import random import aiohttp import time import asyncio import zlib import json, ujson import hmac import base64 import hashlib import traceback import urllib from urllib import parse from urllib.parse import urljoin import datetime, sys from urllib.parse import urlparse import logging, logging.handlers import utils import logging, logging.handlers import model from decimal import Decimal def empty_call(msg): print(f'空的回调函数 {msg}') class CoinExUsdtSwapRest: def __init__(self, params:model.ClientParams, colo=0): if colo: print('不支持colo高速线路') self.HOST = 'https://api.coinex.com' else: self.HOST = 'https://api.coinex.com' self.params = params self.name = self.params.name self.base = self.params.pair.split('_')[0].upper() self.quote = self.params.pair.split('_')[1].upper() self.symbol = self.base + self.quote self._SESSIONS = dict() self.logger = self.get_logger() self.callback = { "onMarket":empty_call, "onPosition":empty_call, "onOrder":empty_call, "onEquity":empty_call, "onTicker":empty_call, "onDepth":empty_call, "onExit":empty_call, } self.exchange_info = dict() self.tickSize = None self.stepSize = None self.delays = [] self.max_delay = 0 self.avg_delay = 0 self.proxy = None if 'win' in sys.platform: self.proxy = self.params.proxy self.logger = self.get_logger() self.mp_from_rest = None self.stop_flag = 0 self.coin_value = 0.0 self.cash_value = 0.0 self.min_trade_amount = 0.0 #### 指定发包ip iplist = utils.get_local_ip_list() self.ip = iplist[int(self.params.ip)] def get_logger(self): logger = logging.getLogger(__name__) logger.setLevel(logging.DEBUG) # log to txt formatter = logging.Formatter('[%(asctime)s] - %(levelname)s - %( message)s') handler = logging.handlers.RotatingFileHandler(f"log.log",maxBytes=1024*1024) handler.setLevel(logging.DEBUG) handler.setFormatter(formatter) logger.addHandler(handler) return logger def get_logger(self): logger = logging.getLogger(__name__) logger.setLevel(logging.DEBUG) # log to txt formatter = logging.Formatter('[%(asctime)s] - %(levelname)s - %(message)s') handler = logging.handlers.RotatingFileHandler("log.log",maxBytes=1024*1024,encoding='utf-8') handler.setLevel(logging.DEBUG) handler.setFormatter(formatter) # log to console console = logging.StreamHandler() console.setLevel(logging.WARNING) logger.addHandler(handler) logger.addHandler(console) return logger def _get_session(self, url): parsed_url = urlparse(url) key = parsed_url.netloc or parsed_url.hostname if key not in self._SESSIONS: tcp = aiohttp.TCPConnector(limit=50,keepalive_timeout=120,verify_ssl=False,local_addr=(self.ip,0)) session = aiohttp.ClientSession(connector=tcp) self._SESSIONS[key] = session return self._SESSIONS[key] def get_sign(self, params, secret_key): sort_params = params data = [] for item in sort_params: data.append(item + '=' + str(params[item])) str_params = "{0}&secret_key={1}".format('&'.join(data), secret_key) token = hashlib.sha256(str_params.encode("utf8")).hexdigest() return token async def _request(self, method, uri, body=None, params=None, auth=False): url = urljoin(self.HOST, uri) headers = {} if auth: if method in ['GET','DELETE']: params['timestamp'] = int(time.time()*1000) headers = { 'Authorization':self.get_sign(params, self.params.secret_key), 'Content-Type': 'application/json; charset=utf-8', 'Accept': 'application/json', 'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/60.0.3112.90 Safari/537.36', "AccessId":self.params.access_key } elif method == 'POST': body['timestamp'] = int(time.time()*1000) headers = { 'Authorization':self.get_sign(body, self.params.secret_key), 'Content-Type': 'application/json; charset=utf-8', 'Accept': 'application/json', 'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/60.0.3112.90 Safari/537.36', "AccessId":self.params.access_key } # 发起请求 session = self._get_session(url) timeout = aiohttp.ClientTimeout(10) msg = "rest请求记录" + str(method) + str(url) + str(params) + str(body) self.logger.debug(msg) try: start_time = time.time() if method == "GET": response = await session.get(url, params=params, headers=headers, timeout=timeout, proxy=self.proxy) elif