def __init__(self, strategy=None):
"""
构造函数
:param strategy: 上层策略，主要用与使用writeLog（）
"""
self.strategy = strategy
self.client = Client('', '')
def __init__(self, strategy):
"""
构造函数
:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
"""
self.strategy = strategy
self.client = Client('-', '-')
def connect_Subpot(self, apiKey , secretKey ):
self.apiKey = apiKey
self.secretKey = secretKey
self.client = Client( apiKey , secretKey)
self.bm = BinanceSocketManager(self.client)
self.bm.start_user_socket( self.onMessage)
self.bm.start()
self.active = True
self.reqThread.start()
def init_client(self):
fileName = globalSetting.get('gateway_name', '') + '_connect.json'
filePath = getJsonPath(fileName, __file__)
try:
with open(filePath, 'r') as f:
# 解析json文件
setting = json.load(f)
apiKey = setting.get('accessKey', None)
secretKey = setting.get('secretKey', None)
if apiKey is not None and secretKey is not None:
self.client = Client(apiKey, secretKey)
except IOError:
self.strategy.writeCtaError(
u'BINANCE读取连接配置{}出错，请检查'.format(filePath))
return
def init_client(self):
fileName = globalSetting.get('gateway_name', '') + '_connect.json'
filePath = getJsonPath(fileName, __file__)
try:
with open(filePath, 'r') as f:
# 解析json文件
setting = json.load(f)
apiKey = setting.get('accessKey',None)
secretKey = setting.get('secretKey',None)
if apiKey is not None and secretKey is not None:
self.client = Client(apiKey, secretKey)
except IOError:
self.strategy.writeCtaError(u'BINANCE读取连接配置{}出错，请检查'.format(filePath))
return
class BinanceData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy):
"""
构造函数
:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
"""
self.strategy = strategy
self.client = Client('-', '-')
def get_bars(self,
symbol,
period,
callback,
bar_is_completed=False,
bar_freq=1,
start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
ret_bars = []
if symbol not in SYMBOL_LIST:
self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(
datetime.now(), symbol))
return False, ret_bars
if period not in PERIOD_MAPPING:
self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(
datetime.now(), period))
return False, ret_bars
if self.client is None:
return False, ret_bars
binance_symbol = symbol.upper().replace('_', '')
binance_period = PERIOD_MAPPING.get(period)
self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(
datetime.now(), binance_symbol, binance_period))
try:
bars = self.client.get_klines(symbol=binance_symbol,
interval=binance_period)
for i, bar in enumerate(bars):
add_bar = CtaBarData()
try:
add_bar.vtSymbol = symbol
add_bar.symbol = symbol
add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
add_bar.tradingDay = add_bar.date
add_bar.open = float(bar[1])
add_bar.high = float(bar[2])
add_bar.low = float(bar[3])
add_bar.close = float(bar[4])
add_bar.volume = float(bar[5])
except Exception as ex:
self.strategy.writeCtaError(
'error when convert bar:{},ex:{},t:{}'.format(
bar, str(ex), traceback.format_exc()))
return False
if start_dt is not None and bar.datetime < start_dt:
continue
ret_bars.append(add_bar)
if callback is not None:
callback(add_bar, bar_is_completed, bar_freq)
return True, ret_bars
except Exception as ex:
self.strategy.writeCtaError('exception in get:{},{},{}'.format(
binance_symbol, str(ex), traceback.format_exc()))
return False, ret_bars
class BinanceSpotApi(object):
"""基于Websocket的API对象"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.apiKey = '' # 用户名
self.secretKey = '' # 密码
self.client = None # 客户端管理器
self.bm = None # sockets 管理器
self.reqID = 0 # 请求编号
# self.reqQueue = Queue() # 请求队列
self.reqQueue = [] # 请求的队列
self.reqThread = Thread(target=self.processQueue) # 请求处理线程
self.active = False # API工作状态
self.DEBUG = False
self.writeLog = None
self.writeError = None
#----------------------------------------------------------------------
def connect_Subpot(self, apiKey, secretKey):
self.apiKey = apiKey
self.secretKey = secretKey
