523 lines
20 KiB
Python
523 lines
20 KiB
Python
import asyncio
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import base64
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import datetime
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import hmac
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import json
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import time
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import zlib
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import requests
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import websockets
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def get_timestamp():
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now = datetime.datetime.now()
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t = now.isoformat("T", "milliseconds")
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return t + "Z"
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def get_server_time():
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url = "https://www.okx.com/api/v5/public/time"
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response = requests.get(url)
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if response.status_code == 200:
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return response.json()['data'][0]['ts']
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else:
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return ""
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def get_local_timestamp():
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return int(time.time())
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def login_params(timestamp, api_key, passphrase, secret_key):
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message = timestamp + 'GET' + '/users/self/verify'
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mac = hmac.new(bytes(secret_key, encoding='utf8'), bytes(message, encoding='utf-8'), digestmod='sha256')
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d = mac.digest()
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sign = base64.b64encode(d)
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login_param = {"op": "login", "args": [{"apiKey": api_key,
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"passphrase": passphrase,
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"timestamp": timestamp,
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"sign": sign.decode("utf-8")}]}
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login_str = json.dumps(login_param)
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return login_str
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def partial(res):
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data_obj = res['data'][0]
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bids = data_obj['bids']
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asks = data_obj['asks']
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instrument_id = res['arg']['instId']
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# print('全量数据bids为：' + str(bids))
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# print('档数为：' + str(len(bids)))
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# print('全量数据asks为：' + str(asks))
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# print('档数为：' + str(len(asks)))
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return bids, asks, instrument_id
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def update_bids(res, bids_p):
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# 获取增量bids数据
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bids_u = res['data'][0]['bids']
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# print('增量数据bids为：' + str(bids_u))
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# print('档数为：' + str(len(bids_u)))
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# bids合并
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for i in bids_u:
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bid_price = i[0]
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for j in bids_p:
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if bid_price == j[0]:
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if i[1] == '0':
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bids_p.remove(j)
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break
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else:
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del j[1]
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j.insert(1, i[1])
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break
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else:
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if i[1] != "0":
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bids_p.append(i)
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else:
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bids_p.sort(key=lambda price: sort_num(price[0]), reverse=True)
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# print('合并后的bids为：' + str(bids_p) + '，档数为：' + str(len(bids_p)))
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return bids_p
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def update_asks(res, asks_p):
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# 获取增量asks数据
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asks_u = res['data'][0]['asks']
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# print('增量数据asks为：' + str(asks_u))
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# print('档数为：' + str(len(asks_u)))
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# asks合并
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for i in asks_u:
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ask_price = i[0]
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for j in asks_p:
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if ask_price == j[0]:
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if i[1] == '0':
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asks_p.remove(j)
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break
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else:
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del j[1]
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j.insert(1, i[1])
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break
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else:
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if i[1] != "0":
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asks_p.append(i)
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else:
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asks_p.sort(key=lambda price: sort_num(price[0]))
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# print('合并后的asks为：' + str(asks_p) + '，档数为：' + str(len(asks_p)))
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return asks_p
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def sort_num(n):
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if n.isdigit():
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return int(n)
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else:
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return float(n)
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def check(bids, asks):
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# 获取bid档str
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bids_l = []
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bid_l = []
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count_bid = 1
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while count_bid <= 25:
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if count_bid > len(bids):
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break
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bids_l.append(bids[count_bid - 1])
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count_bid += 1
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for j in bids_l:
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str_bid = ':'.join(j[0: 2])
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bid_l.append(str_bid)
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# 获取ask档str
