# encoding: UTF-8 ''' vn.coincheck的gateway接入 ''' import os import json from datetime import datetime from copy import copy from threading import Condition from Queue import Queue from threading import Thread import json from vnpy.api.coincheck import vncoincheck from vnpy.trader.vtGateway import * from vnpy.trader.vtFunction import getJsonPath from datetime import datetime , timedelta SYMBOL_BTCJPY = 'btc_jpy' COINCHECK_HOSTS = "wss://ws-api.coincheck.com" class CoincheckGateway(VtGateway): """coincheck 接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='COINCHECK'): """Constructor""" super(CoincheckGateway, self).__init__(eventEngine, gatewayName) self.tradeApi = CoincheckTradeApi(self) #self.dataApi = CoincheckDataApi(self) self.dataApi = CoincheckSocketDataApi(self) self.fileName = self.gatewayName + '_connect.json' self.filePath = getJsonPath(self.fileName, __file__) self.total_count = 0 self.delayTime = 3 #---------------------------------------------------------------------- def connect(self): """连接""" # 载入json文件 try: f = file(self.filePath) except IOError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'读取连接配置出错，请检查' self.onLog(log) return # 解析json文件 setting = json.load(f) try: accessKey = str(setting['accessKey']) secretKey = str(setting['secretKey']) interval = setting['interval'] debug = setting['debug'] useAccountID = str(setting['accountID']) except KeyError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'连接配置缺少字段，请检查' self.onLog(log) return # 设置账户ID self.tradeApi.setAccountID( useAccountID) # 初始化接口 self.tradeApi.init(accessKey, secretKey) self.writeLog(u'交易接口初始化成功') #self.dataApi.connect(interval, debug) self.dataApi.connect() self.writeLog(u'行情接口初始化成功') # 启动查询 self.initQuery() self.startQuery() #---------------------------------------------------------------------- def writeLog(self, content): """发出日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = content self.onLog(log) #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情，自动订阅全部行情，无需实现""" pass #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" return self.tradeApi.sendOrder(orderReq) #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" return self.tradeApi.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.tradeApi.exit() self.dataApi.exit() #---------------------------------------------------------------------- def initQuery(self): """初始化连续查询""" if self.qryEnabled: self.qryFunctionList = [self.tradeApi.get_balance , self.tradeApi.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.delayTime == 0: for function in self.qryFunctionList: function() #---------------------------------------------------------------------- def startQuery(self): """启动连续查询""" self.eventEngine.register(EVENT_TIMER, self.query) #---------------------------------------------------------------------- def onListOrder(self, data): print data #---------------------------------------------------------------------- def setQryEnabled(self, qryEnabled): """设置是否要启动循环查询""" self.qryEnabled = qryEnabled class CoincheckTradeApi(vncoincheck.TradeApi): def __init__(self, gateway): super(CoincheckTradeApi , self).