self.client = Client(apiKey, secretKey, self)
self.client.DEBUG = self.DEBUG
self.bm = BinanceSocketManager(self.client)
self.bm.start_user_socket(self.onMessage)
self.bm.start()
self.active = True
self.reqThread.start()
#----------------------------------------------------------------------
def processQueue(self):
"""处理请求队列中的请求"""
while self.active:
if len(self.reqQueue) == 0:
continue
(Type, req) = self.reqQueue[0]
if req is None:
self.reqQueue.pop(0)
continue
callback = req.get('callback', None)
reqID = req.get('reqID', None)
try:
data = self.processRequest(req)
# 请求成功
if data != None:
if self.DEBUG:
self.writeLog(callback.__name__)
callback(data, req, reqID)
except Exception as ex:
self.writeError(u'processQueue exception:{},{}'.format(
str(ex), traceback.format_exc()))
self.reqQueue.pop(0)
sleep(0.1)
#----------------------------------------------------------------------
def processRequest(self, req):
"""
处理各类请求
:param req:
:return:
"""
try:
method = req['method']
reqID = req["reqID"]
callback = req['callback']
data = None
# 请求账号信息
if method == FUNCTIONCODE_GET_ACCOUNT_BINANCE:
data = self.client.get_account()
# 替换 一些 symbol
for b_symbol_dic in data["balances"]:
b_symbol_dic["asset"] = symbolFromBinanceToOtherExchanges(
b_symbol_dic["asset"])
self.onGetAccount(data, req, reqID)
# 请求委托单
elif method == FUNCTIONCODE_GET_OPEN_ORDERS:
kwargs = req["kwargs"]
symbol = kwargs["symbol"]
if symbol != None:
data = self.client.get_open_orders(symbol=symbol)
# update symbol
for dic in data:
dic["symbol"] = symbolFromBinanceToOtherExchanges(
dic["symbol"])
callback(data, req, reqID)
else:
data = self.client.get_open_orders()
# update symbol
for dic in data:
dic["symbol"] = symbolFromBinanceToOtherExchanges(
dic["symbol"])
callback(data, req, reqID)
# 请求所有委托单
elif method == FUNCTIONCODE_GET_ALL_ORDERS:
kwargs = req["kwargs"]
symbol = kwargs["symbol"]
#if '_' not in symbol and len(symbol) in [3,4]:
# return None
data = self.client.get_all_orders(symbol=symbol)
# update symbol
for dic in data:
dic["symbol"] = symbolFromBinanceToOtherExchanges(
dic["symbol"])
callback(data, req, reqID)
# 买入现货
elif method == FUNCTIONCODE_BUY_ORDER_BINANCE:
kwargs = req["kwargs"]
symbol = self.legalSymbolUpper(kwargs["symbol"])
quantity = float(kwargs["quantity"])
price = float(kwargs["price"])
price = str('%.8f' % float(price))
data = self.client.order_limit_buy(symbol=symbol,
price=price,
quantity=quantity)
# update symbol
data["symbol"] = symbolFromBinanceToOtherExchanges(
data["symbol"])
callback(data, req, reqID)
# 卖出现货
elif method == FUNCTIONCODE_SELL_ORDER_BINANCE:
kwargs = req["kwargs"]
symbol = self.legalSymbolUpper(kwargs["symbol"])
quantity = float(kwargs["quantity"])
price = float(kwargs["price"])
price = str('%.8f' % float(price))
data = self.client.order_limit_sell(symbol=symbol,
price=price,
quantity=quantity)
# update symbol
data["symbol"] = symbolFromBinanceToOtherExchanges(
data["symbol"])
callback(data, req, reqID)
# 取消订单
elif method == FUNCTIONCODE_CANCEL_ORDER_BINANCE:
kwargs = req["kwargs"]
symbol = self.legalSymbolUpper(kwargs["symbol"])
orderId = int(kwargs["orderId"])
data = self.client.cancel_order(symbol=symbol, orderId=orderId)
# update symbol
data["symbol"] = symbolFromBinanceToOtherExchanges(
data["symbol"])
callback(data, req, reqID)
# 获取交易所信息
elif method == FUNCTIONCODE_GET_EXCHANGE_INFO:
data = self.client.get_exchange_info()
# update symbol
for symbol_dic in data["symbols"]:
symbol_dic["symbol"] = symbolFromBinanceToOtherExchanges(
symbol_dic["symbol"])
symbol_dic[
"baseAsset"] = symbolFromBinanceToOtherExchanges(
symbol_dic["baseAsset"])
callback(data, req, reqID)
except Exception as ex:
if req is not None or reqID is not None:
self.onAllError(ex, req, reqID)
self.writeError(u'processRequest exception:{},{}'.format(
str(ex), traceback.format_exc()))
# pass
#----------------------------------------------------------------------
