def __init__(self, **kwargs):
""" 初始化
"""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://www.deribit.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://deribit.com"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = DERIBIT
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
self._order_channel = "user.orders.{symbol}.raw".format(symbol=self._symbol) # 订单订阅频道
url = self._wss + "/ws/api/v2"
super(DeribitTrade, self).__init__(url, send_hb_interval=5)
self._assets = {} # 资产 {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # 订单
self._position = Position(self._platform, self._account, self._strategy, self._symbol) # 仓位
self._query_id = 0 # 消息序号id，用来唯一标识请求消息
self._queries = {} # 未完成的post请求 {"request_id": future}
self.initialize()
# 初始化资产订阅
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account, self.on_event_asset_update)
# 注册定时任务
LoopRunTask.register(self._do_auth, 60 * 60) # 每隔1小时重新授权
LoopRunTask.register(self._check_position_update, 1) # 获取持仓
self._ok = False # 是否建立授权成功的websocket连接
def __init__(self, **kwargs):
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://api.testnet.fmex.com/"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = FCOIN_FUTURE
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
self._update_order_interval = kwargs.get("update_order_interval", 1)
self._assets = {
} # 资产 {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # 订单
self._position = Position(self._platform, self._account,
self._strategy, self._symbol) # 仓位
# 标记订阅订单、持仓是否成功
self._subscribe_order_ok = False
self._subscribe_position_ok = False
# 初始化 REST API 对象
self._rest_api = FCoinFutureRestAPI(self._host, self._access_key,
self._secret_key)
# 初始化资产订阅
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account,
self.on_event_asset_update)
# 注册定时任务，定时查询订单更新、仓位更新情况
if self._position_update_callback:
LoopRunTask.register(self._check_position_update, 60)
# 初始化订单订阅
if self._order_update_callback:
LoopRunTask.register(self.check_order_update,
self._update_order_interval)
def __init__(self, **kwargs):
""" 初始化
"""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://www.bitmex.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://www.bitmex.com"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = BITMEX
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
url = self._wss + "/realtime"
super(BitmexTrade, self).__init__(url, send_hb_interval=5)
self.heartbeat_msg = "ping"
self._order_channel = "order:{symbol}".format(symbol=self._symbol) # 订单订阅频道
self._position_channel = "position:{symbol}".format(symbol=self._symbol) # 持仓订阅频道
# 标记订阅订单、持仓是否成功
self._subscribe_order_ok = False
self._subscribe_position_ok = False
self._assets = {} # 资产 {"XBT": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {}
self._position = Position(self._platform, self._account, self._strategy, self._symbol) # 仓位
# 初始化REST API对象
self._rest_api = BitmexAPI(self._host, self._access_key, self._secret_key)
# 初始化资产订阅
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account, self.on_event_asset_update)
self.initialize()
def __init__(self, **kwargs):
"""Initialize."""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("contract_type"):
e = Error("param contract_type miss")
if not kwargs.get("host"):
kwargs["host"] = "https://api.hbdm.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://api.hbdm.com"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = HUOBI_FUTURE
self._symbol = kwargs["symbol"]
self._contract_type = kwargs["contract_type"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
url = self._wss + "/notification"
self._ws = Websocket(url, self.connected_callback, process_binary_callback=self.process_binary)
self._ws.initialize()
LoopRunTask.register(self.send_heartbeat_msg, 5)
self._assets = {} # Asset detail, {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }.
self._orders = {} # Order objects, {"order_id": order, ...}.
self._position = Position(self._platform, self._account, self._strategy, self._symbol + '/' + self._contract_type)
self._order_channel = "orders.{symbol}".format(symbol=self._symbol.lower())
self._position_channel = "positions.{symbol}".format(symbol=self._symbol.lower())
self._subscribe_order_ok = False
self._subscribe_position_ok = False
self._rest_api = HuobiFutureRestAPI(self._host, self._access_key, self._secret_key)
