def sendOrder(self, req):
# 检查是否填入了价格，禁止市价委托
if req.priceType != PRICETYPE_LIMITPRICE:
self.gateway.writeError(u'Gate接口仅支持限价单')
return None
symbol = req.vtSymbol
if req.direction == DIRECTION_LONG:
reqID = self.spotTrade(symbol=systemSymbolToVnSymbol(symbol),
price=req.price,
amount=req.volume,
_type="buy")
else:
reqID = self.spotTrade(symbol=systemSymbolToVnSymbol(symbol),
price=req.price,
amount=req.volume,
_type="sell")
self.localID += 1
localID = str(self.localID)
self.reqLocalDict[reqID] = localID
# 推送委托信息
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = req.vtSymbol
order.exchange = EXCHANGE_GATEIO
order.vtSymbol = req.vtSymbol
order.orderID = localID
order.vtOrderID = '.'.join([order.gatewayName, order.orderID])
order.direction = req.direction
if req.direction == DIRECTION_LONG:
order.offset = OFFSET_OPEN
else:
order.offset = OFFSET_CLOSE
order.price = req.price
order.tradedVolume = 0
order.totalVolume = req.volume
order.orderTime = datetime.now().strftime('%H:%M:%S')
order.status = STATUS_UNKNOWN
self.workingOrderDict[localID] = order
self.cacheSendLocalOrder.add(localID)
self.gateway.writeLog("sendOrder cacheSendLocalOrder add localID %s" %
(localID))
# self.gateway.onOrder(order)
# print "sendOrder:" , order.__dict__
# print "sendOrder: req" , req.__dict__
# 返回委托号
return order.vtOrderID
def querySpotTrades(self,
u_id,
symbol_pair="EOS_USDT",
limit=2,
last_id=7177813):
symbol_pair = systemSymbolToVnSymbol(symbol_pair)
self.sendSocketCmd(u_id, "trades.query", [symbol_pair, limit, last_id])
def querySpotDepth(self,
u_id,
symbol_pair="EOS_USDT",
limit=5,
interval="0.00000001"):
symbol_pair = systemSymbolToVnSymbol(symbol_pair)
self.sendSocketCmd(u_id, "depth.query", [symbol_pair, limit, interval])
def onTick(self, data):
"""实时成交推送"""
result_status = data.get("status" , None)
if str(result_status) != "0":
self.gateway.writeLog( "onTick not success, " + str(data))
else:
info = data["data"]
u_type = info["type"]
ticker = info["ticker"]
last_price = float(ticker[0])
use_volume = float(ticker[-1])
symbol_pair = (u_type.split('.'))[1]
symbol_pair = systemSymbolToVnSymbol(symbol_pair)
if symbol_pair not in self.tickDict:
tick = VtTickData()
tick.gatewayName = self.gatewayName
tick.exchange = EXCHANGE_FCOIN
tick.symbol = '.'.join([symbol_pair, tick.exchange])
tick.vtSymbol = '.'.join([symbol_pair, tick.exchange])
self.tickDict[symbol_pair] = tick
else:
tick = self.tickDict[symbol_pair]
tick.highPrice = last_price
tick.lowPrice = last_price
tick.lastPrice = last_price
tick.volume = use_volume
tick.datetime = datetime.now()
tick.date = tick.datetime.strftime("%Y%m%d")
tick.time = tick.datetime.strftime("%H:%M:%S.%f")
def subscribeSpotDepth(self,
u_id,
symbol_pair="BOT_USDT",
limit=30,
interval="0.00000001"):
symbol_pair = systemSymbolToVnSymbol(symbol_pair)
self.sendSocketCmd(u_id, "depth.subscribe",
[symbol_pair, limit, interval])
def querySpotKline(self,
u_id,
symbol_pair="BTC_USDT",
start=1516951219,
end_time=1516951219,
interval=1800):
symbol_pair = systemSymbolToVnSymbol(symbol_pair)
self.sendSocketCmd(u_id, "kline.query",
[symbol_pair, start, end_time, interval])
def onAllTicker(self,msg):
"""币安支持所有 ticker 同时socket过来"""
for symbol_pair_msg_dic in msg:
symbol_pair = systemSymbolToVnSymbol(symbol_pair_msg_dic["s"])
vtSymbol = '.'.join([symbol_pair , EXCHANGE_BINANCE])
price = symbol_pair_msg_dic["p"]
if symbol_pair not in self.tickDict:
tick = VtTickData()
tick.gatewayName = self.gatewayName
tick.exchange = EXCHANGE_BINANCE
tick.symbol = '.'.join([symbol_pair, tick.exchange])
tick.vtSymbol = tick.symbol
self.tickDict[tick.symbol] = tick
else:
tick = self.tickDict[vtSymbol]
tick.highPrice = float(symbol_pair_msg_dic["h"])
tick.lowPrice = float(symbol_pair_msg_dic["l"])
tick.lastPrice = (float(symbol_pair_msg_dic["b"]) + float(symbol_pair_msg_dic["a"]))/2.0
tick.volume = float(symbol_pair_msg_dic["v"])
tick.bidPrice1 = float(symbol_pair_msg_dic["b"])
tick.bidVolume1 = float(symbol_pair_msg_dic["B"])
tick.askPrice1 = float(symbol_pair_msg_dic["a"])
