def _update_order(self, order_info):
""" Order update.
Args:
order_info: Order information.
Returns:
None.
"""
order_no = str(order_info["order_id"])
state = order_info["state"]
remain = float(order_info["size"]) - float(order_info["filled_size"])
ctime = tools.utctime_str_to_mts(order_info["ctime"])
utime = tools.utctime_str_to_mts(order_info["utime"])
if state == "-2":
status = ORDER_STATUS_FAILED
elif state == "-1":
status = ORDER_STATUS_CANCELED
elif state == "0":
status = ORDER_STATUS_SUBMITTED
elif state == "1":
status = ORDER_STATUS_PARTIAL_FILLED
elif state == "2":
status = ORDER_STATUS_FILLED
else:
logger.error("status error! order_info:", order_info, caller=self)
return None
order = self._orders.get(order_no)
if order:
order.remain = remain
order.status = status
order.price = order_info["price"]
else:
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": ORDER_ACTION_BUY
if order_info["side"] == "buy" else ORDER_ACTION_SELL,
"symbol": self._symbol,
"price": order_info["price"],
"quantity": order_info["size"],
"remain": remain,
"status": status,
"avg_price": order_info["price"]
}
order = Order(**info)
self._orders[order_no] = order
order.ctime = ctime
order.utime = utime
SingleTask.run(self._order_update_callback, copy.copy(order))
if status in [
ORDER_STATUS_FAILED, ORDER_STATUS_CANCELED, ORDER_STATUS_FILLED
]:
self._orders.pop(order_no)
async def process(self, msg):
""" 处理websocket上接收到的消息
"""
logger.debug("msg:", msg, caller=self)
if not isinstance(msg, dict):
return
table = msg.get("table")
if table == "orderBook10": # 订单薄数据
for item in msg["data"]:
symbol = item.get("symbol")
orderbook = {
"platform": self._platform,
"symbol": symbol,
"asks": item.get("asks"),
"bids": item.get("bids"),
"timestamp": tools.utctime_str_to_mts(item["timestamp"])
}
EventOrderbook(**orderbook).publish()
logger.info("symbol:",
symbol,
"orderbook:",
orderbook,
caller=self)
elif table == "trade": # 成交数据
for item in msg["data"]:
symbol = item["symbol"]
trade = {
"platform": self._platform,
"symbol": symbol,
"action":
ORDER_ACTION_BUY if item["side"] else ORDER_ACTION_SELL,
"price": "%.1f" % item["price"],
"quantity": str(item["size"]),
"timestamp": tools.utctime_str_to_mts(item["timestamp"])
}
EventTrade(**trade).publish()
logger.info("symbol:", symbol, "trade:", trade, caller=self)
elif table == "tradeBin1m": # 1分钟K线数据
for item in msg["data"]:
symbol = item["symbol"]
kline = {
"platform": self._platform,
"symbol": symbol,
"open": "%.1f" % item["open"], # 开盘价
"high": "%.1f" % item["high"], # 最高价
"low": "%.1f" % item["low"], # 最低价
"close": "%.1f" % item["close"], # 收盘价
"volume": str(item["volume"]), # 交易量
"timestamp":
tools.utctime_str_to_mts(item["timestamp"]), # 时间戳
"kline_type": MARKET_TYPE_KLINE
}
EventKline(**kline).publish()
logger.info("symbol:", symbol, "kline:", kline, caller=self)
def _convert_order_format(self, order_info):
order_no = str(order_info["order_id"])
symbol = order_info["instrument_id"]
ctime = tools.utctime_str_to_mts(order_info["created_at"])
utime = tools.utctime_str_to_mts(order_info["timestamp"])
state = order_info["state"]
if state == "-2":
status = ORDER_STATUS_FAILED
elif state == "-1":
status = ORDER_STATUS_CANCELED
