async def process(self, msg):
""" 处理websocket上接收到的消息
"""
# logger.debug("msg:", msg, caller=self)
if tools.get_cur_timestamp() <= self._last_msg_ts:
return
if not isinstance(msg, dict):
return
notifications = msg.get("notifications")
if not notifications:
return
message = notifications[0].get("message")
if message != "order_book_event":
return
symbol = notifications[0].get("result").get("instrument")
bids = []
for item in notifications[0].get("result").get("bids")[:10]:
b = [item.get("price"), item.get("quantity")]
bids.append(b)
asks = []
for item in notifications[0].get("result").get("asks")[:10]:
a = [item.get("price"), item.get("quantity")]
asks.append(a)
self._last_msg_ts = tools.get_cur_timestamp()
orderbook = {
"platform": self._platform,
"symbol": symbol,
"asks": asks,
"bids": bids,
"timestamp": self._last_msg_ts
}
EventOrderbook(**orderbook).publish()
logger.info("symbol:", symbol, "orderbook:", orderbook, caller=self)
def __init__(self,
account=None,
platform=None,
strategy=None,
order_no=None,
symbol=None,
action=None,
price=0,
quantity=0,
remain=0,
status=ORDER_STATUS_NONE,
avg_price=0,
order_type=ORDER_TYPE_LIMIT,
trade_type=TRADE_TYPE_NONE,
ctime=None,
utime=None):
self.platform = platform # 交易平台
self.account = account # 交易账户
self.strategy = strategy # 策略名称
self.order_no = order_no # 委托单号
self.action = action # 买卖类型 SELL-卖，BUY-买
self.order_type = order_type # 委托单类型 MARKET-市价，LIMIT-限价
self.symbol = symbol # 交易对 如: ETH/BTC
self.price = price # 委托价格
self.quantity = quantity # 委托数量（限价单）
self.remain = remain # 剩余未成交数量
self.status = status # 委托单状态
self.avg_price = avg_price # 成交均价
self.trade_type = trade_type # 合约订单类型 开多/开空/平多/平空
self.ctime = ctime if ctime else tools.get_cur_timestamp() # 创建订单时间戳
self.utime = utime if utime else tools.get_cur_timestamp() # 交易所订单更新时间
async def receive(self):
""" 接收消息
"""
"""
See: client_ws.py
async def __anext__(self):
msg = await self.receive()
if msg.type in (WSMsgType.CLOSE,
WSMsgType.CLOSING,
WSMsgType.CLOSED):
raise StopAsyncIteration # NOQA
return msg
"""
self.last_timestamp = tools.get_cur_timestamp() #单位:秒,连接检测时间初始化
async for msg in self.ws: #参考aiohttp的源码,当ws连接被关闭后,本循环将退出
self.last_timestamp = tools.get_cur_timestamp(
) #单位:秒,每收到一个消息就更新一下此变量,用于判断网络是否出问题,是否需要重连
if msg.type == aiohttp.WSMsgType.TEXT:
try:
data = json.loads(msg.data)
except:
data = msg.data
#await asyncio.get_event_loop().create_task(self.process(data)) #这样写的好处是如果里面这个函数发生异常不会影响本循环,因为它在单独任务里面执行
try:
await self.process(data)
except Exception as e:
logger.error("process ERROR:", e, caller=self)
await self.socket_close() #关闭
break #退出循环
elif msg.type == aiohttp.WSMsgType.BINARY:
#await asyncio.get_event_loop().create_task(self.process_binary(msg.data)) #好处同上
try:
await self.process_binary(msg.data)
except Exception as e:
logger.error("process_binary ERROR:", e, caller=self)
await self.socket_close() #关闭
break #退出循环
elif msg.type == aiohttp.WSMsgType.ERROR:
logger.error("receive event ERROR:", msg, caller=self)
break #退出循环
else:
#aiohttp.WSMsgType.CONTINUATION
#aiohttp.WSMsgType.PING
#aiohttp.WSMsgType.PONG
logger.warn("unhandled msg:", msg, caller=self)
#当代码执行到这里的时候ws已经是关闭状态,所以不需要再调用close去关闭ws了.
