791 lines
27 KiB
Python
791 lines
27 KiB
Python
# -*- coding: utf-8 -*-
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from ccxt.base.exchange import Exchange
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from ccxt.abstract.mt5 import ImplicitAPI
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from ccxt.base.types import Any, Balances, BorrowInterest, Conversion, CrossBorrowRate, Currencies, Currency, DepositAddress, FundingHistory, Greeks, Int, LedgerEntry, Leverage, LeverageTier, LeverageTiers, Liquidation, LongShortRatio, Market, Num, Option, OptionChain, Order, OrderBook, OrderRequest, CancellationRequest, OrderSide, OrderType, Position, Str, Strings, Ticker, Tickers, FundingRate, FundingRates, Trade, TradingFeeInterface, TradingFees, Transaction, MarketInterface, TransferEntry
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from typing import List
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from typing import List, Optional # 添加 Optional 导入
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from ccxt.base.errors import ExchangeError
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from ccxt.base.errors import AuthenticationError
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from ccxt.base.errors import PermissionDenied
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from ccxt.base.errors import AccountSuspended
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from ccxt.base.errors import ArgumentsRequired
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from ccxt.base.errors import BadRequest
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from ccxt.base.errors import BadSymbol
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from ccxt.base.errors import NoChange
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from ccxt.base.errors import MarginModeAlreadySet
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from ccxt.base.errors import ManualInteractionNeeded
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from ccxt.base.errors import InsufficientFunds
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from ccxt.base.errors import InvalidOrder
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from ccxt.base.errors import OrderNotFound
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from ccxt.base.errors import NotSupported
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from ccxt.base.errors import RateLimitExceeded
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from ccxt.base.errors import InvalidNonce
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from ccxt.base.errors import RequestTimeout
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from ccxt.base.decimal_to_precision import TICK_SIZE
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from ccxt.base.precise import Precise
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class mt5(Exchange, ImplicitAPI):
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def describe(self) -> Any:
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return self.deep_extend(super(mt5, self).describe(), {
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'id': 'mt5',
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'name': 'MT5',
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'countries': ['US'],
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'version': 'v2025.02.05-05.23',
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'rateLimit': 1000,
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'hostname': '10.203.0.6:5000',
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'pro': True,
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'options': {
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'host': '18.163.85.196',
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'port': 443,
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'connectTimeoutSeconds': 30,
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},
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'has': {
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'CORS': True,
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'spot': True,
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'margin': True,
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'swap': False,
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'future': False,
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'option': False,
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'cancelOrder': True,
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'createOrder': True,
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'fetchBalance': True,
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'fetchClosedOrders': True,
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'fetchMarkets': True,
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'fetchMyTrades': True,
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'fetchOHLCV': True,
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'fetchOpenOrders': True,
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'fetchOrder': True,
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'fetchOrderBook': True,
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'fetchTicker': True,
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'fetchTickers': True,
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},
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'timeframes': {
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'1m': 1,
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'5m': 5,
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'15m': 15,
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'30m': 30,
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'1h': 60,
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'4h': 240,
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'1d': 1440,
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'1w': 10080,
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'1M': 43200,
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},
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'urls': {
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'logo': '',
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'api': {
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'public': 'http://{hostname}',
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'private': 'http://{hostname}',
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},
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'www': 'http://{hostname}',
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'doc': ['http://{hostname}/index.html'],
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},
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'api': {
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'public': {
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'get': {
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'Ping': 1
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},
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},
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'private': {
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'get': {
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'Connect': 10,
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'CheckConnect': 1,
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'Disconnect': 1,
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'Symbols': 1,