elif state == "0":
status = ORDER_STATUS_SUBMITTED
elif state == "1":
status = ORDER_STATUS_PARTIAL_FILLED
elif state == "2":
status = ORDER_STATUS_FILLED
else:
status = ORDER_STATUS_NONE
if order_info["type"] == "market":
order_type = ORDER_TYPE_MARKET
else:
if order_info["order_type"] == "3":
order_type = ORDER_TYPE_IOC
else:
order_type = ORDER_TYPE_LIMIT
action = ORDER_ACTION_BUY if order_info[
"side"] == "buy" else ORDER_ACTION_SELL
if order_type == ORDER_TYPE_MARKET and action == ORDER_ACTION_BUY:
quantity = float(order_info["notional"]) #市价买单传入的是金额,输出的也要是金额
remain = quantity - float(
order_info["filled_notional"]) #市价买单传入的是金额,输出的也要是金额
else:
quantity = float(order_info["size"])
remain = quantity - float(order_info["filled_size"])
price_str = order_info["price"]
if not price_str:
price_str = "0"
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": symbol,
"price": float(price_str),
"quantity": quantity,
"remain": remain,
"order_type": order_type,
"status": status,
"ctime": ctime,
"utime": utime
#"avg_price": order_info["price_avg"] filled_notional/filled_size???
}
return Order(**info)
def _update_position(self, position_info):
""" Position update.
Args:
position_info: Position information.
Returns:
None.
"""
self._position.leverage = position_info["leverage"]
self._position.long_quantity = int(position_info["long_qty"])
self._position.long_avg_price = position_info["long_avg_cost"]
self._position.long_pnl_ratio = position_info["long_pnl_ratio"]
self._position.long_pnl_unreal = position_info["long_unrealised_pnl"]
self._position.long_pnl = position_info["long_settled_pnl"]
self._position.short_quantity = int(position_info["short_qty"])
self._position.short_avg_price = position_info["short_avg_cost"]
self._position.short_pnl_ratio = position_info["short_pnl_ratio"]
self._position.short_pnl_unreal = position_info["short_unrealised_pnl"]
self._position.short_pnl = position_info["short_settled_pnl"]
self._position.liquid_price = position_info["liquidation_price"]
self._position.utime = tools.utctime_str_to_mts(position_info["updated_at"])
self._position.long_pos_margin = position_info["long_margin"]
self._position.short_pos_margin = position_info['short_margin']
SingleTask.run(self._position_update_callback, copy.copy(self.position))
# publish order
EventPosition(**self.position.__dict__).publish()
logger.info("position:", self.position, caller=self)
async def deal_kline_update(self, data):
""" 处理K线数据 1分钟
"""
symbol = data["instrument_id"].replace("-", "/")
if symbol not in self._symbols:
return
timestamp = tools.utctime_str_to_mts(data["candle"][0])
_open = "%.8f" % float(data["candle"][1])
high = "%.8f" % float(data["candle"][2])
low = "%.8f" % float(data["candle"][3])
close = "%.8f" % float(data["candle"][4])
volume = "%.8f" % float(data["candle"][5])
# 推送trade数据
kline = {
"platform": self._platform,
"symbol": symbol,
"open": _open,
"high": high,
"low": low,
"close": close,
"volume": volume,
"timestamp": timestamp,
"kline_type": const.MARKET_TYPE_KLINE
}
EventKline(**kline).publish()
logger.info("symbol:", symbol, "kline:", kline, caller=self)
async def process_orderbook_update(self, data):
"""Deal with orderbook update message."""
