update README
This commit is contained in:
shiyao.zhu
commit
617081b8a9
|
|
@ -29,4 +29,5 @@ build/
|
||||||
|
|
||||||
### VS Code ###
|
### VS Code ###
|
||||||
.vscode/
|
.vscode/
|
||||||
setup.py
|
setup.py
|
||||||
|
id_rsa*
|
||||||
156
README.md
156
README.md
|
|
@ -1,143 +1,66 @@
|
||||||
[TOC]
|
### Overview
|
||||||
|
This is an unofficial Python wrapper for the [OKX exchange v5 API](https://www.okx.com/okx-api)
|
||||||
|
|
||||||
### 如何使用？
|
If you came here looking to purchase cryptocurrencies from the OKX exchange, please go [here](https://www.okx.com/).
|
||||||
|
|
||||||
`python版本：>=3.9
|
#### Source code
|
||||||
|
https://github.com/okxapi/python-okx
|
||||||
|
#### OKX API Telegram
|
||||||
|
https://t.me/OKXAPI
|
||||||
|
#### API trading tutorials
|
||||||
|
- Spot trading: https://www.okx.com/learn/spot-trading-with-jupyter-notebook
|
||||||
|
- Derivative trading: https://www.okx.com/learn/derivatives-trading-with-jupyter-notebook
|
||||||
|
|
||||||
`WebSocketAPI：autobahn.twisted>=22.10.0`
|
Make sure you update often and check the [Changelog](https://www.okx.com/docs-v5/log_en/) for new features and bug fixes.
|
||||||
|
|
||||||
#### 第一步：下载SDK，安装相关所需库
|
### Features
|
||||||
|
- Implementation of all Rest API endpoints.
|
||||||
|
- Private and Public Websocket implementation
|
||||||
|
- Testnet support
|
||||||
|
- Websocket handling with reconnection and multiplexed connections
|
||||||
|
|
||||||
1.1 下载`python SDK`
|
### Quick start
|
||||||
|
#### Prerequisites
|
||||||
* 将SDK目录`Clone`或者`Download`到本地，选择使用`okx-python-sdk-api-v5`即可
|
|
||||||
|
|
||||||
1.2 安装所需库
|
|
||||||
|
|
||||||
```python
|
|
||||||
pip install requests
|
|
||||||
pip install autobahn\[twisted\]
|
|
||||||
pip install pyOpenSSL
|
|
||||||
```
|
|
||||||
|
|
||||||
#### 第二步：配置个人信息
|
|
||||||
|
|
||||||
2.1 如果还未有API，可[点击](https://www.okx.com/account/users/myApi)前往官网进行申请
|
|
||||||
|
|
||||||
```python
|
|
||||||
api_key = ""
|
|
||||||
secret_key = ""
|
|
||||||
passphrase = ""
|
|
||||||
```
|
|
||||||
|
|
||||||
#### 第三步：调用接口
|
|
||||||
|
|
||||||
* RestAPI
|
|
||||||
|
|
||||||
* 运行`example.py`
|
|
||||||
|
|
||||||
* 解开相应方法的注释传参调用各接口即可
|
|
||||||
|
|
||||||
* WebSocketAPI
|
|
||||||
* 参考Test文件夹下`WsPrivate`和`WsPublic`文件示例；
|
|
||||||
* 根据`公共频道`/`私有频道`选择对应`url`(如果是私有频道需要设置登陆信息)，传入相应参数即可。
|
|
||||||
|
|
||||||
```python
|
|
||||||
# WebSocket公共频道
|
|
||||||
url = "wss://ws.okx.com:8443/ws/v5/public"
|
|
||||||
# WebSocket私有频道
|
|
||||||
url = "wss://ws.okx.com:8443/ws/v5/private"
|
|
||||||
```
|
|
||||||
|
|
||||||
```python
|
|
||||||
# 公共频道 不需要登录（行情，持仓总量，K线，标记价格，深度，资金费率等）
|
|
||||||
参考 WsPublicTest.py
|
|
||||||
|
|
||||||
# 私有频道 需要登录（账户，持仓，订单等）
|
|
||||||
参考 WsPrivateTest.py
|
|
||||||
```
|
|
||||||
|
|
||||||
附言：
|
|
||||||
|
|
||||||
* 如果对API尚不了解，建议参考`OKX`官方[API文档](https://www.okx.com/docs-v5/zh/)
