def get_historical_trade(self, symbol, form_id, size):
check_symbol(symbol)
check_range(size, 1, 2000, "size")
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
builder.put_url("size", size)
request = self.__create_request_by_get("/market/history/trade",
builder)
def parse(json_wrapper):
data_array = json_wrapper.get_array("data")
trade_list = list()
for item in data_array.get_items():
data_array_in = item.get_array("data")
for item_in in data_array_in.get_items():
local_trade = Trade()
local_trade.price = item_in.get_float("price")
local_trade.amount = item_in.get_float("amount")
local_trade.trade_id = item_in.get_int("id")
local_trade.timestamp = convert_cst_in_millisecond_to_utc(
item_in.get_int("ts"))
local_trade.direction = item_in.get_string("direction")
trade_list.append(local_trade)
return trade_list
request.json_parser = parse
return request
def get_margin_balance_detail(self, symbol):
check_symbol(symbol)
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
request = self.__create_request_by_get_with_signature("/v1/margin/accounts/balance", builder)
def parse(json_wrapper):
margin_balance_detail_list = list()
data_array = json_wrapper.get_array("data")
for item_in_data in data_array.get_items():
margin_balance_detail = MarginBalanceDetail()
margin_balance_detail.id = item_in_data.get_int("id")
margin_balance_detail.type = item_in_data.get_string("type")
margin_balance_detail.symbol = item_in_data.get_string("symbol")
margin_balance_detail.state = item_in_data.get_string("state")
margin_balance_detail.fl_price = item_in_data.get_float("fl-price")
margin_balance_detail.fl_type = item_in_data.get_string("fl-type")
margin_balance_detail.risk_rate = item_in_data.get_float("risk-rate")
balance_list = list()
list_array = item_in_data.get_array("list")
for item_in_list in list_array.get_items():
balance = Balance()
balance.currency = item_in_list.get_string("currency")
balance.balance_type = item_in_list.get_string("type")
balance.balance = item_in_list.get_float("balance")
balance_list.append(balance)
margin_balance_detail.sub_account_balance_list = balance_list
margin_balance_detail_list.append(margin_balance_detail)
return margin_balance_detail_list
request.json_parser = parse
return request
def get_candlestick(self,
symbol,
interval,
size,
start_time=None,
end_time=None):
check_symbol(symbol)
check_range(size, 1, 2000, "size")
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
builder.put_url("period", interval)
builder.put_url("size", size)
builder.put_url("start_time", start_time)
builder.put_url("end_time", end_time)
request = self.__create_request_by_get("/market/history/kline",
builder)
def parse(json_wrapper):
candlestick_list = list()
data_list = json_wrapper.get_array("data")
for item in data_list.get_items():
candlestick = Candlestick.json_parse(item)
candlestick_list.append(candlestick)
return candlestick_list
request.json_parser = parse
return request
def on_open(self, ws):
#print("### open ###")
self.logger.info("[Sub][" + str(self.id) + "] Connected to server")
self.ws = ws
self.last_receive_time = get_current_timestamp()
self.state = ConnectionState.CONNECTED
self.__watch_dog.on_connection_created(self)
if self.request.is_trading:
try:
if self.request.api_version == ApiVersion.VERSION_V1:
builder = UrlParamsBuilder()
create_signature(self.__api_key, self.__secret_key, "GET",
self.url, builder)
builder.put_url("op", "auth")
self.send(builder.build_url_to_json())
elif self.request.api_version == ApiVersion.VERSION_V2:
builder = UrlParamsBuilder()
create_signature_v2(self.__api_key, self.__secret_key,
"GET", self.url, builder)
self.send(builder.build_url_to_json())
else:
self.on_error(
"api version for create the signature fill failed")
except Exception as e:
self.on_error("Unexpected error when create the signature: " +
