict = {} # 用于计算 ticker 的 depth 的数据 + self.symbol_real_depth_dict = {} # 用于保存所有的深度数据的 dict + + #---------------------------------------------------------------------- + def list_orders(self): + """列出所有订单""" + + # 根据订阅清单，逐一发出订单列表查询请求 + for symbol in self.registerSymbolSets: + self.spotListAllOrders(symbol) + + #---------------------------------------------------------------------- + def register(self, subscribeReq): + """ + 登记订阅行情 + :param subscribeReq: + :return: + """ + symbol = (subscribeReq.symbol.split('.'))[0] + if symbol not in self.registerSymbolSets: + self.registerSymbolSets.add( symbol ) + self.subscribeSpotTicker( symbol ) + self.subscribeSpotDepth( symbol ) + + #---------------------------------------------------------------------- + def setAccount(self, useAccountID): + self.accountID = useAccountID + + #---------------------------------------------------------------------- + def sendOrder(self , req): + """发送委托""" + # 检查是否填入了价格，禁止市价委托 + if req.priceType != PRICETYPE_LIMITPRICE: + self.gateway.writeError(u'Binance接口仅支持限价单' , "sendOrder Error") + return None + + # 排除 symbol_pair.gateway后序 + symbol = (req.vtSymbol.split('.'))[0] + + self.gateway.writeLog( "send order %s,%s,%s,%s" % (req.vtSymbol , str(req.direction) , str(req.price) , str(req.volume) )) + if req.direction == DIRECTION_LONG: + reqID = self.spotTrade(symbol_pair=symbol, type_="buy", price=float(req.price), amount=req.volume) + else: + reqID = self.spotTrade(symbol_pair=symbol, type_="sell", price=float(req.price), amount=req.volume) + + self.localID += 1 + localID = str(self.localID) + self.reqLocalDict[reqID] = localID + + # 推送委托信息 + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = req.symbol + order.exchange = EXCHANGE_BINANCE + order.vtSymbol = order.symbol + + order.orderID = localID + order.vtOrderID = '.'.join([ order.gatewayName,order.orderID]) + + order.direction = req.direction + order.offset = OFFSET_OPEN if req.direction == DIRECTION_LONG else OFFSET_CLOSE + + order.price = float(req.price) + order.tradedVolume = 0 + order.totalVolume = req.volume + order.orderTime = datetime.now().strftime("%Y-%m-%d %H:%M:%S") + order.status = STATUS_UNKNOWN + + self.workingOrderDict[localID] = order + + self.reqToLocalID[reqID] = localID + # self.gateway.onOrder(order) + + # 返回委托号 + return order.vtOrderID + + + """ + 400 Filter failure: MIN_NOTIONAL -1013 {'data': {'times +tamp': 1521525104380L, 'price': '0.00000100', 'side': 'BUY', 'timeInForce': 'GTC +', 'signature': '300c376ca6838c37c2a9e3c54b0870c657729a2df5f7016ddd48c2700537362 +6', 'type': 'LIMIT', 'symbol': u'TNBBTC', 'quantity': 100.0}} + +print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs + """ + # ---------------------------------------------------------------------- + def onAllError(self, ex , req , reqID): + self.gateway.writeError( ex.message + " " + ex.uri , ex.status_code) + + # 判断是否应该是 发出的无效订单 + localID = self.reqToLocalID.get( reqID , None) + if localID != None: + order = self.workingOrderDict[localID] + if order != None: + # 推送 币安 拒绝单 过去 + order.status = STATUS_REJECTED + self.gateway.onOrder(order) + del self.workingOrderDict[localID] + del self.reqToLocalID[reqID] + else: + self.gateway.writeError( u"order is None , 不能找到order %s" % (str(localID)), "b4") + # else: + # self.gateway.writeError( u"localID is None , 不能找到localID %s" % (str(localID)), "b3") + + ''' + { + "timezone": "UTC", + "serverTime": 1508631584636, + "rateLimits": [ + { + "rateLimitType": "REQUESTS", + "interval": "MINUTE", + "limit": 1200 + }, + { + "rateLimitType": "ORDERS", + "interval": "SECOND", + "limit": 