860 lines
31 KiB
Python
860 lines
31 KiB
Python
# encoding: UTF-8
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'''
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vn.zb的gateway接入
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'''
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from __future__ import print_function
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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 time import sleep
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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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from threading import Thread
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from time import sleep
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from vnpy.trader.vtGateway import *
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from vnpy.api.zb import ZB_Sub_Spot_Api , zb_all_symbol_pairs , zb_all_symbols , zb_all_real_pair
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from vnpy.trader.vtFunction import getJsonPath
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# 价格类型映射
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# 买卖类型： 限价单（buy/sell） 市价单（buy_market/sell_market）
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zb_priceTypeMap = {}
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zb_priceTypeMap["1"] = (DIRECTION_LONG, PRICETYPE_LIMITPRICE)
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zb_priceTypeMap['buy_market'] = (DIRECTION_LONG, PRICETYPE_MARKETPRICE)
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zb_priceTypeMap["0"] = (DIRECTION_SHORT, PRICETYPE_LIMITPRICE)
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zb_priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE)
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zb_priceTypeMapReverse = {v: k for k, v in zb_priceTypeMap.items()}
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# 委托状态印射
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zb_statusMap = {}
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zb_statusMap[0] = STATUS_NOTTRADED
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zb_statusMap[1] = STATUS_CANCELLED
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zb_statusMap[2] = STATUS_ALLTRADED
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zb_statusMap[3] = STATUS_PARTTRADED
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class zbGateway(VtGateway):
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='ZB'):
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"""Constructor"""
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super(zbGateway, self).__init__(eventEngine, gatewayName)
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self.api_spot = ZB_API_Spot(self)
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self.connected = False
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self.fileName = self.gatewayName + '_connect.json'
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self.filePath = getJsonPath(self.fileName, __file__)
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self.qryEnabled = True
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self.countTimer = 0
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self.localTimeDelay = 3
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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 connect(self):
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"""连接"""
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# 载入json文件
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try:
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f = open(self.filePath)
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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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f.close()
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try:
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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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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.api_spot.active = True
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self.api_spot.connect_Subpot( 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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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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self.api_spot.subscribe(subscribeReq)
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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_spot.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_spot.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_spot.spotUserInfo()
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#----------------------------------------------------------------------
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def qryOrderInfo(self):
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self.api_spot.spotAllOrders()
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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_spot.active = False
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self.api_spot.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 , self.qryOrderInfo]
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self.qryFunctionList = [ self.qryOrderInfo]
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#self.qryFunctionList = []
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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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#----------------------------------------------------------------------
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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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self.countTimer += 1
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if self.countTimer % self.localTimeDelay == 0:
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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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class ZB_API_Spot(ZB_Sub_Spot_Api):
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""" zb 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(ZB_API_Spot, 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.channelSymbolMap = {}
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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.recordOrderId_BefVolume = {} # 记录的之前处理的量
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self.tradeID = 0
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self.local_status_dict = {}
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self.registerSymbolPairArray = set([])
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self.initCallback()
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#----------------------------------------------------------------------
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def subscribe(self ,subscribeReq):
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"""订阅行情"""
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symbol_pair_gateway = subscribeReq.symbol
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arr = symbol_pair_gateway.split('.')
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symbol_pair = arr[0]
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if symbol_pair not in self.registerSymbolPairArray:
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self.registerSymbolPairArray.add(symbol_pair)
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self.subscirbeSinglePair( symbol_pair)
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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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# print evt
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data = self.readData(evt)
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try:
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channel = data['channel']
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except Exception as ex:
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channel = None
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if channel == None:
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return
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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 onError(self, data):
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error = VtErrorData()
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error.gatewayName = self.gatewayName
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error.errorMsg = str(data["data"]["error_code"])
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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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# 如果尚未连上，则忽略该次断开提示
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if not self.gateway.connected:
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return
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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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def reconnect():
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while not self.gateway.connected:
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self.writeLog(u'等待10秒后重新连接')
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sleep(10)
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if not self.gateway.connected:
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self.reconnect()
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t = Thread(target=reconnect)
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t.start()
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#----------------------------------------------------------------------
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def subscirbeSinglePair(self ,symbol_pair):
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if symbol_pair in zb_all_symbol_pairs:
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self.subscribeSpotTicker(symbol_pair)
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self.subscribeSpotDepth(symbol_pair)
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#self.self.subscribeSpotTrades(symbol_pair)
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#----------------------------------------------------------------------
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def onOpen(self, ws):
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"""连接成功"""
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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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self.spotUserInfo()
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self.subscirbeSinglePair("btc_qc")
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for symbol in zb_all_symbol_pairs:
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#self.subscirbeSinglePair(symbol)
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use_symbol = symbol.replace('_','')
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#Ticker数据
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self.channelSymbolMap["%s_ticker" % use_symbol] = symbol
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#盘口的深度
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self.channelSymbolMap["%s_depth" % use_symbol] = symbol
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#所有人的交易数据
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self.channelSymbolMap["%s_trades" % use_symbol] = symbol
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contract = VtContractData()
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contract.gatewayName = self.gatewayName
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contract.symbol = symbol
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contract.exchange = EXCHANGE_ZB
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contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
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contract.name = u'ZB现货%s' % symbol
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contract.size = 0.00001
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contract.priceTick = 0.00001