# Subscribe AssetEvent.
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account, self.on_event_asset_update)
def __init__(self, account, strategy, symbol, host=None, wss=None, access_key=None, secret_key=None,
order_update_callback=None, position_update_callback=None):
""" 初始化
@param account 账户
@param strategy 策略名称
@param symbol 交易对（合约名称）
@param host HTTP请求主机地址
@param wss websocket连接地址
@param access_key ACCESS KEY
@param secret_key SECRET KEY
@param order_update_callback 订单更新回调
@param position_update_callback 持仓更新回调
"""
self._account = account
self._strategy = strategy
self._platform = BITMEX
self._symbol = symbol
self._host = host
self._wss = wss
self._access_key = access_key
self._secret_key = secret_key
self._order_update_callback = order_update_callback
self._position_update_callback = position_update_callback
super(BitmexTrade, self).__init__(self._wss, send_hb_interval=5)
self.heartbeat_msg = "ping"
self._orders = {}
self._position = Position(self._platform, self._account, strategy, symbol) # 仓位
# 初始化REST API对象
self._rest_api = BitmexAPI(self._host, self._access_key, self._secret_key)
self.initialize()
def __init__(self, **kwargs):
""" 初始化
"""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://api.gateio.ws"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://fx-ws.gateio.ws"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = GATE_FUTURE
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
self._contract_update_callback = kwargs.get('contract_update_callback')
self._user_id = None
url = self._wss + "/v4/ws"
super(GateFutureTrade, self).__init__(url, send_hb_interval=5)
self.heartbeat_msg = "ping"
self._assets = {
} # 资产 {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # 订单 {"order_no": order, ... }
self._position = Position(self._platform, self._account,
self._strategy, self._symbol)
# 初始化 REST API 对象
self._rest_api = GateFutureRestAPI(self._host, self._access_key,
self._secret_key)
# 初始化资产订阅
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account,
self.on_event_asset_update)
# 注册定时任务
LoopRunTask.register(self._check_position_update, 1) # 获取持仓
def __init__(self,
account,
strategy,
symbol,
host=None,
wss=None,
access_key=None,
secret_key=None,
passphrase=None,
order_update_callback=None,
position_update_callback=None):
""" 初始化
@param account 账户
@param strategy 策略名称
@param symbol 交易对（合约名称）
@param host HTTP请求主机地址
@param wss websocket连接地址
@param access_key ACCESS KEY
@param secret_key SECRET KEY
@param passphrase 密码
@param order_update_callback 订单更新回调
@param position_update_callback 持仓更新回调
"""
self._account = account
self._strategy = strategy
self._platform = OKEX_FUTURE
self._symbol = symbol
self._host = host if host else "https://www.okex.com"
self._wss = wss if wss else "wss://real.okex.com:10442/ws/v3"
self._access_key = access_key
self._secret_key = secret_key
self._passphrase = passphrase
self._order_update_callback = order_update_callback
self._position_update_callback = position_update_callback
super(OKExFutureTrade, self).__init__(self._wss, send_hb_interval=5)
self.heartbeat_msg = "ping"
self._orders = {} # 订单
self._position = Position(self._platform, self._account, strategy,
symbol) # 仓位
# 初始化 REST API 对象
self._rest_api = OKExFutureRestAPI(self._host, self._access_key,
self._secret_key, self._passphrase)
self.initialize()
async def get_position(self, symbol):
""" 获取当前持仓
Args:
symbol: Trade target
Returns:
position: Position if successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
#{"result": [{"collateralUsed": 0.35986, "cost": -1.7984, "entryPrice": 179.84, "estimatedLiquidationPrice": 11184.0123266, "future": "ETH-PERP", "initialMarginRequirement": 0.2, "longOrderSize": 0.0, "maintenanceMarginRequirement": 0.03, "netSize": -0.01, "openSize": 0.01, "realizedPnl": 0.01866927, "recentAverageOpenPrice": 179.84, "recentPnl": -0.0009, "shortOrderSize": 0.0, "side": "sell", "size": 0.01, "unrealizedPnl": -0.0009}], "success": true}
success, error = await self._rest_api.get_positions(True)
if error:
return None, error
if not success["success"]:
return None, "get_position error"
p = next(filter(lambda x: x['future'] == symbol, success["result"]),
None)
if p == None:
return None, "symbol not exist"
if p["netSize"] == 0:
return None, "currently no positions"
pos = Position(self._platform, self._account, self._strategy, symbol)
if p["netSize"] < 0:
#空头仓位
pos.update(short_quantity=abs(p["netSize"]),
short_avg_price=p["recentAverageOpenPrice"],
liquid_price=p["estimatedLiquidationPrice"])
else:
#多头仓位
pos.update(long_quantity=abs(p["netSize"]),
long_avg_price=p["recentAverageOpenPrice"],
liquid_price=p["estimatedLiquidationPrice"])
#因为ftx websocket接口里面没有仓位通知,所以只能这样模拟
SingleTask.run(self.cb.on_position_update_callback, pos)
return pos, None
def __init__(self, account, strategy, symbol, host=None, wss=None, access_key=None, secret_key=None,
order_update_callback=None, position_update_callback=None):
""" 初始化
@param account 账户
@param strategy 策略名称
@param symbol 交易对（合约名称）
@param host HTTP请求主机地址
