async def process_kline_update(self, data):
""" Deal with 1min kline data, and publish kline message to EventCenter via KlineEvent.
Args:
data: Newest kline data.
"""
for item in data:
timestamp = item[0] * 1000
_open = "%.8f" % float(item[1])
close = "%.8f" % float(item[2])
high = "%.8f" % float(item[3])
low = "%.8f" % float(item[4])
volume = "%.8f" % float(item[6])
symbol = item[-1].replace("_", "/")
# 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.info("symbol:", symbol, "kline:", kline, caller=self)
def __init__(self, platform, symbol, range_type=KLINE_1MIN):
""" 初始化
@param platform 交易平台
@param symbol 交易对
@param range_type K线类型 1min 5min 15min，默认为 1min
"""
self._platform = platform # 交易平台
self._symbol = symbol # 交易对
self._open = None # 开盘价
self._high = None # 最高价
self._low = None # 最低价
self._close = None # 收盘价
self._volume = None # 交易量
self._timestamp = None # 更新时间戳（秒）
self._range_type = range_type
self._callback_handlers = [] # 外盘K线数据有更新的时候，执行的回调函数
# 订阅事件回调
if range_type == KLINE_1MIN:
EventKline(self.platform,
self.symbol).subscribe(self.on_event_kline)
elif range_type == KLINE_5MIN:
EventKline5Min(self.platform,
self.symbol).subscribe(self.on_event_kline)
elif range_type == KLINE_15MIN:
EventKline15Min(self.platform,
self.symbol).subscribe(self.on_event_kline)
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 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)
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 _publish_kline(self, symbol, new_kline):
#发布自合成K线到消息队列
kwargs = {
"platform": self.platform,
"symbol": symbol,
"timestamp": new_kline["begin_dt"],
"kline_type": const.MARKET_TYPE_KLINE
}
kwargs.update(new_kline) #填充剩余字段
EventKline(**kwargs).publish()
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)
async def process_kline(self, symbol, data):
"""Process kline data and publish KlineEvent."""
kline = {
"platform": self._platform,
"symbol": symbol,
"open": data.get("k").get("o"),
"high": data.get("k").get("h"),
"low": data.get("k").get("l"),
"close": data.get("k").get("c"),
"volume": data.get("k").get("q"),
"timestamp": data.get("k").get("t"),
"kline_type": const.MARKET_TYPE_KLINE
}
EventKline(**kline).publish()
logger.info("symbol:", symbol, "kline:", kline, caller=self)
def __init__(self, market_type, platform, symbol, callback):
""" 初始化
@param market_type 行情类型
@param platform 交易平台
@param symbol 交易对
@param callback 行情更新回调函数，必须是async异步函数，回调参数为行情对象，比如k线回调函数: async def on_event_kline_update(kline: Kline): pass
"""
if market_type == const.MARKET_TYPE_ORDERBOOK:
from quant.event import EventOrderbook
EventOrderbook(platform, symbol).subscribe(callback)
elif market_type == const.MARKET_TYPE_TRADE:
from quant.event import EventTrade
EventTrade(platform, symbol).subscribe(callback)
elif market_type == const.MARKET_TYPE_KLINE:
from quant.event import EventKline
EventKline(platform, symbol, kline_type=const.MARKET_TYPE_KLINE).subscribe(callback)
elif market_type == const.MARKET_TYPE_KLINE_5M:
from quant.event import EventKline
EventKline(platform, symbol, kline_type=const.MARKET_TYPE_KLINE).subscribe(callback)
elif market_type == const.MARKET_TYPE_KLINE_15M:
from quant.event import EventKline
EventKline(platform, symbol, kline_type=const.MARKET_TYPE_KLINE_15M).subscribe(callback)
else:
logger.error("market_type error:", market_type, caller=self)
async def on_kline_update_callback(self, kline: Kline):
""" 市场K线更新
"""
logger.info("kline:", kline, caller=self)
kwargs = {
"platform": kline.platform,
"symbol": kline.symbol,
"open": "%.8f" % kline.open,
"high": "%.8f" % kline.high,
"low": "%.8f" % kline.low,
"close": "%.8f" % kline.close,
"volume": kline.volume,
"timestamp": kline.timestamp,
"kline_type": kline.kline_type
}
EventKline(**kwargs).publish()
def __init__(self, market_type, platform, symbol, callback):
""" 初始化
@param market_type 行情类型
@param platform 交易平台
@param symbol 交易对
@param callback 更新回调函数
"""
if market_type == const.MARKET_TYPE_ORDERBOOK:
from quant.event import EventOrderbook
EventOrderbook(platform, symbol).subscribe(callback)
elif market_type == const.MARKET_TYPE_TRADE:
from quant.event import EventTrade
