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feat: 添加 EdgeX 交易所适配器及相关客户端实现，支持订单、深度和K线数据处理
This commit is contained in:
discountry
@@ -0,0 +1,657 @@
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"""
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Advanced usage example for the EdgeX Python SDK.
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This example demonstrates more advanced features of the SDK, including:
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- Order management
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- WebSocket integration
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- Error handling
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- Pagination
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"""
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import asyncio
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import os
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import logging
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from decimal import Decimal
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from typing import Dict, Any, List
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from edgex_sdk import (
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Client,
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OrderSide,
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OrderType,
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TimeInForce,
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CreateOrderParams,
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CancelOrderParams,
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GetActiveOrderParams,
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OrderFillTransactionParams,
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GetKLineParams,
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GetOrderBookDepthParams,
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WebSocketManager
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)
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# Configure logging
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logging.basicConfig(
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level=logging.INFO,
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format='%(asctime)s - %(name)s - %(levelname)s - %(message)s'
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)
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logger = logging.getLogger(__name__)
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class EdgeXTrader:
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"""Example trader using the EdgeX Python SDK."""
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def __init__(self, base_url: str, ws_url: str, account_id: int, stark_private_key: str):
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"""
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Initialize the trader.
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Args:
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base_url: Base URL for API endpoints
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ws_url: Base URL for WebSocket endpoints
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account_id: Account ID for authentication
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stark_private_key: Stark private key for signing
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"""
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self.client = Client(
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base_url=base_url,
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account_id=account_id,
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stark_private_key=stark_private_key
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)
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self.ws_manager = WebSocketManager(
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base_url=ws_url,
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account_id=account_id,
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stark_pri_key=stark_private_key
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)
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self.metadata = None
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self.contracts = {}
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self.market_data = {}
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self.active_orders = {}
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self.positions = {}
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self.assets = {}
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async def initialize(self):
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"""Initialize the trader by fetching metadata and account information."""
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logger.info("Initializing trader...")
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try:
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# Get metadata
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self.metadata = await self.client.get_metadata()
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logger.info("Metadata retrieved")
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# Extract contracts
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contract_list = self.metadata.get("data", {}).get("contractList", [])
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for contract in contract_list:
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contract_id = contract.get("contractId")
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if contract_id:
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self.contracts[contract_id] = contract
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logger.info(f"Found {len(self.contracts)} contracts")
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# Get account assets
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assets_response = await self.client.get_account_asset()
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self.assets = assets_response.get("data", {})
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logger.info("Account assets retrieved")
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# Get account positions
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positions_response = await self.client.get_account_positions()
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positions_data = positions_response.get("data", {})
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position_list = positions_data.get("positionList", [])
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for position in position_list:
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contract_id = position.get("contractId")
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if contract_id:
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self.positions[contract_id] = position
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logger.info(f"Found {len(self.positions)} positions")
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# Get active orders
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await self.update_active_orders()
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# Initialize WebSocket
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await self.initialize_websocket()
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logger.info("Trader initialized successfully")
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return True
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except Exception as e:
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logger.error(f"Failed to initialize trader: {str(e)}")
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return False
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async def update_active_orders(self):
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"""Update the list of active orders."""
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try:
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params = GetActiveOrderParams()
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active_orders_response = await self.client.get_active_orders(params)
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order_list = active_orders_response.get("data", {}).get("list", [])
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self.active_orders = {}
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for order in order_list:
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order_id = order.get("orderId")
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if order_id:
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self.active_orders[order_id] = order
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logger.info(f"Found {len(self.active_orders)} active orders")
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return True
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except Exception as e:
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logger.error(f"Failed to update active orders: {str(e)}")
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return False
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async def initialize_websocket(self):
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"""Initialize WebSocket connections and subscriptions."""
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try:
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# Connect to public WebSocket
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self.ws_manager.connect_public()
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logger.info("Connected to public WebSocket")
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# Connect to private WebSocket
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self.ws_manager.connect_private()
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logger.info("Connected to private WebSocket")
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# Subscribe to account updates
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self.ws_manager.subscribe_account_update(self.handle_account_update)
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logger.info("Subscribed to account updates")
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# Subscribe to order updates
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self.ws_manager.subscribe_order_update(self.handle_order_update)
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logger.info("Subscribed to order updates")
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# Subscribe to position updates
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self.ws_manager.subscribe_position_update(self.handle_position_update)
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logger.info("Subscribed to position updates")
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# Subscribe to market data for BTCUSDT (contract ID: 10000001)
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self.ws_manager.subscribe_ticker("10000001", self.handle_ticker_update)
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self.ws_manager.subscribe_kline("10000001", "1m", self.handle_kline_update)
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self.ws_manager.subscribe_depth("10000001", self.handle_depth_update)
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logger.info("Subscribed to market data for BTCUSDT (10000001)")
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return True
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except Exception as e:
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logger.error(f"Failed to initialize WebSocket: {str(e)}")
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return False
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def handle_account_update(self, message: str):
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"""
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Handle account update messages from WebSocket.
