def get_instruments(exchange, sec_type=None, is_active=1):
'''
:param exchange:
:param sec_type:
:param is_active:
:return:
'''
instrus = []
if exchange == 'huobipro':
res = hb.get_symbols()
if res['status'] == 'ok':
data = res['data']
for each in data:
instru = Instrument()
instru.exchange = exchange
instru.symbol = each['base-currency'] + each['quote-currency']
instru.base_currency = each['base-currency']
instru.quote_currency = each['quote-currency']
instru.amount_precision = each['amount-precision']
instru.price_precision = each['price-precision']
instru.symbol_partition = each['symbol-partition']
instrus = instrus + [instru]
else:
logger.warn('No instruments found')
return instrus
def get_positions(exchange):
'''
:param exchange:
:return:
'''
positions = []
if exchange == 'huobipro':
account_id = get_accounts(exchange=exchange)
# 先获取融资账户资金
margin_account = account_id['margin']['id']
res = hb.get_balance(acct_id=margin_account)
if res['status'] == 'ok':
balance = res['data']
for each in balance:
if each['trade'] > 0 or each['frozen'] > 0:
position = Position()
position.exchange = exchange
position.account_id = account_id
position.available = each['trade']
position.order_frozen = each['frozen']
position.volume = each['trade'] + each['frozen']
positions = positions + [position]
else:
logger.warn(res['err-code'] + ':' + res['err-msg'])
return positions
def get_last_ticks(exchange, symbol_list):
'''
:param exchange:
:param symbol_list:
:return:
'''
ticks = []
if exchange == 'huobipro':
for each in symbol_list:
tick_res = hb.get_ticker(symbol=each)
# depth_res = hb.get_depth(symbol=each, type='step5')
if tick_res['status'] == 'ok':
data = tick_res['tick']
tick = Tick()
tick.exchange = exchange
tick.sec_id = each
tick.utc_time = tick_res['ts']
tick.strtime = time.strftime(
'%Y-%m-%d %H:%M:%S', time.localtime(tick_res['ts'] / 1000))
tick.open = data['open']
tick.high = data['high']
tick.low = data['low']
tick.last_price = data['close']
tick.last_volume = data['vol']
tick.last_amount = data['amount']
tick.last_count = data['count']
tick.asks = [tuple(data['ask'])]
tick.bids = [tuple(data['bid'])]
ticks = ticks + [tick]
else:
logger.warn('No data fechted!')
return ticks
def unlock():
try:
data = json.loads(flask.request.data)
uuid = data.get("uuid", None)
params = {"uuid": uuid}
util.check_param(**params)
token = flask.request.headers.get("token", None)
if (token not in util.session) or \
(not conductor.user.is_admin_user(util.session[token])):
message = {
"error": "limited authority",
"code": 401,
"tips": util.get_tips_dict(10006)
}
message = json.dumps(message)
logger.debug("POST /user/v1/unlock - 401")
logger.warn("unlock user %s WARNING: limited authority." % uuid)
return message, 401
conductor.user.unlock(uuid)
except DuplicateException as e:
message = {
"success": e.error_message,
"code": e.httpcode
}
message = json.dumps(message)
logger.info(e.error_message)
logger.debug("POST /user/v1/unlock - %s" % e.httpcode)
return message, e.httpcode
except STPHTTPException as e:
message = {
"error": e.error_message,
"code": e.httpcode,
"tips": e.tip
}
message = json.dumps(message)
logger.debug("POST /user/v1/unlock - %s" % e.httpcode)
logger.error("unlock user ERROR:\n %s" % traceback.format_exc())
return message, e.httpcode
except json.decoder.JSONDecodeError:
logger.error("unlock user ERROR: JSON decode failed.\n %s" %
traceback.format_exc())
logger.debug("POST /user/v1/unlock - 406")
message = {
"error": "invalid POST request: JSON decode failed.",
"code": 406,
"tips": util.get_tips_dict(10004)
}
message = json.dumps(message)
return message, 406
logger.info("unlock user %s success." % uuid)
message = {
"success": "unlock user %s success." % uuid,
"code": 200
}
message = json.dumps(message)
return message, 200
def get_positions(exchange):
'''
:param exchange:
:return:
'''
positions = []
if exchange == 'huobipro':
accounts = get_accounts(exchange=exchange)
# 先获取融资账户资金
margin_account = accounts['margin']['id']
res = hb.get_balance(acct_id=margin_account)
