762 lines
29 KiB
Python
762 lines
29 KiB
Python
# encoding: UTF-8
|
||
|
||
'''
|
||
vn.coincheck的gateway接入
|
||
'''
|
||
from __future__ import print_function
|
||
import os
|
||
import json
|
||
from datetime import datetime
|
||
from copy import copy
|
||
from threading import Condition
|
||
from queue import Queue
|
||
from threading import Thread
|
||
|
||
import json
|
||
from vnpy.api.coincheck import vncoincheck
|
||
from vnpy.trader.vtGateway import *
|
||
from vnpy.trader.vtFunction import getJsonPath
|
||
|
||
from datetime import datetime , timedelta
|
||
|
||
SYMBOL_BTCJPY = 'btc_jpy'
|
||
COINCHECK_HOSTS = "wss://ws-api.coincheck.com"
|
||
|
||
class CoincheckGateway(VtGateway):
|
||
"""coincheck 接口"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, eventEngine, gatewayName='COINCHECK'):
|
||
"""Constructor"""
|
||
super(CoincheckGateway, self).__init__(eventEngine, gatewayName)
|
||
|
||
|
||
self.tradeApi = CoincheckTradeApi(self)
|
||
#self.dataApi = CoincheckDataApi(self)
|
||
self.dataApi = CoincheckSocketDataApi(self)
|
||
|
||
self.fileName = self.gatewayName + '_connect.json'
|
||
self.filePath = getJsonPath(self.fileName, __file__)
|
||
|
||
self.total_count = 0
|
||
self.delayTime = 3
|
||
|
||
#----------------------------------------------------------------------
|
||
def connect(self):
|
||
"""连接"""
|
||
# 载入json文件
|
||
try:
|
||
f = open(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)
|
||
f.close()
|
||
try:
|
||
accessKey = str(setting['accessKey'])
|
||
secretKey = str(setting['secretKey'])
|
||
interval = setting['interval']
|
||
debug = setting['debug']
|
||
useAccountID = str(setting['accountID'])
|
||
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
|
||
|
||
# 设置账户ID
|
||
self.tradeApi.setAccountID( useAccountID)
|
||
|
||
# 初始化接口
|
||
self.tradeApi.init(accessKey, secretKey)
|
||
self.writeLog(u'交易接口初始化成功')
|
||
|
||
#self.dataApi.connect(interval, debug)
|
||
self.dataApi.connect()
|
||
self.writeLog(u'行情接口初始化成功')
|
||
|
||
|
||
# 启动查询
|
||
self.initQuery()
|
||
self.startQuery()
|
||
|
||
#----------------------------------------------------------------------
|
||
def writeLog(self, content):
|
||
"""发出日志"""
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = content
|
||
self.onLog(log)
|
||
|
||
#----------------------------------------------------------------------
|
||
def subscribe(self, subscribeReq):
|
||
"""订阅行情，自动订阅全部行情，无需实现"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, orderReq):
|
||
"""发单"""
|
||
return self.tradeApi.sendOrder(orderReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, cancelOrderReq):
|
||
"""撤单"""
|
||
return self.tradeApi.cancel(cancelOrderReq)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryAccount(self):
|
||
"""查询账户资金"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryPosition(self):
|
||
"""查询持仓"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def close(self):
|
||
"""关闭"""
|
||
self.tradeApi.exit()
|
||
self.dataApi.exit()
|
||
|
||
#----------------------------------------------------------------------
|
||
def initQuery(self):
|
||
"""初始化连续查询"""
|
||
|
||
if self.qryEnabled:
|
||
self.qryFunctionList = [self.tradeApi.get_balance , self.tradeApi.list_orders]
|
||
#self.qryFunctionList = [self.tradeApi.queryWorkingOrders, self.tradeApi.queryAccount]
|
||
|
||