#当ws连接被关闭或者出现任何错误,将重新连接
state = State(self._platform, self._account,
"connection lost! url: {}".format(self._url),
State.STATE_CODE_DISCONNECT)
SingleTask.run(self.cb.on_state_update_callback, state)
self.last_timestamp = 0 #先置0,相当于关闭连接检测
asyncio.get_event_loop().create_task(self._reconnect())
async def find_one_and_update(self,
spec,
update_fields,
upsert=False,
return_document=False,
fields=None,
cursor=None):
""" 查询一条指定数据，并修改这条数据
@param spec 查询条件
@param update_fields 更新字段
@param upsert 如果不满足条件，是否插入新数据，默认False
@param return_document 返回修改之前数据或修改之后数据，默认False为修改之前数据
@param fields 需要返回的字段，默认None为返回全部数据
@return result 修改之前或之后的数据
@param cursor 查询游标，如不指定默认使用self._cursor
"""
if not cursor:
cursor = self._cursor
spec[DELETE_FLAG] = {"$ne": True}
if "_id" in spec:
spec["_id"] = self._convert_id_object(spec["_id"])
set_fields = update_fields.get("$set", {})
set_fields["update_time"] = tools.get_cur_timestamp()
update_fields["$set"] = set_fields
result = await cursor.find_one_and_update(
spec,
update_fields,
projection=fields,
upsert=upsert,
return_document=return_document)
if result and "_id" in result:
result["_id"] = str(result["_id"])
return result
async def update(self,
spec,
update_fields,
upsert=False,
multi=False,
cursor=None):
""" 更新
@param spec 更新条件
@param update_fields 更新字段
@param upsert 如果不满足条件，是否插入新数据
@param multi 是否批量更新
@return modified_count 更新数据条数
@param cursor 查询游标，如不指定默认使用self._cursor
"""
if not cursor:
cursor = self._cursor
update_fields = copy.deepcopy(update_fields)
spec[DELETE_FLAG] = {"$ne": True}
if "_id" in spec:
spec["_id"] = self._convert_id_object(spec["_id"])
set_fields = update_fields.get("$set", {})
set_fields["update_time"] = tools.get_cur_timestamp()
update_fields["$set"] = set_fields
if not multi:
result = await cursor.update_one(spec,
update_fields,
upsert=upsert)
return result.modified_count
else:
result = await cursor.update_many(spec,
update_fields,
upsert=upsert)
return result.modified_count
async def insert(self, docs_data, cursor=None):
""" 插入数据
@param docs_data 插入数据 dict或list
@param ret_ids 插入数据的id列表
@param cursor 查询游标，如不指定默认使用self._cursor
"""
if not cursor:
cursor = self._cursor
docs = copy.deepcopy(docs_data)
ret_ids = []
is_one = False
create_time = tools.get_cur_timestamp()
if not isinstance(docs, list):
docs = [docs]
is_one = True
for doc in docs:
doc["_id"] = ObjectId()
doc["create_time"] = create_time
doc["update_time"] = create_time
ret_ids.append(str(doc["_id"]))
cursor.insert_many(docs)
if is_one:
return ret_ids[0]
else:
return ret_ids
async def find_one_and_update(self, spec, update_fields, upsert=False, return_document=False, fields=None,
cursor=None):
""" Find a document and update this document.
Args:
spec: Query params.
update_fields: Fields to be updated.
upsert: If server this document if not exist? True or False.
return_document: If return new document? `True` return new document, False return old document.
fields: The fields to be return.
cursor: Query cursor, default is `self._cursor`.
Return:
result: Document.
"""
if not cursor:
cursor = self._cursor
spec[DELETE_FLAG] = {"$ne": True}
if "_id" in spec:
spec["_id"] = self._convert_id_object(spec["_id"])
set_fields = update_fields.get("$set", {})
set_fields["update_time"] = tools.get_cur_timestamp()
update_fields["$set"] = set_fields
result = await cursor.find_one_and_update(spec, update_fields, projection=fields, upsert=upsert,
return_document=return_document)
if result and "_id" in result:
result["_id"] = str(result["_id"])
return result
async def request(self, method, uri, params=None, headers=None, body=None, auth=False):
""" Do HTTP request.
