LICENSE

@@ -1,6 +1,6 @@
 The MIT License (MIT)
 
-Copyright (c) 2015-present, Xiaoyou Chen
+Copyright (c) 2015-present, vn-crypto
 
 Permission is hereby granted, free of charge, to any person obtaining a copy
 of this software and associated documentation files (the "Software"), to deal

README.md

@@ -5,12 +5,15 @@
 </p>
 
 <p align="center">
-    <img src ="https://img.shields.io/badge/version-2021.9.24-blueviolet.svg"/>
+    <img src ="https://img.shields.io/badge/version-2021.10.25-blueviolet.svg"/>
     <img src ="https://img.shields.io/badge/platform-windows|linux|macos-yellow.svg"/>
     <img src ="https://img.shields.io/badge/python-3.7-blue.svg" />
     <img src ="https://img.shields.io/github/license/vnpy/vnpy.svg?color=orange"/>
 </p>
 
+关于使用VeighNa框架进行Crypto交易的话题，新开了一个[Github Discussions论坛](https://github.com/vn-crypto/vnpy_crypto/discussions)，欢迎通过这里来进行讨论交流。
+
+
 ## 说明
 
 基于FTX交易所的API开发，支持账户下的现货、期货、永续交易。
@@ -19,7 +22,7 @@
 
 ## 安装
 
-安装需要基于2.6.0版本以上的[VN Studio](https://www.vnpy.com)。
+安装需要基于2.7.0版本以上的[VN Studio](https://www.vnpy.com)。
 
 直接使用pip命令：
 

setup.cfg

@@ -1,10 +1,10 @@
  [metadata]
 name = vnpy_ftx
-version = 2021.9.24
+version = 2021.10.25
 url = https://www.vnpy.com
 license = MIT
-author = Xiaoyou Chen
-author_email = xiaoyou.chen@mail.vnpy.com
+author = vn-crypto
+author_email = vn.crypto@outlook.com
 description = FTX gateway for vn.py quant trading framework.
 long_description = file: README.md
 long_description_content_type = text/markdown

vnpy_ftx/__init__.py

@@ -1,6 +1,6 @@
 # The MIT License (MIT)
 #
-# Copyright (c) 2015-present, Xiaoyou Chen
+# Copyright (c) 2015-present, vn-crypto
 #
 # Permission is hereby granted, free of charge, to any person obtaining a copy
 # of this software and associated documentation files (the "Software"), to deal
@@ -22,7 +22,7 @@
 
 import importlib_metadata
 
-from .ftx_gateway import FtxGateways
+from .ftx_gateway import FtxGateway
 
 
 try:

vnpy_ftx/ftx_gateway.py

@@ -35,6 +35,7 @@
 
 from vnpy_websocket import WebsocketClient
 from vnpy_rest import Request, RestClient
+from vnpy_rest.rest_client import Response
 
 
 # 中国时区
@@ -57,7 +58,8 @@
 # 买卖方向映射
 DIRECTION_VT2FTX = {
     Direction.LONG: "buy",
-    Direction.SHORT: "sell"
+    Direction.SHORT: "sell",
+    Direction.NET: "net"
 }
 
 DIRECTION_FTX2VT = {v: k for k, v in DIRECTION_VT2FTX.items()}
@@ -70,15 +72,23 @@
 
 PRODUCTTYPE_FTX2VT = {v: k for k, v in PRODUCTTYPE_VT2FTX.items()}
 
-INTERVAL_VT2FTX = {
+# 窗口长度映射
+WINDOW_VT2FTX = {
     Interval.MINUTE: 60,
     Interval.HOUR: 3600,
     Interval.DAILY: 86400,
     Interval.WEEKLY: 604800
 }
 
-INTERVAL_FTX2VT = {v: k for k, v in INTERVAL_VT2FTX.items()}
+WINDOW_FTX2VT = {v: k for k, v in WINDOW_VT2FTX.items()}
 
+# 历史数据长度限制映射
+LMIMIT_VT2FTX = {
+    Interval.MINUTE: 950,
+    Interval.HOUR: 1400,
+    Interval.DAILY: 1400,
+    Interval.WEEKLY: 1400
+}
 
