# encoding: UTF-8 from __future__ import print_function import json import sys import traceback import zlib from collections import defaultdict from enum import Enum from typing import Dict, List from vnpy.api.rest import Request from vnpy.trader.gateway.okexFuturesGateway.OkexFuturesBase import \ OkexFuturesRestBaseV3, \ OkexFuturesWebSocketBase from vnpy.trader.vtFunction import getJsonPath from vnpy.trader.vtGateway import * ######################################################################## class ApiError(Exception): """Okex的API常常变动，当API发生奇葩的变动的时候，会发升这个异常""" pass ######################################################################## class OkexFuturesEasySymbol(object): BTC = 'btc' LTC = 'ltc' ETH = 'eth' ETC = 'etc' BCH = 'bch' EOS = 'eos' XRP = 'xrp' BTG = 'btg' ######################################################################## class OkexFuturesSymbol(object): BTC = 'btc_usd' LTC = 'ltc_usd' ETH = 'eth_usd' ETC = 'etc_usd' BCH = 'bch_usd' ######################################################################## class OkexFuturesPriceType(object): Buy = 'buy' Sell = 'sell' ######################################################################## class OkexFuturesContractType(object): ThisWeek = 'this_week' NextWeek = 'next_week' Quarter = 'quarter' ######################################################################## class OkexFuturesOrderType(object): OpenLong = '1' OpenShort = '2' CloseLong = '3' CloseShort = '4' ######################################################################## class OkexFuturesOrderStatus(object): NotTraded = 0 PartialTraded = 1 Finished = 2 ######################################################################## class Order(object): _lastLocalId = 0 #---------------------------------------------------------------------- def __init__(self): Order._lastLocalId += 1 self.localId = str(Order._lastLocalId) self.remoteId = None self.vtOrder = None # type: VtOrderData ######################################################################## class Symbol(object): #---------------------------------------------------------------------- def __init__(self): self.v3 = None # type: str # BTC_USD_1891201 self.ui = None # type: str # BTC_USD_NEXTWEEK self.v1Symbol = None # type: str # btc_usd self.uiSymbol = None # type: str # btc_usd self.easySymbol = None # type: str # btc self.localContractTYpe = None # type: str # THISWEEK self.remoteContractType = None # type: str # this_week ######################################################################## class ChannelType(Enum): Login = 1 ForecastPrice = 2 Tick = 3 Depth = 4 Trade = 5 Index = 6 UserTrade = 7 UserInfo = 8 Position = 9 Order = 10 ######################################################################## class Channel(object): #---------------------------------------------------------------------- def __init__(self, type_, symbol=None, remoteContractType=None, extra_=None): self.type = type_ self.symbol = symbol self.remoteContractType = remoteContractType self.extra = extra_ ######################################################################## class OkexFuturesGateway(VtGateway): """OKEX期货交易接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='OKEXFUTURES'): """Constructor""" super(OkexFuturesGateway, self).