def legalSymbolLower(self, symbol):
symbol = symbol.lower()
symbol = ''.join(symbol.split('_'))
return symbol
#----------------------------------------------------------------------
def legalSymbolUpper(self, symbol):
symbol = symbol.upper()
symbol = ''.join(symbol.split('_'))
return symbol
#----------------------------------------------------------------------
def exit(self):
"""退出"""
self.active = False
if self.bm != None:
self.bm.close()
if self.reqThread.isAlive():
self.reqThread.join()
#-----------------------------------------------------------------------
def sendTradingRequest(self, method, callback, kwargs=None, optional=None):
# 请求编号加1
self.reqID += 1
# 生成请求字典并放入队列中
req = {}
req['method'] = method
req['callback'] = callback
req['optional'] = optional
req['kwargs'] = kwargs
req['reqID'] = self.reqID
if method in [
FUNCTIONCODE_GET_OPEN_ORDERS, FUNCTIONCODE_GET_ACCOUNT_BINANCE
]:
flag = False
for use_method, r in self.reqQueue:
if use_method == method:
flag = True
break
if False == flag:
self.reqQueue.append((method, req))
else:
self.reqQueue.append((method, req))
# 返回请求编号
return self.reqID
#----------------------------------------------------------------------
def spotTrade(self, symbol_pair, type_, price, amount):
"""现货委托"""
symbol_pair = self.legalSymbolUpper(symbol_pair)
symbol_pair = symbolFromOtherExchangesToBinance(symbol_pair)
if type_ == "buy":
return self.sendTradingRequest(
method=FUNCTIONCODE_BUY_ORDER_BINANCE,
callback=self.onTradeOrder,
kwargs={
"symbol": symbol_pair,
"price": price,
"quantity": amount
},
optional=None)
elif type_ == "sell":
return self.sendTradingRequest(
method=FUNCTIONCODE_SELL_ORDER_BINANCE,
callback=self.onTradeOrder,
kwargs={
"symbol": symbol_pair,
"price": price,
"quantity": amount
},
optional=None)
return None
#----------------------------------------------------------------------
def spotCancelOrder(self, symbol_pair, orderid):
"""现货委托撤单"""
symbol_pair = self.legalSymbolUpper(symbol_pair)
symbol_pair = symbolFromOtherExchangesToBinance(symbol_pair)
return self.sendTradingRequest(
method=FUNCTIONCODE_CANCEL_ORDER_BINANCE,
callback=self.onGetCancelOrder,
kwargs={
"symbol": symbol_pair,
"orderId": int(orderid)
},
optional=None)
#----------------------------------------------------------------------
def spotAccountInfo(self):
"""列出账户"""
return self.sendTradingRequest(method=FUNCTIONCODE_GET_ACCOUNT_BINANCE,
callback=self.onGetAccount,
kwargs={},
optional=None)
#----------------------------------------------------------------------
def spotListOpenOrders(self, symbol=None):
"""列出所有的 orders"""
if symbol != None:
symbol = self.legalSymbolUpper(symbol)
symbol = symbolFromOtherExchangesToBinance(symbol)
return self.sendTradingRequest(method=FUNCTIONCODE_GET_OPEN_ORDERS,
callback=self.onGetOpenOrders,
kwargs={"symbol": symbol},
optional=None)
#----------------------------------------------------------------------
def spotListAllOrders(self, symbol):
symbol = self.legalSymbolUpper(symbol)
symbol = symbolFromOtherExchangesToBinance(symbol)
return self.sendTradingRequest(method=FUNCTIONCODE_GET_ALL_ORDERS,
callback=self.onGetAllOrders,
kwargs={"symbol": symbol},
optional=None)
#----------------------------------------------------------------------
def spotExchangeInfo(self):
return self.sendTradingRequest(method=FUNCTIONCODE_GET_EXCHANGE_INFO,
callback=self.onExchangeInfo,
kwargs={},
optional=None)
#----------------------------------------------------------------------
# def subcribeSymbol(self , symbol):
# symbol = self.legalSymbolLower(symbol)
# symbol = symbolFromOtherExchangesToBinance(symbol)
# #self.bm.start_symbol_ticker_socket( symbol , self.onTick)
# self.bm.start_multiplex_socket([symbol + "@ticker" , symbol + "@depth5" , symbol + "@trade"] , callback=self.onMessage)
#----------------------------------------------------------------------
def subscribeAllTicker(self):
self.bm.start_ticker_socket(callback=self.onPreDealAllTicker)