|
|
||||||
|
|
||||||
* 使用RestAPI的用户可以通过参考Test文件夹下的示例，设置正确的参数即可
|
|
||||||
|
|
||||||
* 使用WebSocketAPI的用户可以通过参考Test文件夹下的`WsPublicTest.py`和`WsPrivateTest.py`，设置正确的参数即可
|
|
||||||
|
|
||||||
* 若使用`WebSocketAPI`遇到问题建议参考相关链接
|
|
||||||
|
|
||||||
* `asyncio`、`websockets`文档/`github`：
|
|
||||||
https://docs.python.org/3/library/asyncio-dev.html
|
|
||||||
https://websockets.readthedocs.io/en/stable/intro.html
|
|
||||||
https://github.com/aaugustin/websockets
|
|
||||||
|
|
||||||
* 关于`code=1006`：
|
|
||||||
https://github.com/Rapptz/discord.py/issues/1996
|
|
||||||
https://github.com/aaugustin/websockets/issues/587
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
### How to use ?
|
|
||||||
|
|
||||||
`python version：>=3.9`
|
`python version：>=3.9`
|
||||||
|
|
||||||
`WebSocketAPI： autobahn.twisted>=22.10.0`
|
`WebSocketAPI： websockets package advise version 6.0`
|
||||||
|
|
||||||
#### Step 1: Download the SDK and install the necessary libraries
|
#### Step 1: register an account on OKX and apply for an API key
|
||||||
|
- Register for an account: https://www.okx.com/account/register
|
||||||
|
- Apply for an API key: https://www.okx.com/account/users/myApi
|
||||||
|
|
||||||
1.1 Download python SDK
|
#### Step 2: install python-okx
|
||||||
|
|
||||||
- `Clone` or `Download` the SDK directory to your local directory,choose to use `okx-python-sdk-api-v5`
|
|
||||||
|
|
||||||
1.2 Install the necessary libraries
|
|
||||||
|
|
||||||
```python
|
```python
|
||||||
pip install requests
|
pip install python-okx
|
||||||
pip install autobahn\[twisted\]
|
|
||||||
pip install pyOpenSSL
|
|
||||||
```
|
```
|
||||||
|
|
||||||
#### Step 2: Configure Personal Information
|
#### Step 3: Run examples
|
||||||
|
|
||||||
2.1 If you have no API，[Click here](https://www.okx.com/account/users/myApi) to the official websit to apply for the API
|
|
||||||
|
|
||||||
2.2 Fill out all necessary informatiuon in `example.py（RestAPI）` and `websocket_example.py（WebSocketAPI）`
|
|
||||||
|
|
||||||
|
- Fill in API credentials in the corresponding examples
|
||||||
```python
|
```python
|
||||||
api_key = ""
|
api_key = ""
|
||||||
secret_key = ""
|
secret_key = ""
|
||||||
passphrase = ""
|
passphrase = ""
|
||||||
```
|
```
|
||||||
|
|
||||||
#### Step 3: Call API
|
|
||||||
|
|
||||||
- RestAPI
|
- RestAPI
|
||||||
- Run `example.py`
|
- For spot trading: run example/get_started_en.ipynb
|
||||||
- Uncomment the corresponding method and then pass the arguments and call the interfaces
|
- For derivative trading: run example/trade_derivatives_en.ipynb
|
||||||
|
- Tweak the value of the parameter `flag` (live trading: 0, demo trading: 1
|
||||||
|
) to switch between live and demo trading environment
|
||||||
- WebSocketAPI
|
- WebSocketAPI
|
||||||
- Open `websocket_example.py`
|
- Run test/WsPrivateTest.py for private websocket channels
|
||||||
- According to the `public channel`/`private channel`, select the corresponding `url`, the corresponding start method, and pass in the corresponding parameters
|
- Run test/WsPublicTest.py for public websocket channels
|
||||||
|
- Use different URLs for different environment
|
||||||
|
- Live trading URLs: https://www.okx.com/docs-v5/en/#overview-production-trading-services
|
||||||
|
- Demo trading URLs: https://www.okx.com/docs-v5/en/#overview-demo-trading-services
|
||||||
|
|
||||||
```python
|
Note
|
||||||
# WebSocket public channel
|
|
||||||
url = "wss://ws.okx.com:8443/ws/v5/public?brokerId=9999"
|
|
||||||
|
|
||||||
# WebSocket private channel
|
- To learn more about OKX API, visit official [OKX API documentation](https://www.okx.com/docs-v5/en/)
|
||||||
url = "wss://ws.okx.com:8443/ws/v5/private?brokerId=9999"
|
|
||||||
```
|
|
||||||
|
|
||||||
P.S.
|
- If you face any questions when using `WebSocketAPI`,you can consult the following links
|
||||||
|
|
||||||
- If you know little about API, advise consulting the offical [API document](https://www.okx.com/docs-v5/en/)
|
|
||||||
|
|
||||||
- User with RestAPI can configure parameter `flag` in `example.py` in to choose to access to real trading or demo trading
|
|
||||||
|
|
||||||
- User with WebSocketAPI can ucomment the corresponding `url` to choose to access to real trading or demo trading
|
|
||||||
|
|
||||||
- Rest API support request by http2, you can refer to http2_example
|
|
||||||
|
|
||||||
- If you face any questions when using `WebSocketAPI`,you can consult related link
|
|
||||||
|
|
||||||
- `asyncio`、`websockets` document/`github`：
|
- `asyncio`、`websockets` document/`github`：
|
||||||
|
|
||||||
|
|
@ -153,6 +76,3 @@ P.S.
