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_id = str(msg["i"])
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)
SingleTask.run(self._error_callback, "order status error.")
return
order = self._orders.get(order_id)
if not order:
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_id": order_id,
"client_order_id": msg["c"],
"action": ORDER_ACTION_BUY
if msg["S"] == "BUY" else ORDER_ACTION_SELL,
"order_type": ORDER_TYPE_LIMIT
if msg["o"] == "LIMIT" else ORDER_TYPE_MARKET,
"symbol": self._symbol,
"price": msg["p"],
"quantity": msg["q"],
"ctime": msg["O"]
}
order = Order(**info)
self._orders[order_id] = order
order.remain = float(msg["q"]) - float(msg["z"])
order.status = status
order.utime = msg["T"]
SingleTask.run(self._order_update_callback, copy.copy(order))
if status in [
ORDER_STATUS_FAILED, ORDER_STATUS_CANCELED,
ORDER_STATUS_FILLED
]:
self._orders.pop(order_id)
def _update_order(self, order_info):
"""Order update.
Args:
order_info: Order information.
Returns:
None.
"""
order_id = str(order_info["order_id"])
state = order_info["state"]
remain = float(order_info["size"]) - float(order_info["filled_size"])
avg_price = order_info.get("last_fill_px")
ctime = tools.utctime_str_to_ms(order_info["ctime"])
utime = tools.utctime_str_to_ms(order_info["utime"])
if state == "-2":
status = ORDER_STATUS_FAILED
elif state == "-1":
status = ORDER_STATUS_CANCELED
elif state == "0":
status = ORDER_STATUS_SUBMITTED
elif state == "1":
status = ORDER_STATUS_PARTIAL_FILLED
elif state == "2":
status = ORDER_STATUS_FILLED
else:
logger.error("status error! order_info:", order_info, caller=self)
SingleTask.run(self._error_callback, "order status error.")
return None
order = self._orders.get(order_id)
if not order:
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_id": order_id,
"client_order_id": order_info["client_oid"],
"action": ORDER_ACTION_BUY
if order_info["side"] == "buy" else ORDER_ACTION_SELL,
"symbol": self._symbol,
"price": order_info["price"],
"quantity": order_info["size"]
}
order = Order(**info)
self._orders[order_id] = order
order.remain = remain
order.status = status
order.avg_price = avg_price if avg_price else 0
order.ctime = ctime
order.utime = utime
SingleTask.run(self._order_update_callback, copy.copy(order))
if status in [
ORDER_STATUS_FAILED, ORDER_STATUS_CANCELED, ORDER_STATUS_FILLED
]:
self._orders.pop(order_id)
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))
SingleTask.run(self._error_callback, e)
SingleTask.run(self._init_callback, False)
return
for order_info in order_infos:
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)
SingleTask.run(self._error_callback, "order status error.")
continue
order_id = str(order_info["orderId"])
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_id": order_id,
"client_order_id": order_info["clientOrderId"],
"action": ORDER_ACTION_BUY if order_info["side"] == "BUY" else ORDER_ACTION_SELL,
"order_type": ORDER_TYPE_LIMIT if order_info["type"] == "LIMIT" else ORDER_TYPE_MARKET,
"symbol": self._symbol,
"price": order_info["price"],
"quantity": order_info["origQty"],
"remain": float(order_info["origQty"]) - float(order_info["executedQty"]),
"status": status,
"avg_price": order_info["price"],
"ctime": order_info["time"],
"utime": order_info["updateTime"]
}
order = Order(**info)
self._orders[order_id] = order
SingleTask.run(self._order_update_callback, copy.copy(order))
SingleTask.run(self._init_callback, True)
def _update_order(self, order_info):
"""Order update.
Args:
order_info: Order information.
Returns:
None.
Note:
order-state: Order status, `submitting` / `submitted` / `partial-filled` / `partial-canceled` / `filled` / `canceled`
"""
order_id = str(order_info["order-id"])
action = ORDER_ACTION_BUY if order_info["order-type"] in [
"buy-market", "buy-limit"
] else ORDER_ACTION_SELL
state = order_info["order-state"]
remain = "%.8f" % float(order_info["unfilled-amount"])
avg_price = "%.8f" % float(order_info["price"])
ctime = order_info["created-at"]
utime = order_info["utime"]
if state == "canceled":
status = ORDER_STATUS_CANCELED
elif state == "partial-canceled":
status = ORDER_STATUS_CANCELED
elif state == "submitting":
status = ORDER_STATUS_SUBMITTED
elif state == "submitted":
status = ORDER_STATUS_SUBMITTED
elif state == "partial-filled":
status = ORDER_STATUS_PARTIAL_FILLED
elif state == "filled":
status = ORDER_STATUS_FILLED
else:
e = Error("status error! order_info: {}".format(order_info))
logger.error(e, caller=self)
SingleTask.run(self._error_callback, e)
return None
order = self._orders.get(order_id)
if not order:
info = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_id": order_id,
"action": action,
"symbol": self._symbol,
"price": "%.8f" % float(order_info["order-price"]),
"quantity": "%.8f" % float(order_info["order-amount"]),
"remain": remain,
"status": status
}
order = Order(**info)
self._orders[order_id] = order
order.remain = remain
order.status = status
order.avg_price = avg_price
order.ctime = ctime
order.utime = utime
SingleTask.run(self._order_update_callback, copy.copy(order))
if status in [
ORDER_STATUS_FAILED, ORDER_STATUS_CANCELED, ORDER_STATUS_FILLED
]:
self._orders.pop(order_id)