#----------------------------------------------------------------------
def subscribeSpotTicker(self, symbol):
if self.bm != None:
# print "self.bm != None:"
symbol = self.legalSymbolLower(symbol)
symbol = symbolFromOtherExchangesToBinance(symbol)
self.bm.start_symbol_ticker_socket(symbol, self.onPreDealTicker)
#----------------------------------------------------------------------
def subscribeSpotDepth(self, symbol):
if self.bm != None:
symbol = self.legalSymbolLower(symbol)
symbol = symbolFromOtherExchangesToBinance(symbol)
self.bm.start_depth_socket(symbol, self.onPreDealDepth)
#----------------------------------------------------------------------
def subscribeSpotTrades(self, symbol):
if self.bm != None:
symbol = self.legalSymbolLower(symbol)
symbol = symbolFromOtherExchangesToBinance(symbol)
self.bm.start_trade_socket(symbol, self.onPreDealTrades)
#----------------------------------------------------------------------
def http_get_request(self, url, params, add_to_headers=None):
headers = {
"Content-type":
"application/x-www-form-urlencoded",
'User-Agent':
'Mozilla/5.0 (Windows NT 6.1; WOW64; rv:53.0) Gecko/20100101 Firefox/53.0'
}
if add_to_headers:
headers.update(add_to_headers)
postdata = urllib.parse.urlencode(params)
try:
#response = requests.get(url, postdata, headers=headers, timeout=5)
response = requests.get(url)
if response.status_code == 200:
return response.json()
else:
return {"status": "fail"}
except Exception as e:
self.writeError('httpGet failed, detail is:{}'.format(str(e)))
return {"status": "fail", "msg": e}
# limit in [5, 10, 20, 50, 100, 500, 1000]
#----------------------------------------------------------------------
def getDepthSymbol(self, symbol, limit=10):
symbol = self.legalSymbolUpper(symbol)
symbol = symbolFromOtherExchangesToBinance(symbol)
url = "https://www.binance.com/api/v1/depth?symbol=%s&limit=%s" % (
symbol, str(limit))
data = self.http_get_request(url, "")
return data
#----------------------------------------------------------------------
def onMessage(self, msg):
if 's' in msg.keys():
msg['s'] = symbolFromBinanceToOtherExchanges(msg["s"])
if "lastUpdateId" in msg.keys():
self.onDepth(msg)
else:
if msg["e"] == "trade":
self.onTrades(msg)
elif "ticker" in msg["e"]:
self.onTick(msg)
#----------------------------------------------------------------------
def onAllError(self, ex, req, reqID):
self.writeError("onAllError" + str(ex))
#----------------------------------------------------------------------
def onPreDealAllTicker(self, msg):
for dic in msg:
dic["s"] = symbolFromBinanceToOtherExchanges(dic["s"])
self.onAllTicker(msg)
#----------------------------------------------------------------------
def onAllTicker(self, msg):
"""币安支持所有 ticker 同时socket过来"""
self.writeLog(u'onAllTicker:'.format(msg))
# ----------------------------------------------------------------------
def onPreDealTicker(self, msg):
if 's' in msg.keys():
msg['s'] = symbolFromBinanceToOtherExchanges(msg["s"])
self.onTick(msg)
#----------------------------------------------------------------------
def onTick(self, msg):
self.writeLog(u'onTick:'.format(msg))
# ----------------------------------------------------------------------
def onPreDealDepth(self, msg):
if 's' in msg.keys():
msg['s'] = symbolFromBinanceToOtherExchanges(msg["s"])
self.onDepth(msg)
#----------------------------------------------------------------------
def onDepth(self, msg):
self.writeLog(u'onDepth:'.format(msg))
# ----------------------------------------------------------------------
def onPreDealTrades(self, msg):
if 's' in msg.keys():
msg['s'] = symbolFromBinanceToOtherExchanges(msg["s"])
self.onTrades(msg)
#----------------------------------------------------------------------
def onTrades(self, msg):
self.writeLog(u'onTrades:{}'.format(msg))
#----------------------------------------------------------------------
def onGetAccount(self, data, req, reqID):
