async def process_binary(self, raw):
""" 处理websocket上接收到的消息
@param raw 原始的压缩数据
"""
decompress = zlib.decompressobj(-zlib.MAX_WBITS)
msg = decompress.decompress(raw)
msg += decompress.flush()
msg = msg.decode()
if msg == "pong": # 心跳返回
return
msg = json.loads(msg)
logger.debug("msg:", msg, caller=self)
# 登陆成功之后再订阅数据
if msg.get("event") == "login":
if not msg.get("success"):
e = Error("Websocket connection authorized failed: {}".format(msg))
logger.error(e, caller=self)
if self._init_success_callback:
SingleTask.run(self._init_success_callback, False, e)
return
logger.info("Websocket connection authorized successfully.", caller=self)
# 获取当前等待成交和部分成交的订单信息
order_infos, error = await self._rest_api.get_open_orders(self._raw_symbol)
if error:
e = Error("get open orders error: {}".format(msg))
if self._init_success_callback:
SingleTask.run(self._init_success_callback, False, e)
return
for order_info in order_infos:
order_info["ctime"] = order_info["created_at"]
order_info["utime"] = order_info["timestamp"]
order = self._update_order(order_info)
if self._order_update_callback:
SingleTask.run(self._order_update_callback, copy.copy(order))
# 订阅 order
data = {
"op": "subscribe",
"args": [self._order_channel]
}
await self.ws.send_json(data)
return
# 订阅返回消息
if msg.get("event") == "subscribe":
if msg.get("channel") == self._order_channel:
if self._init_success_callback:
SingleTask.run(self._init_success_callback, True, None)
else:
if self._init_success_callback:
e = Error("subscribe order event error: {}".format(msg))
SingleTask.run(self._init_success_callback, False, e)
return
# 订单更新
if msg.get("table") == "spot/order":
for data in msg["data"]:
data["ctime"] = data["timestamp"]
data["utime"] = data["last_fill_time"]
order = self._update_order(data)
if order and self._order_update_callback:
SingleTask.run(self._order_update_callback, copy.copy(order))
def __init__(self, **kwargs):
""" 初始化
"""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://www.deribit.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://deribit.com"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = DERIBIT
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
self._order_channel = "user.orders.{symbol}.raw".format(
symbol=self._symbol) # 订单订阅频道
url = self._wss + "/ws/api/v2"
super(DeribitTrade, self).__init__(url, send_hb_interval=5)
self._assets = {
} # 资产 {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # 订单
self._position = Position(self._platform, self._account,
self._strategy, self._symbol) # 仓位
self._query_id = 0 # 消息序号id，用来唯一标识请求消息
self._queries = {} # 未完成的post请求 {"request_id": future}
self.initialize()
# 初始化资产订阅
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account,
self.on_event_asset_update)
# 注册定时任务
LoopRunTask.register(self._do_auth, 60 * 60) # 每隔1小时重新授权
LoopRunTask.register(self._check_position_update, 1) # 获取持仓
self._ok = False # 是否建立授权成功的websocket连接
def __init__(self,
strategy=None,
platform=None,
symbol=None,
host=None,
wss=None,
account=None,
access_key=None,
secret_key=None,
passphrase=None,
asset_update_callback=None,
order_update_callback=None,
position_update_callback=None,
init_success_callback=None,
**kwargs):
""" 初始化
@param strategy 策略名称
@param platform 交易平台
@param symbol 交易对
@param host 交易平台REST API地址
@param wss 交易平台websocket地址
@param account 交易账户
@param access_key 账户 ACCESS KEY
@param secret_key 账户 SECRET KEY
@param passphrase 账户交易密码(OKEx使用)
@param asset_update_callback 资产更新回调，async异步函数 async asset_update_callback(asset): pass
@param order_update_callback 订单更新回调，async异步函数 async order_update_callback(order): pass
@param position_update_callback 持仓更新回调，async异步函数 async position_update_callback(position): pass
@param init_success_callback 初始化成功回调，async异步函数 async init_success_callback(success, error): pass
"""
kwargs["strategy"] = strategy
kwargs["platform"] = platform
kwargs["symbol"] = symbol
kwargs["host"] = host
kwargs["wss"] = wss
kwargs["account"] = account
kwargs["access_key"] = access_key
kwargs["secret_key"] = secret_key
kwargs["passphrase"] = passphrase
kwargs["asset_update_callback"] = asset_update_callback
kwargs["order_update_callback"] = order_update_callback
kwargs["position_update_callback"] = position_update_callback
kwargs["init_success_callback"] = init_success_callback
if platform == OKEX:
from quant.platform.okex import OKExTrade as T
elif platform == OKEX_MARGIN:
from quant.platform.okex_margin import OKExMarginTrade as T
elif platform == OKEX_FUTURE:
from quant.platform.okex_future import OKExFutureTrade as T
elif platform == DERIBIT:
from quant.platform.deribit import DeribitTrade as T
elif platform == BITMEX:
from quant.platform.bitmex import BitmexTrade as T
elif platform == BINANCE:
from quant.platform.binance import BinanceTrade as T
elif platform == HUOBI:
from quant.platform.huobi import HuobiTrade as T
else:
logger.error("platform error:", platform, caller=self)
if init_success_callback:
e = Error("platform error")
SingleTask.run(init_success_callback, False, e)
return
kwargs.pop("platform")
self._t = T(**kwargs)
def __init__(self, **kwargs):
""" 初始化
"""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://www.okex.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://real.okex.com:10442"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if not kwargs.get("passphrase"):
e = Error("param passphrase miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = OKEX_FUTURE
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._passphrase = kwargs["passphrase"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
url = self._wss + "/ws/v3"
super(OKExFutureTrade, self).__init__(url, send_hb_interval=5)
self.heartbeat_msg = "ping"
self._assets = {
} # 资产 {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # 订单
self._position = Position(self._platform, self._account,
self._strategy, self._symbol) # 仓位
# 订阅频道
self._order_channel = "futures/order:{symbol}".format(
symbol=self._symbol)
self._position_channel = "futures/position:{symbol}".format(
symbol=self._symbol)
# 标记订阅订单、持仓是否成功
self._subscribe_order_ok = False
self._subscribe_position_ok = False
# 初始化 REST API 对象
self._rest_api = OKExFutureRestAPI(self._host, self._access_key,
self._secret_key, self._passphrase)
# 初始化资产订阅
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account,
self.on_event_asset_update)
self.initialize()
async def process_binary(self, raw):
""" 处理websocket上接收到的消息
@param raw 原始的压缩数据
"""
decompress = zlib.decompressobj(-zlib.MAX_WBITS)
msg = decompress.decompress(raw)
msg += decompress.flush()
msg = msg.decode()
if msg == "pong": # 心跳返回
return
msg = json.loads(msg)
logger.debug("msg:", msg, caller=self)
# 登陆成功之后再订阅数据
if msg.get("event") == "login":
if not msg.get("success"):
e = Error(
"Websocket connection authorized failed: {}".format(msg))
logger.error(e, caller=self)
if self._init_success_callback:
SingleTask.run(self._init_success_callback, False, e)
return
logger.info("Websocket connection authorized successfully.",
caller=self)
# 获取当前等待成交和部分成交的订单信息
result, error = await self._rest_api.get_order_list(
self._symbol, 6)
if error:
e = Error("get open orders error: {}".format(error))
if self._init_success_callback:
SingleTask.run(self._init_success_callback, False, e)
return
for order_info in result["order_info"]:
order = self._update_order(order_info)
if self._order_update_callback:
SingleTask.run(self._order_update_callback, order)
# 获取当前持仓
position, error = await self._rest_api.get_position(self._symbol)
if error:
e = Error("get position error: {}".format(error))
if self._init_success_callback:
SingleTask.run(self._init_success_callback, False, e)
return
if len(position["holding"]) > 0:
self._update_position(position["holding"][0])
if self._position_update_callback:
SingleTask.run(self._position_update_callback, self.position)
# 订阅account, order, position
data = {
"op": "subscribe",
"args": [self._order_channel, self._position_channel]
}
await self.ws.send_json(data)
return
# 订阅返回消息
if msg.get("event") == "subscribe":
if msg.get("channel") == self._order_channel:
self._subscribe_order_ok = True
if msg.get("channel") == self._position_channel:
self._subscribe_position_ok = True
if self._subscribe_order_ok and self._subscribe_position_ok:
if self._init_success_callback:
SingleTask.run(self._init_success_callback, True, None)
return
# 订单更新
if msg.get("table") == "futures/order":
for data in msg["data"]:
order = self._update_order(data)
if order and self._order_update_callback:
SingleTask.run(self._order_update_callback, order)
return
# 持仓更新
if msg.get("table") == "futures/position":
for data in msg["data"]:
self._update_position(data)
if self._position_update_callback:
SingleTask.run(self._position_update_callback,
self.position)
def __init__(self, **kwargs):
"""Initialize."""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://www.okex.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://real.okex.com:8443"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if not kwargs.get("passphrase"):
e = Error("param passphrase miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = OKEX_SWAP
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._passphrase = kwargs["passphrase"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
url = self._wss + "/ws/v3"
super(OKExSwapTrade, self).__init__(url, send_hb_interval=5)
self.heartbeat_msg = "ping"
self._assets = {} # Asset object. e.g. {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # Order objects. e.g. {"order_no": Order, ... }
self._position = Position(self._platform, self._account, self._strategy, self._symbol)