method == "POST": response = await session.post(url, data=body, headers=headers, timeout=timeout, proxy=self.proxy) elif method == "DELETE": response = await session.delete(url, params=params, data=body, headers=headers, timeout=timeout, proxy=self.proxy) code = response.status res = await response.json(content_type=None) delay = int(1000*(time.time() - start_time)) self.delays.append(delay) self.get_delay_info() res_msg = msg + f' 回报 {res}' self.logger.debug(res_msg) if code not in (200, 201, 202, 203, 204, 205, 206) or res['code'] not in (0,200): print(f'URL:{url} PARAMS:{params} body:{body} ERROR:{res}') return None, res return res, None except Exception as e: print(f'{self.name} rest 请求出错', str(e)) self.logger.error(f'请求错误 {msg}'+str(e)) self.logger.error(traceback.format_exc()) return None, e async def get_position(self): response, error = await self._request('GET', '/perpetual/v1/position/pending', params={"market":self.symbol}, auth=1) if error: print(error) if response: position = model.Position() for i in response['data']: side = i['side'] pos = float(i['amount']) price = float(i['open_price']) if side == 1: position.shortPos = pos position.shortAvg = price elif side == 2: position.longPos = pos position.longAvg = price return position async def buy_token(self): '''买入平台币''' pass async def check_position(self, hold_coin=0.0): ''' 现货交易 已支持全品种 ''' try: ####################### self.logger.info("清空挂单") params = { 'market':self.symbol, 'side':0, } response, error = await self._request('POST', '/perpetual/v1/order/cancel_all', body=params, auth=1) if error: self.logger.info(error) ############################# self.logger.info("清空仓位") res, err = await self._request('GET', '/perpetual/v1/position/pending', params={}, auth=1) if err: self.logger.info(err) if res: for i in res['data']: if abs(float(i['close_left'])) > 0.0: params = { "market":i['market'], "position_id":i['position_id'], # "amount":i["amount"] } response, error = await self._request('POST', '/perpetual/v1/order/close_market', body=params, auth=1) if response: self.logger.info(response) if error: self.logger.info(error) await asyncio.sleep(1) params = { "market":i['market'], "position_id":i['position_id'], } response, error = await self._request('POST', '/perpetual/v1/position/market_close', body=params, auth=1) self.logger.info(response) self.logger.info(error) ####################### except: self.logger.error("清仓程序执行出错") self.logger.error(traceback.format_exc()) return async def take_order(self, symbol, amount, origin_side, price, cid="", order_type='limit'): ''' coinex swap 平仓需考虑最小下单量 只能通过close_position和position_id来平仓 ''' if origin_side =='kd': side = "2" elif origin_side =='pd': side = "1" elif origin_side =='kk': side = "1" elif origin_side =='pk': side = "2" else: print("合约不允许此交易方向") return None if symbol not in self.exchange_info: await self.before_trade() # amount = float(Decimal(str(amount//self.exchange_info[symbol].stepSize))*Decimal(str(self.exchange_info[symbol].stepSize))) # price = float(Decimal(str(price//self.exchange_info[symbol].tickSize))*Decimal(str(self.exchange_info[symbol].tickSize))) amount = utils.fix_amount(amount, self.exchange_info[symbol].stepSize) price = utils.fix_price(price, self.exchange_info[symbol].tickSize) if float(amount) <= self.min_trade_amount: # self.logger.error(f'下单参数错误 amount:{amount}') order_event = dict() order_event['status'] = "REMOVE" order_event['filled_price'] = 0.0 order_event['fee'] = 0.0 order_event['filled'] = 0.0 order_event['client_id'] = cid self.callback["onOrder"](order_event) return None if float(price) <= 0.0: self.logger.error(f'下单参数错误 price:{price}') order_event = dict() order_event['status'] = "REMOVE" order_event['filled_price'] = 0.0 order_event['fee'] = 0.0 order_event['filled'] = 0.0 order_event['client_id'] = cid self.callback["onOrder"](order_event) return None params = { 'client_id':cid, 'market': symbol, 'amount':utils.num_to_str(amount, self.exchange_info[symbol].stepSize), 'side': side, 'price':utils.num_to_str(price, self.exchange_info[symbol].tickSize), } if self.params.debug == 