965 lines
38 KiB
Python
965 lines
38 KiB
Python
# encoding: UTF-8
|
||
|
||
'''
|
||
vnpy.api.okex的gateway接入
|
||
|
||
注意：
|
||
1. 目前仅支持USD现货交易
|
||
'''
|
||
|
||
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.api.okex import OkexSpotApi, CONTRACT_SYMBOL, SPOT_CURRENCY
|
||
from vnpy.trader.vtGateway import *
|
||
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）
|
||
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()}
|
||
|
||
# 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
|
||
|
||
|
||
okex_all_symbol_pairs = ['ref_usdt', 'soc_usdt', 'light_usdt', 'avt_usdt', 'of_usdt', 'brd_usdt', 'ast_usdt', 'int_usdt', 'zrx_usdt', 'ctr_usdt', 'dgd_usdt', 'aidoc_usdt', 'wtc_usdt', 'swftc_usdt', 'wrc_usdt', 'sub_usdt', 'dna_usdt', 'knc_usdt', 'kcash_usdt', 'mdt_usdt', 'theta_usdt', 'ppt_usdt', 'utk_usdt', 'qvt_usdt', 'salt_usdt', 'la_usdt', 'itc_usdt', 'fair_usdt', 'yee_usdt', '1st_usdt', 'fun_usdt', 'iost_usdt', 'mkr_usdt', 'tio_usdt', 'req_usdt', 'ubtc_usdt', 'icx_usdt', 'tct_usdt', 'san_usdt', 'lrc_usdt', 'icn_usdt', 'cvc_usdt', 'eth_usdt', 'poe_usdt', 'xlm_usdt', 'iota_usdt', 'eos_usdt', 'nuls_usdt', 'mot_usdt', 'neo_usdt', 'gnx_usdt', 'dgb_usdt', 'evx_usdt', 'ltc_usdt', 'mda_usdt', 'etc_usdt', 'dpy_usdt', 'tnb_usdt', 'nas_usdt', 'btc_usdt', 'smt_usdt', 'ssc_usdt', 'oax_usdt', 'yoyo_usdt', 'snc_usdt', 'sngls_usdt', 'bch_usdt', 'mana_usdt', 'mof_usdt', 'mco_usdt', 'vib_usdt', 'topc_usdt', 'pra_usdt', 'bnt_usdt', 'xmr_usdt', 'edo_usdt', 'snt_usdt', 'eng_usdt', 'stc_usdt', 'qtum_usdt', 'key_usdt', 'ins_usdt', 'rnt_usdt', 'bcd_usdt', 'amm_usdt', 'lend_usdt', 'btm_usdt', 'elf_usdt', 'xuc_usdt', 'cag_usdt', 'snm_usdt', 'act_usdt', 'dash_usdt', 'zec_usdt', 'storj_usdt', 'pay_usdt', 'vee_usdt', 'show_usdt', 'trx_usdt', 'atl_usdt', 'ark_usdt', 'ost_usdt', 'gnt_usdt', 'dat_usdt', 'rcn_usdt', 'qun_usdt', 'mth_usdt', 'rct_usdt', 'read_usdt', 'gas_usdt', 'btg_usdt', 'mtl_usdt', 'cmt_usdt', 'xrp_usdt', 'spf_usdt', 'aac_usdt', 'can_usdt', 'omg_usdt', 'hsr_usdt', 'link_usdt', 'dnt_usdt', 'true_usdt', 'ukg_usdt', 'xem_usdt', 'ngc_usdt', 'lev_usdt', 'rdn_usdt', 'ace_usdt', 'ipc_usdt', 'ugc_usdt', 'viu_usdt', 'mag_usdt', 'hot_usdt', 'pst_usdt',
|
||
'ref_btc', 'soc_btc', 'light_btc', 'avt_btc', 'of_btc', 'brd_btc', 'ast_btc', 'int_btc', 'zrx_btc', 'ctr_btc', 'dgd_btc', 'aidoc_btc', 'wtc_btc', 'swftc_btc', 'wrc_btc', 'sub_btc', 'dna_btc', 'knc_btc', 'kcash_btc', 'mdt_btc', 'theta_btc', 'ppt_btc', 'utk_btc', 'qvt_btc', 'salt_btc', 'la_btc', 'itc_btc', 'fair_btc', 'yee_btc', '1st_btc', 'fun_btc', 'iost_btc', 'mkr_btc', 'tio_btc', 'req_btc', 'ubtc_btc', 'icx_btc', 'tct_btc', 'san_btc', 'lrc_btc', 'icn_btc', 'cvc_btc', 'eth_btc', 'poe_btc', 'xlm_btc', 'iota_btc', 'eos_btc', 'nuls_btc', 'mot_btc', 'neo_btc', 'gnx_btc', 'dgb_btc', 'evx_btc', 'ltc_btc', 'mda_btc', 'etc_btc', 'dpy_btc', 'tnb_btc', 'nas_btc', 'btc_btc', 'smt_btc', 'ssc_btc', 'oax_btc', 'yoyo_btc', 'snc_btc', 'sngls_btc', 'bch_btc', 'mana_btc', 'mof_btc', 'mco_btc', 'vib_btc', 