str(e))
else:
if self.request.subscription_handler is not None:
self.request.subscription_handler(self)
return
def get_candlestick(self, symbol, interval, size, start_time=None, end_time=None):
check_symbol(symbol)
check_range(size, 1, 2000, "size")
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
builder.put_url("period", interval)
builder.put_url("size", size)
builder.put_url("start_time", start_time)
builder.put_url("end_time", end_time)
request = self.__create_request_by_get("/market/history/kline", builder)
def parse(json_wrapper):
candlestick_list = list()
data_list = json_wrapper.get_array("data")
for item in data_list.get_items():
candlestick = Candlestick()
candlestick.timestamp = convert_cst_in_second_to_utc(item.get_int("id"))
candlestick.low = item.get_float("low")
candlestick.high = item.get_float("high")
candlestick.amount = item.get_float("amount")
candlestick.open = item.get_float("open")
candlestick.close = item.get_float("close")
candlestick.volume = item.get_float("vol")
candlestick.count = item.get_int("count")
candlestick_list.append(candlestick)
return candlestick_list
request.json_parser = parse
return request
def get_price_depth(self, symbol, size=None):
check_symbol(symbol)
check_range(size, 1, 150, "size")
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
builder.put_url("type", "step0")
request = self.__create_request_by_get("/market/depth", builder)
def parse(json_wrapper):
tick = json_wrapper.get_object("tick")
dp = PriceDepth()
dp.timestamp = convert_cst_in_millisecond_to_utc(
tick.get_int("ts"))
bid_array = tick.get_array("bids")
ask_array = tick.get_array("asks")
bids = list()
asks = list()
for i in range(0, size):
bid_entry = bid_array.get_array_at(i)
entry = DepthEntry()
entry.price = bid_entry.get_float_at(0)
entry.amount = bid_entry.get_float_at(1)
bids.append(entry)
for i in range(0, size):
ask_entry = ask_array.get_array_at(i)
entry = DepthEntry()
entry.price = ask_entry.get_float_at(0)
entry.amount = ask_entry.get_float_at(1)
asks.append(entry)
dp.bids = bids
dp.asks = asks
return dp
request.json_parser = parse
return request
def get_market_trade(self, symbol):
check_symbol(symbol)
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
request = self.__create_request_by_get("/market/trade", builder)
def parse(json_wrapper):
tick_obj = json_wrapper.get_object("tick")
data_array = tick_obj.get_array("data")
trade_list = list()
for item in data_array.get_items():
local_trade = Trade()
local_trade.price = item.get_float("price")
local_trade.amount = item.get_float("amount")
local_trade.trade_id = item.get_int("id")
local_trade.timestamp = convert_cst_in_millisecond_to_utc(
item.get_int("ts"))
local_trade.direction = item.get_string("direction")
trade_list.append(local_trade)
return trade_list
request.json_parser = parse
return request
def get_etf_swap_config(self, etf_symbol):
check_symbol(etf_symbol)
builder = UrlParamsBuilder()
builder.put_url("etf_name", etf_symbol)
request = self.__create_request_by_get("/etf/swap/config", builder)
def parse(json_wrapper):
data = json_wrapper.get_object("data")
etf_swap_config = EtfSwapConfig()
etf_swap_config.purchase_max_amount = data.get_int(
"purchase_max_amount")
etf_swap_config.purchase_min_amount = data.get_int(
"purchase_min_amount")
etf_swap_config.redemption_max_amount = data.get_int(
"redemption_max_amount")
etf_swap_config.redemption_min_amount = data.get_int(
"redemption_min_amount")
etf_swap_config.purchase_fee_rate = data.get_float(
"purchase_fee_rate")
etf_swap_config.redemption_fee_rate = data.get_float(
"redemption_fee_rate")
etf_swap_config.status = data.get_string("etf_status")
unit_price_data_array = data.get_array("unit_price")
unit_price_list = list()
for item in unit_price_data_array.get_items():
unit_price = UnitPrice()