__init__(eventEngine, gatewayName) self.exchange = constant.EXCHANGE_OKEXFUTURE self.apiKey = None # type: str self.apiSecret = None # type: str self.apiPassphrase = None # type: str self.restClient = OkexFuturesRestBaseV3() self.webSocket = OkexFuturesWebSocketBase() self.webSocket.onPacket = self.onWebSocketPacket self.webSocket.unpackData = self.webSocketUnpackData self.leverRate = 1 self.symbols = [] self._symbolDict = {} # type: Dict[str, Symbol] self.tradeID = 0 self._orders = {} # type: Dict[str, Order] self._remoteIds = {} # type: Dict[str, Order] self._lastTicker = None # type: VtTickData self._utcOffset = datetime.now() - datetime.utcnow() #---------------------------------------------------------------------- def readConfig(self): """ 从json文件中读取设置，并将其内容返回为一个dict :一个一个return: """ fileName = self.gatewayName + '_connect.json' filePath = getJsonPath(fileName, __file__) try: with open(filePath, 'rt') as f: return json.load(f) except IOError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'读取连接配置出错，请检查' # todo: pop a message box is better self.onLog(log) return None #---------------------------------------------------------------------- def loadSetting(self): """载入设置""" setting = self.readConfig() if setting: """连接""" # 载入json文件 try: # todo: check by predefined settings names and types # or check by validator self.apiKey = str(setting['apiKey']) self.apiSecret = str(setting['secretKey']) self.apiPassphrase = str(setting['passphrase']) self.leverRate = setting['leverRate'] self.symbols = setting['symbols'] 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 #---------------------------------------------------------------------- def connect(self): """连接""" self.loadSetting() self.restClient.init(self.apiKey, self.apiSecret, self.apiPassphrase) self.webSocket.init(self.apiKey, self.apiSecret, self.apiPassphrase) self.restClient.start() self.webSocket.start() self.queryContracts() #---------------------------------------------------------------------- def subscribe(self, subscribeReq): # type: (VtSubscribeReq)->None """订阅行情""" s = self.parseSymbol(subscribeReq.symbol) remoteSymbol = s.v1Symbol.lower() remoteContractType = s.remoteContractType # ticker self.webSocket.sendPacket({ 'event': 'addChannel', 'channel': 'ok_sub_futureusd_' + remoteSymbol.lower() + '_ticker_' + remoteContractType }) # depth self.webSocket.sendPacket({ 'event': 'addChannel', 'channel': 'ok_sub_futureusd_' + remoteSymbol.lower() + '_depth' + remoteContractType + '_5' }) #---------------------------------------------------------------------- def subscribeUserTrade(self): self.webSocket.sendPacket({ 'event': 'addChannel', 'channel': 'ok_sub_futureusd_trades' }) #---------------------------------------------------------------------- def _writeError(self, msg): # type: (str)->None e = VtErrorData() e.gatewayName = self.gatewayName e.errorMsg = msg self.onError(e) #---------------------------------------------------------------------- def _getOrderByLocalId(self, localId): """从本地Id获取对应的内部Order对象""" if localId in self._orders: return self._orders[localId] return None #---------------------------------------------------------------------- def _getOrderByRemoteId(self, remoteId): """从Api的OrderId获取对应的内部Order对象""" if remoteId in self._remoteIds: return self._remoteIds[remoteId] return None #---------------------------------------------------------------------- def _saveRemoteId(self, remoteId, myorder): """将remoteId和队友的""" myorder.remoteId = remoteId self._remoteIds[remoteId] = myorder #---------------------------------------------------------------------- def _generateLocalOrder(self, symbol, price, volume, direction, offset): myorder = Order() localId = myorder.localId self._orders[localId] = myorder myorder.vtOrder = VtOrderData.createFromGateway(self, localId, symbol, self.exchange, price, volume, direction, offset) return myorder #---------------------------------------------------------------------- def parseSymbol(self, symbol): return self._symbolDict[symbol] #---------------------------------------------------------------------- def sendOrder(self, vtRequest): # type: (VtOrderReq)->str """发单""" symbol = self.parseSymbol(vtRequest.symbol).v3 myorder = self._generateLocalOrder(symbol, vtRequest.price, vtRequest.volume, vtRequest.direction, vtRequest.offset) orderType = _orderTypeMap[(vtRequest.direction, vtRequest.offset)] # 开多、开空、平多、平空 data = { 'client_oid': None, 'instrument_id': symbol, 'type': orderType, 'size': vtRequest.volume, 'leverage': self.leverRate, } if vtRequest.priceType == constant.PRICETYPE_MARKETPRICE: data['match_price'] = '1' else: data['price'] = vtRequest.price self.restClient.addRequest('POST', '/api/futures/v3/order', callback=self._onOrderSent, onFailed=self._onSendOrderFailed, data=data, extra=myorder ) return myorder.vtOrder.vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, vtCancel): # type: (VtCancelOrderReq)->None """撤单""" myorder = self._getOrderByLocalId(vtCancel.orderID) assert myorder is not None, u"理论上是无法取消一个不存在的本地单的" symbol = vtCancel.symbol remoteId = myorder.remoteId path = '/api/futures/v3/cancel_order/' + symbol + '/' + remoteId self.restClient.addRequest('POST', path, callback=self._onOrderCanceled, onFailed=self._onCancelOrderFailed, data={ 'instrument_id': symbol, 'order_id': remoteId }, extra=myorder ) #---------------------------------------------------------------------- def queryContracts(self): return self.restClient.addRequest('GET', '/api/futures/v3/instruments', callback=self._onQueryContracts, ) #---------------------------------------------------------------------- def queryOrders(self, symbol, status): # type: (str, OkexFuturesOrderStatus)->None """ :param symbol: :param status: OkexFuturesOrderStatus :return: """ symbol = self.parseSymbol(symbol).v3 path = '/api/futures/v3/orders/' + symbol self.restClient.addRequest("POST", path, data={ 'status': status, 'instrument_id': symbol, # 'from': 0, # 'to': 2, # 'limit': 100, }, callback=self._onQueryOrders, ) #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金 Okex 的API变化太大，不单独实现API了，所有东西都封装在这里面 """ return self.restClient.addRequest('GET', '/api/futures/v3/accounts', callback=self._onQryAccounts, ) #---------------------------------------------------------------------- def _onQryAccounts(self, data, _): if 'info' not in data: raise ApiError("unable to parse account data") for easySymbol, detail in data['info'].items(): # type: str, dict acc = VtAccountData() acc.gatewayName = self.gatewayName acc.accountID = easySymbol acc.vtAccountID = acc.gatewayName + '.' + acc.accountID acc.balance = detail.get('equity', 0) acc.available = detail['total_avail_balance'] if 'contracts' in detail: keys = {'available_qty': 'available_qty', 'fixed_balance': 'fixed_balance', 'margin_for_unfilled': 'margin', 'margin_frozen': 'margin', 'realized_pnl': 'realized_pnl', 'unrealized_pnl': 'unrealized_pnl'} for v in keys.values(): detail[v] = 0.0 for c in detail['contracts']: for k, v in keys.items(): detail[v] += float(c[k]) acc.margin = detail['margin'] acc.positionProfit = data.get('unrealized_pnl', 0) acc.closeProfit = data.get('realized_pnl', 0) self.onAccount(acc) #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" return self.restClient.addRequest('GET', '/api/futures/v3/position', callback=self._onQueryPosition, ) #---------------------------------------------------------------------- def close(self): """关闭""" self.restClient.stop() self.webSocket.stop() #---------------------------------------------------------------------- def _onOrderSent(self, data, request): #type: (dict, Request)->None """下单回调""" # errorCode = data['error_code'], # errorMessage = data['error_message'], myorder = request.extra # type: Order remoteId = data['order_id'] if remoteId != '-1': myorder.remoteId = remoteId myorder.vtOrder.status = constant.STATUS_NOTTRADED self._saveRemoteId(myorder.remoteId, myorder) else: myorder.vtOrder.status = constant.STATUS_REJECTED self.onOrder(myorder.vtOrder) #---------------------------------------------------------------------- def _onSendOrderFailed(self, _, request): # type:(int, Request)->None