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'SymbolParamsMany': 1,
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'ServerTimezone':1,
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'AccountSummary': 1,
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'AccountDetails': 1,
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'SymbolList': 1,
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'GetQuote': 1,
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'GetQuoteMany': 1,
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'MarketWatchMany': 1,
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'OpenedOrders': 1,
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'ClosedOrders': 1,
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'OpenedOrder': 1,
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'OrderHistory': 1,
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'PriceHistory': 1,
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'OrderSend': 1,
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'OrderModify': 1,
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'OrderClose': 1,
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'SubscribeOhlc': 1,
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'UnsubscribeOhlc': 1,
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'Subscribe': 1,
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'UnSubscribe': 1,
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},
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},
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},
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'requiredCredentials': {
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'apiKey': True,
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'secret': True,
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'hostname': True,
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},
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'commonCurrencies': {},
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'exceptions': {
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'exact': {
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'Invalid token': AuthenticationError,
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'Connection failed': ExchangeError,
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'Invalid symbol': ExchangeError,
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'Invalid order': InvalidOrder,
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'Order not found': OrderNotFound,
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},
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},
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})
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def ping_server(self):
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"""测试连接"""
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response = self.public_get_ping()
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if response == 'OK':
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return True
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else:
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return False
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def get_token(self):
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"""获取或刷新 token"""
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if hasattr(self, 'token') and self.token:
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try:
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self.check_connect()
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return self.token
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except Exception:
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# Token 无效，重新连接
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pass
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# 重新连接获取 token
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return self.connect()
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def connect(self):
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"""连接到 MT5 账户并获取 token"""
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params = {
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'user': self.apiKey,
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'password': self.secret,
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'host': self.options['host'],
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'port': self.options['port'],
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'connectTimeoutSeconds': self.options['connectTimeoutSeconds'],
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}
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response = self.private_get_connect(params)
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self.token = response
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return self.token
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def check_connect(self):
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"""检查连接状态"""
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params = {
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'id': self.get_token(),
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}
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return self.private_get_checkconnect(params)
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def disconnect(self):
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"""断开连接"""
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if hasattr(self, 'token') and self.token:
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params = {
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'id': self.token,
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}
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try:
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self.private_get_disconnect(params)
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except Exception:
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pass
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finally:
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self.token = None
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def load_token(self):
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"""确保 token 已加载"""
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if not hasattr(self, 'token') or not self.token:
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self.get_token()
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def server_timezone(self):
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"""获得mt5服务器时区"""
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if hasattr(self, 'timezone'):
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return self.timezone
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else:
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self.load_token()
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request = {
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'id': self.token,
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}
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response = self.private_get_servertimezone(request)
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self.timezone = int(float(response))
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return self.timezone
