def on_query_contract(self, data: dict, request: Request) -> None:
""""""
for d in data["symbols"]:
base_currency = d["baseAsset"]
quote_currency = d["quoteAsset"]
name = f"{base_currency.upper()}/{quote_currency.upper()}"
pricetick = 1
min_volume = 1
for f in d["filters"]:
if f["filterType"] == "PRICE_FILTER":
pricetick = float(f["tickSize"])
elif f["filterType"] == "LOT_SIZE":
min_volume = float(f["stepSize"])
contract = ContractData(
symbol=d["symbol"],
exchange=Exchange.BINANCE,
name=name,
pricetick=pricetick,
size=1,
min_volume=min_volume,
product=Product.FUTURES,
history_data=True,
gateway_name=self.gateway_name,
)
self.gateway.on_contract(contract)
symbol_name_map[contract.symbol] = contract.name
self.gateway.write_log("合约信息查询成功")
def on_query_contract(self, data, request):
""""""
for instrument_data in data:
symbol = instrument_data["instrument_id"]
contract = ContractData(
symbol=symbol,
exchange=Exchange.OKEX,
name=symbol,
product=Product.FUTURES,
size=float(instrument_data["contract_val"]),
pricetick=float(instrument_data["tick_size"]),
history_data=True,
gateway_name=self.gateway_name,
)
self.gateway.on_contract(contract)
instruments.add(instrument_data["instrument_id"])
currencies.add(instrument_data["underlying_index"])
currencies.add(instrument_data["quote_currency"])
self.gateway.write_log("合约信息查询成功")
# Start websocket api after instruments data collected
self.gateway.ws_api.start()
# and query pending orders
self.query_order()
def on_query_contract(self, data, request): # type: (dict, Request)->None
""""""
if self.check_error(data, "查询合约"):
return
for d in data["data"]:
self.currencies.add(d["symbol"])
contract = ContractData(
symbol=d["contract_code"],
exchange=Exchange.HUOBI,
name=d["contract_code"],
pricetick=d["price_tick"],
size=int(d["contract_size"]),
min_volume=1,
product=Product.FUTURES,
history_data=True,
gateway_name=self.gateway_name,
)
self.gateway.on_contract(contract)
symbol_type_map[contract.symbol] = d["contract_type"]
self.gateway.write_log("合约信息查询成功")
self.query_order()
def on_query_contract(self, data, request): # type: (dict, Request)->None
""""""
for d in data:
symbol = d["name"]
self.symbols.append(symbol)
contract = ContractData(
symbol=symbol,
exchange=Exchange.GATEIO,
name=symbol,
pricetick=float(d["order_price_round"]),
size=int(d["leverage_min"]),
min_volume=d["order_size_min"],
product=Product.FUTURES,
gateway_name=self.gateway_name,
history_data=True
)
self.gateway.on_contract(contract)
self.gateway.write_log("合约信息查询成功")
# Connect websocket api after account id and contract symbols collected
self.ws_api.connect(
self.key,
self.secret,
self.server,
self.proxy_host,
self.proxy_port,
self.account_id,
self.symbols
)
def on_query_contract(self, data: dict, request: Request) -> None:
""""""
if self.check_error(data, "查询合约"):
return
for d in data["data"]:
base_currency = d["base-currency"]
quote_currency = d["quote-currency"]
name = f"{base_currency.upper()}/{quote_currency.upper()}"
pricetick = 1 / pow(10, d["price-precision"])
min_volume = 1 / pow(10, d["amount-precision"])
contract = ContractData(
symbol=d["symbol"],
exchange=Exchange.HUOBI,
name=name,
pricetick=pricetick,
size=1,
min_volume=min_volume,
product=Product.SPOT,
history_data=True,
gateway_name=self.gateway_name,
)
self.gateway.on_contract(contract)
huobi_symbols.add(contract.symbol)
symbol_name_map[contract.symbol] = contract.name
self.gateway.write_log("合约信息查询成功")
def on_query_contract(self, data: List, request: Request) -> None:
""""""
if not data:
return
for instrument_data in data:
symbol = instrument_data["instrument_id"]
contract = ContractData(
symbol=symbol,
exchange=Exchange.OKEX,
name=symbol,
product=Product.OPTION,
size=float(instrument_data["contract_val"]),
pricetick=float(instrument_data["tick_size"]),
min_volume=float(instrument_data["lot_size"]),
option_strike=float(instrument_data["strike"]),
option_type=OPTIONTYPE_OKEXO2VT[
instrument_data["option_type"]],
option_expiry=datetime.strptime(instrument_data["delivery"],
"%Y-%m-%dT%H:%M:%S.%fZ"),
option_portfolio=instrument_data["underlying"],
option_index=instrument_data["strike"],
history_data=True,
net_position=True,
gateway_name=self.gateway_name,
)
contract.option_underlying = "_".join([
contract.option_portfolio,
contract.option_expiry.strftime("%Y%m%d")
])
self.gateway.on_contract(contract)
self.gateway.write_log("期权合约信息查询成功")
# Start websocket api after instruments data collected
self.gateway.ws_api.start()
# and query pending orders
self.query_account()
self.query_position()
self.query_order()
def on_query_contract(self, data, request):
""""""
for instrument_data in data:
symbol = instrument_data["instrument_id"]
contract = ContractData(
symbol=symbol,
exchange=Exchange.OKEX,
name=symbol,
product=Product.SPOT,
size=1,
pricetick=float(instrument_data["tick_size"]),
min_volume=float(instrument_data["min_size"]),
history_data=True,
gateway_name=self.gateway_name)
self.gateway.on_contract(contract)
instruments.add(instrument_data["instrument_id"])
currencies.add(instrument_data["base_currency"])
currencies.add(instrument_data["quote_currency"])
self.gateway.write_log("合约信息查询成功")
# Start websocket api after instruments data collected
self.gateway.ws_api.start()
