# encoding: UTF-8 ''' vn.zb的gateway接入 ''' from __future__ import print_function import os import json from datetime import datetime from time import sleep from copy import copy from threading import Condition from Queue import Queue from threading import Thread from time import sleep from vnpy.trader.vtGateway import * from vnpy.api.zb import ZB_Sub_Spot_Api , zb_all_symbol_pairs , zb_all_symbols , zb_all_real_pair from vnpy.trader.vtFunction import getJsonPath # 价格类型映射 # 买卖类型： 限价单（buy/sell） 市价单（buy_market/sell_market） zb_priceTypeMap = {} zb_priceTypeMap["1"] = (DIRECTION_LONG, PRICETYPE_LIMITPRICE) zb_priceTypeMap['buy_market'] = (DIRECTION_LONG, PRICETYPE_MARKETPRICE) zb_priceTypeMap["0"] = (DIRECTION_SHORT, PRICETYPE_LIMITPRICE) zb_priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE) zb_priceTypeMapReverse = {v: k for k, v in zb_priceTypeMap.items()} # 委托状态印射 zb_statusMap = {} zb_statusMap[0] = STATUS_NOTTRADED zb_statusMap[1] = STATUS_CANCELLED zb_statusMap[2] = STATUS_ALLTRADED zb_statusMap[3] = STATUS_PARTTRADED class zbGateway(VtGateway): #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='ZB'): """Constructor""" super(zbGateway, self).__init__(eventEngine, gatewayName) self.api_spot = ZB_API_Spot(self) self.connected = False self.fileName = self.gatewayName + '_connect.json' self.filePath = getJsonPath(self.fileName, __file__) self.qryEnabled = True self.countTimer = 0 self.localTimeDelay = 3 # 启动查询 self.initQuery() self.startQuery() #---------------------------------------------------------------------- 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: apiKey = str(setting['apiKey']) secretKey = str(setting['secretKey']) trace = setting["trace"] 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.api_spot.active = True self.api_spot.connect_Subpot( 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 #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" self.api_spot.subscribe(subscribeReq) #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" return self.api_spot.spotSendOrder(orderReq) #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" self.api_spot.spotCancel(cancelOrderReq) #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" self.api_spot.spotUserInfo() #---------------------------------------------------------------------- def qryOrderInfo(self): self.api_spot.spotAllOrders() #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" pass #---------------------------------------------------------------------- def close(self): """关闭""" self.api_spot.active = False self.api_spot.close() #---------------------------------------------------------------------- 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.qryOrderInfo] self.qryFunctionList = [ self.qryOrderInfo] #self.qryFunctionList = [] 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 #---------------------------------------------------------------------- def query(self, event): """注册到事件处理引擎上的查询函数""" self.qryCount += 1 self.countTimer += 1 if self.countTimer % self.localTimeDelay == 0: 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 ZB_API_Spot(ZB_Sub_Spot_Api): """ zb 的 API实现 """ #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(ZB_API_Spot, self).__init__() self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 self.active = False # 若为True则会在断线后自动重连 self.cbDict = {} self.tickDict = {} self.orderDict = {} self.channelSymbolMap = {} self.localNo = 0 # 本地委托号 self.localNoQueue = Queue() # 未收到系统委托号的本地委托号队列 self.localNoDict = {} # key为本地委托号，value为系统委托号 self.orderIdDict = {} # key为系统委托号，value为本地委托号 self.cancelDict = {} # key为本地委托号，value为撤单请求 self.recordOrderId_BefVolume = {} # 记录的之前处理的量 self.tradeID = 0 self.local_status_dict = {} self.registerSymbolPairArray = set([]) self.initCallback() #---------------------------------------------------------------------- def subscribe(self ,subscribeReq): """订阅行情""" symbol_pair_gateway = subscribeReq.symbol arr = symbol_pair_gateway.split('.') symbol_pair = arr[0] if symbol_pair not in self.registerSymbolPairArray: self.registerSymbolPairArray.add(symbol_pair) self.subscirbeSinglePair( symbol_pair) #---------------------------------------------------------------------- def onMessage(self, ws, evt): """信息推送""" # print evt data = self.readData(evt) try: channel = data['channel'] except Exception as ex: channel = None if channel == None: return 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 onError(self, data): error = VtErrorData() error.gatewayName = self.gatewayName error.errorMsg = str(data["data"]["error_code"]) self.gateway.onError(error) #---------------------------------------------------------------------- def onClose(self, ws): """接口断开""" # 如果尚未连上，则忽略该次断开提示 if not self.gateway.connected: return self.gateway.connected = False self.writeLog(u'服务器连接断开') # 重新连接 if self.active: def reconnect(): while not self.gateway.connected: self.writeLog(u'等待10秒后重新连接') sleep(10) if not self.gateway.connected: self.reconnect() t = Thread(target=reconnect) t.start() #---------------------------------------------------------------------- def subscirbeSinglePair(self ,symbol_pair): if symbol_pair in zb_all_symbol_pairs: self.subscribeSpotTicker(symbol_pair) self.subscribeSpotDepth(symbol_pair) #self.self.subscribeSpotTrades(symbol_pair) #---------------------------------------------------------------------- def onOpen(self, ws): """连接成功""" self.gateway.connected = True self.writeLog(u'服务器连接成功') self.spotUserInfo() self.subscirbeSinglePair("btc_qc") for symbol in zb_all_symbol_pairs: #self.subscirbeSinglePair(symbol) use_symbol = symbol.replace('_','') #Ticker数据 self.channelSymbolMap["%s_ticker" % use_symbol] = symbol #盘口的深度 self.channelSymbolMap["%s_depth" % use_symbol] = symbol #所有人的交易数据 self.channelSymbolMap["%s_trades" % use_symbol] = symbol contract = VtContractData() contract.gatewayName = self.gatewayName contract.symbol = symbol contract.exchange = EXCHANGE_ZB contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) contract.name = u'ZB现货%s' % symbol contract.size = 0.00001 contract.priceTick = 0.00001 contract.productClass = PRODUCT_SPOT self.gateway.onContract(contract) #---------------------------------------------------------------------- def initCallback(self): for symbol_pair in zb_all_symbol_pairs: use_symbol = symbol_pair.replace('_','') self.cbDict["%s_ticker" % use_symbol] = self.onTicker self.cbDict["%s_depth" % use_symbol] = self.onDepth self.cbDict["%s_trades" % use_symbol] = self.onTrades self.cbDict["%s_order" % use_symbol] = self.onSpotOrder self.cbDict["%s_cancelorder" % use_symbol] = self.onSpotCancelOrder self.cbDict["%s_getorder" % use_symbol] = self.onSpotGetOrder self.cbDict["%s_getorders" % use_symbol] = self.onSpotGetOrders ####self.cbDict["%s_getordersignoretradetype" % use_symbol] = self.onSpotGetOrdersignoretradetype self.cbDict["%s_getordersignoretradetype" % use_symbol] = self.onSpotGetOrders # self.cbDict["%s_ticker" % symbol_pair] = self.onTicker # self.cbDict["%s_depth" % symbol_pair] = self.onDepth # self.cbDict["%s_trades" % symbol_pair] = self.onTrades # self.cbDict["%s_order" % symbol_pair] = self.onSpotOrder # self.cbDict["%s_cancelorder" % symbol_pair] = self.onSpotCancelOrder # self.cbDict["%s_getorder" % symbol_pair] = self.onSpotGetOrder # self.cbDict["%s_getorders" % symbol_pair] = self.onSpotGetOrders # ####self.cbDict["%s_getordersignoretradetype" % use_symbol] = self.onSpotGetOrdersignoretradetype # self.cbDict["%s_getordersignoretradetype" % use_symbol] = self.onSpotGetOrders self.cbDict["getaccountinfo"] = self.onSpotUserInfo #---------------------------------------------------------------------- def writeLog(self, content): """快速记录日志""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = content self.gateway.onLog(log) #---------------------------------------------------------------------- def onTicker(self, data): """""" if 'ticker' not in data: return channel = data['channel'] if channel == 'addChannel': return try: symbol = self.channelSymbolMap[channel] if symbol not in self.tickDict: tick = VtTickData() tick.exchange = EXCHANGE_ZB tick.symbol = '.'