async def check_asset_update(self, *args, **kwargs):
"""Fetch asset information."""
result, error = await self._rest_api.get_user_account()
if error:
logger.warn("platform:", self._platform, "account:", self._account, "get asset info failed!", caller=self)
return
assets = {}
for item in result["info"]:
symbol = item["instrument_id"].split("-")[0]
total = float(item["equity"])
locked = float(item["margin"])
if total > 0:
assets[symbol] = {
"total": "%.8f" % total,
"free": "%.8f" % (total - locked),
"locked": "%.8f" % locked
}
if assets == self._assets:
update = False
else:
update = True
self._assets = assets
# Publish AssetEvent.
timestamp = tools.get_cur_timestamp_ms()
EventAsset(self._platform, self._account, self._assets, timestamp, update).publish()
logger.info("platform:", self._platform, "account:", self._account, "asset:", self._assets, caller=self)
async def process_binary(self, raw):
""" 处理websocket上接收到的消息
@param raw 原始的压缩数据
"""
decompress = zlib.decompressobj(-zlib.MAX_WBITS)
msg = decompress.decompress(raw)
msg += decompress.flush()
msg = msg.decode()
if msg == "pong": # 心跳返回
return
msg = json.loads(msg)
# logger.debug("msg:", msg, caller=self)
table = msg.get("table")
if table == "spot/depth": # 订单薄
if msg.get("action") == "partial": # 首次返回全量数据
for d in msg["data"]:
await self.deal_orderbook_partial(d)
elif msg.get("action") == "update": # 返回增量数据
for d in msg["data"]:
await self.deal_orderbook_update(d)
else:
logger.warn("unhandle msg:", msg, caller=self)
elif table == "spot/trade":
for d in msg["data"]:
await self.deal_trade_update(d)
elif table == "spot/candle60s":
for d in msg["data"]:
await self.deal_kline_update(d)
else:
logger.warn("unhandle msg:", msg, caller=self)
async def connected_callback(self):
"""After create connection to Websocket server successfully, we will subscribe orderbook/trade/kline event."""
if not self._symbols:
logger.warn("symbols not found in config file.", caller=self)
return
events = []
for channel in self._channels:
if channel == "orderbook":
events.append("order_book")
elif channel == "trade":
events.append("trade")
if not events:
logger.warn("channels not found in config file.", caller=self)
return
nonce = tools.get_cur_timestamp_ms()
uri = "/api/v1/private/subscribe"
params = {"instrument": self._symbols, "event": events}
sign = self.deribit_signature(nonce, uri, params, self._access_key,
self._secret_key)
data = {
"id": "thenextquant",
"action": uri,
"arguments": params,
"sig": sign
}
await self._ws.send(data)
logger.info("subscribe orderbook success.", caller=self)
async def check_asset_update(self, *args, **kwargs):
"""Fetch asset information."""
result, error = await self._rest_api.get_user_account()
if error:
logger.warn("platform:", self._platform, "account:", self._account, "get asset info failed!", caller=self)
return
assets = {}
for item in result:
symbol = item["currency"]
total = float(item["balance"])
free = float(item["available"])
locked = float(item["frozen"])
if total > 0:
assets[symbol] = {
"total": "%.8f" % total,
"free": "%.8f" % free,
"locked": "%.8f" % locked
}
if assets == self._assets:
update = False
else:
update = True
self._assets = assets
# Publish AssetEvent.
timestamp = tools.get_cur_timestamp_ms()
EventAsset(self._platform, self._account, self._assets, timestamp, update).publish()
logger.info("platform:", self._platform, "account:", self._account, "asset:", self._assets, caller=self)
async def connected_callback(self):
"""After create Websocket connection successfully, we will subscribing orderbook/trade/kline events."""
