py-as-zhong/exchange/coinex_usdt_swap_ws.py

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}&timestamp={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)