@param wss websocket连接地址
@param access_key ACCESS KEY
@param secret_key SECRET KEY
@param order_update_callback 订单更新回调
@param position_update_callback 持仓更新回调
"""
self._account = account
self._strategy = strategy
self._platform = DERIBIT
self._symbol = symbol
self._host = host if host else "https://www.deribit.com"
self._wss = wss if wss else "wss://deribit.com/ws/api/v2"
self._access_key = access_key
self._secret_key = secret_key
self._order_update_callback = order_update_callback
self._position_update_callback = position_update_callback
self._order_channel = "user.orders.{symbol}.raw".format(symbol=symbol) # 订单订阅频道
super(DeribitTrade, self).__init__(self._wss, send_hb_interval=5)
self._orders = {} # 订单
self._position = Position(self._platform, self._account, strategy, symbol) # 仓位
self._query_id = 0 # 消息序号id，用来唯一标识请求消息
self._queries = {} # 未完成的post请求 {"request_id": future}
self.initialize()
# 注册定时任务
LoopRunTask.register(self._do_auth, 60 * 60) # 每隔1小时重新授权
LoopRunTask.register(self._check_position_update, 1) # 获取持仓
self._ok = False # 是否建立授权成功的websocket连接
def __init__(self, **kwargs):
""" 初始化
"""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://www.okex.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://real.okex.com:10442"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if not kwargs.get("passphrase"):
e = Error("param passphrase miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = OKEX_FUTURE
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._passphrase = kwargs["passphrase"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
url = self._wss + "/ws/v3"
super(OKExFutureTrade, self).__init__(url, send_hb_interval=5)
self.heartbeat_msg = "ping"
self._orders = {} # 订单
self._position = Position(self._platform, self._account,
self._strategy, self._symbol) # 仓位
# 订阅频道
# ch_account = "futures/account:BTC"
self._order_channel = "futures/order:{symbol}".format(
symbol=self._symbol)
self._position_channel = "futures/position:{symbol}".format(
symbol=self._symbol)
# 标记订阅订单、持仓是否成功
self._subscribe_order_ok = False
self._subscribe_position_ok = False
# 初始化 REST API 对象
self._rest_api = OKExFutureRestAPI(self._host, self._access_key,
self._secret_key, self._passphrase)
self.initialize()
def __init__(self, **kwargs):
"""Initialize."""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://www.okex.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://real.okex.com:8443"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if not kwargs.get("passphrase"):
e = Error("param passphrase miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = OKEX_FUTURE
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._passphrase = kwargs["passphrase"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
url = self._wss + "/ws/v3"
super(OKExFutureTrade, self).__init__(url, send_hb_interval=5)
self.heartbeat_msg = "ping"
self._assets = {
} # Asset object. e.g. {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # Order objects. e.g. {"order_no": Order, ... }
self._position = Position(self._platform, self._account,
self._strategy, self._symbol)
# Subscribing our channels.
self._order_channel = "futures/order:{symbol}".format(
symbol=self._symbol)
self._position_channel = "futures/position:{symbol}".format(
symbol=self._symbol)
# If our channels that subscribed successfully.
self._subscribe_order_ok = False
self._subscribe_position_ok = False
# Initializing our REST API client.
self._rest_api = OKExFutureRestAPI(self._host, self._access_key,
self._secret_key, self._passphrase)
# Subscribing our asset event.
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account,
self.on_event_asset_update)
self.initialize()
def parse(self):
""" Parse self._data to Order object.
"""
position = Position(**self.data)
return position
def __init__(self, **kwargs):
"""Initialize Trade module."""
e = None
if not kwargs.get("account"):
e = Error("param account miss")
if not kwargs.get("strategy"):
e = Error("param strategy miss")
if not kwargs.get("symbol"):
e = Error("param symbol miss")
if not kwargs.get("host"):
kwargs["host"] = "https://fapi.binance.com"
if not kwargs.get("wss"):
kwargs["wss"] = "wss://fstream.binance.com"
if not kwargs.get("access_key"):
e = Error("param access_key miss")
if not kwargs.get("secret_key"):
e = Error("param secret_key miss")
if e:
logger.error(e, caller=self)
if kwargs.get("init_success_callback"):
SingleTask.run(kwargs["init_success_callback"], False, e)
return
self._account = kwargs["account"]
self._strategy = kwargs["strategy"]
self._platform = BINANCE_FUTURE
self._symbol = kwargs["symbol"]
self._host = kwargs["host"]
self._wss = kwargs["wss"]
self._access_key = kwargs["access_key"]
self._secret_key = kwargs["secret_key"]
self._asset_update_callback = kwargs.get("asset_update_callback")
self._order_update_callback = kwargs.get("order_update_callback")
self._position_update_callback = kwargs.get("position_update_callback")
self._init_success_callback = kwargs.get("init_success_callback")
self._ok = False # Initialize successfully ?