'topc_btc', 'pra_btc', 'bnt_btc', 'xmr_btc', 'edo_btc', 'snt_btc', 'eng_btc', 'stc_btc', 'qtum_btc', 'key_btc', 'ins_btc', 'rnt_btc', 'bcd_btc', 'amm_btc', 'lend_btc', 'btm_btc', 'elf_btc', 'xuc_btc', 'cag_btc', 'snm_btc', 'act_btc', 'dash_btc', 'zec_btc', 'storj_btc', 'pay_btc', 'vee_btc', 'show_btc', 'trx_btc', 'atl_btc', 'ark_btc', 'ost_btc', 'gnt_btc', 'dat_btc', 'rcn_btc', 'qun_btc', 'mth_btc', 'rct_btc', 'read_btc', 'gas_btc', 'btg_btc', 'mtl_btc', 'cmt_btc', 'xrp_btc', 'spf_btc', 'aac_btc', 'can_btc', 'omg_btc', 'hsr_btc', 'link_btc', 'dnt_btc', 'true_btc', 'ukg_btc', 'xem_btc', 'ngc_btc', 'lev_btc', 'rdn_btc', 'ace_btc', 'ipc_btc', 'ugc_btc', 'viu_btc', 'mag_btc', 'hot_btc', 'pst_btc']
|
||
|
||
|
||
########################################################################
|
||
class OkexGateway(VtGateway):
|
||
"""OKEX交易接口"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, eventEngine, gatewayName='OKEX'):
|
||
"""Constructor"""
|
||
super(OkexGateway, self).__init__(eventEngine, gatewayName)
|
||
|
||
self.api_spot = SpotApi(self)
|
||
# self.api_contract = Api_contract(self)
|
||
|
||
self.leverage = 0
|
||
self.connected = False
|
||
|
||
self.fileName = self.gatewayName + '_connect.json'
|
||
self.filePath = getJsonPath(self.fileName, __file__)
|
||
|
||
#----------------------------------------------------------------------
|
||
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']
|
||
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
|
||
|
||
self.api_spot.active = True
|
||
self.api_spot.connect(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"""
|
||
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
|
||
|
||
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 SpotApi(OkexSpotApi):
|
||
"""okex的API实现"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, gateway):
|
||
"""Constructor"""
|
||
super(SpotApi, 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.cache_some_order = {}
|
||
self.tradeID = 0
|
||
|
||
self.registerSymbolPairArray = set([])
|
||
|
||
self.initCallback()
|
||
|
||
'''
|
||
登录后，每次订单执行撤销后又这样的 推送。。不知道干啥的。先过滤掉了
|
||
{u'binary': 1, u'product': u'spot', u'type': u'order', u'base': u'etc'
|
||
, u'quote': u'usdt', u'data': {u'status': -1, u'orderType': 0, u'price': u'25.4050', u'modifyTime':
|
||
1512288275000L, u'userId': 6548935, u'createTime': 1512288275000L, u'source': 0, u'quoteSize': u'0.0
|
||
0000000', u'executedValue': u'0.00000000', u'id': 62877909, u'filledSize': u'0.00000000', u'side': 1
|
||
, u'size': u'0.01000000'}}
|
||
'''
|
||
#----------------------------------------------------------------------
|
||
def onMessage(self, ws, evt):
|
||
"""信息推送"""
|
||
# print evt
|
||
|
||
data = self.readData(evt)[0]
|
||
try:
|
||
channel = data['channel']
|
||
except Exception,ex:
|
||
channel = None
|
||
if channel == None:
|
||
return
|
||
# try:
|
||
if channel == "addChannel" and 'data' in data:
|
||
channel = data['data']["channel"]
|
||