10 + }, + { + "rateLimitType": "ORDERS", + "interval": "DAY", + "limit": 100000 + } + ], + "exchangeFilters": [], + "symbols": [ + { + "symbol": "ETHBTC", + "status": "TRADING", + "baseAsset": "ETH", + "baseAssetPrecision": 8, + "quoteAsset": "BTC", + "quotePrecision": 8, + "orderTypes": ["LIMIT", "MARKET"], + "icebergAllowed": false, + "filters": [ + { + "filterType": "PRICE_FILTER", + "minPrice": "0.00000100", + "maxPrice": "100000.00000000", + "tickSize": "0.00000100" + }, { + "filterType": "LOT_SIZE", + "minQty": "0.00100000", + "maxQty": "100000.00000000", + "stepSize": "0.00100000" + }, { + "filterType": "MIN_NOTIONAL", + "minNotional": "0.00100000" + } + ] + } + ] + } + ''' + #---------------------------------------------------------------------- + def onExchangeInfo(self, data, req, reqID): + """通过查询交易所，获得 合约具体信息""" + symbols = data["symbols"] + for symbol_dict in symbols: + #ymbol = systemSymbolToVnSymbol(symbol_dic["symbol"]) + symbol = '{}_{}'.format(symbol_dict.get('baseAsset', '').lower(),symbol_dict.get('quoteAsset', '').lower()) + if symbol == '_': + continue + status = symbol_dict.get("status", None) + if status == "TRADING": + filters = symbol_dict["filters"] + price_filter = filters[0] + volume_filter = filters[1] + + contract = VtContractData() + contract.gatewayName = self.gatewayName + contract.symbol = '.'.join( [symbol , EXCHANGE_BINANCE] ) + contract.exchange = EXCHANGE_BINANCE + contract.vtSymbol = contract.symbol + contract.name = u"现货" + contract.vtSymbol + contract.size = float(volume_filter["stepSize"]) + contract.priceTick = float(price_filter["tickSize"]) + contract.productClass = PRODUCT_SPOT + self.gateway.onContract(contract) + + #---------------------------------------------------------------------- + def onAllTicker(self,msg): + """币安支持所有 ticker 同时socket过来""" + for symbol_pair_msg_dic in msg: + symbol_pair = systemSymbolToVnSymbol(symbol_pair_msg_dic["s"]) + + vtSymbol = '.'.join([symbol_pair , EXCHANGE_BINANCE]) + price = symbol_pair_msg_dic["p"] + + if symbol_pair not in self.tickDict: + tick = VtTickData() + tick.gatewayName = self.gatewayName + + tick.exchange = EXCHANGE_BINANCE + tick.symbol = '.'.join([symbol_pair, tick.exchange]) + tick.vtSymbol = tick.symbol + self.tickDict[tick.symbol] = tick + else: + tick = self.tickDict[vtSymbol] + + tick.highPrice = float(symbol_pair_msg_dic["h"]) + tick.lowPrice = float(symbol_pair_msg_dic["l"]) + tick.lastPrice = (float(symbol_pair_msg_dic["b"]) + float(symbol_pair_msg_dic["a"]))/2.0 + tick.volume = float(symbol_pair_msg_dic["v"]) + + tick.bidPrice1 = float(symbol_pair_msg_dic["b"]) + tick.bidVolume1 = float(symbol_pair_msg_dic["B"]) + tick.askPrice1 = float(symbol_pair_msg_dic["a"]) + tick.askVolume1 = float(symbol_pair_msg_dic["A"]) + + tick.bidPrice2, tick.bidVolume2 = [0 , 0] + tick.bidPrice3, tick.bidVolume3 = [0 , 0] + tick.bidPrice4, tick.bidVolume4 = [0 , 0] + tick.bidPrice5, tick.bidVolume5 = [0 , 0] + + tick.askPrice2, tick.askVolume2 = [0 , 0] + tick.askPrice3, tick.askVolume3 = [0 , 0] + tick.askPrice4, tick.askVolume4 = [0 , 0] + tick.askPrice5, tick.askVolume5 = [0 , 0] + + tick.datetime , tick.date , tick.time = self.generateDateTime( float(msg["E"])) + self.gateway.onTick(tick) + + #---------------------------------------------------------------------- + def onTick(self, msg): + symbol_pair = systemSymbolToVnSymbol(msg["s"]) + symbol = symbol_pair + "." + EXCHANGE_BINANCE + price = msg["p"] + + if symbol not in self.tickDict: + tick = VtTickData() + tick.gatewayName = self.gatewayName + + tick.exchange = EXCHANGE_BINANCE + tick.symbol = '.'