EventTrade(platform, symbol).subscribe(callback)
elif market_type == const.MARKET_TYPE_KLINE:
from quant.event import EventKline
EventKline(platform, symbol).subscribe(callback)
async def on_event_kline(self, event):
""" 事件回调 K线信息
"""
event = EventKline().duplicate(event)
if event.platform != self._platform:
return
if event.symbol != self._symbol:
return
self._open = event.open
self._high = event.high
self._low = event.low
self._close = event.close
self._volume = event.volume
self._timestamp = event.timestamp
for func in self._callback_handlers:
asyncio.get_event_loop().create_task(
func(event.platform, event.data))
def __init__(self, market_type, platform, symbol, callback):
""" Initialize. """
if platform == "#" or symbol == "#":
multi = True
else:
multi = False
if market_type == const.MARKET_TYPE_ORDERBOOK:
from quant.event import EventOrderbook
EventOrderbook(platform, symbol).subscribe(callback, multi)
elif market_type == const.MARKET_TYPE_TRADE:
from quant.event import EventTrade
EventTrade(platform, symbol).subscribe(callback, multi)
elif market_type in [const.MARKET_TYPE_KLINE, const.MARKET_TYPE_KLINE_5M, const.MARKET_TYPE_KLINE_15M]:
from quant.event import EventKline
EventKline(platform, symbol, kline_type=market_type).subscribe(callback, multi)
else:
logger.error("market_type error:", market_type, caller=self)
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 do_kline_update(self, symbol, kline_type):
if kline_type == const.MARKET_TYPE_KLINE_5M:
range_type = "5min"
elif kline_type == const.MARKET_TYPE_KLINE_15M:
range_type = "15min"
elif kline_type == const.MARKET_TYPE_KLINE_1H:
range_type = "60min"
elif kline_type == const.MARKET_TYPE_KLINE_1H:
range_type = "4hour"
elif kline_type == const.MARKET_TYPE_KLINE_1H:
range_type = "1day"
else:
return
result, error = await self._rest_api.get_kline(symbol,
size=130,
period=range_type)
if error:
return
open, hig, low, close = [], [], [], []
if len(result):
for item in result["data"]:
open.append(item["open"])
hig.append(item["high"])
low.append(item["low"])
close.append(item["close"])
kline = {
"platform": self._platform,
"symbol": symbol,
"open": open, #最近的数据在最后面
"high": hig,
"low": low,
"close": close,
"kline_type": kline_type
}
EventKline(**kline).publish()
logger.info("symbol:",
symbol,
"kline_%s:" % range_type,
kline,
caller=self)
async def do_kline_update(self, symbol, kline_type):
if kline_type == const.MARKET_TYPE_KLINE_5M:
range_type = 5 * 60
elif kline_type == const.MARKET_TYPE_KLINE_15M:
range_type = 15 * 60
elif kline_type == const.MARKET_TYPE_KLINE_1H:
range_type = 60 * 60
else:
return
start = get_timestamp(datetime.datetime.now() -
datetime.timedelta(days=5))
end = get_timestamp()
result, error = await self._rest_api.get_kline(symbol, start, end,
range_type)
if error:
return
open, hig, low, close = [], [], [], []
if len(result):
for item in result:
open.append(item[1])
hig.append(item[2])
low.append(item[3])
close.append(item[4])
kline = {
"platform": self._platform,
"symbol": symbol,
"open": open[::-1], #最近的数据在最后面
"high": hig[::-1],
"low": low[::-1],
"close": close[::-1],
"kline_type": kline_type
}
print(kline)
EventKline(**kline).publish()
logger.info("symbol:", symbol, "kline:", kline, caller=self)
async def do_kline_update(self, symbol, kline_type):
if kline_type == const.MARKET_TYPE_KLINE_5M:
range_type = "5min"
elif kline_type == const.MARKET_TYPE_KLINE_15M:
range_type = "15min"
else:
return
result, error = await self._rest_api.get_kline(symbol, 1, range_type)
if error:
return
kline = {
"platform": self._platform,
"symbol": symbol,
"open": "%.8f" % float(result[0]["open"]),
"high": "%.8f" % float(result[0]["high"]),
"low": "%.8f" % float(result[0]["low"]),
"close": "%.8f" % float(result[0]["close"]),
"volume": "%.8f" % float(result[0]["volume"]),
"timestamp": result[0]["timestamp"],
"kline_type": kline_type
}
EventKline(**kline).publish()
logger.info("symbol:", symbol, "kline:", kline, caller=self)
async def on_kline_update_callback(self, kline: Kline):
""" 市场K线更新
"""
logger.info("kline:", kline, caller=self)
#行情保存进数据库
kwargs = {
"open": kline.open,
"high": kline.high,
"low": kline.low,