#----------------------------------------------------------------------
|
||
def query(self, event):
|
||
"""注册到事件处理引擎上的查询函数"""
|
||
self.total_count += 1
|
||
if self.total_count % self.delayTime == 0:
|
||
for function in self.qryFunctionList:
|
||
function()
|
||
|
||
#----------------------------------------------------------------------
|
||
def startQuery(self):
|
||
"""启动连续查询"""
|
||
self.eventEngine.register(EVENT_TIMER, self.query)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onListOrder(self, data):
|
||
print(data)
|
||
|
||
#----------------------------------------------------------------------
|
||
def setQryEnabled(self, qryEnabled):
|
||
"""设置是否要启动循环查询"""
|
||
self.qryEnabled = qryEnabled
|
||
|
||
class CoincheckTradeApi(vncoincheck.TradeApi):
|
||
|
||
def __init__(self, gateway):
|
||
super(CoincheckTradeApi , self).__init__()
|
||
|
||
self.gateway = gateway
|
||
self.gatewayName = gateway.gatewayName
|
||
self.accountID = "COINCHECK"
|
||
self.DEBUG = False
|
||
|
||
self.localID = 0 # 本地委托号
|
||
self.localSystemDict = {} # key:localID, value:systemID
|
||
self.systemLocalDict = {} # key:systemID, value:localID
|
||
self.workingOrderDict = {} # key:localID, value:order
|
||
self.reqLocalDict = {} # key:reqID, value:localID
|
||
self.cancelDict = {} # key:localID, value:cancelOrderReq
|
||
|
||
self.tradedVolumeDict = {} # key:localID, value:volume ,已经交易成功的数量
|
||
|
||
self.tradeID = 0 # 本地成交号
|
||
|
||
#--------------
|
||
def setAccountID(self, useAccountID):
|
||
self.accountID = useAccountID
|
||
|
||
#----------------------------------------------------------------------
|
||
|
||
def onError(self, method ,data):
|
||
print(method , data)
|
||
#
|
||
'''
|
||
"return" :
|
||
{u'lending_leverage': u'5.0', u'success': True, u'maker_fee': u'0.0', u'email': u'liyi.riki.thomas@g
|
||
mail.com', u'bitcoin_address': u'1Q73J2e46TrBv9cRCtfgcszqEcwNDsei53', u'taker_fee': u'0.0', u'identi
|
||
ty_status': u'identity_verified', u'id': 1007549}
|
||
'''
|
||
def onGet_info(self, data, req, reqID):
|
||
"""用户信息"""
|
||
print(data)
|
||
'''
|
||
{u'zec': u'0', u'rep_debt': u'0.0', u'xem': u'0', u'lsk': u'0', u'rep_lend_in_use': u'0.0', u'ltc_de
|
||
bt': u'0.0', u'xmr_reserved': u'0.0', u'cny': u'0', u'btc_reserved': u'0.0', u'dao_reserved': u'0.0'
|
||
, u'ltc_lent': u'0.0', u'dao_lend_in_use': u'0.0', u'xrp_reserved': u'0.0', u'zec_debt': u'0.0', u'b
|
||
ch_lent': u'0.0', u'dao_debt': u'0.0', u'xmr': u'0', u'rep_reserved': u'0.0', u'dao': u'0', u'xem_le
|
||
nd_in_use': u'0.0', u'fct_lent': u'0.0', u'jpy_reserved': u'0.0', u'success': True, u'fct_reserved':
|
||
u'0.0', u'xem_lent': u'0.0', u'rep_lent': u'0.0', u'eth_lend_in_use': u'0.0', u'btc': u'0', u'usd_l
|
||
end_in_use': u'0.0', u'zec_lent': u'0.0', u'rep': u'0', u'xmr_debt': u'0.0', u'bch_lend_in_use': u'0
|
||
.0', u'xrp_debt': u'0.0', u'etc_lend_in_use': u'0.0', u'dash_reserved': u'0.0', u'dash_lent': u'0.0'
|
||
, u'dash_debt': u'0.0', u'jpy_lend_in_use': u'0.0', u'lsk_lend_in_use': u'0.0', u'eth_lent': u'0.0',
|
||
u'ltc': u'0', u'etc': u'0', u'ltc_lend_in_use': u'0.0', u'eth': u'0', u'usd_debt': u'0.0', u'ltc_re
|
||
served': u'0.0', u'cny_reserved': u'0.0', u'xem_debt': u'0.0', u'eth_reserved': u'0.0', u'zec_reserv
|
||
ed': u'0.0', u'usd': u'0', u'cny_lend_in_use': u'0.0', u'lsk_debt': u'0.0', u'xmr_lend_in_use': u'0.