if not self._symbols:
logger.warn("symbols not found in config file.", caller=self)
return
if not self._channels:
logger.warn("channels not found in config file.", caller=self)
return
for ch in self._channels:
if ch == "trade":
params = []
for s in self._symbols:
params.append(s.replace("/", "_"))
request_id = await self._generate_request_id()
d = {"id": request_id, "method": "trades.subscribe", "params": params}
await self._ws.send(d)
logger.info("subscribe trade success.", caller=self)
elif ch == "orderbook":
await self.subscribe_orderbook()
elif ch == "kline":
for s in self._symbols:
params = [s.replace("/", "_"), 60]
request_id = await self._generate_request_id()
d = {"id": request_id, "method": "kline.subscribe", "params": params}
await self._ws.send(d)
logger.info("subscribe kline success.", caller=self)
else:
logger.error("channel error:", ch, caller=self)
continue
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
channel = msg.get("stream")
if channel not in self._c_to_s:
logger.warn("unkown channel, msg:", msg, caller=self)
return
symbol = self._c_to_s[channel]
data = msg.get("data")
e = data.get("e") # 事件名称
# 保存数据到数据库
if e == "kline": # K线
kline = {
"platform": self._platform,
"symbol": symbol,
"open": data.get("k").get("o"), # 开盘价
"high": data.get("k").get("h"), # 最高价
"low": data.get("k").get("l"), # 最低价
"close": data.get("k").get("c"), # 收盘价
"volume": data.get("k").get("q"), # 交易量
"timestamp": data.get("k").get("t"), # 时间戳
"kline_type": const.MARKET_TYPE_KLINE
}
EventKline(**kline).publish()
logger.info("symbol:", symbol, "kline:", kline, caller=self)
elif channel.endswith("depth20"): # 订单薄
bids = []
asks = []
for bid in data.get("bids"):
bids.append(bid[:2])
for ask in data.get("asks"):
asks.append(ask[:2])
orderbook = {
"platform": self._platform,
"symbol": symbol,
"asks": asks,
"bids": bids,
"timestamp": tools.get_cur_timestamp_ms()
}
EventOrderbook(**orderbook).publish()
logger.info("symbol:", symbol, "orderbook:", orderbook, caller=self)
elif e == "trade": # 实时成交信息
trade = {
"platform": self._platform,
"symbol": symbol,
"action": ORDER_ACTION_SELL if data["m"] else ORDER_ACTION_BUY,
"price": data.get("p"),
"quantity": data.get("q"),
"timestamp": data.get("T")
}
EventTrade(**trade).publish()
logger.info("symbol:", symbol, "trade:", trade, caller=self)
else:
logger.error("event error! msg:", msg, caller=self)
async def connected_callback(self):
""" After create Websocket connection successfully, we will subscribing orderbook/trade events.
"""
symbols = []
for s in self._symbols:
t = s.replace("/", "-")
symbols.append(t)
self._symbols_map[t] = s
if not symbols:
logger.warn("symbols not found in config file.", caller=self)
return
if not self._channels:
logger.warn("channels not found in config file.", caller=self)
return
channels = []
for ch in self._channels:
if ch == "orderbook":
sub = {"name": "level2", "product_ids": symbols}
channels.append(sub)
elif ch == "trade":
sub = {"name": "ticker", "product_ids": symbols}
channels.append(sub)
else:
logger.error("channel error! channel:", ch, caller=self)
if channels:
msg = {"type": "subscribe", "channels": channels}
await self._ws.send(msg)
logger.info("subscribe orderbook/trade success.", caller=self)
async def process_binary(self, raw):
""" Process binary message that received from Websocket connection.
Args:
raw: Raw message that received from Websocket connection.