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Args:
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message: The WebSocket message
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"""
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try:
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import json
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data = json.loads(message)
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logger.info(f"Account update: {data}")
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# Update assets
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account_data = data.get("content", {}).get("data", {})
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if account_data:
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self.assets = account_data
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except Exception as e:
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logger.error(f"Failed to handle account update: {str(e)}")
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def handle_order_update(self, message: str):
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"""
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Handle order update messages from WebSocket.
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Args:
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message: The WebSocket message
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"""
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try:
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import json
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data = json.loads(message)
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logger.info(f"Order update: {data}")
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# Update active orders
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asyncio.create_task(self.update_active_orders())
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except Exception as e:
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logger.error(f"Failed to handle order update: {str(e)}")
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def handle_position_update(self, message: str):
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"""
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Handle position update messages from WebSocket.
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Args:
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message: The WebSocket message
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"""
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try:
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import json
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data = json.loads(message)
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logger.info(f"Position update: {data}")
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# Update positions
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position_data = data.get("content", {}).get("data", {})
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contract_id = position_data.get("contractId")
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if contract_id:
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self.positions[contract_id] = position_data
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except Exception as e:
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logger.error(f"Failed to handle position update: {str(e)}")
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def handle_ticker_update(self, message: str):
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"""
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Handle ticker update messages from WebSocket.
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Args:
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message: The WebSocket message
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"""
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try:
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import json
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data = json.loads(message)
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# Extract ticker data
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content = data.get("content", {})
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ticker_data_list = content.get("data", [])
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# Handle both single ticker and list of tickers
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if isinstance(ticker_data_list, list) and ticker_data_list:
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ticker_data = ticker_data_list[0] # Take the first ticker
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else:
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ticker_data = ticker_data_list
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contract_id = ticker_data.get("contractId") if isinstance(ticker_data, dict) else None
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if contract_id:
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if "ticker" not in self.market_data:
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self.market_data["ticker"] = {}
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self.market_data["ticker"][contract_id] = ticker_data
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logger.info(f"Ticker update for {contract_id}: {ticker_data.get('lastPrice')}")
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except Exception as e:
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logger.error(f"Failed to handle ticker update: {str(e)}")
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def handle_kline_update(self, message: str):
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"""
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Handle K-line update messages from WebSocket.
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Args:
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message: The WebSocket message
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"""
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try:
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import json
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data = json.loads(message)
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# Extract K-line data
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kline_data = data.get("content", {}).get("data", {})
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contract_id = kline_data.get("contractId")
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interval = kline_data.get("interval")
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if contract_id and interval:
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if "kline" not in self.market_data:
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self.market_data["kline"] = {}
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if contract_id not in self.market_data["kline"]:
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self.market_data["kline"][contract_id] = {}
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self.market_data["kline"][contract_id][interval] = kline_data
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logger.info(f"K-line update for {contract_id} {interval}: {kline_data.get('close')}")
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except Exception as e:
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logger.error(f"Failed to handle K-line update: {str(e)}")
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def handle_depth_update(self, message: str):
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"""
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Handle depth update messages from WebSocket.
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Args:
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message: The WebSocket message
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"""
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try:
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import json
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data = json.loads(message)
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# Extract depth data
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depth_data = data.get("content", {}).get("data", {})
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contract_id = depth_data.get("contractId")
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if contract_id:
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if "depth" not in self.market_data:
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self.market_data["depth"] = {}
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self.market_data["depth"][contract_id] = depth_data
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logger.info(f"Depth update for {contract_id}")
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except Exception as e:
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logger.error(f"Failed to handle depth update: {str(e)}")
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async def create_limit_order(
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self,
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contract_id: str,
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size: str,
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price: str,
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side: str,
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time_in_force: str = TimeInForce.GOOD_TIL_CANCEL,
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reduce_only: bool = False
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) -> Dict[str, Any]:
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"""
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Create a limit order.
