py-as-zhong/exchange/huobi_spot_ws.py

import aiohttp
import time
import asyncio
import zlib
import json
import zlib
import hashlib
import hmac
import base64
import traceback
import random
import gzip, csv, sys
import logging, logging.handlers
import utils
import model

def empty_call(msg):
    pass




class HuobiSpotWs:

    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://api.huobi.pro/ws'
        else:
            self.URL = 'wss://api.huobi.pro/ws'
        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.data['force'] = []
        self.callback = {
            "onMarket":self.save_market,
            "onPosition":empty_call,
            "onEquity":empty_call,
            "onOrder":empty_call,
            "onTicker":empty_call,
            "onDepth":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.stop_flag = 0
        self.ticker_info = {"name":self.name,'bp':0.0,'ap':0.0}
        self.public_update_time = time.time()
        self.private_update_time = time.time()
        self.expired_time = 300
        self.update_t = 0.0
        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}')

    async def get_sign(self):
        headers = {}
        headers['Content-Type'] = 'application/json'
        headers['X-MBX-APIKEY'] = self.params.access_key
        params = {
            'timestamp':int(time.time())*1000,
            'recvWindow':5000,
        }
        query_string = "&".join(["{}={}".format(k, params[k]) for k in sorted(params.keys())])
        signature = hmac.new(self.params.secret_key.encode(), msg=query_string.encode(), digestmod=hashlib.sha256).hexdigest()
        params['signature']=signature
        url = 'https://fapi.binance.com/fapi/v1/listenKey'
        session = aiohttp.ClientSession()
        response = await session.post(
            url, 
            params=params,
            headers=headers, 
            timeout=5, 
            proxy=self.proxy
            )
        login_str = await response.text()
        await session.close()
        return eval(login_str)['listenKey']

    def _update_depth(self, msg):
        if msg['ts'] > self.update_t:
            self.update_t = msg['ts']
            ####
            self.ticker_info["bp"] = float(msg['tick']['bids'][0][0])
            self.ticker_info["ap"] = float(msg['tick']['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['tick']['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['tick']['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})
        else:
            self.logger.debug(f"depth时间戳错误 {self.update_t}")
    
    def _update_trade(self, msg):
        for i in msg['tick']['data']:
            side = i['direction']
            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
            #### 修正ticker ####
            # if side == 'buy' and price > self.ticker_info['ap']:
            #     self.ticker_info['ap'] = price
            #     self.callback['onTicker'](self.ticker_info)
            # if side == 'sell' and price < self.ticker_info['bp']:
            #     self.ticker_info['bp'] = price
            #     self.callback['onTicker'](self.ticker_info)

    def _update_account(self, msg):
        msg = eval(msg)
        for i in msg['a']['B']:
            if i['a'] == 'USDT':
                self.data['equity'] = float(i['wb'])
        self.callback['onEquity'](self.data['equity'])
    
    def _update_order(self, msg):
        msg = json.loads(msg)
        i = msg['o']
        if i['s'] == self.symbol:
            if i['X'] == 'NEW':  # 新增订单
                pass
                # self.callback['onOrder']({"newOrder":newOrder})
            if i['X'] == 'FILLED':  # 删除订单
                self.callback['onOrder']({"deleteOrder":i['i']})
            if i['X'] == 'CANCELED':  # 删除订单
                self.callback['onOrder']({"deleteOrder":i['i']})

    def _update_position(self, msg):
        long_pos, short_pos = 0, 0
        long_avg, short_avg = 0, 0 
        msg = eval(msg)
        for i in msg['a']['P']:
            if i['s'] == self.symbol:
                if i['ps'] == 'LONG':
                    long_pos += float(i['pa'])
                    long_avg = float(i['ep'])
                if i['ps'] == 'SHORT':
                    short_pos += float(i['pa'])
                    short_avg = float(i['ep'])
        pos = model.Position()
        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):
        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')
                    # 订阅
                    symbol = self.symbol.lower()
                    channels=[
                        f"market.{symbol}.depth.step0",                        
                        ]
                    if sub_trade:
                        channels.append(f"market.{symbol}.trade.detail")
                    for i in channels:
                        sub_str = json.dumps({"sub": i})
                        await _ws.send_str(sub_str)
                    while True:
                        # 停机信号
                        if self.stop_flag:return
                        # 接受消息
                        try:
                            msg = await _ws.receive(timeout=10)
                        except:
                            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
                        msg = json.loads(gzip.decompress(msg.data).decode())
                        # print(msg)
                        # 处理消息
                        if 'ch' in msg:
                            if 'depth' in msg['ch']:self._update_depth(msg)
                            if 'trade' in msg['ch']:self._update_trade(msg)
                            # if 'ACCOUNT_UPDATE' in msg:self._update_position(msg)
                            # if 'ACCOUNT_UPDATE' in msg:self._update_account(msg)
                            # if 'ORDER_TRADE_UPDATE' in msg:self._update_order(msg)
                        if 'ping' in msg:
                            await _ws.send_str(json.dumps({"pong":int(time.time())*1000}))
            except:
                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)