def _get_data_by_spider(symbol, ktype, start, end):
"""
根据爬虫地址获取
"""
client = bitmexClient.Client(conf.BITMEX_URL_HISTORY)
params = {
"symbol": symbol,
"resolution": ktype,
"from": start,
"to": end,
}
data_json = client.get(params)
df = tool.init_empty_df(SYMBOL_COLS)
if data_json['s'] == 'ok':
open_arr = data_json['o']
close_arr = data_json['c']
high_arr = data_json['h']
low_arr = data_json['l']
time_arr = data_json['t']
volume_arr = data_json['v']
for index in range(0, len(time_arr)):
row_dict = dict()
row_dict['date'] = tradetime.transfer_unixtime(
time_arr[index], ktype)
row_dict['open'] = float(open_arr[index])
row_dict['close'] = float(close_arr[index])
row_dict['high'] = float(high_arr[index])
row_dict['low'] = float(low_arr[index])
row_dict['volume'] = volume_arr[index]
df = df.append(row_dict, ignore_index=True)
if len(df) > 0:
df["volume"] = df["volume"].astype('float64')
return df
def list(symbol, count, start, filter_dict=None):
"""
交易历史列表
"""
client = bitmexClient.Client(conf.BITMEX_URL_ORDER)
params = {
"symbol": symbol,
"count": count,
"start": start,
"reverse": True
}
if filter_dict is not None:
params['filter'] = filter_dict
data_json = client.get(params)
df = tool.init_empty_df(None)
for one in data_json:
row_dict = dict()
row_dict['date'] = tradetime.transfer_iso_datetime(
one['timestamp'], "M")
row_dict['symbol'] = one['symbol']
row_dict['side'] = one['side']
row_dict['type'] = one['ordType']
row_dict['status'] = one['ordStatus']
row_dict['price'] = one['price']
row_dict['order'] = one['simpleOrderQty']
row_dict['cum'] = one['simpleCumQty']
row_dict['id'] = one['orderID']
df = df.append(row_dict, ignore_index=True)
return df
def cancel(oid):
"""
取消订单
"""
client = bitmexClient.Client(conf.BITMEX_URL_ORDER)
content = {
"orderID": oid,
}
return client.delete(content)
def cancel_all(symbol):
"""
取消全部订单
"""
client = bitmexClient.Client(conf.BITMEX_URL_ORDER_CANCEL_ALL)
content = {
"symbol": symbol,
}
return client.delete(content)
def cancel_all_after(timeout):
"""
标记删除
timeout: ms
"""
client = bitmexClient.Client(conf.BITMEX_URL_ORDER_CANCEL_ALL_AFTER)
content = {
"timeout": timeout,
}
return client.post(content)
def book(symbol, depth):
client = bitmexClient.Client(conf.BITMEX_URL_ORDERBOOK)
params = {"symbol": symbol, "depth": depth}
data_json = client.get(params)
df = tool.init_empty_df(None)
for one in data_json:
row_dict = dict()
row_dict['price'] = one['price']
row_dict['side'] = one['side']
row_dict['size'] = one['size']
df = df.append(row_dict, ignore_index=True)
return df
def amend_contract(oid, qty, price=None):
"""
修改订单(基于contract)
"""
client = bitmexClient.Client(conf.BITMEX_URL_ORDER)
content = {
"orderID": oid,
"orderQty": qty,
}
if price is not None:
content["price"] = price
return client.put(content)
def amend_simple(oid, simple_qty, price=None):
"""
修改订单(基于simple)
"""
client = bitmexClient.Client(conf.BITMEX_URL_ORDER)
content = {
"orderID": oid,
"simpleOrderQty": simple_qty,
}
if price is not None:
content["price"] = price
return client.put(content)
def wallet(currency=conf.BITMEX_CURRENCY_XBT):
"""
钱包状态
"""
client = bitmexClient.Client(conf.BITMEX_URL_WALLET)
params = {
"currency": currency,
}
data_json = client.get(params)
row_dict = dict()
row_dict['date'] = tradetime.transfer_iso_datetime(data_json['timestamp'],
"M")
row_dict['amount'] = round(data_json['amount'] / 1000 / 1000 / 100, 4)
return row_dict
def create_contract(symbol, side, qty, otype=TYPE_LIMIT, price=None):
"""
创建订单(基于contract)
"""
client = bitmexClient.Client(conf.BITMEX_URL_ORDER)
content = {
"symbol": symbol,
"side": side,
"orderQty": qty,
"ordType": otype,
}
if otype == TYPE_LIMIT or otype == TYPE_STOP_LIMIT or otype == TYPE_LIMIT_IF_TOUCH:
content["price"] = price
return client.post(content)
def _get_data_by_api(symbol, bin_size, count, start=None, end=None):
client = bitmexClient.Client(conf.BITMEX_URL_TRADE_BUCKETED)
params = {
"symbol": symbol,
"binSize": bin_size,
"count": count,
"partial": False,
"reverse": True,
}
if start is not None:
params['startTime'] = start
if end is not None:
params['endTime'] = end
data_json = client.get(params)
df = _transfer_json_to_df(data_json)
return df
def position(count):
"""
获取仓位列表
"""
# TODO 优化成支持多个symbol
client = bitmexClient.Client(conf.BITMEX_URL_POSITION)
params = {
"count": count,
}
data_json = client.get(params)
row_dict = dict()
row_dict['date'] = tradetime.transfer_iso_datetime(
data_json[0]['openingTimestamp'], "M")
row_dict['symbol'] = data_json[0]['symbol']
row_dict['is_open'] = data_json[0]['isOpen']
row_dict['price'] = data_json[0]['avgEntryPrice']
row_dict['current'] = data_json[0]['currentQty']
return row_dict
def wallet_history(count, start):
"""
钱包历史列表
"""
client = bitmexClient.Client(conf.BITMEX_URL_WALLET_HISTORY)
params = {"count": count, "start": start, "reverse": True}
data_json = client.get(params)
df = tool.init_empty_df(WALLET_COLS)
for one in data_json:
row_dict = dict()
row_dict['status'] = one['transactStatus']
row_dict['address'] = one['address']
row_dict['amount'] = one['amount']
row_dict['fee'] = one['fee']
row_dict['balance'] = one['walletBalance']
row_dict['date'] = tradetime.transfer_iso_datetime(
one['timestamp'], "M")
df = df.append(row_dict, ignore_index=True)
return df