tick.askVolume1 = float(symbol_pair_msg_dic["A"])
tick.bidPrice2, tick.bidVolume2 = [0 , 0]
tick.bidPrice3, tick.bidVolume3 = [0 , 0]
tick.bidPrice4, tick.bidVolume4 = [0 , 0]
tick.bidPrice5, tick.bidVolume5 = [0 , 0]
tick.askPrice2, tick.askVolume2 = [0 , 0]
tick.askPrice3, tick.askVolume3 = [0 , 0]
tick.askPrice4, tick.askVolume4 = [0 , 0]
tick.askPrice5, tick.askVolume5 = [0 , 0]
tick.datetime , tick.date , tick.time = self.generateDateTime( float(msg["E"]))
utc_dt = datetime.utcfromtimestamp( float(msg["E"])/1e3)
tick.tradingDay = utc_dt.strftime('%Y-%m-%d')
if tick.lastPrice == 0 and tick.askPrice1 != 0 and tick.bidPrice1 != 0:
tick.lastPrice = (tick.askPrice1 + tick.bidPrice1) / 2
if tick.lastPrice == 0 or tick.askPrice1 == 0 or tick.bidPrice1 == 0:
print('onAllTicker drop tick {},lastprice:{},askprice1={},bidPrice1:{}'
.format(tick.vtSymbol,tick.lastPrice,tick.askPrice1,tick.bidPrice1))
return
self.gateway.onTick(tick)
def onAllTicker(self, msg):
"""币安支持所有 ticker 同时socket过来"""
for symbol_pair_msg_dic in msg:
symbol_pair = systemSymbolToVnSymbol(symbol_pair_msg_dic["s"])
vtSymbol = '.'.join([symbol_pair, EXCHANGE_BINANCE])
price = symbol_pair_msg_dic["p"]
if symbol_pair not in self.tickDict:
tick = VtTickData()
tick.gatewayName = self.gatewayName
tick.exchange = EXCHANGE_BINANCE
tick.symbol = '.'.join([symbol_pair, tick.exchange])
tick.vtSymbol = tick.symbol
self.tickDict[tick.symbol] = tick
else:
tick = self.tickDict[vtSymbol]
tick.highPrice = float(symbol_pair_msg_dic["h"])
tick.lowPrice = float(symbol_pair_msg_dic["l"])
tick.lastPrice = (float(symbol_pair_msg_dic["b"]) +
float(symbol_pair_msg_dic["a"])) / 2.0
tick.volume = float(symbol_pair_msg_dic["v"])
tick.bidPrice1 = float(symbol_pair_msg_dic["b"])
tick.bidVolume1 = float(symbol_pair_msg_dic["B"])
tick.askPrice1 = float(symbol_pair_msg_dic["a"])
tick.askVolume1 = float(symbol_pair_msg_dic["A"])
tick.bidPrice2, tick.bidVolume2 = [0, 0]
tick.bidPrice3, tick.bidVolume3 = [0, 0]
tick.bidPrice4, tick.bidVolume4 = [0, 0]
tick.bidPrice5, tick.bidVolume5 = [0, 0]
tick.askPrice2, tick.askVolume2 = [0, 0]
tick.askPrice3, tick.askVolume3 = [0, 0]
tick.askPrice4, tick.askVolume4 = [0, 0]
tick.askPrice5, tick.askVolume5 = [0, 0]
tick.datetime, tick.date, tick.time = self.generateDateTime(
float(msg["E"]))
self.gateway.onTick(tick)
def onTick(self, msg):
symbol_pair = systemSymbolToVnSymbol(msg["s"])
symbol = symbol_pair + "." + EXCHANGE_BINANCE
price = msg["p"]
if symbol not in self.tickDict:
tick = VtTickData()
tick.gatewayName = self.gatewayName
tick.exchange = EXCHANGE_BINANCE
tick.symbol = '.'.join([symbol_pair, tick.exchange])
tick.vtSymbol = tick.symbol
self.tickDict[symbol] = tick
else:
tick = self.tickDict[symbol]
tick.highPrice = float(msg["h"])
tick.lowPrice = float(msg["l"])
tick.lastPrice = (float(msg["b"]) + float(msg["a"])) / 2.0
tick.volume = float(msg["v"])
tick.bidPrice1 = float(msg["b"])
tick.bidVolume1 = float(msg["B"])
tick.askPrice1 = float(msg["a"])
tick.askVolume1 = float(msg["A"])
# tick.bidPrice2, tick.bidVolume2 = [0 , 0]
# tick.bidPrice3, tick.bidVolume3 = [0 , 0]
# tick.bidPrice4, tick.bidVolume4 = [0 , 0]
# tick.bidPrice5, tick.bidVolume5 = [0 , 0]
# tick.askPrice2, tick.askVolume2 = [0 , 0]
# tick.askPrice3, tick.askVolume3 = [0 , 0]
# tick.askPrice4, tick.askVolume4 = [0 , 0]
# tick.askPrice5, tick.askVolume5 = [0 , 0]
tick.datetime, tick.date, tick.time = self.generateDateTime(
float(msg["E"]))
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 = []
symbol_pair = systemSymbolToVnSymbol(symbol)
if symbol_pair not in symbol_list:
msg = u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair)
if self.strategy:
self.strategy.writeCtaError(msg)
else:
print(msg)
return False, ret_bars
symbol = symbol_pair.replace('_', '')
if period == '1hour':
period = '60min'
if period not in period_list:
self.writeError(u'{}不在下载时间周期范围:{} 内'.format(period, period_list))
return False, ret_bars
url = u'https://api.huobipro.com/market/history/kline?symbol={}&period={}& size=2000&AccessKeyId=fff-xxx-ssss-kkk'.format(
