class OrderRouter(object):
def __init__(self, apikey, secretkey, password):
self._api = RequestClient(api_key=apikey, secret_key=secretkey)
self.account_type = AccountType.SPOT
def _format_instrument_id(self, instrument_id):
return instrument_id.lower().replace('-', '')
def _decode_type(self, order_type):
if not order_type:
return None, None
tmp = order_type.split('-')
side = tmp[0]
o_type = tmp[1]
if side not in ['buy', 'sell']:
side = None
if o_type not in ['limit', 'market', 'ioc']:
o_type = None
return side, o_type
def _decode_state(self, state):
if state == 'submitted':
return 'open'
return state
def _timestamp_to_datetime(self, timestamp):
return datetime.datetime.fromtimestamp((timestamp + 28800000) / 1000)
def _format_order(self, instrument_id, order_info):
def fill_obj(o):
side, o_type = self._decode_type(o.order_type)
return {
'instrument_id':
instrument_id,
'order_id':
str(o.order_id),
'client_oid':
'',
'price':
o.price,
'size':
o.amount,
'timestamp':
o.created_timestamp,
'finished_timestamp':
o.finished_timestamp,
'finished_datetime':
self._timestamp_to_datetime(o.finished_timestamp),
'canceled_timestamp':
o.canceled_timestamp,
'datetime':
self._timestamp_to_datetime(o.created_timestamp),
'filled_size':
o.filled_amount,
'filled_notional':
o.filled_cash_amount,
'side':
side,
'type':
o_type,
'state':
o.state,
'status':
self._decode_state(o.state),
'created_at':
datetime.datetime.now(),
'updated_at':
datetime.datetime.now()
}
if isinstance(order_info, list):
ret = []
for o in order_info:
ret.append(fill_obj(o))
else:
ret = fill_obj(order_info)
return ret
def check_position(self, symbol):
psss
def submit_spot_order(self,
client_oid,
type,
side,
instrument_id,
price,
size,
notional,
order_type='0',
timeout=20,
wait_flag=False):
instrument_id = self._format_instrument_id(instrument_id)
order_type = '{}-{}'.format(param['side'], param['type'])
order_id = self._api.create_order(instrument_id, self.account_type,
order_type, size, price)
return {'order_id': order_id}
# take orders
# 市价单
# params = [
# {"client_oid":"20180728","instrument_id":"btc-usdt","side":"sell","type":"market"," size ":"0.001"," notional ":"10001","margin_trading ":"1"},
# {"client_oid":"20180728","instrument_id":"btc-usdt","side":"sell","type":"limit"," size ":"0.001","notional":"10002","margin_trading ":"1"}
# ]
# 限价单
# params = [
# {"client_oid":"20180728","instrument_id":"btc-usdt","side":"sell","type":"limit","size":"0.001","price":"10001","margin_trading ":"1"},
# {"client_oid":"20180728","instrument_id":"btc-usdt","side":"sell","type":"limit","size":"0.001","price":"10002","margin_trading ":"1"}
# ]
def submit_orders(self, params):
ret = []
for param in params:
instrument_id = self._format_instrument_id(param['instrument_id'])
order_type = '{}-{}'.format(param['side'], param['type'])
try:
order_id = self._api.create_order(instrument_id, self.account_type,
order_type, param['size'],
param['price'])
order_id = str(order_id)
print('submit order id: {}, order_type: {}, price: {}'.format(
order_id, order_type, param['price']))
ret.append({
'order_id': order_id,
'side': param['side'],
'price': param['price']
})
except Exception as e:
print('submit_orders err: {}'.format(e))
print('account type:{}, order_type:{}, size:{}, price:{}'.format(self.account_type, order_type, param['size'], param['price']))
time.sleep(0.01)
return ret
def get_order_info(self, order_id, instrument_id, client_oid=''):
order_info = self._api.get_order(
self._format_instrument_id(instrument_id), order_id)
return self._format_order(instrument_id, order_info)
def cancel_order(self, order_id, instrument_id):
return self._api.cancel_order(
self._format_instrument_id(instrument_id), order_id)
# revoke orders
# params example:
# [
# {"instrument_id":"btc-usdt","order_ids":[1600593327162368,1600593327162369]},
# {"instrument_id":"ltc-usdt","order_ids":[243464,234465]}
# ]
def cancel_orders(self, params):
ret = []
for param in params:
instrument_id = self._format_instrument_id(param['instrument_id'])
ret.append(
