608 lines
25 KiB
Python
608 lines
25 KiB
Python
# encoding: utf-8
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import json
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import requests
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from Queue import Queue, Empty
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from threading import Thread
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API_SETTING = {}
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API_SETTING['practice'] = {'rest': 'https://api-fxpractice.oanda.com',
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'stream': 'https://stream-fxpractice.oanda.com'}
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API_SETTING['trade'] = {'rest': 'https://api-fxpractice.oanda.com',
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'stream': 'https://stream-fxtrade.oanda.com/'}
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FUNCTIONCODE_GETINSTRUMENTS = 0
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FUNCTIONCODE_GETPRICES = 1
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FUNCTIONCODE_GETPRICEHISTORY = 2
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FUNCTIONCODE_GETACCOUNTS = 3
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FUNCTIONCODE_GETACCOUNTINFO = 4
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FUNCTIONCODE_GETORDERS = 5
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FUNCTIONCODE_SENDORDER = 6
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FUNCTIONCODE_GETORDERINFO = 7
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FUNCTIONCODE_MODIFYORDER = 8
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FUNCTIONCODE_CANCELORDER = 9
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FUNCTIONCODE_GETTRADES = 10
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FUNCTIONCODE_GETTRADEINFO = 11
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FUNCTIONCODE_MODIFYTRADE= 12
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FUNCTIONCODE_CLOSETRADE = 13
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FUNCTIONCODE_GETPOSITIONS = 14
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FUNCTIONCODE_GETPOSITIONINFO= 15
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FUNCTIONCODE_CLOSEPOSITION = 16
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FUNCTIONCODE_GETTRANSACTIONS = 17
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FUNCTIONCODE_GETTRANSACTIONINFO = 18
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FUNCTIONCODE_GETACCOUNTHISTORY = 19
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FUNCTIONCODE_GETCALENDAR = 20
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FUNCTIONCODE_GETPOSITIONRATIOS = 21
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FUNCTIONCODE_GETSPREADS = 22
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FUNCTIONCODE_GETCOMMIMENTS = 23
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FUNCTIONCODE_GETORDERBOOK = 24
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FUNCTIONCODE_GETAUTOCHARTIST = 25
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FUNCTIONCODE_STREAMPRICES = 26
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FUNCTIONCODE_STREAMEVENTS = 27
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########################################################################
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class OandaApi(object):
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""""""
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DEBUG = False
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.token = ''
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self.accountId = ''
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self.headers = {}
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self.restDomain = ''
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self.streamDomain = ''
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self.session = None
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self.functionSetting = {}
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self.active = False # API的工作状态
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self.reqID = 0 # 请求编号
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self.reqQueue = Queue() # 请求队列
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self.reqThread = Thread(target=self.processQueue) # 请求处理线程
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self.streamPricesThread = Thread(target=self.processStreamPrices) # 实时行情线程
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self.streamEventsThread = Thread(target=self.processStreamEvents) # 实时事件线程（成交等）
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#----------------------------------------------------------------------
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def init(self, settingName, token, accountId):
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"""初始化接口"""
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self.restDomain = API_SETTING[settingName]['rest']
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self.streamDomain = API_SETTING[settingName]['stream']
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self.session = requests.Session()
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self.token = token
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self.accountId = accountId
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self.headers['Authorization'] = 'Bearer ' + self.token
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self.initFunctionSetting(FUNCTIONCODE_GETINSTRUMENTS, {'path': '/v1/instruments',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETPRICES, {'path': '/v1/prices',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETPRICEHISTORY, {'path': 'v1/candles',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTS, {'path': '/v1/accounts',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTINFO, {'path': '/v1/accounts/%s' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETORDERS, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_SENDORDER, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'POST'})
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self.initFunctionSetting(FUNCTIONCODE_GETORDERINFO, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_MODIFYORDER, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'PATCH'})
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self.initFunctionSetting(FUNCTIONCODE_CANCELORDER, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'DELETE'})
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self.initFunctionSetting(FUNCTIONCODE_GETTRADES, {'path': '/v1/accounts/%s/trades' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETTRADEINFO, {'path': '/v1/accounts/%s/trades' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_MODIFYTRADE, {'path': '/v1/accounts/%s/trades' %self.accountId,
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'method': 'PATCH'})
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self.initFunctionSetting(FUNCTIONCODE_CLOSETRADE, {'path': '/v1/accounts/%s/trades' %self.accountId,
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'method': 'DELETE'})
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self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONS, {'path': '/v1/accounts/%s/positions' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONINFO, {'path': '/v1/accounts/%s/positions' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_CLOSEPOSITION, {'path': '/v1/accounts/%s/positions' %self.accountId,
