# 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 from Queue import Queue 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""" self.api.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.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.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.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'][0] tick.askPrice2, tick.askVolume2 = rawData['asks'][1] tick.askPrice3, tick.askVolume3 = rawData['asks'][2] tick.askPrice4, tick.askVolume4 = rawData['asks'][3] tick.askPrice5, tick.askVolume5 = rawData['asks'][4] 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'] # 本地和系统委托号 orderId = str(rawData['orderId']) localNo = self.orderIdDict[orderId] # 委托信息 if orderId not in self.orderDict: order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = spotSymbolMap[rawData['symbol']] order.vtSymbol = order.symbol order.orderID = localNo 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 = localNo 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']: self.localNo += 1 localNo = str(self.localNo) orderId = str(d['order_id']) self.localNoDict[localNo] = orderId self.orderIdDict[orderId] = localNo if orderId not in self.orderDict: order = VtOrderData() order.gatewayName = self.gatewayName order.symbol = spotSymbolMap[d['symbol']] order.vtSymbol = order.symbol order.orderID = localNo 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'] orderId = rawData['order_id'] # 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 # 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] #---------------------------------------------------------------------- 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)) # 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)) vtOrderID = '.'.join([self.gatewayName, str(self.localNo)]) return vtOrderID #---------------------------------------------------------------------- def spotCancel(self, req): """撤单""" symbol = spotSymbolMapReverse[req.symbol][:4] 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 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