symbol = data.get("instrument_id")
asks = data.get("asks")
bids = data.get("bids")
timestamp = tools.utctime_str_to_mts(data.get("timestamp"))
if symbol not in self._orderbooks:
return
self._orderbooks[symbol]["timestamp"] = timestamp
for ask in asks:
price = float(ask[0])
quantity = int(ask[1])
if quantity == 0 and price in self._orderbooks[symbol]["asks"]:
self._orderbooks[symbol]["asks"].pop(price)
else:
self._orderbooks[symbol]["asks"][price] = quantity
for bid in bids:
price = float(bid[0])
quantity = int(bid[1])
if quantity == 0 and price in self._orderbooks[symbol]["bids"]:
self._orderbooks[symbol]["bids"].pop(price)
else:
self._orderbooks[symbol]["bids"][price] = quantity
await self.publish_orderbook(symbol)
async def process_ticker(self, data):
"""
{
"table":"spot/ticker",
"data":[
{
"instrument_id":"ETH-USDT",
"last":"146.24",
"last_qty":"0.082483",
"best_bid":"146.24",
"best_bid_size":"0.006822",
"best_ask":"146.25",
"best_ask_size":"80.541709",
"open_24h":"147.17",
"high_24h":"147.48",
"low_24h":"143.88",
"base_volume_24h":"117387.58",
"quote_volume_24h":"17159427.21",
"timestamp":"2019-12-11T02:31:40.436Z"
}
]
}
"""
info = {
"platform": self._platform,
"symbol": data["instrument_id"],
"ask": float(data["best_ask"]),
"bid": float(data["best_bid"]),
"last": float(data["last"]),
"timestamp": tools.utctime_str_to_mts(data["timestamp"])
}
ticker = Ticker(**info)
SingleTask.run(self.cb.on_ticker_update_callback, ticker)
async def process_kline(self, data):
""" Deal with 1min kline data, and publish kline message to EventCenter via KlineEvent.
Args:
data: Newest kline data.
"""
symbol = data["instrument_id"]
if symbol not in self._symbols:
return
timestamp = tools.utctime_str_to_mts(data["candle"][0])
_open = "%.5f" % float(data["candle"][1])
high = "%.5f" % float(data["candle"][2])
low = "%.5f" % float(data["candle"][3])
close = "%.5f" % float(data["candle"][4])
volume = str(data["candle"][5])
# Publish EventKline
kline = {
"platform": self._platform,
"symbol": symbol,
"open": _open,
"high": high,
"low": low,
"close": close,
"volume": volume,
"timestamp": timestamp,
"kline_type": const.MARKET_TYPE_KLINE
}
EventKline(**kline).publish()
logger.debug("symbol:", symbol, "kline:", kline, caller=self)
def _update_position(self, position_info):
""" 更新持仓信息
@param position_info 持仓信息
"""
current_qty = position_info.get("currentQty")
if current_qty > 0:
self._position.long_quantity = abs(int(current_qty))
self._position.short_quantity = 0
if position_info.get("avgEntryPrice"):
self._position.long_avg_price = position_info.get(
"avgEntryPrice")
elif current_qty < 0:
self._position.long_quantity = 0
self._position.short_quantity = abs(int(current_qty))
if position_info.get("avgEntryPrice"):
self._position.short_avg_price = position_info.get(
"avgEntryPrice")
else:
self._position.short_quantity = 0
self._position.long_avg_price = 0
self._position.long_quantity = 0
self._position.short_avg_price = 0
if position_info.get("liquidationPrice"):
self._position.liquid_price = position_info.get("liquidationPrice")
if position_info.get("timestamp"):
self._position.utime = tools.utctime_str_to_mts(
position_info.get("timestamp"))
def _update_position(self, position_info):
""" Position update.
Args:
position_info: Position information.
Returns:
None.
"""
if len(
position_info["holding"]
) == 0: # When the length of `holding` is 0, specific all the position is closed
self._position.update(0, 0, 0, 0, 0)
return
for item in position_info["holding"]:
if item["side"] == "long":
self._position.liquid_price = item["liquidation_price"]
self._position.long_quantity = int(item["position"])
self._position.long_avg_price = item["avg_cost"]
elif item["side"] == "short":
self._position.short_quantity = int(item["position"])
self._position.short_avg_price = item["avg_cost"]
else:
continue
self._position.utime = tools.utctime_str_to_mts(item["timestamp"])
async def process_orderbook_update(self, msg):
""" Deal with orderbook message that updated.