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asks_l = []
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ask_l = []
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count_ask = 1
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while count_ask <= 25:
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if count_ask > len(asks):
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break
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asks_l.append(asks[count_ask - 1])
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count_ask += 1
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for k in asks_l:
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str_ask = ':'.join(k[0: 2])
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ask_l.append(str_ask)
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# 拼接str
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num = ''
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if len(bid_l) == len(ask_l):
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for m in range(len(bid_l)):
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num += bid_l[m] + ':' + ask_l[m] + ':'
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elif len(bid_l) > len(ask_l):
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# bid档比ask档多
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for n in range(len(ask_l)):
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num += bid_l[n] + ':' + ask_l[n] + ':'
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for l in range(len(ask_l), len(bid_l)):
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num += bid_l[l] + ':'
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elif len(bid_l) < len(ask_l):
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# ask档比bid档多
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for n in range(len(bid_l)):
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num += bid_l[n] + ':' + ask_l[n] + ':'
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for l in range(len(bid_l), len(ask_l)):
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num += ask_l[l] + ':'
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new_num = num[:-1]
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int_checksum = zlib.crc32(new_num.encode())
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fina = change(int_checksum)
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return fina
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def change(num_old):
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num = pow(2, 31) - 1
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if num_old > num:
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out = num_old - num * 2 - 2
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else:
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out = num_old
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return out
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# subscribe channels un_need login
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async def subscribe_without_login(url, channels):
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l = []
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while True:
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try:
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async with websockets.connect(url) as ws:
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sub_param = {"op": "subscribe", "args": channels}
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sub_str = json.dumps(sub_param)
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await ws.send(sub_str)
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print(f"send: {sub_str}")
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while True:
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try:
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res = await asyncio.wait_for(ws.recv(), timeout=25)
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except (asyncio.TimeoutError, websockets.exceptions.ConnectionClosed) as e:
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try:
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await ws.send('ping')
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res = await ws.recv()
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print(res)
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continue
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except Exception as e:
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print("连接关闭，正在重连……")
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break
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print(get_timestamp() + res)
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res = eval(res)
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if 'event' in res:
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continue
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for i in res['arg']:
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if 'books' in res['arg'][i] and 'books5' not in res['arg'][i]:
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# 订阅频道是深度频道
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if res['action'] == 'snapshot':
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for m in l:
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if res['arg']['instId'] == m['instrument_id']:
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l.remove(m)
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# 获取首次全量深度数据
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bids_p, asks_p, instrument_id = partial(res)
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d = {}
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d['instrument_id'] = instrument_id
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d['bids_p'] = bids_p
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d['asks_p'] = asks_p
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l.append(d)
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# 校验checksum
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checksum = res['data'][0]['checksum']
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# print('推送数据的checksum为：' + str(checksum))
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check_num = check(bids_p, asks_p)
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# print('校验后的checksum为：' + str(check_num))
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if check_num == checksum:
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print("校验结果为：True")
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else:
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print("校验结果为：False，正在重新订阅……")
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# 取消订阅
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await unsubscribe_without_login(url, channels)
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# 发送订阅
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async with websockets.connect(url) as ws:
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sub_param = {"op": "subscribe", "args": channels}
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sub_str = json.dumps(sub_param)
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await ws.send(sub_str)
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print(f"send: {sub_str}")
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elif res['action'] == 'update':
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for j in l:
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if res['arg']['instId'] == j['instrument_id']:
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# 获取全量数据
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bids_p = j['bids_p']
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asks_p = j['asks_p']
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# 获取合并后数据
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bids_p = update_bids(res, bids_p)
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asks_p = update_asks(res, asks_p)
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# 校验checksum
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checksum = res['data'][0]['checksum']
