# encoding: UTF-8 ''' vn.okcoin的gateway接入 注意： 1. 该接口尚处于测试阶段，用于实盘请谨慎 2. 目前仅支持USD和CNY的现货交易，USD的期货合约交易暂不支持 ''' import os import json from datetime import datetime from copy import copy from threading import Condition import vnokcoin from vtGateway import * # 价格类型映射 priceTypeMap = {} priceTypeMap['buy'] = (DIRECTION_LONG, PRICETYPE_LIMITPRICE) priceTypeMap['buy_market'] = (DIRECTION_LONG, PRICETYPE_MARKETPRICE) priceTypeMap['sell'] = (DIRECTION_SHORT, PRICETYPE_LIMITPRICE) priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE) priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMapReverse = {v: k for k, v in directionMap.items()} # 委托状态印射 statusMap = {} statusMap[-1] = STATUS_CANCELLED statusMap[0] = STATUS_NOTTRADED statusMap[1] = STATUS_PARTTRADED statusMap[2] = STATUS_ALLTRADED statusMap[4] = STATUS_UNKNOWN ############################################ ## 交易合约代码 ############################################ # USD BTC_USD_SPOT = 'BTC_USD_SPOT' BTC_USD_THISWEEK = 'BTC_USD_THISWEEK' BTC_USD_NEXTWEEK = 'BTC_USD_NEXTWEEK' BTC_USD_QUARTER = 'BTC_USD_QUARTER' LTC_USD_SPOT = 'LTC_USD_SPOT' LTC_USD_THISWEEK = 'LTC_USD_THISWEEK' LTC_USD_NEXTWEEK = 'LTC_USD_NEXTWEEK' LTC_USD_QUARTER = 'LTC_USD_QUARTER' # CNY BTC_CNY_SPOT = 'BTC_CNY_SPOT' LTC_CNY_SPOT = 'LTC_CNY_SPOT' # 印射字典 spotSymbolMap = {} spotSymbolMap['ltc_usd'] = LTC_USD_SPOT spotSymbolMap['btc_usd'] = BTC_USD_SPOT spotSymbolMap['ltc_cny'] = LTC_CNY_SPOT spotSymbolMap['btc_cny'] = BTC_CNY_SPOT spotSymbolMapReverse = {v: k for k, v in spotSymbolMap.items()} ############################################ ## Channel和Symbol的印射 ############################################ channelSymbolMap = {} # USD channelSymbolMap['ok_sub_spotusd_btc_ticker'] = BTC_USD_SPOT channelSymbolMap['ok_sub_spotusd_ltc_ticker'] = LTC_USD_SPOT channelSymbolMap['ok_sub_spotusd_btc_depth_20'] = BTC_USD_SPOT channelSymbolMap['ok_sub_spotusd_ltc_depth_20'] = LTC_USD_SPOT # CNY channelSymbolMap['ok_sub_spotcny_btc_ticker'] = BTC_CNY_SPOT channelSymbolMap['ok_sub_spotcny_ltc_ticker'] = LTC_CNY_SPOT channelSymbolMap['ok_sub_spotcny_btc_depth_20'] = BTC_CNY_SPOT channelSymbolMap['ok_sub_spotcny_ltc_depth_20'] = LTC_CNY_SPOT ######################################################################## class OkcoinGateway(VtGateway): """OkCoin接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='OKCOIN'): """Constructor""" super(OkcoinGateway, self).__init__(eventEngine, gatewayName) self.api = Api(self) self.leverage = 0 self.connected = False #---------------------------------------------------------------------- def connect(self): """连接""" # 载入json文件 fileName = self.gatewayName + '_connect.json' fileName = os.getcwd() + '/okcoinGateway/' + fileName try: f = file(fileName) 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: host = str(setting['host']) apiKey = str(setting['apiKey']) secretKey = str(setting['secretKey']) trace = setting['trace'] leverage = setting['leverage'] 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 # 初始化接口 self.leverage = leverage if host == 'CNY': host = vnokcoin.OKCOIN_CNY else: host = vnokcoin.OKCOIN_USD self.api.connect(host, apiKey, secretKey, trace) log = VtLogData() log.gatewayName = self.gatewayName log.logContent = u'接口初始化成功' self.onLog(log) # 启动查询 self.initQuery() self.startQuery() #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" pass #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" return self.api.spotSendOrder(orderReq) #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" self.api.spotCancel(cancelOrderReq) #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" self.api.spotUserInfo() #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" pass #---------------------------------------------------------------------- def close(self): """关闭""" pass #---------------------------------------------------------------------- def initQuery(self): """初始化连续查询""" if self.qryEnabled: # 需要循环的查询函数列表 self.qryFunctionList = [self.qryAccount] self.qryCount = 0 # 查询触发倒计时 self.qryTrigger = 2 # 查询触发点 self.qryNextFunction = 0 # 上次运行的查询函数索引 