Args:
msg: Orderbook update message.
"""
symbol = msg["product_id"].replace("-", "/")
if symbol not in self._symbols:
return
self._orderbooks[symbol]["timestamp"] = tools.utctime_str_to_mts(
msg["time"][:23] + "Z")
for item in msg["changes"]:
side = item[0]
price = float(item[1])
quantity = float(item[2])
if side == "sell":
if quantity == 0:
if price in self._orderbooks[symbol]["asks"]:
self._orderbooks[symbol]["asks"].pop(price)
else:
self._orderbooks[symbol]["asks"][price] = quantity
elif side == "buy":
if quantity == 0:
if price in self._orderbooks[symbol]["bids"]:
self._orderbooks[symbol]["bids"].pop(price)
else:
self._orderbooks[symbol]["bids"][price] = quantity
await self.publish_orderbook_event(symbol)
async def process_trade(self, msg):
"""Process trade data and publish TradeEvent."""
symbol = msg["product_id"].replace("-", "/")
if symbol not in self._symbols:
return
if not msg.get(
"trade_id"
): # The first ticker message received from Websocket maybe no this field, dropped.
return
action = ORDER_ACTION_BUY if msg.get(
"side") == "buy" else ORDER_ACTION_SELL
price = "%.8f" % float(msg["price"])
quantity = "%.8f" % float(msg["last_size"])
timestamp = tools.utctime_str_to_mts(msg["time"][:23] + "Z")
trade = {
"platform": self._platform,
"symbol": symbol,
"action": action,
"price": price,
"quantity": quantity,
"timestamp": timestamp
}
EventTrade(**trade).publish()
logger.info("symbol:", symbol, "trade:", trade, caller=self)
async def deal_orderbook_update(self, data):
""" 处理orderbook增量数据
"""
symbol = data.get("instrument_id").replace("-", "/")
asks = data.get("asks")
bids = data.get("bids")
timestamp = tools.utctime_str_to_mts(data.get("timestamp"))
if symbol not in self._orderbooks:
return
self._orderbooks[symbol]["timestamp"] = timestamp
for ask in asks:
price = float(ask[0])
quantity = float(ask[1])
if quantity == 0 and price in self._orderbooks[symbol]["asks"]:
self._orderbooks[symbol]["asks"].pop(price)
else:
self._orderbooks[symbol]["asks"][price] = quantity
for bid in bids:
price = float(bid[0])
quantity = float(bid[1])
if quantity == 0 and price in self._orderbooks[symbol]["bids"]:
self._orderbooks[symbol]["bids"].pop(price)
else:
self._orderbooks[symbol]["bids"][price] = quantity
await self.publish_orderbook()
def _update_kline(self, kline_info, symbol):
""" kline update.
Args:
kline_info: kline information.
Returns:
None.
"""
info = {
"platform":
self._platform,
"symbol":
symbol,
"open":
kline_info["open"],
"high":
kline_info["high"],
"low":
kline_info["low"],
"close":
kline_info["close"],
"volume":
kline_info["volume"],
"timestamp":
tools.utctime_str_to_mts(kline_info["startTime"],
"%Y-%m-%dT%H:%M:%S+00:00"),
"kline_type":
MARKET_TYPE_KLINE
}
kline = Kline(**info)
SingleTask.run(self.cb.on_kline_update_callback, kline)
async def process_trade(self, data):
"""Deal with trade data, and publish trade message to EventCenter via TradeEvent."""
symbol = data["instrument_id"]
if symbol not in self._symbols:
return
action = ORDER_ACTION_BUY if data[
"side"] == "buy" else ORDER_ACTION_SELL
price = "%.5f" % float(data["price"])
if self._platform == const.OKEX_FUTURE:
quantity = str(data["qty"])
else:
quantity = str(data["size"])
timestamp = tools.utctime_str_to_mts(data["timestamp"])
# Publish EventTrade.
trade = {
"platform": self._platform,
"symbol": symbol,
"action": action,
"price": price,
"quantity": quantity,
"timestamp": timestamp
}
EventTrade(**trade).publish()
logger.debug("symbol:", symbol, "trade:", trade, caller=self)
def _update_order(self, order_info):
""" Order update.