.join([symbol_pair, tick.exchange]) + tick.vtSymbol = tick.symbol + self.tickDict[symbol] = tick + else: + tick = self.tickDict[symbol] + + tick.highPrice = float(msg["h"]) + tick.lowPrice = float(msg["l"]) + tick.lastPrice = (float(msg["b"]) + float(msg["a"]))/2.0 + tick.volume = float(msg["v"]) + + tick.bidPrice1 = float(msg["b"]) + tick.bidVolume1 = float(msg["B"]) + tick.askPrice1 = float(msg["a"]) + tick.askVolume1 = float(msg["A"]) + + # tick.bidPrice2, tick.bidVolume2 = [0 , 0] + # tick.bidPrice3, tick.bidVolume3 = [0 , 0] + # tick.bidPrice4, tick.bidVolume4 = [0 , 0] + # tick.bidPrice5, tick.bidVolume5 = [0 , 0] + + # tick.askPrice2, tick.askVolume2 = [0 , 0] + # tick.askPrice3, tick.askVolume3 = [0 , 0] + # tick.askPrice4, tick.askVolume4 = [0 , 0] + # tick.askPrice5, tick.askVolume5 = [0 , 0] + + tick.datetime , tick.date , tick.time = self.generateDateTime( float(msg["E"])) + + #self.gateway.onTick(tick) + + ''' + { + "e": "depthUpdate", // Event type + "E": 123456789, // Event time + "s": "BNBBTC", // Symbol + "U": 157, // First update ID in event + "u": 160, // Final update ID in event + "b": [ // Bids to be updated + [ + "0.0024", // price level to be updated + "10", + [] // ignore + ] + ], + "a": [ // Asks to be updated + [ + "0.0026", // price level to be updated + "100", // quantity + [] // ignore + ] + ] + } + + {u'a': [[u'0.00033700', u'185.00000000', []]], u'b': [], u'E': 1513908280912L, u +'s': u'BNBBTC', u'u': 18190614, u'e': u'depthUpdate', u'U': 18190614} + ''' + def onDepth(self, msg): + upper_symbol = msg.get('s',None) + if upper_symbol is None: + return + symbol_pair = systemSymbolToVnSymbol(upper_symbol) + first_update_id = msg["U"] + final_update_id = msg["u"] + bids = msg["b"] + asks = msg["a"] + uu_time_stamp = msg["E"] + + all_keys = self.symbol_real_depth_dict.keys() + + # print "onDepth" + # 判断是否已经 读取过历史数据 + if symbol_pair in all_keys: + # print "if symbol_pair in all_keys:" + info = self.symbol_real_depth_dict[symbol_pair] + depth_dict_bids = info["depth_dict_bids"] + depth_dict_asks = info["depth_dict_asks"] + last_event_id = info["last_event_id"] + if int(last_event_id) + 1 >= int(first_update_id) and int(last_event_id) < int(final_update_id): + for b_arr in bids: + price , volume , tmp_arr = b_arr + price = float(price) + volume = float(volume) + if volume > 0: + depth_dict_bids[price] = volume + else: + if price in depth_dict_bids.keys(): + del depth_dict_bids[price] + for a_arr in asks: + price , volume , tmp_arr = a_arr + price = float(price) + volume = float(volume) + if volume > 0: + depth_dict_asks[price] = volume + else: + if price in depth_dict_asks.keys(): + del depth_dict_asks[price] + + self.symbol_real_depth_dict[symbol_pair]["last_event_id"] = str(final_update_id) + else: + if int(last_event_id) + 1 < int(first_update_id): + # 说明信息已经不及时了 + del self.symbol_real_depth_dict[symbol_pair] + self.tick_depth_array_dict[symbol_pair] = [msg] + self.gateway.writeLog( "del update info %s's depth" % symbol_pair) + + self.dealMsgArrayInfo(symbol_pair) + else: + # print "else symbol_pair in all_keys:" + if symbol_pair not in self.tick_depth_array_dict: + self.tick_depth_array_dict[symbol_pair] = [msg] + else: + self.tick_depth_array_dict[symbol_pair].append( msg) + self.dealMsgArrayInfo(symbol_pair) + + # print "self.symbol_real_depth_dict" + # print self.symbol_real_depth_dict + + depth_dict_bids = self.symbol_real_depth_dict[symbol_pair]["depth_dict_bids"] + depth_dict_asks = self.symbol_real_depth_dict[symbol_pair]["depth_dict_asks"] + + symbol = symbol_pair + "." + EXCHANGE_BINANCE + if symbol not in self.tickDict: + tick = VtTickData() + tick.symbol = symbol + tick.vtSymbol = tick.symbol + tick.exchange = EXCHANGE_BINANCE + tick.gatewayName = self.gatewayName + self.tickDict[symbol] = tick + else: + tick = self.tickDict[symbol] + + try: + arr = sorted(depth_dict_bids.items(), key=lambda x: x[0]) + # print "tick1" , arr + tick.bidPrice1, tick.bidVolume1 = arr[-1] + tick.bidPrice2, tick.bidVolume2 = arr[-2] + tick.bidPrice3, tick.bidVolume3 = arr[-3] + tick.bidPrice4, tick.bidVolume4 = arr[-4] + tick.bidPrice5, tick.bidVolume5 = arr[-5] + except Exception as ex: + self.gateway.writeError(u'OnDepth Exception:{}'.format(str(ex))) + self.gateway.writeLog(u'OnDepth {}'.format(traceback.format_exc())) + + try: + arr = sorted(depth_dict_asks.items(), key=lambda x: x[0]) + # print "tick2", arr + tick.askPrice1, tick.askVolume1 = arr[0] + tick.askPrice2, tick.askVolume2 = arr[1] + tick.askPrice3, tick.askVolume3 = arr[2] + tick.askPrice4, tick.askVolume4 = arr[3] + tick.askPrice5, tick.askVolume5 = arr[4] + except Exception as ex: + self.gateway.writeError(u'OnDepth Exception:{}'.format(str(ex))) + self.gateway.writeLog(u'OnDepth {}'.format(traceback.format_exc())) + + tick.datetime , tick.date, tick.time = self.generateDateTime(uu_time_stamp) + + # print tick.__dict__ + self.gateway.onTick(tick) + #self.gateway.onTick(copy(tick)) + + # 处理msg数据 + def dealMsgArrayInfo(self, symbol_pair): + # print "in dealMsgArrayInfo" + data = self.getDepthSymbol(symbol_pair ) + depth_dict_bids = {} + depth_dict_asks = {} + lastUpdateId = data["lastUpdateId"] + bids = data["bids"] + asks = data["asks"] + for b_arr in bids: + price , volume , tmp_arr = b_arr + price = float(price) + volume = float(volume) + depth_dict_bids[price] = volume + for a_arr in asks: + price , volume , tmp_arr = a_arr + price = float(price) + volume = float(volume) + depth_dict_asks[price] = volume + + arr = self.tick_depth_array_dict.get(symbol_pair , []) + for msg in arr: + first_update_id = msg["U"] + final_update_id = msg["u"] + if int(final_update_id) > int(lastUpdateId) : + bids = msg["b"] + asks = msg["a"] + for b_arr in bids: + price , volume , tmp_arr = b_arr + price = float(price) + volume = float(volume) + if volume > 0: + depth_dict_bids[price] = volume + for a_arr in asks: + price , volume , tmp_arr = a_arr + price = float(price) + volume = float(volume) + if volume > 0: + depth_dict_asks[price] = volume + + lastUpdateId = final_update_id + self.tick_depth_array_dict[symbol_pair] = [] + + self.symbol_real_depth_dict[symbol_pair] = {"last_event_id":str(lastUpdateId) , "depth_dict_bids":depth_dict_bids , "depth_dict_asks":depth_dict_asks} + + + #---------------------------------------------------------------------- + # def onDepth(self, msg): + ''' + 这里研究了很久， 决定不实现 这个方法！ + 1、因为币安数据推送的 depth 是逐条的，跟原先的方法有差别，显得不好处理 + 2、币安五档 socket 推送过来，没有写具体的 币种名。。 导致无法在这个方法中进行区分 + ''' + # pass + # symbol_pair = systemSymbolToVnSymbol(msg["s"]) + # if symbol not in self.tickDict: + # tick = VtTickData() + # tick.gatewayName = self.gatewayName + # tick.exchange = EXCHANGE_BINANCE + # tick.symbol = '.'.join([symbol, tick.exchange]) + # tick.vtSymbol = '.'