self.startQuery() #---------------------------------------------------------------------- def query(self, event): """注册到事件处理引擎上的查询函数""" self.qryCount += 1 if self.qryCount > self.qryTrigger: # 清空倒计时 self.qryCount = 0 # 执行查询函数 function = self.qryFunctionList[self.qryNextFunction] function() # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0 self.qryNextFunction += 1 if self.qryNextFunction == len(self.qryFunctionList): self.qryNextFunction = 0 #---------------------------------------------------------------------- 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 ######################################################################## class Api(vnokcoin.OkCoinApi): """OkCoin的API实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(Api, self).__init__() self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 self.cbDict = {} self.tickDict = {} self.orderDict = {} self.lastOrderID = '' self.orderCondition = Condition() self.initCallback() #---------------------------------------------------------------------- def onMessage(self, ws, evt): """信息推送""" data = self.readData(evt)[0] channel = data['channel'] callback = self.cbDict[channel] callback(data) #---------------------------------------------------------------------- def onError(self, ws, evt): """错误推送""" error = VtErrorData() error.gatewayName = self.gatewayName error.errorMsg = str(evt) self.gateway.onError(error) #---------------------------------------------------------------------- def onClose(self, ws): """接口断开""" self.gateway.connected = True self.writeLog(u'服务器连接断开') #---------------------------------------------------------------------- def onOpen(self, ws): self.gateway.connected = True self.writeLog(u'服务器连接成功') # 连接后查询账户和委托数据 self.spotUserInfo() self.spotOrderInfo(vnokcoin.TRADING_SYMBOL_LTC, '-1') self.spotOrderInfo(vnokcoin.TRADING_SYMBOL_BTC, '-1') # 连接后订阅现货的成交和账户数据 self.subscribeSpotTrades() self.subscribeSpotUserInfo() self.subscribeSpotTicker(vnokcoin.SYMBOL_BTC) self.subscribeSpotTicker(vnokcoin.SYMBOL_LTC) self.subscribeSpotDepth(vnokcoin.SYMBOL_BTC, vnokcoin.DEPTH_20) self.subscribeSpotDepth(vnokcoin.SYMBOL_LTC, vnokcoin.DEPTH_20) # 如果连接的是USD网站则订阅期货相关回报数据 if self.currency == vnokcoin.CURRENCY_USD: self.subscribeFutureTrades() self.subscribeFutureUserInfo() self.subscribeFuturePositions() # 返回合约信息 if self.currency == vnokcoin.CURRENCY_CNY: l = self.generateCnyContract() else: l = self.generateUsdContract() for contract in l: contract.gatewayName = self.gatewayName self.gateway.onContract(contract) #---------------------------------------------------------------------- def writeLog(self, content): """快速记录日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = content self.gateway.onLog(log) #---------------------------------------------------------------------- def initCallback(self): """初始化回调函数""" # USD_SPOT self.cbDict['ok_sub_spotusd_btc_ticker'] = self.onTicker self.cbDict['ok_sub_spotusd_ltc_ticker'] = self.onTicker self.cbDict['ok_sub_spotusd_btc_depth_20'] = self.onDepth self.cbDict['ok_sub_spotusd_ltc_depth_20'] = self.onDepth self.cbDict['ok_spotusd_userinfo'] = self.onSpotUserInfo self.cbDict['ok_spotusd_orderinfo'] = self.onSpotOrderInfo self.cbDict['ok_sub_spotusd_userinfo'] = self.onSpotSubUserInfo self.cbDict['ok_sub_spotusd_trades'] = self.onSpotSubTrades self.cbDict['ok_spotusd_trade'] = self.onSpotTrade self.cbDict['ok_spotusd_cancel_order'] = self.onSpotCancelOrder # CNY_SPOT self.cbDict['ok_sub_spotcny_btc_ticker'] = self.onTicker self.cbDict['ok_sub_spotcny_ltc_ticker'] = self.onTicker self.cbDict['ok_sub_spotcny_btc_depth_20'] = self.onDepth self.cbDict['ok_sub_spotcny_ltc_depth_20'] = self.onDepth self.cbDict['ok_spotcny_userinfo'] = self.onSpotUserInfo self.cbDict['ok_spotcny_orderinfo'] = self.onSpotOrderInfo self.cbDict['ok_sub_spotcny_userinfo'] = self.onSpotSubUserInfo self.cbDict['ok_sub_spotcny_trades'] = self.onSpotSubTrades self.cbDict['ok_spotcny_trade'] = self.onSpotTrade self.cbDict['ok_spotcny_cancel_order'] = self.onSpotCancelOrder # USD_FUTURES #---------------------------------------------------------------------- def