def test_delete_order(self):
ex = OkexFutureWs("eth_usd_this_week")
depth = ex.get_depth()
print(depth)
result = ex.short(amount=1, price=450, lever_rate=10)
print(result)
id = result['order_id']
result = ex.delete_order(order_id=id)
print(result)
def test_short(self):
ex = OkexFutureWs("eth_usd_this_week")
result = ex.short(amount=1)
print(result)
class OkexTickers():
def __init__(self, meta_code):
os.environ[Constants.DQUANT_ENV] = "dev"
# starting with Python 3.6 and 3.5.3, it will be recommended to never pass the new_event_loop() explicitly.
# new = asyncio.new_event_loop()
new = asyncio.get_event_loop()
self.okex = OkexFutureWs(meta_code, new)
self.okex.start()
self.q = queue.Queue()
self.q_output = queue.Queue()
# 仓位
self.lastPosition = {'long': 0, 'short': 0}
# 策略程序getorder频率很高，如果与上次getorder结果相同就不需要log了
self.last_get_order_info = {
'long': {
'ordid': None,
'amount_filled': None
},
'short': {
'ordid': None,
'amount_filled': None
}
}
self.order_type = {
1: 'long',
2: 'short',
3: 'close_long',
4: 'close_short'
}
# 返回最后一个买/卖/删除记录，因为getorder不会记录已经成交或者删除的订单信息,而已经执行的订单保存在getHist里（只保存最近10个）
def get_latest_order(self, side):
# 查询买卖订单
hist = self.okex.getHist()
temp_hist = copy(hist)
# 从最近成交/成功删除的订单开始遍历
latest_order_id, latest_order_details = temp_hist[side].popitem()
return {'ordid': latest_order_id, 'details': latest_order_details}
def my_getOrder(self):
# 初始化返回结果
initial_info = {
'ordid': None,
'price': None,
'amount_filled': None,
'amount_orig': None
}
ret = {'long': initial_info, 'short': initial_info}
active_order = self.okex.get_order()
for order_id, order_details in active_order.items():
amount_filled = order_details['deal_amount']
amount_orig = order_details['amount']
side = self.order_type[order_details['type']]
price = order_details['price']
ret[side] = {
'ordid': order_id,
'price': price,
'amount_filled': amount_filled,
'amount_orig': amount_orig
}
return ret
def run(self):
while True:
m = self.q.get()
# print(m)
if m['type'] == 'Delete all active orders':
active_orders = self.okex.get_order()
if active_orders:
temp_orders = copy(active_orders)
for order in temp_orders:
self.okex.delete_order(order)
elif m['type'] == 'New order':
price = m['price']
side = m['side']
amount = m['amount']
if side == 'long':
result = self.okex.long(amount=amount, price=price)
else:
result = self.okex.short(amount=amount, price=price)
order = self.okex.get_order(result['order_id'])
self.q_output.put({
'type': 'Order new',
'ordid': order['order_id'],
'amount': order['amount']
})
elif m['type'] == 'Get long and short orders':
ret = self.my_getOrder()
amount_filled = None
for side, details in ret.items():
amount_filled = details['amount_filled']
amount_orig = details['amount_orig']
if amount_orig:
self.lastPosition[side] = amount_orig - amount_filled
# 控制输出，与上次相同的数据就不用输出了
last_id = self.last_get_order_info[side]['ordid']
last_amount_filled = self.last_get_order_info[side][
'amount_filled']
if last_id != details[
'ordid'] or last_amount_filled != amount_filled:
self.last_get_order_info[side]['ordid'] = details[
'ordid']
self.last_get_order_info[side][
'amount_filled'] = amount_filled
logging.info('GetOrder: id %s, filled: %s' %
(details['ordid'], amount_filled))
else:
try:
latest_executed_order = self.get_latest_order(
side=side)
amount_filled = latest_executed_order['details'][
'deal_amount']
amount_orig = latest_executed_order['details'][
'amount']
amount_remain = amount_orig - amount_filled
self.lastPosition[side] = amount_remain # 正常情况下是0
logging.info('GetOrder: id %s, filled: %s' %
(latest_executed_order['ordid'],
amount_filled))
except Exception as ex:
logging.error('ex')
ret['amount_filled'] = amount_filled
self.q_output.put(ret)
elif m['type'] == 'Delete and place new order':
ret = self.my_getOrder()
# 待下单信息
side = m['side']
amount = m['amount']
price = m['price']
# 待删除订单信息
ordid = ret[side]['ordid']
old_price = ret[side]['price']
# 删除订单
# 订单状态未完成（可以查到订单号）
if ordid:
self.okex.delete_order(ordid)
result = self.okex.get_order(ordid)
amount_filled = result['deal_amount']
amount_orig = result['amount']
amount_remain = amount_orig - amount_filled
old_price = result['price']
logging.info(
'Delete: canceling order %s @%s, filled %s, last position: %s'
% (ordid, old_price, amount_filled,
self.lastPosition[side]))
# 订单已完成
else:
try:
latest_executed_order = self.get_latest_order(
side=side)
amount_filled = latest_executed_order['details'][
'deal_amount']
amount_orig = latest_executed_order['details'][
'amount']
amount_remain = amount_orig - amount_filled
self.lastPosition[side] = amount_remain # 正常情况下是0
logging.info(
'Delete: id %s has been filled before deleted, amount: %s '
% (latest_executed_order['ordid'], amount_filled))
except Exception as ex:
logging.error(ex)
# 下单， 数量是删除订单时返回的
amount = amount_remain if amount_remain else amount
if side == 'long':
res = self.okex.long(amount=amount, price=price)
else:
res = self.okex.short(amount=amount, price=price)
order = self.okex.get_order(res['order_id'])
self.q_output.put({
'type': 'Delete and place new order',
'ordid': order['order_id'],
'price': order['price'],
'amount': order['amount']
})