# encoding: utf-8 import json import requests from Queue import Queue, Empty from threading import Thread API_SETTING = {} API_SETTING['practice'] = {'rest': 'https://api-fxpractice.oanda.com', 'stream': 'https://stream-fxpractice.oanda.com'} API_SETTING['trade'] = {'rest': 'https://api-fxtrade.oanda.com', 'stream': 'https://stream-fxtrade.oanda.com/'} FUNCTIONCODE_GETINSTRUMENTS = 0 FUNCTIONCODE_GETPRICES = 1 FUNCTIONCODE_GETPRICEHISTORY = 2 FUNCTIONCODE_GETACCOUNTS = 3 FUNCTIONCODE_GETACCOUNTINFO = 4 FUNCTIONCODE_GETORDERS = 5 FUNCTIONCODE_SENDORDER = 6 FUNCTIONCODE_GETORDERINFO = 7 FUNCTIONCODE_MODIFYORDER = 8 FUNCTIONCODE_CANCELORDER = 9 FUNCTIONCODE_GETTRADES = 10 FUNCTIONCODE_GETTRADEINFO = 11 FUNCTIONCODE_MODIFYTRADE= 12 FUNCTIONCODE_CLOSETRADE = 13 FUNCTIONCODE_GETPOSITIONS = 14 FUNCTIONCODE_GETPOSITIONINFO= 15 FUNCTIONCODE_CLOSEPOSITION = 16 FUNCTIONCODE_GETTRANSACTIONS = 17 FUNCTIONCODE_GETTRANSACTIONINFO = 18 FUNCTIONCODE_GETACCOUNTHISTORY = 19 FUNCTIONCODE_GETCALENDAR = 20 FUNCTIONCODE_GETPOSITIONRATIOS = 21 FUNCTIONCODE_GETSPREADS = 22 FUNCTIONCODE_GETCOMMIMENTS = 23 FUNCTIONCODE_GETORDERBOOK = 24 FUNCTIONCODE_GETAUTOCHARTIST = 25 FUNCTIONCODE_STREAMPRICES = 26 FUNCTIONCODE_STREAMEVENTS = 27 ######################################################################## class OandaApi(object): """""" DEBUG = False #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.token = '' self.accountId = '' self.headers = {} self.restDomain = '' self.streamDomain = '' self.session = None self.functionSetting = {} self.active = False # API的工作状态 self.reqID = 0 # 请求编号 self.reqQueue = Queue() # 请求队列 self.reqThread = Thread(target=self.processQueue) # 请求处理线程 self.streamPricesThread = Thread(target=self.processStreamPrices) # 实时行情线程 self.streamEventsThread = Thread(target=self.processStreamEvents) # 实时事件线程（成交等） #---------------------------------------------------------------------- def init(self, settingName, token, accountId): """初始化接口""" self.restDomain = API_SETTING[settingName]['rest'] self.streamDomain = API_SETTING[settingName]['stream'] self.session = requests.Session() self.token = token self.accountId = accountId self.headers['Authorization'] = 'Bearer ' + self.token self.initFunctionSetting(FUNCTIONCODE_GETINSTRUMENTS, {'path': '/v1/instruments', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETPRICES, {'path': '/v1/prices', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETPRICEHISTORY, {'path': '/v1/candles', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTS, {'path': '/v1/accounts', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTINFO, {'path': '/v1/accounts/%s' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETORDERS, {'path': '/v1/accounts/%s/orders' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_SENDORDER, {'path': '/v1/accounts/%s/orders' %self.accountId, 'method': 'POST'}) self.initFunctionSetting(FUNCTIONCODE_GETORDERINFO, {'path': '/v1/accounts/%s/orders' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_MODIFYORDER, {'path': '/v1/accounts/%s/orders' %self.accountId, 'method': 'PATCH'}) self.initFunctionSetting(FUNCTIONCODE_CANCELORDER, {'path': '/v1/accounts/%s/orders' %self.accountId, 'method': 'DELETE'}) self.initFunctionSetting(FUNCTIONCODE_GETTRADES, {'path': '/v1/accounts/%s/trades' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETTRADEINFO, {'path': '/v1/accounts/%s/trades' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_MODIFYTRADE, {'path': '/v1/accounts/%s/trades' %self.accountId, 'method': 'PATCH'}) self.initFunctionSetting(FUNCTIONCODE_CLOSETRADE, {'path': '/v1/accounts/%s/trades' %self.accountId, 'method': 'DELETE'}) self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONS, {'path': '/v1/accounts/%s/positions' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONINFO, {'path': '/v1/accounts/%s/positions' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_CLOSEPOSITION, {'path': '/v1/accounts/%s/positions' %self.accountId, 'method': 'DELETE'}) self.initFunctionSetting(FUNCTIONCODE_GETTRANSACTIONS, {'path': '/v1/accounts/%s/transactions' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETTRANSACTIONINFO, {'path': '/v1/accounts/%s/transactions' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTHISTORY, {'path': '/v1/accounts/%s/alltransactions' %self.accountId, 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETCALENDAR, {'path': '/labs/v1/calendar', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONRATIOS, {'path': '/labs/v1/historical_position_ratios', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETSPREADS, {'path': '/labs/v1/spreads', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETCOMMIMENTS, {'path': '/labs/v1/commitments', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETORDERBOOK, {'path': '/labs/v1/orderbook_data', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETAUTOCHARTIST, {'path': '/labs/v1/autochartist', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_GETAUTOCHARTIST, {'path': '/labs/v1/autochartist', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_STREAMPRICES, {'path': '/v1/prices', 'method': 'GET'}) self.initFunctionSetting(FUNCTIONCODE_STREAMEVENTS, {'path': '/v1/events', 'method': 'GET'}) self.active = True self.reqThread.start() self.streamEventsThread.start() self.streamPricesThread.start() #---------------------------------------------------------------------- def