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'method': 'DELETE'})
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self.initFunctionSetting(FUNCTIONCODE_GETTRANSACTIONS, {'path': '/v1/accounts/%s/transactions' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETTRANSACTIONINFO, {'path': '/v1/accounts/%s/transactions' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTHISTORY, {'path': '/v1/accounts/%s/alltransactions' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETCALENDAR, {'path': '/labs/v1/calendar',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONRATIOS, {'path': '/labs/v1/historical_position_ratios',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETSPREADS, {'path': '/labs/v1/spreads',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETCOMMIMENTS, {'path': '/labs/v1/commitments',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETORDERBOOK, {'path': '/labs/v1/orderbook_data',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETAUTOCHARTIST, {'path': '/labs/v1/autochartist',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETAUTOCHARTIST, {'path': '/labs/v1/autochartist',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_STREAMPRICES, {'path': '/v1/prices',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_STREAMEVENTS, {'path': '/v1/events',
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'method': 'GET'})
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self.active = True
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self.reqThread.start()
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self.streamEventsThread.start()
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self.streamPricesThread.start()
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#----------------------------------------------------------------------
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def exit(self):
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"""退出接口"""
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self.active = False
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self.reqThread.join()
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#----------------------------------------------------------------------
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def initFunctionSetting(self, code, setting):
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"""初始化API功能字典"""
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self.functionSetting[code] = setting
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#----------------------------------------------------------------------
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def processRequest(self, req):
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"""发送请求并通过回调函数推送数据结果"""
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url = req['url']
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method = req['method']
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params = req['params']
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stream = False
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if 'stream' in req:
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stream = req['stream']
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if method in ['GET', 'DELETE']:
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myreq = requests.Request(method, url, headers=self.headers, params=params)
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elif method in ['POST', 'PATCH']:
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myreq = requests.Request(method, url, headers=self.headers, data=params)
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pre = myreq.prepare()
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r = None
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error = None
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try:
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r = self.session.send(pre, stream=stream)
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except Exception, e:
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error = e
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return r, error
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#----------------------------------------------------------------------
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def processQueue(self):
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"""处理请求队列中的请求"""
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while self.active:
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try:
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req = self.reqQueue.get(block=True, timeout=1) # 获取请求的阻塞为一秒
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callback = req['callback']
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reqID = req['reqID']
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r, error = self.processRequest(req)
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if r:
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try:
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data = r.json()
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if self.DEBUG:
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print callback.__name__
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callback(data, reqID)
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except Exception, e:
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self.onError(error)
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else:
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self.onError(error)
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except Empty:
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pass
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#----------------------------------------------------------------------
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def sendRequest(self, code, params, callback, optional=''):
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"""发送请求"""
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setting = self.functionSetting[code]
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url = self.restDomain + setting['path']
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if optional:
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url = url + '/' + optional
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self.reqID += 1
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req = {'url': url,
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'method': setting['method'],
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'params': params,
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'callback': callback,
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'reqID': self.reqID}
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self.reqQueue.put(req)
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return self.reqID
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#----------------------------------------------------------------------
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def onError(self, error, reqID):
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"""错误信息回调"""
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print error, reqID
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#----------------------------------------------------------------------
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def getInstruments(self, params):