'True': return await asyncio.sleep(0.1) else: # 发单 if order_type == 'limit': response, error = await self._request('POST', '/perpetual/v1/order/put_limit', body=params, auth=1) elif order_type == 'market': response, error = await self._request('POST', '/perpetual/v1/order/put_market', body=params, auth=1) # 再更新 if response: # 增加新的 if 'data' in response: order_event = dict() order_event['status'] = "NEW" order_event['client_id'] = params["client_id"] order_event['order_id'] = response['data']["order_id"] self.callback["onOrder"](order_event) if error: # coinex swap 有时候返回错误也下单成功 很危险 order_event = dict() order_event['status'] = "REMOVE" order_event['filled_price'] = 0.0 order_event['fee'] = 0.0 order_event['filled'] = 0.0 order_event['client_id'] = params["client_id"] self.callback["onOrder"](order_event) return response async def cancel_order(self, order_id=None, client_id=None): if order_id: response, error = await self._request('POST', f'/perpetual/v1/order/cancel', body={'market':self.symbol,'order_id':order_id}, auth=1) elif client_id: response, error = await self._request('POST', f'/perpetual/v1/order/cancel', body={'market':self.symbol,'order_id':client_id}, auth=1) else: raise Exception("撤单出错 没指定订单号") if response: self.logger.debug(f'撤单回报 {response}') # order_event = dict() # order_event['status'] = "REMOVE" # order_event['filled_price'] = float(response['data']['price']) # order_event['fee'] = float(response['data']["deal_fee"]) # order_event['filled'] = float(response['data']['amount']) - float(response['data']['left']) # order_event['client_id'] = response['data']["client_id"] # self.callback["onOrder"](order_event) if error: print("撤单失败",error) self.logger.error(error) return response async def check_order(self, order_id=None, client_id=None): if order_id: response, error = await self._request('GET', f'/perpetual/v1/order/status', params={'market':self.symbol, 'order_id':order_id}, auth=1) elif client_id: response, error = await self._request('GET', f'/perpetual/v1/order/status', params={'market':self.symbol, 'order_id':client_id}, auth=1) else: return if response: self.logger.debug(f'查单回报 {response}') if response['data']: order_event = dict() if response["data"]['status'] in ['cancel','done']: order_event['status'] = "REMOVE" else: order_event['status'] = "NEW" order_event['price'] = float(response["data"]["price"]) order_event['amount'] = float(response["data"]["amount"]) order_event['filled'] = float(response["data"]["amount"])-float(response["data"]["left"]) order_event['filled_price'] = float(response["data"]["price"]) order_event['client_id'] = response["data"]["client_id"] order_event['order_id'] = response["data"]['order_id'] order_event['fee'] = float(response["data"]['deal_fee']) self.callback["onOrder"](order_event) if error: print("查单失败",error) self.logger.error(error) return response async def get_order_list(self): params = { 'market':self.symbol, 'offset':100, "side":0, 'limit':100, } response, error = await self._request('GET', '/perpetual/v1/order/pending', params=params, auth=1) if response is not None: for i in response['data']['records']: order_event = dict() order_event['symbol'] = self.symbol order_event['price'] = float(i["price"]) order_event['amount'] = float(i["amount"]) order_event['filled'] = float(i["amount"])-float(i["left"]) order_event['filled_price'] = float(i["avg_price"]) order_event['client_id'] = i["clientOid"] order_event['order_id'] = i['id'] asset_fee = float(response['data']["asset_fee"]) money_fee = float(response['data']["money_fee"]) stock_fee = float(response['data']["stock_fee"]) if asset_fee > 0.0: # 非amm品种 order_event['fee'] = asset_fee else: # amm品种 order_event['fee'] = money_fee if money_fee > 0.0 else stock_fee if response["data"]['status'] == 'not_deal': order_event['status'] = "NEW" elif response["data"]['status'] in ['cancel','done']: order_event['status'] = "REMOVE" else: s = response["data"]['status'] self.logger.error(f"错误的订单状态 {s}") self.callback["onOrder"](order_event) if error: print(error) return response async def get_server_time(self): params = {} response = await