py-as-zhong/exchange/kucoin_spot_rest.py

import random
import aiohttp
import time
import asyncio
import zlib
import json
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 KucoinSpotRest:

    def __init__(self, params:model.ClientParams, colo=0):
        if colo:
            print('不支持colo高速线路')
            self.HOST = 'https://api.kucoin.com'
        else:
            self.HOST = 'https://api.kucoin.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 = {}
        self._SESSIONS = dict()
        self.logger = self.get_logger()
        self.data['account'] = {}
        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
        #### 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]

    async def _request(self, method, uri, body=None, params=None, auth=False):
        url = urljoin(self.HOST, uri)
        headers = {}
        if auth:
            now_time = int(time.time()) * 1000
            str_to_sign = str(now_time) + method + uri
            if method in ['GET', 'DELETE']:
                data_json = ''
                if params:
                    strl = []
                    for key in params:
                        strl.append("{}={}".format(key, params[key]))
                    data_json += '&'.join(strl)
                    str_to_sign += '?' + data_json
            else:
                if body:str_to_sign += body
            sign = base64.b64encode(hmac.new(self.params.secret_key.encode('utf-8'), str_to_sign.encode('utf-8'), hashlib.sha256).digest())
            passphrase = base64.b64encode(hmac.new(self.params.secret_key.encode('utf-8'), self.params.pass_key.encode('utf-8'), hashlib.sha256).digest())
            headers = {
                "KC-API-SIGN": sign.decode(),
                "KC-API-TIMESTAMP": str(now_time),
                "KC-API-KEY": self.params.access_key,
                "KC-API-PASSPHRASE": passphrase.decode(),
                "Content-Type": "application/json",
                "KC-API-KEY-VERSION": "2"
            }
        headers["User-Agent"] = "kucoin-python-sdk/v1.0"
        # 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, params=None, 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() 
            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 \
                int(res['code']) not in (200, 201, 202, 203, 204, 205, 206, 200000):
                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('请求错误'+str(e))
            self.logger.error(traceback.format_exc())
            return None, e

    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 = {
                'status':"active",
                'tradeType':'TRADE',
                'type':'limit'
            }
            response, error = await self._request('GET', '/api/v1/orders', params=params, auth=1)
            if response is not None:
                for i in response['data']['items']:
                    res = await self.cancel_order(order_id=i["id"])
                    self.logger.info(res)
            #######################
            self.logger.info("现货全平仓位")
            # 更新账户
            res, err = await self.get_account()
            if err:self.logger.info(err)
            if res:
                for i in res["data"]:
                    if i['type'] != 'trade':
                        continue
                    coin_name = i['currency']
                    symbol = coin_name + '-USDT'
                    if coin_name in ['USDT','KCS']:
                        continue
                    if coin_name == self.base:
                        _hold_coin = hold_coin
                    else:
                        _hold_coin = 0
                    coin = float(i['balance'])
                    #######################
                    ticker ,_ = await self._request('GET',f'/api/v1/market/orderbook/level1', params={"symbol":symbol}, auth=1)
                    if ticker:
                        ap = float(ticker["data"]["bestAsk"])
                        bp = float(ticker["data"]["bestBid"])
                        mp = (ap+bp)*0.5
                    else:
                        continue
                    coin_value = coin * mp
                    diff = _hold_coin - coin_value
                    diff *= 0.99 # 避免无法下单
                    self.logger.info(f'需要调整现货仓位{diff}usd')
                    if diff > 20.0:
                        self.logger.info( await self.take_order(
                                    symbol,
                                    diff/mp,
                                    "kd",
                                    1,
                                    utils.get_cid(),
                                    "market"
                                ))
                    elif diff < -20.0:
                        self.logger.info( await self.take_order(
                                    symbol,
                                    -diff/mp,
                                    "kk",
                                    1,
                                    utils.get_cid(),
                                    "market"
                                ))
                # #######################
        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'):
        if origin_side =='kd':
            side = 'buy'
        elif origin_side =='pd':
            side = 'sell'
        elif origin_side =='kk':
            side = 'sell'
        elif origin_side =='pk':
            side = 'buy'
        else:
            print("现货不允许此交易方向")
            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 amount <= 0: 
            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 price <= 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 = {
            'clientOid':cid,
            'symbol': symbol, 
            'size':utils.num_to_str(amount, self.exchange_info[symbol].stepSize),
            'side': side, 
            'price':utils.num_to_str(price, self.exchange_info[symbol].tickSize), 
            'type':order_type,
        }
        # logger.info(f'下单指令 {params}')
        if self.params.debug == 'True':
            return await asyncio.sleep(0.1)
        else:
            # 发单
            response, error = await self._request('POST', '/api/v1/orders', body=json.dumps(params), auth=1)
            # 再更新
            if response:
                # logger.info(f'下单回报 {response}')
                # 增加新的
                if 'data' in response:
                    order_event = dict()
                    order_event['status'] = "NEW"
                    order_event['client_id'] = params["clientOid"]
                    order_event['order_id'] = response['data']["orderId"]
                    self.callback["onOrder"](order_event)
            if error:
                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["clientOid"]
                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('DELETE', f'/api/v1/orders/{order_id}', auth=1)
        elif client_id:
            response, error = await self._request('DELETE', f'/api/v1/order/client-order/{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}')
            # 撤单成功不会返回成交信息 所以不触发回调
        if error:
            return error
            # print("撤单失败",error)
            # self.logger.error(error)
            # if client_id:await self.check_order(client_id=client_id)
            # if order_id:await self.check_order(order_id=order_id)
        return response
    