symbol, period)
self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(),
symbol_pair, period, url))
content = None
try:
content = self.session.get(url).content.decode('gbk')
except Exception as ex:
self.writeError('exception in get:{},{},{}'.format(
url, str(ex), traceback.format_exc()))
return False, ret_bars
ret_dict = execjs.eval(content)
bars = ret_dict.get('data', None)
if not isinstance(bars, list):
self.writeError('返回数据不是list:{}'.format(content))
return False, ret_bars
bars.reverse()
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, ret_bars
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, ret_bars
def onOrderInfo(self,data, req, reqID):
if self.DEBUG:
print(data)
result_status = data.get("status" , None)
if str(result_status) != "0" and result_status != True:
msg = data.get("msg" , u"spot onOrderInfo! 订单查询出错")
code = data.get("code" , "f8")
self.gateway.writeError( "onCancelOrder data info %s" % (str(data)) + " " + msg , code)
else:
use_order = data["data"]
systemID = use_order["id"]
status = use_order["state"]
tradedVolume = float(use_order["filled_amount"])
totalVolume = float(use_order["amount"])
price = float(use_order["price"])
side = use_order["side"]
use_dt , use_date, now_time = self.generateDateTime(use_order["created_at"])
local_system_dict_keys = self.systemLocalDict.keys()
if systemID in local_system_dict_keys:
localID = self.systemLocalDict[systemID]
order = self.workingOrderDict.get(localID, None)
if order != None:
bef_has_volume = self.tradedVolumeDict.get(localID , 0.0)
newTradeVolume = tradedVolume - bef_has_volume
order.tradedVolume = tradedVolume
if newTradeVolume > 0.000001:
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = order.symbol
trade.vtSymbol = order.vtSymbol
self.tradeID += 1
trade.tradeID = str(self.tradeID)
trade.vtTradeID = '.'.join([trade.gatewayName,trade.tradeID])
trade.orderID = order.orderID
trade.vtOrderID = order.vtOrderID
trade.volume = newTradeVolume
trade.price = order.price
trade.direction = order.direction
trade.offset = order.offset
trade.exchange = order.exchange
trade.tradeTime = now_time
self.gateway.onTrade(trade)
self.tradedVolumeDict[localID] = tradedVolume
self.cache_trade_data.append(trade)
# 订单已经结束
if status in ["filled","canceled"]:
# 判断是否是 撤销单
if tradedVolume + 0.000001 < totalVolume:
order.status = STATUS_CANCELLED
else:
order.status = STATUS_ALLTRADED
order.cancelTime = datetime.now().strftime("%Y-%m-%d %H:%M:%S")
self.gateway.onOrder(order)
del self.tradedVolumeDict[localID]
del self.systemLocalDict[systemID]
del self.workingOrderDict[localID]
self.cancelSystemOrderFilter.add(systemID) # 排除已经cancel消失得单子
elif status in [ "partial_filled" , "submitted" ]:
if tradedVolume > 0.0000001:
order.status = STATUS_PARTTRADED
else:
order.status = STATUS_NOTTRADED
self.gateway.onOrder(order)
else:
if tradedVolume > 0.0000001:
order.status = STATUS_PARTTRADED
self.gateway.onOrder(order)
self.gateway.writeError(" Exchange %s , new status %s , data %s" % (EXCHANGE_FCOIN , str(status) , str(data)), "f13")
else:
# 说明是以前发的单子
if systemID not in self.cancelSystemOrderFilter: # 排除已经cancel消失得单子
if status not in ["filled" , "canceled"]:
symbol_pair = systemSymbolToVnSymbol(use_order["symbol"])
if symbol_pair in self.registerSymbols:
self.localID += 1
localID = str(self.localID)
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = symbol_pair + "." + self.gatewayName
order.exchange = EXCHANGE_FCOIN
order.vtSymbol = order.symbol
order.orderID = localID
order.vtOrderID = '.'.join([order.gatewayName,order.orderID])
order.direction = DIRECTION_LONG
order.offset = OFFSET_OPEN
if side == "sell":
order.direction = DIRECTION_SHORT
order.offset = OFFSET_CLOSE
order.price = price
order.totalVolume = totalVolume
order.tradedVolume = tradedVolume
order.orderTime = now_time
if status in [ "partial_filled" , "submitted" ]:
if order.tradedVolume > 0.0000001:
order.status = STATUS_PARTTRADED
else:
order.status = STATUS_NOTTRADED
else:
self.gateway.writeError(" Exchange %s , new status %s , data %s" % (EXCHANGE_FCOIN , str(status) , str(data)), "f13")