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def fetch_markets(self, params={}):
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"""获取交易对列表 - 修复版本"""
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self.load_token()
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request = {
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'id': self.token,
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}
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try:
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response = self.private_get_symbols(self.extend(request, params))
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markets = []
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if isinstance(response, dict):
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for symbol, info in response.items():
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try:
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market = self.parse_market(info)
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if market and market.get('symbol'):
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markets.append(market)
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except Exception as e:
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if self.verbose:
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print(f"跳过交易对 {symbol}: {e}")
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continue
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# 设置市场数据
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if markets:
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self.markets = {}
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self.symbols = []
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for market in markets:
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id = market['id']
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symbol = market['symbol']
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self.markets[id] = market
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self.markets[symbol] = market
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self.symbols.append(symbol)
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self.symbols = sorted(self.symbols)
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self.ids = sorted(self.markets.keys())
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return markets
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except Exception as e:
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raise ExchangeError(f"获取市场数据失败: {e}")
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def parse_market(self, info):
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"""解析市场信息 - 更健壮的版本"""
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try:
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if not isinstance(info, dict):
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return None
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symbol = self.safe_string(info, 'currency', '')
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if not symbol:
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return None
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symbol = symbol.upper().strip()
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# 处理符号格式
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if len(symbol) < 6:
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base = symbol
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quote = 'USD'
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else:
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base = symbol[:3]
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quote = symbol[3:]
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digits = self.safe_integer(info, 'digits', 5)
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if digits is not None:
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try:
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digits = int(digits)
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except (ValueError, TypeError):
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digits = 5
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market_id = symbol
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return {
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'id': market_id,
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'symbol': base + '/' + quote,
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'base': base,
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'quote': quote,
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'baseId': base,
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'quoteId': quote,
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'active': True,
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'type': 'spot',
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'spot': True,
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'margin': True,
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'precision': {
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'price': digits,
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'amount': 2,
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},
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'limits': {
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'amount': {
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'min': self.safe_number(info, 'minVolume', 0.01),
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'max': self.safe_number(info, 'maxVolume'),
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},
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'price': {
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'min': None,
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'max': None,
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},
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'cost': {
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'min': None,
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'max': None,
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},
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},
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'info': info,
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}
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except Exception as e:
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if self.verbose:
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print(f"解析市场信息失败: {e}, info: {info}")
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return None
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def fetch_ticker(self, symbol, params={}):
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"""获取行情数据"""
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self.load_token()
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market = self.market(symbol)
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request = {
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'id': self.token,
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'symbol': market['id'],
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}
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response = self.private_get_getquote(self.extend(request, params))
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return self.parse_ticker(response, market)
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def parse_ticker(self, ticker, market=None):