__init__() self.gateway = gateway self.gatewayName = gateway.gatewayName self.accountID = "COINCHECK" self.DEBUG = False 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 #-------------- def setAccountID(self, useAccountID): self.accountID = useAccountID #---------------------------------------------------------------------- def onError(self, method ,data): print method , data # ''' "return" : {u'lending_leverage': u'5.0', u'success': True, u'maker_fee': u'0.0', u'email': u'liyi.riki.thomas@g mail.com', u'bitcoin_address': u'1Q73J2e46TrBv9cRCtfgcszqEcwNDsei53', u'taker_fee': u'0.0', u'identi ty_status': u'identity_verified', u'id': 1007549} ''' def onGet_info(self, data, req, reqID): """用户信息""" print data ''' {u'zec': u'0', u'rep_debt': u'0.0', u'xem': u'0', u'lsk': u'0', u'rep_lend_in_use': u'0.0', u'ltc_de bt': u'0.0', u'xmr_reserved': u'0.0', u'cny': u'0', u'btc_reserved': u'0.0', u'dao_reserved': u'0.0' , u'ltc_lent': u'0.0', u'dao_lend_in_use': u'0.0', u'xrp_reserved': u'0.0', u'zec_debt': u'0.0', u'b ch_lent': u'0.0', u'dao_debt': u'0.0', u'xmr': u'0', u'rep_reserved': u'0.0', u'dao': u'0', u'xem_le nd_in_use': u'0.0', u'fct_lent': u'0.0', u'jpy_reserved': u'0.0', u'success': True, u'fct_reserved': u'0.0', u'xem_lent': u'0.0', u'rep_lent': u'0.0', u'eth_lend_in_use': u'0.0', u'btc': u'0', u'usd_l end_in_use': u'0.0', u'zec_lent': u'0.0', u'rep': u'0', u'xmr_debt': u'0.0', u'bch_lend_in_use': u'0 .0', u'xrp_debt': u'0.0', u'etc_lend_in_use': u'0.0', u'dash_reserved': u'0.0', u'dash_lent': u'0.0' , u'dash_debt': u'0.0', u'jpy_lend_in_use': u'0.0', u'lsk_lend_in_use': u'0.0', u'eth_lent': u'0.0', u'ltc': u'0', u'etc': u'0', u'ltc_lend_in_use': u'0.0', u'eth': u'0', u'usd_debt': u'0.0', u'ltc_re served': u'0.0', u'cny_reserved': u'0.0', u'xem_debt': u'0.0', u'eth_reserved': u'0.0', u'zec_reserv ed': u'0.0', u'usd': u'0', u'cny_lend_in_use': u'0.0', u'lsk_debt': u'0.0', u'xmr_lend_in_use': u'0. 0', u'dash_lend_in_use': u'0.0', u'xrp_lent': u'0.0', u'bch_reserved': u'0.0', u'xmr_lent': u'0.0', u'bch_debt': u'0.0', u'bch': u'0', u'jpy': u'0', u'fct_debt': u'0.0', u'btc_debt': u'0.0', u'usd_len t': u'0.0', u'btc_lent': u'0.0', u'lsk_reserved': u'0.0', u'etc_debt': u'0.0', u'jpy_lent': u'0.0', u'dash': u'0', u'cny_debt': u'0.0', u'xrp_lend_in_use': u'0.0', u'xem_reserved': u'0.0', u'dao_lent' : u'0.0', u'lsk_lent': u'0.0', u'etc_lent': u'0.0', u'jpy_debt': u'0.0', u'xrp': u'0', u'fct': u'0', u'etc_reserved': u'0.0', u'usd_reserved': u'0.0', u'fct_lend_in_use': u'0.0', u'btc_lend_in_use': u '0.0', u'zec_lend_in_use': u'0.0', u'eth_debt': u'0.0', u'cny_lent': u'0.0'} ''' def onGet_balance(self, data, req, reqID): if data["success"] == 0: print "Error in onGet_balance" print data else: account = VtAccountData() account.gatewayName = self.gatewayName account.accountID = self.accountID account.vtAccountID = '.'.join([ self.gatewayName , self.accountID]) account.balance = float(data['jpy']) account.available = float(data['jpy']) account.margin = 1.0 account.closeProfit = 0.0 account.positionProfit = 0.0 account.commission = 0.0 account.now_has_hands = float(data['jpy']) self.gateway.onAccount(account) for symbol in ['btc' , 'jpy']: posObj = VtPositionData() posObj.gatewayName = self.gatewayName posObj.symbol = symbol + "." + EXCHANGE_COINCHECK posObj.exchange = EXCHANGE_COINCHECK posObj.vtSymbol = posObj.symbol posObj.direction = DIRECTION_NET posObj.vtPositionName = '.'.join( [posObj.vtSymbol, posObj.direction]) posObj.ydPosition = float(data[symbol]) posObj.position = float(data[symbol]) + float(data[symbol + "_reserved"]) posObj.frozen = float(data[symbol + "_reserved"]) posObj.positionProfit = 0 self.gateway.onPosition(posObj) ''' 发送系统委托 ''' 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: err = VtErrorData() err.gatewayName = self.gatewayName err.errorMsg = u'Coincheck接口仅支持限价单' err.errorTime = datetime.now().strftime('%H:%M:%S') self.gateway.onError(err) return None symbol = req.vtSymbol if req.direction == DIRECTION_LONG: reqID = self.buy_btc_jpy( rate = req.price , amount = req.volume ) else: reqID = self.sell_btc_jpy( rate = 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_COINCHECK order.vtSymbol = order.symbol order.orderID = localID order.vtOrderID = '.'