703 lines
25 KiB
Python
703 lines
25 KiB
Python
# encoding: UTF-8
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'''
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vn.okcoin的gateway接入
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注意：
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1. 该接口尚处于测试阶段，用于实盘请谨慎
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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
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'''
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import os
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import json
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from datetime import datetime
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from copy import copy
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from threading import Condition
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from Queue import Queue
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import vnokcoin
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from vtGateway import *
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# 价格类型映射
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priceTypeMap = {}
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priceTypeMap['buy'] = (DIRECTION_LONG, PRICETYPE_LIMITPRICE)
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priceTypeMap['buy_market'] = (DIRECTION_LONG, PRICETYPE_MARKETPRICE)
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priceTypeMap['sell'] = (DIRECTION_SHORT, PRICETYPE_LIMITPRICE)
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priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE)
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priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
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# 方向类型映射
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directionMap = {}
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directionMapReverse = {v: k for k, v in directionMap.items()}
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# 委托状态印射
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statusMap = {}
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statusMap[-1] = STATUS_CANCELLED
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statusMap[0] = STATUS_NOTTRADED
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statusMap[1] = STATUS_PARTTRADED
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statusMap[2] = STATUS_ALLTRADED
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statusMap[4] = STATUS_UNKNOWN
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############################################
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## 交易合约代码
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############################################
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# USD
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BTC_USD_SPOT = 'BTC_USD_SPOT'
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BTC_USD_THISWEEK = 'BTC_USD_THISWEEK'
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BTC_USD_NEXTWEEK = 'BTC_USD_NEXTWEEK'
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BTC_USD_QUARTER = 'BTC_USD_QUARTER'
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LTC_USD_SPOT = 'LTC_USD_SPOT'
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LTC_USD_THISWEEK = 'LTC_USD_THISWEEK'
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LTC_USD_NEXTWEEK = 'LTC_USD_NEXTWEEK'
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LTC_USD_QUARTER = 'LTC_USD_QUARTER'
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# CNY
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BTC_CNY_SPOT = 'BTC_CNY_SPOT'
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LTC_CNY_SPOT = 'LTC_CNY_SPOT'
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# 印射字典
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spotSymbolMap = {}
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spotSymbolMap['ltc_usd'] = LTC_USD_SPOT
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spotSymbolMap['btc_usd'] = BTC_USD_SPOT
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spotSymbolMap['ltc_cny'] = LTC_CNY_SPOT
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spotSymbolMap['btc_cny'] = BTC_CNY_SPOT
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spotSymbolMapReverse = {v: k for k, v in spotSymbolMap.items()}
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############################################
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## Channel和Symbol的印射
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############################################
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channelSymbolMap = {}
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# USD
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channelSymbolMap['ok_sub_spotusd_btc_ticker'] = BTC_USD_SPOT
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channelSymbolMap['ok_sub_spotusd_ltc_ticker'] = LTC_USD_SPOT
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channelSymbolMap['ok_sub_spotusd_btc_depth_20'] = BTC_USD_SPOT
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channelSymbolMap['ok_sub_spotusd_ltc_depth_20'] = LTC_USD_SPOT
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# CNY
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channelSymbolMap['ok_sub_spotcny_btc_ticker'] = BTC_CNY_SPOT
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channelSymbolMap['ok_sub_spotcny_ltc_ticker'] = LTC_CNY_SPOT
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channelSymbolMap['ok_sub_spotcny_btc_depth_20'] = BTC_CNY_SPOT
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channelSymbolMap['ok_sub_spotcny_ltc_depth_20'] = LTC_CNY_SPOT
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########################################################################
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class OkcoinGateway(VtGateway):
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"""OkCoin接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='OKCOIN'):
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"""Constructor"""
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super(OkcoinGateway, self).__init__(eventEngine, gatewayName)
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self.api = Api(self)
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self.leverage = 0
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self.connected = False
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#----------------------------------------------------------------------
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def connect(self):
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"""连接"""
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# 载入json文件
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fileName = self.gatewayName + '_connect.json'
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fileName = os.getcwd() + '/okcoinGateway/' + fileName
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try:
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f = file(fileName)
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except IOError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'读取连接配置出错，请检查'
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self.onLog(log)
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return
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# 解析json文件
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setting = json.load(f)
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try:
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host = str(setting['host'])
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apiKey = str(setting['apiKey'])
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secretKey = str(setting['secretKey'])
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trace = setting['trace']
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leverage = setting['leverage']
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'连接配置缺少字段，请检查'
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self.onLog(log)
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return
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# 初始化接口
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self.leverage = leverage
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if host == 'CNY':
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host = vnokcoin.OKCOIN_CNY
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else:
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host = vnokcoin.OKCOIN_USD
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self.api.active = True
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self.api.connect(host, apiKey, secretKey, trace)
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'接口初始化成功'
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self.onLog(log)
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# 启动查询
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self.initQuery()
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self.startQuery()
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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pass
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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return self.api.spotSendOrder(orderReq)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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self.api.spotCancel(cancelOrderReq)
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#----------------------------------------------------------------------
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def qryAccount(self):
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"""查询账户资金"""
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self.api.spotUserInfo()
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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pass
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.api.active = False
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self.api.close()
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#----------------------------------------------------------------------
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def initQuery(self):
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"""初始化连续查询"""
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if self.qryEnabled:
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# 需要循环的查询函数列表
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self.qryFunctionList = [self.qryAccount]
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self.qryCount = 0 # 查询触发倒计时
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self.qryTrigger = 2 # 查询触发点
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self.qryNextFunction = 0 # 上次运行的查询函数索引
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self.startQuery()
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#----------------------------------------------------------------------
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def query(self, event):
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"""注册到事件处理引擎上的查询函数"""
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self.qryCount += 1
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if self.qryCount > self.qryTrigger:
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# 清空倒计时
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self.qryCount = 0
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# 执行查询函数
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function = self.qryFunctionList[self.qryNextFunction]
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function()
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# 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
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self.qryNextFunction += 1
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if self.qryNextFunction == len(self.qryFunctionList):
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self.qryNextFunction = 0
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#----------------------------------------------------------------------
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def startQuery(self):
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"""启动连续查询"""
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self.eventEngine.register(EVENT_TIMER, self.query)
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#----------------------------------------------------------------------
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def setQryEnabled(self, qryEnabled):
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"""设置是否要启动循环查询"""
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self.qryEnabled = qryEnabled
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########################################################################
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class Api(vnokcoin.OkCoinApi):
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"""OkCoin的API实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(Api, self).__init__()
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self.gateway = gateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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self.active = False # 若为True则会在断线后自动重连
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self.cbDict = {}
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self.tickDict = {}
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self.orderDict = {}
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self.localNo = 0 # 本地委托号
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self.localNoQueue = Queue() # 未收到系统委托号的本地委托号队列
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self.localNoDict = {} # key为本地委托号，value为系统委托号
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self.orderIdDict = {} # key为系统委托号，value为本地委托号
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self.cancelDict = {} # key为本地委托号，value为撤单请求
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self.initCallback()
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#----------------------------------------------------------------------
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def onMessage(self, ws, evt):
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"""信息推送"""
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data = self.readData(evt)[0]
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channel = data['channel']
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callback = self.cbDict[channel]
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callback(data)
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#----------------------------------------------------------------------
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def onError(self, ws, evt):
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"""错误推送"""
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error = VtErrorData()
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error.gatewayName = self.gatewayName
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error.errorMsg = str(evt)
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self.gateway.onError(error)