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# print('推送数据的checksum为：' + str(checksum))
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check_num = check(bids_p, asks_p)
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# print('校验后的checksum为：' + str(check_num))
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if check_num == checksum:
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print("校验结果为：True")
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else:
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print("校验结果为：False，正在重新订阅……")
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# 取消订阅
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await unsubscribe_without_login(url, channels)
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# 发送订阅
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async with websockets.connect(url) as ws:
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sub_param = {"op": "subscribe", "args": channels}
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sub_str = json.dumps(sub_param)
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await ws.send(sub_str)
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print(f"send: {sub_str}")
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except Exception as e:
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print(e)
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print("连接断开，正在重连……")
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continue
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# subscribe channels need login
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async def subscribe(url, api_key, passphrase, secret_key, channels):
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while True:
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try:
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async with websockets.connect(url) as ws:
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# login
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timestamp = str(get_local_timestamp())
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login_str = login_params(timestamp, api_key, passphrase, secret_key)
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await ws.send(login_str)
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# print(f"send: {login_str}")
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res = await ws.recv()
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print(res)
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# subscribe
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sub_param = {"op": "subscribe", "args": channels}
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sub_str = json.dumps(sub_param)
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await ws.send(sub_str)
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print(f"send: {sub_str}")
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while True:
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try:
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res = await asyncio.wait_for(ws.recv(), timeout=25)
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except (asyncio.TimeoutError, websockets.exceptions.ConnectionClosed) as e:
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try:
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await ws.send('ping')
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res = await ws.recv()
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print(res)
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continue
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except Exception as e:
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print("连接关闭，正在重连……")
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break
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print(get_timestamp() + res)
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except Exception as e:
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print("连接断开，正在重连……")
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continue
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# trade
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async def trade(url, api_key, passphrase, secret_key, trade_param):
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while True:
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try:
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async with websockets.connect(url) as ws:
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# login
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timestamp = str(get_local_timestamp())
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login_str = login_params(timestamp, api_key, passphrase, secret_key)
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await ws.send(login_str)
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# print(f"send: {login_str}")
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res = await ws.recv()
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print(res)
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# trade
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sub_str = json.dumps(trade_param)
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await ws.send(sub_str)
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print(f"send: {sub_str}")
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while True:
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try:
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res = await asyncio.wait_for(ws.recv(), timeout=25)
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except (asyncio.TimeoutError, websockets.exceptions.ConnectionClosed) as e:
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try:
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await ws.send('ping')
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res = await ws.recv()
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print(res)
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continue
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except Exception as e:
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print("连接关闭，正在重连……")
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break
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print(get_timestamp() + res)
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except Exception as e:
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print("连接断开，正在重连……")
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continue
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# unsubscribe channels
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async def unsubscribe(url, api_key, passphrase, secret_key, channels):
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async with websockets.connect(url) as ws:
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# login
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timestamp = str(get_local_timestamp())
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login_str = login_params(timestamp, api_key, passphrase, secret_key)
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await ws.send(login_str)
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# print(f"send: {login_str}")
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res = await ws.recv()
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print(f"recv: {res}")
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# unsubscribe
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sub_param = {"op": "unsubscribe", "args": channels}
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sub_str = json.dumps(sub_param)
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await ws.send(sub_str)
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print(f"send: {sub_str}")
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res = await ws.recv()
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print(f"recv: {res}")
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# unsubscribe channels
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async def unsubscribe_without_login(url, channels):
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async with websockets.connect(url) as ws:
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# unsubscribe