if order.tradedVolume > 0.00000001:
order.status = STATUS_PARTTRADED
localID = self.autoFixMatch( order , localID)
order.orderID = localID
order.vtOrderID = '.'.join([order.gatewayName,order.orderID,])
self.gateway.writeLog(" onOrderInfo occure new order, localID %s, sysmtemID %s , order.vtSymbol %s , order.price %s" % (str(localID),str(systemID),str(order.vtSymbol),str(order.price)))
self.workingOrderDict[localID] = order
self.systemLocalDict[systemID] = localID
self.localSystemDict[localID] = systemID
self.tradedVolumeDict[localID] = tradedVolume
self.gateway.onOrder(order)
def onTradeOrder(self, data, req, reqID):
symbol = systemSymbolToVnSymbol(data["symbol"])
localID = self.reqLocalDict[reqID]
systemID = str(data['orderId'])
self.localSystemDict[localID] = systemID
self.systemLocalDict[systemID] = localID
# print systemID , localID
# 撤单
if localID in self.cancelDict:
req = self.cancelDict[localID]
self.cancel(req)
del self.cancelDict[localID]
# 推送委托信息
order = self.workingOrderDict[localID]
volume = float(data["executedQty"])
origQty = float(data["origQty"])
status = data["status"]
order.tradedVolume = volume
use_dt, use_date, now_time = self.generateDateTime(
data["transactTime"])
if status == "FILLED":
order.status = STATUS_ALLTRADED
elif status == "PARTIALLY_FILLED":
order.status = STATUS_PARTTRADED
elif status == "NEW":
order.status = STATUS_NOTTRADED
elif status == "CANCELED":
order.status = STATUS_CANCELLED
order.cancelTime = use_date + " " + now_time
else:
self.gateway.writeError("%s new status" % EXCHANGE_BINANCE, "b20")
if status in ["PARTIALLY_FILLED", "FILLED"]:
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = order.symbol
trade.vtSymbol = order.vtSymbol
self.tradeID += 1
trade.tradeID = str(self.tradeID)
trade.vtTradeID = '.'.join([trade.gatewayName, trade.tradeID])
trade.orderID = order.orderID
trade.vtOrderID = order.vtOrderID
trade.volume = float(volume)
trade.price = order.price
trade.direction = order.direction
trade.offset = order.offset
trade.exchange = order.exchange
trade.tradeTime = use_date + " " + now_time
self.gateway.onTrade(trade)
self.tradedVolumeDict[localID] = volume
self.gateway.onOrder(order)
def onOrderList(self, data, req, reqID):
# self.gateway.writeLog("onOrderList: %s" % (str(data)))
result_status = data.get("result", None)
if result_status != "true" and result_status != True:
msg = data.get("message", u"spot onOrderList! 订单列表查询出错 ")
code = data.get("code", "g9")
self.gateway.writeError("data info %s" % (str(data)) + " " + msg,
code)
else:
try:
orders = data["orders"]
still_live_order_system_id = [
str(x["orderNumber"]) for x in orders
]
local_system_dict_keys = self.systemLocalDict.keys()
for use_order in orders:
systemID = str(use_order["orderNumber"])
status = use_order["status"]
tradedVolume = float(use_order["filledAmount"])
price = float(use_order["rate"])
volume = float(use_order["amount"])
side = use_order["type"]
use_dt, use_date, now_time = self.generateDateTime(
use_order["timestamp"])
if systemID in local_system_dict_keys:
localID = self.systemLocalDict[systemID]
order = self.workingOrderDict.get(localID, None)
if order != None:
bef_has_volume = self.tradedVolumeDict.get(
localID, 0.0)
newTradeVolume = tradedVolume - bef_has_volume
order.tradedVolume = tradedVolume
if newTradeVolume > 0.000001:
self.tradedVolumeDict[localID] = tradedVolume
if status == "open":
if tradedVolume > 0.0:
order.status = STATUS_PARTTRADED
self.gateway.onOrder(order)
else:
order.status = STATUS_NOTTRADED
self.gateway.onOrder(order)
#elif status == "partial-filled":
else:
self.gateway.writeError(
" Exchange %s , new status %s , data %s" %
(EXCHANGE_GATEIO, str(status), str(data)),
"g13")
else:
# 说明是以前发的单子
# self.gateway.writeLog(" registerSymbols :%s" % str(self.registerSymbols))
if systemID not in self.cancelSystemOrderFilter: # 排除已经cancel消失得单子
if status not in ["closed", "cancelled"]:
symbol_pair = systemSymbolToVnSymbol(
use_order["currencyPair"])
if symbol_pair in self.registerSymbols:
self.localID += 1
localID = str(self.localID)
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = symbol_pair + "." + self.gatewayName
order.exchange = EXCHANGE_GATEIO
order.vtSymbol = order.symbol
order.orderID = localID
order.vtOrderID = '.'.join(
[order.gatewayName, order.orderID])
order.direction = DIRECTION_LONG
order.offset = OFFSET_OPEN
if side == "sell":
order.direction = DIRECTION_SHORT
order.offset = OFFSET_CLOSE
order.price = price
order.totalVolume = volume
order.tradedVolume = tradedVolume
order.orderTime = now_time
if status == "open":
if tradedVolume > 0.0:
order.status = STATUS_PARTTRADED
else:
order.status = STATUS_NOTTRADED
else:
self.gateway.writeError(
" Exchange %s , new status %s , data %s"
% (EXCHANGE_GATEIO, str(status),
str(data)), "g13")
localID = self.autoFixMatch(order, localID)
order.orderID = localID
order.vtOrderID = '.'.join(
[order.gatewayName, order.orderID])
self.gateway.writeLog(
"onOrderList occure new order, localID %s, sysmtemID %s , order.vtSymbol %s , order.price %s"
% (str(localID), str(systemID),
str(order.vtSymbol), str(
order.price)))
self.workingOrderDict[localID] = order
self.systemLocalDict[systemID] = localID
self.localSystemDict[localID] = systemID
self.tradedVolumeDict[
localID] = tradedVolume
self.gateway.onOrder(order)
except Exception as ex:
self.gateway.writeError(
"onOrderList parse error ,data %s , ex %s" %
(str(data), str(ex)), "g15")
def subscribeSpotTrades(self, u_id, symbol_pair="BOT_USDT"):
symbol_pair = systemSymbolToVnSymbol(symbol_pair)
self.sendSocketCmd(u_id, "trades.subscribe", [symbol_pair])
def onDepth(self, msg):
upper_symbol = msg.get('s', None)
if upper_symbol is None:
return
symbol_pair = systemSymbolToVnSymbol(upper_symbol)
first_update_id = msg["U"]
final_update_id = msg["u"]
bids = msg["b"]
asks = msg["a"]
uu_time_stamp = msg["E"]
all_keys = self.symbol_real_depth_dict.keys()
# print "onDepth"
# 判断是否已经 读取过历史数据
if symbol_pair in all_keys:
# print "if symbol_pair in all_keys:"
info = self.symbol_real_depth_dict[symbol_pair]
depth_dict_bids = info["depth_dict_bids"]
depth_dict_asks = info["depth_dict_asks"]
last_event_id = info["last_event_id"]
if int(last_event_id) + 1 >= int(first_update_id) and int(
last_event_id) < int(final_update_id):
for b_arr in bids:
price, volume, tmp_arr = b_arr
price = float(price)
volume = float(volume)
if volume > 0:
depth_dict_bids[price] = volume
else:
if price in depth_dict_bids.keys():
del depth_dict_bids[price]
for a_arr in asks:
price, volume, tmp_arr = a_arr
price = float(price)
volume = float(volume)
if volume > 0:
depth_dict_asks[price] = volume
else:
if price in depth_dict_asks.keys():
del depth_dict_asks[price]
self.symbol_real_depth_dict[symbol_pair][
"last_event_id"] = str(final_update_id)
else:
if int(last_event_id) + 1 < int(first_update_id):
# 说明信息已经不及时了
del self.symbol_real_depth_dict[symbol_pair]
self.tick_depth_array_dict[symbol_pair] = [msg]
self.gateway.writeLog("del update info %s's depth" %
symbol_pair)
self.dealMsgArrayInfo(symbol_pair)
else:
# print "else symbol_pair in all_keys:"
if symbol_pair not in self.tick_depth_array_dict:
self.tick_depth_array_dict[symbol_pair] = [msg]
else:
self.tick_depth_array_dict[symbol_pair].append(msg)
self.dealMsgArrayInfo(symbol_pair)
# print "self.symbol_real_depth_dict"
# print self.symbol_real_depth_dict
depth_dict_bids = self.symbol_real_depth_dict[symbol_pair][
"depth_dict_bids"]
depth_dict_asks = self.symbol_real_depth_dict[symbol_pair][
"depth_dict_asks"]
symbol = symbol_pair + "." + EXCHANGE_BINANCE
if symbol not in self.tickDict:
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = tick.symbol
tick.exchange = EXCHANGE_BINANCE
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
else:
tick = self.tickDict[symbol]
try:
arr = sorted(depth_dict_bids.items(), key=lambda x: x[0])
# print "tick1" , arr
arr_len = len(arr)
(tick.bidPrice1,
tick.bidVolume1) = arr[-1] if arr_len >= 1 else (0, 0)
(tick.bidPrice2,
tick.bidVolume2) = arr[-2] if arr_len >= 2 else (0, 0)
(tick.bidPrice3,