self._api.cancel_orders(instrument_id, param['order_ids']))
time.sleep(0.01)
return ret
def get_orders_pending(self, instrument_id):
ret = []
open_orders = self._api.get_open_orders(
self._format_instrument_id(instrument_id),
self.account_type,
size=100)
return self._format_order(instrument_id, open_orders)
def get_kline(self, instrument_id, start, end, granularity):
pass
def get_ticker(self, instrument_id):
last_trade = self._api.get_last_trade(
self._format_instrument_id(instrument_id))
return {'last': last_trade.price}
def get_coin_info(self, instrument_id='all'):
# TODO 把sdk方法get_exchange_info的symobl和currency分离出来
exchange_info = self._api.get_exchange_info()
symbol_list = exchange_info.symbol_list
for sl in symbol_list:
if sl.symbol == self._format_instrument_id(instrument_id):
return {
'instrument_id': instrument_id,
'base_currency': sl.base_currency,
'quote_currency': sl.quote_currency,
'tick_size': sl.price_precision,
'size_increment': sl.amount_precision
}
return None
def get_account_info(self):
account_balances = self._api.get_account_balance_by_account_type(
self.account_type)
details_obj = {}
for b in account_balances.balances:
if b.balance:
if b.currency not in details_obj:
if b.balance_type == BalanceType.TRADE:
details_obj[b.currency] = {
'currency': b.currency.upper(),
'frozen': 0,
'balance': b.balance,
'available': b.balance
}
elif b.balance_type == BalanceType.FROZEN:
details_obj[b.currency] = {
'currency': b.currency.upper(),
'frozen': b.balance,
'balance': b.balance,
'available': 0
}
else:
if b.balance_type == BalanceType.TRADE:
details_obj[b.currency]['available'] += b.balance
details_obj[b.currency]['balance'] += b.balance
elif b.balance_type == BalanceType.FROZEN:
details_obj[b.currency]['frozen'] += b.balance
details_obj[b.currency]['balance'] += b.balance
return list(details_obj.values())
def get_coin_account_info(self, symbol):
balances = self._api.get_account_balance_by_account_type(
self.account_type)
ret = {'currency': symbol, 'frozen': 0, 'balance': 0, 'available': 0}
for b in balances.get_balance(symbol.lower()):
if b.balance_type == BalanceType.TRADE:
ret['balance'] += b.balance
ret['available'] = b.balance
elif b.balance_type == BalanceType.FROZEN:
ret['balance'] += b.balance
ret['frozen'] = b.balance
return ret
def get_coin_balance(self, symbol):
return self.get_coin_account_info(symbol)['balance']
def get_coin_available(self, symbol):
return self.get_coin_account_info(symbol)['available']
def get_oneday_orders(self, instrument_id, stime, state):
if stime > datetime.datetime.now():
return []
start_date = stime.strftime('%Y-%m-%d')
end_date = start_date # (stime + datetime.timedelta(days=1)).strftime('%Y-%m-%d')
orders = []
start_id = None
size = 100
format_instrument_id = self._format_instrument_id(instrument_id)
while True:
order = self._api.get_historical_orders(
format_instrument_id,
state,
start_date=start_date,
end_date=end_date,
start_id=start_id,
size=size)
#print('Fetched orders, date: {}, pair: {}, total: {}'.format(start_date, instrument_id, len(order)))
format_orders = self._format_order(instrument_id, order)
orders += format_orders
# print('Fetched orders, pair: %s, total: %d', instrument_id, len(format_orders))
if len(format_orders) < size:
break
else:
start_id = min([o['order_id'] for o in format_orders])
time.sleep(0.5)
return orders
def get_orders(self, instrument_id, stime, etime, state):
date_list = pd.date_range(
stime.replace(hour=0, minute=0, second=0, microsecond=0),
etime.replace(hour=0, minute=0, second=0, microsecond=0))
orders = []
for d in date_list:
orders += self.get_oneday_orders(instrument_id, d, state)
return [
o for o in orders
if o['datetime'] >= stime and o['datetime'] < etime
]
class QsHuobi(object):
"""
qsq系统提供的火币接口，可通过此接口获取数据和交易等
要想进行交易，必须在qs/config/config.ini中设置好自己的火币api密钥
"""
def __init__(self):
[self.api_key, self.secret_key,
self.client_order_id] = self.get_apikey()
self.request_client = RequestClient(api_key=self.api_key,
secret_key=self.secret_key)
#self.subscription_client = SubscriptionClient()
def get_apikey(self):
