def subscribe(self, req: SubscribeRequest):
"""
Subscribe to tick data upate.
"""
self.subscribed[req.vt_symbol] = req
tick = TickData(
symbol=req.symbol,
exchange=req.exchange,
name=req.symbol,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[req.symbol] = tick
channel_ticker = f"futures/ticker:{req.symbol}"
channel_depth = f"futures/depth5:{req.symbol}"
self.callbacks[channel_ticker] = self.on_ticker
self.callbacks[channel_depth] = self.on_depth
req = {
"op": "subscribe",
"args": [channel_ticker, channel_depth]
}
self.send_packet(req)
def subscribe(self, req: SubscribeRequest):
""""""
if req.symbol not in symbol_name_map:
self.gateway.write_log(f"找不到该合约代码{req.symbol}")
return
# Create tick buf data
tick = TickData(
symbol=req.symbol,
name=symbol_name_map.get(req.symbol, ""),
exchange=Exchange.BINANCE,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.ticks[req.symbol] = tick
# Close previous connection
if self._active:
self.stop()
self.join()
# Create new connection
channels = []
for ws_symbol in self.ticks.keys():
channels.append(ws_symbol + "@ticker")
channels.append(ws_symbol + "@depth5")
url = WEBSOCKET_DATA_HOST + "/".join(channels)
self.init(url, self.proxy_host, self.proxy_port)
self.start()
def subscribe(self, req: SubscribeRequest):
"""
Subscribe to tick data upate.
"""
tick = TickData(
symbol=req.symbol,
exchange=req.exchange,
name=req.symbol,
datetime=datetime.now(UTC_TZ),
gateway_name=self.gateway_name,
)
self.ticks[req.symbol] = tick
tick_req = self.generate_req(
channel="futures.tickers",
event="subscribe",
pay_load=[req.symbol]
)
self.send_packet(tick_req)
depth_req = self.generate_req(
channel="futures.order_book",
event="subscribe",
pay_load=[req.symbol, "5", "0"]
)
self.send_packet(depth_req)
def subscribe(self, req: SubscribeRequest) -> None:
""""""
if req.symbol not in symbol_name_map:
self.gateway.write_log(f"找不到该合约代码{req.symbol}")
return
# Create tick buf data
tick = TickData(
symbol=req.symbol,
name=symbol_name_map.get(req.symbol, ""),
exchange=Exchange.BINANCE,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.ticks[req.symbol.lower()] = tick
# Create bar buf data
bar = BarData(
symbol=req.symbol,
exchange=Exchange.BINANCE,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
interval=Interval.MINUTE
)
self.bars[req.symbol.lower()] = bar
self.last[req.symbol.lower()] = {}
self.trades[req.symbol.lower()] = []
# Close previous connection
if self._active:
self.stop()
self.join()
# Create new connection
channels = []
for ws_symbol in self.ticks.keys():
# channels.append(ws_symbol + "@ticker")
channels.append(ws_symbol + "@depth5@100ms")
channels.append(ws_symbol + "@kline_1m")
channels.append(ws_symbol + "@aggTrade")
if self.server == "REAL":
url = F_WEBSOCKET_DATA_HOST + "/".join(channels)
if not self.usdt_base:
url = D_WEBSOCKET_DATA_HOST + "/".join(channels)
else:
url = F_TESTNET_WEBSOCKET_DATA_HOST + "/".join(channels)
if not self.usdt_base:
url = D_TESTNET_WEBSOCKET_DATA_HOST + "/".join(channels)
self.init(url, self.proxy_host, self.proxy_port)
self.start()
def to_tick(self):
""""""
tick = TickData(symbol=self.name,
exchange=Exchange.LOCAL,
datetime=self.datetime,
name=self.name,
last_price=(self.bid_price + self.ask_price) / 2,
bid_price_1=self.bid_price,
ask_price_1=self.ask_price,
bid_volume_1=self.bid_volume,
ask_volume_1=self.ask_volume,
gateway_name="SPREAD")
return tick
def subscribe(self, req: SubscribeRequest) -> None:
""""""
buf = [i for i in req.symbol if not i.isdigit()]
symbol = "".join(buf)
ws_symbol = f"{symbol}"
# Create tick data buffer
tick = TickData(
symbol=req.symbol,
name=req.symbol,
exchange=Exchange.HUOBI,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.ticks[ws_symbol] = tick
self.subscribe_data(ws_symbol)
def subscribe(self, req: SubscribeRequest):
""""""
contract_type = symbol_type_map.get(req.symbol, "")
if not contract_type:
return
buf = [i for i in req.symbol if not i.isdigit()]
symbol = "".join(buf)
ws_contract_type = CONTRACT_TYPE_MAP[contract_type]
ws_symbol = f"{symbol}_{ws_contract_type}"
# Create tick data buffer
tick = TickData(
symbol=req.symbol,
name=req.symbol,
exchange=Exchange.HUOBI,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.ticks[ws_symbol] = tick
self.subscribe_data(ws_symbol)
def subscribe(self, req: SubscribeRequest) -> None:
""""""
symbol = req.symbol
# Create tick data buffer
tick = TickData(
symbol=symbol,
name=symbol_name_map.get(symbol, ""),
exchange=Exchange.HUOBI,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.ticks[symbol] = tick
# Subscribe to market depth update
self.req_id += 1
req = {"sub": f"market.{symbol}.depth.step0", "id": str(self.req_id)}
self.send_packet(req)
# Subscribe to market detail update
self.req_id += 1
req = {"sub": f"market.{symbol}.detail", "id": str(self.req_id)}
self.send_packet(req)
def to_tick(self):
"""
Generate TickData object from DbTickData.
"""
tick = TickData(
symbol=self.symbol,
exchange=Exchange(self.exchange),
datetime=self.datetime.replace(tzinfo=DB_TZ),
name=self.name,
volume=self.volume,
open_interest=self.open_interest,
last_price=self.last_price,
last_volume=self.last_volume,
limit_up=self.limit_up,
limit_down=self.limit_down,
open_price=self.open_price,
high_price=self.high_price,
low_price=self.low_price,
close_price=self.close_price,
bid_price_1=self.bid_price_1,
ask_price_1=self.ask_price_1,
bid_volume_1=self.bid_volume_1,
ask_volume_1=self.ask_volume_1,
gateway_name="DB",
)
if self.bid_price_2:
tick.bid_price_2 = self.bid_price_2
tick.bid_price_3 = self.bid_price_3
tick.bid_price_4 = self.bid_price_4
tick.bid_price_5 = self.bid_price_5
tick.ask_price_2 = self.ask_price_2
tick.ask_price_3 = self.ask_price_3
tick.ask_price_4 = self.ask_price_4
tick.ask_price_5 = self.ask_price_5
tick.bid_volume_2 = self.bid_volume_2
tick.bid_volume_3 = self.bid_volume_3
tick.bid_volume_4 = self.bid_volume_4
tick.bid_volume_5 = self.bid_volume_5
tick.ask_volume_2 = self.ask_volume_2
tick.ask_volume_3 = self.ask_volume_3
tick.ask_volume_4 = self.ask_volume_4
tick.ask_volume_5 = self.ask_volume_5
return tick