"""
decompress = zlib.decompressobj(-zlib.MAX_WBITS)
msg = decompress.decompress(raw)
msg += decompress.flush()
msg = msg.decode()
# logger.debug("msg:", msg, caller=self)
if msg == "pong":
return
msg = json.loads(msg)
table = msg.get("table")
if table == "spot/depth":
if msg.get("action") == "partial":
for d in msg["data"]:
await self.process_orderbook_partial(d)
elif msg.get("action") == "update":
for d in msg["data"]:
await self.deal_orderbook_update(d)
else:
logger.warn("unhandle msg:", msg, caller=self)
elif table == "spot/trade":
for d in msg["data"]:
await self.process_trade(d)
elif table == "spot/candle60s":
for d in msg["data"]:
await self.process_kline(d)
async def check_asset_update(self, *args, **kwargs):
""" 检查账户资金是否更新
"""
result, error = await self._rest_api.get_user_account()
if error:
logger.warn("platform:", self._platform, "account:", self._account, "get asset info failed!", caller=self)
return
assets = {}
for name, item in result["info"].items():
symbol = name.upper()
total = float(item["equity"])
locked = float(item["margin"])
if total > 0:
assets[symbol] = {
"total": "%.8f" % total,
"free": "%.8f" % (total - locked),
"locked": "%.8f" % locked
}
if assets == self._assets:
update = False
else:
update = True
self._assets = assets
# 推送当前资产
timestamp = tools.get_cur_timestamp_ms()
EventAsset(self._platform, self._account, self._assets, timestamp, update).publish()
logger.info("platform:", self._platform, "account:", self._account, "asset:", self._assets, caller=self)
async def _check_connection(self, *args, **kwargs):
"""Check Websocket connection, if connection closed, re-connect immediately."""
if not self.ws:
logger.warn("Websocket connection not connected yet!", caller=self)
return
if self.ws.closed:
SingleTask.run(self._reconnect)
async def revoke_orders(self, instrument_id, order_ids):
""" Cancelling multiple open orders with order_id，Maximum 10 orders can be cancelled at a time for each
trading pair.
Args:
instrument_id: Contract ID, e.g. BTC-USD-180213.
order_ids: order ID list.
Returns:
success: Success results, otherwise it's None.
error: Error information, otherwise it's None.
"""
assert isinstance(order_ids, list)
if len(order_ids) > 10:
logger.warn("order id list too long! no more than 10!",
caller=self)
uri = "/api/futures/v3/cancel_batch_orders/{instrument_id}".format(
instrument_id=instrument_id)
body = {"order_ids": order_ids}
success, error = await self.request("POST", uri, body=body, auth=True)
if error:
return None, error
if not success["result"]:
return None, success
return success, None
async def process(self, msg):
"""Process message that received from Websocket connection.
Args:
msg: Message received from Websocket connection.
"""
# logger.debug("msg:", msg, caller=self)
if not isinstance(msg, dict):
return
channel = msg.get("stream")
if channel not in self._c_to_s:
logger.warn("unkown channel, msg:", msg, caller=self)
return
symbol = self._c_to_s[channel]
data = msg.get("data")
e = data.get("e")
if e == "kline":
await self.process_kline(symbol, data)
elif channel.endswith("depth20"):
await self.process_orderbook(symbol, data)
elif e == "trade":
await self.process_trade(symbol, data)
async def connected_callback(self):
""" After create Websocket connection successfully, we will subscribing orderbook/trade/kline.
"""
if not self._symbols:
logger.warn("symbols not found in config file.", caller=self)
return
if not self._channels:
logger.warn("channels not found in config file.", caller=self)
return
for ch in self._channels:
if ch == "orderbook":
# subscription = {"name": "book"}
LoopRunTask.register(self.on_event_update_orderbook, 2)
continue
elif ch == "trade":
subscription = {"name": "trade"}
# elif ch == "kline": # TODO: something wrong from exchange server? subscribe ohlc-1 but receive ohlc-5 ?
# subscription = {"name": "ohlc", "interval": 1}
else:
logger.error("channel error:", ch, caller=self)
continue
d = {
"event": "subscribe",
"pair": self._symbols,
"subscription": subscription
}
await self.ws.send_json(d)
logger.info("subscribe", ch, "success.", caller=self)
async def publish_orderbook(self, symbol):
"""Publish OrderbookEvent."""