myorder = request.extra # type: Order myorder.vtOrder.status = constant.STATUS_REJECTED self.onOrder(myorder.vtOrder) #---------------------------------------------------------------------- def _onOrderCanceled(self, data, request): #type: (dict, Request)->None myorder = request.extra # type: Order result = data['result'] if result is True: myorder.vtOrder.status = constant.STATUS_CANCELLED self.onOrder(myorder.vtOrder) else: # todo: more detail about error print('failed to cancel order: ' + json.dumps(data)) self._writeError('Failed to cancel order {}'.format(myorder.localId)) #---------------------------------------------------------------------- def _onCancelOrderFailed(self, _, request): # type:(int, Request)->None myorder = request.extra # type: Order self._writeError(u'Failed to cancel order {}'.format(myorder.localId)) #---------------------------------------------------------------------- def _onQueryContracts(self, data, _): #type: (dict, Request)->None # 首先建立THISWEEK, NEXTWEEK, QUARTER和相应Contract的映射 symbols = set() for contract in data: symbol = contract['instrument_id'] symbols.add(symbol) # 一般来说，一个币种对有三种到期日期不同的symbol。 # 将这三种symbol按顺序排列，就能依次得到ThisWeek, NextWeek和Quarter三种symbol s2 = defaultdict(list) for symbol in sorted(symbols): easySymbol = symbol[:3] s2[easySymbol].append(symbol) # 按顺序取出排列好的symbols，对应上ThisWeek, NextWeek和Quarter # 然后记录下来他们的几种symbols形式和相应的一些常量： # v1Symbol: BTC_USD_THISWEEK # v3Symbol: BTC_USD_181222 # easySymbol: btc, eth, ... # remoteContractType: this_week, next_week, ... # localContractType: THISWEEK, NEXTWEEK, ... symbolDict = {} for easySymbol, sortedSymbols in s2.items(): if len(sortedSymbols) == 3: for contractType, v3symbol in zip(_contractTypeMap.keys(), sortedSymbols): uiSymbol = '{}_USD_{}'.format(easySymbol, contractType) # ETC_USD_THISWEEK remoteContractName = '{}{}'.format(easySymbol, v3symbol[-4:]) # ETC1201 s = Symbol() s.v1Symbol = '{}_{}'.format(easySymbol.lower(), "usd") s.v3 = v3symbol s.easySymbol = easySymbol s.remoteContractType = _contractTypeMap[contractType] s.localContractTYpe = contractType s.uiSymbol = uiSymbol # normal map symbolDict[uiSymbol.upper()] = s symbolDict[uiSymbol.lower()] = s symbolDict[uiSymbol] = s symbolDict[v3symbol] = s # switch between '-' and '_' symbolDict[uiSymbol.upper().replace('_', '-')] = s symbolDict[uiSymbol.lower().replace('_', '-')] = s symbolDict[uiSymbol.replace('_', '-')] = s symbolDict[v3symbol.replace('-', '_')] = s # BTCUSD181228 BTCUSDTHISWEEK, btcusdthisweek symbolDict[v3symbol.upper().replace('-', '')] = s symbolDict[uiSymbol.upper().replace('_', '')] = s symbolDict[uiSymbol.lower().replace('_', '')] = s symbolDict[remoteContractName.upper()] = s symbolDict[remoteContractName.lower()] = s # unicode and str for k, v in symbolDict.items(): self._symbolDict[str(k)] = v self._symbolDict[unicode(k)] = v # 其次响应onContract，也是该函数的本职工作 for contract in data: symbol = contract['instrument_id'] size = contract['quote_increment'] if 'quote_increment' in contract else contract[ 'trade_increment'], vtContract = VtContractData.createFromGateway( gateway=self, exchange=self.exchange, symbol=symbol, productClass=constant.PRODUCT_FUTURES, priceTick=contract['tick_size'], size=size, name=symbol, expiryDate=contract['delivery'], underlyingSymbol=contract['underlying_index'], ) self.onContract(vtContract) # 最后订阅symbols，还有查询其他东西 for symbol in self.symbols: s = self.parseSymbol(symbol) # noinspection PyTypeChecker req = VtSubscribeReq() req.symbol = s.v3 self.subscribe(req) # 查询账户啊，持仓啊，委托单啊之类的东西 self.qryAccount() self.qryPosition() # 查询所有未成交的委托 # v3 API尚未支持该操作 # for symbol in symbols: # # noinspection PyTypeChecker # self.queryOrders(symbol, OkexFuturesOrderStatus.NotTraded) #---------------------------------------------------------------------- def _onQueryOrders(self, data, _): #type: (dict, Request)->None if data['result'] is True: for info in data['orders']: remoteId = info['order_id'] tradedVolume = info['filled_qty'] myorder = self._getOrderByRemoteId(remoteId) if myorder: # 如果订单已经缓存在本地，则尝试更新订单状态 # 有新交易才推送更新 if tradedVolume != myorder.vtOrder.tradedVolume: myorder.vtOrder.tradedVolume = tradedVolume myorder.vtOrder.status = constant.STATUS_PARTTRADED self.onOrder(myorder.vtOrder) else: # 本地无此订单的缓存（例如，用其他工具的下单） # 缓存该订单，并推送 symbol = info['instrument_id'] direction, offset = remoteOrderTypeToLocal(info['type']) myorder = self._generateLocalOrder(symbol, info['price'], info['size'], direction, offset) myorder.vtOrder.tradedVolume = tradedVolume myorder.remoteId = remoteId self._saveRemoteId(myorder.remoteId, myorder) self.onOrder(myorder.vtOrder) #---------------------------------------------------------------------- def _onQueryPosition(self, data, _): #type: (dict, Request)->None if 'holding' in data: posex = data['holding'] elif 'position' in data: posex = data['position'] else: raise ApiError("Failed to parse position data") for pos in posex: symbol = self.parseSymbol(pos['instrument_id']).uiSymbol # 多头持仓 vtPos = VtPositionData.createFromGateway( gateway=self, exchange=self.exchange, symbol=symbol, direction=constant.DIRECTION_NET, position=pos['long_qty'], price=pos['long_avg_cost'], ) self.onPosition(vtPos) # 多头持仓 vtPos = VtPositionData.createFromGateway( gateway=self, exchange=self.exchange, symbol=symbol, direction=constant.DIRECTION_NET, position=pos['short_qty'], price=pos['short_avg_cost'], ) self.onPosition(vtPos) #---------------------------------------------------------------------- @staticmethod def webSocketUnpackData(data): """重载websocket.unpackData""" return json.loads(zlib.decompress(data, -zlib.MAX_WBITS)) #---------------------------------------------------------------------- def onWebSocketPacket(self, packets): for packet in packets: channelName = None if 'channel' in packet: channelName = packet['channel'] if not channelName or channelName == 'addChannel': return data = packet['data'] channel = parseChannel(channelName) # type: Channel if not channel: print("unknown websocket channel : ", json.dumps(packet, indent=2)) return try: if channel.type == ChannelType.Tick: uiSymbol = remoteSymbolToLocal(channel.symbol, remoteContractTypeToLocal( channel.remoteContractType)) if self._lastTicker is None: self._lastTicker = VtTickData.createFromGateway( gateway=self, symbol=uiSymbol, exchange=self.exchange, lastPrice=float(data['last']), lastVolume=float(data['vol']), highPrice=float(data['high']), lowPrice=float(data['low']), openInterest=float(data['hold_amount']), lowerLimit=float(data['limitLow']), upperLimit=float(data['limitHigh']), ) else: self._lastTicker.lastPrice = float(data['last']) self._lastTicker.lastVolume = float(data['vol']) self._lastTicker.highPrice = float(data['high']) self._lastTicker.lowPrice = float(data['low']) self._lastTicker.openInterest = float(data['hold_amount']) self._lastTicker.lowerLimit = float(data['limitLow']) self._lastTicker.upperLimit = float(data['limitHigh']) self._lastTicker.datetime = datetime.now() self._lastTicker.date = self._lastTicker.datetime.strftime('%Y%m%d') self._lastTicker.time = self._lastTicker.datetime.strftime('%H:%M:%S') self.onTick(self._lastTicker) elif channel.type == ChannelType.Depth: asks = data['asks'] bids = data['bids'] if self._lastTicker is not None: timestamp = float(data['timestamp']) ts = datetime.utcfromtimestamp(timestamp/1000) + self._utcOffset self._lastTicker.askPrice1 = asks[0][0] self._lastTicker.askPrice2 = asks[1][0] self._lastTicker.askPrice3 = asks[2][0] self._lastTicker.askPrice4 = asks[3][0] self._lastTicker.askPrice5 = asks[4][0] self._lastTicker.askVolume1 = asks[0][1] self._lastTicker.askVolume2 = asks[1][1] self._lastTicker.askVolume3 = asks[2][1] self._lastTicker.askVolume4 = asks[3][1] self._lastTicker.askVolume5 = asks[4][1] self._lastTicker.bidPrice1 = bids[0][0] self._lastTicker.bidPrice2 = bids[1][0] self._lastTicker.bidPrice3 = bids[2][0] self._lastTicker.bidPrice4 = bids[3][0] self._lastTicker.bidPrice5 = bids[4][0] self._lastTicker.bidVolume1 = bids[0][1] self._lastTicker.bidVolume2 = bids[1][1] self._lastTicker.bidVolume3 = bids[2][1] self._lastTicker.bidVolume4 = bids[3][1] self._lastTicker.bidVolume5 = bids[4][1] self._lastTicker.datetime = ts self._lastTicker.date = self._lastTicker.datetime.strftime('%Y%m%d') self._lastTicker.time = self._lastTicker.datetime.strftime('%H:%M:%S') self.onTick(self._lastTicker) elif channel.type == ChannelType.Position: symbol = data['symbol'] positions = data['positions'] for pos in positions: if pos['position'] == '1': direction = constant.DIRECTION_LONG else: direction = constant.DIRECTION_SHORT total = pos['hold_amount'] usable = pos['eveningup'] # margin = _tryGetValue(pos, 'margin', 'fixmargin') profit = _tryGetValue(pos, 'profitreal', 'realized') symbol = self.parseSymbol(pos['contract_name']).uiSymbol self.onPosition(VtPositionData.createFromGateway( gateway=self, exchange=self.exchange, symbol=symbol, direction=direction, position=total, frozen=total - usable, price=pos['avgprice'], profit=profit, )) elif channel.type == ChannelType.UserInfo: # ws 的acc没有分货币，没法用 pass elif channel.type == ChannelType.UserTrade: tradeID = str(self.tradeID) self.tradeID += 1 order = self._getOrderByRemoteId(data['orderid']) if order: self.onTrade(VtTradeData.createFromOrderData( order=order.vtOrder, tradeID=tradeID, tradePrice=data['price'], # todo: 这里应该填写的到底是order总共成交了的数量，还是该次trade成交的数量 tradeVolume=data['deal_amount'], )) else: # todo: 与order无关联的trade该如何处理？ # uiSymbol = remoteSymbolToLocal(info.symbol, # remoteContractTypeToLocal(info.remoteContractType)) pass except KeyError: print("WebSocket error: parsing {}:\n{}".format(channelName, data)) traceback.print_exception(*sys.exc_info()) #---------------------------------------------------------------------- # noinspection PyUnusedLocal def onApiError(self, exceptionType, exceptionValue, tb, request=None # type: Request ): msg = traceback.format_exception(exceptionType, exceptionValue, tb) self._writeError(msg) #---------------------------------------------------------------------- def onApiFailed(self, _, request): # type:(int, Request)->None self._writeError(str(request)) pass #---------------------------------------------------------------------- def setQryEnabled(self, _): """dummy function""" pass #---------------------------------------------------------------------- def localOrderTypeToRemote(direction, offset): # type: (str, str)->str return _orderTypeMap[(direction, offset)] #---------------------------------------------------------------------- def remoteOrderTypeToLocal(orderType): # type: (str)->(str, str) """ :param orderType: :return: direction, offset """ return _orderTypeMapReverse[orderType] #---------------------------------------------------------------------- def localContractTypeToRemote(localContractType): return _contractTypeMap[localContractType] #---------------------------------------------------------------------- def remoteContractTypeToLocal(remoteContractType): return _contractTypeMapReverse[remoteContractType] #---------------------------------------------------------------------- def localSymbolToRemote(symbol): # type: (str)->(OkexFuturesSymbol, OkexFuturesContractType) """ :return: remoteSymbol, remoteContractType """ return _symbolsForUi[symbol] #---------------------------------------------------------------------- def remoteSymbolToLocal(remoteSymbol, localContractType): return