Merge branch 'master' into level2

Author: tigersk

requirements.txt

@@ -1,9 +1,10 @@
-six
-simplejson
-delorean
-pandas==0.24.2
-python-dateutil
-pytz
+six==1.13.0
+simplejson==3.17.0
+delorean==1.0.0
+pandas==0.25.3
+python-dateutil==2.8.1
+pytz==2019.3
 pyasn1==0.4.2
 rsa==4.0
-stomp.py
+stomp.py==4.1.22
+enum34==1.1.6

setup.py

@@ -7,12 +7,12 @@
 from os import path
 from setuptools import find_packages, setup
 
-with open(path.join(path.abspath(path.dirname(__file__)), 'requirements.txt'), encoding='utf-8') as f:
+with open(path.join(path.abspath(path.dirname(__file__)), 'requirements.txt')) as f:
     install_requires = f.read()
 
 setup(
     name='tigeropen',
-    version='1.1.9',
+    version='1.3.3',
     description='TigerBrokers Open API',
     packages=find_packages(exclude=[]),
     author='TigerBrokers',

tigeropen/common/consts/__init__.py

@@ -31,6 +31,7 @@ class Market(Enum):
     US = 'US'  # 美股
     HK = 'HK'  # 港股
     CN = 'CN'  # A股
+    SG = 'SG'  # 新加坡
 
 
 @unique
@@ -62,6 +63,7 @@ class Currency(Enum):
     USD = 'USD'  # 美元
     HKD = 'HKD'  # 港币
     CNH = 'CNH'  # 离岸人民币
+    SGD = 'SGD'  # 新加坡币
 
 
 @unique
@@ -132,3 +134,15 @@ class CorporateActionType(Enum):
     """
     SPLIT = 'split'  # 拆合股
     DIVIDEND = 'dividend'  # 分红
+    EARNINGS_CALENDAR = 'earning'  # 财报日历
+
+
+@unique
+class IndustryLevel(Enum):
+    """
+    行业级别. 级别从1级到4级依次为: GSECTOR, GGROUP, GIND, GSUBIND
+    """
+    GSECTOR = 'GSECTOR'
+    GGROUP = 'GGROUP'
+    GIND = 'GIND'
+    GSUBIND = 'GSUBIND'

tigeropen/common/consts/push_types.py

@@ -60,3 +60,5 @@ class ResponseType(Enum):
     GET_SUB_SYMBOLS_END = 111
     GET_SUBSCRIBE_END = 112
     GET_CANCEL_SUBSCRIBE_END = 113
+
+    ERROR_END = 200

tigeropen/common/consts/service_types.py

@@ -66,3 +66,9 @@
 FINANCIAL_DAILY = 'financial_daily'
 FINANCIAL_REPORT = 'financial_report'
 CORPORATE_ACTION = 'corporate_action'
+
+# 行业数据
+INDUSTRY_LIST = 'industry_list'
+INDUSTRY_STOCKS = 'industry_stocks'
+STOCK_INDUSTRY = 'stock_industry'
+

tigeropen/common/util/contract_utils.py

@@ -5,6 +5,8 @@
 @author: gaoan
 """
 import re
+
+from tigeropen.common.consts import SecurityType
 from tigeropen.trade.domain.contract import Contract
 
 
@@ -13,7 +15,8 @@ def stock_contract(symbol, currency, local_symbol=None, exchange=None, contract_
                     contract_id=contract_id)
 
 
-def option_contract_by_symbol(symbol, expiry, strike, put_call, currency, multiplier=100, local_symbol=None, contract_id=None):
+def option_contract_by_symbol(symbol, expiry, strike, put_call, currency, multiplier=100, local_symbol=None,
+                              contract_id=None):
     return Contract(symbol, currency, sec_type='OPT', expiry=expiry, strike=strike, put_call=put_call,
                     multiplier=multiplier, local_symbol=local_symbol, contract_id=contract_id)
 
@@ -26,7 +29,8 @@ def option_contract(identifier, multiplier=100, currency='USD'):
                     multiplier=multiplier)
 