ob = copy.copy(self._orderbooks[symbol])
if not ob["asks"] or not ob["bids"]:
logger.warn("symbol:", symbol, "asks:", ob["asks"], "bids:", ob["bids"], caller=self)
return
ask_keys = sorted(list(ob["asks"].keys()))
bid_keys = sorted(list(ob["bids"].keys()), reverse=True)
if ask_keys[0] <= bid_keys[0]:
logger.warn("symbol:", symbol, "ask1:", ask_keys[0], "bid1:", bid_keys[0], caller=self)
return
asks = []
for k in ask_keys[:self._orderbook_length]:
price = "%.8f" % k
quantity = "%.8f" % ob["asks"].get(k)
asks.append([price, quantity])
bids = []
for k in bid_keys[:self._orderbook_length]:
price = "%.8f" % k
quantity = "%.8f" % ob["bids"].get(k)
bids.append([price, quantity])
orderbook = {
"platform": self._platform,
"symbol": symbol,
"asks": asks,
"bids": bids,
"timestamp": ob["timestamp"]
}
EventOrderbook(**orderbook).publish()
logger.debug("symbol:", symbol, "orderbook:", orderbook, caller=self)
async def connected_callback(self):
""" 建立连接之后，获取当前所有未完全成交的订单
"""
order_infos, error = await self._rest_api.get_open_orders(
self._raw_symbol)
if error:
return
for order_info in order_infos:
order_no = "{}_{}".format(order_info["orderId"],
order_info["clientOrderId"])
if order_info["status"] == "NEW": # 部分成交
status = ORDER_STATUS_SUBMITTED
elif order_info["status"] == "PARTIALLY_FILLED": # 部分成交
status = ORDER_STATUS_PARTIAL_FILLED
elif order_info["status"] == "FILLED": # 完全成交
status = ORDER_STATUS_FILLED
elif order_info["status"] == "CANCELED": # 取消
status = ORDER_STATUS_CANCELED
elif order_info["status"] == "REJECTED": # 拒绝
status = ORDER_STATUS_FAILED
elif order_info["status"] == "EXPIRED": # 过期
status = ORDER_STATUS_FAILED
else:
logger.warn("unknown status:", order_info, caller=self)
return
info = {
"platform":
self._platform,
"account":
self._account,
"strategy":
self._strategy,
"order_no":
order_no,
"action":
order_info["side"],
"order_type":
order_info["type"],
"symbol":
self._symbol,
"price":
order_info["price"],
"quantity":
order_info["origQty"],
"remain":
float(order_info["origQty"]) -
float(order_info["executedQty"]),
"status":
status,
"ctime":
order_info["time"],
"utime":
order_info["updateTime"]
}
order = Order(**info)
self._orders[order_no] = order
if self._order_update_callback:
SingleTask.run(self._order_update_callback, order)
async def publish(self, event):
""" 发布消息
@param event 发布的事件对象
"""
if not self._connected:
logger.warn("RabbitMQ not ready right now!", caller=self)
return
data = event.dumps()
await self._channel.basic_publish(payload=data, exchange_name=event.exchange, routing_key=event.routing_key)
async def _check_connection(self, *args, **kwargs):
""" 检查连接是否正常
"""
# 检查websocket连接是否关闭，如果关闭，那么立即重连
if not self.ws:
logger.warn("websocket connection not connected yet!", caller=self)
return
if self.ws.closed:
await asyncio.get_event_loop().create_task(self._reconnect())
return
async def publish_orderbook(self, *args, **kwargs):
""" 推送orderbook数据
"""
for symbol, data in self._orderbooks.items():
ob = copy.copy(data)
if not ob["asks"] or not ob["bids"]:
logger.warn("symbol:",
symbol,
"asks:",
ob["asks"],
"bids:",
ob["bids"],
caller=self)
continue
ask_keys = sorted(list(ob["asks"].keys()))
bid_keys = sorted(list(ob["bids"].keys()), reverse=True)
if ask_keys[0] <= bid_keys[0]:
logger.warn("symbol:",
symbol,
"ask1:",
ask_keys[0],
"bid1:",
bid_keys[0],
caller=self)
continue
# 卖
asks = []
for k in ask_keys[:self._length]:
price = "%.8f" % k
quantity = "%.8f" % ob["asks"].get(k)
asks.append([price, quantity])
# 买
bids = []
for k in bid_keys[:self._length]:
price = "%.8f" % k
quantity = "%.8f" % ob["bids"].get(k)
bids.append([price, quantity])
# 推送订单薄数据
orderbook = {
"platform": self._platform,
"symbol": symbol,
"asks": asks,
"bids": bids,
"timestamp": ob["timestamp"]
}
EventOrderbook(**orderbook).publish()
logger.info("symbol:",
symbol,
"orderbook:",
orderbook,
caller=self)
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 _reconnect(self, delay=5):
""" 重新建立websocket连接
"""
if delay > 0:
await asyncio.sleep(delay) #等待一段时间再重连
logger.warn("reconnecting websocket right now!", caller=self)
state = State(
self._platform, self._account,
"reconnecting websocket right now! url: {}".format(self._url),
State.STATE_CODE_RECONNECTING)
SingleTask.run(self.cb.on_state_update_callback, state)
await self._connect()
async def check_asset_update(self, *args, **kwargs):
"""Fetch asset information."""
