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websocket_example.py
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websocket_example.py
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import asyncio
import websockets
import json
import requests
import hmac
import base64
import zlib
import datetime
import time
def get_timestamp():
now = datetime.datetime.now()
t = now.isoformat("T", "milliseconds")
return t + "Z"
def get_server_time():
url = "https://www.okex.com/api/v5/public/time"
response = requests.get(url)
if response.status_code == 200:
return response.json()['data'][0]['ts']
else:
return ""
def get_local_timestamp():
return int(time.time())
def login_params(timestamp, api_key, passphrase, secret_key):
message = timestamp + 'GET' + '/users/self/verify'
mac = hmac.new(bytes(secret_key, encoding='utf8'), bytes(message, encoding='utf-8'), digestmod='sha256')
d = mac.digest()
sign = base64.b64encode(d)
login_param = {"op": "login", "args": [{"apiKey": api_key,
"passphrase": passphrase,
"timestamp": timestamp,
"sign": sign.decode("utf-8")}]}
login_str = json.dumps(login_param)
return login_str
def partial(res):
data_obj = res['data'][0]
bids = data_obj['bids']
asks = data_obj['asks']
instrument_id = res['arg']['instId']
# print('全量数据bids为：' + str(bids))
# print('档数为：' + str(len(bids)))
# print('全量数据asks为：' + str(asks))
# print('档数为：' + str(len(asks)))
return bids, asks, instrument_id
def update_bids(res, bids_p):
# 获取增量bids数据
bids_u = res['data'][0]['bids']
# print('增量数据bids为：' + str(bids_u))
# print('档数为：' + str(len(bids_u)))
# bids合并
for i in bids_u:
bid_price = i[0]
for j in bids_p:
if bid_price == j[0]:
if i[1] == '0':
bids_p.remove(j)
break
else:
del j[1]
j.insert(1, i[1])
break
else:
if i[1] != "0":
bids_p.append(i)
else:
bids_p.sort(key=lambda price: sort_num(price[0]), reverse=True)
# print('合并后的bids为：' + str(bids_p) + '，档数为：' + str(len(bids_p)))
return bids_p
def update_asks(res, asks_p):
# 获取增量asks数据
asks_u = res['data'][0]['asks']
# print('增量数据asks为：' + str(asks_u))
# print('档数为：' + str(len(asks_u)))
# asks合并
for i in asks_u:
ask_price = i[0]
for j in asks_p:
if ask_price == j[0]:
if i[1] == '0':
asks_p.remove(j)
break
else:
del j[1]
j.insert(1, i[1])
break
else:
if i[1] != "0":
asks_p.append(i)
else:
asks_p.sort(key=lambda price: sort_num(price[0]))
# print('合并后的asks为：' + str(asks_p) + '，档数为：' + str(len(asks_p)))
return asks_p
def sort_num(n):
if n.isdigit():
return int(n)
else:
return float(n)
def check(bids, asks):
# 获取bid档str
bids_l = []
bid_l = []
count_bid = 1
while count_bid <= 25:
if count_bid > len(bids):
break
bids_l.append(bids[count_bid-1])
count_bid += 1
for j in bids_l:
str_bid = ':'.join(j[0 : 2])
bid_l.append(str_bid)
# 获取ask档str
asks_l = []
ask_l = []
count_ask = 1
while count_ask <= 25:
if count_ask > len(asks):
break
asks_l.append(asks[count_ask-1])
count_ask += 1
for k in asks_l:
str_ask = ':'.join(k[0 : 2])
ask_l.append(str_ask)
# 拼接str
num = ''
if len(bid_l) == len(ask_l):
for m in range(len(bid_l)):
num += bid_l[m] + ':' + ask_l[m] + ':'
elif len(bid_l) > len(ask_l):
# bid档比ask档多
for n in range(len(ask_l)):
num += bid_l[n] + ':' + ask_l[n] + ':'
for l in range(len(ask_l), len(bid_l)):
num += bid_l[l] + ':'
elif len(bid_l) < len(ask_l):
# ask档比bid档多
for n in range(len(bid_l)):
num += bid_l[n] + ':' + ask_l[n] + ':'
for l in range(len(bid_l), len(ask_l)):
num += ask_l[l] + ':'
new_num = num[:-1]
int_checksum = zlib.crc32(new_num.encode())
fina = change(int_checksum)
return fina
def change(num_old):
num = pow(2, 31) - 1
if num_old > num:
out = num_old - num * 2 - 2
else:
out = num_old
return out
# subscribe channels un_need login
async def subscribe_without_login(url, channels):
l = []
while True:
try:
async with websockets.connect(url) as ws:
sub_param = {"op": "subscribe", "args": channels}
sub_str = json.dumps(sub_param)
await ws.send(sub_str)
print(f"send: {sub_str}")
while True:
try:
res = await asyncio.wait_for(ws.recv(), timeout=25)
