399 lines
16 KiB
Python
399 lines
16 KiB
Python
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import os
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import okx.Account as Account
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import okx.MarketData as MarketData
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import okx.Trade as Trade
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from apiratelimiter import APIRateLimiter
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import pandas as pd
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import numpy as np
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import logging
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logger = logging.getLogger(__name__)
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tdmode = "cross" # cross for demo account
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class OKXAPIClient:
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"""OKX API Client (using official SDK)"""
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def __init__(self):
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self.api_key = os.getenv('OKX_API_KEY')
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self.secret_key = os.getenv('OKX_SECRET_KEY')
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self.password = os.getenv('OKX_PASSWORD')
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if not all([self.api_key, self.secret_key, self.password]):
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raise ValueError("Please set OKX API key and password")
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# Initialize OKX SDK client - using live trading environment
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Flag = "1" # Live trading environment
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self.account_api = Account.AccountAPI(self.api_key, self.secret_key, self.password, False, Flag)
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self.market_api = MarketData.MarketAPI(self.api_key, self.secret_key, self.password, False, Flag)
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self.trade_api = Trade.TradeAPI(self.api_key, self.secret_key, self.password, False, Flag)
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# API rate limiting
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self.rate_limiter = APIRateLimiter(2)
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self.log_http = False
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# Cache instrument info
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self.instrument_cache = {}
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def get_market_data(self, symbol, timeframe='1H', limit=200):
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"""Get market data"""
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self.rate_limiter.wait("market_data")
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try:
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result = self.market_api.get_candlesticks(
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instId=symbol,
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bar=timeframe,
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limit=str(limit)
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)
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if self.log_http:
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logger.debug(f"HTTP Request: GET {symbol} {timeframe} {result.get('code', 'Unknown')}")
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# Error checking
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if 'code' not in result or result['code'] != '0':
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error_msg = result.get('msg', 'Unknown error')
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error_code = result.get('code', 'Unknown code')
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logger.error(f"Failed to get {symbol} market data: {error_msg} (code: {error_code})")
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return None
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# Check if data exists
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if 'data' not in result or not result['data']:
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logger.warning(f"{symbol} market data is empty")
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return None
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# Create DataFrame
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columns = ['timestamp', 'open', 'high', 'low', 'close', 'volume', 'volCcy', 'volCcyQuote', 'confirm']
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df = pd.DataFrame(result['data'], columns=columns)
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# Convert data types
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df['timestamp'] = pd.to_datetime(df['timestamp'].astype(np.int64), unit='ms')
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numeric_cols = ['open', 'high', 'low', 'close', 'volume', 'volCcy', 'volCcyQuote']
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df[numeric_cols] = df[numeric_cols].apply(pd.to_numeric)
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return df.sort_values('timestamp')
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except Exception as e:
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logger.error(f"Error getting market data: {e}")
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return None
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def get_account_balance(self):
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"""Get account balance (USDT)"""
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self.rate_limiter.wait("balance")
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try:
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result = self.account_api.get_account_balance()
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if self.log_http:
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logger.debug(f"HTTP Request: GET balance {result['code']}")
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# Correction: code "0" indicates success
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if result['code'] != '0':
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logger.error(f"Failed to get balance: {result['msg']} (code: {result['code']})")
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return None
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# Extract USDT balance
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for currency in result['data'][0]['details']:
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if currency['ccy'] == 'USDT':
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return float(currency['availBal'])
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return 0.0
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except Exception as e:
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logger.error(f"Error getting balance: {e}")
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return None
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def get_currency_balances(self):
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"""Get all currency balances"""
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self.rate_limiter.wait("balances")
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try:
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result = self.account_api.get_account_balance()
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# Correction: code "0" indicates success
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if result['code'] != '0':
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logger.error(f"Failed to get balance: {result['msg']} (code: {result['code']})")
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return {}
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# Check response data structure
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if not result['data'] or len(result['data']) == 0:
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logger.error("No balance data in API response")
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return {}
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# Check if details field exists
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if 'details' not in result['data'][0]:
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logger.error("No details field in API response")
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return {}
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balances = {}
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for currency in result['data'][0]['details']:
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if float(currency.get('availBal', 0)) > 0:
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balances[currency['ccy']] = {
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'amount': float(currency.get('availBal', 0)),