 # 合约数据全局缓存字典
 symbol_contract_map: Dict[str, ContractData] = {}
@@ -206,7 +216,7 @@ def unsubscribe(self, req: SubscribeRequest) -> None:
 
     def send_order(self, req: OrderRequest) -> None:
         """委托下单"""
-        self.rest_api.send_order(req)
+        return self.rest_api.send_order(req)
 
     def cancel_order(self, req: CancelRequest) -> None:
         """委托撤单"""
@@ -320,8 +330,8 @@ def connect(
         """连接REST服务器"""
         self.key = key
         self.secret = secret.encode()
-        self.proxy_port = proxy_host
-        self.proxy_host = proxy_port
+        self.proxy_host = proxy_host
+        self.proxy_port = proxy_port
 
         self.connect_time = (
             int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count
@@ -469,19 +479,17 @@ def on_query_account(self, data: dict, request: Request) -> None:
     def on_query_position(self, data: dict, request: Request) -> None:
         """持仓查询回报"""
         for d in data["result"]:
-            if d["entryPrice"] is not None:
-                position: PositionData = PositionData(
-                    symbol=d["future"],
-                    exchange=Exchange.FTX,
-                    direction=DIRECTION_FTX2VT[d["side"]],
-                    volume=float(d["size"]),
-                    price=float(d["entryPrice"]),
-                    pnl=float(d["unrealizedPnl"]),
-                    gateway_name=self.gateway_name,
-                )
+            position: PositionData = PositionData(
+                symbol=d["future"],
+                exchange=Exchange.FTX,
+                direction=DIRECTION_FTX2VT["net"],
+                volume=float(d["netSize"]),
+                price=0,
+                pnl=float(d["unrealizedPnl"]),
+                gateway_name=self.gateway_name,
+            )
 
-                if position.volume:
-                    self.gateway.on_position(position)
+            self.gateway.on_position(position)
 
         self.gateway.write_log("持仓信息查询成功")
 
@@ -584,40 +592,88 @@ def on_cancel_failed(self, status_code: str, request: Request):
 
     def query_history(self, req: HistoryRequest) -> List[BarData]:
         """查询历史数据"""
-        history = []
-        start = datetime.timestamp(req.start)
-        end = datetime.timestamp(req.end)
-        params = {
-            "resolution": INTERVAL_VT2FTX[req.interval],
-            "start_time": start,
-            "end_time": end
-        }
-        path = f"/api/markets/{req.symbol}/candles?"
+        history: List[BarData] = []
+        limit: int = LMIMIT_VT2FTX[req.interval]
 
-        resp = self.request(
-            "GET",
-            path,
-            data={"security": Security.NONE},
-            params=params
-        )
+        start: int = int(datetime.timestamp(req.start))
+        end: int = int(datetime.timestamp(req.end))
 
-        data = resp.json()
-        if not data:
-            return 0
-        for his_data in data["result"]:
-            bar = BarData(
-                symbol=req.symbol,
-                exchange=req.exchange,
-                datetime=datetime.utcfromtimestamp(his_data["time"] / 1000),
-                interval=req.interval,
-                volume=his_data["volume"],
-                open_price=his_data["open"],
-                high_price=his_data["high"],
-                low_price=his_data["low"],
-                close_price=his_data["close"],
-                gateway_name=self.gateway_name
+        tmp_start = max(start, end - WINDOW_VT2FTX[req.interval] * limit)
+
+        buf: List[BarData] = None
+
+        while True:
+            params = {
+                "resolution": WINDOW_VT2FTX[req.interval],
+                "start_time": tmp_start,
+                "end_time": end
+            }
+
+            path = f"/api/markets/{req.symbol}/candles?"
+
+            resp: Response = self.request(
+                "GET",
+                path,
+                data={"security": Security.NONE},
+                params=params
             )
-            history.append(bar)
+
+            # 如果请求失败则终止循环
+            if resp.status_code // 100 != 2:
+                msg: str = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
+                self.gateway.write_log(msg)
+                break
+            else:
+                data: dict = resp.json()
+                # 整个时间段内都未有数据，终止循环
+                if (not data["result"]) and (buf is None):
+                    stop_time = datetime.utcfromtimestamp(tmp_start)
+                    msg: str = f"获取历史数据为空，开始时间：{stop_time}"
+                    self.gateway.write_log(msg)
+                    break
+                # 剩下的时间端内不再有数据，终止循环
+                elif (not data["result"]) and (buf is not None):
+                    msg: str = "获取历史数据完成"
+                    self.gateway.write_log(msg)
+                    break
+
+                buf: List[BarData] = []
+
+                for his_data in data["result"]:
+                    bar = BarData(
+                        symbol=req.symbol,
+                        exchange=req.exchange,
+                        datetime=datetime.fromtimestamp(his_data["time"] / 1000, timezone.utc),
+                        interval=req.interval,
+                        volume=his_data["volume"],
+                        open_price=his_data["open"],
+                        high_price=his_data["high"],
+                        low_price=his_data["low"],
+                        close_price=his_data["close"],
+                        gateway_name=self.gateway_name
+                    )
+                    buf.append(bar)
+
+                begin: datetime = buf[0].datetime
+                end: datetime = buf[-1].datetime
+
+                buf = list(reversed(buf))
+                history.extend(buf)
+
+                msg: str = f"获取历史数据成功，{req.symbol} - {req.interval.value}，{begin} - {end}"
+                self.gateway.write_log(msg)
+
+                # 最后一段查询结束后终止
+                if tmp_start == start:
+                    msg: str = "获取历史数据完成"
+                    self.gateway.write_log(msg)
+                    break
+
+                # 更新下一个时间段
+                end = tmp_start
+                tmp_start = max(start, end - WINDOW_VT2FTX[req.interval] * limit)
+
+        history = list(reversed(history))
         return history
 