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#----------------------------------------------------------------------
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def onClose(self, ws):
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"""接口断开"""
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self.gateway.connected = False
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self.writeLog(u'服务器连接断开')
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# 重新连接
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if self.active:
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print 'start reconnect'
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self.reconnect()
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print 'reconnected'
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#----------------------------------------------------------------------
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def onOpen(self, ws):
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self.gateway.connected = True
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self.writeLog(u'服务器连接成功')
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# 连接后查询账户和委托数据
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self.spotUserInfo()
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self.spotOrderInfo(vnokcoin.TRADING_SYMBOL_LTC, '-1')
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self.spotOrderInfo(vnokcoin.TRADING_SYMBOL_BTC, '-1')
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# 连接后订阅现货的成交和账户数据
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self.subscribeSpotTrades()
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self.subscribeSpotUserInfo()
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self.subscribeSpotTicker(vnokcoin.SYMBOL_BTC)
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self.subscribeSpotTicker(vnokcoin.SYMBOL_LTC)
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self.subscribeSpotDepth(vnokcoin.SYMBOL_BTC, vnokcoin.DEPTH_20)
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self.subscribeSpotDepth(vnokcoin.SYMBOL_LTC, vnokcoin.DEPTH_20)
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# 如果连接的是USD网站则订阅期货相关回报数据
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if self.currency == vnokcoin.CURRENCY_USD:
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self.subscribeFutureTrades()
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self.subscribeFutureUserInfo()
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self.subscribeFuturePositions()
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# 返回合约信息
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if self.currency == vnokcoin.CURRENCY_CNY:
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l = self.generateCnyContract()
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else:
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l = self.generateUsdContract()
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for contract in l:
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contract.gatewayName = self.gatewayName
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self.gateway.onContract(contract)
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#----------------------------------------------------------------------
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def writeLog(self, content):
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"""快速记录日志"""
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = content
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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def initCallback(self):
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"""初始化回调函数"""
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# USD_SPOT
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self.cbDict['ok_sub_spotusd_btc_ticker'] = self.onTicker
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self.cbDict['ok_sub_spotusd_ltc_ticker'] = self.onTicker
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self.cbDict['ok_sub_spotusd_btc_depth_20'] = self.onDepth
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self.cbDict['ok_sub_spotusd_ltc_depth_20'] = self.onDepth
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self.cbDict['ok_spotusd_userinfo'] = self.onSpotUserInfo
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self.cbDict['ok_spotusd_orderinfo'] = self.onSpotOrderInfo
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self.cbDict['ok_sub_spotusd_userinfo'] = self.onSpotSubUserInfo
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self.cbDict['ok_sub_spotusd_trades'] = self.onSpotSubTrades
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self.cbDict['ok_spotusd_trade'] = self.onSpotTrade
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self.cbDict['ok_spotusd_cancel_order'] = self.onSpotCancelOrder
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# CNY_SPOT
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self.cbDict['ok_sub_spotcny_btc_ticker'] = self.onTicker
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self.cbDict['ok_sub_spotcny_ltc_ticker'] = self.onTicker
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self.cbDict['ok_sub_spotcny_btc_depth_20'] = self.onDepth
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self.cbDict['ok_sub_spotcny_ltc_depth_20'] = self.onDepth
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self.cbDict['ok_spotcny_userinfo'] = self.onSpotUserInfo
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self.cbDict['ok_spotcny_orderinfo'] = self.onSpotOrderInfo
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self.cbDict['ok_sub_spotcny_userinfo'] = self.onSpotSubUserInfo
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self.cbDict['ok_sub_spotcny_trades'] = self.onSpotSubTrades
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self.cbDict['ok_spotcny_trade'] = self.onSpotTrade
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self.cbDict['ok_spotcny_cancel_order'] = self.onSpotCancelOrder
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# USD_FUTURES
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#----------------------------------------------------------------------
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def onTicker(self, data):
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""""""
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if 'data' not in data:
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return
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channel = data['channel']
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symbol = channelSymbolMap[channel]
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if symbol not in self.tickDict:
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tick = VtTickData()
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tick.symbol = symbol
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tick.vtSymbol = symbol
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tick.gatewayName = self.gatewayName
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self.tickDict[symbol] = tick
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else:
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tick = self.tickDict[symbol]
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rawData = data['data']
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tick.highPrice = float(rawData['high'])
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tick.lowPrice = float(rawData['low'])
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tick.lastPrice = float(rawData['last'])