unit_price.currency = item.get_string("currency")
unit_price.amount = item.get_float("amount")
unit_price_list.append(unit_price)
etf_swap_config.unit_price_list = unit_price_list
return etf_swap_config
request.json_parser = parse
return request
def get_order_by_client_order_id(self, client_order_id):
check_should_not_none(client_order_id, "clientOrderId")
path = "/v1/order/orders/getClientOrder"
builder = UrlParamsBuilder()
builder.put_url("clientOrderId", client_order_id)
request = self.__create_request_by_get_with_signature(path, builder)
request.json_parser = self.get_order_json_parse
return request
def get_deposit_history(self, currency, from_id, size):
check_symbol(currency)
check_should_not_none(from_id, "from_id")
check_should_not_none(size, "size")
builder = UrlParamsBuilder()
builder.put_url("currency", currency)
builder.put_url("type", "deposit")
builder.put_url("from", from_id)
builder.put_url("size", size)
request = self.__create_request_by_get_with_signature(
"/v1/query/deposit-withdraw", builder)
def parse(json_wrapper):
deposits = list()
data_array = json_wrapper.get_array("data")
for item in data_array.get_items():
deposit = Deposit()
deposit.id = item.get_int("id")
deposit.currency = item.get_string("currency")
deposit.tx_hash = item.get_string("tx-hash")
deposit.amount = item.get_float("amount")
deposit.address = item.get_string("address")
deposit.address_tag = item.get_string("address-tag")
deposit.fee = item.get_float("fee")
deposit.withdraw_state = item.get_string("state")
deposit.created_timestamp = convert_cst_in_millisecond_to_utc(
item.get_int("created-at"))
deposit.updated_timestamp = convert_cst_in_millisecond_to_utc(
item.get_int("updated-at"))
deposits.append(deposit)
return deposits
request.json_parser = parse
return request
def get_order_recent_48hour(self, symbol, start_time, end_time, size,
direct):
#check_symbol(symbol)
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
builder.put_url("start-time", start_time)
builder.put_url("end-time", end_time)
builder.put_url("size", size)
builder.put_url("direct", direct)
request = self.__create_request_by_get_with_signature(
"/v1/order/history", builder)
request.json_parser = self.get_order_list_json_parse
return request
def get_open_orders(self,
symbol,
account_type,
size=None,
side=None,
from_id=None,
direct=None):
check_symbol(symbol)
check_range(size, 1, 500, "size")
check_should_not_none(account_type, "account_type")
global account_info_map
user = account_info_map.get_user(self.__api_key)
account = user.get_account_by_type(account_type=account_type,
subtype=symbol)
builder = UrlParamsBuilder()
builder.put_url("account-id", account.id)
builder.put_url("symbol", symbol)
builder.put_url("side", side)
builder.put_url("size", size)
builder.put_url("from", from_id)
builder.put_url("direct", direct)
request = self.__create_request_by_get_with_signature(
"/v1/order/openOrders", builder)
"""
def parse(json_wrapper):
order_list = list()
data_array = json_wrapper.get_array("data")
for item in data_array.get_items():
order = Order()
order.order_id = item.get_int("id")
order.symbol = item.get_string("symbol")
order.price = item.get_float("price")
order.amount = item.get_float("amount")
order.account_type = account_info_map.get_account_by_id(self.__api_key,
item.get_int("account-id")).account_type
order.created_timestamp = convert_cst_in_millisecond_to_utc(item.get_int("created-at"))
order.order_type = item.get_string("type")
order.filled_amount = item.get_float("filled-amount")
order.filled_cash_amount = item.get_float("filled-cash-amount")
order.filled_fees = item.get_float("filled-fees")
order.source = item.get_string("source")
order.state = item.get_string("state")
order_list.append(order)
return order_list
"""
request.json_parser = self.get_order_list_json_parse
return request