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"""查询可交易的合约列表"""
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return self.sendRequest(FUNCTIONCODE_GETINSTRUMENTS, params, self.onGetInstruments)
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#----------------------------------------------------------------------
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def onGetInstruments(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getPrices(self, params):
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"""查询价格"""
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return self.sendRequest(FUNCTIONCODE_GETPRICES, params, self.onGetPrices)
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#----------------------------------------------------------------------
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def onGetPrices(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getPriceHisory(self, params):
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"""查询历史价格数据"""
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return self.sendRequest(FUNCTIONCODE_GETPRICEHISTORY, params, self.onGetPriceHistory)
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#----------------------------------------------------------------------
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def onGetPriceHistory(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getAccounts(self):
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"""查询用户的所有账户"""
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return self.sendRequest(FUNCTIONCODE_GETACCOUNTS, {}, self.onGetAccounts)
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#----------------------------------------------------------------------
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def onGetAccounts(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getAccountInfo(self):
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"""查询账户数据"""
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return self.sendRequest(FUNCTIONCODE_GETACCOUNTINFO, {}, self.onGetAccountInfo)
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#----------------------------------------------------------------------
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def onGetAccountInfo(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getOrders(self, params):
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"""查询所有委托"""
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return self.sendRequest(FUNCTIONCODE_GETORDERS, params, self.onGetOrders)
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#----------------------------------------------------------------------
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def onGetOrders(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def sendOrder(self, params):
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"""发送委托"""
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return self.sendRequest(FUNCTIONCODE_SENDORDER, params, self.onSendOrder)
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#----------------------------------------------------------------------
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def onSendOrder(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getOrderInfo(self, optional):
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"""查询委托信息"""
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return self.sendRequest(FUNCTIONCODE_GETORDERINFO, {}, self.onGetOrderInfo, optional)
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#----------------------------------------------------------------------
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def onGetOrderInfo(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def modifyOrder(self, params, optional):
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"""修改委托"""
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return self.sendRequest(FUNCTIONCODE_MODIFYORDER, params, self.onModifyOrder, optional)
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#----------------------------------------------------------------------
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def onModifyOrder(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def cancelOrder(self, optional):
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"""查询委托信息"""
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return self.sendRequest(FUNCTIONCODE_CANCELORDER, {}, self.onCancelOrder, optional)
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#----------------------------------------------------------------------
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def onCancelOrder(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getTrades(self, params):
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"""查询所有仓位"""
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return self.sendRequest(FUNCTIONCODE_GETTRADES, params, self.onGetTrades)
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#----------------------------------------------------------------------
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def onGetTrades(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getTradeInfo(self, optional):
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"""查询仓位信息"""
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return self.sendRequest(FUNCTIONCODE_GETTRADEINFO, {}, self.onGetTradeInfo, optional)
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#----------------------------------------------------------------------
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def onGetTradeInfo(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def modifyTrade(self, params, optional):
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"""修改仓位"""
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return self.sendRequest(FUNCTIONCODE_MODIFYTRADE, params, self.onModifyTrade, optional)
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#----------------------------------------------------------------------
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def onModifyTrade(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def closeTrade(self, optional):
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"""平仓"""
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return self.sendRequest(FUNCTIONCODE_CLOSETRADE, {}, self.onCloseTrade, optional)
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#----------------------------------------------------------------------
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def onCloseTrade(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getPositions(self):
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"""查询所有汇总仓位"""
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return self.sendRequest(FUNCTIONCODE_GETPOSITIONS, {}, self.onGetPositions)
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#----------------------------------------------------------------------
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def onGetPositions(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getPositionInfo(self, optional):
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"""查询汇总仓位信息"""
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return self.sendRequest(FUNCTIONCODE_GETPOSITIONINFO, {}, self.onGetPositionInfo, optional)
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#----------------------------------------------------------------------