result, error = await self._rest_api.get_account_balance()
if error:
logger.warn("platform:",
self._platform,
"account:",
self._account,
"get asset info failed!",
caller=self)
return
temps = {}
for item in result.get("list"):
name = item.get("currency").upper()
t = item.get("type")
b = float(item.get("balance"))
if name not in temps:
temps[name] = {}
if t == "trade":
temps[name]["free"] = b
else:
temps[name]["locked"] = b
assets = {}
for name, item in temps.items():
total = item["free"] + item["locked"]
if total <= 0:
continue
assets[name] = {
"free": "%.8f" % item["free"],
"locked": "%.8f" % item["locked"],
"total": "%.8f" % total
}
if assets == self._assets:
update = False
else:
update = True
self._assets = assets
# Publish AssetEvent.
timestamp = tools.get_cur_timestamp_ms()
EventAsset(self._platform, self._account, self._assets, timestamp,
update).publish()
logger.info("platform:",
self._platform,
"account:",
self._account,
"asset:",
self._assets,
caller=self)
async def revoke_order(self, *order_nos):
""" Revoke (an) order(s).
Args:
order_nos: Order id list, you can set this param to 0 or multiple items. If you set 0 param, you can cancel
all orders for this symbol(initialized in Trade object). If you set 1 param, you can cancel an order.
If you set multiple param, you can cancel multiple orders. Do not set param length more than 100.
Returns:
Success or error, see bellow.
NOTEs:
DO NOT INPUT MORE THAT 10 ORDER NOs, you can invoke many times.
"""
# If len(order_nos) == 0, you will cancel all orders for this symbol(initialized in Trade object).
if len(order_nos) == 0:
result, error = await self._rest_api.get_order_list(
self._symbol, 6)
if error:
return False, error
if len(result) > 100:
logger.warn("order length too long! (more than 100)",
caller=self)
for order_info in result["order_info"]:
order_no = order_info["order_id"]
_, error = await self._rest_api.revoke_order(
self._symbol, order_no)
if error:
return False, error
return True, None
# If len(order_nos) == 1, you will cancel an order.
if len(order_nos) == 1:
success, error = await self._rest_api.revoke_order(
self._symbol, order_nos[0])
if error:
return order_nos[0], error
else:
return order_nos[0], None
# If len(order_nos) > 1, you will cancel multiple orders.
if len(order_nos) > 1:
success, error = [], []
for order_no in order_nos:
_, e = await self._rest_api.revoke_order(
self._symbol, order_no)
if e:
error.append((order_no, e))
else:
success.append(order_no)
return success, error
async def publish(self, event):
""" Publish a event.
Args:
event: A event to publish.