def get_best_quote(self, symbol):
check_symbol(symbol)
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
request = self.__create_request_by_get("/market/detail/merged", builder)
def parse(json_wrapper):
best_quote = BestQuote()
best_quote.timestamp = convert_cst_in_millisecond_to_utc(json_wrapper.get_int("ts"))
tick = json_wrapper.get_object("tick")
ask_array = tick.get_array("ask")
best_quote.ask_price = ask_array.get_float_at(0)
best_quote.ask_amount = ask_array.get_float_at(1)
bid_array = tick.get_array("bid")
best_quote.bid_price = bid_array.get_float_at(0)
best_quote.bid_amount = bid_array.get_float_at(1)
return best_quote
request.json_parser = parse
return request
def get_fee_rate(self, symbols):
check_symbol(symbols)
builder = UrlParamsBuilder()
builder.put_url("symbols", symbols)
request = self.__create_request_by_get_with_signature(
"/v1/fee/fee-rate/get", builder)
def parse(json_wrapper):
fee_list = list()
data_array = json_wrapper.get_array("data")
for item_in_data in data_array.get_items():
fee_rate = FeeRate()
fee_rate.symbol = item_in_data.get_string("symbol")
fee_rate.maker_fee = item_in_data.get_string("maker-fee")
fee_rate.symbol = item_in_data.get_string("taker-fee")
fee_list.append(fee_rate)
return fee_list
request.json_parser = parse
return request
def get_24h_trade_statistics(self, symbol):
check_symbol(symbol)
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
request = self.__create_request_by_get("/market/detail", builder)
def parse(json_wrapper):
tick = json_wrapper.get_object("tick")
trade_statistics = TradeStatistics()
trade_statistics.timestamp = convert_cst_in_millisecond_to_utc(json_wrapper.get_int("ts"))
trade_statistics.amount = tick.get_float("amount")
trade_statistics.open = tick.get_float("open")
trade_statistics.close = tick.get_float("close")
trade_statistics.high = tick.get_float("high")
trade_statistics.low = tick.get_float("low")
trade_statistics.count = tick.get_int("count")
trade_statistics.volume = tick.get_float("vol")
return trade_statistics
request.json_parser = parse
return request
def get_etf_candlestick(self, symbol, interval, size=None):
check_symbol(symbol)
check_range(size, 1, 2000, "size")
check_should_not_none(interval, "interval")
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
builder.put_url("period", interval)
builder.put_url("limit", size)
request = self.__create_request_by_get(
"/quotation/market/history/kline", builder)
def parse(json_wrapper):
candlestick_list = list()
data_array = json_wrapper.get_array("data")
for item in data_array.get_items():
candlestick = Candlestick()
candlestick.open = item.get_float("open")
candlestick.close = item.get_float("close")
candlestick.low = item.get_float("low")
candlestick.high = item.get_float("high")
candlestick.amount = item.get_float("amount")
candlestick.count = 0
candlestick.volume = item.get_float("vol")
candlestick_list.append(candlestick)
return candlestick_list
request.json_parser = parse
return request
def get_market_depth(self
, symbol: 'str'
, type: 'str'
) -> int:
"""
:param symbol:如"BTC_CW"表示BTC当周合约，"BTC_NW"表示BTC次周合约，"BTC_CQ"表示BTC季度合约
:param type:(150档数据) step0, step1, step2, step3, step4, step5（合并深度1-5）；step0时，不合并深度, (20档数据) step6, step7, step8, step9, step10, step11（合并深度7-11）；step6时，不合并深度
:return:
ch true string 数据所属的 channel，格式： market.period
status true string 请求处理结果 "ok" , "error"
asks true object 卖盘,[price(挂单价), vol(此价格挂单张数)], 按price升序
bids true object 买盘,[price(挂单价), vol(此价格挂单张数)], 按price降序
mrid true string 订单ID
ts true number 响应生成时间点，单位：毫秒
"""
builder = UrlParamsBuilder()
builder.put_url("symbol",symbol)
builder.put_url("type",type)
request = self.__create_request_by_get("/market/depth", builder)
def parse(json_wrapper):
return json_wrapper.get_object("tick").__dict__['json_object']
request.json_parser = parse
return request