if channel != "addChannel" and 'future' not in channel and channel != 'login':
|
||
|
||
# print channel
|
||
callback = self.cbDict[channel]
|
||
callback(data)
|
||
|
||
# if 'depth' not in channel and 'ticker' not in channel and 'deals' not in channel and 'userinfo' not in channel and 'future' not in channel:
|
||
# print data
|
||
|
||
# except Exception,ex:
|
||
# print "Error in callback cbDict ", channel
|
||
|
||
#print self.cbDict
|
||
|
||
#----------------------------------------------------------------------
|
||
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 subscribe(self, subscribeReq):
|
||
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.subscribeSingleSymbol(symbol_pair)
|
||
|
||
self.spotOrderInfo(symbol_pair, '-1')
|
||
|
||
#----------------------------------------------------------------------
|
||
def subscribeSingleSymbol(self, symbol):
|
||
if symbol in okex_all_symbol_pairs:
|
||
self.subscribeSpotTicker(symbol)
|
||
self.subscribeSpotDepth5(symbol)
|
||
#self.subscribeSpotDeals(symbol)
|
||
|
||
#----------------------------------------------------------------------
|
||
def spotAllOrders(self):
|
||
print spotAllOrders
|
||
for symbol in registerSymbolPairArray:
|
||
if symbol in okex_all_symbol_pairs:
|
||
self.spotOrderInfo(symbol, '-1')
|
||
|
||
for orderId in self.orderIdDict.keys():
|
||
order = self.orderDict.get(orderId, None)
|
||
if order != None:
|
||
symbol_pair = (order.symbol.split('.'))[0]
|
||
self.spotOrderInfo(symbol_pair, orderId)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onOpen(self, ws):
|
||
"""连接成功"""
|
||
self.gateway.connected = True
|
||
self.writeLog(u'服务器连接成功')
|
||
|
||
self.login()
|
||
# 连接后查询账户和委托数据
|
||
self.spotUserInfo()
|
||
|
||
self.subscribeSingleSymbol("etc_usdt")
|
||
for symbol in okex_all_symbol_pairs:
|
||
# self.subscribeSpotTicker(symbol)
|
||
# self.subscribeSpotDepth5(symbol)
|
||
# self.subscribeSpotDeals(symbol)
|
||
|
||
#Ticker数据
|
||
self.channelSymbolMap["ok_sub_spot_%s_ticker" % symbol] = symbol
|
||
#盘口的深度
|
||
self.channelSymbolMap["ok_sub_spot_%s_depth_5" % symbol] = symbol
|
||
#所有人的交易数据
|
||
self.channelSymbolMap["ok_sub_spot_%s_deals" % symbol] = symbol
|
||
|
||
contract = VtContractData()
|
||
contract.gatewayName = self.gatewayName
|
||
contract.symbol = symbol
|
||
contract.exchange = EXCHANGE_OKEX
|
||
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||
contract.name = u'OKEX现货%s' % symbol
|
||
contract.size = 0.00001
|
||
contract.priceTick = 0.00001
|
||
contract.productClass = PRODUCT_SPOT
|
||
self.gateway.onContract(contract)
|
||
|
||
'''
|
||
[{
|
||
"channel":"ok_sub_spot_bch_btc_deals",
|
||
"data":[["1001","2463.86","0.052","16:34:07","ask"]]
|
||
}]
|
||
'''
|
||
#----------------------------------------------------------------------
|
||
def onSpotSubDeals(self, data):
|
||
if 'data' not in data:
|
||
return
|
||
rawData = data["data"]
|
||
|
||
# print rawData
|
||
|
||
|
||
#----------------------------------------------------------------------