self._request('GET', '/perpetual/api/v1/timestamp', params=params) return response async def get_account(self): return await self._request('GET','/perpetual/v1/asset/query', params={}, auth=1) async def get_market_details(self): return await self._request('GET',f'/perpetual/v1/market/list', params={}, auth=0) async def get_ticker(self): res ,err = await self._request('GET',f'/perpetual/v1/market/depth', params={"market":self.symbol,'merge':'0.00000001'}, auth=0) if res: ap = float(res["data"]['asks'][0][0]) bp = float(res["data"]['bids'][0][0]) mp = (ap+bp)*0.5 d = {"name":self.name,'mp': mp, 'bp':bp, 'ap':ap} self.callback['onTicker'](d) return d if err: self.logger.error(err) return None async def before_trade(self): # 切换杠杆 await self.change_position_side() # 获取市场最新价格 res = await self.get_ticker() ticker_price = res["mp"] if isinstance(ticker_price, float): self.mp_from_rest = ticker_price # 获取市场基本情况 res, error = await self.get_market_details() if error: pass else: for i in res['data']: if i['name'] == self.symbol: self.stepSize = float(Decimal("0.1")**Decimal(i["amount_prec"])) self.tickSize = float(Decimal("0.1")**Decimal(i["money_prec"])) self.min_trade_amount = float(i['amount_min']) #### 保存交易规则信息 exchange_info = model.ExchangeInfo() exchange_info.symbol = i['name'] exchange_info.multiplier = 1 exchange_info.tickSize = float(Decimal("0.1")**Decimal(i["money_prec"])) exchange_info.stepSize = float(Decimal("0.1")**Decimal(i["amount_prec"])) self.exchange_info[exchange_info.symbol] = exchange_info async def get_equity(self): # 更新账户 res, err = await self.get_account() if err:print(err) if res: for i in res["data"]: if self.quote == i: cash = float(res['data'][i]['available'])+ float(res['data'][i]['frozen'])+ float(res['data'][i]['margin'])+float(res['data'][i]['profit_unreal']) self.callback['onEquity']({ self.quote:cash }) self.cash_value = cash async def change_position_side(self): res ,err = await self._request('POST',f'/perpetual/v1/market/adjust_leverage', body={"market":self.symbol,'leverage':10,"position_type":2}, auth=1) if err:print(err) if res:print(res) async def go(self): interval = 60 # 不能太快防止占用限频 await self.before_trade() await asyncio.sleep(1) while 1: try: # 停机信号 if self.stop_flag:return # 更新账户 res, err = await self.get_account() if err:print(err) if res: for i in res["data"]: if self.quote == i: cash = float(res['data'][i]['available'])+float(res['data'][i]['frozen'])+float(res['data'][i]['margin'])+ float(res['data'][i]['profit_unreal']) self.callback['onEquity']({ self.quote:cash }) self.cash_value = cash # 更新仓位 res, err = await self._request('GET', '/perpetual/v1/position/pending', params={"market":self.symbol}, auth=1) if err: self.logger.info(err) if res: p = model.Position() for i in res['data']: if i['side'] == 1:# sell p.shortPos = float(i['amount']) p.shortAvg = float(i['open_price']) if i['side'] == 2:# buy p.longPos = float(i['amount']) p.longAvg = float(i['open_price']) self.callback['onPosition'](p) await asyncio.sleep(interval) # 打印延迟 self.logger.debug(f'报单延迟 平均{self.avg_delay}ms 最大{self.max_delay}ms') except: traceback.print_exc() await asyncio.sleep(10) def get_delay_info(self): if len(self.delays) > 100: self.delays = self.delays[-100:] if max(self.delays) > self.max_delay:self.max_delay = max(self.delays) self.avg_delay = round(sum(self.delays)/len(self.delays),1) async def handle_signals(self, orders): '''执行策略指令''' try: for order_name in orders: if 'Cancel' in order_name: # cid = orders[order_name][0] oid = orders[order_name][1] # 只能用oid撤单 if oid: asyncio.get_event_loop().create_task(self.cancel_order(order_id=oid)) for order_name in orders: if 'Limits' in order_name: for i in orders[order_name]: asyncio.get_event_loop().create_task(self.take_order( self.symbol, i[0], i[1], i[2], i[3] )) for order_name in orders: if 'Check' in order_name: # cid = orders[order_name][0] oid = orders[order_name][1] # 只能用oid查单 if oid: asyncio.get_event_loop().create_task(self.check_order(order_id=oid)) except Exception as e: traceback.print_exc() self.logger.error("执行信号出错"+str(e)) await asyncio.sleep(0.1)