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tick.volume = float(rawData['vol'].replace(',', ''))
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#tick.date, tick.time = generateDateTime(rawData['timestamp'])
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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#----------------------------------------------------------------------
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def onDepth(self, data):
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""""""
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if 'data' not in data:
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return
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channel = data['channel']
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symbol = channelSymbolMap[channel]
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if symbol not in self.tickDict:
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tick = VtTickData()
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tick.symbol = symbol
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tick.vtSymbol = symbol
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tick.gatewayName = self.gatewayName
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self.tickDict[symbol] = tick
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else:
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tick = self.tickDict[symbol]
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if 'data' not in data:
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return
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rawData = data['data']
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tick.bidPrice1, tick.bidVolume1 = rawData['bids'][0]
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tick.bidPrice2, tick.bidVolume2 = rawData['bids'][1]
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tick.bidPrice3, tick.bidVolume3 = rawData['bids'][2]
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tick.bidPrice4, tick.bidVolume4 = rawData['bids'][3]
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tick.bidPrice5, tick.bidVolume5 = rawData['bids'][4]
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<<<<<<< HEAD
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tick.askPrice1, tick.askVolume1 = rawData['asks'][0]
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tick.askPrice2, tick.askVolume2 = rawData['asks'][1]
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tick.askPrice3, tick.askVolume3 = rawData['asks'][2]
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tick.askPrice4, tick.askVolume4 = rawData['asks'][3]
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tick.askPrice5, tick.askVolume5 = rawData['asks'][4]
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tick.date, tick.time = generateDateTime(rawData['timestamp'])
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=======
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tick.askPrice1, tick.askVolume1 = rawData['asks'][-1]
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tick.askPrice2, tick.askVolume2 = rawData['asks'][-2]
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tick.askPrice3, tick.askVolume3 = rawData['asks'][-3]
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tick.askPrice4, tick.askVolume4 = rawData['asks'][-4]
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tick.askPrice5, tick.askVolume5 = rawData['asks'][-5]
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>>>>>>> c813ec970b241c7761a7b020bf2b70c1010b508f
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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#----------------------------------------------------------------------
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def onSpotUserInfo(self, data):
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"""现货账户资金推送"""
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rawData = data['data']
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info = rawData['info']
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funds = rawData['info']['funds']
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# 持仓信息
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for symbol in ['btc', 'ltc', self.currency]:
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if symbol in funds['free']:
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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pos.symbol = symbol
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pos.vtSymbol = symbol
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pos.vtPositionName = symbol
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pos.direction = DIRECTION_NET
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pos.frozen = float(funds['freezed'][symbol])
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pos.position = pos.frozen + float(funds['free'][symbol])
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self.gateway.onPosition(pos)
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# 账户资金
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account = VtAccountData()
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account.gatewayName = self.gatewayName
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account.accountID = self.gatewayName
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account.vtAccountID = account.accountID
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account.balance = float(funds['asset']['net'])
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self.gateway.onAccount(account)
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#----------------------------------------------------------------------
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def onSpotSubUserInfo(self, data):
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"""现货账户资金推送"""
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if 'data' not in data:
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return
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rawData = data['data']
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info = rawData['info']
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# 持仓信息
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for symbol in ['btc', 'ltc', self.currency]:
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if symbol in info['free']:
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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pos.symbol = symbol
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pos.vtSymbol = symbol
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pos.vtPositionName = symbol
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pos.direction = DIRECTION_NET
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pos.frozen = float(info['freezed'][symbol])
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pos.position = pos.frozen + float(info['free'][symbol])
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self.gateway.onPosition(pos)
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#----------------------------------------------------------------------
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def onSpotSubTrades(self, data):
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"""成交和委托推送"""
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if 'data' not in data:
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return
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rawData = data['data']
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# 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 |