|
||||||
https://github.com/Rapptz/discord.py/issues/1996
|
https://github.com/Rapptz/discord.py/issues/1996
|
||||||
https://github.com/aaugustin/websockets/issues/587
|
https://github.com/aaugustin/websockets/issues/587
|
||||||
```
|
```
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -1,31 +0,0 @@
|
||||||
import json
|
|
||||||
import time
|
|
||||||
|
|
||||||
import okx.Account as Account
|
|
||||||
|
|
||||||
|
|
||||||
async def http2_request(request, parameters):
|
|
||||||
while 1:
|
|
||||||
begin = time.time()
|
|
||||||
if type(parameters) is list:
|
|
||||||
result = request(*parameters)
|
|
||||||
else:
|
|
||||||
result = request(**parameters)
|
|
||||||
|
|
||||||
end = time.time()
|
|
||||||
cost = end - begin
|
|
||||||
print(f'request_cost:{cost}\nresponse_body:{json.dumps(result)}')
|
|
||||||
|
|
||||||
|
|
||||||
api_key = ""
|
|
||||||
secret_key = ""
|
|
||||||
passphrase = ""
|
|
||||||
# flag是实盘与模拟盘的切换参数 flag is the key parameter which can help you to change between demo and real trading.
|
|
||||||
# flag = '1' # 模拟盘 demo trading
|
|
||||||
flag = '0' # 实盘 real tradiang
|
|
||||||
|
|
||||||
if __name__ == '__main__':
|
|
||||||
# account api
|
|
||||||
accountAPI = Account.AccountAPI(api_key, secret_key, passphrase, False, flag)
|
|
||||||
accountAPI.get_account_config()
|
|
||||||
accountAPI.get_greeks('BTC')
|
|
||||||
|
|
@ -2,6 +2,7 @@ import time
|
||||||
|
|
||||||
from okx.websocket.WsPrivate import WsPrivate
|
from okx.websocket.WsPrivate import WsPrivate
|
||||||
|
|
||||||
|
|
||||||
def privateCallback(message):
|
def privateCallback(message):
|
||||||
print("WsPrivate subscribe callback:", message)
|
print("WsPrivate subscribe callback:", message)
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -1,12 +1,14 @@
|
||||||
import time
|
import time
|
||||||
|
|
||||||
from okx.websocket.WsPublic import WsPublic
|
from okx.websocket.WsPublic import WsPublic
|
||||||
|
|
||||||
|
|
||||||
def publicCallback(message):
|
def publicCallback(message):
|
||||||
print("publicCallback", message)
|
print("publicCallback", message)
|
||||||
|
|
||||||
|
|
||||||
if __name__ == '__main__':
|
if __name__ == '__main__':
|
||||||
url = "wss://wspri.coinall.ltd:8443/ws/v5/public?brokerId=9999"
|
url = "wss://ws.okx.com:8443/ws/v5/public"
|
||||||
ws = WsPublic(url=url)
|
ws = WsPublic(url=url)
|
||||||
ws.start()
|
ws.start()
|
||||||
args = []
|
args = []
|
||||||
|
|
|
||||||
|
|
@ -1,522 +0,0 @@
|
||||||
import asyncio
|
|
||||||
import base64
|
|
||||||
import datetime
|
|
||||||
import hmac
|
|
||||||
import json
|
|
||||||
import time
|
|
||||||
import zlib
|
|
||||||
|
|
||||||
import requests
|
|
||||||
import websockets
|
|
||||||
|
|
||||||
|
|
||||||
def get_timestamp():
|
|
||||||
now = datetime.datetime.now()
|
|
||||||
t = now.isoformat("T", "milliseconds")
|
|
||||||
return t + "Z"
|
|
||||||
|
|
||||||
|
|
||||||
def get_server_time():
|
|
||||||
url = "https://www.okx.com/api/v5/public/time"
|
|
||||||
response = requests.get(url)
|
|
||||||
if response.status_code == 200:
|
|
||||||
return response.json()['data'][0]['ts']
|
|
||||||
else:
|
|
||||||
return ""
|
|
||||||
|
|
||||||
|
|
||||||
def get_local_timestamp():
|
|
||||||
return int(time.time())
|
|
||||||
|
|
||||||
|
|
||||||
def login_params(timestamp, api_key, passphrase, secret_key):
|
|
||||||
message = timestamp + 'GET' + '/users/self/verify'
|
|
||||||
|
|
||||||
mac = hmac.new(bytes(secret_key, encoding='utf8'), bytes(message, encoding='utf-8'), digestmod='sha256')
|
|
||||||
d = mac.digest()
|
|
||||||
sign = base64.b64encode(d)
|
|
||||||
|
|
||||||