# Subscribing our channels.
self._order_channel = "swap/order:{symbol}".format(symbol=self._symbol)
self._position_channel = "swap/position:{symbol}".format(symbol=self._symbol)
# If our channels that subscribed successfully.
self._subscribe_order_ok = False
self._subscribe_position_ok = False
# Initializing our REST API client.
self._rest_api = OKExSwapRestAPI(self._host, self._access_key, self._secret_key, self._passphrase)
# Subscribing our asset event.
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account, self.on_event_asset_update)
self.initialize()
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()
# Heartbeat message received.
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._init_success_callback, False, e)
return
logger.info("Websocket connection authorized successfully.", caller=self)
# Fetch orders from server. (open + partially filled)
result, error = await self._rest_api.get_order_list(self._symbol, 6)
if error:
e = Error("get open orders error: {}".format(error))
SingleTask.run(self._init_success_callback, False, e)
return
if len(result) > 100:
logger.warn("order length too long! (more than 100)", caller=self)
for order_info in result["order_info"]:
self._update_order(order_info)
# Fetch positions from server.
position, error = await self._rest_api.get_position(self._symbol)
if error:
e = Error("get position error: {}".format(error))
SingleTask.run(self._init_success_callback, False, e)
return
self._update_position(position)
# Subscribe order channel and position channel.
data = {
"op": "subscribe",
"args": [self._order_channel, self._position_channel]
}
await self.ws.send_json(data)
return
# Subscribe response message received.
if msg.get("event") == "subscribe":
if msg.get("channel") == self._order_channel:
self._subscribe_order_ok = True
if msg.get("channel") == self._position_channel:
self._subscribe_position_ok = True
if self._subscribe_order_ok and self._subscribe_position_ok:
SingleTask.run(self._init_success_callback, True, None)
return
# Order update message received.
if msg.get("table") == "swap/order":
for data in msg["data"]:
self._update_order(data)
return
# Position update message receive.
if msg.get("table") == "swap/position":
for data in msg["data"]:
self._update_position(data)
async def connected_callback(self):
""" 建立连接之后，获取当前所有未完全成交的订单
"""
logger.info("Websocket connection authorized successfully.",
caller=self)
order_infos, error = await self._rest_api.get_open_orders(
self._raw_symbol)
if error:
e = Error("get open orders error: {}".format(error))
if self._init_success_callback:
SingleTask.run(self._init_success_callback, False, e)
return
for order_info in order_infos:
order_no = "{}_{}".format(order_info["orderId"],
order_info["clientOrderId"])
if order_info["status"] == "NEW": # 部分成交
status = ORDER_STATUS_SUBMITTED
elif order_info["status"] == "PARTIALLY_FILLED": # 部分成交
status = ORDER_STATUS_PARTIAL_FILLED
elif order_info["status"] == "FILLED": # 完全成交
status = ORDER_STATUS_FILLED
elif order_info["status"] == "CANCELED": # 取消
status = ORDER_STATUS_CANCELED
elif order_info["status"] == "REJECTED": # 拒绝
status = ORDER_STATUS_FAILED
elif order_info["status"] == "EXPIRED": # 过期
status = ORDER_STATUS_FAILED
else:
logger.warn("unknown status:", order_info, caller=self)
continue
info = {
"platform":
self._platform,
"account":
self._account,
"strategy":
self._strategy,
"order_no":
order_no,
"action":
order_info["side"],
"order_type":
order_info["type"],
"symbol":
self._symbol,
"price":
order_info["price"],
"quantity":
order_info["origQty"],
"remain":
float(order_info["origQty"]) -
float(order_info["executedQty"]),
"status":
status,
"ctime":
order_info["time"],
"utime":
order_info["updateTime"]
}
order = Order(**info)
self._orders[order_no] = order
if self._order_update_callback:
SingleTask.run(self._order_update_callback, order)
if self._init_success_callback:
SingleTask.run(self._init_success_callback, True, None)
def __init__(self,
strategy=None,
platform=None,
symbol=None,
host=None,
wss=None,
account=None,
access_key=None,
secret_key=None,
passphrase=None,
asset_update_callback=None,
order_update_callback=None,
position_update_callback=None,
init_success_callback=None,
**kwargs):
"""initialize trade object."""