except (asyncio.TimeoutError, websockets.exceptions.ConnectionClosed) as e:
try:
await ws.send('ping')
res = await ws.recv()
print(res)
continue
except Exception as e:
print("连接关闭，正在重连……")
break
print(get_timestamp() + res)
res = eval(res)
if 'event' in res:
continue
for i in res['arg']:
if 'books' in res['arg'][i] and 'books5' not in res['arg'][i]:
# 订阅频道是深度频道
if res['action'] == 'snapshot':
for m in l:
if res['arg']['instId'] == m['instrument_id']:
l.remove(m)
# 获取首次全量深度数据
bids_p, asks_p, instrument_id = partial(res)
d = {}
d['instrument_id'] = instrument_id
d['bids_p'] = bids_p
d['asks_p'] = asks_p
l.append(d)
# 校验checksum
checksum = res['data'][0]['checksum']
# print('推送数据的checksum为：' + str(checksum))
check_num = check(bids_p, asks_p)
# print('校验后的checksum为：' + str(check_num))
if check_num == checksum:
print("校验结果为：True")
else:
print("校验结果为：False，正在重新订阅……")
# 取消订阅
await unsubscribe_without_login(url, channels)
# 发送订阅
async with websockets.connect(url) as ws:
sub_param = {"op": "subscribe", "args": channels}
sub_str = json.dumps(sub_param)
await ws.send(sub_str)
print(f"send: {sub_str}")
elif res['action'] == 'update':
for j in l:
if res['arg']['instId'] == j['instrument_id']:
# 获取全量数据
bids_p = j['bids_p']
asks_p = j['asks_p']
# 获取合并后数据
bids_p = update_bids(res, bids_p)
asks_p = update_asks(res, asks_p)
# 校验checksum
checksum = res['data'][0]['checksum']
# print('推送数据的checksum为：' + str(checksum))
check_num = check(bids_p, asks_p)
# print('校验后的checksum为：' + str(check_num))
if check_num == checksum:
print("校验结果为：True")
else:
print("校验结果为：False，正在重新订阅……")
# 取消订阅
await unsubscribe_without_login(url, channels)
# 发送订阅
async with websockets.connect(url) as ws:
sub_param = {"op": "subscribe", "args": channels}
sub_str = json.dumps(sub_param)
await ws.send(sub_str)
print(f"send: {sub_str}")
except Exception as e:
print("连接断开，正在重连……")
continue
# subscribe channels need login
async def subscribe(url, api_key, passphrase, secret_key, channels):
while True:
try:
async with websockets.connect(url) as ws:
# login
timestamp = str(get_local_timestamp())
login_str = login_params(timestamp, api_key, passphrase, secret_key)
await ws.send(login_str)
# print(f"send: {login_str}")
res = await ws.recv()
print(res)
# subscribe
sub_param = {"op": "subscribe", "args": channels}
sub_str = json.dumps(sub_param)
await ws.send(sub_str)
print(f"send: {sub_str}")
while True:
try:
res = await asyncio.wait_for(ws.recv(), timeout=25)
except (asyncio.TimeoutError, websockets.exceptions.ConnectionClosed) as e:
try:
await ws.send('ping')
res = await ws.recv()
print(res)
continue
except Exception as e:
print("连接关闭，正在重连……")
break
print(get_timestamp() + res)
except Exception as e:
print("连接断开，正在重连……")
continue
# trade
async def trade(url, api_key, passphrase, secret_key, trade_param):
while True:
try:
async with websockets.connect(url) as ws:
# login
timestamp = str(get_local_timestamp())
login_str = login_params(timestamp, api_key, passphrase, secret_key)
await ws.send(login_str)
# print(f"send: {login_str}")
res = await ws.recv()
print(res)
# trade
sub_str = json.dumps(trade_param)
await ws.send(sub_str)
print(f"send: {sub_str}")
while True:
try:
res = await asyncio.wait_for(ws.recv(), timeout=25)
except (asyncio.TimeoutError, websockets.exceptions.ConnectionClosed) as e:
try:
await ws.send('ping')
res = await ws.recv()
print(res)
continue
except Exception as e:
print("连接关闭，正在重连……")
break
print(get_timestamp() + res)
except Exception as e:
print("连接断开，正在重连……")
continue
# unsubscribe channels
async def unsubscribe(url, api_key, passphrase, secret_key, channels):
async with websockets.connect(url) as ws:
# login
timestamp = str(get_local_timestamp())
login_str = login_params(timestamp, api_key, passphrase, secret_key)
await ws.send(login_str)
# print(f"send: {login_str}")
res = await ws.recv()
print(f"recv: {res}")
# unsubscribe
sub_param = {"op": "unsubscribe", "args": channels}