"close": kline.close,
"volume": kline.volume,
"begin_dt": kline.timestamp,
"end_dt": kline.timestamp + 60 * 1000 - 1
}
async def save(kwargs):
t_kline = self.t_kline_map[kline.symbol]
if t_kline:
s, e = await t_kline.insert(kwargs)
if e:
logger.error("insert kline:", e, caller=self)
SingleTask.run(save, kwargs)
#发布行情到消息队列
kwargs = {
"platform": kline.platform,
"symbol": kline.symbol,
"open": kline.open,
"high": kline.high,
"low": kline.low,
"close": kline.close,
"volume": kline.volume,
"timestamp": kline.timestamp,
"kline_type": kline.kline_type
}
EventKline(**kwargs).publish()
async def process_binary(self, msg):
""" 处理websocket上接收到的消息
"""
data = json.loads(gzip.decompress(msg).decode())
# logger.debug("data:", json.dumps(data), caller=self)
channel = data.get("ch")
if not channel:
if data.get("ping"):
self.heartbeat_msg = data
return
symbol = self._c_to_s[channel]
if channel.find("kline") != -1: # K线
d = data.get("tick")
kline = {
"platform": self._platform,
"symbol": symbol,
"open": "%.8f" % d["open"], # 开盘价
"high": "%.8f" % d["high"], # 最高价
"low": "%.8f" % d["low"], # 最低价
"close": "%.8f" % d["close"], # 收盘价
"volume": "%.8f" % d["amount"], # 成交量
"timestamp": int(data.get("ts")), # 时间戳
"kline_type": MARKET_TYPE_KLINE
}
EventKline(**kline).publish()
logger.info("symbol:", symbol, "kline:", kline, caller=self)
elif channel.find("depth") != -1: # 订单薄
d = data.get("tick")
asks, bids = [], []
for item in d.get("asks")[:10]:
price = "%.8f" % item[0]
quantity = "%.8f" % item[1]
asks.append([price, quantity])
for item in d.get("bids")[:10]:
price = "%.8f" % item[0]
quantity = "%.8f" % item[1]
bids.append([price, quantity])
orderbook = {
"platform": self._platform,
"symbol": symbol,
"asks": asks,
"bids": bids,
"timestamp": d.get("ts")
}
EventOrderbook(**orderbook).publish()
logger.info("symbol:",
symbol,
"orderbook:",
orderbook,
caller=self)
elif channel.find("trade") != -1: # 实时交易数据
tick = data.get("tick")
direction = tick["data"][0].get("direction")
price = tick["data"][0].get("price")
quantity = tick["data"][0].get("amount")
trade = {
"platform": self._platform,
"symbol": symbol,
"action":
ORDER_ACTION_BUY if direction == "buy" else ORDER_ACTION_SELL,
"price": "%.8f" % price,
"quantity": "%.8f" % quantity,
"timestamp": tick.get("ts")
}
EventTrade(**trade).publish()
logger.info("symbol:", symbol, "trade:", trade, caller=self)
else:
logger.error("event error! msg:", msg, caller=self)
async def process_binary(self, msg):
""" Process binary message that received from Websocket connection.
Args:
msg: Binary message.
"""
data = json.loads(gzip.decompress(msg).decode())
# logger.debug("data:", json.dumps(data), caller=self)
channel = data.get("ch")
if not channel:
if data.get("ping"):
hb_msg = {"pong": data.get("ping")}
await self._ws.send(hb_msg)
return
symbol = self._c_to_s[channel]
if channel.find("kline") != -1:
d = data.get("tick")
kline = {
"platform": self._platform,
"symbol": symbol,
"open": d["open"],
"high": d["high"],
"low": d["low"],
"close": d["close"],
"volume": d["amount"],
"timestamp": data.get("ts"),
"kline_type": MARKET_TYPE_KLINE
}
EventKline(**kline).publish()
logger.debug("symbol:", symbol, "kline:", kline, caller=self)
elif channel.find("depth") != -1:
tick = data.get("tick")
asks = tick.get("asks")[:self._orderbook_length]
bids = tick.get("bids")[:self._orderbook_length]
timestamp = tick.get("ts")
orderbook = {
"platform": self._platform,
"symbol": symbol,
"asks": asks,
"bids": bids,
"timestamp": timestamp
}
EventOrderbook(**orderbook).publish()
logger.debug("symbol:",
symbol,
"orderbook:",
orderbook,
caller=self)
elif channel.find("trade") != -1:
tick = data.get("tick")
direction = tick["data"][0].get("direction")
price = tick["data"][0].get("price")
quantity = tick["data"][0].get("amount")
trade = {
"platform": self._platform,
"symbol": symbol,
"action":
ORDER_ACTION_BUY if direction == "buy" else ORDER_ACTION_SELL,
"price": price,
"quantity": quantity,
"timestamp": tick.get("ts")
}
EventTrade(**trade).publish()
logger.debug("symbol:", symbol, "trade:", trade, caller=self)
else:
logger.error("event error! msg:", msg, caller=self)