kwargs["strategy"] = strategy
kwargs["platform"] = platform
kwargs["symbol"] = symbol
kwargs["host"] = host
kwargs["wss"] = wss
kwargs["account"] = account
kwargs["access_key"] = access_key
kwargs["secret_key"] = secret_key
kwargs["passphrase"] = passphrase
kwargs["asset_update_callback"] = asset_update_callback
kwargs["order_update_callback"] = self._on_order_update_callback
kwargs["position_update_callback"] = self._on_position_update_callback
kwargs["init_success_callback"] = self._on_init_success_callback
self._raw_params = copy.copy(kwargs)
self._order_update_callback = order_update_callback
self._position_update_callback = position_update_callback
self._init_success_callback = init_success_callback
if platform == const.OKEX:
from quant.platform.okex import OKExTrade as T
elif platform == const.OKEX_MARGIN:
from quant.platform.okex_margin import OKExMarginTrade as T
elif platform == const.OKEX_FUTURE:
from quant.platform.okex_future import OKExFutureTrade as T
elif platform == const.OKEX_SWAP:
from quant.platform.okex_swap import OKExSwapTrade as T
elif platform == const.DERIBIT:
from quant.platform.deribit import DeribitTrade as T
elif platform == const.BITMEX:
from quant.platform.bitmex import BitmexTrade as T
elif platform == const.BINANCE:
from quant.platform.binance import BinanceTrade as T
elif platform == const.BINANCE_FUTURE:
from quant.platform.binance_future import BinanceFutureTrade as T
elif platform == const.HUOBI:
from quant.platform.huobi import HuobiTrade as T
elif platform == const.COINSUPER:
from quant.platform.coinsuper import CoinsuperTrade as T
elif platform == const.COINSUPER_PRE:
from quant.platform.coinsuper_pre import CoinsuperPreTrade as T
elif platform == const.KRAKEN:
from quant.platform.kraken import KrakenTrade as T
elif platform == const.GATE:
from quant.platform.gate import GateTrade as T
elif platform == const.KUCOIN:
from quant.platform.kucoin import KucoinTrade as T
elif platform == const.HUOBI_FUTURE:
from quant.platform.huobi_future import HuobiFutureTrade as T
elif platform == const.DIGIFINEX:
from quant.platform.digifinex import DigifinexTrade as T
else:
logger.error("platform error:", platform, caller=self)
e = Error("platform error")
SingleTask.run(self._init_success_callback, False, e)
return
kwargs.pop("platform")
self._t = T(**kwargs)
def __init__(self, **kwargs):
"""Initialize."""
self.cb = kwargs["cb"]
e = None
if kwargs.get("account") and (not kwargs.get("access_key")
or not kwargs.get("secret_key")):
e = Error("param access_key or secret_key miss")
elif not kwargs.get("strategy"):
e = Error("param strategy miss")
elif not kwargs.get("symbols"):
e = Error("param symbols miss")
elif not kwargs.get("platform"):
e = Error("param platform miss")
if e:
logger.error(e, caller=self)
SingleTask.run(self.cb.on_init_success_callback, False, e)
return
if not kwargs.get("host"):
kwargs["host"] = "https://ftx.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://ftx.com"
self._account = kwargs.get("account")
self._access_key = kwargs.get("access_key")
self._secret_key = kwargs.get("secret_key")
self._subaccount_name = kwargs.get("subaccount_name")
self._strategy = kwargs["strategy"]
self._platform = kwargs["platform"]
self._symbols = kwargs["symbols"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
url = self._wss + "/ws"
super(FTXTrader, self).__init__(url,
check_conn_interval=5,
send_hb_interval=0)
#self.heartbeat_msg = "ping"