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'frozen': float(currency.get('frozenBal', 0))
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}
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return balances
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except Exception as e:
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logger.error(f"Error getting currency balances: {e}")
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return {}
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def get_positions(self):
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"""Get exchange position information (based on currency balances)"""
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try:
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# Get all currency balances
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balances = self.get_currency_balances()
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if not balances:
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return {}
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# Filter out non-USDT currencies as positions
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positions = {}
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for currency, balance in balances.items():
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if currency != 'USDT' and balance['amount'] > 0:
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# Construct trading pair symbol
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symbol = f"{currency}-USDT"
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# Get current price to calculate position value
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current_price = self.get_current_price(symbol)
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if current_price:
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positions[symbol] = {
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'amount': balance['amount'],
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'value': balance['amount'] * current_price,
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'avg_price': 0.0 # Spot positions don't have average price concept
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}
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else:
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positions[symbol] = {
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'amount': balance['amount'],
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'value': 0.0,
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'avg_price': 0.0
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}
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return positions
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except Exception as e:
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logger.error(f"Error getting positions: {e}")
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return {}
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def get_current_price(self, symbol):
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"""Get current price"""
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self.rate_limiter.wait("price")
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try:
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result = self.market_api.get_ticker(instId=symbol)
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# Correction: code "0" indicates success
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if result['code'] != '0':
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logger.error(f"Failed to get price: {result['msg']} (code: {result['code']})")
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return None
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return float(result['data'][0]['last'])
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except Exception as e:
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logger.error(f"Error getting price: {e}")
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return None
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def get_instrument_info(self, symbol):
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"""Get trading pair information"""
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if symbol in self.instrument_cache:
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return self.instrument_cache[symbol]
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self.rate_limiter.wait("instrument")
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try:
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result = self.account_api.get_instruments(instType='SPOT')
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if result['code'] != '0':
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logger.error(f"Failed to get instrument: {result['msg']} (code: {result['code']})")
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return None, None
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# Find specified trading pair
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for inst in result['data']:
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if inst['instId'] == symbol:
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min_sz = float(inst['minSz'])
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lot_sz = float(inst['lotSz'])
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logger.debug(f"Got {symbol} precision: minSz={min_sz}, lotSz={lot_sz}")
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self.instrument_cache[symbol] = (min_sz, lot_sz)
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return min_sz, lot_sz
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logger.error(f"Trading pair not found: {symbol}")
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return None, None
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except Exception as e:
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logger.error(f"Error getting instrument info: {e}")
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return None, None
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def get_default_min_size(self, symbol):
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"""Get default minimum order size"""
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# Set default minimum order size based on currency
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defaults = {
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'BTC-USDT': 0.0001,
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'ETH-USDT': 0.001,
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'SOL-USDT': 0.01,
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'XRP-USDT': 1.0
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}
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return defaults.get(symbol, 0.01) # Default 0.01
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def create_order(self, symbol, side, amount, retries=3):
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"""Create order"""
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for attempt in range(retries):
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try:
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self.rate_limiter.wait("order")
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# Parse trading pair symbol
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parts = symbol.split('-')
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if len(parts) != 2:
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logger.error(f"Invalid trading pair format: {symbol}")
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return None
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base_currency, quote_currency = parts
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# Adjust parameters based on buy/sell direction
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if side == 'buy':
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# When buying, amount is quote currency amount (USDT amount)
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# Use amount-based order placement
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order_params = {
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'instId': symbol,
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'tdMode': tdmode,
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'side': 'buy',
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'ordType': 'market',
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'sz': str(amount), # Quote currency amount
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'tgtCcy': 'quote_ccy' # Specify sz as quote currency
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}
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logger.info(f"[{symbol}] Create buy order: amount={amount:.2f} {quote_currency}")
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else:
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# When selling, amount is base currency quantity
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# Get precision info and adjust quantity