def get_etf_swap_history(self, etf_symbol, offset, size):
check_symbol(etf_symbol)
check_range(size, 1, 100, "size")
greater_or_equal(offset, 0, "offset")
builder = UrlParamsBuilder()
builder.put_url("etf_name", etf_symbol)
builder.put_url("offset", offset)
builder.put_url("limit", size)
request = self.__create_request_by_get_with_signature(
"/etf/swap/list", builder)
def parse(json_wrapper):
etf_swap_history_list = list()
data_array = json_wrapper.get_array("data")
for item in data_array.get_items():
etf_swap_history = EtfSwapHistory()
etf_swap_history.created_timestamp = item.get_int(
"gmt_created")
etf_swap_history.currency = item.get_string("currency")
etf_swap_history.amount = item.get_float("amount")
etf_swap_history.type = item.get_string("type")
etf_swap_history.status = item.get_int("status")
detail = item.get_object("detail")
etf_swap_history.rate = detail.get_float("rate")
etf_swap_history.fee = detail.get_float("fee")
etf_swap_history.point_card_amount = detail.get_float(
"point_card_amount")
used_currency_array = detail.get_array("used_currency_list")
used_currency_list = list()
for currency in used_currency_array.get_items():
unit_price = UnitPrice()
unit_price.amount = currency.get_float("amount")
unit_price.currency = currency.get_string("currency")
used_currency_list.append(unit_price)
etf_swap_history.used_currency_list = used_currency_list
obtain_currency_array = detail.get_array(
"obtain_currency_list")
obtain_currency_list = list()
for currency in obtain_currency_array.get_items():
unit_price = UnitPrice()
unit_price.amount = currency.get_float("amount")
unit_price.currency = currency.get_string("currency")
obtain_currency_list.append(unit_price)
etf_swap_history.obtain_currency_list = obtain_currency_list
etf_swap_history_list.append(etf_swap_history)
return etf_swap_history_list
request.json_parser = parse
return request
def cancel_open_orders(self, symbol, account_type, side=None, size=None):
check_symbol(symbol)
check_should_not_none(account_type, "account_type")
global account_info_map
user = account_info_map.get_user(self.__api_key)
account = user.get_account_by_type(account_type)
builder = UrlParamsBuilder()
builder.put_url("account-id", account.id)
builder.put_url("symbol", symbol)
builder.put_url("side", side)
builder.put_url("size", size)
request = self.__create_request_by_post_with_signature(
"/v1/order/orders/batchCancelOpenOrders", builder)
def parse(json_wrapper):
data = json_wrapper.get_object("data")
batch_cancel_result = BatchCancelResult()
batch_cancel_result.success_count = data.get_int("success-count")
batch_cancel_result.failed_count = data.get_int("failed-count")
return batch_cancel_result
request.json_parser = parse
return request
def get_historical_orders(self,
symbol,
order_state,
order_type=None,
start_date=None,
end_date=None,
start_id=None,
size=None):
check_symbol(symbol),
check_should_not_none(order_state, "order_state")
start_date = format_date(start_date, "start_date")
end_date = format_date(end_date, "end_date")
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
builder.put_url("types", order_type)
builder.put_url("start-date", start_date)
builder.put_url("end-date", end_date)
builder.put_url("from", start_id)
builder.put_url("states", order_state)
builder.put_url("size", size)
request = self.__create_request_by_get_with_signature(
"/v1/order/orders", builder)
"""
def parse(json_wrapper):
order_list = list()
data_array = json_wrapper.get_array("data")
for item in data_array.get_items():
order = Order()
order.account_type = account_info_map.get_account_by_id(self.__api_key,
item.get_int("account-id")).account_type
order.amount = item.get_float("amount")
order.canceled_timestamp = convert_cst_in_millisecond_to_utc(item.get_int_or_default("canceled-at", 0))