if res['status'] == 'ok':
account_info = res['data']
account_id = account_info['id']
account_type = account_info['type']
account_status = account_info['state']
account_balance = account_info['list']
data_df = pd.DataFrame(data=account_balance)
data_df.index = data_df['currency']
data_new = pd.DataFrame(
[],
index=np.unique(data_df['currency']),
columns=['trade', 'frozen', 'loan', 'interest'])
data_new['trade'] = data_df[data_df['type'] == 'trade']['balance']
data_new['frozen'] = data_df[data_df['type'] ==
'frozen']['balance']
data_new['loan'] = data_df[data_df['type'] == 'loan']['balance']
data_new['interest'] = data_df[data_df['type'] ==
'interest']['balance']
data_new = data_new.astype('float')
tmp = data_new.apply(lambda x: sum(np.abs(x)), axis=1)
data_selected = data_new.loc[tmp[tmp > 0].index]
for each in data_selected.index:
position = Position()
position.exchange = exchange
position.account_id = account_id
position.account_type = account_type
position.account_status = account_status
position.sec_id = each
position.available = float(data_selected.loc[each]['trade'])
position.order_frozen = float(
data_selected.loc[each]['frozen'])
position.amount = position.available + position.order_frozen
position.loan = data_selected.loc[each]['loan']
position.interest = data_selected.loc[each]['interest']
positions = positions + [position]
else:
logger.warn(res['err-code'] + ':' + res['err-msg'])
return positions
def cancel_order(exchange, cl_ord_id=None):
'''
取消订单
:param exchange: 交易所
:param order_id: 订单号
:return:
'''
if exchange == 'huobipro':
res = hb.cancel_order(order_id=cl_ord_id)
if res['status'] == 'ok':
return res['data']
else:
logger.warn(res['err-code'] + ':' + res['err-msg'])
return None
def update_station():
try:
data = json.loads(flask.request.data)
token = flask.request.headers.get("token", None)
if (token not in util.session) or \
(not conductor.user.is_admin_user(util.session[token])):
message = {
"error": "limited authority",
"code": 401,
"tips": util.get_tips_dict(10006)
}
message = json.dumps(message)
logger.warn("update subway station WARNING: limited authority.")
logger.debug("PUT /station/v1/update - 401")
return message, 401
except json.decoder.JSONDecodeError:
logger.error("update subway station ERROR: JSON decode failed.\n %s" %
traceback.format_exc())
logger.debug("PUT /station/v1/update - 406")
message = {
"error": "invalid PUT request: JSON decode failed.",
"code": 406,
"tips": util.get_tips_dict(10004)
}
message = json.dumps(message)
return message, 406
uuid = data.get("uuid", None)
new_name = data.get("name", None)
try:
params = {"uuid": uuid, "name": new_name}
util.check_param(**params)
conductor.station.update(uuid, new_name)
except STPHTTPException as e:
message = {"error": e.error_message, "code": e.httpcode, "tips": e.tip}
message = json.dumps(message)
logger.error("update subway station %s ERROR:\n%s" %
(uuid, traceback.format_exc()))
logger.debug("PUT /station/v1/update - %s" % e.httpcode)
return message, e.httpcode
message = {
"success": "update subway station %s success." % uuid,
"code": 200
}
message = json.dumps(message)
logger.debug("PUT /station/v1/update - 200")
return message, 200
def delete():
try:
data = json.loads(flask.request.data)
except json.decoder.JSONDecodeError:
logger.error("delete subway line ERROR: JSON decode failed.\n %s" %
traceback.format_exc())
logger.debug("DELETE /line/v1/delete - %s" % http_code.NotAcceptable)
message = {
"error": "invalid DELETE request: JSON decode failed.",
"code": http_code.NotAcceptable,
"tips": util.get_tips_dict(10004)
}
message = json.dumps(message)
return message, http_code.NotAcceptable
token = flask.request.headers.get("token", None)
if (token not in util.session) or \
(not conductor.user.is_admin_user(util.session[token])):
message = {
"error": "limited authority",
"code": http_code.Unauthorized,
"tips": util.get_tips_dict(10006)
}
message = json.dumps(message)
logger.warn("delete subway line WARNING: limited authority.")
