async def on_event_orderbook_update(self, orderbook: Orderbook):
""" 订单薄更新
"""
logger.debug("orderbook:", orderbook, caller=self)
bid3_price = orderbook.bids[2][0] # 买三价格
bid4_price = orderbook.bids[3][0] # 买四价格
# 判断是否需要撤单
if self.order_id:
if float(self.create_order_price) < float(bid3_price) or float(
self.create_order_price) > float(bid4_price):
return
_, error = await self.trader.revoke_order(self.order_id)
if error:
logger.error("revoke order error! error:", error, caller=self)
return
self.order_id = None
logger.info("revoke order:", self.order_id, caller=self)
# 创建新订单
price = (float(bid3_price) + float(bid4_price)) / 2
quantity = "0.1" # 假设委托数量为0.1
action = ORDER_ACTION_BUY
order_id, error = await self.trader.create_order(
action, price, quantity)
if error:
logger.error("create order error! error:", error, caller=self)
return
self.order_id = order_id
self.create_order_price = price
logger.info("create new order:", order_id, caller=self)
def _add_event_handler(self, event: Event, callback):
key = "{exchange}:{routing_key}".format(exchange=event.exchange, routing_key=event.routing_key)
if key in self._event_handler:
self._event_handler[key].append(callback)
else:
self._event_handler[key] = [callback]
logger.debug("event handlers:", self._event_handler.keys(), caller=self)
async def process(self, msg):
"""Process message that received from Websocket connection.
Args:
msg: message received from Websocket connection.
"""
logger.debug("msg:", json.dumps(msg), caller=self)
e = msg.get("e")
if e == "executionReport": # Order update.
if msg["s"] != self._raw_symbol:
return
order_id = str(msg["i"])
if msg["X"] == "NEW":
status = ORDER_STATUS_SUBMITTED
elif msg["X"] == "PARTIALLY_FILLED":
status = ORDER_STATUS_PARTIAL_FILLED
elif msg["X"] == "FILLED":
status = ORDER_STATUS_FILLED
elif msg["X"] == "CANCELED":
status = ORDER_STATUS_CANCELED
elif msg["X"] == "REJECTED":
status = ORDER_STATUS_FAILED
elif msg["X"] == "EXPIRED":
status = ORDER_STATUS_FAILED
else:
logger.warn("unknown status:", msg, caller=self)
SingleTask.run(self._error_callback, "order status error.")
return
order = self._orders.get(order_id)
if not order:
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_id": order_id,
"client_order_id": msg["c"],
"action": ORDER_ACTION_BUY
if msg["S"] == "BUY" else ORDER_ACTION_SELL,
"order_type": ORDER_TYPE_LIMIT
if msg["o"] == "LIMIT" else ORDER_TYPE_MARKET,
"symbol": self._symbol,
"price": msg["p"],
"quantity": msg["q"],
"ctime": msg["O"]
}
order = Order(**info)
self._orders[order_id] = order
order.remain = float(msg["q"]) - float(msg["z"])
order.status = status
order.utime = msg["T"]
SingleTask.run(self._order_update_callback, copy.copy(order))
if status in [
ORDER_STATUS_FAILED, ORDER_STATUS_CANCELED,
ORDER_STATUS_FILLED
]:
self._orders.pop(order_id)
async def process_binary(self, raw):
"""Process binary message that received from websocket.
Args:
raw: Binary message received from websocket.
Returns:
None.
"""
msg = json.loads(gzip.decompress(raw).decode())
logger.debug("msg:", msg, caller=self)
op = msg.get("op")
if op == "auth":
if msg["err-code"] != 0:
e = Error(
"Websocket connection authorized failed: {}".format(msg))
logger.error(e, caller=self)
SingleTask.run(self._error_callback, e)
SingleTask.run(self._init_callback, False)
return
logger.info("Websocket connection authorized successfully.",
caller=self)
await self._auth_success_callback()
elif op == "ping": # ping
params = {"op": "pong", "ts": msg["ts"]}
await self._ws.send(params)
elif op == "sub":
if msg["topic"] != self._order_channel:
return
if msg["err-code"] != 0:
e = Error("subscribe order event error: {}".format(msg))
SingleTask.run(self._error_callback, e)
SingleTask.run(self._init_callback, False)
else:
SingleTask.run(self._init_callback, True)
elif op == "notify":
if msg["topic"] != self._order_channel:
return
data = msg["data"]
data["utime"] = msg["ts"]
self._update_order(data)
async def send(self, data) -> bool:
""" Send message to Websocket server.
Args:
data: Message content, must be dict or string.
Returns:
If send successfully, return True, otherwise return False.
"""
if not self.ws:
logger.warn("Websocket connection not connected yet!", caller=self)
return False
if isinstance(data, dict):
await self.ws.send_json(data)
elif isinstance(data, str):
await self.ws.send_str(data)
else:
logger.error("send message failed:", data, caller=self)
return False
logger.debug("send message:", data, caller=self)
return True
async def connect(self, reconnect=False):
"""Connect to RabbitMQ server and create default exchange.
Args:
reconnect: If this invoke is a re-connection ?