|
||
0', u'dash_lend_in_use': u'0.0', u'xrp_lent': u'0.0', u'bch_reserved': u'0.0', u'xmr_lent': u'0.0',
|
||
u'bch_debt': u'0.0', u'bch': u'0', u'jpy': u'0', u'fct_debt': u'0.0', u'btc_debt': u'0.0', u'usd_len
|
||
t': u'0.0', u'btc_lent': u'0.0', u'lsk_reserved': u'0.0', u'etc_debt': u'0.0', u'jpy_lent': u'0.0',
|
||
u'dash': u'0', u'cny_debt': u'0.0', u'xrp_lend_in_use': u'0.0', u'xem_reserved': u'0.0', u'dao_lent'
|
||
: u'0.0', u'lsk_lent': u'0.0', u'etc_lent': u'0.0', u'jpy_debt': u'0.0', u'xrp': u'0', u'fct': u'0',
|
||
u'etc_reserved': u'0.0', u'usd_reserved': u'0.0', u'fct_lend_in_use': u'0.0', u'btc_lend_in_use': u
|
||
'0.0', u'zec_lend_in_use': u'0.0', u'eth_debt': u'0.0', u'cny_lent': u'0.0'}
|
||
'''
|
||
def onGet_balance(self, data, req, reqID):
|
||
if data["success"] == 0:
|
||
print("Error in onGet_balance")
|
||
print(data)
|
||
else:
|
||
account = VtAccountData()
|
||
account.gatewayName = self.gatewayName
|
||
account.accountID = self.accountID
|
||
account.vtAccountID = '.'.join([ self.gatewayName , self.accountID])
|
||
account.balance = float(data['jpy'])
|
||
account.available = float(data['jpy'])
|
||
|
||
account.margin = 1.0
|
||
account.closeProfit = 0.0
|
||
account.positionProfit = 0.0
|
||
account.commission = 0.0
|
||
account.now_has_hands = float(data['jpy'])
|
||
|
||
|
||
self.gateway.onAccount(account)
|
||
|
||
for symbol in ['btc' , 'jpy']:
|
||
posObj = VtPositionData()
|
||
posObj.gatewayName = self.gatewayName
|
||
posObj.symbol = symbol + "." + EXCHANGE_COINCHECK
|
||
posObj.exchange = EXCHANGE_COINCHECK
|
||
posObj.vtSymbol = posObj.symbol
|
||
posObj.direction = DIRECTION_NET
|
||
posObj.vtPositionName = '.'.join( [posObj.vtSymbol, posObj.direction])
|
||
posObj.ydPosition = float(data[symbol])
|
||
posObj.position = float(data[symbol]) + float(data[symbol + "_reserved"])
|
||
posObj.frozen = float(data[symbol + "_reserved"])
|
||
posObj.positionProfit = 0
|
||
self.gateway.onPosition(posObj)
|
||
|
||
'''
|
||
发送系统委托
|
||
'''
|
||
def sendOrder(self, req):
|
||
"""发送委托"""
|
||
# 检查是否填入了价格，禁止市价委托
|
||
if req.priceType != PRICETYPE_LIMITPRICE:
|
||
err = VtErrorData()
|
||
err.gatewayName = self.gatewayName
|
||
err.errorMsg = u'Coincheck接口仅支持限价单'
|
||
err.errorTime = datetime.now().strftime('%H:%M:%S')
|
||
self.gateway.onError(err)
|
||
return None
|
||
symbol = req.vtSymbol
|
||
if req.direction == DIRECTION_LONG:
|
||
reqID = self.buy_btc_jpy( rate = req.price , amount = req.volume )
|
||
else:
|
||
reqID = self.sell_btc_jpy( rate = req.price , amount = req.volume )
|
||
|
||
self.localID += 1
|
||
localID = str(self.localID)
|
||
self.reqLocalDict[reqID] = localID
|
||
|
||
# 推送委托信息
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
order.symbol = req.symbol
|
||
order.exchange = EXCHANGE_COINCHECK
|
||
order.vtSymbol = order.symbol
|
||
|
||
order.orderID = localID
|
||
order.vtOrderID = '.'.join([order.orderID, order.gatewayName])
|
||
|
||