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"""解析行情数据"""
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symbol = market['symbol'] if market else None
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timestamp = None
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if ticker.get('time'):
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try:
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timestamp = self.parse8601(ticker.get('time'))
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except:
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timestamp = None
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return {
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'symbol': symbol,
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'timestamp': timestamp,
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'datetime': self.iso8601(timestamp) if timestamp else None,
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'high': None,
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'low': None,
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'bid': self.safe_number(ticker, 'bid'),
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'bidVolume': None,
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'ask': self.safe_number(ticker, 'ask'),
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'askVolume': None,
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'vwap': None,
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'open': None,
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'close': None,
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'last': self.safe_number(ticker, 'last'),
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'previousClose': None,
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'change': None,
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'percentage': None,
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'average': None,
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'baseVolume': self.safe_number(ticker, 'volume'),
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'quoteVolume': None,
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'info': ticker,
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}
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def fetch_tickers(self, symbols: Optional[List[str]] = None, params={}):
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"""获取多个交易对的行情数据"""
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self.load_token()
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request = {
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'id': self.token,
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}
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if symbols is not None:
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mt5_symbols = []
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for symbol in symbols:
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market = self.market(symbol)
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mt5_symbols.append(market['id'])
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request['symbols'] = mt5_symbols
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try:
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response = self.private_get_getquotemany(self.extend(request, params))
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return self.parse_tickers(response, symbols)
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except Exception as e:
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if symbols is not None:
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return self.fetch_tickers_fallback(symbols, params)
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else:
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raise ExchangeError(f"获取批量行情失败: {e}")
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def fetch_tickers_fallback(self, symbols, params={}):
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"""回退方法：逐个获取交易对行情"""
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tickers = {}
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for symbol in symbols:
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try:
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ticker = self.fetch_ticker(symbol, params)
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tickers[symbol] = ticker
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except Exception as e:
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if self.verbose:
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print(f"获取 {symbol} 行情失败: {e}")
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continue
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return tickers
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def parse_tickers(self, response, symbols=None):
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"""解析批量行情数据"""
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tickers = {}
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if isinstance(response, list):
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for ticker_data in response:
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try:
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ticker = self.parse_ticker(ticker_data)
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if ticker and ticker.get('symbol'):
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tickers[ticker['symbol']] = ticker
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except Exception as e:
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if self.verbose:
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print(f"解析行情数据失败: {e}")
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continue
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elif isinstance(response, dict):
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for symbol_key, ticker_data in response.items():
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try:
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ticker = self.parse_ticker(ticker_data)
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if ticker and ticker.get('symbol'):
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tickers[ticker['symbol']] = ticker
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except Exception as e:
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if self.verbose:
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print(f"解析行情数据失败 {symbol_key}: {e}")
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continue
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if symbols is not None:
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ordered_tickers = {}
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for symbol in symbols:
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if symbol in tickers:
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ordered_tickers[symbol] = tickers[symbol]
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return ordered_tickers
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return tickers
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def fetch_order_book(self, symbol, limit=None, params={}):
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"""获取订单簿"""
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self.load_token()
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market = self.market(symbol)