Args:
method: HTTP request method. GET, POST, DELETE, PUT.
uri: HTTP request uri.
params: HTTP query params.
headers: HTTP request header.
body: HTTP request body.
auth: If required signature.
Returns:
success: Success results, otherwise it's None.
error: Error information, otherwise it's None.
"""
url = urljoin(self._host, uri)
if params:
query = "&".join(["=".join([str(k), str(v)]) for k, v in params.items()])
url += "?" + query
else:
query = ""
if auth:
signature = hmac.new(self._secret_key.encode(), query.encode(), hashlib.sha256).hexdigest()
headers = {
"ACCESS-TIMESTAMP": str(tools.get_cur_timestamp()),
"ACCESS-KEY": self._access_key,
"ACCESS-SIGN": signature
}
_, success, error = await AsyncHttpRequests.fetch(method, url, body=body, headers=headers, timeout=10)
if error:
return None, error
if success.get("code") != 0:
return None, success
return success, None
async def get_asset_snapshot(self,
platform,
account,
start=None,
end=None):
""" 获取资产快照
@param platform 交易平台
@param account 账户
@param start 开始时间戳(秒)
@param end 结束时间戳(秒)
"""
if not end:
end = tools.get_cur_timestamp() # 截止时间默认当前时间
if not start:
start = end - 60 * 60 * 24 # 开始时间默认一天前
spec = {
'platform': platform,
'account': account,
'create_time': {
'$gte': start,
'$lte': end
}
}
fields = {'platform': 0, 'account': 0, 'update_time': 0}
datas = await self.get_list(spec, fields=fields)
return datas
async def insert(self, docs, cursor=None):
""" Insert (a) document(s).
Args:
docs: Dict or List to be inserted.
cursor: DB cursor, default is `self._cursor`.
Return:
ret_ids: Document id(s) that already inserted, if insert a dict, `ret_ids` is a id string; if insert a list,
`ret_ids` is a id list.
"""
if not cursor:
cursor = self._cursor
docs_data = copy.deepcopy(docs)
ret_ids = []
is_one = False
create_time = tools.get_cur_timestamp()
if not isinstance(docs_data, list):
docs_data = [docs_data]
is_one = True
for doc in docs_data:
doc["_id"] = ObjectId()
doc["create_time"] = create_time
doc["update_time"] = create_time
ret_ids.append(str(doc["_id"]))
cursor.insert_many(docs_data)
if is_one:
return ret_ids[0]
else:
return ret_ids
async def get_asset_snapshot(self,
platform,
account,
start=None,
end=None):
""" Get asset snapshot data from db.
Args:
platform: Exchange platform name. e.g. binance/bitmex/okex
account: Account name. e.g. [email protected]
start: Start time, Millisecond timestamp, default is a day ago.
end: End time, Millisecond timestamp, default is current timestamp.
Returns:
datas: Asset data list. e.g. [{"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }, ... ]
"""
if not end:
end = tools.get_cur_timestamp() # Current timestamp
if not start:
start = end - 60 * 60 * 24 # A day ago.
spec = {
"platform": platform,
"account": account,
"timestamp": {
"$gte": start,
"$lte": end
}
}
fields = {"platform": 0, "account": 0, "update_time": 0}
datas = await self._db.get_list(spec, fields=fields)
return datas
async def _update_heartbeat_msg(self, *args, **kwargs):
""" Update heartbeat message to new request id.