logger.debug("DELETE /line/v1/delete - %s" % http_code.Unauthorized)
return message, http_code.Unauthorized
uuid = data.get("uuid", None)
logger.info("Begin to delete subway line %s." % uuid)
try:
kwargs = {"uuid": uuid}
util.check_param(**kwargs)
conductor.line.delete_subway_line(uuid)
except STPHTTPException as e:
message = {"error": e.error_message, "code": e.httpcode, "tips": e.tip}
message = json.dumps(message)
logger.error("delete subway line %s ERROR:\n%s" %
(uuid, traceback.format_exc()))
logger.debug("DELETE /line/v1/delete - %s" % e.httpcode)
return message, e.httpcode
message = {
"success": "delete subway line %s success." % uuid,
"code": http_code.OK
}
message = json.dumps(message)
return message, http_code.OK
def add():
try:
data = json.loads(flask.request.data)
except json.decoder.JSONDecodeError:
logger.error("add subway line ERROR: JSON decode failed.\n %s" %
traceback.format_exc())
logger.debug("POST /line/v1/add - 406")
message = {
"error": "invalid POST request: JSON decode failed.",
"code": http_code.NotAcceptable,
"tips": util.get_tips_dict(10004)
}
message = json.dumps(message)
return message, http_code.NotAcceptable
token = flask.request.headers.get("token", None)
if (token not in util.session) or \
(not conductor.user.is_admin_user(util.session[token])):
message = {
"error": "limited authority",
"code": http_code.Unauthorized,
"tips": util.get_tips_dict(10006)
}
message = json.dumps(message)
logger.warn("add subway line WARNING: limited authority.")
logger.debug("POST /line/v1/add - 401")
return message, http_code.Unauthorized
name = data.get("name", None)
try:
logger.info("Begin to add subway line %s." % name)
util.check_param(name=name)
conductor.line.add_subway_line(name)
except STPHTTPException as e:
message = {"error": e.error_message, "code": e.httpcode, "tips": e.tip}
message = json.dumps(message)
logger.error("add subway line %s ERROR:\n%s" %
(name, traceback.format_exc()))
logger.debug("POST /line/v1/add - %s" % e.httpcode)
return message, e.httpcode
message = {
"success": "add subway line %s success." % name,
"code": http_code.OK
}
message = json.dumps(message)
return message, http_code.OK
def get_bars(exchange,
symbol_list,
bar_type,
begin_time='',
end_time='',
size=0):
'''
提取指定时间段的历史Bar数据，支持单个代码提取或多个代码组合提取。
:param symbol_list: 证券代码, 带交易所代码以确保唯一，如SHSE.600000，同时支持多只代码
:param bar_type: bar周期，1min, 5min, 15min, 30min, 60min, 1day, 1mon, 1week, 1year }
:param begin_time: 开始时间, 如2015-10-30 09:30:00
:param end_time: 结束时间, 如2015-10-30 15:00:00
:param size: 取数数量，[1,2000]
:return:
'''
bars = []
for each_sec in symbol_list:
res = hb.get_kline(symbol=each_sec, period=bar_type, size=size)
if res['status'] == 'ok':
data = res['data']
for each_bar in data:
bar = Bar()
bar.exchange = exchange
bar.sec_id = each_sec
bar.volume = each_bar['vol']
bar.amount = each_bar['amount']
bar.open = each_bar['open']
bar.high = each_bar['high']
bar.low = each_bar['low']
bar.close = each_bar['close']
bar.bar_type = bar_type
bar.utc_time = each_bar['id']
bar.strtime = time.strftime("%Y-%m-%d %H:%M:%S",
time.localtime(each_bar['id']))
bars = bars + [bar]
else:
logger.warn(res['err-code'] + ":" + res['error-msg'])
return bars
def user_list():
token = flask.request.headers.get("token", None)
if (token not in util.session) or \
(not conductor.user.is_admin_user(util.session[token])):
message = {
"users": [],
"error": "limited authority",
"code": 401,
"tips": util.get_tips_dict(10006)
}
message = json.dumps(message)
logger.debug("GET /user/v1/users - 401")
logger.warn("Can not get user list info: limited authority.")