.join([symbol, tick.exchange]) + + # self.tickDict[symbol] = tick + # else: + # tick = self.tickDict[symbol] + + # bids = msg["b"] + # asks = msg["a"] + + # try: + # tick.bidPrice1, tick.bidVolume1 = bids[0] + # tick.bidPrice2, tick.bidVolume2 = bids[1] + # tick.bidPrice3, tick.bidVolume3 = bids[2] + # tick.bidPrice4, tick.bidVolume4 = bids[3] + # tick.bidPrice5, tick.bidVolume5 = bids[4] + # except Exception,ex: + # pass + + # try: + # tick.askPrice1, tick.askVolume1 = asks[0] + # tick.askPrice2, tick.askVolume2 = asks[1] + # tick.askPrice3, tick.askVolume3 = asks[2] + # tick.askPrice4, tick.askVolume4 = asks[3] + # tick.askPrice5, tick.askVolume5 = asks[4] + # except Exception,ex: + # pass + + # now = self.generateDateTime( float(msg["E"])) + # tick.time = now.strftime('%H:%M:%S') + # tick.date = now.strftime('%Y%m%d') + # tick.datetime = now + + # self.gateway.onTick(tick) + + ''' + { + "e": "trade", # Event type + "E": 123456789, # Event time + "s": "BNBBTC", # Symbol + "t": 12345, # Trade ID + "p": "0.001", # Price + "q": "100", # Quantity + "b": 88, # Buyer order Id + "a": 50, # Seller order Id + "T": 123456785, # Trade time + "m": true, # Is the buyer the market maker? + "M": true # Ignore. + } + ''' + #---------------------------------------------------------------------- + def onTrades(self, msg): + pass + + ''' + { + "makerCommission": 15, + "takerCommission": 15, + "buyerCommission": 0, + "sellerCommission": 0, + "canTrade": true, + "canWithdraw": true, + "canDeposit": true, + "balances": [ + { + "asset": "BTC", + "free": "4723846.89208129", + "locked": "0.00000000" + }, + { + "asset": "LTC", + "free": "4763368.68006011", + "locked": "0.00000000" + } + ] + } + ''' + #---------------------------------------------------------------------- + def onGetAccount(self, data, req, reqID): + balances = data["balances"] + account = VtAccountData() + account.gatewayName = self.gatewayName + account.accountID = self.accountID + account.vtAccountID = '.'.join([ self.gatewayName , self.accountID]) + account.balance = 0.0 + account.available = 0.0 + account.margin = 1.0 + account.closeProfit = 0.0 + account.positionProfit = 0.0 + account.commission = 0.0 + + self.gateway.onAccount(account) + + for b_symbol_dic in balances: + symbol = b_symbol_dic["asset"].lower() + posObj = VtPositionData() + posObj.gatewayName = self.gatewayName + posObj.symbol = symbol + "." + EXCHANGE_BINANCE + posObj.exchange = EXCHANGE_BINANCE + posObj.vtSymbol = posObj.symbol + posObj.direction = DIRECTION_NET + posObj.vtPositionName = '.'.join( [posObj.vtSymbol, posObj.direction]) + posObj.ydPosition = float(b_symbol_dic["free"]) + float(b_symbol_dic["locked"]) + posObj.position = float(b_symbol_dic["free"]) + float(b_symbol_dic["locked"]) + posObj.frozen = float(b_symbol_dic["locked"]) + posObj.positionProfit = 0 + + if posObj.position > 0.0: + self.gateway.onPosition(posObj) + + ''' + [ + { + "symbol": "LTCBTC", + "orderId": 1, + "clientOrderId": "myOrder1", + "price": "0.1", + "origQty": "1.0", + "executedQty": "0.0", + "status": "NEW", + "timeInForce": "GTC", + "type": "LIMIT", + "side": "BUY", + "stopPrice": "0.0", + "icebergQty": "0.0", + "time": 1499827319559 + } + ] +Order status: + +NEW +PARTIALLY_FILLED +FILLED +CANCELED +PENDING_CANCEL (currently unused) +REJECTED +EXPIRED + +Order side: + +BUY +SELL + +Symbol status: + +PRE_TRADING +TRADING +POST_TRADING +END_OF_DAY +HALT +AUCTION_MATCH +BREAK + + ''' + #---------------------------------------------------------------------- + def onGetOpenOrders(self, data, req, reqID): + pass + # for symbol_dic in data: + # symbol_pair = systemSymbolToVnSymbol(msg["s"]) + + ''' + [ + { + "symbol": "LTCBTC", + "orderId": 1, + "clientOrderId": "myOrder1", + "price": "0.1", + "origQty": "1.0", + "executedQty": "0.0", + "status": "NEW", + "timeInForce": "GTC", + "type": "LIMIT", + "side": "BUY", + "stopPrice": "0.0", + "icebergQty": "0.0", + "time": 