self._raw_symbol = self._symbol # Row symbol name, same as Binance Exchange.
self._listen_key = None # Listen key for Websocket authentication.
self._assets = {
} # Asset data. e.g. {"BTC": {"free": "1.1", "locked": "2.2", "total": "3.3"}, ... }
self._orders = {} # Order data. e.g. {order_no: order, ... }
self._position = Position(self._platform, self._account,
self._strategy, self._symbol) # 仓位
# Initialize our REST API client.
self._rest_api = BinanceFutureRestAPI(self._host, self._access_key,
self._secret_key)
# Subscribe our AssetEvent.
if self._asset_update_callback:
AssetSubscribe(self._platform, self._account,
self.on_event_asset_update)
# Create a loop run task to reset listen key every 20 minutes.
LoopRunTask.register(self._reset_listen_key, 60 * 20)
# Create a loop run task to check position information per 1 second.
LoopRunTask.register(self._check_position_update, 1)
# Create a loop run task to send ping message to server per 30 seconds.
# LoopRunTask.register(self._send_heartbeat_msg, 10)
# Create a coroutine to initialize Websocket connection.
SingleTask.run(self._init_websocket)
async def get_position(self, symbol):
""" 获取当前持仓
Args:
symbol: Trade target
Returns:
position: Position if successfully, otherwise it's None.
error: Error information, otherwise it's None.
"""
#{"result": [{"collateralUsed": 0.35986, "cost": -1.7984, "entryPrice": 179.84, "estimatedLiquidationPrice": 11184.0123266, "future": "ETH-PERP", "initialMarginRequirement": 0.2, "longOrderSize": 0.0, "maintenanceMarginRequirement": 0.03, "netSize": -0.01, "openSize": 0.01, "realizedPnl": 0.01866927, "recentAverageOpenPrice": 179.84, "recentPnl": -0.0009, "shortOrderSize": 0.0, "side": "sell", "size": 0.01, "unrealizedPnl": -0.0009}], "success": true}
success, error = await self._rest_api.get_positions(True)
if error:
return None, error
if not success["success"]:
return None, "get_position error"
p = next(filter(lambda x: x['future'] == symbol, success["result"]),
None)
if p == None:
return Position(self._platform, self._account, self._strategy,
symbol), None
if p["netSize"] == 0:
return Position(self._platform, self._account, self._strategy,
symbol), None
pos = Position(self._platform, self._account, self._strategy, symbol)
pos.margin_mode = MARGIN_MODE_CROSSED #ftx只有全仓模式,如果想要逐仓模式的话就用子账户的方式来实现
pos.utime = tools.get_cur_timestamp_ms()
if p["netSize"] < 0: #空头仓位
pos.long_quantity = 0
pos.long_avail_qty = 0
pos.long_open_price = 0
pos.long_hold_price = 0
pos.long_liquid_price = 0
pos.long_unrealised_pnl = 0
pos.long_leverage = 0
pos.long_margin = 0
#
pos.short_quantity = abs(p["netSize"])
pos.short_avail_qty = pos.short_quantity - p["longOrderSize"] if p[
"longOrderSize"] < pos.short_quantity else 0
pos.short_open_price = p["recentAverageOpenPrice"]
pos.short_hold_price = p["entryPrice"]
pos.short_liquid_price = p["estimatedLiquidationPrice"]
pos.short_unrealised_pnl = p["unrealizedPnl"]
pos.short_leverage = int(1 / p["initialMarginRequirement"])
pos.short_margin = p["collateralUsed"]
else: #多头仓位
pos.long_quantity = abs(p["netSize"])
pos.long_avail_qty = pos.long_quantity - p["shortOrderSize"] if p[
"shortOrderSize"] < pos.long_quantity else 0
pos.long_open_price = p["recentAverageOpenPrice"]
pos.long_hold_price = p["entryPrice"]
pos.long_liquid_price = p["estimatedLiquidationPrice"]
pos.long_unrealised_pnl = p["unrealizedPnl"]
pos.long_leverage = int(1 / p["initialMarginRequirement"])
pos.long_margin = p["collateralUsed"]
#
pos.short_quantity = 0
pos.short_avail_qty = 0
pos.short_open_price = 0
pos.short_hold_price = 0
pos.short_liquid_price = 0
pos.short_unrealised_pnl = 0
pos.short_leverage = 0
pos.short_margin = 0
return pos, None