login_param = {"op": "login", "args": [{"apiKey": api_key,
|
|
||||||
"passphrase": passphrase,
|
|
||||||
"timestamp": timestamp,
|
|
||||||
"sign": sign.decode("utf-8")}]}
|
|
||||||
login_str = json.dumps(login_param)
|
|
||||||
return login_str
|
|
||||||
|
|
||||||
|
|
||||||
def partial(res):
|
|
||||||
data_obj = res['data'][0]
|
|
||||||
bids = data_obj['bids']
|
|
||||||
asks = data_obj['asks']
|
|
||||||
instrument_id = res['arg']['instId']
|
|
||||||
# print('全量数据bids为：' + str(bids))
|
|
||||||
# print('档数为：' + str(len(bids)))
|
|
||||||
# print('全量数据asks为：' + str(asks))
|
|
||||||
# print('档数为：' + str(len(asks)))
|
|
||||||
return bids, asks, instrument_id
|
|
||||||
|
|
||||||
|
|
||||||
def update_bids(res, bids_p):
|
|
||||||
# 获取增量bids数据
|
|
||||||
bids_u = res['data'][0]['bids']
|
|
||||||
# print('增量数据bids为：' + str(bids_u))
|
|
||||||
# print('档数为：' + str(len(bids_u)))
|
|
||||||
# bids合并
|
|
||||||
for i in bids_u:
|
|
||||||
bid_price = i[0]
|
|
||||||
for j in bids_p:
|
|
||||||
if bid_price == j[0]:
|
|
||||||
if i[1] == '0':
|
|
||||||
bids_p.remove(j)
|
|
||||||
break
|
|
||||||
else:
|
|
||||||
del j[1]
|
|
||||||
j.insert(1, i[1])
|
|
||||||
break
|
|
||||||
else:
|
|
||||||
if i[1] != "0":
|
|
||||||
bids_p.append(i)
|
|
||||||
else:
|
|
||||||
bids_p.sort(key=lambda price: sort_num(price[0]), reverse=True)
|
|
||||||
# print('合并后的bids为：' + str(bids_p) + '，档数为：' + str(len(bids_p)))
|
|
||||||
return bids_p
|
|
||||||
|
|
||||||
|
|
||||||
def update_asks(res, asks_p):
|
|
||||||
# 获取增量asks数据
|
|
||||||
asks_u = res['data'][0]['asks']
|
|
||||||
# print('增量数据asks为：' + str(asks_u))
|
|
||||||
# print('档数为：' + str(len(asks_u)))
|
|
||||||
# asks合并
|
|
||||||
for i in asks_u:
|
|
||||||
ask_price = i[0]
|
|
||||||
for j in asks_p:
|
|
||||||
if ask_price == j[0]:
|
|
||||||
if i[1] == '0':
|
|
||||||
asks_p.remove(j)
|
|
||||||
break
|
|
||||||
else:
|
|
||||||
del j[1]
|
|
||||||
j.insert(1, i[1])
|
|
||||||
break
|
|
||||||
else:
|
|
||||||
if i[1] != "0":
|
|
||||||
asks_p.append(i)
|
|
||||||
else:
|
|
||||||
asks_p.sort(key=lambda price: sort_num(price[0]))
|
|
||||||
# print('合并后的asks为：' + str(asks_p) + '，档数为：' + str(len(asks_p)))
|
|
||||||
return asks_p
|
|
||||||
|
|
||||||
|
|
||||||
def sort_num(n):
|
|
||||||
if n.isdigit():
|
|
||||||
return int(n)
|
|
||||||
else:
|
|
||||||
return float(n)
|
|
||||||
|
|
||||||
|
|
||||||
def check(bids, asks):
|
|
||||||
# 获取bid档str
|
|
||||||
bids_l = []
|
|
||||||
bid_l = []
|
|
||||||
count_bid = 1
|
|
||||||
while count_bid <= 25:
|
|
||||||
if count_bid > len(bids):
|
|
||||||
break
|
|
||||||
bids_l.append(bids[count_bid - 1])
|
|
||||||
count_bid += 1
|
|
||||||
for j in bids_l:
|
|
||||||
str_bid = ':'.join(j[0: 2])
|
|
||||||
bid_l.append(str_bid)
|
|
||||||
# 获取ask档str
|
|
||||||
asks_l = []
|
|
||||||
ask_l = []
|
|
||||||
count_ask = 1
|
|
||||||
while count_ask <= 25:
|
|
||||||
if count_ask > len(asks):
|
|
||||||
break
|
|
||||||
asks_l.append(asks[count_ask - 1])
|
|
||||||
count_ask += 1
|
|
||||||
for k in asks_l:
|
|
||||||
str_ask = ':'.join(k[0: 2])
|
|
||||||
ask_l.append(str_ask)
|
|
||||||
# 拼接str
|
|
||||||
num = ''
|
|
||||||
if len(bid_l) == len(ask_l):
|
|
||||||
for m in range(len(bid_l)):
|
|
||||||
num += bid_l[m] + ':' + ask_l[m] + ':'
|
|
||||||
elif len(bid_l) > len(ask_l):
|
|
||||||
# bid档比ask档多
|
|
||||||
for n in range(len(ask_l)):
|
|
||||||
num += bid_l[n] + ':' + ask_l[n] + ':'
|
|
||||||
for l in range(len(ask_l), len(bid_l)):
|
|
||||||
num += bid_l[l] + ':'
|
|
||||||
elif len(bid_l) < len(ask_l):
|
|
||||||
# ask档比bid档多
|
|
||||||
for n in range(len(bid_l)):
|
|
||||||