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request = {
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'id': self.token,
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'symbol': market['id'],
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}
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response = self.private_get_getquote(self.extend(request, params))
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bid = self.safe_number(response, 'bid')
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ask = self.safe_number(response, 'ask')
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return {
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'symbol': symbol,
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'bids': [[bid, 1]] if bid else [],
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'asks': [[ask, 1]] if ask else [],
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'timestamp': None,
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'datetime': None,
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'nonce': None,
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}
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def fetch_balance(self, params={}):
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"""获取账户余额"""
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self.load_token()
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request = {
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'id': self.token,
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}
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response = self.private_get_accountsummary(self.extend(request, params))
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return self.parse_balance(response)
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def parse_balance(self, response):
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"""解析余额信息"""
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result = {
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'info': response,
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'timestamp': None,
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'datetime': None,
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}
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currency = 'USDT'
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balance = self.safe_number(response, 'balance', 0.0)
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margin = self.safe_number(response, 'margin', 0.0)
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free_margin = self.safe_number(response, 'freeMargin', 0.0)
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equity = self.safe_number(response, 'equity', 0.0)
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result[currency] = {
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'free': free_margin,
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'used': margin,
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'total': balance,
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'equity': equity,
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}
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return self.safe_balance(result)
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def fetch_account_details(self, params={}):
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"""获取账户信息"""
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self.load_token()
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request = {
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'id': self.token,
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}
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response = self.private_get_accountdetails(self.extend(request, params))
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return self.parse_account(response)
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def parse_account(self, response):
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"""解析账户信息"""
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return {
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'serverName': self.safe_string(response, 'serverName'),
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'user': self.safe_string(response, 'user'),
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'host': self.safe_string(response, 'host'),
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'port': self.safe_integer(response, 'port'),
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'serverTime': self.safe_string(response, 'serverTime'),
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'serverTimeZone': self.safe_integer(response, 'serverTimeZone'),
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'company': self.safe_string(response, 'company'),
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'currency': self.safe_string(response, 'currency', 'UST'),
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'accountName': self.safe_string(response, 'accountName'),
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'group': self.safe_string(response, 'group'),
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'accountType': self.safe_string(response, 'accountType'),
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'accountLeverage': self.safe_integer(response, 'accountLeverage'),
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'accountMethod': self.safe_string(response, 'accountMethod'),
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'isInvestor': self.safe_value(response, 'isInvestor', False),
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}
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def fetch_open_orders(self, symbol=None, since=None, limit=None, params={}):
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"""获取未平仓订单"""
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self.load_token()
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request = {
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'id': self.token,
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}
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response = self.private_get_openedorders(self.extend(request, params))
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if symbol is not None:
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market = self.market(symbol)
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filtered_orders = []
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for order in response:
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if isinstance(order, dict) and order.get('symbol') == market['id']:
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filtered_orders.append(order)
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return self.parse_orders(filtered_orders, market, since, limit)
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else:
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return self.parse_orders(response, None, since, limit)
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def fetch_closed_orders(self, symbol=None, since=None, limit=None, params={}):
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"""获取已平仓订单"""
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self.load_token()
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request = {
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'id': self.token,