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contract.productClass = PRODUCT_SPOT
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self.gateway.onContract(contract)
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#----------------------------------------------------------------------
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def initCallback(self):
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for symbol_pair in zb_all_symbol_pairs:
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use_symbol = symbol_pair.replace('_','')
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self.cbDict["%s_ticker" % use_symbol] = self.onTicker
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self.cbDict["%s_depth" % use_symbol] = self.onDepth
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self.cbDict["%s_trades" % use_symbol] = self.onTrades
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self.cbDict["%s_order" % use_symbol] = self.onSpotOrder
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self.cbDict["%s_cancelorder" % use_symbol] = self.onSpotCancelOrder
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self.cbDict["%s_getorder" % use_symbol] = self.onSpotGetOrder
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self.cbDict["%s_getorders" % use_symbol] = self.onSpotGetOrders
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####self.cbDict["%s_getordersignoretradetype" % use_symbol] = self.onSpotGetOrdersignoretradetype
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self.cbDict["%s_getordersignoretradetype" % use_symbol] = self.onSpotGetOrders
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# self.cbDict["%s_ticker" % symbol_pair] = self.onTicker
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# self.cbDict["%s_depth" % symbol_pair] = self.onDepth
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# self.cbDict["%s_trades" % symbol_pair] = self.onTrades
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# self.cbDict["%s_order" % symbol_pair] = self.onSpotOrder
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# self.cbDict["%s_cancelorder" % symbol_pair] = self.onSpotCancelOrder
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# self.cbDict["%s_getorder" % symbol_pair] = self.onSpotGetOrder
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# self.cbDict["%s_getorders" % symbol_pair] = self.onSpotGetOrders
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# ####self.cbDict["%s_getordersignoretradetype" % use_symbol] = self.onSpotGetOrdersignoretradetype
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# self.cbDict["%s_getordersignoretradetype" % use_symbol] = self.onSpotGetOrders
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self.cbDict["getaccountinfo"] = self.onSpotUserInfo
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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 onTicker(self, data):
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""""""
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if 'ticker' not in data:
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return
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channel = data['channel']
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if channel == 'addChannel':
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return
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try:
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symbol = self.channelSymbolMap[channel]
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if symbol not in self.tickDict:
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tick = VtTickData()
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tick.exchange = EXCHANGE_ZB
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tick.symbol = '.'.join([symbol, tick.exchange])
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tick.vtSymbol = '.'.join([symbol, tick.exchange])
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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['ticker']
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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'])
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tick.date, tick.time = self.generateDateTime(data['date'])
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# print "ticker", tick.date , tick.time
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# newtick = copy(tick)
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# self.gateway.onTick(newtick)
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except Exception as ex:
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print("Error in onTicker " , channel)
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#----------------------------------------------------------------------
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def onDepth(self, data):
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""""""
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try:
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channel = data['channel']
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symbol = self.channelSymbolMap[channel]
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except Exception as ex:
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symbol = None
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if symbol == None:
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return
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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 'asks' not in data:
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return
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asks = data["asks"]
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bids = data["bids"]
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tick.bidPrice1, tick.bidVolume1 = bids[0]
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tick.bidPrice2, tick.bidVolume2 = bids[1]
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tick.bidPrice3, tick.bidVolume3 = bids[2]
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tick.bidPrice4, tick.bidVolume4 = bids[3]
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tick.bidPrice5, tick.bidVolume5 = bids[4]
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tick.askPrice1, tick.askVolume1 = asks[-1]
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tick.askPrice2, tick.askVolume2 = asks[-2]
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tick.askPrice3, tick.askVolume3 = asks[-3]
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tick.askPrice4, tick.askVolume4 = asks[-4]
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tick.askPrice5, tick.askVolume5 = asks[-5]
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tick.date, tick.time = self.generateDateTimeAccordingLocalTime()
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# print "Depth", tick.date , tick.time
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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'''
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//# Request
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{
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'event':'addChannel',
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'channel':'ltcbtc_trades',
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}
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//# Response
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{
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"data": [
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{
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"date":"1443428902",
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"price":"1565.91",
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"amount":"0.553",
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"tid":"37594617",
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"type":"sell",
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"trade_type":"ask"
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}...
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],
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"no": 1031995,
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"channel": "ltcbtc_trades"
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}
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'''
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#----------------------------------------------------------------------
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def onTrades(self, data):
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pass
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# try:
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# channel = data['channel']
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# symbol = self.channelSymbolMap[channel]
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# except Exception,ex:
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# symbol = None
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# if symbol == None:
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# return
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#----------------------------------------------------------------------
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def spotAllOrders(self):
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for symbol_pair in self.registerSymbolPairArray:
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self.spotGetOrderSignOrderTradeType(symbol_pair , 1 , 50 , 1)
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#----------------------------------------------------------------------
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def onSpotOrder(self, data):
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code = data["code"]
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if str(code) != "1000":
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errorData = {"data":{"error_code":str(code)}}
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self.onError(errorData)
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return
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rawData = json.loads(data['data'].replace("entrustId",'"entrustId"'))
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orderId = str(rawData["entrustId"])
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# 尽管websocket接口的委托号返回是异步的，但经过测试是
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# 符合先发现回的规律，因此这里通过queue获取之前发送的
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# 本地委托号，并把它和推送的系统委托号进行映射
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localNo = self.localNoQueue.get_nowait()
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self.localNoDict[localNo] = orderId
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self.orderIdDict[orderId] = localNo
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t_symbol = (data["channel"].split('_'))[0]
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symbol = zb_all_real_pair[t_symbol]
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.symbol = '.'.join([symbol , EXCHANGE_ZB])
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order.vtSymbol = order.symbol
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order.orderID = localNo
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order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
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self.orderDict[orderId] = order
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order.status = STATUS_UNKNOWN
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local_status = self.local_status_dict.get( str(localNo) , None)
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if local_status != None:
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order.direction, priceType = zb_priceTypeMap[str(local_status)]
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self.gateway.onOrder(order)
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# 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
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||
# 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
|
||
|