|
||
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
|
||
for symbol_pair in okex_all_symbol_pairs:
|
||
self.cbDict["ok_sub_spot_%s_ticker" % symbol_pair] = self.onTicker
|
||
self.cbDict["ok_sub_spot_%s_depth_5" % symbol_pair] = self.onDepth
|
||
self.cbDict["ok_sub_spot_%s_deals" % symbol_pair] = self.onSpotSubDeals
|
||
|
||
self.cbDict["ok_sub_spot_%s_order" % symbol_pair] = self.onSpotSubOrder
|
||
self.cbDict["ok_sub_spot_%s_balance" % symbol_pair] = self.onSpotBalance
|
||
|
||
self.cbDict['ok_spot_userinfo'] = self.onSpotUserInfo
|
||
self.cbDict['ok_spot_orderinfo'] = self.onSpotOrderInfo
|
||
|
||
# 下面这两个好像废弃了
|
||
#self.cbDict['ok_sub_spot_userinfo'] = self.onSpotSubUserInfo
|
||
#self.cbDict['ok_sub_spot_trades'] = self.onSpotSubTrades
|
||
|
||
self.cbDict['ok_spot_order'] = self.onSpotOrder
|
||
self.cbDict['ok_spot_cancel_order'] = self.onSpotCancelOrder
|
||
|
||
'''
|
||
[
|
||
{
|
||
"binary": 0,
|
||
"channel": "ok_sub_spot_bch_btc_ticker",
|
||
"data": {
|
||
"high": "10000",
|
||
"vol": "185.03743858",
|
||
"last": "111",
|
||
"low": "0.00000001",
|
||
"buy": "115",
|
||
"change": "101",
|
||
"sell": "115",
|
||
"dayLow": "0.00000001",
|
||
"dayHigh": "10000",
|
||
"timestamp": 1500444626000
|
||
}
|
||
}
|
||
]
|
||
'''
|
||
#----------------------------------------------------------------------
|
||
def onTicker(self, data):
|
||
""""""
|
||
if 'data' 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_OKEX
|
||
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['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 = self.generateDateTime(rawData['timestamp'])
|
||
|
||
# print "ticker", tick.date, tick.time
|
||
# newtick = copy(tick)
|
||
# self.gateway.onTick(newtick)
|
||
except Exception,ex:
|
||
print "Error in onTicker ", channel
|
||
|
||
#----------------------------------------------------------------------
|
||
def onDepth(self, data):
|
||
""""""
|
||
if 'data' not in data:
|
||
return
|
||
try:
|
||
channel = data['channel']
|
||
symbol = self.channelSymbolMap[channel]
|
||
except Exception,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 '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]
|
||
|
||
tick.date, tick.time = self.generateDateTime(rawData['timestamp'])
|
||
# print "Depth", tick.date, tick.time
|
||
|
||
newtick = copy(tick)
|
||
self.gateway.onTick(newtick)
|
||
|
||
'''
|
||
[
|
||
{
|
||
"base": "bch",
|
||
"binary": 0,
|
||
"channel": "ok_sub_spot_bch_btc_balance",
|
||
"data": {
|
||
"info": {
|
||
"free": {
|
||
"btc": 5814.850605790395
|
||
},
|
||
"freezed": {
|
||
"btc": 7341
|
||
}
|
||
}
|
||
},
|
||
"product": "spot",
|
||
"quote": "btc",
|
||
"type": "order"
|
||
}
|
||
]
|
||
'''
|
||
def onSpotBalance(self, data):
|
||
"""交易发生金额变动之后会触发这个函数"""
|
||
# print data
|
||
|
||
rawData = data['data']
|
||
info = rawData['info']
|
||
|
||
for symbol in info["freezed"].keys():
|
||
pos = VtPositionData()
|
||
pos.gatewayName = self.gatewayName
|
||