self.writeLog(u'onGetAccount:'.format(data, req, reqID))
#----------------------------------------------------------------------
def onGetOpenOrders(self, data, req, reqID):
self.writeLog(u'onGetOpenOrders:ata:{}, req:{}, reqID:{}'.format(
data, req, reqID))
#----------------------------------------------------------------------
def onGetAllOrders(self, data, req, reqID):
self.writeLog(u'onGetAllOrders:data:{}, req:{}, reqID:{}'.format(
data, req, reqID))
#----------------------------------------------------------------------
def onGetBuyOrder(self, data, req, reqID):
self.writeLog(u'onGetBuyOrder:data:{}, req:{}, reqID:{}'.format(
data, req, reqID))
#----------------------------------------------------------------------
def onGetSellOrder(self, data, req, reqID):
self.writeLog(u'onGetSellOrder:data:{}, req:{}, reqID:{}'.format(
data, req, reqID))
#----------------------------------------------------------------------
def onGetCancelOrder(self, data, req, reqID):
self.writeLog(u'onGetCancelOrder:data:{},req:{},reqId:{}'.format(
data, req, reqID))
#----------------------------------------------------------------------
def onExchangeInfo(self, data, req, reqID):
self.writeLog(u'onExchangeInfo:data:{},req:{},reqId:{}'.format(
data, req, reqID))
# ----------------------------------------------------------------------
def onTradeOrder(self, data, req, reqID):
self.writeLog(u'onTradeOrder:{}'.format(data))
class BinanceData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy=None):
"""
构造函数
:param strategy: 上层策略，主要用与使用writeLog（）
"""
self.strategy = strategy
self.client = Client('', '')
def writeLog(self, content):
if self.strategy and hasattr(self.strategy, 'writeCtaLog'):
self.strategy.writeCtaLog(content)
else:
print(content)
def writeError(self, content):
if self.strategy and hasattr(self.strategy, 'writeCtaError'):
self.strategy.writeCtaError(content)
else:
print(content, file=sys.stderr)
def get_bars(self,
symbol,
period,
callback,
bar_is_completed=False,
bar_freq=1,
start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
ret_bars = []
if symbol not in SYMBOL_LIST:
self.writeError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
return False, ret_bars
if period not in PERIOD_MAPPING:
self.writeError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
return False, ret_bars
if self.client is None:
return False, ret_bars
binance_symbol = symbol.upper().replace('_', '')
# 转换一下
binance_symbol = symbolFromOtherExchangesToBinance(binance_symbol)
binance_period = PERIOD_MAPPING.get(period)
self.writeLog('{}开始下载binance:{} {}数据.'.format(datetime.now(),
binance_symbol,
binance_period))
bars = []
try:
bars = self.client.get_klines(symbol=binance_symbol,
interval=binance_period)
bar_len = len(bars)
for i, bar in enumerate(bars):
add_bar = CtaBarData()
try:
add_bar.vtSymbol = symbol
add_bar.symbol = symbol
add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
utcdatetime = datetime.utcfromtimestamp(bar[0] / 1e3)
add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
# 币安的交易日，是按照utc来计算的
add_bar.tradingDay = utcdatetime.strftime('%Y-%m-%d')
add_bar.open = float(bar[1])
add_bar.high = float(bar[2])
add_bar.low = float(bar[3])
add_bar.close = float(bar[4])
add_bar.volume = float(bar[5])
ret_bars.append(add_bar)
except Exception as ex:
self.writeError(
'error when convert bar:{},ex:{},t:{}'.format(
bar, str(ex), traceback.format_exc()))
return False, ret_bars
if start_dt is not None and bar.datetime < start_dt:
continue
if callback is not None:
# 最后一个bar，可能是不完整的，强制修改
if i == bar_len - 1 and bar_is_completed:
# 根据秒数算的话，要+1，例如13:31,freq=31，第31根bar
freq = int((datetime.now() -
add_bar.datetime).total_seconds() / 60) + 1
callback(add_bar, False, freq)
else:
callback(add_bar, bar_is_completed, bar_freq)
return True, ret_bars
except Exception as ex:
self.writeError('exception in get:{},{},{}'.format(
binance_symbol, str(ex), traceback.format_exc()))