order.finished_timestamp = convert_cst_in_millisecond_to_utc(item.get_int_or_default("finished-at", 0))
order.order_id = item.get_int("id")
order.symbol = item.get_string("symbol")
order.price = item.get_float("price")
order.created_timestamp = convert_cst_in_millisecond_to_utc(item.get_int("created-at"))
order.order_type = item.get_string("type")
order.filled_amount = item.get_float("field-amount")
order.filled_cash_amount = item.get_float("field-cash-amount")
order.filled_fees = item.get_float("field-fees")
order.source = item.get_string("source")
order.state = item.get_string("state")
order_list.append(order)
return order_list
"""
request.json_parser = self.get_order_list_json_parse
return request
def get_match_results(self,
symbol,
order_type=None,
start_date=None,
end_date=None,
size=None,
from_id=None):
check_symbol(symbol)
start_date = format_date(start_date, "start_date")
end_date = format_date(end_date, "end_date")
check_range(size, 1, 100, "size")
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
builder.put_url("types", order_type)
builder.put_url("start-date", start_date)
builder.put_url("end-date", end_date)
builder.put_url("from", from_id)
builder.put_url("size", size)
request = self.__create_request_by_get_with_signature(
"/v1/order/matchresults", builder)
def parse(json_wrapper):
match_result_list = list()
data_array = json_wrapper.get_array("data")
for item in data_array.get_items():
match_result = MatchResult()
match_result.id = item.get_int("id")
match_result.created_timestamp = convert_cst_in_millisecond_to_utc(
item.get_int("created-at"))
match_result.filled_amount = item.get_float("filled-amount")
match_result.filled_fees = item.get_float("filled-fees")
match_result.match_id = item.get_int("match-id")
match_result.order_id = item.get_int("order-id")
match_result.price = item.get_float("price")
match_result.source = item.get_string("source")
match_result.symbol = item.get_string("symbol")
match_result.order_type = item.get_string("type")
match_result.role = item.get_string("role")
match_result.filled_points = item.get_string("filled-points")
match_result.fee_deduct_currency = item.get_string(
"fee-deduct-currency")
match_result_list.append(match_result)
return match_result_list
request.json_parser = parse
return request
def get_loan(self,
symbol,
start_date=None,
end_date=None,
states=None,
from_id=None,
size=None,
direction=None):
check_symbol(symbol)
start_date = format_date(start_date, "start_date")
end_date = format_date(end_date, "end_date")
builder = UrlParamsBuilder()
builder.put_url("symbol", symbol)
builder.put_url("start-date", start_date)
builder.put_url("end-date", end_date)
builder.put_url("states", states)
builder.put_url("from", from_id)
builder.put_url("size", size)
builder.put_url("direct", direction)
request = self.__create_request_by_get_with_signature(
"/v1/margin/loan-orders", builder)
def parse(json_wrapper):
loan_list = list()
data_array = json_wrapper.get_array("data")
for item in data_array.get_items():
loan = Loan()
loan.loan_balance = item.get_float("loan-balance")
loan.interest_balance = item.get_float("interest-balance")
loan.interest_rate = item.get_float("interest-rate")
loan.loan_amount = item.get_float("loan-amount")
loan.interest_amount = item.get_float("interest-amount")
loan.symbol = item.get_string("symbol")
loan.currency = item.get_string("currency")
loan.id = item.get_int("id")
loan.state = item.get_string("state")
loan.account_type = account_info_map.get_account_by_id(
self.__api_key, item.get_int("account-id")).account_type
loan.user_id = item.get_int("user-id")
loan.accrued_timestamp = convert_cst_in_millisecond_to_utc(
item.get_int("accrued-at"))
loan.created_timestamp = convert_cst_in_millisecond_to_utc(
item.get_int("created-at"))
loan_list.append(loan)
return loan_list
request.json_parser = parse
return request