order.direction = req.direction
|
||
if req.direction == DIRECTION_LONG:
|
||
order.offset = OFFSET_OPEN
|
||
else:
|
||
order.offset = OFFSET_CLOSE
|
||
order.price = req.price
|
||
order.tradedVolume = 0
|
||
order.totalVolume = req.volume
|
||
order.orderTime = datetime.now().strftime('%H:%M:%S')
|
||
order.status = STATUS_UNKNOWN
|
||
|
||
self.workingOrderDict[localID] = order
|
||
self.gateway.onOrder(order)
|
||
|
||
# 返回委托号
|
||
return order.vtOrderID
|
||
|
||
|
||
'''
|
||
{u'market_buy_amount': None, u'order_type': u'buy', u'success': True, u'created_at': u'2017-10-16T13
|
||
:53:01.678Z', u'rate': u'100.0', u'amount': u'0.005', u'pair': u'btc_jpy', u'stop_loss_rate': None,
|
||
u'id': 324141928}
|
||
'''
|
||
def onBuy_btc(self, data, req, reqID):
|
||
# print "onBuy_btc"
|
||
# print data
|
||
if data["success"] == 0:
|
||
print("Error in onBuy_btc")
|
||
print(data)
|
||
else:
|
||
localID = self.reqLocalDict[reqID]
|
||
systemID = data['id']
|
||
self.localSystemDict[localID] = systemID
|
||
self.systemLocalDict[systemID] = localID
|
||
|
||
# 撤单
|
||
if localID in self.cancelDict:
|
||
req = self.cancelDict[localID]
|
||
self.cancel(req)
|
||
del self.cancelDict[localID]
|
||
|
||
# 推送委托信息
|
||
order = self.workingOrderDict[localID]
|
||
if data['success'] != 0:
|
||
order.status = STATUS_NOTTRADED
|
||
|
||
self.tradedVolumeDict[localID] = 0.0
|
||
self.gateway.onOrder(order)
|
||
|
||
def onSell_btc(self, data, req, reqID):
|
||
# print "onSell_btc"
|
||
# print data
|
||
"""卖出回调"""
|
||
if data["success"] == 0:
|
||
print("Error in onSell_btc")
|
||
else:
|
||
localID = self.reqLocalDict[reqID]
|
||
systemID = data['id']
|
||
self.localSystemDict[localID] = systemID
|
||
self.systemLocalDict[systemID] = localID
|
||
|
||
# 撤单
|
||
if localID in self.cancelDict:
|
||
req = self.cancelDict[localID]
|
||
self.cancel(req)
|
||
del self.cancelDict[localID]
|
||
|
||
# 推送委托信息
|
||
order = self.workingOrderDict[localID]
|
||
if data['success'] != 0:
|
||
order.status = STATUS_NOTTRADED
|
||
self.tradedVolumeDict[localID] = 0.0
|
||
self.gateway.onOrder(order)
|
||
|
||
'''
|
||
{u'orders': [{u'order_type': u'buy', u'created_at': u'2017-10-16T13:51:41.000Z', u'pending_market_bu
|
||
y_amount': None, u'rate': u'200.0', u'pair': u'btc_jpy', u'stop_loss_rate': None, u'id': 324139122,
|
||
u'pending_amount': u'0.005'}, {u'order_type': u'buy', u'created_at': u'2017-10-16T13:53:01.000Z', u'
|
||
pending_market_buy_amount': None, u'rate': u'100.0', u'pair': u'btc_jpy', u'stop_loss_rate': None, u
|
||
'id': 324141928, u'pending_amount': u'0.005'}], u'success': True}
|
||
只显示 未结算的 订单。 如果订单被结算了，说明已经成交了
|
||
'''
|
||
def onList_order(self, data, req, reqID):
|
||
# print "onList_order"
|
||
# self.gateway.onListOrder( data)
|
||
if data["success"] == 0:
|
||
pass
|
||
else:
|
||
orders = data["orders"]
|
||
now_datetime = datetime.now()
|
||
ten_seconds_before = now_datetime + timedelta(seconds=-10)