"""
self.heartbeat_msg = {
"event": "ping",
"reqid": tools.get_cur_timestamp()
}
async def request(self, uri, data):
""" 发起请求
"""
url = urljoin(self._host, uri)
timestamp = tools.get_cur_timestamp()
data["accesskey"] = self._access_key
data["secretkey"] = self._secret_key
data["timestamp"] = timestamp
sign = "&".join(["{}={}".format(k, data[k]) for k in sorted(data.keys())])
md5_str = hashlib.md5(sign.encode("utf8")).hexdigest()
del data["secretkey"]
del data["accesskey"]
del data["timestamp"]
body = {
"common": {
"accesskey": self._access_key,
"timestamp": timestamp,
"sign": md5_str
},
"data": data
}
trace_id = md5_str[:16] # 16位的随机字符串
headers = {
"X-B3-Traceid": trace_id,
"X-B3-Spanid": trace_id
}
_, success, error = await AsyncHttpRequests.fetch("POST", url, data=body, headers=headers, timeout=10)
if error:
return None, error
if str(success.get("code")) != "1000":
return None, success
return success["data"]["result"], None
async def update(self, spec, update_fields, upsert=False, multi=False, cursor=None):
""" Update (a) document(s).
Args:
spec: Query params, optional. Specifies selection filter using query operators.
To return all documents in a collection, omit this parameter or pass an empty document ({}).
update_fields: Fields to be updated.
upsert: If server this document if not exist? True or False.
multi: Update multiple documents? True or False.
cursor: Query cursor, default is `self._cursor`.
Return:
modified_count: How many documents has been modified.
"""
if not cursor:
cursor = self._cursor
update_fields = copy.deepcopy(update_fields)
spec[DELETE_FLAG] = {"$ne": True}
if "_id" in spec:
spec["_id"] = self._convert_id_object(spec["_id"])
set_fields = update_fields.get("$set", {})
set_fields["update_time"] = tools.get_cur_timestamp()
update_fields["$set"] = set_fields
if not multi:
result = await cursor.update_one(spec, update_fields, upsert=upsert)
return result.modified_count
else:
result = await cursor.update_many(spec, update_fields, upsert=upsert)
return result.modified_count
async def _check_connection(self, *args, **kwargs):
""" 检查连接是否正常
"""
now = tools.get_cur_timestamp() #当前时间,单位:秒
if self.last_timestamp > 0 and now - self.last_timestamp > self._check_conn_interval: #最后接收数据包(包括pingpong包)时间间隔超过指定值
if self.ws and not self.ws.closed: #连接没有关闭
await self.socket_close() #关闭
def encode(cls, user_id, username):
info = {
"user_id": user_id,
"username": username,
"timestamp": tools.get_cur_timestamp()
}
bdata = json.dumps(info).encode("ascii")
token = base64.b64encode(bdata)
return token.decode()
async def connected_callback(self):
""" 建立连接之后，鉴权、订阅频道
"""
# 身份验证
expires = tools.get_cur_timestamp() + 5
signature = self._rest_api.generate_signature("GET", "/realtime", expires, None)
data = {
"op": "authKeyExpires",
"args": [self._access_key, expires, signature]
}
await self.ws.send_json(data)
def __init__(self, **kwargs):
self._platform = kwargs["platform"]
self._wss = kwargs.get("wss", "wss://hermes.deribit.com")
self._symbols = list(set(kwargs.get("symbols")))
self._channels = kwargs.get("channels")
self._access_key = kwargs.get("access_key")
self._secret_key = kwargs.get("secret_key")
self._last_msg_ts = tools.get_cur_timestamp() # 上次接收到消息的时间戳
url = self._wss + "/ws/api/v1/"
super(Deribit, self).__init__(url)
self.heartbeat_msg = {"action": "/api/v1/public/ping"}
self.initialize()
def __init__(self):
self._platform = DERIBIT
self._url = config.platforms.get(self._platform).get("wss")
self._symbols = list(
set(config.platforms.get(self._platform).get("symbols")))
self._access_key = config.platforms.get(
self._platform).get("access_key")
self._secret_key = config.platforms.get(
self._platform).get("secret_key")
self._last_msg_ts = tools.get_cur_timestamp() # 上次接收到消息的时间戳
super(Deribit, self).__init__(self._url)
self.heartbeat_msg = {"action": "/api/v1/public/ping"}
self.initialize()
async def request(self, method, uri, params=None, body=None):
""" 发起请求
"""
if params:
query = "&".join(["{}={}".format(k, params[k]) for k in sorted(params.keys())])
url = uri + "?" + query
else:
url = uri
ts = tools.get_cur_timestamp() + 5
signature = self.generate_signature(method, url, ts, body)
headers = {
"api-expires": str(ts),
"api-key": self.access_key,
"api-signature": signature
}
url = urljoin(self.host, uri)
_, success, error = await AsyncHttpRequests.fetch(method, url, headers=headers, data=body, timeout=10)
return success, error
async def auth_middleware(request, handler):
""" Authentication middleware.