cfg = ConfigParser()
cfg.read(QsEnv.g_project_config)
return [
cfg.get('huobi', 'huobiapi_key'),
cfg.get('huobi', 'huobisecret_key'),
cfg.get('huobi', 'client_order_id')
]
def get_24h_trade_statistics(self, pair="btcusdt"):
"""
param: pair 想要获取的交易对，默认为btcusdt
获取24小时的市场数据，返回结构体成员包括有
timestamp, high, low, open, close, volume
可使用trade_statistics.high这样的方式获取对应数据
"""
trade_statistics = self.request_client.get_24h_trade_statistics(pair)
return trade_statistics
def get_latest_candlestick(self,
pair="btcusdt",
interval=CandlestickInterval.MIN1,
size=10):
"""
param: pair 想要获取的交易对，默认为btcusdt
param: interval 时间间隔，默认为MIN1, 可选有MIN1 MIN5 MIN15 MIN30 MIN60 DAY1 MON1 WEEK1 YEAR1
param: size 获取的数据条数，默认为10,选择范围为[1,2000]
获取最近一段时间的K线数据，返回一个list，这个list的每一项的结构体成员包括有
timestamp, high, low, open, close, volume
可使用member.high这样的方式获取对应数据
"""
candlestick_list = self.request_client.get_latest_candlestick(
pair, interval, size)
return candlestick_list
def get_exchange_currencies(self):
"""
获取火币所有交易币种
"""
return self.request_client.get_exchange_currencies()
def get_exchange_info(self):
"""
获取交易所信息，返回交易对和支持币种，使用案例
for symbol in exchange_info.symbol_list:
print(symbol.symbol)
for currency in exchange_info.currencies:
print(currency)
"""
return self.request_client.get_exchange_info()
def get_fee_rate(self, symbol="btcusdt"):
"""
获取交易手续费，返回一个FeeRate对象，成员包括
symbol 对应币种 maker_fee 卖方手续费 taker_fee 买方手续费
实际使用中，symbol也为一个费率
"""
result = self.request_client.get_fee_rate(symbols=symbol)
return result[0]
def get_historical_orders(self,
symbol="ethusdt",
order_state=OrderState.CANCELED,
order_type=None,
start_date=None,
end_date=None,
start_id=None,
size=None):
"""
param: symbol 符号(必须)
param: order_state 订单状态(必须)，可选参数有SUBMITTED PARTIAL_FILLED CANCELLING PARTIAL_CANCELED FILLED CANCELED INVALID
param: order_type 订单类型(可选)，可选参数有SELL_LIMIT BUY_LIMIT BUY_MARKET SELL_MARKET BUY_IOC SELL_IOC BUY_LIMIT_MAKER SELL_LIMIT_MAKER BUY_STOP_LIMIT SELL_STOP_LIMIT INVALID
param: start_date 开始日期(可选) 格式为 yyyy-mm-dd
param: end_date 结束日期(可选) 格式为 yyyy-mm-dd
param: start_id(可选) 订单起始id，暂时忽略
param: size(可选) 大小，暂时忽略
获取历史订单
"""
orders = self.request_client.get_historical_orders(
symbol=symbol,
order_state=order_state,
order_type=order_type,
start_date=start_date,
end_date=end_date,
start_id=start_id,
size=size)
return orders
def get_historical_trade(self, symbol="btcusdt", size=5):
"""
param: symbol 符号(必须)
param: size 交易列表的大小(必须)
获取历史交易数据，返回trade_list对象列表，每个对象有如下几个成员
timestamp trade_id price amount direction
"""
trade_list = self.request_client.get_historical_trade(symbol, size)
return trade_list
def get_market_trade(self, symbol="btcusdt"):
"""
param: symbol 符号，默认为btcusdt
获取当前市场上的交易，返回一个trade对象组成的tradelist列表，每个trade对象的成员有
price, amount, trade_id timestamp, direction
"""
trades = self.request_client.get_market_trade(symbol=symbol)
return trades
def get_open_orders(self,
symbol="htusdt",
account_type=AccountType.SPOT,
direct="next"):
"""
获取自己账户当前开放的交易,返回order数组，每个Order对象有
order_id, symbol, price, amount, account_type, created_timestamp, order_type, filled_amount, filled_cash_amount, filled_fees, source, state
"""
orders = self.request_client.get_open_orders(symbol=symbol,
account_type=account_type,
direct=direct)
return orders
def get_order_recent_48hour(self,
symbol=None,
start_time=None,
end_time=None,
size=None,
direct=None):
"""
获取自己账户48小时内的交易记录，返回order数组
"""
orders = self.request_client.get_order_recent_48hour(
symbol=symbol,
start_time=start_time,
end_time=end_time,
size=size,
direct=direct)
return orders
def get_price_depth(self, symbol, size):
"""
获取当前市场的交易深度，symbol 为交易对，size为头部的几个交易，一个用例如下
i = 0
for entry in depth.bids:
i = i + 1
print(str(i) + ": price: " + str(entry.price) + ", amount: " + str(entry.amount))
i = 0
for entry in depth.asks:
i = i + 1
print(str(i) + ": price: " + str(entry.price) + ", amount: " + str(entry.amount))
"""
depth = self.request_client.get_price_depth(symbol, size)
return depth
def order(self,
symbol="btcusdt",
account_type=AccountType.SPOT,
order_type=OrderType.SELL_LIMIT,
amount=1.0,
price=None,