|
||
ten_seconds_str = (ten_seconds_before.strftime("%Y-%m-%dT%H:%M:%S.%f"))[:-3] + "Z"
|
||
|
||
stile_live_order_system_id = [ x["id"] for x in orders]
|
||
#print "stile_live_order_system_id", stile_live_order_system_id
|
||
local_system_dict_keys = self.systemLocalDict.keys()
|
||
# 对系统中有的订单，进行
|
||
for bef_system_id in local_system_dict_keys:
|
||
if bef_system_id not in stile_live_order_system_id:
|
||
# 说明这个单子成交完毕了！
|
||
# 或者就是取消了
|
||
localID = self.systemLocalDict[bef_system_id]
|
||
order = self.workingOrderDict.get(localID, None)
|
||
if order != None:
|
||
bef_has_volume = self.tradedVolumeDict.get(localID , 0.0)
|
||
newTradeVolume = order.totalVolume - bef_has_volume
|
||
|
||
trade = VtTradeData()
|
||
trade.gatewayName = self.gatewayName
|
||
trade.symbol = order.symbol
|
||
trade.vtSymbol = order.vtSymbol
|
||
|
||
self.tradeID += 1
|
||
trade.tradeID = str(self.tradeID)
|
||
trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName])
|
||
trade.orderID = order.orderID
|
||
trade.vtOrderID = order.vtOrderID
|
||
|
||
trade.volume = newTradeVolume
|
||
trade.price = order.price
|
||
trade.direction = order.direction
|
||
trade.offset = order.offset
|
||
trade.exchange = order.exchange
|
||
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||
|
||
self.gateway.onTrade(trade)
|
||
|
||
order.status = STATUS_ALLTRADED
|
||
self.gateway.onOrder(order)
|
||
|
||
del self.tradedVolumeDict[localID]
|
||
del self.systemLocalDict[bef_system_id]
|
||
del self.workingOrderDict[localID]
|
||
|
||
for d in orders:
|
||
coinID = d["id"]
|
||
if coinID in local_system_dict_keys:
|
||
localID = self.systemLocalDict[coinID]
|
||
order = self.workingOrderDict.get(localID, None)
|
||
|
||
if order != None:
|
||
bef_has_volume = self.tradedVolumeDict.get(localID , 0.0)
|
||
has_traded_volume = d["pending_market_buy_amount"]
|
||
if has_traded_volume == None:
|
||
has_traded_volume = 0.0
|
||
newTradeVolume = float(has_traded_volume) - float(bef_has_volume)
|
||
|
||
if newTradeVolume > 0.00000001:
|
||
trade = VtTradeData()
|
||
trade.gatewayName = self.gatewayName
|
||
trade.symbol = order.symbol
|
||
trade.vtSymbol = order.vtSymbol
|
||
|
||
self.tradeID += 1
|
||
trade.tradeID = str(self.tradeID)
|
||
trade.vtTradeID = '.'.join([trade.tradeID, trade.gatewayName])
|
||
trade.orderID = order.orderID
|
||
trade.vtOrderID = order.vtOrderID
|
||
|
||
trade.volume = newTradeVolume
|
||
trade.price = order.price
|
||
trade.direction = order.direction
|
||
trade.offset = order.offset
|
||
trade.exchange = order.exchange
|
||
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
|
||
|
||
self.gateway.onTrade(trade)
|
||
|
||
order.tradedVolume = has_traded_volume
|
||
order.status = STATUS_PARTTRADED
|
||
self.gateway.onOrder(order)
|
||
else:
|
||
|
||
# 说明这是一个 不知道 哪里来的订单
|
||
# 推送委托信息
|
||
# 订单有两种可能
|
||
# 1、人工发的单
|
||
# 2、前面取消失败的单 # 总有些订单是取消失败的 , 如果出现了，那么就取消掉这些交易
|
||
# 所以对于订单进行判断，如果订单时间超过10秒， 那么取消掉
|