num += bid_l[n] + ':' + ask_l[n] + ':'
|
|
||||||
for l in range(len(bid_l), len(ask_l)):
|
|
||||||
num += ask_l[l] + ':'
|
|
||||||
|
|
||||||
new_num = num[:-1]
|
|
||||||
int_checksum = zlib.crc32(new_num.encode())
|
|
||||||
fina = change(int_checksum)
|
|
||||||
return fina
|
|
||||||
|
|
||||||
|
|
||||||
def change(num_old):
|
|
||||||
num = pow(2, 31) - 1
|
|
||||||
if num_old > num:
|
|
||||||
out = num_old - num * 2 - 2
|
|
||||||
else:
|
|
||||||
out = num_old
|
|
||||||
return out
|
|
||||||
|
|
||||||
|
|
||||||
# subscribe channels un_need login
|
|
||||||
async def subscribe_without_login(url, channels):
|
|
||||||
l = []
|
|
||||||
while True:
|
|
||||||
try:
|
|
||||||
async with websockets.connect(url) as ws:
|
|
||||||
sub_param = {"op": "subscribe", "args": channels}
|
|
||||||
sub_str = json.dumps(sub_param)
|
|
||||||
await ws.send(sub_str)
|
|
||||||
print(f"send: {sub_str}")
|
|
||||||
|
|
||||||
while True:
|
|
||||||
try:
|
|
||||||
res = await asyncio.wait_for(ws.recv(), timeout=25)
|
|
||||||
except (asyncio.TimeoutError, websockets.exceptions.ConnectionClosed) as e:
|
|
||||||
try:
|
|
||||||
await ws.send('ping')
|
|
||||||
res = await ws.recv()
|
|
||||||
print(res)
|
|
||||||
continue
|
|
||||||
except Exception as e:
|
|
||||||
print("连接关闭，正在重连……")
|
|
||||||
break
|
|
||||||
|
|
||||||
print(get_timestamp() + res)
|
|
||||||
res = eval(res)
|
|
||||||
if 'event' in res:
|
|
||||||
continue
|
|
||||||
for i in res['arg']:
|
|
||||||
if 'books' in res['arg'][i] and 'books5' not in res['arg'][i]:
|
|
||||||
# 订阅频道是深度频道
|
|
||||||
if res['action'] == 'snapshot':
|
|
||||||
for m in l:
|
|
||||||
if res['arg']['instId'] == m['instrument_id']:
|
|
||||||
l.remove(m)
|
|
||||||
# 获取首次全量深度数据
|
|
||||||
bids_p, asks_p, instrument_id = partial(res)
|
|
||||||
d = {}
|
|
||||||
d['instrument_id'] = instrument_id
|
|
||||||
d['bids_p'] = bids_p
|
|
||||||
d['asks_p'] = asks_p
|
|
||||||
l.append(d)
|
|
||||||
|
|
||||||
# 校验checksum
|
|
||||||
checksum = res['data'][0]['checksum']
|
|
||||||
# print('推送数据的checksum为：' + str(checksum))
|
|
||||||
check_num = check(bids_p, asks_p)
|
|
||||||
# print('校验后的checksum为：' + str(check_num))
|
|
||||||
if check_num == checksum:
|
|
||||||
print("校验结果为：True")
|
|
||||||
else:
|
|
||||||
print("校验结果为：False，正在重新订阅……")
|
|
||||||
|
|
||||||
# 取消订阅
|
|
||||||
await unsubscribe_without_login(url, channels)
|
|
||||||
# 发送订阅
|
|
||||||
async with websockets.connect(url) as ws:
|
|
||||||
sub_param = {"op": "subscribe", "args": channels}
|
|
||||||
sub_str = json.dumps(sub_param)
|
|
||||||
await ws.send(sub_str)
|
|
||||||
print(f"send: {sub_str}")
|
|
||||||
|
|
||||||
elif res['action'] == 'update':
|
|
||||||
for j in l:
|
|
||||||
if res['arg']['instId'] == j['instrument_id']:
|
|
||||||
# 获取全量数据
|
|
||||||
bids_p = j['bids_p']
|
|
||||||
asks_p = j['asks_p']
|
|
||||||
# 获取合并后数据
|
|
||||||
bids_p = update_bids(res, bids_p)
|
|
||||||
asks_p = update_asks(res, asks_p)
|
|
||||||
|
|
||||||
# 校验checksum
|
|
||||||
checksum = res['data'][0]['checksum']
|
|
||||||
# print('推送数据的checksum为：' + str(checksum))
|
|
||||||
check_num = check(bids_p, asks_p)
|
|
||||||
# print('校验后的checksum为：' + str(check_num))
|
|
||||||
if check_num == checksum:
|
|
||||||
print("校验结果为：True")
|
|
||||||
else:
|
|
||||||
print("校验结果为：False，正在重新订阅……")
|
|
||||||
|
|
||||||
# 取消订阅
|
|
||||||
await unsubscribe_without_login(url, channels)
|
|
||||||
# 发送订阅
|
|
||||||
async with websockets.connect(url) as ws:
|
|
||||||
sub_param = {"op": "subscribe", "args": channels}
|
|
||||||
sub_str = json.dumps(sub_param)
|
|
||||||
await ws.send(sub_str)
|
|
||||||
