import aiohttp import time import asyncio import zlib import json, ujson import zlib import hashlib import hmac import base64 import traceback import random, csv, sys, utils import logging, logging.handlers import model def empty_call(msg): pass class CoinExUsdtSwapWs: def __init__(self, params:model.ClientParams, colo=0, is_print=0): if colo: print('不支持colo高速线路') self.URL = 'wss://perpetual.coinex.com/' else: self.URL = 'wss://perpetual.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.data = dict() self.data['trade'] = [] self.on_trade_ratio = 5.0 self.on_trade_value = 1000000.0 self.trade_mean = 0.0 self.data['force'] = [] self.callback = { "onMarket":self.save_market, "onPosition":empty_call, "onEquity":empty_call, "onOrder":empty_call, "onTicker":empty_call, "onDepth":empty_call, "onExit":empty_call, } self.is_print = is_print self.proxy = None if 'win' in sys.platform: self.proxy = self.params.proxy self.logger = self.get_logger() self.ticker_info = {"name":self.name,'bp':0.0,'ap':0.0} self.stop_flag = 0 self.max_buy = 0.0 self.min_sell = 0.0 self.buy_v = 0.0 self.buy_q = 0.0 self.sell_v = 0.0 self.sell_q = 0.0 self.depth = [] #### 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 save_market(self, msg): date = time.strftime('%Y-%m-%d',time.localtime()) interval = self.params.interval if msg: exchange = msg['name'] if len(msg['data']) > 1: with open(f'./history/{exchange}_{self.symbol}_{interval}_{date}.csv', 'a', newline='', encoding='utf-8') as f: writer = csv.writer(f, delimiter=',') writer.writerow(msg['data']) if self.is_print:print(f'写入行情 {self.symbol}') def _update_depth(self, msg): self.public_update_time = time.time() msg = ujson.loads(msg) self.ticker_info["bp"] = float(msg['params'][1]['bids'][0][0]) self.ticker_info["ap"] = float(msg['params'][1]['asks'][0][0]) self.callback['onTicker'](self.ticker_info) ##### 标准化深度 mp = (self.ticker_info["bp"] + self.ticker_info["ap"])*0.5 step = mp * utils.EFF_RANGE / utils.LEVEL bp = [] ap = [] bv = [0 for _ in range(utils.LEVEL)] av = [0 for _ in range(utils.LEVEL)] for i in range(utils.LEVEL): bp.append(self.ticker_info["bp"]-step*i) for i in range(utils.LEVEL): ap.append(self.ticker_info["ap"]+step*i) # price_thre = self.ticker_info["bp"] - step index = 0 for bid in msg['params'][1]['bids']: price = float(bid[0]) amount = float(bid[1]) if price > price_thre: bv[index] += amount else: price_thre -= step index += 1 if index == utils.LEVEL: break bv[index] += amount price_thre = self.ticker_info["ap"] + step index = 0 for ask in msg['params'][1]['asks']: price = float(ask[0]) amount = float(ask[1]) if price < price_thre: av[index] += amount else: price_thre += step index += 1 if index == utils.LEVEL: break av[index] += amount self.depth = bp + bv + ap + av self.callback['onDepth']({'name':self.name,'data':self.depth}) def _update_trade(self, msg): self.public_update_time = time.time() msg = json.loads(msg) for i in msg['params'][1]: side = i["type"] price = float(i["price"]) amount = float(i['amount']) if price > self.max_buy or self.max_buy == 0.0: self.max_buy = price if price < self.min_sell or self.min_sell == 0.0: self.min_sell = price if side == 'buy': self.buy_q += amount self.buy_v += amount*price elif side == 'sell': self.sell_q += amount self.sell_v += amount*price def _update_account(self, msg): msg = ujson.loads(msg) for i in msg['params'][0]: if self.quote == i: cash = float(msg['params'][0][self.quote]['available'])+float(msg['params'][0][self.quote]['frozen'])+\ float(msg['params'][0][self.quote]['margin'])+float(msg['params'][0][self.quote]['profit_unreal']) self.callback['onEquity'] = { self.quote:cash } def _update_order(self, msg): self.logger.debug("ws推送订单"+msg) msg = ujson.loads(msg) event_type = msg['params'][0] event = msg['params'][1] if event_type == 1: # 新增订单 order_event = dict() order_event['filled'] = 0.0 order_event['filled_price'] = 0.0 order_event['client_id'] = event["client_id"] order_event['order_id'] = event['order_id'] order_event['status'] = "NEW" self.callback["onOrder"](order_event) elif