exit(self): """退出接口""" if self.active: self.active = False self.reqThread.join() #---------------------------------------------------------------------- def initFunctionSetting(self, code, setting): """初始化API功能字典""" self.functionSetting[code] = setting #---------------------------------------------------------------------- def processRequest(self, req): """发送请求并通过回调函数推送数据结果""" url = req['url'] method = req['method'] params = req['params'] stream = False if 'stream' in req: stream = req['stream'] if method in ['GET', 'DELETE']: myreq = requests.Request(method, url, headers=self.headers, params=params) elif method in ['POST', 'PATCH']: myreq = requests.Request(method, url, headers=self.headers, data=params) pre = myreq.prepare() r = None error = None try: r = self.session.send(pre, stream=stream) except Exception, e: error = e return r, error #---------------------------------------------------------------------- def processQueue(self): """处理请求队列中的请求""" while self.active: try: req = self.reqQueue.get(block=True, timeout=1) # 获取请求的阻塞为一秒 callback = req['callback'] reqID = req['reqID'] r, error = self.processRequest(req) if r: try: data = r.json() if self.DEBUG: print callback.__name__ callback(data, reqID) except Exception, e: self.onError(str(e), reqID) else: self.onError(error, reqID) except Empty: pass #---------------------------------------------------------------------- def sendRequest(self, code, params, callback, optional=''): """发送请求""" setting = self.functionSetting[code] url = self.restDomain + setting['path'] if optional: url = url + '/' + optional self.reqID += 1 req = {'url': url, 'method': setting['method'], 'params': params, 'callback': callback, 'reqID': self.reqID} self.reqQueue.put(req) return self.reqID #---------------------------------------------------------------------- def onError(self, error, reqID): """错误信息回调""" print error, reqID #---------------------------------------------------------------------- def getInstruments(self, params): """查询可交易的合约列表""" return self.sendRequest(FUNCTIONCODE_GETINSTRUMENTS, params, self.onGetInstruments) #---------------------------------------------------------------------- def onGetInstruments(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getPrices(self, params): """查询价格""" return self.sendRequest(FUNCTIONCODE_GETPRICES, params, self.onGetPrices) #---------------------------------------------------------------------- def onGetPrices(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getPriceHisory(self, params): """查询历史价格数据""" return self.sendRequest(FUNCTIONCODE_GETPRICEHISTORY, params, self.onGetPriceHistory) #---------------------------------------------------------------------- def onGetPriceHistory(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getAccounts(self): """查询用户的所有账户""" return self.sendRequest(FUNCTIONCODE_GETACCOUNTS, {}, self.onGetAccounts) #---------------------------------------------------------------------- def onGetAccounts(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getAccountInfo(self): """查询账户数据""" return self.sendRequest(FUNCTIONCODE_GETACCOUNTINFO, {}, self.onGetAccountInfo) #---------------------------------------------------------------------- def onGetAccountInfo(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getOrders(self, params): """查询所有委托""" return self.sendRequest(FUNCTIONCODE_GETORDERS, params, self.onGetOrders) #---------------------------------------------------------------------- def onGetOrders(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def sendOrder(self, params): """发送委托""" return self.sendRequest(FUNCTIONCODE_SENDORDER, params, self.onSendOrder) #---------------------------------------------------------------------- def onSendOrder(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getOrderInfo(self, optional): """查询委托信息""" return self.sendRequest(FUNCTIONCODE_GETORDERINFO, {}, self.onGetOrderInfo, optional) #---------------------------------------------------------------------- def onGetOrderInfo(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def modifyOrder(self, params, optional): """修改委托""" return self.sendRequest(FUNCTIONCODE_MODIFYORDER, params, self.onModifyOrder, optional) #---------------------------------------------------------------------- def onModifyOrder(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def cancelOrder(self, optional): """查询委托信息""" return self.sendRequest(FUNCTIONCODE_CANCELORDER, {}, self.onCancelOrder, optional) #---------------------------------------------------------------------- def onCancelOrder(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getTrades(self, params): """查询所有仓位""" return self.sendRequest(FUNCTIONCODE_GETTRADES, params, self.onGetTrades) #---------------------------------------------------------------------- def onGetTrades(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getTradeInfo(self, optional): """查询仓位信息""" return self.sendRequest(FUNCTIONCODE_GETTRADEINFO, {}, self.onGetTradeInfo, optional) #---------------------------------------------------------------------- def onGetTradeInfo(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def modifyTrade(self, params, optional): """修改仓位""" return self.sendRequest(FUNCTIONCODE_MODIFYTRADE, params, self.onModifyTrade, optional) #---------------------------------------------------------------------- def onModifyTrade(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def