# Initializing our REST API client.
self._rest_api = FTXRestAPI(self._host, self._access_key,
self._secret_key, self._subaccount_name)
self.raw_kwargs = {
"platform": kwargs["platform"],
"account": kwargs.get("account"),
"symbols": kwargs["symbols"],
"strategy": kwargs["strategy"]
}
#订单簿深度数据
self._orderbooks: DefaultDict[str, Dict[str, DefaultDict[
float, float]]] = defaultdict(
lambda:
{side: defaultdict(float)
for side in {'bids', 'asks'}})
self._assets = {}
self.initialize()
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._init_success_callback, False, e)
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._init_success_callback, False, e)
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_json(data)
return
# Subscribe response message received.
if msg.get("event") == "subscribe":
if msg.get("channel") == self._order_channel:
SingleTask.run(self._init_success_callback, True, None)
else:
e = Error("subscribe order event error: {}".format(msg))
SingleTask.run(self._init_success_callback, False, e)
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)
def __init__(self, **kwargs):
"""Initialize."""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("contract_type"):
e = Error("param contract_type miss")
if not kwargs.get("contract_code"):
e = Error("param contract_code miss")
if not kwargs.get("host"):
kwargs["host"] = "https://api.hbdm.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://api.hbdm.com"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = HUOBI_FUTURE
self._symbol = kwargs["symbol"]
self._contract_type = kwargs["contract_type"]
self._contract_code = kwargs["contract_code"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
url = self._wss + "/notification"
self._ws = Websocket(url,
self.connected_callback,
process_binary_callback=self.process_binary)
self._ws.initialize()
self._assets = {
} # Asset detail, {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }.
self._orders = {} # Order objects, {"order_id": order, ...}.
self._position = Position(self._platform, self._account,
self._strategy, self._contract_code)
self._order_channel = "orders.{symbol}".format(
symbol=self._symbol.lower())
self._position_channel = "positions.{symbol}".format(
symbol=self._symbol.lower())
self._subscribe_order_ok = False
self._subscribe_position_ok = False
self._rest_api = HuobiFutureRestAPI(self._host, self._access_key,
self._secret_key)
# Subscribe AssetEvent.
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account,
self.on_event_asset_update)
def __init__(self, **kwargs):
""" 初始化
"""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://www.okex.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://real.okex.com:10442"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if not kwargs.get("passphrase"):
e = Error("param passphrase miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = OKEX
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._passphrase = kwargs["passphrase"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
self._raw_symbol = self._symbol.replace("/", "-") # 转换成交易所对应的交易对格式
self._order_channel = "spot/order:{symbol}".format(
symbol=self._raw_symbol) # 订单订阅频道
url = self._wss + "/ws/v3"
super(OKExTrade, self).__init__(url, send_hb_interval=5)
self.heartbeat_msg = "ping"
self._assets = {
} # 资产 {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # 订单 {"order_no": order, ... }
# 初始化 REST API 对象
self._rest_api = OKExRestAPI(self._host, self._access_key,
self._secret_key, self._passphrase)
# 初始化资产订阅
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account,
self.on_event_asset_update)
self.initialize()
def __init__(self, **kwargs):
"""Initialize Trade module."""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://fapi.binance.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://fstream.binance.com"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = BINANCE_FUTURE
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
self._ok = False # Initialize successfully ?
self._raw_symbol = self._symbol # Row symbol name, same as Binance Exchange.
self._listen_key = None # Listen key for Websocket authentication.
self._assets = {
} # Asset data. e.g. {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # Order data. e.g. {order_no: order, ... }
self._position = Position(self._platform, self._account,
self._strategy, self._symbol) # 仓位
# Initialize our REST API client.
self._rest_api = BinanceFutureRestAPI(self._host, self._access_key,
self._secret_key)
# Subscribe our AssetEvent.
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account,
self.on_event_asset_update)
# Create a loop run task to reset listen key every 20 minutes.
LoopRunTask.register(self._reset_listen_key, 60 * 20)
# Create a loop run task to check position information per 1 second.
LoopRunTask.register(self._check_position_update, 1)
# Create a loop run task to send ping message to server per 30 seconds.
# LoopRunTask.register(self._send_heartbeat_msg, 10)
# Create a coroutine to initialize Websocket connection.
SingleTask.run(self._init_websocket)