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Args:
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contract_id: The contract ID
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size: The order size
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price: The order price
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side: The order side (BUY or SELL)
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time_in_force: The time in force
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reduce_only: Whether the order is reduce-only
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Returns:
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Dict[str, Any]: The created order
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Raises:
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ValueError: If the order creation fails
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"""
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try:
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# Create order parameters
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params = CreateOrderParams(
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contract_id=contract_id,
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size=size,
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price=price,
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type=OrderType.LIMIT,
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side=side,
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time_in_force=time_in_force,
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reduce_only=reduce_only
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)
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# Create the order
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result = await self.client.create_order(params)
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# Check for success
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if result.get("code") != "SUCCESS":
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error_param = result.get("errorParam")
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if error_param:
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raise ValueError(f"Failed to create order: {error_param}")
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raise ValueError(f"Failed to create order: {result.get('code')}")
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# Update active orders
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await self.update_active_orders()
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logger.info(f"Created limit order: {result.get('data', {}).get('orderId')}")
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return result
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except Exception as e:
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logger.error(f"Failed to create limit order: {str(e)}")
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raise
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async def cancel_order(self, order_id: str) -> Dict[str, Any]:
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"""
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Cancel an order.
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Args:
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order_id: The order ID
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Returns:
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Dict[str, Any]: The cancellation result
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Raises:
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ValueError: If the order cancellation fails
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"""
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try:
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# Create cancel order parameters
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params = CancelOrderParams(order_id=order_id)
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# Cancel the order
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result = await self.client.cancel_order(params)
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# Check for success
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if result.get("code") != "SUCCESS":
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error_param = result.get("errorParam")
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if error_param:
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raise ValueError(f"Failed to cancel order: {error_param}")
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raise ValueError(f"Failed to cancel order: {result.get('code')}")
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# Update active orders
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await self.update_active_orders()
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logger.info(f"Cancelled order: {order_id}")
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return result
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except Exception as e:
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logger.error(f"Failed to cancel order: {str(e)}")
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raise
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async def cancel_all_orders(self, contract_id: str = None) -> Dict[str, Any]:
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"""
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Cancel all orders for a contract.
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Args:
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contract_id: The contract ID (optional)
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Returns:
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Dict[str, Any]: The cancellation result
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Raises:
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ValueError: If the order cancellation fails
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"""
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try:
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# Create cancel order parameters
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params = CancelOrderParams(contract_id=contract_id or "")
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# Cancel the orders
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result = await self.client.cancel_order(params)
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# Check for success
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if result.get("code") != "SUCCESS":
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error_param = result.get("errorParam")
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if error_param:
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raise ValueError(f"Failed to cancel orders: {error_param}")
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raise ValueError(f"Failed to cancel orders: {result.get('code')}")
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# Update active orders
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await self.update_active_orders()
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logger.info(f"Cancelled all orders for contract: {contract_id or 'all'}")
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return result
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except Exception as e:
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logger.error(f"Failed to cancel all orders: {str(e)}")
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raise
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async def get_order_fill_transactions(
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self,
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contract_id: str = None,
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size: str = "10",
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offset_data: str = ""
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) -> Dict[str, Any]:
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"""
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Get order fill transactions.
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Args:
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contract_id: The contract ID (optional)
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size: The page size
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offset_data: The offset data for pagination
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Returns:
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Dict[str, Any]: The order fill transactions
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Raises:
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ValueError: If the request fails
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"""
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try:
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# Create parameters
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params = OrderFillTransactionParams(
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size=size,
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offset_data=offset_data
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)
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||||
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if contract_id:
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params.filter_contract_id_list = [contract_id]
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# Get order fill transactions
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result = await self.client.get_order_fill_transactions(params)
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# Check for success
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if result.get("code") != "SUCCESS":
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error_param = result.get("errorParam")
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if error_param:
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raise ValueError(f"Failed to get order fill transactions: {error_param}")
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raise ValueError(f"Failed to get order fill transactions: {result.get('code')}")
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logger.info(f"Got order fill transactions: {len(result.get('data', {}).get('list', []))}")
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return result
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||||
except Exception as e:
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logger.error(f"Failed to get order fill transactions: {str(e)}")
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raise
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async def get_k_line(
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self,
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contract_id: str,
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interval: str,
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size: str = "100",
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offset_data: str = ""
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) -> Dict[str, Any]:
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"""
|
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Get K-line data.