print(f"send: {sub_str}")
|
|
||||||
except Exception as e:
|
|
||||||
print(e)
|
|
||||||
print("连接断开，正在重连……")
|
|
||||||
continue
|
|
||||||
|
|
||||||
|
|
||||||
# subscribe channels need login
|
|
||||||
async def subscribe(url, api_key, passphrase, secret_key, channels):
|
|
||||||
while True:
|
|
||||||
try:
|
|
||||||
async with websockets.connect(url) as ws:
|
|
||||||
# login
|
|
||||||
timestamp = str(get_local_timestamp())
|
|
||||||
login_str = login_params(timestamp, api_key, passphrase, secret_key)
|
|
||||||
await ws.send(login_str)
|
|
||||||
# print(f"send: {login_str}")
|
|
||||||
res = await ws.recv()
|
|
||||||
print(res)
|
|
||||||
|
|
||||||
# subscribe
|
|
||||||
sub_param = {"op": "subscribe", "args": channels}
|
|
||||||
sub_str = json.dumps(sub_param)
|
|
||||||
await ws.send(sub_str)
|
|
||||||
print(f"send: {sub_str}")
|
|
||||||
|
|
||||||
while True:
|
|
||||||
try:
|
|
||||||
res = await asyncio.wait_for(ws.recv(), timeout=25)
|
|
||||||
except (asyncio.TimeoutError, websockets.exceptions.ConnectionClosed) as e:
|
|
||||||
try:
|
|
||||||
await ws.send('ping')
|
|
||||||
res = await ws.recv()
|
|
||||||
print(res)
|
|
||||||
continue
|
|
||||||
except Exception as e:
|
|
||||||
print("连接关闭，正在重连……")
|
|
||||||
break
|
|
||||||
|
|
||||||
print(get_timestamp() + res)
|
|
||||||
|
|
||||||
except Exception as e:
|
|
||||||
print("连接断开，正在重连……")
|
|
||||||
continue
|
|
||||||
|
|
||||||
|
|
||||||
# trade
|
|
||||||
async def trade(url, api_key, passphrase, secret_key, trade_param):
|
|
||||||
while True:
|
|
||||||
try:
|
|
||||||
async with websockets.connect(url) as ws:
|
|
||||||
# login
|
|
||||||
timestamp = str(get_local_timestamp())
|
|
||||||
login_str = login_params(timestamp, api_key, passphrase, secret_key)
|
|
||||||
await ws.send(login_str)
|
|
||||||
# print(f"send: {login_str}")
|
|
||||||
res = await ws.recv()
|
|
||||||
print(res)
|
|
||||||
|
|
||||||
# trade
|
|
||||||
sub_str = json.dumps(trade_param)
|
|
||||||
await ws.send(sub_str)
|
|
||||||
print(f"send: {sub_str}")
|
|
||||||
|
|
||||||
while True:
|
|
||||||
try:
|
|
||||||
res = await asyncio.wait_for(ws.recv(), timeout=25)
|
|
||||||
except (asyncio.TimeoutError, websockets.exceptions.ConnectionClosed) as e:
|
|
||||||
try:
|
|
||||||
await ws.send('ping')
|
|
||||||
res = await ws.recv()
|
|
||||||
print(res)
|
|
||||||
continue
|
|
||||||
except Exception as e:
|
|
||||||
print("连接关闭，正在重连……")
|
|
||||||
break
|
|
||||||
|
|
||||||
print(get_timestamp() + res)
|
|
||||||
|
|
||||||
except Exception as e:
|
|
||||||
print("连接断开，正在重连……")
|
|
||||||
continue
|
|
||||||
|
|
||||||
|
|
||||||
# unsubscribe channels
|
|
||||||
async def unsubscribe(url, api_key, passphrase, secret_key, channels):
|
|
||||||
async with websockets.connect(url) as ws:
|
|
||||||
# login
|
|
||||||
timestamp = str(get_local_timestamp())
|
|
||||||
login_str = login_params(timestamp, api_key, passphrase, secret_key)
|
|
||||||
await ws.send(login_str)
|
|
||||||
# print(f"send: {login_str}")
|
|
||||||
|
|
||||||
res = await ws.recv()
|
|
||||||
print(f"recv: {res}")
|
|
||||||
|
|
||||||
# unsubscribe
|
|
||||||
sub_param = {"op": "unsubscribe", "args": channels}
|
|
||||||
sub_str = json.dumps(sub_param)
|
|
||||||
await ws.send(sub_str)
|
|
||||||
print(f"send: {sub_str}")
|
|
||||||
|
|
||||||
res = await ws.recv()
|
|
||||||
print(f"recv: {res}")
|
|
||||||
|
|
||||||
|
|
||||||
# unsubscribe channels
|
|
||||||
async def unsubscribe_without_login(url, channels):
|
|
||||||
async with websockets.connect(url) as ws:
|
|
||||||
# unsubscribe
|
|
||||||
sub_param = {"op": "unsubscribe", "args": channels}
|
|