.join([symbol, tick.exchange]) tick.vtSymbol = '.'.join([symbol, tick.exchange]) tick.gatewayName = self.gatewayName self.tickDict[symbol] = tick else: tick = self.tickDict[symbol] rawData = data['ticker'] tick.highPrice = float(rawData['high']) tick.lowPrice = float(rawData['low']) tick.lastPrice = float(rawData['last']) tick.volume = float(rawData['vol']) tick.date, tick.time = self.generateDateTime(data['date']) # print "ticker", tick.date , tick.time # newtick = copy(tick) # self.gateway.onTick(newtick) except Exception as ex: print("Error in onTicker " , channel) #---------------------------------------------------------------------- def onDepth(self, data): """""" try: channel = data['channel'] symbol = self.channelSymbolMap[channel] except Exception as ex: symbol = None if symbol == None: return 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 'asks' not in data: return asks = data["asks"] bids = data["bids"] 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[-1] tick.askPrice2, tick.askVolume2 = asks[-2] tick.askPrice3, tick.askVolume3 = asks[-3] tick.askPrice4, tick.askVolume4 = asks[-4] tick.askPrice5, tick.askVolume5 = asks[-5] tick.date, tick.time = self.generateDateTimeAccordingLocalTime() # print "Depth", tick.date , tick.time newtick = copy(tick) self.gateway.onTick(newtick) ''' //# Request { 'event':'addChannel', 'channel':'ltcbtc_trades', } //# Response { "data": [ { "date":"1443428902", "price":"1565.91", "amount":"0.553", "tid":"37594617", "type":"sell", "trade_type":"ask" }... ], "no": 1031995, "channel": "ltcbtc_trades" } ''' #---------------------------------------------------------------------- def onTrades(self, data): pass # try: # channel = data['channel'] # symbol = self.channelSymbolMap[channel] # except Exception,ex: # symbol = None # if symbol == None: # return #---------------------------------------------------------------------- def spotAllOrders(self): for symbol_pair in self.registerSymbolPairArray: self.spotGetOrderSignOrderTradeType(symbol_pair , 1 , 50 , 1) #---------------------------------------------------------------------- def onSpotOrder(self, data): code = data["code"] if str(code) != "1000": errorData = {"data":{"error_code":str(code)}} self.onError(errorData) return rawData = json.loads(data['data'].replace("entrustId",'"entrustId"')) orderId = str(rawData["entrustId"]) # 尽管websocket接口的委托号返回是异步的，但经过测试是 # 符合先发现回的规律，因此这里通过queue获取之前发送的 # 本地委托号，并把它和推送的系统委托号进行映射 localNo = self.localNoQueue.get_nowait() self.localNoDict[localNo] = orderId self.orderIdDict[orderId] = localNo t_symbol = (data["channel"].split('_'))[0] symbol = zb_all_real_pair[t_symbol] order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = '.'.join([symbol , EXCHANGE_ZB]) order.vtSymbol = order.symbol order.orderID = localNo order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) self.orderDict[orderId] = order order.status = STATUS_UNKNOWN local_status = self.local_status_dict.get( str(localNo) , None) if local_status != None: order.direction, priceType = zb_priceTypeMap[str(local_status)] self.gateway.onOrder(order) # 检查是否有系统委托号返回前就发出的撤单请求，若有则进 # 行撤单操作 if localNo in self.cancelDict: req = self.cancelDict[localNo] self.spotCancel(req) del self.cancelDict[localNo] ''' { "success": true, "code": 1000, "channel": "ltcbtc_cancelorder", "message": "操作成功。", "no": "1472814987517496849777" } ''' #---------------------------------------------------------------------- def onSpotCancelOrder(self, data): code = data["code"] if str(code) != "1000": errorData = {"data":{"error_code":str(code)}} self.onError(errorData) return symbol , orderId = data["no"].split('.') orderId = str(orderId) localNo = self.orderIdDict[orderId] if orderId not in self.orderDict: order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = '.'