pos.symbol = symbol + "." + EXCHANGE_OKEX
|
||
pos.vtSymbol = symbol + "." + EXCHANGE_OKEX
|
||
pos.direction = DIRECTION_NET
|
||
pos.frozen = float(info['freezed'][symbol])
|
||
pos.position = pos.frozen + float(info['free'][symbol])
|
||
|
||
self.gateway.onPosition(pos)
|
||
|
||
'''
|
||
[{"binary":0,"channel":"ok_spot_userinfo","data":{"result":true,"info":{"funds":{"borrow":{"dgd":"0"
|
||
,"bcd":"0","bcc":"0","bch":"0","hsr":"0","xuc":"0","omg":"0","eos":"0","qtum":"0","btc":"0","act":"0
|
||
","bcs":"0","btg":"0","etc":"0","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0","ltc":"0","bt1":"
|
||
0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"},"free":{"dgd":"0","bcd
|
||
":"0","bcc":"0","bch":"0","hsr":"0","xuc":"3","omg":"0","eos":"0","qtum":"0","btc":"0.00266884258369
|
||
","act":"0","bcs":"0","btg":"0","etc":"7.9909635","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0"
|
||
,"ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"},"fre
|
||
ezed":{"dgd":"0","bcd":"0","bcc":"0","bch":"0","hsr":"0","xuc":"0","omg":"0","eos":"0","qtum":"0","b
|
||
tc":"0","act":"0","bcs":"0","btg":"0","etc":"0","eth":"0","usdt":"0","gas":"0","zec":"0","neo":"0","
|
||
ltc":"0","bt1":"0","bt2":"0","iota":"0","pay":"0","storj":"0","gnt":"0","snt":"0","dash":"0"}}}}}]
|
||
{u'binary': 0, u'data': {u'info': {u'funds': {u'freezed': {u'zec': u'0', u'usdt': u'0', u'btg': u'0'
|
||
, u'btc': u'0', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj': u'0', u'iota': u'0', u'omg': u'0
|
||
', u'dgd': u'0', u'bt2': u'0', u'xuc': u'0', u'gas': u'0', u'hsr': u'0', u'snt': u'0', u'dash': u'0'
|
||
, u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc': u'0', u'eos': u'0', u'etc': u'0',
|
||
u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, u'borrow': {u'zec': u'0', u'usdt': u'0', u
|
||
'btg': u'0', u'btc': u'0', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj': u'0', u'iota': u'0',
|
||
u'omg': u'0', u'dgd': u'0', u'bt2': u'0', u'xuc': u'0', u'gas': u'0', u'hsr': u'0', u'snt': u'0', u'
|
||
dash': u'0', u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc': u'0', u'eos': u'0', u'
|
||
etc': u'0', u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}, u'free': {u'zec': u'0', u'usdt'
|
||
: u'0', u'btg': u'0', u'btc': u'0.00266884258369', u'bt1': u'0', u'neo': u'0', u'pay': u'0', u'storj
|
||
': u'0', u'iota': u'0', u'omg': u'0', u'dgd': u'0', u'bt2': u'0', u'xuc': u'3', u'gas': u'0', u'hsr'
|
||
: u'0', u'snt': u'0', u'dash': u'0', u'bch': u'0', u'gnt': u'0', u'bcd': u'0', u'qtum': u'0', u'bcc'
|
||
: u'0', u'eos': u'0', u'etc': u'7.9909635', u'act': u'0', u'eth': u'0', u'ltc': u'0', u'bcs': u'0'}}
|
||
}, u'result': True}, u'channel': u'ok_spot_userinfo'}
|
||
'''
|
||
#----------------------------------------------------------------------
|
||
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','eth', self.currency]:
|
||
#for symbol in :
|
||
if symbol in funds['free']:
|
||
pos = VtPositionData()
|
||