"""
if not self._connected:
logger.warn("RabbitMQ not ready right now!", caller=self)
return
data = event.dumps()
await self._channel.basic_publish(payload=data,
exchange_name=event.exchange,
routing_key=event.routing_key)
logger.debug("Publish to RabbitMQ: ", event, caller=self)
async def revoke_orders(self, symbol, order_nos):
""" 批量撤销委托单
@param symbol 交易对
@param order_nos 订单列表
* NOTE: 单次不超过4个订单id
"""
if len(order_nos) > 4:
logger.warn("only revoke 4 orders per request!", caller=self)
body = [{"instrument_id": symbol, "order_ids": order_nos[:4]}]
result, error = await self.request("POST",
"/api/spot/v3/cancel_batch_orders",
body=body,
auth=True)
return result, error
async def _send_heartbeat_msg(self, *args, **kwargs):
"""Send heartbeat message to Websocket server."""
if not self.ws:
logger.warn("Websocket connection not connected yet!", caller=self)
return
if self._heartbeat_msg:
if isinstance(self._heartbeat_msg, dict):
await self.ws.send_json(self._heartbeat_msg)
elif isinstance(self._heartbeat_msg, str):
await self.ws.send_str(self._heartbeat_msg)
else:
logger.error("send heartbeat message failed:", self._heartbeat_msg, caller=self)
return
logger.debug("send heartbeat message:", self._heartbeat_msg, caller=self)
async def connected_callback(self):
""" After websocket connection created successfully, pull back all open order information.
"""
logger.info("Websocket connection authorized successfully.", caller=self)
order_infos, error = await self._rest_api.get_open_orders(self._raw_symbol)
if error:
e = Error("get open orders error: {}".format(error))
if self._init_success_callback:
SingleTask.run(self._init_success_callback, False, e)
return
for order_info in order_infos:
order_no = "{}_{}".format(order_info["orderId"], order_info["clientOrderId"])
if order_info["status"] == "NEW":
status = ORDER_STATUS_SUBMITTED
elif order_info["status"] == "PARTIALLY_FILLED":
status = ORDER_STATUS_PARTIAL_FILLED
elif order_info["status"] == "FILLED":
status = ORDER_STATUS_FILLED
elif order_info["status"] == "CANCELED":
status = ORDER_STATUS_CANCELED
elif order_info["status"] == "REJECTED":
status = ORDER_STATUS_FAILED
elif order_info["status"] == "EXPIRED":
status = ORDER_STATUS_FAILED
else:
logger.warn("unknown status:", order_info, caller=self)
continue
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": order_info["side"],
"order_type": order_info["type"],
"symbol": self._symbol,
"price": order_info["price"],
"quantity": order_info["origQty"],
"remain": float(order_info["origQty"]) - float(order_info["executedQty"]),
"status": status,
"ctime": order_info["time"],
"utime": order_info["updateTime"]
}
order = Order(**info)
self._orders[order_no] = order
if self._order_update_callback:
SingleTask.run(self._order_update_callback, copy.copy(order))
if self._init_success_callback:
SingleTask.run(self._init_success_callback, True, None)
async def receive(self):
""" 接收消息
"""
async for msg in self.ws:
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())
elif msg.type == aiohttp.WSMsgType.CLOSE:
logger.warn("receive event CLOSE:", msg, caller=self)
await asyncio.get_event_loop().create_task(self._reconnect())
elif msg.type == aiohttp.WSMsgType.CLOSING:
logger.warn("receive event CLOSING:", msg, caller=self)
await asyncio.get_event_loop().create_task(self._reconnect())
elif msg.type == aiohttp.WSMsgType.ERROR:
logger.error("receive event ERROR:", msg, caller=self)
await asyncio.get_event_loop().create_task(self._reconnect())
else:
logger.warn("unhandled msg:", msg, caller=self)
async def process(self, msg):
""" Process message that received from Websocket connection.
Args:
msg: message received from Websocket connection.