remoteSymbol.upper() + '_' + localContractType #---------------------------------------------------------------------- def remotePrefixToRemoteContractType(prefix): return _prefixForRemoteContractType[prefix] #---------------------------------------------------------------------- def parseChannel(channel): # type: (str)->Channel if channel == 'login': return Channel(ChannelType.Login) # 还未提供订阅的channel都注释掉 # elif channel[4:12] == 'forecast': # eg: 'btc_forecast_price' # return SymbolChannel(ChannelType.ForecastPrice, channel[:3]) sp = channel.split('_') if sp[-1] == 'trades': # eg: 'ok_sub_futureusd_trades' return Channel(ChannelType.UserTrade) # if sp[-1] == 'userinfo': # eg: 'ok_sub_futureusd_btc_userinfo' # return Channel(ChannelType.UserInfo) # if sp[-1] == 'index': # eg: 'ok_sub_futureusd_btc_index' # return SymbolChannel(ChannelType.Index, channel[17:20]) if sp[-1] == 'positions': # eg: 'ok_sub_futureusd_positions' return Channel(ChannelType.Position) if sp[-1] == 'userinfo': # eg: 'ok_sub_futureusd_positions' return Channel(ChannelType.UserInfo) lsp = len(sp) if sp[-1] == 'quarter': if lsp == 7: _, _, _, easySymbol, crash, typeName, contractTypePrefix = sp return Channel(ChannelType.Tick, easySymbol + '_' + crash, remotePrefixToRemoteContractType(contractTypePrefix)) elif sp[-1] == 'week': if lsp == 8: _, _, _, easySymbol, crash, typeName, contractTypePrefix, _ = sp return Channel(ChannelType.Tick, easySymbol + '_' + crash, remotePrefixToRemoteContractType(contractTypePrefix)) if sp[-1] == '5': if lsp == 7: # eg "ok_sub_futureusd_eth_usd_depthquarter_5" _, _, _, easySymbol, crash, typeName_contractTypePrefix, depth = sp return Channel(ChannelType.Depth, easySymbol + '_' + crash, remotePrefixToRemoteContractType(typeName_contractTypePrefix[5:]), depth) if lsp == 8: # eg "ok_sub_futureusd_eth_usd_depthnext_week_5" _, _, _, easySymbol, crash, typeName_contractTypePrefix, _, depth = sp return Channel(ChannelType.Depth, easySymbol + '_' + crash, remotePrefixToRemoteContractType(typeName_contractTypePrefix[5:]), depth) #---------------------------------------------------------------------- def _tryGetValue(dict, *keys): """尝试从字典中获取某些键中的一个""" for k in keys: if k in dict: return dict[k] return None _prefixForRemoteContractType = {v.split('_')[0]: v for k, v in OkexFuturesContractType.__dict__.items() if not k.startswith('_')} _orderTypeMap = { (constant.DIRECTION_LONG, constant.OFFSET_OPEN): OkexFuturesOrderType.OpenLong, (constant.DIRECTION_SHORT, constant.OFFSET_OPEN): OkexFuturesOrderType.OpenShort, (constant.DIRECTION_LONG, constant.OFFSET_CLOSE): OkexFuturesOrderType.CloseLong, (constant.DIRECTION_SHORT, constant.OFFSET_CLOSE): OkexFuturesOrderType.CloseShort, } _orderTypeMapReverse = {v: k for k, v in _orderTypeMap.items()} _contractTypeMap = { k.upper(): v for k, v in OkexFuturesContractType.__dict__.items() if not k.startswith('_') } _contractTypeMapReverse = {v: k for k, v in _contractTypeMap.items()} _easySymbols = { v for k, v in OkexFuturesEasySymbol.__dict__.items() if not k.startswith('_') } _remoteSymbols = { v for k, v in OkexFuturesSymbol.__dict__.items() if not k.startswith('_') } # symbols for ui, # keys:给用户看的symbols : f"{internalSymbol}_{contractType}" # values: API接口使用的symbol和contractType字段 _symbolsForUi = {(remoteSymbol.upper() + '_' + upperContractType.upper()) : (remoteSymbol, remoteContractType) for remoteSymbol in _remoteSymbols for upperContractType, remoteContractType in _contractTypeMap.items() } # type: Dict[str, List[str, str]] _symbolsForUiReverse = {v: k for k, v in _symbolsForUi.items()} _channel_for_subscribe = { 'ok_sub_futureusd_' + easySymbol + '_ticker_' + remoteContractType : (easySymbol, remoteContractType) for easySymbol in _easySymbols for remoteContractType in _contractTypeMap.values() }