return False, ret_bars
def download_bars(self, symbol, period, start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
ret_bars = []
if symbol not in SYMBOL_LIST:
self.writeError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
return ret_bars
if period not in PERIOD_MAPPING:
self.writeError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
return ret_bars
if self.client is None:
return ret_bars
binance_symbol = symbol.upper().replace('_', '')
# 转换一下
binance_symbol = symbolFromOtherExchangesToBinance(binance_symbol)
binance_period = PERIOD_MAPPING.get(period)
self.writeLog('{}开始下载binance:{} {}数据.'.format(datetime.now(),
binance_symbol,
binance_period))
if isinstance(start_dt, datetime):
start_timestamp = int(start_dt.timestamp() * 1e3)
else:
start_timestamp = None
try:
bars = []
if start_timestamp is not None:
end_timestamp = int(datetime.now().timestamp() * 1e3)
while start_timestamp <= end_timestamp:
try:
self.writeLog(u'从{} ~{} 下载 {}数据'.format(
datetime.fromtimestamp(start_timestamp / 1e3),
datetime.fromtimestamp(end_timestamp / 1e3),
binance_symbol))
bars_per_loop = self.client.get_klines(
symbol=binance_symbol,
interval=binance_period,
startTime=start_timestamp,
endTime=end_timestamp,
limit=1000)
if len(bars_per_loop) == 0:
self.writeLog(u'数据长度为0，结束')
break
# 更新开始时间，为这次取得最后一个值
start_timestamp = bars_per_loop[-1][0]
if len(bars) > 0:
while bars[-1][0] >= bars_per_loop[0][0]:
if len(bars_per_loop) == 1:
bars_per_loop = []
start_timestamp = end_timestamp + 1
break
bars_per_loop = bars_per_loop[1:]
# 追加bars
bars.extend(bars_per_loop)
except Exception as ex:
self.writeError(u'下载数据{} {} 异常:{},{}'.format(
binance_symbol, binance_period, str(ex),
traceback.format_exc()))
break
else:
bars = self.client.get_klines(symbol=binance_symbol,
interval=binance_period)
for i, bar in enumerate(bars):
add_bar = {}
try:
bar_datetime = datetime.fromtimestamp(bar[0] / 1e3)
utc_datetime = datetime.utcfromtimestamp(bar[0] / 1e3)
add_bar['datetime'] = bar_datetime.strftime(
'%Y-%m-%d %H:%M:%S')
add_bar['date'] = bar_datetime.strftime('%Y-%m-%d')
add_bar['time'] = bar_datetime.strftime('%H:%M:%S')
add_bar['open'] = float(bar[1])
add_bar['high'] = float(bar[2])
add_bar['low'] = float(bar[3])
add_bar['close'] = float(bar[4])
add_bar['volume'] = float(bar[5])
add_bar['tradingDay'] = utc_datetime.strftime('%Y-%m-%d')
ret_bars.append(add_bar)
except Exception as ex:
self.writeError(
'error when convert bar:{},ex:{},t:{}'.format(
bar, str(ex), traceback.format_exc()))
return ret_bars
if start_dt is not None and bar_datetime < start_dt:
continue
return ret_bars
except Exception as ex:
self.writeError('exception in get:{},{},{}'.format(
binance_symbol, str(ex), traceback.format_exc()))
return ret_bars
from vnpy.api.binance.client import Client apiKey = "xxx" secretKey = "xxxx" client = Client(apiKey, secretKey) # # get market depth # depth = client.get_order_book(symbol='BNBBTC') # # place a test market buy order, to place an actual order use the create_order function # order = client.create_test_order( # symbol='BNBBTC', # side=Client.SIDE_BUY, # type=Client.ORDER_TYPE_MARKET, # quantity=100) # # get all symbol prices # prices = client.get_all_tickers() # # withdraw 100 ETH # # check docs for assumptions around withdrawals # from binance.exceptions import BinanceAPIException, BinanceWithdrawException # try: # result = client.withdraw( # asset='ETH', # address='<eth_address>', # amount=100) # except BinanceAPIException as e: # print(e) # except BinanceWithdrawException as e:
class BinanceData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy):
"""
构造函数
:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
"""
self.strategy = strategy
self.client = None
self.init_client()
def init_client(self):
fileName = globalSetting.get('gateway_name', '') + '_connect.json'
filePath = getJsonPath(fileName, __file__)
try:
with open(filePath, 'r') as f:
# 解析json文件
setting = json.load(f)
apiKey = setting.get('accessKey',None)
secretKey = setting.get('secretKey',None)
if apiKey is not None and secretKey is not None:
self.client = Client(apiKey, secretKey)
except IOError:
self.strategy.writeCtaError(u'BINANCE读取连接配置{}出错，请检查'.format(filePath))
return
def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
if symbol not in SYMBOL_LIST:
self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
return False
if period not in PERIOD_MAPPING:
self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
return False
if self.client is None:
return False
binance_symbol = symbol.upper().replace('_' , '')
binance_period = PERIOD_MAPPING.get(period)
self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(datetime.now(), binance_symbol, binance_period))
bars = []
try:
bars = self.client.get_klines(symbol=binance_symbol, interval=binance_period)
for i, bar in enumerate(bars):
add_bar = CtaBarData()
try:
add_bar.vtSymbol = symbol
add_bar.symbol = symbol
add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
add_bar.tradingDay = add_bar.date
add_bar.open = float(bar[1])
add_bar.high = float(bar[2])
add_bar.low = float(bar[3])
add_bar.close = float(bar[4])
add_bar.volume = float(bar[5])
except Exception as ex:
self.strategy.writeCtaError(
'error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
return False
if start_dt is not None and bar.datetime < start_dt:
continue
if callback is not None:
callback(add_bar, bar_is_completed, bar_freq)
return True
except Exception as ex:
self.strategy.writeCtaError('exception in get:{},{},{}'.format(binance_symbol,str(ex), traceback.format_exc()))
return False
class BinanceData(object):
# ----------------------------------------------------------------------
def __init__(self, strategy):
"""
构造函数
:param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
"""
self.strategy = strategy
self.client = None
self.init_client()
def init_client(self):
fileName = globalSetting.get('gateway_name', '') + '_connect.json'
filePath = getJsonPath(fileName, __file__)
try:
with open(filePath, 'r') as f:
# 解析json文件
setting = json.load(f)
apiKey = setting.get('accessKey', None)
secretKey = setting.get('secretKey', None)
if apiKey is not None and secretKey is not None:
self.client = Client(apiKey, secretKey)
except IOError:
self.strategy.writeCtaError(
u'BINANCE读取连接配置{}出错，请检查'.format(filePath))
return
def get_bars(self,
symbol,
period,
callback,
bar_is_completed=False,
bar_freq=1,
start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
"""
if symbol not in SYMBOL_LIST:
self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(
datetime.now(), symbol))
return False
if period not in PERIOD_MAPPING:
self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(
datetime.now(), period))
return False
if self.client is None:
return False
binance_symbol = symbol.upper().replace('_', '')
binance_period = PERIOD_MAPPING.get(period)
self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(
datetime.now(), binance_symbol, binance_period))
bars = []
try:
bars = self.client.get_klines(symbol=binance_symbol,
interval=binance_period)
for i, bar in enumerate(bars):
add_bar = CtaBarData()
try:
add_bar.vtSymbol = symbol
add_bar.symbol = symbol
add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
add_bar.tradingDay = add_bar.date
add_bar.open = float(bar[1])
add_bar.high = float(bar[2])
add_bar.low = float(bar[3])
add_bar.close = float(bar[4])
add_bar.volume = float(bar[5])
except Exception as ex:
self.strategy.writeCtaError(
'error when convert bar:{},ex:{},t:{}'.format(
bar, str(ex), traceback.format_exc()))
return False
if start_dt is not None and bar.datetime < start_dt:
continue
if callback is not None:
callback(add_bar, bar_is_completed, bar_freq)
return True
except Exception as ex:
self.strategy.writeCtaError('exception in get:{},{},{}'.format(
binance_symbol, str(ex), traceback.format_exc()))
return False