.join([symbol , EXCHANGE_ZB]) order.vtSymbol = order.symbol order.orderID = localNo order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) self.orderDict[orderId] = order else: order = self.orderDict[orderId] order.status = STATUS_CANCELLED self.gateway.onOrder(order) del self.orderDict[orderId] del self.orderIdDict[orderId] del self.localNoDict[localNo] #---------------------------------------------------------------------- def spotSendOrder(self, req): """发单""" symbol = (req.symbol.split('.'))[0] type_ = zb_priceTypeMapReverse[(req.direction, req.priceType)] self.spotTrade(symbol, type_, str(req.price), str(req.volume)) # 本地委托号加1，并将对应字符串保存到队列中，返回基于本地委托号的vtOrderID self.localNo += 1 self.localNoQueue.put(str(self.localNo)) self.local_status_dict[str(self.localNo)] = str(type_) vtOrderID = '.'.join([self.gatewayName, str(self.localNo)]) return vtOrderID #---------------------------------------------------------------------- def spotCancel(self, req): """撤单""" symbol = (req.symbol.split('.'))[0] localNo = req.orderID if localNo in self.localNoDict: orderID = self.localNoDict[localNo] self.spotCancelOrder(symbol, orderID) else: # 如果在系统委托号返回前客户就发送了撤单请求，则保存 # 在cancelDict字典中，等待返回后执行撤单任务 self.cancelDict[localNo] = req #---------------------------------------------------------------------- def onSpotGetOrder(self , data): """生成时间""" code = data["code"] if str(code) != "1000": errorData = {"data":{"error_code":str(code)}} self.onError(errorData) return rawData = data['data'].replace('{','{"').replace('}','"}').replace(":",'":"').replace(',','","').replace('}","{','}{').\ replace(':"[',':[').replace('}{','},{').replace(']",','],').replace('}"}','}}').replace(':"{"',':{"') orderId = str(rawData["id"]) # 这时候出现None , 情况是 已经发出了单子，但是系统这里还没建立 索引 # 先这样返回试一下 # 因为 发完单，订单变化是先推送的。。导致不清楚他的localID # 现在的处理方式是， 先缓存这里的信息，等到出现了 localID，再来处理这一段 localNo = self.orderIdDict.get(orderId , None) if localNo == None: print("Error , localNo is none !" + str(localNo)) return # 委托信息 if orderId not in self.orderDict: order = VtOrderData() order.gatewayName = self.gatewayName symbol = zb_all_real_pair[rawData["currency"].replace('_',"")] order.symbol = '.'.join([symbol, EXCHANGE_ZB]) #order.symbol = spotSymbolMap[rawData['symbol']] order.vtSymbol = order.symbol order.orderID = localNo order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.price = float(rawData['price']) order.totalVolume = float(rawData['total_amount']) order.direction, priceType = zb_priceTypeMap[str(rawData['type'])] self.orderDict[orderId] = order else: order = self.orderDict[orderId] order.tradedVolume = float(rawData['trade_amount']) order.status = zb_statusMap[int(rawData['status'])] self.gateway.onOrder(copy(order)) bef_volume = self.recordOrderId_BefVolume.get( orderId , 0.0 ) now_volume = float(rawData['trade_amount']) - bef_volume if now_volume > 0.00001: trade = VtTradeData() trade.gatewayName = self.gatewayName trade.symbol = order.symbol trade.vtSymbol = order.symbol self.tradeID += 1 trade.tradeID = str(self.tradeID) trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = localNo trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) trade.price = float(rawData['price']) trade.volume = float(now_volume) trade.direction, priceType = zb_priceTypeMap[str(rawData['type'])] trade.tradeTime = datetime.now().strftime('%H:%M:%S') self.gateway.onTrade(trade) if order.status in [STATUS_CANCELLED , STATUS_ALLTRADED]: del self.orderIdDict[orderId] del self.orderDict[orderId] #---------------------------------------------------------------------- def onSpotGetOrders(self, data): code = data["code"] if str(code) != "1000": errorData = {"data":{"error_code":str(code)}} self.onError(errorData) return rawData = data['data'].replace('{','{"').replace('}','"}').replace(":",'":"').replace(',','","').replace('}","{','}{').