stop_price=None,
operator=None):
"""
下单函数，谨慎使用
必须提供的参数为symbol,account_type,order_type,amount
param: account_type 账户类型，包括有SPOT MARGIN OTC POINT
param: order_type 订单类型，包括有SELL_LIMIT BUY_LIMIT BUY_MARKET SELL_MARKET BUY_IOC SELL_IOC
"""
order_id = self.request_client.create_order(symbol, account_type,
order_type, amount, price,
self.client_order_id,
stop_price, operator)
return order_id
def cancle_order(self, symbol="btcusdt", order_id="00000"):
"""
取消某笔订单
"""
cancle_state = self.request_client.cancel_order(symbol, order_id)
return cancle_state
def get_order(self, symbol="btcusdt", order_id="000000"):
"""
根据order_id获取某笔交易,每个Order对象有
order_id, symbol, price, amount, account_type, created_timestamp, order_type, filled_amount, filled_cash_amount, filled_fees, source, state
"""
order = self.request_client.get_order(symbol=symbol, order_id=order_id)
return order
def get_order_by_client_order_id(self):
"""
根据client_order_id来获取订单, 每个Order对象有
order_id, symbol, price, amount, account_type, created_timestamp, order_type, filled_amount, filled_cash_amount, filled_fees, source, state
"""
order = self.request_client.get_order_by_client_order_id(
client_order_id=self.client_order_id)
return order
def cancel_client_order(self):
"""
根据client_order_id取消某笔交易
"""
self.request_client.cancel_client_order(
client_order_id=self.client_order_id)
from huobi import RequestClient
request_client = RequestClient()
exchange_info = request_client.get_exchange_info()
symbolmap = request_client.get_my_symbol_map()
for symbol in symbolmap['usdt']:
print(symbol.symbol)
#print("---- Supported symbols ----")
#for symbol in exchange_info.symbol_list:
# print(symbol.symbol)
#print("---- Supported currencies ----");
#for currency in exchange_info.currencies:
# print(currency)
class MarketHandler(MongodbHandler):
def __init__(self):
MongodbHandler.__init__(self)
self.request_client = RequestClient()
self.symbol_key_list = self.get_config_value(
"symbol", "symbol_key_list").split(",")
def check_currency_precision(self):
result_list = self.get_currency_precision()
for key, value in enumerate(result_list):
self.check_symbol_info(value)
self.logger.info(value)
def get_currency_precision(self):
"""
获取所有交易对数量精度与价格精度
:return:
"""
exchange_info = self.request_client.get_exchange_info()
result = exchange_info.symbol_list
result_list = []
for key, value in enumerate(result):
self.logger.info(f"{key} {value}")
if type(value) == dict:
value = self.change_dict_to_symbol(value)
result_list.append({
"symbol": value.symbol,
"quote_currency": value.quote_currency,
"base_currency": value.base_currency,
"amount_precision": value.amount_precision,
"price_precision": value.price_precision,
"symbol_partition": value.symbol_partition
})
return result_list
def check_symbol_info(self, symbol_info):
"""
检查交易对信息与数据库是否一致
:param symbol_info:
:return:
"""
symbol_name = symbol_info["symbol"]
result = self.precision_collection.find_one({"symbol": symbol_name},
{"_id": 0})
if result is None:
self.logger.info(
f"{symbol_name} was not found, insert now! {symbol_info}")
self.insert_symbol_info(symbol_info)
else:
for key, value in enumerate(self.symbol_key_list):
if not result[value] == symbol_info[value]:
self.logger.info(
f"{symbol_name} was changed! {symbol_info}")
self.update_symbol_info(symbol_info)
def update_symbol_info(self, symbol_info):
"""
根据交易对名称修改交易对信息
:param symbol_info:
:return:
"""
self.precision_collection.update_one({"symbol": symbol_info["symbol"]},
{"$set": symbol_info})
def insert_symbol_info(self, symbol_info):
self.precision_collection.insert_one(symbol_info)
@staticmethod
def change_dict_to_symbol(symbol_dict):
"""
将请求的交易对信息中dict类型的脏数据转换成Symbol类型
:param symbol_dict:
:return:
"""
symbol = Symbol()
symbol.symbol = symbol_dict['symbol']
symbol.quote_currency = symbol_dict['quote_currency']
symbol.base_currency = symbol_dict['base_currency']
symbol.amount_precision = symbol_dict['amount_precision']
symbol.price_precision = symbol_dict['price_precision']
symbol.symbol_partition = symbol_dict['symbol_partition']
return symbol