.join([order.orderID, order.gatewayName]) order.direction = req.direction if req.direction == DIRECTION_LONG: order.offset = OFFSET_OPEN else: order.offset = OFFSET_CLOSE order.price = req.price order.tradedVolume = 0 order.totalVolume = req.volume order.orderTime = datetime.now().strftime('%H:%M:%S') order.status = STATUS_UNKNOWN self.workingOrderDict[localID] = order self.gateway.onOrder(order) # 返回委托号 return order.vtOrderID ''' {u'market_buy_amount': None, u'order_type': u'buy', u'success': True, u'created_at': u'2017-10-16T13 :53:01.678Z', u'rate': u'100.0', u'amount': u'0.005', u'pair': u'btc_jpy', u'stop_loss_rate': None, u'id': 324141928} ''' def onBuy_btc(self, data, req, reqID): # print "onBuy_btc" # print data if data["success"] == 0: print "Error in onBuy_btc" print data else: localID = self.reqLocalDict[reqID] systemID = data['id'] self.localSystemDict[localID] = systemID self.systemLocalDict[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] if data['success'] != 0: order.status = STATUS_NOTTRADED self.tradedVolumeDict[localID] = 0.0 self.gateway.onOrder(order) def onSell_btc(self, data, req, reqID): # print "onSell_btc" # print data """卖出回调""" if data["success"] == 0: print "Error in onSell_btc" else: localID = self.reqLocalDict[reqID] systemID = data['id'] self.localSystemDict[localID] = systemID self.systemLocalDict[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] if data['success'] != 0: order.status = STATUS_NOTTRADED self.tradedVolumeDict[localID] = 0.0 self.gateway.onOrder(order) ''' {u'orders': [{u'order_type': u'buy', u'created_at': u'2017-10-16T13:51:41.000Z', u'pending_market_bu y_amount': None, u'rate': u'200.0', u'pair': u'btc_jpy', u'stop_loss_rate': None, u'id': 324139122, u'pending_amount': u'0.005'}, {u'order_type': u'buy', u'created_at': u'2017-10-16T13:53:01.000Z', u' pending_market_buy_amount': None, u'rate': u'100.0', u'pair': u'btc_jpy', u'stop_loss_rate': None, u 'id': 324141928, u'pending_amount': u'0.005'}], u'success': True} 只显示 未结算的 订单。 如果订单被结算了，说明已经成交了 ''' def onList_order(self, data, req, reqID): # print "onList_order" # self.gateway.onListOrder( data) if data["success"] == 0: pass else: orders = data["orders"] now_datetime = datetime.now() ten_seconds_before = now_datetime + timedelta(seconds=-10) ten_seconds_str = (ten_seconds_before.strftime("%Y-%m-%dT%H:%M:%S.%f"))[:-3] + "Z" stile_live_order_system_id = [ x["id"] for x in orders] #print "stile_live_order_system_id", stile_live_order_system_id local_system_dict_keys = self.systemLocalDict.keys() # 对系统中有的订单，进行 for bef_system_id in local_system_dict_keys: if bef_system_id not in stile_live_order_system_id: # 说明这个单子成交完毕了！ # 或者就是取消了 localID = self.systemLocalDict[bef_system_id] order = self.workingOrderDict.get(localID, None) if order != None: bef_has_volume = self.tradedVolumeDict.get(localID , 0.0) newTradeVolume = order.totalVolume - bef_has_volume 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.tradeID, trade.gatewayName]) 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 = datetime.now().strftime('%H:%M:%S') self.gateway.onTrade(trade) order.status = STATUS_ALLTRADED self.gateway.onOrder(order) del self.tradedVolumeDict[localID] del self.systemLocalDict[bef_system_id] del self.workingOrderDict[localID] for d in orders: coinID = d["id"] if coinID in local_system_dict_keys: localID = self.systemLocalDict[coinID] order = self.workingOrderDict.get(localID, None) if