||||||
sub_str = json.dumps(sub_param)
|
|
||||||
await ws.send(sub_str)
|
|
||||||
print(f"send: {sub_str}")
|
|
||||||
|
|
||||||
res = await ws.recv()
|
|
||||||
print(f"recv: {res}")
|
|
||||||
|
|
||||||
|
|
||||||
api_key = ""
|
|
||||||
secret_key = ""
|
|
||||||
passphrase = ""
|
|
||||||
|
|
||||||
# WebSocket公共频道 public channels
|
|
||||||
# 实盘 real trading
|
|
||||||
# url = "wss://ws.okx.com:8443/ws/v5/public"
|
|
||||||
# 模拟盘 demo trading
|
|
||||||
# url = "wss://wspap.okx.com:8443/ws/v5/public"
|
|
||||||
|
|
||||||
# WebSocket私有频道 private channels
|
|
||||||
# 实盘 real trading
|
|
||||||
# url = "wss://ws.okx.com:8443/ws/v5/private"
|
|
||||||
# 模拟盘 demo trading
|
|
||||||
# url = "wss://wspap.okx.com:8443/ws/v5/private"
|
|
||||||
|
|
||||||
'''
|
|
||||||
公共频道 public channel
|
|
||||||
:param channel: 频道名
|
|
||||||
:param instType: 产品类型
|
|
||||||
:param instId: 产品ID
|
|
||||||
:param uly: 合约标的指数
|
|
||||||
|
|
||||||
'''
|
|
||||||
|
|
||||||
# 产品频道 Instruments Channel
|
|
||||||
# channels = [{"channel": "instruments", "instType": "FUTURES"}]
|
|
||||||
# 行情频道 tickers channel
|
|
||||||
# channels = [{"channel": "tickers", "instId": "BTC-USDT"}, {"channel": "tickers", "instId": "ETH-USDT"}]
|
|
||||||
# 持仓总量频道 Open interest Channel
|
|
||||||
# channels = [{"channel": "open-interest", "instId": "BTC-USD-210326"}]
|
|
||||||
# K线频道 Candlesticks Channel
|
|
||||||
# channels = [{"channel": "candle1m", "instId": "BTC-USD-210326"}]
|
|
||||||
# 交易频道 Trades Channel
|
|
||||||
# channels = [{"channel": "trades", "instId": "BTC-USD-201225"}]
|
|
||||||
# 预估交割/行权价格频道 Estimated delivery/exercise Price Channel
|
|
||||||
# channels = [{"channel": "estimated-price", "instType": "FUTURES", "uly": "BTC-USD"}]
|
|
||||||
# 标记价格频道 Mark Price Channel
|
|
||||||
# channels = [{"channel": "mark-price", "instId": "BTC-USDT-210326"}]
|
|
||||||
# 标记价格K线频道 Mark Price Candlesticks Channel
|
|
||||||
# channels = [{"channel": "mark-price-candle1D", "instId": "BTC-USD-201225"}]
|
|
||||||
# 限价频道 Price Limit Channel
|
|
||||||
# channels = [{"channel": "price-limit", "instId": "BTC-USD-201225"}]
|
|
||||||
# 深度频道 Order Book Channel
|
|
||||||
# channels = [{"channel": "books", "instId": "BTC-USD-SWAP"}]
|
|
||||||
# 期权定价频道 OPTION Summary Channel
|
|
||||||
# channels = [{"channel": "opt-summary", "uly": "BTC-USD"}]
|
|
||||||
# 资金费率频道 Funding Rate Channel
|
|
||||||
# channels = [{"channel": "funding-rate", "instId": "BTC-USD-SWAP"}]
|
|
||||||
# 指数K线频道 Index Candlesticks Channel
|
|
||||||
# channels = [{"channel": "index-candle1m", "instId": "BTC-USDT"}]
|
|
||||||
# 指数行情频道 Index Tickers Channel
|
|
||||||
# channels = [{"channel": "index-tickers", "instId": "BTC-USDT"}]
|
|
||||||
# status频道 Status Channel
|
|
||||||
# channels = [{"channel": "status"}]
|
|
||||||
# 公共大宗交易频道 Public block trading channel
|
|
||||||
# channels = [{"channel": "public-struc-block-trades"}]
|
|
||||||
# 大宗交易行情频道 Block trading market channel
|
|
||||||
# channels = [{"channel": "block-tickers", "instId":"BTC-USDT-SWAP"}]
|
|
||||||
|
|
||||||
'''
|
|
||||||
私有频道 private channel
|
|
||||||
:param channel: 频道名
|
|
||||||
:param ccy: 币种
|
|
||||||
:param instType: 产品类型
|
|
||||||
:param uly: 合约标的指数
|
|
||||||
:param instId: 产品ID
|
|
||||||
|
|
||||||
'''
|
|
||||||
|
|
||||||
# 账户频道 Account Channel
|
|
||||||
# channels = [{"channel": "account", "ccy": "BTC"}]
|
|
||||||
# 持仓频道 Positions Channel
|
|
||||||
# channels = [{"channel": "positions", "instType": "FUTURES", "uly": "BTC-USDT", "instId": "BTC-USDT-210326"}]
|
|
||||||
# 余额和持仓频道 Balance and Position Channel
|
|
||||||
# channels = [{"channel": "balance_and_position"}]
|