     def query_price(self, symbol: str) -> List:
@@ -682,7 +738,9 @@ def on_connected(self) -> None:
         self.authenticate(self.api_key, self.api_secret_key)
 
         for req in list(self.subscribed.values()):
-            self.subscribe(req)
+            self.resubscribe(req)
+
+        self.subscribe_private_channels()
 
     def on_disconnected(self) -> None:
         """"""
@@ -723,7 +781,6 @@ def subscribe(self, req: SubscribeRequest) -> None:
         self.send_packet(subscribe_ticker)
         subscribe_orderbook = {'op': 'subscribe', 'channel': 'orderbook', 'market': req.symbol}
         self.send_packet(subscribe_orderbook)
-        self.subscribe_private_channels()
 
     def unsubscribe(self, req: SubscribeRequest) -> None:
         """取消订阅行情"""
@@ -743,6 +800,18 @@ def unsubscribe(self, req: SubscribeRequest) -> None:
             self.orderbook.pop(symbol)
             self.holc.pop(symbol)
 
+    def resubscribe(self, req: SubscribeRequest) -> None:
+        """重连后订阅行情"""
+        if req.symbol not in symbol_contract_map:
+            self.gateway.write_log(f"找不到该合约代码{req.symbol}")
+            return
+
+        self.subscribed[req.vt_symbol] = req
+        subscribe_ticker = {'op': 'subscribe', 'channel': 'ticker', 'market': req.symbol}
+        self.send_packet(subscribe_ticker)
+        subscribe_orderbook = {'op': 'subscribe', 'channel': 'orderbook', 'market': req.symbol}
+        self.send_packet(subscribe_orderbook)
+
     def subscribe_private_channels(self) -> None:
         """订阅个人orders和fills行情"""
         self.send_packet({'op': 'subscribe', 'channel': 'fills'})
@@ -762,9 +831,9 @@ def on_packet(self, packet: Any) -> None:
         # 更新推送
         if packet["type"] == "update":
             channel = packet["channel"]
-            symbol = packet["market"]
 
             if channel == "ticker":
+                symbol = packet["market"]
                 self.holc[symbol]["last_price"] = packet["data"]["last"]
                 tm_mday = time.gmtime(packet["data"]["time"]).tm_mday
 
@@ -818,8 +887,6 @@ def on_packet(self, packet: Any) -> None:
                     self.gateway.on_tick(copy(tick))
 
             elif channel == "trades":
-                # self.last_price = packet["data"][0]["price"]
-                # self.last_volume = packet["data"][0]["size"]
                 pass
 
             elif channel == "fills":
@@ -837,6 +904,7 @@ def on_packet(self, packet: Any) -> None:
                 )
                 self.gateway.on_trade(trade)
                 self.gateway.query_position()
+                self.gateway.query_account()
 
             elif channel == "orders":
                 d = packet["data"]