"""
ext_uri = config.http_server.get("ext_uri", [])
if request.path not in ext_uri:
token = request.headers.get("Token")
if not token:
token = request.query.get("Token")
if not token:
raise exceptions.AuthenticationFailed(msg="Token miss.")
try:
user_id, username, timestamp = AuthToken.decode(token)
except:
raise exceptions.AuthenticationFailed(msg="Token error.")
if tools.get_cur_timestamp() - timestamp > 60 * 60 * 24: # expire time.
raise exceptions.AuthenticationFailed(msg="Token expired.")
request.user_id = user_id
response = await handler(request)
return response
async def request(self, uri, data):
""" Do HTTP request.
Args:
uri: HTTP request uri.
data: HTTP request body.
Returns:
success: Success results, otherwise it's None.
error: Error information, otherwise it's None.
"""
url = urljoin(self._host, uri)
timestamp = tools.get_cur_timestamp()
data["accesskey"] = self._access_key
data["secretkey"] = self._secret_key
data["timestamp"] = timestamp
sign = "&".join(
["{}={}".format(k, data[k]) for k in sorted(data.keys())])
md5_str = hashlib.md5(sign.encode("utf8")).hexdigest()
del data["secretkey"]
del data["accesskey"]
del data["timestamp"]
body = {
"common": {
"accesskey": self._access_key,
"timestamp": timestamp,
"sign": md5_str
},
"data": data
}
trace_id = md5_str[:16] # A 16th length of random string.
headers = {"X-B3-Traceid": trace_id, "X-B3-Spanid": trace_id}
_, success, error = await AsyncHttpRequests.fetch("POST",
url,
data=body,
headers=headers,
timeout=10)
if error:
return None, error
if str(success.get("code")) != "1000":
return None, success
return success["data"]["result"], None
async def receive(self):
""" 接收消息
"""
async for msg in self.ws:
self._last_receive_ts = tools.get_cur_timestamp()
if msg.type == aiohttp.WSMsgType.TEXT:
try:
data = json.loads(msg.data)
except:
data = msg.data
await asyncio.get_event_loop().create_task(self.process(data))
elif msg.type == aiohttp.WSMsgType.BINARY:
await asyncio.get_event_loop().create_task(
self.process_binary(msg.data))
elif msg.type == aiohttp.WSMsgType.CLOSED:
logger.warn('receive event CLOSED:', msg, caller=self)
await asyncio.get_event_loop().create_task(self._reconnect())
return
elif msg.type == aiohttp.WSMsgType.ERROR:
logger.error('receive event ERROR:', msg, caller=self)
else:
logger.warn('unhandled msg:', msg, caller=self)
async def connected_callback(self):
""" 建立连接之后，订阅事件 ticker/deals
"""
# 身份验证
expires = tools.get_cur_timestamp() + 5
signature = self._rest_api.generate_signature("GET", "/realtime", expires, None)
data = {
"op": "authKeyExpires",
"args": [self._access_key, expires, signature]
}
await self.ws.send_json(data)
logger.info("Websocket connection authorized successfully.", caller=self)
# 订阅order和position
ch_order = "order:{symbol}".format(symbol=self._symbol)
ch_position = "position:{symbol}".format(symbol=self._symbol)
data = {
"op": "subscribe",
"args": [ch_order, ch_position]
}
await self.ws.send_json(data)
logger.info("subscribe account/order/position successfully.", caller=self)
async def send_heartbeat_msg(self, *args, **kwargs):
data = {"event": "ping", "reqid": tools.get_cur_timestamp()}
if not self._ws:
logger.error("Websocket connection not yeah!", caller=self)
return
await self._ws.send(data)