tick.bidVolume3) = arr[-3] if arr_len >= 3 else (0, 0)
(tick.bidPrice4,
tick.bidVolume4) = arr[-4] if arr_len >= 4 else (0, 0)
(tick.bidPrice5,
tick.bidVolume5) = arr[-5] if arr_len >= 5 else (0, 0)
except Exception as ex:
self.gateway.writeError(u'OnDepth Exception:{}'.format(str(ex)))
self.gateway.writeLog(u'OnDepth {}'.format(traceback.format_exc()))
try:
arr = sorted(depth_dict_asks.items(), key=lambda x: x[0])
# print "tick2", arr
arr_len = len(arr)
(tick.askPrice1, tick.askVolume1) = arr[0] if arr_len >= 1 else (0,
0)
(tick.askPrice2, tick.askVolume2) = arr[1] if arr_len >= 2 else (0,
0)
(tick.askPrice3, tick.askVolume3) = arr[2] if arr_len >= 3 else (0,
0)
(tick.askPrice4, tick.askVolume4) = arr[3] if arr_len >= 4 else (0,
0)
(tick.askPrice5, tick.askVolume5) = arr[4] if arr_len >= 5 else (0,
0)
except Exception as ex:
self.gateway.writeError(u'OnDepth Exception:{}'.format(str(ex)))
self.gateway.writeLog(u'OnDepth {}'.format(traceback.format_exc()))
tick.datetime, tick.date, tick.time = self.generateDateTime(
uu_time_stamp)
# print tick.__dict__
self.gateway.onTick(tick)
def subscribeSpotKline(self, u_id, symbol_pair="BOT_USDT", interval=1800):
symbol_pair = systemSymbolToVnSymbol(symbol_pair)
self.sendSocketCmd(u_id, "kline.subscribe", [symbol_pair, interval])
def onGetAllOrders(self, data, req, reqID):
local_system_dict_keys = self.systemLocalDict.keys()
stile_live_order_system_id = [str(x["orderId"]) for x in data]
for use_order in data:
systemID = str(use_order["orderId"])
status = use_order["status"]
side = use_order["side"]
tradedVolume = float(use_order["executedQty"])
use_dt, use_date, now_time = self.generateDateTime(
use_order["time"])
# now_time = self.generateDateTime(use_order["time"])
if systemID in local_system_dict_keys:
localID = self.systemLocalDict[systemID]
order = self.workingOrderDict.get(localID, None)
if order != None:
bef_has_volume = self.tradedVolumeDict.get(localID, 0.0)
newTradeVolume = tradedVolume - bef_has_volume
self.writeLog('{} 成交:{} ,之前累计成交:{},当次成交:{}'.format(
localID, tradedVolume, bef_has_volume, newTradeVolume))
order.tradedVolume = tradedVolume
if newTradeVolume > 0.000001:
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = order.symbol
trade.vtSymbol = order.vtSymbol
self.tradeID += 1
trade.tradeID = str(self.tradeID)
trade.vtTradeID = '.'.join(
[trade.gatewayName, trade.tradeID])
trade.orderID = order.orderID
trade.vtOrderID = order.vtOrderID
trade.volume = newTradeVolume
trade.price = order.price
trade.direction = order.direction
trade.offset = order.offset
trade.exchange = order.exchange
trade.tradeTime = now_time
self.gateway.onTrade(trade)
self.tradedVolumeDict[localID] = tradedVolume
if status == "FILLED":
# 说明这个单子成交完毕了！
order.status = STATUS_ALLTRADED
self.gateway.onOrder(order)
del self.tradedVolumeDict[localID]
del self.systemLocalDict[systemID]
del self.workingOrderDict[localID]
elif status == "CANCELED":
order.status = STATUS_CANCELLED
order.cancelTime = use_date + " " + now_time
self.gateway.onOrder(order)
del self.tradedVolumeDict[localID]
del self.systemLocalDict[systemID]
del self.workingOrderDict[localID]
# 部分成交
elif status == "PARTIALLY_FILLED":
order.status = STATUS_PARTTRADED
self.gateway.onOrder(order)
elif status == "NEW":
order.status = STATUS_NOTTRADED
self.gateway.onOrder(order)
else:
# 说明是以前发的单子
symbol_pair = systemSymbolToVnSymbol(use_order["symbol"])
if status not in ["FILLED", "CANCELED"]:
self.localID += 1
localID = str(self.localID)
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = symbol_pair + "." + self.gatewayName
order.exchange = EXCHANGE_BINANCE
order.vtSymbol = order.symbol
order.orderID = localID
order.vtOrderID = '.'.join(
[order.gatewayName, order.orderID])
order.direction = DIRECTION_NET
order.offset = OFFSET_OPEN
if side == "SELL":
order.direction = DIRECTION_SHORT
order.offset = OFFSET_CLOSE
order.price = float(use_order["price"])
order.totalVolume = float(use_order["origQty"])
order.tradedVolume = float(use_order["executedQty"])
use_dt, use_date, use_time = self.generateDateTime(