pos.gatewayName = self.gatewayName
|
||
|
||
pos.symbol = symbol + "." + EXCHANGE_OKEX
|
||
pos.vtSymbol = symbol + "." + EXCHANGE_OKEX
|
||
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 = 0.0
|
||
#account.balance = float(funds['asset']['net'])
|
||
self.gateway.onAccount(account)
|
||
|
||
#----------------------------------------------------------------------
|
||
# 这个 API 现在文档没找到。。 好像废弃了
|
||
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','eth', self.currency]:
|
||
for symbol in SPOT_CURRENCY:
|
||
if symbol in info['free']:
|
||
pos = VtPositionData()
|
||
pos.gatewayName = self.gatewayName
|
||
|
||
pos.symbol = symbol + "." + EXCHANGE_OKEX
|
||
pos.vtSymbol = symbol + "." + EXCHANGE_OKEX
|
||
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)
|
||
|
||
'''
|
||
交易数据
|
||
[
|
||
{
|
||
"base": "bch",
|
||
"binary": 0,
|
||
"channel": "ok_sub_spot_bch_btc_order",
|
||
"data": {
|
||
"symbol": "bch_btc",
|
||
"tradeAmount": "1.00000000",
|
||
"createdDate": "1504530228987",
|
||
"orderId": 6191,
|
||
"completedTradeAmount": "0.00000000",
|
||
"averagePrice": "0",
|
||
"tradePrice": "0.00000000",
|
||
"tradeType": "buy",
|
||
"status": 0,
|
||
"tradeUnitPrice": "113.00000000"
|
||
},
|
||
"product": "spot",
|
||
"quote": "btc",
|
||
"type": "balance"
|
||
}
|
||
]
|
||
|
||
{u'binary': 0, u'data': {u'orderId': 62870564, u'status': 0, u'tradeType': u'sell', u'tradeUnitPrice
|
||
': u'25.3500', u'symbol': u'etc_usdt', u'tradePrice': u'0.0000', u'createdDate': u'1512287172393', u
|
||
'averagePrice': u'0', u'tradeAmount': u'0.01000000', u'completedTradeAmount': u'0.00000000'}, u'chan
|
||
nel': u'ok_sub_spot_etc_usdt_order'}
|
||
'''
|
||
#----------------------------------------------------------------------
|
||
def onSpotSubOrder(self, data):
|
||
"""交易数据"""
|
||
if 'data' not in data:
|
||
return
|
||
|
||
rawData = data["data"]
|
||
|
||
# 本地和系统委托号
|
||
orderId = str(rawData['orderId'])
|
||
|
||
# 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:
|
||
arr = self.cache_some_order.get(orderId, None)
|
||
if arr == None:
|
||
arr = []
|
||
arr.append(data)
|
||
self.cache_some_order[orderId] = arr
|
||
else:
|
||
arr.append(data)
|
||
return
|
||
|
||
# 委托信息
|
||
if orderId not in self.orderDict:
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
|
||
order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX])
|
||
#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))
|
||
|
||
|
||
bef_volume = self.recordOrderId_BefVolume.get(orderId, 0.0 )
|
||
now_volume = float(rawData['completedTradeAmount']) - bef_volume
|
||
|
||
if now_volume > 0.000001:
|
||
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['tradeUnitPrice'])
|
||
trade.volume = float(now_volume)
|
||
|
||
trade.direction, priceType = priceTypeMap[rawData['tradeType']]
|
||
|
||
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||
|
||
self.gateway.onTrade(trade)
|
||
|
||
"""
|
||
原来的OK coin方式，不过数据一直没有 所以换一种方式
|
||