Args:
order_info: Order information.
Returns:
Return order object if or None.
"""
order_no = str(order_info["order_id"])
state = order_info["state"]
remain = int(order_info["size"]) - int(order_info["filled_qty"])
ctime = tools.utctime_str_to_mts(order_info["timestamp"])
if state == "-2":
status = ORDER_STATUS_FAILED
elif state == "-1":
status = ORDER_STATUS_CANCELED
elif state == "0":
status = ORDER_STATUS_SUBMITTED
elif state == "1":
status = ORDER_STATUS_PARTIAL_FILLED
elif state == "2":
status = ORDER_STATUS_FILLED
else:
return None
order = self._orders.get(order_no)
if not order:
info = {
"platform":
self._platform,
"account":
self._account,
"strategy":
self._strategy,
"order_no":
order_no,
"action":
ORDER_ACTION_BUY
if order_info["type"] in ["1", "4"] else ORDER_ACTION_SELL,
"symbol":
self._symbol,
"price":
order_info["price"],
"quantity":
order_info["size"],
"trade_type":
int(order_info["type"])
}
order = Order(**info)
order.remain = remain
order.status = status
order.avg_price = order_info["price_avg"]
order.ctime = ctime
order.utime = ctime
self._orders[order_no] = order
if state in ["-1", "2"]:
self._orders.pop(order_no)
return order
def _update_position(self, position_info):
""" 更新持仓信息
@param position_info 持仓信息
"""
self._position.long_quantity = int(position_info["long_qty"])
self._position.long_avg_price = position_info["long_avg_cost"]
self._position.short_quantity = int(position_info["short_qty"])
self._position.short_avg_price = position_info["short_avg_cost"]
self._position.liquid_price = position_info["liquidation_price"]
self._position.utime = tools.utctime_str_to_mts(position_info["updated_at"])
def _update_order(self, order_info):
""" Order update.
Args:
order_info: Order information.
Returns:
None.
"""
order_no = str(order_info["order_id"])
state = order_info["state"]
remain = int(order_info["size"]) - int(order_info["filled_qty"])
ctime = tools.utctime_str_to_mts(order_info["timestamp"])
if state == "-2":
status = ORDER_STATUS_FAILED
elif state == "-1":
status = ORDER_STATUS_CANCELED
elif state == "0":
status = ORDER_STATUS_SUBMITTED
elif state == "1":
status = ORDER_STATUS_PARTIAL_FILLED
elif state == "2":
status = ORDER_STATUS_FILLED
else:
return None
order = self._orders.get(order_no)
if not order:
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": ORDER_ACTION_BUY if order_info["type"] in ["1", "4"] else ORDER_ACTION_SELL,
"symbol": self._symbol,
"price": order_info["price"],
"quantity": order_info["size"],
"trade_type": int(order_info["type"])
}
order = Order(**info)
order.remain = remain
order.status = status
order.avg_price = order_info["price_avg"]
order.ctime = ctime
order.utime = ctime
self._orders[order_no] = order
SingleTask.run(self._order_update_callback, copy.copy(order))
if status in [ORDER_STATUS_FAILED, ORDER_STATUS_CANCELED, ORDER_STATUS_FILLED]:
self._orders.pop(order_no)
# publish order
EventOrder(**order.__dict__).publish()
logger.info("symbol:", order.symbol, "order:", order, caller=self)
def _update_position(self, position_info):
""" Position update.