||
|
||
if order.orderTime < ten_seconds_str :
|
||
# 判断为需要取消的单子
|
||
self.cancel_orders( coinID )
|
||
else:
|
||
self.localID += 1
|
||
localID = str(self.localID)
|
||
|
||
symbol_pair = d['pair'] # btc_jpy
|
||
order = VtOrderData()
|
||
order.gatewayName = self.gatewayName
|
||
order.symbol = symbol_pair + "." + self.gatewayName
|
||
order.exchange = EXCHANGE_COINCHECK
|
||
order.vtSymbol = order.symbol
|
||
|
||
order.orderID = localID
|
||
order.vtOrderID = '.'.join(["mistake", order.gatewayName])
|
||
|
||
order.direction = DIRECTION_LONG
|
||
order.offset = OFFSET_OPEN
|
||
|
||
order.price = float(d["rate"])
|
||
order.totalVolume = float(d["pending_amount"])
|
||
order.orderTime = d["created_at"]
|
||
order.status = STATUS_MISTAKE
|
||
|
||
self.workingOrderDict[localID] = order
|
||
self.systemLocalDict[coinID] = localID
|
||
self.localSystemDict[localID] = coinID
|
||
self.gateway.onOrder(order)
|
||
|
||
|
||
'''
|
||
{
|
||
"success": true,
|
||
"id": 12345
|
||
}
|
||
'''
|
||
def onCancel_orders(self, data, req, reqID):
|
||
# self.gateway.onCancelOrder( data)
|
||
if data['success'] != 0:
|
||
systemID = data["id"]
|
||
localID = self.systemLocalDict[systemID]
|
||
|
||
order = self.workingOrderDict[localID]
|
||
order.status = STATUS_CANCELLED
|
||
|
||
del self.workingOrderDict[localID]
|
||
del self.systemLocalDict[systemID]
|
||
del self.localSystemDict[localID]
|
||
self.gateway.onOrder(order)
|
||
|
||
def onHistory_orders(self, data, req, reqID):
|
||
print(data)
|
||
|
||
def cancel(self, req):
|
||
localID = req.orderID
|
||
if localID in self.localSystemDict:
|
||
systemID = self.localSystemDict[localID]
|
||
self.cancel_orders( systemID )
|
||
else:
|
||
self.cancelDict[localID] = req
|
||
|
||
|
||
class CoincheckSocketDataApi(vncoincheck.DataApiSocket):
|
||
"""基于websocket的TICK数据获得对象"""
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, gateway):
|
||
super(CoincheckSocketDataApi, self).__init__()
|
||
|
||
self.market = 'jpy'
|
||
self.gateway = gateway
|
||
self.gatewayName = gateway.gatewayName
|
||
|
||
self.tickDict = {} # key:symbol, value:tick
|
||
|
||
self.period_flag = False
|
||
|
||
|
||
def connect(self ):
|
||
super(CoincheckSocketDataApi, self).connect( COINCHECK_HOSTS)
|
||
|
||
contract = VtContractData()
|
||
contract.gatewayName = self.gatewayName
|
||
contract.symbol = SYMBOL_BTCJPY
|
||
contract.exchange = EXCHANGE_COINCHECK
|
||
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||
contract.name = u'日元coincheck现货BTC'
|
||
contract.size = 0.0001
|
||
contract.priceTick = 0.0001
|
||
contract.productClass = PRODUCT_SPOT
|
||
self.gateway.onContract(contract)
|
||
|
||
def onOrderbooks(self, data):
|
||
symbol = SYMBOL_BTCJPY
|
||
if symbol not in self.tickDict:
|
||
tick = VtTickData()
|
||
tick.gatewayName = self.gatewayName
|
||
tick.exchange = EXCHANGE_COINCHECK
|
||
tick.symbol = '.'.join([symbol, tick.exchange])
|
||