# 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)
|
||
"""
|
||
'''
|
||
[
|
||
{
|
||
"binary": 0,
|
||
"channel": "ok_spot_orderinfo",
|
||
"data": {
|
||
"result": true,
|
||
"orders": [
|
||
{
|
||
"symbol": "bch_btc",
|
||
"amount": "0.10000000",
|
||
"price": "1.00000000",
|
||
"avg_price": 0,
|
||
"create_date": 1504529828000,
|
||
"type": "buy",
|
||
"deal_amount": 0,
|
||
"order_id": 6189,
|
||
"status": -1
|
||
}
|
||
]
|
||
}
|
||
}
|
||
]
|
||
'''
|
||
#----------------------------------------------------------------------
|
||
def onSpotOrderInfo(self, data):
|
||
"""委托信息查询回调"""
|
||
if "error_code" in data.keys():
|
||
print data
|
||
return
|
||
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.symbol = '.'.join([d["symbol"], EXCHANGE_OKEX])
|
||
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))
|
||
|
||
'''
|
||
[
|
||
{
|
||
"binary": 0,
|
||
"channel": "ok_spot_order",
|
||
"data": {
|
||
"result": true,
|
||
"order_id": 6189
|
||
}
|
||
}
|
||
]
|
||
'''
|
||
def onSpotOrder(self, data):
|
||
rawData = data['data']
|
||
if 'error_code' in rawData.keys():
|
||
print data
|
||
return
|
||
|
||
orderId = str(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.orderIdDict.get(orderId, None)
|
||
# if localNo == None:
|
||
|
||
localNo = self.localNoQueue.get_nowait()
|
||
|
||
self.localNoDict[localNo] = orderId
|
||
self.orderIdDict[orderId] = localNo
|
||
|
||
# print orderId, self.cache_some_order
|
||
if orderId in self.cache_some_order.keys():
|
||
arr = self.cache_some_order[orderId]
|
||
for d in arr:
|
||
self.onSpotSubOrder(d)
|
||
|
||
# 处理完就删除掉这里
|
||
del self.cache_some_order[orderId]
|
||
|
||
# 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]
|
||
|
||
|
||
'''
|
||
[
|
||
{
|
||
"binary": 0,
|
||
"channel": "ok_spot_cancel_order",
|
||
"data": {
|
||
"result": true,
|
||
"order_id": "125433027"
|
||
}
|
||
}
|
||
]
|
||
'''
|
||
#----------------------------------------------------------------------
|
||
def onSpotCancelOrder(self, data):
|
||
"""撤单回报"""
|
||
if 'data' not in data:
|
||
return
|
||
|
||
if 'error' in data["data"].keys():
|
||
self.onError(data)
|
||
return
|
||
|
||
rawData = data['data']
|
||
orderId = str(rawData['order_id'])
|
||
|
||
localNo = self.orderIdDict[orderId]
|
||
|
||
if orderId not in self.orderDict:
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
|
||
order.symbol = '.'.join([rawData['symbol'], EXCHANGE_OKEX])
|
||
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]
|
||
|
||
|
||
if orderId in self.cache_some_order.keys():
|
||
del self.cache_some_order[orderId]
|
||
|
||
#----------------------------------------------------------------------
|
||
def spotSendOrder(self, req):
|
||
"""发单"""
|
||
#symbol = spotSymbolMapReverse[req.symbol][:4]
|
||
symbol = (req.symbol.split('.'))[0]
|
||
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]
|
||
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 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
|