"""
logger.debug("msg:", json.dumps(msg), caller=self)
e = msg.get("e")
if e == "executionReport": # Order update.
if msg["s"] != self._raw_symbol:
return
order_no = "{}_{}".format(msg["i"], msg["c"])
if msg["X"] == "NEW":
status = ORDER_STATUS_SUBMITTED
elif msg["X"] == "PARTIALLY_FILLED":
status = ORDER_STATUS_PARTIAL_FILLED
elif msg["X"] == "FILLED":
status = ORDER_STATUS_FILLED
elif msg["X"] == "CANCELED":
status = ORDER_STATUS_CANCELED
elif msg["X"] == "REJECTED":
status = ORDER_STATUS_FAILED
elif msg["X"] == "EXPIRED":
status = ORDER_STATUS_FAILED
else:
logger.warn("unknown status:", msg, caller=self)
return
order = self._orders.get(order_no)
if not order:
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"client_order_id": msg["c"],
"action": msg["S"],
"order_type": msg["o"],
"symbol": self._symbol,
"price": msg["p"],
"quantity": msg["q"],
"ctime": msg["O"]
}
order = Order(**info)
self._orders[order_no] = order
order.remain = float(msg["q"]) - float(msg["z"])
order.status = status
order.utime = msg["T"]
if self._order_update_callback:
SingleTask.run(self._order_update_callback, copy.copy(order))
async def do_orderbook_update(self, *args, **kwargs):
""" 执行订单薄数据更新
"""
for symbol in self._symbols:
result, error = await self._rest_api.get_orderbook(
symbol, self._orderbook_fetch_count)
if error:
continue
bids = []
asks = []
for item in result["asks"]:
a = [item["limitPrice"], item["quantity"]]
asks.append(a)
for item in result["bids"]:
b = [item["limitPrice"], item["quantity"]]
bids.append(b)
if not bids and not asks:
logger.warn("no orderbook data", caller=self)
continue
# 判断买一是否小于卖一，防止异常数据
if len(bids) > 0 and len(asks) > 0 and float(bids[0][0]) >= float(
asks[0][0]):
logger.warn("symbol:",
symbol,
"bids one is grate than asks one! asks:",
asks,
"bids:",
bids,
caller=self)
continue
orderbook = {
"platform": self._platform,
"symbol": symbol,
"asks": asks,
"bids": bids,
"timestamp": tools.get_cur_timestamp_ms()
}
EventOrderbook(**orderbook).publish()
logger.info("symbol:",
symbol,
"orderbook:",
orderbook,
caller=self)
# 间隔0.1秒发起下一次请求
await asyncio.sleep(0.1)
async def fetch(cls, method, url, params=None, body=None, data=None, headers=None, timeout=30, **kwargs):
""" 发起HTTP请求
@param method 请求方法 GET/POST/PUT/DELETE
@param url 请求的url
@param params 请求的uri参数
@param body 请求的body参数
@param data json格式的数据
@param headers 请求的headers
@param timeout 超时时间(秒)
@return (code, success, error) 如果成功，error为None，失败success为None，error为失败信息
"""
session = cls._get_session(url)
if not kwargs.get("proxy"):
kwargs["proxy"] = config.proxy # HTTP代理配置
try:
if method == "GET":
response = await session.get(url, params=params, headers=headers, timeout=timeout, **kwargs)
elif method == "POST":
response = await session.post(url, params=params, data=body, json=data, headers=headers,
timeout=timeout, **kwargs)
elif method == "PUT":
response = await session.put(url, params=params, data=body, json=data, headers=headers,
timeout=timeout, **kwargs)
elif method == "DELETE":
response = await session.delete(url, params=params, data=body, json=data, headers=headers,
timeout=timeout, **kwargs)
else:
error = "http method error!"
return None, None, error
except Exception as e:
logger.error("method:", method, "url:", url, "params:", params, "body:", body, "data:", data, "Error:", e,
caller=cls)
return None, None, e
code = response.status
if code not in (200, 201, 202, 203, 204, 205, 206):
text = await response.text()
logger.error("method:", method, "url:", url, "params:", params, "body:", body, "headers:", headers,
"code:", code, "result:", text, caller=cls)
return code, None, text
try:
result = await response.json()
except:
logger.warn("response data is not json format!", "method:", method, "url:", url, "params:", params,
caller=cls)
result = await response.text()
logger.debug("method:", method, "url:", url, "params:", params, "body:", body, "data:", data,
"code:", code, "result:", result, caller=cls)
return code, result, None