return message, 401
users = conductor.user.users()
message = {"users": users, "code": 200}
message = json.dumps(message)
logger.debug("GET /user/v1/users - 200")
return message, 200
def get_last_bars(exchange, symbol_list, bar_type):
'''
:param symbol_list:
:param bar_type: {1min, 5min, 15min, 30min, 60min, 1day, 1mon, 1week, 1year }
:return:
'''
bars = []
if exchange == 'huobipro':
for each in symbol_list:
bar_res = hb.get_kline(symbol=each, period=bar_type, size=1)
if bar_res['status'] == 'ok':
data = bar_res['data'][0]
bar = Bar()
bar.exchange = exchange
bar.sec_id = each
bar.bar_type = bar_type
bar.utc_time = data['id']
bar.utc_time = time.strftime('%Y-%m-%d %H:%M:%S',
time.localtime(data['id']))
bar.open = data['open']
bar.high = data['high']
bar.low = data['low']
bar.close = data['close']
bar.volume = data['vol']
bar.amount = data['amount']
bar.count = data['count']
bar.utc_endtime = bar_res['ts']
bar.strendtime = time.strftime(
'%Y-%m-%d %H:%M:%S', time.localtime(bar_res['ts'] / 1000))
bars = bars + [bar]
else:
logger.warn('No bar data fetched!')
return bars
def get_order(exchange, cl_ord_id):
'''
获取历史订单信息
:param cl_ord_id:
:return:
'''
if exchange == 'huobipro':
res = hb.order_info(cl_ord_id)
if res['status'] == 'ok':
data = res['data']
order = Order()
order.exchange = exchange
order.account_id = data['account-id']
order.cl_ord_id = cl_ord_id
order.order_id = data['id']
order.order_src = data['source']
order.status = data['state']
order.sec_id = data['symbol']
order.order_type = data['type']
order.side = data['type']
order.position_effect = data['type']
order.sending_time = data['created-at']
order.transact_time = data['finished-at']
order.volume = float(data['amount'])
order.price = float(data['price'])
order.filled_amount = float(data['field-cash-amount'])
order.filled_fee = float(data['field-fees'])
order.filled_volume = float(data['field-amount'])
if (order.filled_volume > 0):
order.filled_vwap = round(order.filled_amount /
order.filled_volume, 4) ## 已成交均价
return order
else:
logger.warn(res['err-code'] + ":" + res['err-msg'])
return None
def update(context):
try:
data = json.loads(flask.request.data)
except json.decoder.JSONDecodeError:
logger.error("modify subway line ERROR: JSON decode failed.\n %s" %
traceback.format_exc())
logger.debug("PUT /line/v1/modify/%s - 406" % context)
message = {
"error": "invalid PUT request: JSON decode failed.",
"code": http_code.NotAcceptable,
"tips": util.get_tips_dict(10004)
}
message = json.dumps(message)
return message, http_code.NotAcceptable
token = flask.request.headers.get("token", None)
if (token not in util.session) or \
(not conductor.user.is_admin_user(util.session[token])):
message = {
"error": "limited authority",
"code": http_code.Unauthorized,
"tips": util.get_tips_dict(10006)
}
message = json.dumps(message)
logger.warn("update subway line WARNING: limited authority.")