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sub_param = {"op": "unsubscribe", "args": channels}
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sub_str = json.dumps(sub_param)
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await ws.send(sub_str)
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print(f"send: {sub_str}")
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res = await ws.recv()
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print(f"recv: {res}")
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api_key = ""
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secret_key = ""
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passphrase = ""
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# WebSocket公共频道 public channels
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# 实盘 real trading
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# url = "wss://ws.okx.com:8443/ws/v5/public"
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# 模拟盘 demo trading
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# url = "wss://wspap.okx.com:8443/ws/v5/public"
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# WebSocket私有频道 private channels
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# 实盘 real trading
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# url = "wss://ws.okx.com:8443/ws/v5/private"
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# 模拟盘 demo trading
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# url = "wss://wspap.okx.com:8443/ws/v5/private"
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'''
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公共频道 public channel
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:param channel: 频道名
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:param instType: 产品类型
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:param instId: 产品ID
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:param uly: 合约标的指数
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'''
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# 产品频道 Instruments Channel
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# channels = [{"channel": "instruments", "instType": "FUTURES"}]
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# 行情频道 tickers channel
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# channels = [{"channel": "tickers", "instId": "BTC-USDT"}, {"channel": "tickers", "instId": "ETH-USDT"}]
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# 持仓总量频道 Open interest Channel
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# channels = [{"channel": "open-interest", "instId": "BTC-USD-210326"}]
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# K线频道 Candlesticks Channel
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# channels = [{"channel": "candle1m", "instId": "BTC-USD-210326"}]
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# 交易频道 Trades Channel
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# channels = [{"channel": "trades", "instId": "BTC-USD-201225"}]
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# 预估交割/行权价格频道 Estimated delivery/exercise Price Channel
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# channels = [{"channel": "estimated-price", "instType": "FUTURES", "uly": "BTC-USD"}]
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# 标记价格频道 Mark Price Channel
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# channels = [{"channel": "mark-price", "instId": "BTC-USDT-210326"}]
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# 标记价格K线频道 Mark Price Candlesticks Channel
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# channels = [{"channel": "mark-price-candle1D", "instId": "BTC-USD-201225"}]
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# 限价频道 Price Limit Channel
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# channels = [{"channel": "price-limit", "instId": "BTC-USD-201225"}]
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# 深度频道 Order Book Channel
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# channels = [{"channel": "books", "instId": "BTC-USD-SWAP"}]
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# 期权定价频道 OPTION Summary Channel
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# channels = [{"channel": "opt-summary", "uly": "BTC-USD"}]
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# 资金费率频道 Funding Rate Channel
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# channels = [{"channel": "funding-rate", "instId": "BTC-USD-SWAP"}]
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# 指数K线频道 Index Candlesticks Channel
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# channels = [{"channel": "index-candle1m", "instId": "BTC-USDT"}]
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# 指数行情频道 Index Tickers Channel
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# channels = [{"channel": "index-tickers", "instId": "BTC-USDT"}]
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# status频道 Status Channel
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# channels = [{"channel": "status"}]
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# 公共大宗交易频道 Public block trading channel
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# channels = [{"channel": "public-struc-block-trades"}]
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# 大宗交易行情频道 Block trading market channel
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# channels = [{"channel": "block-tickers", "instId":"BTC-USDT-SWAP"}]
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'''
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私有频道 private channel
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:param channel: 频道名
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:param ccy: 币种
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:param instType: 产品类型
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:param uly: 合约标的指数
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:param instId: 产品ID
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'''
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# 账户频道 Account Channel
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# channels = [{"channel": "account", "ccy": "BTC"}]
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# 持仓频道 Positions Channel
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# channels = [{"channel": "positions", "instType": "FUTURES", "uly": "BTC-USDT", "instId": "BTC-USDT-210326"}]
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# 余额和持仓频道 Balance and Position Channel
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# channels = [{"channel": "balance_and_position"}]
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# 订单频道 Order Channel
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# channels = [{"channel": "orders", "instType": "FUTURES", "uly": "BTC-USD", "instId": "BTC-USD-201225"}]
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# 策略委托订单频道 Algo Orders Channel
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# channels = [{"channel": "orders-algo", "instType": "FUTURES", "uly": "BTC-USD", "instId": "BTC-USD-201225"}]
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# 高级策略委托订单频道 Cancel Advance Algos
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# channels = [{"channel": "algo-advance", "instType": "SPOT","instId": "BTC-USD-201225","algoId":"12345678"}]
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# 爆仓风险预警推送频道
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# channels = [{"channel": "liquidation-warning", "instType": "SWAP","instType": "","uly":"","instId":""}]
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# 账户greeks频道
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# channels = [{"channel": "account-greeks", "ccy": "BTC"}]
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# 询价频道 Inquiry channel
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# channels = [{"channel": "rfqs"}]
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# 报价频道 Quote channel
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# channels = [{"channel": "quotes"}]
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# 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()
|