Args:
position_info: Position information.
Returns:
None.
"""
if len(position_info["holding"]) == 0: # When the length of `holding` is 0, specific all the position is closed
self._position.update(0, 0, 0, 0, 0)
return
for item in position_info["holding"]:
usd_value_volume = 100 if self._symbol.startswith("BTC") else 10
if item["side"] == "long":
self._position.liquid_price = item["liquidation_price"]
self._position.leverage = item["leverage"]
self._position.maint_margin_ratio = item["maint_margin_ratio"]
self._position.long_quantity = int(item["avail_position"])
self._position.long_avg_price = item["avg_cost"]
if float(item["settlement_price"]) and float(item["last"]):
self._position.long_pnl_unreal = round((usd_value_volume/float(item["settlement_price"]) - usd_value_volume/float(item["last"])) * int(item["avail_position"]), 8)
else:
self._position.long_pnl_unreal = 0
self._position.long_pnl = item["settled_pnl"]
self._position.long_pos_margin = item["margin"]
if float(item["margin"]):
self._position.long_pnl_ratio = round((float(item["settled_pnl"]) + float(self._position.long_pnl_unreal))/float(item["margin"]), 5)
else:
self._position.long_pnl_ratio = 0
elif item["side"] == "short":
self._position.liquid_price = item["liquidation_price"]
self._position.leverage = item["leverage"]
self._position.maint_margin_ratio = item["maint_margin_ratio"]
self._position.short_quantity = int(item["avail_position"])
self._position.short_avg_price = item["avg_cost"]
if float(item["settlement_price"]) and float(item["last"]):
self._position.short_pnl_unreal = -round((usd_value_volume/float(item["settlement_price"]) - usd_value_volume/float(item["last"])) * int(item["avail_position"]), 8)
else:
self._position.short_pnl_unreal = 0
self._position.short_pnl = item["settled_pnl"]
self._position.short_pos_margin = item["margin"]
if float(item["margin"]):
self._position.short_pnl_ratio = round((float(item["settled_pnl"]) + float(self._position.short_pnl_unreal))/float(item["margin"]), 5)
else:
self._position.short_pnl_ratio = 0
else:
continue
self._position.utime = tools.utctime_str_to_mts(item["timestamp"])
SingleTask.run(self._position_update_callback, copy.copy(self._position))
logger.info("position:", self._position, caller=self)
async def process_orderbook(self, data):
"""Process orderbook data and publish OrderbookEvent."""
for item in data:
symbol = item.get("symbol")
orderbook = {
"platform": self._platform,
"symbol": symbol,
"asks": item.get("asks"),
"bids": item.get("bids"),
"timestamp": tools.utctime_str_to_mts(item["timestamp"])
}
EventOrderbook(**orderbook).publish()
logger.debug("symbol:", symbol, "orderbook:", orderbook, caller=self)
async def process_trade(self, data):
"""Process trade data and publish TradeEvent."""
for item in data:
symbol = item["symbol"]
trade = {
"platform": self._platform,
"symbol": symbol,
"action": ORDER_ACTION_BUY if item["side"] == "Buy" else ORDER_ACTION_SELL,
"price": "%.8f" % item["price"],
"quantity": str(item["size"]),
"timestamp": tools.utctime_str_to_mts(item["timestamp"])
}
EventTrade(**trade).publish()
logger.debug("symbol:", symbol, "trade:", trade, caller=self)
async def process_kline(self, data):
symbol = data["instrument_id"]
if symbol not in self._symbols:
return
cur_kline = data["candle"]
if self._prev_kline_map[symbol]: #如果存在前一根k线
prev_kline = self._prev_kline_map[symbol]
prev_timestamp = tools.utctime_str_to_mts(prev_kline[0])
cur_timestamp = tools.utctime_str_to_mts(cur_kline[0])
if prev_timestamp != cur_timestamp: #前一根k线的开始时间与当前k线开始时间不同,意味着前一根k线已经统计完毕,通知上层策略
info = {
"platform": self._platform,
"symbol": symbol,
"open": float(prev_kline[1]),
"high": float(prev_kline[2]),
"low": float(prev_kline[3]),
"close": float(prev_kline[4]),
"volume": float(prev_kline[5]),
"timestamp": prev_timestamp,
"kline_type": MARKET_TYPE_KLINE
}
kline = Kline(**info)
SingleTask.run(self.cb.on_kline_update_callback, kline)
self._prev_kline_map[symbol] = cur_kline
def _update_position(self, position_info):
""" Position update.