order != None: bef_has_volume = self.tradedVolumeDict.get(localID , 0.0) has_traded_volume = d["pending_market_buy_amount"] if has_traded_volume == None: has_traded_volume = 0.0 newTradeVolume = float(has_traded_volume) - float(bef_has_volume) if newTradeVolume > 0.00000001: 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.tradeID, trade.gatewayName]) 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 = datetime.now().strftime('%H:%M:%S') self.gateway.onTrade(trade) order.tradedVolume = has_traded_volume order.status = STATUS_PARTTRADED self.gateway.onOrder(order) else: # 说明这是一个 不知道 哪里来的订单 # 推送委托信息 # 订单有两种可能 # 1、人工发的单 # 2、前面取消失败的单 # 总有些订单是取消失败的 , 如果出现了，那么就取消掉这些交易 # 所以对于订单进行判断，如果订单时间超过10秒， 那么取消掉 if order.orderTime < ten_seconds_str : # 判断为需要取消的单子 self.cancel_orders( coinID ) else: self.localID += 1 localID = str(self.localID) symbol_pair = d['pair'] # btc_jpy order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = symbol_pair + "." + self.gatewayName order.exchange = EXCHANGE_COINCHECK order.vtSymbol = order.symbol order.orderID = localID order.vtOrderID = '.'.join(["mistake", order.gatewayName]) order.direction = DIRECTION_LONG order.offset = OFFSET_OPEN order.price = float(d["rate"]) order.totalVolume = float(d["pending_amount"]) order.orderTime = d["created_at"] order.status = STATUS_MISTAKE self.workingOrderDict[localID] = order self.systemLocalDict[coinID] = localID self.localSystemDict[localID] = coinID self.gateway.onOrder(order) ''' { "success": true, "id": 12345 } ''' def onCancel_orders(self, data, req, reqID): # self.gateway.onCancelOrder( data) if data['success'] != 0: systemID = data["id"] localID = self.systemLocalDict[systemID] order = self.workingOrderDict[localID] order.status = STATUS_CANCELLED del self.workingOrderDict[localID] del self.systemLocalDict[systemID] del self.localSystemDict[localID] self.gateway.onOrder(order) def onHistory_orders(self, data, req, reqID): print data def cancel(self, req): localID = req.orderID if localID in self.localSystemDict: systemID = self.localSystemDict[localID] self.cancel_orders( systemID ) else: self.cancelDict[localID] = req class CoincheckSocketDataApi(vncoincheck.DataApiSocket): """基于websocket的TICK数据获得对象""" #---------------------------------------------------------------------- def __init__(self, gateway): super(CoincheckSocketDataApi, self).__init__() self.market = 'jpy' self.gateway = gateway self.gatewayName = gateway.gatewayName self.tickDict = {} # key:symbol, value:tick self.period_flag = False def connect(self ): super(CoincheckSocketDataApi, self).connect( COINCHECK_HOSTS) contract = VtContractData() contract.gatewayName = self.gatewayName contract.symbol = SYMBOL_BTCJPY contract.exchange = EXCHANGE_COINCHECK contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) contract.name = u'日元coincheck现货BTC' contract.size = 0.0001 contract.priceTick = 0.0001 contract.productClass = PRODUCT_SPOT self.gateway.onContract(contract) def onOrderbooks(self, data): symbol = SYMBOL_BTCJPY if symbol not in self.tickDict: tick = VtTickData() tick.gatewayName = self.gatewayName tick.exchange = EXCHANGE_COINCHECK tick.symbol = '.'.join([symbol, tick.exchange]) tick.vtSymbol = '.'