 
-def future_contract(symbol, currency, expiry=None, exchange=None, contract_month=None, multiplier=None, local_symbol=None):
+def future_contract(symbol, currency, expiry=None, exchange=None, contract_month=None, multiplier=None,
+                    local_symbol=None):
     return Contract(symbol, currency, sec_type='FUT', expiry=expiry, exchange=exchange, contract_month=contract_month,
                     multiplier=multiplier, local_symbol=local_symbol)
 
@@ -41,14 +45,28 @@ def cash_contract(symbol, currency, local_symbol=None):
     return Contract(symbol, currency, sec_type='CASH', local_symbol=local_symbol)
 
 
+def war_contract_by_symbol(symbol, expiry, strike, put_call, local_symbol, multiplier=100, currency='HKD',
+                           contract_id=None):
+    """港股窝轮"""
+    return Contract(symbol, currency=currency, sec_type=SecurityType.WAR.value, expiry=expiry, strike=strike,
+                    put_call=put_call, local_symbol=local_symbol, multiplier=multiplier, contract_id=contract_id)
+
+
+def iopt_contract_by_symbol(symbol, expiry, strike, put_call, local_symbol, multiplier=100, currency='HKD',
+                            contract_id=None):
+    """港股牛熊证"""
+    return Contract(symbol, currency=currency, sec_type=SecurityType.IOPT.value, expiry=expiry, strike=strike,
+                    put_call=put_call, local_symbol=local_symbol, multiplier=multiplier, contract_id=contract_id)
+
+
 def extract_option_info(identifier):
     """
     从期权中提取 symbol, expiry 等信息
     :param identifier:
     :return:
     """
     if identifier:
-        tokens = re.findall(r'(\w+)\s*(\d{6})(C|P)(\d+)', identifier, re.M)
+        tokens = re.findall(r'(\w+)\s*(\d{6})([CP])(\d+)', identifier, re.M)
         if len(tokens) == 1:
             underlying_symbol, expiry, put_call, strike = tokens[0]
             expiry = '20' + expiry

tigeropen/common/util/order_utils.py

@@ -4,7 +4,7 @@
 
 @author: gaoan
 """
-from tigeropen.trade.domain.order import Order
+from tigeropen.trade.domain.order import Order, OrderLeg, AlgoParams
 from tigeropen.common.consts import OrderStatus
 
 
@@ -74,6 +74,63 @@ def trail_order(account, contract, action, quantity, trailing_percent=None, aux_
     return Order(account, contract, action, 'TRAIL', quantity, trailing_percent=trailing_percent, aux_price=aux_price)
 
 
+def order_leg(leg_type, price, time_in_force='DAY', outside_rth=None):
+    """
+    附加订单
+    :param leg_type: 附加订单类型. PROFIT 止盈单类型,  LOSS 止损单类型
+    :param price: 附加订单价格.
+    :param time_in_force: 附加订单有效期. 'DAY'（当日有效）和'GTC'（取消前有效 Good-Til-Canceled).
+    :param outside_rth: 附加订单是否允许盘前盘后交易(美股专属). True 允许, False 不允许.
+    """
+    return OrderLeg(leg_type=leg_type, price=price, time_in_force=time_in_force, outside_rth=outside_rth)
+
+
+def limit_order_with_legs(account, contract, action, quantity, limit_price, order_legs=None):
+    """
+    限价单 + 附加订单(仅环球账户支持)
+    :param account:
+    :param contract:
+    :param action: BUY/SELL
+    :param quantity:
+    :param limit_price: 限价单价格
+    :param order_legs: 附加订单列表
+    :return:
+    """
+    if order_legs and len(order_legs) > 2:
+        raise Exception('2 order legs at most')
+    return Order(account, contract, action, 'LMT', quantity, limit_price=limit_price, order_legs=order_legs)
+
+
+def algo_order_params(start_time=None, end_time=None, no_take_liq=None, allow_past_end_time=None, participation_rate=None):
+    """
+    算法订单参数
+    :param start_time: 生效开始时间(时间戳 TWAP和VWAP专用)
+    :param end_time: 生效结束时间(时间戳 TWAP和VWAP专用)
+    :param no_take_liq: 是否尽可能减少交易次数(VWAP订单专用)
+    :param allow_past_end_time: 是否允许生效时间结束后继续完成成交(TWAP和VWAP专用)
+    :param participation_rate: 参与率(VWAP专用,0.01-0.5)
+    :return:
+    """
+    return AlgoParams(start_time=start_time, end_time=end_time, no_take_liq=no_take_liq,
+                      allow_past_end_time=allow_past_end_time, participation_rate=participation_rate)
+
+
+def algo_order(account, contract, action, quantity, strategy, algo_params=None, limit_price=None):
+    """
+    算法订单
+    :param account:
+    :param contract:
+    :param action:
+    :param quantity:
+    :param strategy: 交易量加权平均价格（VWAP）/时间加权平均价格(TWAP)
+    :param algo_params: tigeropen.trade.domain.order.AlgoParams
+    :param limit_price:
+    :return:
+    """
+    return Order(account, contract, action, order_type=strategy, quantity=quantity, algo_params=algo_params,
+                 limit_price=limit_price, outside_rth=False)
+
+
 def get_order_status(value):
     """
     Invalid(-2), Initial(-1), PendingCancel(3), Cancelled(4), Submitted(5), Filled(6), Inactive(7), PendingSubmit(8)