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def onGetPositionInfo(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def closePosition(self, optional):
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"""平仓汇总仓位信息"""
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return self.sendRequest(FUNCTIONCODE_CLOSEPOSITION, {}, self.onClosePosition, optional)
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#----------------------------------------------------------------------
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def onClosePosition(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getTransactions(self, params):
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"""查询所有资金变动"""
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return self.sendRequest(FUNCTIONCODE_GETTRANSACTIONS, params, self.onGetTransactions)
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#----------------------------------------------------------------------
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def onGetTransactions(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getTransactionInfo(self, optional):
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"""查询资金变动信息"""
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return self.sendRequest(FUNCTIONCODE_GETTRANSACTIONINFO, {}, self.onGetTransactionInfo, optional)
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#----------------------------------------------------------------------
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def onGetTransactionInfo(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getAccountHistory(self):
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"""查询账户资金变动历史"""
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return self.sendRequest(FUNCTIONCODE_GETACCOUNTHISTORY, {}, self.onGetAccountHistory)
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#----------------------------------------------------------------------
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def onGetAccountHistory(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getCalendar(self, params):
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"""查询日历"""
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return self.sendRequest(FUNCTIONCODE_GETCALENDAR, params, self.onGetCalendar)
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#----------------------------------------------------------------------
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def onGetCalendar(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getPositionRatios(self, params):
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"""查询持仓比例"""
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return self.sendRequest(FUNCTIONCODE_GETPOSITIONRATIOS, params, self.onGetPositionRatios)
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#----------------------------------------------------------------------
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def onGetPositionRatios(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getSpreads(self, params):
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"""查询所有仓位"""
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return self.sendRequest(FUNCTIONCODE_GETSPREADS, params, self.onGetSpreads)
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#----------------------------------------------------------------------
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def onGetSpreads(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getCommitments(self, params):
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"""查询交易商持仓情况"""
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return self.sendRequest(FUNCTIONCODE_GETCOMMIMENTS, params, self.onGetCommitments)
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#----------------------------------------------------------------------
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def onGetCommitments(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getOrderbook(self, params):
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"""查询订单簿"""
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return self.sendRequest(FUNCTIONCODE_GETORDERBOOK, params, self.onGetOrderbook)
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#----------------------------------------------------------------------
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def onGetOrderbook(self, data, reqID):
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"""回调函数"""
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print data, reqID
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#----------------------------------------------------------------------
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def getAutochartist(self, params):
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"""查询Autochartist识别的模式"""
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return self.sendRequest(FUNCTIONCODE_GETAUTOCHARTIST, params, self.onGetAutochartist)
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#----------------------------------------------------------------------
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def onGetAutochartist(self, data, reqID):
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"""回调函数"""
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print data, reqID
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|
|
#----------------------------------------------------------------------
|
|
def onPrice(self, data):
|
|
"""行情推送"""
|
|
print data
|
|
|
|
#----------------------------------------------------------------------
|
|
def onEvent(self, data):
|
|
"""事件推送（成交等）"""
|
|
print data
|
|
|
|
#----------------------------------------------------------------------
|
|
def processStreamPrices(self):
|
|
"""获取价格推送"""
|
|
# 首先获取所有合约的代码
|
|
setting = self.functionSetting[FUNCTIONCODE_GETINSTRUMENTS]
|
|
req = {'url': self.restDomain + setting['path'],
|
|
'method': setting['method'],
|
|
'params': {'accountId': self.accountId}}
|
|
r, error = self.processRequest(req)
|
|
if r:
|
|
try:
|
|
data = r.json()
|
|
symbols = [d['instrument'] for d in data['instruments']]
|
|
except Exception, e:
|
|
self.onError(e, -1)
|
|
return
|
|
else:
|
|
self.onError(error, -1)
|
|
return
|
|
|
|
# 然后订阅所有的合约行情
|
|
setting = self.functionSetting[FUNCTIONCODE_STREAMPRICES]
|
|
params = {'accountId': self.accountId,
|
|
'instruments': ','.join(symbols)}
|
|
req = {'url': self.streamDomain + setting['path'],
|
|
'method': setting['method'],
|
|
'params': params,
|
|
'stream': True}
|
|
r, error = self.processRequest(req)
|
|
|
|
if r:
|
|
for line in r.iter_lines():
|
|
if line:
|
|
try:
|
|
msg = json.loads(line)
|
|
|
|
if self.DEBUG:
|
|
print self.onPrice.__name__
|
|
|
|
self.onPrice(msg)
|
|
except Exception, e:
|
|
self.onError(e, -1)
|
|
|
|
if not self.active:
|
|
break
|
|
else:
|
|
self.onError(error, -1)
|
|
|
|
#----------------------------------------------------------------------
|
|
def processStreamEvents(self):
|
|
"""获取事件推送"""
|
|
setting = self.functionSetting[FUNCTIONCODE_STREAMEVENTS]
|
|
req = {'url': self.streamDomain + setting['path'],
|
|
'method': setting['method'],
|
|
'params': {},
|
|
'stream': True}
|
|
r, error = self.processRequest(req)
|
|
if r:
|
|
for line in r.iter_lines():
|
|
if line:
|
|
try:
|
|
msg = json.loads(line)
|
|
|
|
if self.DEBUG:
|
|
print self.onEvent.__name__
|
|
|
|
self.onEvent(msg)
|
|
except Exception, e:
|
|
self.onError(e, -1)
|
|
|
|
if not self.active:
|
|
break
|
|
else:
|
|
self.onError(error, -1) |