event_type == 3: # 删除订单 order_event = dict() order_event['filled'] = float(event["amount"]) - float(event["left"]) order_event['filled_price'] = float(event["price"]) order_event['fee'] = float(event["deal_fee"]) order_event['client_id'] = event["client_id"] order_event['order_id'] = event['order_id'] order_event['status'] = "REMOVE" self.callback["onOrder"](order_event) def _update_position(self, msg): long_pos, short_pos = 0, 0 long_avg, short_avg = 0, 0 msg = ujson.loads(msg) msg = msg['params'][1] if msg['market'] == self.symbol: side = msg['side'] pos = float(msg['amount']) price = float(msg['open_price']) if side == 1: short_pos = pos short_avg = price elif side == 2: long_pos = pos long_avg = price pos = model.Position() pos.longPos = long_pos pos.longAvg = long_avg pos.shortPos = short_pos pos.shortAvg = short_avg self.callback['onPosition'](pos) def _get_data(self): market_data = self.depth + [self.max_buy, self.min_sell] self.max_buy = 0.0 self.min_sell = 0.0 self.buy_v = 0.0 self.buy_q = 0.0 self.sell_v = 0.0 self.sell_q = 0.0 return {'name': self.name,'data':market_data} async def go(self): interval = float(self.params.interval) if self.is_print:print(f'Ws循环器启动 interval {interval}') ### onTrade while 1: try: # 更新市场信息 market_data = self._get_data() self.callback['onMarket'](market_data) except: traceback.print_exc() await asyncio.sleep(interval) async def run(self, is_auth=0, sub_trade=0, sub_fast=0): ping_time = time.time() while True: try: # 尝试连接 print(f'{self.name} 尝试连接ws') # 登陆 ws_url = self.URL async with aiohttp.ClientSession( connector = aiohttp.TCPConnector( limit=50, keepalive_timeout=120, verify_ssl=False, local_addr=(self.ip,0) ) ).ws_connect( ws_url, proxy=self.proxy, timeout=30, receive_timeout=30, ) as _ws: print(f'{self.name} ws连接成功') self.logger.info(f'{self.name} ws连接成功') # 订阅 coinex 合约行情 symbol = self.symbol.upper() # 鉴权 if is_auth: current_time = int(time.time()*1000) sign_str = f"access_id={self.params.access_key}×tamp={current_time}&secret_key={self.params.secret_key}" md5 = hashlib.sha256(sign_str.encode()) param = { "id": 1, "method": "server.sign", "params": [self.params.access_key, md5.hexdigest().lower(), current_time] } await _ws.send_str(ujson.dumps(param)) res = await _ws.receive(timeout=30) self.logger.info(res) # 订阅资产 sub_str = ujson.dumps({"id": 1, "method": "asset.subscribe","params": [self.quote]}) await _ws.send_str(sub_str) # 订阅订单 sub_str = ujson.dumps({"id": 1, "method": "order.subscribe","params": [symbol]}) await _ws.send_str(sub_str) # 订阅仓位 sub_str = ujson.dumps({"id": 1, "method": "position.subscribe","params": [symbol]}) await _ws.send_str(sub_str) if sub_trade: # 订阅公开成交 sub_str = ujson.dumps({"id": 1, "method": "deals.subscribe","params": [symbol]}) await _ws.send_str(sub_str) # 订阅深度 sub_str = ujson.dumps({"id": 1, "method": "depth.subscribe","params": [symbol, 50, "0.000000001", False]}) await _ws.send_str(sub_str) while True: # 停机信号 if self.stop_flag: await _ws.close() return # 接受消息 try: msg = await _ws.receive(timeout=30) except asyncio.CancelledError: print('ws取消') return except asyncio.TimeoutError: print(f'{self.name} ws长时间没有收到消息 准备重连...') self.logger.error(f'{self.name} ws长时间没有收到消息 准备重连...') break except: print(f'{self.name} ws出现错误 准备重连...') self.logger.error(f'{self.name} ws出现错误 准备重连...') self.logger.error(traceback.format_exc()) break msg = msg.data # print(msg) # 处理消息 if 'depth.update' in msg:self._update_depth(msg) elif 'deals.update' in msg:self._update_trade(msg) elif 'asset.update' in msg:self._update_account(msg) elif 'order.update' in msg:self._update_order(msg) elif 'position.update' in msg:self._update_position(msg) else: print(msg) pass if ping_time - time.time() > 60: ping_time = time.time() sub_str = ujson.dumps({"id": 1, "method": "server.ping","params": []}) await _ws.send_str(sub_str) except: _ws = None traceback.print_exc() print(f'{self.name} ws连接失败 开始重连...') self.logger.error(f'{self.name} ws连接失败 开始重连...') # await asyncio.sleep(1)