sub_str = json.dumps(sub_param)
await ws.send(sub_str)
print(f"send: {sub_str}")
res = await ws.recv()
print(f"recv: {res}")
# unsubscribe channels
async def unsubscribe_without_login(url, channels):
async with websockets.connect(url) as ws:
# unsubscribe
sub_param = {"op": "unsubscribe", "args": channels}
sub_str = json.dumps(sub_param)
await ws.send(sub_str)
print(f"send: {sub_str}")
res = await ws.recv()
print(f"recv: {res}")
api_key = ""
secret_key = ""
passphrase = ""
# WebSocket公共频道
# 实盘
# url = "wss://ws.okex.com:8443/ws/v5/public"
# 模拟盘
# url = "wss://ws.okex.com:8443/ws/v5/public?brokerId=9999"
# WebSocket私有频道
# 实盘
# url = "wss://ws.okex.com:8443/ws/v5/private"
# 模拟盘
# url = "wss://ws.okex.com:8443/ws/v5/private?brokerId=9999"
'''
公共频道
:param channel: 频道名
:param instType: 产品类型
:param instId: 产品ID
:param uly: 合约标的指数
'''
# 产品频道
# channels = [{"channel": "instruments", "instType": "FUTURES"}]
# 行情频道
# channels = [{"channel": "tickers", "instId": "BTC-USD-210326"}]
# 持仓总量频道
# channels = [{"channel": "open-interest", "instId": "BTC-USD-210326"}]
# K线频道
# channels = [{"channel": "candle1m", "instId": "BTC-USD-210326"}]
# 交易频道
# channels = [{"channel": "trades", "instId": "BTC-USD-201225"}]
# 预估交割/行权价格频道
# channels = [{"channel": "estimated-price", "instType": "FUTURES", "uly": "BTC-USD"}]
# 标记价格频道
# channels = [{"channel": "mark-price", "instId": "BTC-USDT-210326"}]
# 标记价格K线频道
# channels = [{"channel": "mark-price-candle1D", "instId": "BTC-USD-201225"}]
# 限价频道
# channels = [{"channel": "price-limit", "instId": "BTC-USD-201225"}]
# 深度频道
# channels = [{"channel": "books", "instId": "BTC-USD-SWAP"}]
# 期权定价频道
# channels = [{"channel": "opt-summary", "uly": "BTC-USD"}]
# 资金费率频道
# channels = [{"channel": "funding-rate", "instId": "BTC-USD-SWAP"}]
# 指数K线频道
# channels = [{"channel": "index-candle1m", "instId": "BTC-USDT"}]
# 指数行情频道
# channels = [{"channel": "index-tickers", "instId": "BTC-USDT"}]
'''
私有频道
:param channel: 频道名
:param ccy: 币种
:param instType: 产品类型
:param uly: 合约标的指数
:param instId: 产品ID
'''
# 账户频道
# channels = [{"channel": "account", "ccy": "BTC"}]
# 持仓频道
# channels = [{"channel": "positions", "instType": "FUTURES", "uly": "BTC-USDT", "instId": "BTC-USDT-210326"}]
# 订单频道
# channels = [{"channel": "orders", "instType": "FUTURES", "uly": "BTC-USD", "instId": "BTC-USD-201225"}]
# 策略委托订单频道
# channels = [{"channel": "orders-algo", "instType": "FUTURES", "uly": "BTC-USD", "instId": "BTC-USD-201225"}]
'''
交易
'''
# 下单
# trade_param = {"id": "1512", "op": "order", "args": [{"side": "buy", "instId": "BTC-USDT", "tdMode": "isolated", "ordType": "limit", "px": "19777", "sz": "1"}]}
# 批量下单
# trade_param = {"id": "1512", "op": "batch-orders", "args": [
# {"side": "buy", "instId": "BTC-USDT", "tdMode": "isolated", "ordType": "limit", "px": "19666", "sz": "1"},
# {"side": "buy", "instId": "BTC-USDT", "tdMode": "isolated", "ordType": "limit", "px": "19633", "sz": "1"}
# ]}
# 撤单
# trade_param = {"id": "1512", "op": "cancel-order", "args": [{"instId": "BTC-USDT", "ordId": "259424589042823169"}]}
# 批量撤单
# trade_param = {"id": "1512", "op": "batch-cancel-orders", "args": [
# {"instId": "BTC-USDT", "ordId": "259432098826694656"},
# {"instId": "BTC-USDT", "ordId": "259432098826694658"}
# ]}
# 改单
# trade_param = {"id": "1512", "op": "amend-order", "args": [{"instId": "BTC-USDT", "ordId": "259432767558135808", "newSz": "2"}]}
# 批量改单
# trade_param = {"id": "1512", "op": "batch-amend-orders", "args": [
# {"instId": "BTC-USDT", "ordId": "259435442492289024", "newSz": "2"},
# {"instId": "BTC-USDT", "ordId": "259435442496483328", "newSz": "3"}
# ]}
loop = asyncio.get_event_loop()
# 公共频道 不需要登录（行情，持仓总量，K线，标记价格，深度，资金费率等）
loop.run_until_complete(subscribe_without_login(url, channels))
# 私有频道 需要登录（账户，持仓，订单等）
# loop.run_until_complete(subscribe(url, api_key, passphrase, secret_key, channels))
# 交易（下单，撤单，改单等）
# loop.run_until_complete(trade(url, api_key, passphrase, secret_key, trade_param))
loop.close()