|
||||||
# 订单频道 Order Channel
|
|
||||||
# channels = [{"channel": "orders", "instType": "FUTURES", "uly": "BTC-USD", "instId": "BTC-USD-201225"}]
|
|
||||||
# 策略委托订单频道 Algo Orders Channel
|
|
||||||
# channels = [{"channel": "orders-algo", "instType": "FUTURES", "uly": "BTC-USD", "instId": "BTC-USD-201225"}]
|
|
||||||
# 高级策略委托订单频道 Cancel Advance Algos
|
|
||||||
# channels = [{"channel": "algo-advance", "instType": "SPOT","instId": "BTC-USD-201225","algoId":"12345678"}]
|
|
||||||
# 爆仓风险预警推送频道
|
|
||||||
# channels = [{"channel": "liquidation-warning", "instType": "SWAP","instType": "","uly":"","instId":""}]
|
|
||||||
# 账户greeks频道
|
|
||||||
# channels = [{"channel": "account-greeks", "ccy": "BTC"}]
|
|
||||||
# 询价频道 Inquiry channel
|
|
||||||
# channels = [{"channel": "rfqs"}]
|
|
||||||
# 报价频道 Quote channel
|
|
||||||
# channels = [{"channel": "quotes"}]
|
|
||||||
# 大宗交易频道 Block trading channel
|
|
||||||
# channels = [{"channel": "struc-block-trades"}]
|
|
||||||
# 现货网格策略委托订单频道 Consignment order channel of spot grid strategy
|
|
||||||
# channels = [{"channel": "grid-orders-spot", "instType": "ANY"}]
|
|
||||||
# 合约网格策略委托订单频道 Spot grid policy delegated order channel contract grid policy delegated order channel
|
|
||||||
# channels = [{"channel": "grid-orders-contract", "instType": "ANY"}]
|
|
||||||
# 合约网格持仓频道 Contract grid position channel
|
|
||||||
# channels = [{"channel": "grid-positions", "algoId": ""}]
|
|
||||||
# 网格策略子订单频道 Grid policy suborder channel
|
|
||||||
# channels = [{"channel": "grid-sub-orders", "algoId": ""}]
|
|
||||||
'''
|
|
||||||
交易 trade
|
|
||||||
'''
|
|
||||||
|
|
||||||
# 下单 Place Order
|
|
||||||
# trade_param = {"id": "1512", "op": "order", "args": [{"side": "buy", "instId": "BTC-USDT", "tdMode": "isolated", "ordType": "limit", "px": "19777", "sz": "1"}]}
|
|
||||||
# 批量下单 Place Multiple Orders
|
|
||||||
# trade_param = {"id": "1512", "op": "batch-orders", "args": [
|
|
||||||
# {"side": "buy", "instId": "BTC-USDT", "tdMode": "isolated", "ordType": "limit", "px": "19666", "sz": "1"},
|
|
||||||
# {"side": "buy", "instId": "BTC-USDT", "tdMode": "isolated", "ordType": "limit", "px": "19633", "sz": "1"}
|
|
||||||
# ]}
|
|
||||||
# 撤单 Cancel Order
|
|
||||||
# trade_param = {"id": "1512", "op": "cancel-order", "args": [{"instId": "BTC-USDT", "ordId": "259424589042823169"}]}
|
|
||||||
# 批量撤单 Cancel Multiple Orders
|
|
||||||
# trade_param = {"id": "1512", "op": "batch-cancel-orders", "args": [
|
|
||||||
# {"instId": "BTC-USDT", "ordId": ""},
|
|
||||||
# {"instId": "BTC-USDT", "ordId": ""}
|
|
||||||
# ]}
|
|
||||||
# 改单 Amend Order
|
|
||||||
# trade_param = {"id": "1512", "op": "amend-order", "args": [{"instId": "BTC-USDT", "ordId": "259432767558135808", "newSz": "2"}]}
|
|
||||||
# 批量改单 Amend Multiple Orders
|
|
||||||
# trade_param = {"id": "1512", "op": "batch-amend-orders", "args": [
|
|
||||||
# {"instId": "BTC-USDT", "ordId": "", "newSz": "2"},
|
|
||||||
# {"instId": "BTC-USDT", "ordId": "", "newSz": "3"}
|
|
||||||
# ]}
|
|
||||||
|
|
||||||
|
|
||||||
loop = asyncio.get_event_loop()
|
|
||||||
|
|
||||||
# 公共频道 不需要登录（行情，持仓总量，K线，标记价格，深度，资金费率等）subscribe public channel
|
|
||||||
loop.run_until_complete(subscribe_without_login(url, channels))
|
|
||||||
|
|
||||||
# 私有频道 需要登录（账户，持仓，订单等）subscribe private channel
|
|
||||||
# loop.run_until_complete(subscribe(url, api_key, passphrase, secret_key, channels))
|
|
||||||
|
|
||||||
# 交易（下单，撤单，改单等）trade
|
|
||||||
# loop.run_until_complete(trade(url, api_key, passphrase, secret_key, trade_param))
|
|
||||||
|
|
||||||
loop.close()
|
|
||||||
Loading…
Reference in New Issue