use_order["time"])
order.orderTime = use_time
if status == "PARTIALLY_FILLED":
order.status = STATUS_PARTTRADED
elif status == "NEW":
order.status = STATUS_NOTTRADED
self.workingOrderDict[localID] = order
self.systemLocalDict[systemID] = localID
self.localSystemDict[localID] = systemID
self.tradedVolumeDict[localID] = float(
use_order["executedQty"])
self.gateway.onOrder(order)
def onOrderList(self,data, req, reqID):
if self.DEBUG:
print (data)
result_status = data.get("status" , None)
if str(result_status) != "0":
msg = data.get("msg" , u"spot onOrderList! 订单列表查询出错 ")
code = data.get("status" , "f9")
self.gateway.writeError( "data info %s" % (str(data)) + " " + msg , code)
else:
try:
orders = data["data"]
still_live_order_system_id = [ str(x["id"]) for x in orders]
local_system_dict_keys = self.systemLocalDict.keys()
for use_order in orders:
systemID = str(use_order["id"])
status = use_order["state"]
tradedVolume = float(use_order["filled_amount"])
totalVolume = float(use_order["amount"])
price = float(use_order["price"])
side = use_order["side"]
use_dt , use_date, now_time = self.generateDateTime(use_order["created_at"])
if systemID in local_system_dict_keys:
localID = self.systemLocalDict[systemID]
order = self.workingOrderDict.get(localID, None)
if order != None:
bef_has_volume = self.tradedVolumeDict.get(localID , 0.0)
newTradeVolume = tradedVolume - bef_has_volume
order.tradedVolume = tradedVolume
if newTradeVolume > 0.000001:
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = order.symbol
trade.vtSymbol = order.vtSymbol
self.tradeID += 1
trade.tradeID = str(self.tradeID)
trade.vtTradeID = '.'.join([ trade.gatewayName,trade.tradeID])
trade.orderID = order.orderID
trade.vtOrderID = order.vtOrderID
trade.volume = newTradeVolume
trade.price = order.price
trade.direction = order.direction
trade.offset = order.offset
trade.exchange = order.exchange
trade.tradeTime = now_time
self.gateway.onTrade(trade)
self.tradedVolumeDict[localID] = tradedVolume
self.cache_trade_data.append(trade)
if status == "submitted":
if tradedVolume > 0.00000001:
order.status = STATUS_PARTTRADED
self.gateway.onOrder(order)
else:
order.status = STATUS_NOTTRADED
self.gateway.onOrder(order)
else:
if tradedVolume > 0.0000001:
order.status = STATUS_PARTTRADED
self.gateway.onOrder(order)
self.gateway.writeError(" Exchange %s , new status %s , data %s" % (EXCHANGE_FCOIN , str(status) , str(data)), "f13")
else:
# 说明是以前发的单子
# self.gateway.writeLog(" registerSymbols :%s" % str(self.registerSymbols))
if systemID not in self.cancelSystemOrderFilter: # 排除已经cancel消失得单子
if status not in ["filled","canceled"]:
symbol_pair = systemSymbolToVnSymbol(use_order["symbol"])
if symbol_pair in self.registerSymbols:
self.localID += 1
localID = str(self.localID)
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = symbol_pair + "." + self.gatewayName
order.exchange = EXCHANGE_FCOIN
order.vtSymbol = order.symbol
order.orderID = localID
order.vtOrderID = '.'.join([ order.gatewayName,order.orderID])
order.direction = DIRECTION_LONG
order.offset = OFFSET_OPEN
if side == "sell":
order.direction = DIRECTION_SHORT
order.offset = OFFSET_CLOSE
order.price = price
order.totalVolume = totalVolume
order.tradedVolume = tradedVolume
order.orderTime = now_time
if status == "open":
if tradedVolume > 0.0:
order.status = STATUS_PARTTRADED
else:
order.status = STATUS_NOTTRADED
else:
self.gateway.writeError(" Exchange %s , new status %s , data %s" % (EXCHANGE_FCOIN , str(status) , str(data)), "g13")
if tradedVolume > 0.0000001:
order.status = STATUS_PARTTRADED
localID = self.autoFixMatch( order , localID)
order.orderID = localID
order.vtOrderID = '.'.join([order.gatewayName,order.orderID])
self.gateway.writeLog("onOrderList occure new order, localID %s, sysmtemID %s , order.vtSymbol %s , order.price %s" % (str(localID),str(systemID),str(order.vtSymbol),str(order.price)))
self.workingOrderDict[localID] = order
self.systemLocalDict[systemID] = localID
self.localSystemDict[localID] = systemID