Args:
position_info: Position information.
Returns:
None.
"""
self._position.long_quantity = int(position_info["long_qty"])
self._position.long_avg_price = position_info["long_avg_cost"]
self._position.short_quantity = int(position_info["short_qty"])
self._position.short_avg_price = position_info["short_avg_cost"]
self._position.liquid_price = position_info["liquidation_price"]
self._position.utime = tools.utctime_str_to_mts(position_info["updated_at"])
SingleTask.run(self._position_update_callback, copy.copy(self.position))
async def process_kline(self, data):
"""Process kline data and publish KlineEvent."""
for item in data:
symbol = item["symbol"]
kline = {
"platform": self._platform,
"symbol": symbol,
"open": "%.1f" % item["open"],
"high": "%.1f" % item["high"],
"low": "%.1f" % item["low"],
"close": "%.1f" % item["close"],
"volume": str(item["volume"]),
"timestamp": tools.utctime_str_to_mts(item["timestamp"]),
"kline_type": MARKET_TYPE_KLINE
}
EventKline(**kline).publish()
logger.info("symbol:", symbol, "kline:", kline, caller=self)
async def process_orderbook_partial(self, data):
"""Process orderbook partical data."""
symbol = data.get("instrument_id").replace("-", "/")
if symbol not in self._symbols:
return
asks = data.get("asks")
bids = data.get("bids")
self._orderbooks[symbol] = {"asks": {}, "bids": {}, "timestamp": 0}
for ask in asks:
price = float(ask[0])
quantity = float(ask[1])
self._orderbooks[symbol]["asks"][price] = quantity
for bid in bids:
price = float(bid[0])
quantity = float(bid[1])
self._orderbooks[symbol]["bids"][price] = quantity
timestamp = tools.utctime_str_to_mts(data.get("timestamp"))
self._orderbooks[symbol]["timestamp"] = timestamp
async def deal_orderbook_partial(self, data):
""" Deal with orderbook partial message.
"""
symbol = data.get("instrument_id")
if symbol not in self._symbols:
return
asks = data.get("asks")
bids = data.get("bids")
self._orderbooks[symbol] = {"asks": {}, "bids": {}, "timestamp": 0}
for ask in asks:
price = float(ask[0])
quantity = int(ask[1])
self._orderbooks[symbol]["asks"][price] = quantity
for bid in bids:
price = float(bid[0])
quantity = int(bid[1])
self._orderbooks[symbol]["bids"][price] = quantity
timestamp = tools.utctime_str_to_mts(data.get("timestamp"))
self._orderbooks[symbol]["timestamp"] = timestamp
async def process_trade(self, data):
symbol = data.get("instrument_id")
if symbol not in self._symbols:
return
action = ORDER_ACTION_BUY if data[
"side"] == "buy" else ORDER_ACTION_SELL
price = float(data["price"])
quantity = float(data["size"])
timestamp = tools.utctime_str_to_mts(data["timestamp"])
info = {
"platform": self._platform,
"symbol": symbol,
"action": action,
"price": price,
"quantity": quantity,
"timestamp": timestamp
}
trade = Trade(**info)
SingleTask.run(self.cb.on_trade_update_callback, trade)
async def process_trade(self, data):
"""Process trade data and publish TradeEvent."""