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||||
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Args:
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contract_id: The contract ID
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interval: The K-line interval
|
||||
size: The page size
|
||||
offset_data: The offset data for pagination
|
||||
|
||||
Returns:
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Dict[str, Any]: The K-line data
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||||
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||||
Raises:
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ValueError: If the request fails
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||||
"""
|
||||
try:
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# Create parameters
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||||
params = GetKLineParams(
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contract_id=contract_id,
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interval=interval,
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||||
size=size,
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offset_data=offset_data
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)
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||||
# Get K-line data
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result = await self.client.quote.get_k_line(params)
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# Check for success
|
||||
if result.get("code") != "SUCCESS":
|
||||
error_param = result.get("errorParam")
|
||||
if error_param:
|
||||
raise ValueError(f"Failed to get K-line data: {error_param}")
|
||||
raise ValueError(f"Failed to get K-line data: {result.get('code')}")
|
||||
|
||||
logger.info(f"Got K-line data: {len(result.get('data', {}).get('list', []))}")
|
||||
return result
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Failed to get K-line data: {str(e)}")
|
||||
raise
|
||||
|
||||
async def get_order_book_depth(
|
||||
self,
|
||||
contract_id: str,
|
||||
limit: int = 15
|
||||
) -> Dict[str, Any]:
|
||||
"""
|
||||
Get order book depth.
|
||||
|
||||
Args:
|
||||
contract_id: The contract ID
|
||||
limit: The depth limit (valid values are 15 or 200)
|
||||
|
||||
Returns:
|
||||
Dict[str, Any]: The order book depth
|
||||
|
||||
Raises:
|
||||
ValueError: If the request fails
|
||||
"""
|
||||
try:
|
||||
# Create parameters
|
||||
params = GetOrderBookDepthParams(
|
||||
contract_id=contract_id,
|
||||
limit=limit
|
||||
)
|
||||
|
||||
# Get order book depth
|
||||
result = await self.client.quote.get_order_book_depth(params)
|
||||
|
||||
# Check for success
|
||||
if result.get("code") != "SUCCESS":
|
||||
error_param = result.get("errorParam")
|
||||
if error_param:
|
||||
raise ValueError(f"Failed to get order book depth: {error_param}")
|
||||
raise ValueError(f"Failed to get order book depth: {result.get('code')}")
|
||||
|
||||
logger.info(f"Got order book depth for {contract_id}")
|
||||
return result
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Failed to get order book depth: {str(e)}")
|
||||
raise
|
||||
|
||||
async def close(self):
|
||||
"""Close all connections."""
|
||||
try:
|
||||
# Disconnect WebSocket
|
||||
self.ws_manager.disconnect_all()
|
||||
logger.info("Disconnected from WebSocket")
|
||||
|
||||
return True
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Failed to close connections: {str(e)}")
|
||||
return False
|
||||
|
||||
|
||||
async def main():
|
||||
"""Main function."""
|
||||
# Load configuration from environment variables
|
||||
base_url = os.getenv("EDGEX_BASE_URL", "https://testnet.edgex.exchange")
|
||||
ws_url = os.getenv("EDGEX_WS_URL", "wss://quote-testnet.edgex.exchange")
|
||||
account_id = int(os.getenv("EDGEX_ACCOUNT_ID", "12345"))
|
||||
stark_private_key = os.getenv("EDGEX_STARK_PRIVATE_KEY", "your-stark-private-key")
|
||||
|
||||
# Create trader
|
||||
trader = EdgeXTrader(
|
||||
base_url=base_url,
|
||||
ws_url=ws_url,
|
||||
account_id=account_id,
|
||||
stark_private_key=stark_private_key
|
||||
)
|
||||
|
||||
# Initialize trader
|
||||
if not await trader.initialize():
|
||||
logger.error("Failed to initialize trader")
|
||||
return
|
||||
|
||||
try:
|
||||
# Get K-line data for BTCUSDT (contract ID: 10000001)
|
||||
klines = await trader.get_k_line("10000001", "1m")
|
||||
logger.info(f"Retrieved K-line data: {len(klines.get('data', {}).get('list', []))} entries")
|
||||
|
||||
# Get order book depth for BTCUSDT (contract ID: 10000001)
|
||||
await trader.get_order_book_depth("10000001")
|
||||
logger.info(f"Retrieved order book depth")
|
||||
|
||||
# Create a limit order (commented out to avoid actual order creation)
|
||||
# order = await trader.create_limit_order(
|
||||
# contract_id="10000001", # BTCUSDT
|
||||
# size="0.001",
|
||||
# price="30000",
|
||||
# side=OrderSide.BUY
|
||||
# )
|
||||
#
|
||||
# # Cancel the order
|
||||
# if order and order.get("data", {}).get("orderId"):
|
||||
# await trader.cancel_order(order.get("data", {}).get("orderId"))
|
||||
|
||||
# Wait for some WebSocket updates
|
||||
logger.info("Waiting for WebSocket updates...")
|
||||
await asyncio.sleep(60)
|
||||
|
||||
finally:
|
||||
# Close connections
|
||||
await trader.close()
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
asyncio.run(main())
|
||||
Reference in New Issue
Block a user