1499827319559 + } + ] + ''' + #---------------------------------------------------------------------- + def onGetAllOrders(self, data, req, reqID): + local_system_dict_keys = self.systemLocalDict.keys() + stile_live_order_system_id = [ str(x["orderId"]) for x in data] + + for use_order in data: + systemID = str(use_order["orderId"]) + status = use_order["status"] + side = use_order["side"] + tradedVolume = float(use_order["executedQty"]) + use_dt , use_date, now_time = self.generateDateTime(use_order["time"]) + # now_time = self.generateDateTime(use_order["time"]) + if systemID in local_system_dict_keys: + localID = self.systemLocalDict[systemID] + order = self.workingOrderDict.get(localID, None) + if order != None: + bef_has_volume = self.tradedVolumeDict.get(localID , 0.0) + newTradeVolume = tradedVolume - bef_has_volume + order.tradedVolume = tradedVolume + + if newTradeVolume > 0.000001: + trade = VtTradeData() + trade.gatewayName = self.gatewayName + trade.symbol = order.symbol + trade.vtSymbol = order.vtSymbol + + self.tradeID += 1 + trade.tradeID = str(self.tradeID) + trade.vtTradeID = '.'.join([ trade.gatewayName,trade.tradeID]) + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + + trade.volume = newTradeVolume + trade.price = order.price + trade.direction = order.direction + trade.offset = order.offset + trade.exchange = order.exchange + trade.tradeTime = now_time + + self.gateway.onTrade(trade) + self.tradedVolumeDict[localID] = tradedVolume + + if status == "FILLED": + # 说明这个单子成交完毕了！ + order.status = STATUS_ALLTRADED + self.gateway.onOrder(order) + + del self.tradedVolumeDict[localID] + del self.systemLocalDict[systemID] + del self.workingOrderDict[localID] + + elif status == "CANCELED": + order.status = STATUS_CANCELLED + + order.cancelTime = use_date + " " + now_time + self.gateway.onOrder(order) + + del self.tradedVolumeDict[localID] + del self.systemLocalDict[systemID] + del self.workingOrderDict[localID] + + elif status == "PARTIALLY_FILLED": + order.status = STATUS_PARTTRADED + self.gateway.onOrder(order) + + elif status == "NEW": + order.status = STATUS_NOTTRADED + self.gateway.onOrder(order) + else: + # 说明是以前发的单子 + + + symbol_pair = systemSymbolToVnSymbol(use_order["symbol"]) + + if status not in ["FILLED","CANCELED"]: + self.localID += 1 + localID = str(self.localID) + order = VtOrderData() + order.gatewayName = self.gatewayName + order.symbol = symbol_pair + "." + self.gatewayName + order.exchange = EXCHANGE_BINANCE + order.vtSymbol = order.symbol + order.orderID = localID + order.vtOrderID = '.'.join([order.gatewayName,order.orderID]) + order.direction = DIRECTION_NET + order.offset = OFFSET_OPEN + if side == "SELL": + order.direction = DIRECTION_SHORT + order.offset = OFFSET_CLOSE + + order.price = float(use_order["price"]) + order.totalVolume = float(use_order["origQty"]) + order.tradedVolume = float(use_order["executedQty"]) + use_dt , use_date, use_time = self.generateDateTime(use_order["time"]) + order.orderTime = use_time + + if status == "PARTIALLY_FILLED": + order.status = STATUS_PARTTRADED + elif status == "NEW": + order.status = STATUS_NOTTRADED + + self.workingOrderDict[localID] = order + self.systemLocalDict[systemID] = localID + self.localSystemDict[localID] = systemID + self.tradedVolumeDict[localID] = float(use_order["executedQty"]) + + self.gateway.onOrder(order) + + #---------------------------------------------------------------------- + def cancel(self, req): + localID = req.orderID + if localID in self.localSystemDict: + systemID = self.localSystemDict[localID] + order = self.workingOrderDict[localID] + use_symbol = (order.symbol.split('.'))