symbol = data.get("instrument_id").replace("-", "/")
if symbol not in self._symbols:
return
action = ORDER_ACTION_BUY if data["side"] == "buy" else ORDER_ACTION_SELL
price = "%.8f" % float(data["price"])
quantity = "%.8f" % float(data["size"])
timestamp = tools.utctime_str_to_mts(data["timestamp"])
trade = {
"platform": self._platform,
"symbol": symbol,
"action": action,
"price": price,
"quantity": quantity,
"timestamp": timestamp
}
EventTrade(**trade).publish()
logger.debug("symbol:", symbol, "trade:", trade, caller=self)
def _update_fill(self, fill_info):
""" Fill update.
Args:
fill_info: Fill information.
Returns:
None.
"""
#{"channel": "orders", "type": "update", "data": {"id": 751733812, "clientId": null, "market": "ETH-PERP", "type": "limit", "side": "buy", "price": 187.93, "size": 0.001, "status": "closed", "filledSize": 0.001, "remainingSize": 0.0, "reduceOnly": false, "avgFillPrice": 184.25, "postOnly": false, "ioc": false}}
#{"channel": "fills", "type": "update", "data": {"id": 5741311, "market": "ETH-PERP", "future": "ETH-PERP", "baseCurrency": null, "quoteCurrency": null, "type": "order", "side": "buy", "price": 184.25, "size": 0.001, "orderId": 751733812, "time": "2019-11-08T09:52:27.366467+00:00", "feeRate": 0.0007, "fee": 0.000128975, "liquidity": "taker"}}
data = fill_info["data"]
fill_no = str(data["id"])
order_no = str(data["orderId"])
price = float(data["price"])
size = float(data["size"])
fee = float(data["fee"])
ts = tools.utctime_str_to_mts(data["time"],
"%Y-%m-%dT%H:%M:%S.%f+00:00")
liquidity = LIQUIDITY_TYPE_TAKER if data[
"liquidity"] == "taker" else LIQUIDITY_TYPE_MAKER
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": order_no,
"side":
ORDER_ACTION_BUY if data["side"] == "buy" else ORDER_ACTION_SELL,
"symbol": data["market"],
"price": price,
"quantity": size,
"liquidity": liquidity,
"fee": fee,
"ctime": ts
}
fill = Fill(**info)
SingleTask.run(self.cb.on_fill_update_callback, fill)
def _update_order(self, order_info):
""" Order update.
Args:
order_info: Order information.
Returns:
None.
"""
if order_info.get("margin_trading") and order_info[
"margin_trading"] != "1": # 1.币币交易订单 2.杠杆交易订单
return
order = self._convert_order_format(order_info)
if self.cb.on_order_update_callback:
SingleTask.run(self.cb.on_order_update_callback, order)
#=====================================================================================
#如果存在成交部分,就处理成交回调
if (order.status == ORDER_STATUS_PARTIAL_FILLED or order.status == ORDER_STATUS_FILLED) and \
order_info.get("last_fill_px") and order_info.get("last_fill_qty"):
#liquidity = LIQUIDITY_TYPE_TAKER if order_info["role"]=="taker" else LIQUIDITY_TYPE_MAKER #原始数据中没有
#fee = float(order_info["fees"]) #原始数据中没有,可以考虑自己计算
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": order_info["last_fill_id"],
"order_no": str(order_info["order_id"]),
"side": ORDER_ACTION_BUY if order_info["side"] == "buy" else
ORDER_ACTION_SELL, #成交方向,买还是卖
"symbol": order_info["instrument_id"],
"price": float(order_info["last_fill_px"]), #成交价格
"quantity": float(order_info["last_fill_qty"]), #成交数量
#"liquidity": liquidity, #maker成交还是taker成交
#"fee": fee,
"ctime": tools.utctime_str_to_mts(order_info["last_fill_time"])
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
SingleTask.run(self.cb.on_fill_update_callback, fill)