logger.debug("PUT /line/v1/modify/%s - 401" % context)
return message, http_code.Unauthorized
if context == "name":
uuid = data.get("uuid", None)
new_name = data.get("name", None)
try:
param = {"uuid": uuid, "name": new_name}
util.check_param(**param)
conductor.line.update_line(**param)
except STPHTTPException as e:
message = {
"error": e.error_message,
"code": e.httpcode,
"tips": e.tip
}
message = json.dumps(message)
logger.error("update subway line %s name ERROR:\n%s" %
(uuid, traceback.format_exc()))
logger.debug("PUT /line/v1/modify/name - %s" % e.httpcode)
return message, e.httpcode
message = {
"success": "update subway line %s success." % uuid,
"code": http_code.OK
}
message = json.dumps(message)
return message, http_code.OK
else:
message = {
"error": "unknown modify request - '%s'" % context,
"code": http_code.NotFound,
"tips": util.get_tips_dict(10007)
}
message = json.dumps(message)
return message, http_code.NotFound
def close_short(exchange, sec_id, price, volume):
'''
平空仓，平空仓的流程是，买入数字货币，然后还贷
:param exchange: string 交易所代码，如火币网：huobipro，OKCoin: okcoin
:param sec_id: string 证券代码，如btcusdt
:param price: float 委托价，如果price=0,为市价单，否则为限价单
:param volume: float 委托量
:return: 委托下单生成的Order对象
'''
myorder = Order()
myorder.exchange = exchange
myorder.sec_id = sec_id
myorder.price = price ## 委托价
myorder.volume = volume ## 委托量
myorder.cl_ord_id = ''
myorder.position_effect = 1 ## 开平标志，1：开仓，2：平仓
myorder.side = 2 ## 买卖方向，1：多方向，2：空方向
myorder.order_type = 0 ## 订单类型
myorder.order_src = 0 ## 订单来源
if exchange == 'huobipro': # 火币网接口
if price == 0.0:
mtype = 'buy-market'
else:
mtype = 'buy-limit'
# 买入数字货币，用来偿还借贷
myorder.sending_time = time.strftime("%Y-%m-%d %H:%M:%S",
time.localtime(time.time()))
result = hb.send_margin_order(amount=volume,
source='margin-api',
symbol=sec_id,
_type=mtype,
price=price)
if result['status'] == 'ok':
myorder.ex_ord_id = result['data']
# 归还借贷资产
data_df = get_margin_orders()
loan_order = data_df[(data_df['currency'] == 'btc')
& (data_df['loan-amount'] > 0)].iloc[-1]
loan_order_id = loan_order.id
reapy_amount = loan_order['loan-amount'] + loan_order[
'interest-amount']
hb.repay_margin(loan_order_id, reapy_amount)
time.sleep(2) # 等待2 秒后查询订单
# 查询订单信息
order_info = hb.order_info(myorder.ex_ord_id)
myorder.account_id = order_info['data']['account-id']
myorder.status = order_info['data']['state']
myorder.sending_time = time.strftime(
"%Y-%m-%d %H:%M:%S",
time.localtime(order_info['data']['created-at'] / 1000))
myorder.filled_volume = float(
order_info['data']['field-amount']) ## 已成交量
myorder.filled_amount = float(
order_info['data']['field-cash-amount']) ## 已成交额
if (myorder.filled_volume > 0):
myorder.filled_vwap = round(myorder.filled_amount /
myorder.filled_volume, 4) ## 已成交均价
myorder.filled_fee = float(
order_info['data']['field-fees']) ## 手续费
myorder.transact_time = time.strftime(
"%Y-%m-%d %H:%M:%S",
time.localtime(order_info['data']['finished-at'] /
1000)) ## 最新一次成交时间
logger.info('%s 订单号 %s：%s 平空仓，成交量 = %f，成交均价 = %f，总成交额 = %f，手续费 = %f。' % \
(myorder.exchange, myorder.ex_ord_id, myorder.sec_id, myorder.filled_volume, myorder.filled_vwap, myorder.filled_amount, myorder.filled_fee))
elif result['status'] == 'error':
myorder.status = result['status']
myorder.ord_rej_reason = result['err-code'] ## 订单拒绝原因
myorder.ord_rej_reason_detail = result['err-msg'] ## 订单拒绝原因描述