[0] + + # print "spotCancelOrder" , use_symbol , systemID + self.spotCancelOrder( use_symbol, systemID ) + else: + self.cancelDict[localID] = req + + + ''' + Response ACK: + { + "symbol": "BTCUSDT", + "orderId": 28, + "clientOrderId": "6gCrw2kRUAF9CvJDGP16IP", + "transactTime": 1507725176595 + } + Response RESULT: + { + "symbol": "BTCUSDT", + "orderId": 28, + "clientOrderId": "6gCrw2kRUAF9CvJDGP16IP", + "transactTime": 1507725176595, + "price": "0.00000000", + "origQty": "10.00000000", + "executedQty": "10.00000000", + "status": "FILLED", + "timeInForce": "GTC", + "type": "MARKET", + "side": "SELL" + } + + 参数 newOrderRespType ENUM NO Set the response JSON. (ACK, RESULT, or FULL); default: RESULT. + + 默认返回格式 restful + ''' + #---------------------------------------------------------------------- + def onTradeOrder(self, data, req, reqID): + symbol = systemSymbolToVnSymbol(data["symbol"]) + + localID = self.reqLocalDict[reqID] + systemID = str(data['orderId']) + + self.localSystemDict[localID] = systemID + self.systemLocalDict[systemID] = localID + + # print systemID , localID + # 撤单 + if localID in self.cancelDict: + req = self.cancelDict[localID] + self.cancel(req) + del self.cancelDict[localID] + + # 推送委托信息 + order = self.workingOrderDict[localID] + volume = float(data["executedQty"]) + origQty = float(data["origQty"]) + status = data["status"] + + order.tradedVolume = volume + + use_dt , use_date, now_time = self.generateDateTime(data["transactTime"]) + if status == "FILLED": + order.status = STATUS_ALLTRADED + elif status == "PARTIALLY_FILLED": + order.status = STATUS_PARTTRADED + elif status == "NEW": + order.status = STATUS_NOTTRADED + elif status == "CANCELED": + order.status = STATUS_CANCELLED + order.cancelTime = use_date + " " + now_time + else: + self.gateway.writeError( "%s new status" % EXCHANGE_BINANCE , "b20") + + if status in ["PARTIALLY_FILLED","FILLED"]: + trade = VtTradeData() + trade.gatewayName = self.gatewayName + trade.symbol = order.symbol + trade.vtSymbol = order.vtSymbol + + self.tradeID += 1 + trade.tradeID = str(self.tradeID) + trade.vtTradeID = '.'.join([trade.gatewayName,trade.tradeID]) + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + + trade.volume = float(volume) + trade.price = order.price + trade.direction = order.direction + trade.offset = order.offset + trade.exchange = order.exchange + + trade.tradeTime = use_date + " " + now_time + + self.gateway.onTrade(trade) + + self.tradedVolumeDict[localID] = volume + self.gateway.onOrder(order) + + ''' + { + "symbol": "LTCBTC", + "origClientOrderId": "myOrder1", + "orderId": 1, + "clientOrderId": "cancelMyOrder1" + } + ''' + #---------------------------------------------------------------------- + def onGetCancelOrder(self, data, req, reqID): + systemID = str(data["orderId"]) + localID = self.systemLocalDict[systemID] + + order = self.workingOrderDict[localID] + order.status = STATUS_CANCELLED + order.cancelTime = datetime.now().strftime("%Y-%m-%d %H:%M:%S") + + del self.workingOrderDict[localID] + del self.systemLocalDict[systemID] + del self.localSystemDict[localID] + self.gateway.onOrder(order) + + #---------------------------------------------------------------------- + def generateDateTime(self, s): + """生成时间""" + dt = datetime.fromtimestamp(float(s)/1e3) + time = dt.strftime("%H:%M:%S.%f") + date = dt.strftime("%Y%m%d") + return dt , date, time