\ replace(':"[',':[').replace('}{','},{').replace(']",','],').replace('}"}','}}').replace(':"{"',':{"') rawData = json.loads(rawData) orderDictKeys = self.orderDict.keys() system_has_orderID_list = self.orderIdDict.keys() for d in rawData: orderId = str(d["id"]) if orderId in system_has_orderID_list: localNo = self.orderIdDict[orderId] order = self.orderDict[orderId] order.price = float(d["price"]) order.totalVolume = float(d["total_amount"]) order.tradedVolume = float(d['trade_amount']) order.status = zb_statusMap[int(d['status'])] self.gateway.onOrder(copy(order)) bef_volume = self.recordOrderId_BefVolume.get( orderId , 0.0 ) now_volume = float(d['trade_amount']) - bef_volume if now_volume > 0.00001: trade = VtTradeData() trade.gatewayName = self.gatewayName trade.symbol = order.symbol trade.vtSymbol = order.symbol self.tradeID += 1 trade.tradeID = str(self.tradeID) trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = localNo trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) trade.price = float(d['price']) trade.volume = float(now_volume) trade.direction, priceType = zb_priceTypeMap[str(d['type'])] trade.tradeTime = datetime.now().strftime('%H:%M:%S') self.gateway.onTrade(trade) if order.status in [STATUS_CANCELLED , STATUS_ALLTRADED]: del self.orderIdDict[orderId] del self.orderDict[orderId] else: if zb_statusMap[int(d['status'])] not in [STATUS_CANCELLED , STATUS_ALLTRADED]: self.localNo += 1 localNo = str(self.localNo) orderId = str(d['id']) self.localNoDict[localNo] = orderId self.orderIdDict[orderId] = localNo order = VtOrderData() order.gatewayName = self.gatewayName symbol = zb_all_real_pair[d["currency"].replace('_',"")] order.symbol = '.'.join([symbol , EXCHANGE_ZB]) order.vtSymbol = order.symbol order.orderID = localNo order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.price = float(d['price']) order.totalVolume = float(d['total_amount']) order.direction, priceType = zb_priceTypeMap[str(d['type'])] self.orderDict[orderId] = order order.tradedVolume = float(d['trade_amount']) order.status = zb_statusMap[int(d['status'])] self.gateway.onOrder(copy(order)) #---------------------------------------------------------------------- # def onSpotGetOrdersignoretradetype(self, data): """取消tradeType字段过滤，可同时获取买单和卖单，每次请求返回pageSize<100条记录""" """因为跟 getOrders 功能重复，统一处理了""" ''' { "message": "操作成功", "no": "15207605119", "data": { "coins": [ { "freez": "1.35828369", "enName": "BTC", "unitDecimal": 8, "cnName": "BTC", "unitTag": "฿", "available": "0.72771906", "key": "btc" }, { "freez": "0.011", "enName": "LTC", "unitDecimal": 8, "cnName": "LTC", "unitTag": "Ł", "available": "3.51859814", "key": "ltc" }, ... ], "base": { "username": "15207605119", "trade_password_enabled": true, "auth_google_enabled": true, "auth_mobile_enabled": true } }, "code": 1000, "channel": "getaccountinfo", "success": true } ''' #---------------------------------------------------------------------- def onSpotUserInfo(self, data): code = data["code"] if str(code) != "1000": errorData = {"data":{"error_code":str(code)}} self.onError(errorData) return try: rawData = data['data'].replace('{','{"').replace('}','"}').replace(":",'":"').replace(',','","').replace('}","{','}{').\ replace(':"[',':[').replace('}{','},{').replace(']",','],').replace('}"}','}}').replace(':"{"',':{"') rawData = json.loads(rawData) coins = rawData["coins"] except Exception as ex: print(ex) for coin in coins: symbol = coin["cnName"].lower() if symbol in zb_all_symbols: pos = VtPositionData() pos.gatewayName = self.gatewayName pos.symbol = symbol + "." + EXCHANGE_ZB pos.vtSymbol = symbol + "." + EXCHANGE_ZB pos.vtPositionName = symbol pos.direction = DIRECTION_NET pos.frozen = float(coin["freez"]) pos.position = pos.frozen + float(coin["available"]) self.gateway.onPosition(pos) # 账户资金 account = VtAccountData() account.gatewayName = self.gatewayName account.accountID = self.gatewayName account.vtAccountID = account.accountID account.balance = 0.0 #account.balance = float(funds['asset']['net']) self.gateway.onAccount(account) #---------------------------------------------------------------------- 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 date, time #---------------------------------------------------------------------- def generateDateTimeAccordingLocalTime(self): dt = datetime.now() time = dt.strftime("%H:%M:%S.%f") date = dt.strftime("%Y%m%d") return date, time