tick.vtSymbol = '.'.join([symbol, tick.exchange])
|
||
|
||
self.tickDict[symbol] = tick
|
||
else:
|
||
tick = self.tickDict[symbol]
|
||
|
||
data = json.loads(data)
|
||
load_symbol , dic = data
|
||
if load_symbol == symbol:
|
||
bids = dic["bids"]
|
||
asks = dic["asks"]
|
||
|
||
bids = [ (float(x[0]) , float(x[1])) for x in bids ]
|
||
asks = [ (float(x[0]) , float(x[1])) for x in asks ]
|
||
|
||
tick.bidPrice1, tick.bidVolume1 = [0 , 0]
|
||
tick.bidPrice2, tick.bidVolume2 = [0 , 0]
|
||
tick.bidPrice3, tick.bidVolume3 = [0 , 0]
|
||
tick.bidPrice4, tick.bidVolume4 = [0 , 0]
|
||
tick.bidPrice5, tick.bidVolume5 = [0 , 0]
|
||
|
||
tick.askPrice1, tick.askVolume1 = [0 , 0]
|
||
tick.askPrice2, tick.askVolume2 = [0 , 0]
|
||
tick.askPrice3, tick.askVolume3 = [0 , 0]
|
||
tick.askPrice4, tick.askVolume4 = [0 , 0]
|
||
tick.askPrice5, tick.askVolume5 = [0 , 0]
|
||
try:
|
||
tick.bids = bids
|
||
tick.asks = asks
|
||
tick.bidPrice1, tick.bidVolume1 = bids[0]
|
||
tick.bidPrice2, tick.bidVolume2 = bids[1]
|
||
tick.bidPrice3, tick.bidVolume3 = bids[2]
|
||
tick.bidPrice4, tick.bidVolume4 = bids[3]
|
||
tick.bidPrice5, tick.bidVolume5 = bids[4]
|
||
except Exception as ex:
|
||
pass
|
||
|
||
try:
|
||
tick.askPrice1, tick.askVolume1 = asks[0]
|
||
tick.askPrice2, tick.askVolume2 = asks[1]
|
||
tick.askPrice3, tick.askVolume3 = asks[2]
|
||
tick.askPrice4, tick.askVolume4 = asks[3]
|
||
tick.askPrice5, tick.askVolume5 = asks[4]
|
||
except Exception as ex:
|
||
pass
|
||
|
||
now = datetime.now()
|
||
tick.time = now.strftime('%H:%M:%S')
|
||
tick.date = now.strftime('%Y%m%d')
|
||
tick.datetime = now
|
||
|
||
self.gateway.onTick(tick)
|
||
self.period_flag = False
|
||
|
||
def onTrade(self , data):
|
||
|
||
orderId, symbol , price , volume , direction = data
|
||
|
||
price = float(price)
|
||
volume = float(volume)
|
||
|
||
if symbol not in self.tickDict:
|
||
tick = VtTickData()
|
||
tick.gatewayName = self.gatewayName
|
||
tick.exchange = EXCHANGE_COINCHECK
|
||
tick.symbol = '.'.join([symbol, tick.exchange])
|
||
tick.vtSymbol = '.'.join([symbol, tick.exchange])
|
||
tick.volume = 0
|
||
|
||
self.tickDict[symbol] = tick
|
||
else:
|
||
tick = self.tickDict[symbol]
|
||
|
||
if self.period_flag == False:
|
||
self.period_flag = True
|
||
|
||
tick.highPrice = price
|
||
tick.lowPrice = price
|
||
tick.lastPrice = price
|
||
|
||
else:
|
||
tick.highPrice = max(tick.highPrice , price)
|
||
tick.lowPrice = min(tick.lowPrice , price)
|
||
tick.lastPrice = price
|
||
|
||
tick.volume += volume
|
||
|
||
|
||
def onMessage(self, ws , evt):
|
||
if evt:
|
||
data = json.loads(evt)
|
||
cclen = len(data)
|
||
if cclen == 2:
|
||
self.onOrderbooks( evt)
|
||
elif cclen == 5:
|
||
self.onTrade(data)
|
||
|
||
|
||
class CoincheckDataApi(vncoincheck.DataApi):
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, gateway):
|
||
"""Constructor"""
|
||
super(CoincheckDataApi, self).__init__()
|
||
|
||