closeTrade(self, optional): """平仓""" return self.sendRequest(FUNCTIONCODE_CLOSETRADE, {}, self.onCloseTrade, optional) #---------------------------------------------------------------------- def onCloseTrade(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getPositions(self): """查询所有汇总仓位""" return self.sendRequest(FUNCTIONCODE_GETPOSITIONS, {}, self.onGetPositions) #---------------------------------------------------------------------- def onGetPositions(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getPositionInfo(self, optional): """查询汇总仓位信息""" return self.sendRequest(FUNCTIONCODE_GETPOSITIONINFO, {}, self.onGetPositionInfo, optional) #---------------------------------------------------------------------- def onGetPositionInfo(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def closePosition(self, optional): """平仓汇总仓位信息""" return self.sendRequest(FUNCTIONCODE_CLOSEPOSITION, {}, self.onClosePosition, optional) #---------------------------------------------------------------------- def onClosePosition(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getTransactions(self, params): """查询所有资金变动""" return self.sendRequest(FUNCTIONCODE_GETTRANSACTIONS, params, self.onGetTransactions) #---------------------------------------------------------------------- def onGetTransactions(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getTransactionInfo(self, optional): """查询资金变动信息""" return self.sendRequest(FUNCTIONCODE_GETTRANSACTIONINFO, {}, self.onGetTransactionInfo, optional) #---------------------------------------------------------------------- def onGetTransactionInfo(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getAccountHistory(self): """查询账户资金变动历史""" return self.sendRequest(FUNCTIONCODE_GETACCOUNTHISTORY, {}, self.onGetAccountHistory) #---------------------------------------------------------------------- def onGetAccountHistory(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getCalendar(self, params): """查询日历""" return self.sendRequest(FUNCTIONCODE_GETCALENDAR, params, self.onGetCalendar) #---------------------------------------------------------------------- def onGetCalendar(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getPositionRatios(self, params): """查询持仓比例""" return self.sendRequest(FUNCTIONCODE_GETPOSITIONRATIOS, params, self.onGetPositionRatios) #---------------------------------------------------------------------- def onGetPositionRatios(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getSpreads(self, params): """查询所有仓位""" return self.sendRequest(FUNCTIONCODE_GETSPREADS, params, self.onGetSpreads) #---------------------------------------------------------------------- def onGetSpreads(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getCommitments(self, params): """查询交易商持仓情况""" return self.sendRequest(FUNCTIONCODE_GETCOMMIMENTS, params, self.onGetCommitments) #---------------------------------------------------------------------- def onGetCommitments(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getOrderbook(self, params): """查询订单簿""" return self.sendRequest(FUNCTIONCODE_GETORDERBOOK, params, self.onGetOrderbook) #---------------------------------------------------------------------- def onGetOrderbook(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def getAutochartist(self, params): """查询Autochartist识别的模式""" return self.sendRequest(FUNCTIONCODE_GETAUTOCHARTIST, params, self.onGetAutochartist) #---------------------------------------------------------------------- def onGetAutochartist(self, data, reqID): """回调函数""" print data, reqID #---------------------------------------------------------------------- def onPrice(self, data): """行情推送""" print data #---------------------------------------------------------------------- def onEvent(self, data): """事件推送（成交等）""" print data #---------------------------------------------------------------------- def processStreamPrices(self): """获取价格推送""" # 首先获取所有合约的代码 setting = self.functionSetting[FUNCTIONCODE_GETINSTRUMENTS] req = {'url': self.restDomain + setting['path'], 'method': setting['method'], 'params': {'accountId': self.accountId}} r, error = self.processRequest(req) if r: try: data = r.json() symbols = [d['instrument'] for d in data['instruments']] except Exception, e: self.onError(e, -1) return else: self.onError(error, -1) return # 然后订阅所有的合约行情 setting = self.functionSetting[FUNCTIONCODE_STREAMPRICES] params = {'accountId': self.accountId, 'instruments': ','.join(symbols)} req = {'url': self.streamDomain + setting['path'], 'method': setting['method'], 'params': params, 'stream': True} r, error = self.processRequest(req) if r: for line in r.iter_lines(): if line: try: msg = json.loads(line) if self.DEBUG: print self.onPrice.__name__ self.onPrice(msg) except Exception, e: self.onError(e, -1) if not self.active: break else: self.onError(error, -1) #---------------------------------------------------------------------- def processStreamEvents(self): """获取事件推送""" setting = self.functionSetting[FUNCTIONCODE_STREAMEVENTS] req = {'url': self.streamDomain + setting['path'], 'method': setting['method'], 'params': {}, 'stream': True} r, error = self.processRequest(req) if r: for line in r.iter_lines(): if line: try: msg = json.loads(line) if self.DEBUG: print self.onEvent.__name__ self.onEvent(msg) except Exception, e: self.onError(e, -1) if not self.active: break else: self.onError(error, -1)