.join([symbol, tick.exchange]) self.tickDict[symbol] = tick else: tick = self.tickDict[symbol] data = json.loads(data) load_symbol , dic = data if load_symbol == symbol: bids = dic["bids"] asks = dic["asks"] bids = [ (float(x[0]) , float(x[1])) for x in bids ] asks = [ (float(x[0]) , float(x[1])) for x in asks ] tick.bidPrice1, tick.bidVolume1 = [0 , 0] 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.askPrice1, tick.askVolume1 = [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] try: tick.bids = bids tick.asks = asks 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 = datetime.now() tick.time = now.strftime('%H:%M:%S') tick.date = now.strftime('%Y%m%d') tick.datetime = now self.gateway.onTick(tick) self.period_flag = False def onTrade(self , data): orderId, symbol , price , volume , direction = data price = float(price) volume = float(volume) if symbol not in self.tickDict: tick = VtTickData() tick.gatewayName = self.gatewayName tick.exchange = EXCHANGE_COINCHECK tick.symbol = '.'.join([symbol, tick.exchange]) tick.vtSymbol = '.'.join([symbol, tick.exchange]) tick.volume = 0 self.tickDict[symbol] = tick else: tick = self.tickDict[symbol] if self.period_flag == False: self.period_flag = True tick.highPrice = price tick.lowPrice = price tick.lastPrice = price else: tick.highPrice = max(tick.highPrice , price) tick.lowPrice = min(tick.lowPrice , price) tick.lastPrice = price tick.volume += volume def onMessage(self, ws , evt): if evt: data = json.loads(evt) cclen = len(data) if cclen == 2: self.onOrderbooks( evt) elif cclen == 5: self.onTrade(data) class CoincheckDataApi(vncoincheck.DataApi): #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(CoincheckDataApi, self).__init__() self.market = 'jpy' self.gateway = gateway self.gatewayName = gateway.gatewayName self.tickDict = {} # key:symbol, value:tick def connect(self, interval , market , debug = False): self.init(interval , debug) # 订阅行情并推送合约信息 if self.market == 'jpy': self.subscribeTick(SYMBOL_BTCJPY) self.subscribeOrderbooks(SYMBOL_BTCJPY) contract = VtContractData() contract.gatewayName = self.gatewayName contract.symbol = SYMBOL_BTCJPY contract.exchange = EXCHANGE_COINCHECK contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) contract.name = u'日元coincheck现货BTC' contract.size = 0.0001 contract.priceTick = 0.0001 contract.productClass = PRODUCT_SPOT self.gateway.onContract(contract) #---------------------------------------------------------------------- def onTick(self, data): """实时成交推送""" symbol = SYMBOL_BTCJPY if symbol not in self.tickDict: tick = VtTickData() tick.gatewayName = self.gatewayName tick.exchange = EXCHANGE_COINCHECK tick.symbol = '.'.join([symbol, tick.exchange]) tick.vtSymbol = '.'.join([symbol, tick.exchange]) self.tickDict[symbol] = tick else: tick = self.tickDict[symbol] tick.highPrice = float(data['high']) tick.lowPrice = float(data['low']) tick.lastPrice = float(data['last']) tick.volume = float(data['volume']) now = datetime.now() tick.time = now.strftime('%H:%M:%S') tick.date = now.strftime('%Y%m%d') tick.datetime = now #---------------------------------------------------------------------- def onTrades(self, data): """实时成交推送""" print data #---------------------------------------------------------------------- def onOrderbooks(self, data): """实时成交推送""" symbol = SYMBOL_BTCJPY bids = data["bids"] asks = data["asks"] if symbol not in self.tickDict: tick = VtTickData() tick.gatewayName = self.gatewayName tick.symbol = symbol tick.exchange = EXCHANGE_COINCHECK tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) self.tickDict[symbol] = tick else: tick = self.tickDict[symbol] bids = [ (float(x[0]) , float(x[1])) for x in bids ] asks = [ (float(x[0]) , float(x[1])) for x in asks ] 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] 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] now = datetime.now() tick.time = now.strftime('%H:%M:%S') tick.date = now.strftime('%Y%m%d') tick.datetime = now self.gateway.onTick(tick)