self.tradedVolumeDict[localID] = tradedVolume
self.gateway.onOrder(order)
except Exception as ex:
self.gateway.writeError("onOrderList parse error ,data %s , ex %s" % (str(data) , str(ex)) , "f15")
def querySpotTicker(self, u_id, symbol_pair="EOS_USDT", time_period=86400):
symbol_pair = systemSymbolToVnSymbol(symbol_pair)
self.sendSocketCmd(u_id, "ticker.query", [symbol_pair, time_period])
def onDepth(self, data):
result_status = data.get("status", None)
if str(result_status) != "0":
self.gateway.writeLog( "onDepth not success, " + str(data))
else:
info = data["data"]
u_type = info["type"]
symbol_pair = (u_type.split('.'))[-1]
symbol_pair = systemSymbolToVnSymbol(symbol_pair)
if symbol_pair not in self.tickDict:
tick = VtTickData()
tick.gatewayName = self.gatewayName
tick.symbol = symbol_pair
tick.exchange = EXCHANGE_FCOIN
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
self.tickDict[symbol_pair] = tick
else:
tick = self.tickDict[symbol_pair]
bids_data = info["bids"]
asks_data = info["asks"]
bids_data = [float(x) for x in bids_data]
asks_data = [float(x) for x in asks_data]
llen_bids = len(bids_data)
llen_asks = len(asks_data)
new_bids_arr = []
for i in range(0,int(llen_bids / 2)):
new_bids_arr.append( [bids_data[2*i] , bids_data[2*i+1]] )
new_asks_arr = []
for i in range(0,int(llen_asks / 2)):
new_asks_arr.append( [asks_data[2*i] , asks_data[2*i+1]] )
sort_bids_data = sorted(new_bids_arr , key=lambda price_pair: price_pair[0] )
sort_asks_data = sorted(new_asks_arr, key=lambda price_pair: price_pair[0] )
sort_bids_data.reverse()
bids = sort_bids_data[:5]
asks = sort_asks_data[:5]
try:
tick.bidPrice1, tick.bidVolume1 = bids[0]
tick.bidPrice2, tick.bidVolume2 = bids[1]
tick.bidPrice3, tick.bidVolume3 = bids[2]
tick.bidPrice4, tick.bidVolume4 = bids[3]
tick.bidPrice5, tick.bidVolume5 = bids[4]
except Exception as ex:
pass
try:
tick.askPrice1, tick.askVolume1 = asks[0]
tick.askPrice2, tick.askVolume2 = asks[1]
tick.askPrice3, tick.askVolume3 = asks[2]
tick.askPrice4, tick.askVolume4 = asks[3]
tick.askPrice5, tick.askVolume5 = asks[4]
except Exception as ex:
pass
tick.datetime = datetime.now()
tick.date = tick.datetime.strftime("%Y%m%d")
tick.time = tick.datetime.strftime("%H:%M:%S.%f")
self.gateway.onTick(tick)
def download_bars(self, symbol, period, size_=None, start_dt=None):
"""
返回k线数据
symbol：合约
period: 周期: 1min, 5min, 15min, 30min, 60min, 1day, 1mon, 1week, 1year
"""
ret_bars = []
symbol_pair = systemSymbolToVnSymbol(symbol)
if symbol_pair not in symbol_list:
msg = u'{} {}不在下载清单中'.format(datetime.now(), symbol_pair)
if self.strategy:
self.strategy.writeCtaError(msg)
else:
print(msg)
return ret_bars
symbol = symbol_pair.replace('_', '')
if period == '1hour':
period = '60min'
if period not in period_list:
self.writeError(u'{}不在下载时间周期范围:{} 内'.format(period, period_list))
return ret_bars
url = u'https://api.huobipro.com/market/history/kline?symbol={}&period={}&AccessKeyId=fff-xxx-ssss-kkk'.format(
symbol, period)
if not isinstance(size_, int):
size_ = 2000
url = url + u'&size={}'.format(size_)
self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(),
symbol_pair, period, url))
content = None
try:
content = self.session.get(url).content.decode('gbk')
except Exception as ex:
self.writeError('exception in get:{},{},{}'.format(
url, str(ex), traceback.format_exc()))
return ret_bars
ret_dict = execjs.eval(content)
bars = ret_dict.get('data', None)
if not isinstance(bars, list):
self.writeError('返回数据不是list:{}'.format(content))
return ret_bars
bars.reverse()
for i, bar in enumerate(bars):
add_bar = {}
try:
bar_datetime = datetime.fromtimestamp(bar.get('id'))
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.get('open', 0.0))
add_bar['high'] = float(bar.get('high', 0.0))
add_bar['low'] = float(bar.get('low', 0.0))
add_bar['close'] = float(bar.get('close', 0.0))
add_bar['volume'] = float(bar.get('vol', 0.0))
except Exception as ex:
self.writeError('error when convert bar:{},ex:{},t:{}'.format(
bar, str(ex), traceback.format_exc()))
ret_bars.append(add_bar)
return ret_bars