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min_sz, lot_sz = self.get_instrument_info(symbol)
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if min_sz is None:
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min_sz = self.get_default_min_size(symbol)
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if lot_sz is None:
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lot_sz = min_sz
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# Adjust quantity to appropriate precision
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if lot_sz > 0:
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amount = (amount / lot_sz) * lot_sz
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amount_str = f"{amount:.10f}"
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order_params = {
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'instId': symbol,
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'tdMode': tdmode,
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'side': 'sell',
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'ordType': 'market',
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'sz': amount_str # Base currency quantity
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}
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logger.info(f"[{symbol}] Create sell order: quantity={amount_str} {base_currency}")
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# Use SDK to create order
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result = self.trade_api.place_order(**order_params)
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if self.log_http:
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logger.debug(f"HTTP Request: POST create order {result['code']}")
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# Check API response
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if result['code'] != '0':
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logger.error(f"Failed to create order: {result['msg']} (code: {result['code']})")
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if 'data' in result and len(result['data']) > 0:
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for item in result['data']:
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logger.error(f"Detailed error: {item.get('sMsg', 'Unknown')} (sCode: {item.get('sCode', 'Unknown')})")
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# Specific error handling
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if result['code'] == '50113': # Insufficient permissions
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logger.error("API key may not have trading permissions, please check API key settings")
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elif result['code'] == '51020': # Minimum order amount
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logger.error("Order amount below exchange minimum requirement")
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if attempt < retries - 1:
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wait_time = 2 ** attempt
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time.sleep(wait_time)
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continue
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# Check order status
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if len(result['data']) > 0:
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order_data = result['data'][0]
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if order_data.get('sCode') != '0':
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logger.error(f"Order creation failed: {order_data.get('sMsg', 'Unknown error')} (sCode: {order_data.get('sCode', 'Unknown')})")
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if attempt < retries - 1:
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wait_time = 2 ** attempt
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time.sleep(wait_time)
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continue
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order_id = order_data.get('ordId')
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if order_id:
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logger.info(f"Order created successfully: {order_id}")
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return order_id
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else:
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logger.error("Order ID is empty")
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if attempt < retries - 1:
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wait_time = 2 ** attempt
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time.sleep(wait_time)
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continue
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else:
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logger.error("No order data in API response")
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if attempt < retries - 1:
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wait_time = 2 ** attempt
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time.sleep(wait_time)
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continue
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except Exception as e:
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logger.error(f"Error creating order (attempt {attempt+1}/{retries}): {str(e)}")
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if attempt < retries - 1:
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wait_time = 2 ** attempt
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time.sleep(wait_time)
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else:
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return None
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return None
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def get_order_status(self, symbol, order_id):
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"""Get order status"""
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self.rate_limiter.wait("order_status")
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try:
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result = self.trade_api.get_order(instId=symbol, ordId=order_id)
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# Correction: code "0" indicates success
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if result['code'] != '0':
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logger.error(f"Failed to get order status: {result['msg']} (code: {result['code']})")
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return None
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if len(result['data']) > 0:
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order_data = result['data'][0]
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return {
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'state': order_data.get('state'),
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'avgPx': float(order_data.get('avgPx', 0)),
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'accFillSz': float(order_data.get('accFillSz', 0)),
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'fillPx': float(order_data.get('fillPx', 0)),
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'fillSz': float(order_data.get('fillSz', 0)),
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'fillTime': order_data.get('fillTime')
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}
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else:
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logger.error("No order data in API response")
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return None
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except Exception as e:
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logger.error(f"Error getting order status: {e}")
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return None
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def wait_for_order_completion(self, symbol, order_id, max_attempts=10, interval=1):
|
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|
|
"""Wait for order completion"""
|
||
|
|
for attempt in range(max_attempts):
|
||
|
|
order_status = self.get_order_status(symbol, order_id)
|
||
|
|
if order_status is None:
|
||
|
|
return None
|
||
|
|
|
||
|
|
state = order_status['state']
|
||
|
|
if state == 'filled':
|
||
|
|
logger.info(f"Order completed: {order_id}, fill price={order_status['avgPx']:.2f}, fill quantity={order_status['accFillSz']:.10f}")
|
||
|
|
return order_status
|
||
|
|
elif state == 'canceled':
|
||
|
|
logger.warning(f"Order canceled: {order_id}")
|
||
|
|
return None
|
||
|
|
elif state == 'partially_filled':
|
||
|
|
logger.info(f"Order partially filled: {order_id}, filled={order_status['accFillSz']:.10f}")
|
||
|
|
time.sleep(interval)
|
||
|
|
else:
|
||
|
|
logger.info(f"Order status: {state}, waiting...")
|
||
|
|
time.sleep(interval)
|
||
|
|
|
||
|
|
logger.warning(f"Order not completed within specified time: {order_id}")
|
||
|
|
return None
|