self.market = 'jpy'
|
||
self.gateway = gateway
|
||
self.gatewayName = gateway.gatewayName
|
||
|
||
self.tickDict = {} # key:symbol, value:tick
|
||
|
||
def connect(self, interval , market , debug = False):
|
||
self.init(interval , debug)
|
||
# 订阅行情并推送合约信息
|
||
if self.market == 'jpy':
|
||
self.subscribeTick(SYMBOL_BTCJPY)
|
||
self.subscribeOrderbooks(SYMBOL_BTCJPY)
|
||
|
||
contract = VtContractData()
|
||
contract.gatewayName = self.gatewayName
|
||
contract.symbol = SYMBOL_BTCJPY
|
||
contract.exchange = EXCHANGE_COINCHECK
|
||
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||
contract.name = u'日元coincheck现货BTC'
|
||
contract.size = 0.0001
|
||
contract.priceTick = 0.0001
|
||
contract.productClass = PRODUCT_SPOT
|
||
self.gateway.onContract(contract)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onTick(self, data):
|
||
"""实时成交推送"""
|
||
symbol = SYMBOL_BTCJPY
|
||
if symbol not in self.tickDict:
|
||
tick = VtTickData()
|
||
tick.gatewayName = self.gatewayName
|
||
|
||
tick.exchange = EXCHANGE_COINCHECK
|
||
tick.symbol = '.'.join([symbol, tick.exchange])
|
||
tick.vtSymbol = '.'.join([symbol, tick.exchange])
|
||
self.tickDict[symbol] = tick
|
||
else:
|
||
tick = self.tickDict[symbol]
|
||
|
||
tick.highPrice = float(data['high'])
|
||
tick.lowPrice = float(data['low'])
|
||
tick.lastPrice = float(data['last'])
|
||
tick.volume = float(data['volume'])
|
||
|
||
now = datetime.now()
|
||
tick.time = now.strftime('%H:%M:%S')
|
||
tick.date = now.strftime('%Y%m%d')
|
||
tick.datetime = now
|
||
|
||
#----------------------------------------------------------------------
|
||
def onTrades(self, data):
|
||
"""实时成交推送"""
|
||
print(data)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onOrderbooks(self, data):
|
||
"""实时成交推送"""
|
||
symbol = SYMBOL_BTCJPY
|
||
bids = data["bids"]
|
||
asks = data["asks"]
|
||
if symbol not in self.tickDict:
|
||
tick = VtTickData()
|
||
tick.gatewayName = self.gatewayName
|
||
|
||
tick.symbol = symbol
|
||
tick.exchange = EXCHANGE_COINCHECK
|
||
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
|
||
self.tickDict[symbol] = tick
|
||
else:
|
||
tick = self.tickDict[symbol]
|
||
|
||
bids = [ (float(x[0]) , float(x[1])) for x in bids ]
|
||
asks = [ (float(x[0]) , float(x[1])) for x in asks ]
|
||
tick.bidPrice1, tick.bidVolume1 = bids[0]
|
||
tick.bidPrice2, tick.bidVolume2 = bids[1]
|
||
tick.bidPrice3, tick.bidVolume3 = bids[2]
|
||
tick.bidPrice4, tick.bidVolume4 = bids[3]
|
||
tick.bidPrice5, tick.bidVolume5 = bids[4]
|
||
|
||
tick.askPrice1, tick.askVolume1 = asks[0]
|
||
tick.askPrice2, tick.askVolume2 = asks[1]
|
||
tick.askPrice3, tick.askVolume3 = asks[2]
|
||
tick.askPrice4, tick.askVolume4 = asks[3]
|
||
tick.askPrice5, tick.askVolume5 = asks[4]
|
||
|
||
|
||
now = datetime.now()
|
||
tick.time = now.strftime('%H:%M:%S')
|
||
tick.date = now.strftime('%Y%m%d')
|
||
tick.datetime = now
|
||
|
||
self.gateway.onTick(tick)
|
||
|