tigeropen/common/util/web_utils.py

@@ -68,7 +68,7 @@ def do_post(url, query_string=None, headers=None, params=None, timeout=15, chars
     response = connection.getresponse()
     result = response.read()
 
-    if response.status is not 200:
+    if response.status != 200:
         if PYTHON_VERSION_3 and charset:
             result = result.decode(charset)
         raise ResponseException('[' + THREAD_LOCAL.uuid + ']invalid http status ' + str(response.status) +

tigeropen/examples/client_config.py

@@ -18,7 +18,9 @@ def get_client_config():
     client_config = TigerOpenClientConfig(sandbox_debug=is_sandbox)
     client_config.private_key = read_private_key('your private key file path')
     client_config.tiger_id = 'your tiger id'
-    client_config.account = 'your account'  # 环球账户
+    client_config.account = 'your account'  # 环球账户.
+    # 只使用一个账户时，不论是环球账户, 标准账户或是模拟账户, 都填在 client_config.account 下, 默认只会使用这里的账户.
+    # standard_account 属性和 paper_account 属性只是为多账户时取用方便, 一般可忽略
     client_config.standard_account = None  # 标准账户
     client_config.paper_account = None  # 模拟账户
     client_config.language = Language.en_US

tigeropen/examples/push_client_demo.py

@@ -90,6 +90,24 @@ def on_position_changed(account, items):
     print(account, items)
 
 
+def subscribe_callback(destination, content):
+    """
+    订阅成功与否的回调
+    :param destination: 订阅的类型. 有 quote, trade/asset, trade/position, trade/order
+    :param content: 回调信息. 如成功 {'code': 0, 'message': 'success'}; 若失败则 code 不为0, message 为错误详情
+    """
+    print('subscribe:{}, callback content:{}'.format(destination, content))
+
+
+def unsubscribe_callback(destination, content):
+    """
+    退订成功与否的回调
+    :param destination: 取消订阅的类型. 有 quote, trade/asset, trade/position, trade/order
+    :param content: 回调信息.
+    """
+    print('subscribe:{}, callback content:{}'.format(destination, content))
+
+
 # def connect_callback():
 #     """连接建立回调"""
 #     print('connected')
@@ -126,9 +144,14 @@ def on_position_changed(account, items):
     # 持仓变动回调
     # push_client.position_changed = on_position_changed
 
+    # 订阅成功与否的回调
+    push_client.subscribe_callback = subscribe_callback
+    # 退订成功与否的回调
+    push_client.unsubscribe_callback = unsubscribe_callback
+
     # 建立推送连接
     push_client.connect(client_config.tiger_id, client_config.private_key)
-    # 断线重连
+    # 断线重连回调
     # push_client.disconnect_callback = disconnect_callback
 
     # 订阅行情