onTicker(self, data): """""" if 'data' not in data: return channel = data['channel'] symbol = channelSymbolMap[channel] if symbol not in self.tickDict: tick = VtTickData() tick.symbol = symbol tick.vtSymbol = symbol tick.gatewayName = self.gatewayName self.tickDict[symbol] = tick else: tick = self.tickDict[symbol] rawData = data['data'] tick.highPrice = float(rawData['high']) tick.lowPrice = float(rawData['low']) tick.lastPrice = float(rawData['last']) tick.volume = float(rawData['vol'].replace(',', '')) tick.date, tick.time = generateDateTime(rawData['timestamp']) newtick = copy(tick) self.gateway.onTick(newtick) #---------------------------------------------------------------------- def onDepth(self, data): """""" if 'data' not in data: return channel = data['channel'] symbol = channelSymbolMap[channel] if symbol not in self.tickDict: tick = VtTickData() tick.symbol = symbol tick.vtSymbol = symbol tick.gatewayName = self.gatewayName self.tickDict[symbol] = tick else: tick = self.tickDict[symbol] if 'data' not in data: return rawData = data['data'] tick.bidPrice1, tick.bidVolume1 = rawData['bids'][0] tick.bidPrice2, tick.bidVolume2 = rawData['bids'][1] tick.bidPrice3, tick.bidVolume3 = rawData['bids'][2] tick.bidPrice4, tick.bidVolume4 = rawData['bids'][3] tick.bidPrice5, tick.bidVolume5 = rawData['bids'][4] tick.askPrice1, tick.askVolume1 = rawData['asks'][-1] tick.askPrice2, tick.askVolume2 = rawData['asks'][-2] tick.askPrice3, tick.askVolume3 = rawData['asks'][-3] tick.askPrice4, tick.askVolume4 = rawData['asks'][-4] tick.askPrice5, tick.askVolume5 = rawData['asks'][-5] newtick = copy(tick) self.gateway.onTick(newtick) #---------------------------------------------------------------------- def onSpotUserInfo(self, data): """现货账户资金推送""" rawData = data['data'] info = rawData['info'] funds = rawData['info']['funds'] # 持仓信息 for symbol in ['btc', 'ltc', self.currency]: if symbol in funds['free']: pos = VtPositionData() pos.gatewayName = self.gatewayName pos.symbol = symbol pos.vtSymbol = symbol pos.vtPositionName = symbol pos.direction = DIRECTION_NET pos.frozen = float(funds['freezed'][symbol]) pos.position = pos.frozen + float(funds['free'][symbol]) self.gateway.onPosition(pos) # 账户资金 account = VtAccountData() account.gatewayName = self.gatewayName account.accountID = self.gatewayName account.vtAccountID = account.accountID account.balance = float(funds['asset']['net']) self.gateway.onAccount(account) #---------------------------------------------------------------------- def onSpotSubUserInfo(self, data): """现货账户资金推送""" if 'data' not in data: return rawData = data['data'] info = rawData['info'] # 持仓信息 for symbol in ['btc', 'ltc', self.currency]: if symbol in info['free']: pos = VtPositionData() pos.gatewayName = self.gatewayName pos.symbol = symbol pos.vtSymbol = symbol pos.vtPositionName = symbol pos.direction = DIRECTION_NET pos.frozen = float(info['freezed'][symbol]) pos.position = pos.frozen + float(info['free'][symbol]) self.gateway.onPosition(pos) #---------------------------------------------------------------------- def onSpotSubTrades(self, data): """成交和委托推送""" if 'data' not in data: return rawData = data['data'] # 委托信息 orderID = str(rawData['orderId']) if orderID not in self.orderDict: order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = spotSymbolMap[rawData['symbol']] order.vtSymbol = order.symbol order.orderID = str(rawData['orderId']) order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.price = float(rawData['tradeUnitPrice']) order.totalVolume = float(rawData['tradeAmount']) order.direction, priceType = priceTypeMap[rawData['tradeType']] self.orderDict[orderID] = order else: order = self.orderDict[orderID] order.tradedVolume = float(rawData['completedTradeAmount']) order.status = statusMap[rawData['status']] self.gateway.onOrder(copy(order)) # 成交信息 if 'sigTradeAmount' in rawData and float(rawData['sigTradeAmount'])>0: trade = VtTradeData() trade.gatewayName = self.gatewayName trade.symbol = spotSymbolMap[rawData['symbol']] trade.vtSymbol = order.symbol trade.tradeID = str(rawData['id']) trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = str(rawData['orderId']) trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) trade.price = float(rawData['sigTradePrice']) trade.volume = float(rawData['sigTradeAmount']) trade.direction, priceType = priceTypeMap[rawData['tradeType']] trade.tradeTime = datetime.now().strftime('%H:%M:%S') self.gateway.onTrade(trade) #---------------------------------------------------------------------- def onSpotOrderInfo(self, data): """委托信息查询回调""" rawData = data['data'] for d in rawData['orders']: orderID = str(d['order_id']) if orderID not in self.orderDict: order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = spotSymbolMap[d['symbol']] order.vtSymbol = order.symbol order.orderID = str(d['order_id']) order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.price = d['price'] order.totalVolume = d['amount'] order.direction, priceType = priceTypeMap[d['type']] self.orderDict[orderID] = order else: order = self.orderDict[orderID] order.tradedVolume = d['deal_amount'] order.status = statusMap[d['status']] self.gateway.onOrder(copy(order)) #---------------------------------------------------------------------- def generateSpecificContract(self, contract, symbol): """生成合约""" new = copy(contract) new.symbol = symbol new.vtSymbol = symbol new.name = symbol return new #---------------------------------------------------------------------- def generateCnyContract(self): """生成CNY合约信息""" contractList = [] contract = VtContractData() contract.exchange = EXCHANGE_OKCOIN contract.productClass = PRODUCT_SPOT contract.size = 1 contract.priceTick = 0.01 contractList.append(self.generateSpecificContract(contract, BTC_CNY_SPOT)) contractList.append(self.generateSpecificContract(contract, LTC_CNY_SPOT)) return contractList #---------------------------------------------------------------------- def generateUsdContract(self): """生成USD合约信息""" contractList = [] # 现货 contract = VtContractData() contract.exchange = EXCHANGE_OKCOIN contract.productClass = PRODUCT_SPOT contract.size = 1 contract.priceTick = 0.01 contractList.append(self.generateSpecificContract(contract, BTC_USD_SPOT)) contractList.append(self.generateSpecificContract(contract, LTC_USD_SPOT)) # 期货 contract.productClass = PRODUCT_FUTURES contractList.append(self.generateSpecificContract(contract, BTC_USD_THISWEEK)) contractList.append(self.generateSpecificContract(contract, BTC_USD_NEXTWEEK)) contractList.append(self.generateSpecificContract(contract, BTC_USD_QUARTER)) contractList.append(self.generateSpecificContract(contract, LTC_USD_THISWEEK)) contractList.append(self.generateSpecificContract(contract, LTC_USD_NEXTWEEK)) contractList.append(self.generateSpecificContract(contract, LTC_USD_QUARTER)) return contractList #---------------------------------------------------------------------- def onSpotTrade(self, data): """委托回报""" rawData = data['data'] self.lastOrderID = rawData['order_id'] # 收到委托号后，通知发送委托的线程返回委托号 self.orderCondition.acquire() self.orderCondition.notify() self.orderCondition.release() #---------------------------------------------------------------------- def onSpotCancelOrder(self, data): """撤单回报""" pass #---------------------------------------------------------------------- def spotSendOrder(self, req): """发单""" symbol = spotSymbolMapReverse[req.symbol][:4] type_ = priceTypeMapReverse[(req.direction, req.priceType)] self.spotTrade(symbol, type_, str(req.price), str(req.volume)) # 等待发单回调推送委托号信息 self.orderCondition.acquire() self.orderCondition.wait() self.orderCondition.release() vtOrderID = '.'.join([self.gatewayName, self.lastOrderID]) self.lastOrderID = '' return vtOrderID #---------------------------------------------------------------------- def spotCancel(self, req): """撤单""" symbol = spotSymbolMapReverse[req.symbol][:4] self.spotCancelOrder(symbol, req.orderID) #---------------------------------------------------------------------- def generateDateTime(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 date, time