logger.warn('%s 订单：%s 开空仓 %f 失败，失败编码：%s，具体原因：%s。' % \
(myorder.exchange, myorder.sec_id, myorder.volume, myorder.ord_rej_reason, myorder.ord_rej_reason_detail))
return myorder
def open_short(exchange, sec_id, price, volume):
'''
开空仓，开空仓的流程是先利用本金加杠杆借入btc，然后把btc卖掉，直到平空仓时，再买回来还贷
:param exchange: string 交易所代码，如火币网：huobipro，OKCoin: okcoin
:param sec_id: string 证券代码，如btcusdt
:param price: float 委托价，如果price=0,为市价单，否则为限价单
:param volume: float 委托量
:return: 委托下单生成的Order对象
'''
myorder = Order()
myorder.exchange = exchange
myorder.sec_id = sec_id
myorder.price = price ## 委托价
myorder.volume = volume ## 委托量
myorder.cl_ord_id = ''
myorder.position_effect = 1 ## 开平标志，1：开仓，2：平仓
myorder.side = 2 ## 买卖方向，1：多方向，2：空方向
myorder.order_src = 0 ## 订单来源
if exchange == 'huobipro': # 火币网接口
if price == 0.0:
mtype = 'sell-market'
else:
mtype = 'sell-limit'
myorder.order_type = mtype ## 订单类型
# 先借入数字货币
margin_res = hb.get_margin(symbol=sec_id,
currency='btc',
amount=volume)
if margin_res['status'] == 'error':
logger.warn(margin_res['err-code'] + ":" + margin_res['err-msg'])
return None
# 然后通过 Margin 账户交易
myorder.sending_time = time.strftime("%Y-%m-%d %H:%M:%S",
time.localtime(time.time()))
result = hb.send_margin_order(amount=volume,
source='margin-api',
symbol=sec_id,
_type=mtype,
price=price)
if result['status'] == 'ok':
myorder.ex_ord_id = result['data']
time.sleep(2) # 等待2 秒后查询订单
# 查询订单信息
order_info = hb.order_info(myorder.ex_ord_id)
myorder.account_id = order_info['data']['account-id']
myorder.status = order_info['data']['state']
myorder.sending_time = time.strftime(
"%Y-%m-%d %H:%M:%S",
time.localtime(order_info['data']['created-at'] / 1000))
myorder.filled_volume = float(
order_info['data']['field-amount']) ## 已成交量
myorder.filled_amount = float(
order_info['data']['field-cash-amount']) ## 已成交额
if (myorder.filled_volume > 0):
myorder.filled_vwap = round(myorder.filled_amount /
myorder.filled_volume, 4) ## 已成交均价
myorder.filled_fee = float(
order_info['data']['field-fees']) ## 手续费
myorder.transact_time = time.strftime(
"%Y-%m-%d %H:%M:%S",
time.localtime(order_info['data']['finished-at'] /
1000)) ## 最新一次成交时间
logger.info('%s 订单号 %s：%s 开空仓，成交量 = %f，成交均价 = %f，总成交额 = %f，手续费 = %f。' % \
(myorder.exchange, myorder.ex_ord_id, myorder.sec_id, myorder.filled_volume, myorder.filled_vwap, myorder.filled_amount, myorder.filled_fee))
elif result['status'] == 'error':
myorder.status = result['status']
myorder.ord_rej_reason = result['err-code'] ## 订单拒绝原因
myorder.ord_rej_reason_detail = result['err-msg'] ## 订单拒绝原因描述
logger.warn('%s 订单号 %s：%s 开空仓 %f 失败，失败编码：%s，具体原因：%s。' % \
(myorder.exchange, myorder.ex_ord_id, myorder.sec_id, myorder.volume, myorder.ord_rej_reason, myorder.ord_rej_reason_detail))
return myorder
def close_long(exchange, sec_id, price, volume):
'''
异步平多仓，
:param exchange: string 交易所代码，如火币网：huobipro，OKCoin: okcoin
:param sec_id: string 证券代码，如
:param price: float 委托价，如果price=0,为市价单，否则为限价单
:param volume: float 委托量
:return: 委托下单生成的Order对象
'''
myorder = Order()
myorder.exchange = exchange
myorder.sec_id = sec_id
myorder.price = price ## 委托价
myorder.volume = volume ## 委托量
myorder.cl_ord_id = ''
myorder.position_effect = 2 ## 开平标志，1：开仓，2：平仓
myorder.side = 1 ## 买卖方向，1：多方向，2：空方向
myorder.order_type = 0 ## 订单类型
myorder.order_src = 0 ## 订单来源
if exchange == 'huobipro': # 火币网接口
if price == 0.0:
mtype = 'sell-market'
else:
mtype = 'sell-limit'
myorder.sending_time = time.strftime("%Y-%m-%d %H:%M:%S",
time.localtime(time.time()))
result = hb.send_order(amount=volume,
source='api',
symbol=sec_id,
_type=mtype,
price=price)
if result['status'] == 'ok':
myorder.ex_ord_id = result['data']
time.sleep(2) # 等待3 秒后查询订单
# 查询订单信息
order_info = hb.order_info(myorder.ex_ord_id)
myorder.status = order_info['data']['state']
myorder.account_id = order_info['data']['account-id']
myorder.sending_time = time.strftime(
"%Y-%m-%d %H:%M:%S",
time.localtime(order_info['data']['created-at'] / 1000))
myorder.filled_volume = float(
order_info['data']['field-amount']) ## 已成交量
myorder.filled_amount = float(
order_info['data']['field-cash-amount']) ## 已成交额
if (myorder.filled_volume > 0):
myorder.filled_vwap = round(myorder.filled_amount /
myorder.filled_volume, 4) ## 已成交均价
myorder.filled_fee = float(
order_info['data']['field-fees']) ## 已成交额
myorder.transact_time = time.strftime(
"%Y-%m-%d %H:%M:%S",
time.localtime(order_info['data']['finished-at'] /
1000)) ## 最新一次成交时间
logger.info('%s 订单号 %s：%s 平多仓，成交量 = %f，成交均价 = %f，总成交额 = %f，手续费 = %f。' % \
(myorder.exchange, myorder.ex_ord_id, myorder.sec_id, myorder.filled_volume, myorder.filled_vwap, myorder.filled_amount, myorder.filled_fee))
elif result['status'] == 'error':
myorder.status = result['status']
myorder.ord_rej_reason = result['err-code'] ## 订单拒绝原因
myorder.ord_rej_reason_detail = result['err-msg'] ## 订单拒绝原因描述
logger.warn('%s 订单号 %s：%s 平多仓 %f 失败，失败编码：%s，具体原因：%s。' % \
(myorder.exchange, myorder.ex_ord_id, myorder.sec_id, myorder.volume, myorder.ord_rej_reason, myorder.ord_rej_reason_detail))
return myorder
def get_orders_by_symbol(exchange,
sec_id,
start_time,
end_time,
states='filled',
types=None):
'''
:param exchange:
:param sec_id:
:param states: 查询的订单状态组合，使用','分割。pre-submitted 准备提交, submitted 已提交, partial-filled 部分成交, partial-canceled 部分成交撤销, filled 完全成交, canceled 已撤销
:param types: 查询的订单类型组合，使用','分割。buy-market：市价买, sell-market：市价卖, buy-limit：限价买, sell-limit：限价卖
:param start_time:
:param end_time:
:return:
'''
if states == 'all':
states = 'pre-submitted,submitted,partial-filled,partial-canceled,filled,canceled'
if types == 'all':
types = 'buy-market,sell-market,buy-limit,sell-limit'
orders = []
if exchange == 'huobipro':
start_date = time.strftime(
'%Y-%m-%d', time.strptime(start_time, '%Y-%m-%d %H:%M:%S'))
end_date = time.strftime('%Y-%m-%d',
time.strptime(end_time, '%Y-%m-%d %H:%M:%S'))
res = hb.orders_list(symbol=sec_id,
states=states,
types=types,
start_date=start_date,
end_date=end_date)
if res['status'] == 'ok':
data = res['data']
for each in data:
order = Order()
order.exchange = exchange
order.status = each['state']
order.order_src = each['source']
order.account_id = each['account-id']
order.order_id = each['id']
order.transact_time = each['finished-at']
order.sending_time = each['created-at']
order.order_type = each['type']
order.sec_id = each['symbol']
order.price = each['price']
order.volume = each['amount']
order.filled_volume = float(each['field-amount'])
order.filled_amount = float(each['field-cash-amount'])
order.filled_fee = float(each['field-fees'])
if order.filled_volume > 0:
order.filled_vwap = round(order.filled_amount /
order.filled_volume, 4) ## 已成交均价
orders = orders + [order]
else:
logger.warn(res['err-code'] + ':' + res['err-msg'])
return orders