"""
logger.info("host:", self._host, "port:", self._port, caller=self)
if self._connected:
return
# Create a connection.
try:
transport, protocol = await aioamqp.connect(host=self._host, port=self._port, login=self._username,
password=self._password, login_method="PLAIN")
except Exception as e:
logger.error("connection error:", e, caller=self)
return
finally:
if self._connected:
return
channel = await protocol.channel()
self._protocol = protocol
self._channel = channel
self._connected = True
logger.info("Rabbitmq initialize success!", caller=self)
# Create default exchanges.
exchanges = ["Orderbook", "Kline", "Trade"]
for name in exchanges:
await self._channel.exchange_declare(exchange_name=name, type_name="topic")
logger.debug("create default exchanges success!", caller=self)
if reconnect:
self._bind_and_consume()
else:
# Maybe we should waiting for all modules to be initialized successfully.
asyncio.get_event_loop().call_later(5, self._bind_and_consume)
async def fetch(cls,
method,
url,
params=None,
body=None,
data=None,
headers=None,
timeout=30,
**kwargs):
""" Create a HTTP request.
Args:
method: HTTP request method. `GET` / `POST` / `PUT` / `DELETE`
url: Request url.
params: HTTP query params.
body: HTTP request body, string or bytes format.
data: HTTP request body, dict format.
headers: HTTP request header.
timeout: HTTP request timeout(seconds), default is 30s.
kwargs:
proxy: HTTP proxy.
Return:
code: HTTP response code.
success: HTTP response data. If something wrong, this field is None.
error: If something wrong, this field will holding a Error information, otherwise it's None.
Raises:
HTTP request exceptions or response data parse exceptions. All the exceptions will be captured and return
Error information.
"""
session = cls._get_session(url)
if not kwargs.get("proxy"):
kwargs[
"proxy"] = config.proxy # If there is a `HTTP PROXY` Configuration in config file?
try:
if method == "GET":
response = await session.get(url,
params=params,
headers=headers,
timeout=timeout,
**kwargs)
elif method == "POST":
response = await session.post(url,
params=params,
data=body,
json=data,
headers=headers,
timeout=timeout,
**kwargs)
elif method == "PUT":
response = await session.put(url,
params=params,
data=body,
json=data,
headers=headers,
timeout=timeout,
**kwargs)
elif method == "DELETE":
response = await session.delete(url,
params=params,
data=body,
json=data,
headers=headers,
timeout=timeout,
**kwargs)
else:
error = "http method error!"
return None, None, error
except Exception as e:
logger.error("method:",
method,
"url:",
url,
"headers:",
headers,
"params:",
params,
"body:",
body,
"data:",
data,
"Error:",
e,
caller=cls)
return None, None, e
code = response.status
if code not in (200, 201, 202, 203, 204, 205, 206):
text = await response.text()
logger.error("method:",
method,
"url:",
url,
"headers:",
headers,
"params:",
params,
"body:",
body,
"data:",
data,
"code:",
code,
"result:",
text,
caller=cls)
return code, None, text
try:
result = await response.json()
except:
result = await response.text()
logger.debug("response data is not json format!",
"method:",
method,
"url:",
url,
"headers:",
headers,
"params:",
params,
"body:",
body,
"data:",
data,
"code:",
code,
"result:",
result,
caller=cls)
logger.debug("method:",
method,
"url:",
url,
"headers:",
headers,
"params:",
params,
"body:",
body,
"data:",
data,
"code:",
code,
"result:",
json.dumps(result),
caller=cls)
return code, result, None
async def process_binary(self, raw):
"""Process binary message that received from websocket.
Args:
raw: Binary message received from websocket.
Returns:
None.
"""
decompress = zlib.decompressobj(-zlib.MAX_WBITS)
msg = decompress.decompress(raw)
msg += decompress.flush()
msg = msg.decode()
if msg == "pong":
return
logger.debug("msg:", msg, caller=self)
msg = json.loads(msg)
# Authorization message received.
if msg.get("event") == "login":
if not msg.get("success"):
e = Error(
"Websocket connection authorized failed: {}".format(msg))
logger.error(e, caller=self)
SingleTask.run(self._error_callback, e)
SingleTask.run(self._init_callback, False)
return
logger.info("Websocket connection authorized successfully.",
caller=self)
# Fetch orders from server. (open + partially filled)
order_infos, error = await self._rest_api.get_open_orders(
self._raw_symbol)
if error:
e = Error("get open orders error: {}".format(msg))
SingleTask.run(self._error_callback, e)
SingleTask.run(self._init_callback, False)
return
if len(order_infos) > 100:
logger.warn("order length too long! (more than 100)",
caller=self)
for order_info in order_infos:
order_info["ctime"] = order_info["created_at"]
order_info["utime"] = order_info["timestamp"]
self._update_order(order_info)
# Subscribe order channel.
data = {"op": "subscribe", "args": [self._order_channel]}
await self._ws.send(data)
return
# Subscribe response message received.
if msg.get("event") == "subscribe":
if msg.get("channel") == self._order_channel:
SingleTask.run(self._init_callback, True)
else:
e = Error("subscribe order event error: {}".format(msg))
SingleTask.run(self._error_callback, e)
SingleTask.run(self._init_callback, False)
return
# Order update message received.
if msg.get("table") == "spot/order":
for data in msg["data"]:
data["ctime"] = data["timestamp"]
data["utime"] = data["last_fill_time"]
self._update_order(data)