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}
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response = self.private_get_closedorders(self.extend(request, params))
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if symbol is not None:
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market = self.market(symbol)
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filtered_orders = []
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|
for order in response:
|
|
if isinstance(order, dict) and order.get('symbol') == market['id']:
|
|
filtered_orders.append(order)
|
|
return self.parse_orders(filtered_orders, market, since, limit)
|
|
else:
|
|
return self.parse_orders(response, None, since, limit)
|
|
|
|
def parse_order(self, order, market=None):
|
|
"""解析订单信息"""
|
|
try:
|
|
id = self.safe_string(order, 'ticket')
|
|
market_id = self.safe_string(order, 'symbol')
|
|
|
|
symbol = None
|
|
if market is not None:
|
|
symbol = market['symbol']
|
|
elif market_id is not None:
|
|
if len(market_id) >= 6:
|
|
base = market_id[:3]
|
|
quote = market_id[3:]
|
|
symbol = base + '/' + quote
|
|
else:
|
|
symbol = market_id
|
|
|
|
timestamp = self.parse8601(self.safe_string(order, 'openTime'))
|
|
last_trade_timestamp = self.parse8601(self.safe_string(order, 'closeTime'))
|
|
|
|
status = self.parse_order_status(self.safe_string(order, 'state'))
|
|
side = self.parse_order_side(self.safe_string(order, 'orderType'))
|
|
type = self.parse_order_type(self.safe_string(order, 'orderType'))
|
|
|
|
price = self.safe_number(order, 'openPrice')
|
|
amount = self.safe_number(order, 'lots')
|
|
filled = self.safe_number(order, 'closeLots', 0)
|
|
|
|
remaining = None
|
|
if amount is not None and filled is not None:
|
|
remaining = amount - filled
|
|
|
|
cost = None
|
|
if price is not None and filled is not None:
|
|
cost = price * filled
|
|
|
|
fee = None
|
|
fee_cost = self.safe_number(order, 'commission', 0)
|
|
if fee_cost != 0:
|
|
fee = {
|
|
'cost': fee_cost,
|
|
'currency': None,
|
|
}
|
|
|
|
return self.safe_order({
|
|
'id': id,
|
|
'clientOrderId': None,
|
|
'datetime': self.iso8601(timestamp),
|
|
'timestamp': timestamp,
|
|
'lastTradeTimestamp': last_trade_timestamp,
|
|
'lastUpdateTimestamp': last_trade_timestamp,
|
|
'status': status,
|
|
'symbol': symbol,
|
|
'type': type,
|
|
'timeInForce': None,
|
|
'postOnly': None,
|
|
'side': side,
|
|
'price': price,
|
|
'stopLossPrice': self.safe_number(order, 'stopLoss'),
|
|
'takeProfitPrice': self.safe_number(order, 'takeProfit'),
|
|
'reduceOnly': None,
|
|
'triggerPrice': None,
|
|
'amount': amount,
|
|
'filled': filled,
|
|
'remaining': remaining,
|
|
'cost': cost,
|
|
'trades': None,
|
|
'fee': fee,
|
|
'info': order,
|
|
'average': None,
|
|
})
|
|
except Exception as e:
|
|
if self.verbose:
|
|
print(f"解析订单失败: {e}, order: {order}")
|
|
raise e
|
|
|
|
def parse_order_status(self, status):
|
|
statuses = {
|
|
'Started': 'open',
|
|
'Placed': 'open',
|
|
'Cancelled': 'canceled',
|
|
'Partial': 'open',
|
|
'Filled': 'closed',
|
|
'Rejected': 'rejected',
|
|
'Expired': 'expired',
|
|
}
|
|
return self.safe_string(statuses, status, status)
|
|
|
|
def parse_order_side(self, side):
|
|
sides = {
|
|
'Buy': 'buy',
|
|
'Sell': 'sell',
|
|
'BuyLimit': 'buy',
|
|
'SellLimit': 'sell',
|
|
'BuyStop': 'buy',
|
|
'SellStop': 'sell',
|
|
}
|
|
return self.safe_string(sides, side, side)
|
|
|
|
def parse_order_type(self, type):
|
|
types = {
|
|
'Buy': 'market',
|
|
'Sell': 'market',
|
|
'BuyLimit': 'limit',
|
|
'SellLimit': 'limit',
|
|
'BuyStop': 'stop',
|
|
'SellStop': 'stop',
|
|
}
|
|
return self.safe_string(types, type, type)
|
|
|
|
def parse_position(self, order_data, market: Market = None):
|
|
"""从订单数据解析持仓"""
|
|
state = self.safe_string(order_data, 'state')
|
|
if state != 'Filled':
|
|
return None
|
|
|
|
symbol = self.safe_string(order_data, 'symbol')
|
|
if symbol and len(symbol) >= 6:
|
|
base = symbol[:3]
|
|
quote = symbol[3:]
|
|
symbol = base + '/' + quote
|
|
|
|
timestamp = self.parse8601(self.safe_string(order_data, 'openTime'))
|
|
open_timestamp_utc = self.safe_integer(order_data, 'openTimestampUTC')
|
|
if open_timestamp_utc:
|
|
timestamp = open_timestamp_utc
|
|
|
|
order_type = self.safe_string(order_data, 'orderType')
|
|
side = 'long' if order_type == 'Buy' else 'short'
|
|
|
|
contracts = self.safe_number(order_data, 'lots', 0)
|
|
entry_price = self.safe_number(order_data, 'openPrice', 0)
|
|
current_price = self.safe_number(order_data, 'closePrice', entry_price)
|
|
notional = contracts * entry_price if contracts and entry_price else None
|
|
|
|
percentage = None
|
|
if entry_price and current_price and entry_price != 0:
|
|
if side == 'long':
|
|
percentage = (current_price - entry_price) / entry_price
|
|
else:
|
|
percentage = (entry_price - current_price) / entry_price
|
|
|
|
return {
|
|
'id': self.safe_string(order_data, 'ticket'),
|
|
'symbol': symbol,
|
|
'timestamp': timestamp,
|
|
'datetime': self.iso8601(timestamp),
|
|
'side': side,
|
|
'contracts': contracts,
|
|
'contractSize': self.safe_number(order_data, 'contractSize', 1.0),
|
|
'entryPrice': entry_price,
|
|
'markPrice': current_price,
|
|
'notional': notional,
|
|
'leverage': 1,
|
|
'unrealizedPnl': self.safe_number(order_data, 'profit', 0),
|
|
'realizedPnl': 0,
|
|
'liquidationPrice': None,
|
|
'marginMode': 'cross',
|
|
'percentage': percentage,
|
|
'marginRatio': None,
|
|
'collateral': None,
|
|
'initialMargin': None,
|
|
'initialMarginPercentage': None,
|
|
'maintenanceMargin': None,
|
|
'maintenanceMarginPercentage': None,
|
|
'info': order_data,
|
|
}
|
|
|
|
def create_order(self, symbol, type, side, amount, price=None, params={}):
|
|
"""创建订单"""
|
|
self.load_token()
|
|
market = self.market(symbol)
|
|
|
|
request = {
|
|
'id': self.token,
|
|
'symbol': market['id'],
|
|
'volume': amount,
|
|
}
|
|
|
|
operation_map = {
|
|
'market': {
|
|
'buy': 'Buy',
|
|
'sell': 'Sell',
|
|
},
|
|
'limit': {
|
|
'buy': 'BuyLimit',
|
|
'sell': 'SellLimit',
|
|
},
|
|
'stop': {
|
|
'buy': 'BuyStop',
|
|
'sell': 'SellStop',
|
|
},
|
|
}
|
|
|
|
if type in operation_map and side in operation_map[type]:
|
|
request['operation'] = operation_map[type][side]
|
|
else:
|
|
raise InvalidOrder(self.id + ' createOrder does not support order type ' + type + ' and side ' + side)
|
|
|
|
if type in ['limit', 'stop'] and price is not None:
|
|
request['price'] = price
|
|
|
|
stop_loss = self.safe_number(params, 'stopLoss')
|
|
take_profit = self.safe_number(params, 'takeProfit')
|
|
if stop_loss is not None:
|
|
request['stoploss'] = stop_loss
|
|
if take_profit is not None:
|
|
request['takeprofit'] = take_profit
|
|
|
|
response = self.private_get_ordersend(self.extend(request, params))
|
|
return self.parse_order(response, market)
|
|
|
|
def cancel_order(self, id, symbol=None, params={}):
|
|
"""取消订单"""
|
|
self.load_token()
|
|
request = {
|
|
'id': self.token,
|
|
'ticket': int(id),
|
|
}
|
|
response = self.private_get_orderclose(self.extend(request, params))
|
|
return self.parse_order(response)
|
|
|
|
def sign(self, path, api='public', method='GET', params={}, headers=None, body=None):
|
|
"""签名请求"""
|
|
base_url = self.implode_hostname(self.urls['api'][api])
|
|
url = base_url + '/' + path
|
|
query = self.omit(params, self.extract_params(path))
|
|
|
|
if method == 'GET' and query:
|
|
url += '?' + self.urlencode(query)
|
|
|
|
return {
|
|
'url': url,
|
|
'method': method,
|
|
'body': body,
|
|
'headers': headers
|
|
} |