    async def check_order(self, order_id=None, client_id=None):
        if order_id:
            response, error = await self._request('GET', f'/api/v1/orders/{order_id}', auth=1)
        elif client_id:
            response, error = await self._request('GET', f'/api/v1/order/client-order/{client_id}', auth=1)
        else:
            return
        if response:
            self.logger.debug(f'查单回报 {response}')
            order_event = dict()
            if response["data"]['isActive'] == True:
                order_event['status'] = "NEW"
            elif response["data"]['isActive'] == False:
                order_event['status'] = "REMOVE"
            else:
                self.logger.error("错误的订单状态")
            order_event['price'] = float(response["data"]["price"])
            order_event['amount'] = float(response["data"]["size"])
            order_event['filled'] = float(response["data"]["dealSize"])
            order_event['filled_price'] = float(response["data"]["dealFunds"])/float(response["data"]["dealSize"]) if float(response["data"]["dealSize"]) > 0 else 0
            order_event['client_id'] = response["data"]["clientOid"]
            order_event['order_id'] = response["data"]['id']
            order_event['fee'] = float(response["fee"]) if "fee" in response else 0.0
            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 = {
            'symbol':self.symbol,
            'status':"active",
            'tradeType':'TRADE',
            'type':'limit'
        }
        response, error = await self._request('GET', '/api/v1/orders', params=params, auth=1)
        orders = [] # 重置本地订单列表
        if response is not None:
            for i in response['data']['items']:
                order_event = dict()
                order_event['symbol'] = self.symbol
                order_event['price'] = float(i["price"])
                order_event['amount'] = float(i["size"])
                order_event['filled'] = float(i["dealSize"])
                order_event['filled_price'] = float(i["dealFunds"])/float(i["dealSize"]) if float(i["dealSize"]) > 0 else 0
                order_event['client_id'] = i["clientOid"]
                order_event['order_id'] = i['id']
                order_event['fee'] = float(i["fee"]) if "fee" in i else 0.0
                if i['isActive'] == True:
                    order_event['status'] = "NEW"
                elif i['isActive'] == False:
                    order_event['status'] = "REMOVE"
                else:
                    self.logger.error("错误的订单状态")
                self.callback["onOrder"](order_event)
        if error:
            print(error)
        return response
    
    async def get_server_time(self):
        params = {}
        response = await self._request('GET', '/api/v1/timestamp', params=params)
        return response

    async def get_account(self):
        return await self._request('GET','/api/v1/accounts', body={"type":"trade","currency":self.base}, auth=1)

    async def get_market_details(self):
        return await self._request('GET',f'/api/v1/symbols', params={}, auth=1)

    async def get_ticker(self):
        res ,err = await self._request('GET',f'/api/v1/market/orderbook/level1', params={"symbol":self.symbol}, auth=1)
        if res:
            ap = float(res["data"]["bestAsk"])
            bp = float(res["data"]["bestBid"])
            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):
        # 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['symbol'] == self.symbol:
                    self.stepSize = float(i["baseIncrement"])
                    self.tickSize = float(i["priceIncrement"])
                #### 保存交易规则信息
                exchange_info = model.ExchangeInfo()
                exchange_info.symbol = i['symbol']
                exchange_info.multiplier = 1
                exchange_info.tickSize = float(i["priceIncrement"])
                exchange_info.stepSize = float(i["baseIncrement"])
                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 'USDT' == i['currency'] and i['type'] == 'trade':
                    self.data['equity'] = float(i['balance'])
                    self.callback['onEquity']({
                        self.quote:self.data['equity']
                    })
                    self.cash_value = self.data['equity']
                if i['currency'] == self.base and i['type'] == 'trade':
                    coin = float(i['balance'])
                    self.callback['onEquity']({
                        self.base:coin
                    })
                    self.coin_value = coin

    async def go(self):
        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['currency'] and i['type'] == 'trade':
                            self.data['equity'] = float(i['balance'])
                            self.callback['onEquity']({
                                self.quote:self.data['equity']
                            })
                        if i['currency'] == self.base and i['type'] == 'trade':
                            coin = float(i['balance'])
                            self.callback['onEquity']({
                                self.base:coin
                            })
                # 更新订单
                # res = await self.get_order_list()
                await asyncio.sleep(60)
                # 打印延迟
                self.logger.debug(f'报单延迟 平均{self.avg_delay}ms 最大{self.max_delay}ms')
                # 更新rest最新价格 用于风控 开启可能会干扰ws推送的价格
                # res = await self.get_ticker()
                # ticker_price = res["mp"]
                # if isinstance(ticker_price, float):
                #     self.mp_from_rest = ticker_price
            except:
                traceback.print_exc()
                await asyncio.sleep(10)

    def get_data(self):
        return self.data

    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]
                    if cid:
                        asyncio.get_event_loop().create_task(self.cancel_order(client_id=cid))
                    elif 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]
                    asyncio.get_event_loop().create_task(self.check_order(client_id=cid))
        except Exception as e:
            traceback.print_exc()
            self.logger.error("执行信号出错"+str(e))
            await asyncio.sleep(0.1)