Skip to content

Commit 2af1b0d

Browse files
tigersktigersk
committed
Merge branch 'master' into 'dev'
Master See merge request server/openapi/openapi-python-sdk!116
2 parents c5baf28 + 96f7e84 commit 2af1b0d

File tree

13 files changed

+328
-17
lines changed

13 files changed

+328
-17
lines changed

‎CHANGELOG.md‎

Lines changed: 10 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -1,3 +1,13 @@
1+
## 2.1.3 (2022-07-01)
2+
### New
3+
- 长连接新增逐笔订阅: `PushClient.subscribe_tick`, 退订 `PushClient.unsubscribe_tick`
4+
- 新增已订阅查询回调方法 `PushClient.query_subscribed_callback` 取代旧有的 `Pushclient.subscribed_symbols`
5+
- `QuoteClient.get_trade_ticks` 新增 `trade_session` 参数，可指定该参数查询盘前盘后数据
6+
7+
### Modify
8+
- `Pushclient.subscribed_symbols` 标记为废弃
9+
10+
111
## 2.1.2 (2022-06-14)
212
### Modify
313
- 升级 stomp.py 版本, 将之前的 4.1.24 升级到 8.0.1

‎setup.py‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -16,7 +16,7 @@
1616
name='tigeropen',
1717
version=__VERSION__,
1818
description='TigerBrokers Open API',
19-
packages=find_packages(exclude=[]),
19+
packages=find_packages(exclude=["tests"]),
2020
author='TigerBrokers',
2121
author_email='[email protected]',
2222
license='Apache License v2',

‎tests/__init__.py‎

Lines changed: 4 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,4 @@
1+
# -*- coding: utf-8 -*-
2+
#
3+
# @Date : 2022/6/24
4+
# @Author : sukai

‎tests/test_push_client.py‎

Lines changed: 38 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,38 @@
1+
# -*- coding: utf-8 -*-
2+
#
3+
# @Date : 2022/6/24
4+
# @Author : sukai
5+
import unittest
6+
7+
from tigeropen.push.push_client import PushClient
8+
9+
10+
class TestPushClient(unittest.TestCase):
11+
12+
def test_tick_convert(self):
13+
body = '{"symbol":"QQQ","tickType":"*****","serverTimestamp":1656062042242,"priceOffset":2,' \
14+
'"volumes":[99,10,10,10,800],"partCode":["t","p","p","p","t"],"cond":"IIIIT","type":"TradeTick",' \
15+
'"times":[1656062084833,11,0,0,31],"quoteLevel":"usStockQuote","priceBase":28770,"sn":878,' \
16+
'"prices":[6,3,2,2,0],"timestamp":1656062085570}'
17+
18+
expected = 'QQQ', [{'tick_type': '*', 'price': 287.76, 'volume': 99, 'part_code': 'NSDQ',
19+
'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_ODD_LOT_TRADE',
20+
'time': 1656062084833, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
21+
'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
22+
{'tick_type': '*', 'price': 287.73, 'volume': 10, 'part_code': 'ARCA',
23+
'part_code_name': 'NYSE Arca, Inc. (NYSE Arca)', 'cond': 'US_ODD_LOT_TRADE',
24+
'time': 1656062084844, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
25+
'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
26+
{'tick_type': '*', 'price': 287.72, 'volume': 10, 'part_code': 'ARCA',
27+
'part_code_name': 'NYSE Arca, Inc. (NYSE Arca)', 'cond': 'US_ODD_LOT_TRADE',
28+
'time': 1656062084844, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
29+
'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
30+
{'tick_type': '*', 'price': 287.72, 'volume': 10, 'part_code': 'ARCA',
31+
'part_code_name': 'NYSE Arca, Inc. (NYSE Arca)', 'cond': 'US_ODD_LOT_TRADE',
32+
'time': 1656062084844, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
33+
'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
34+
{'tick_type': '*', 'price': 287.7, 'volume': 800, 'part_code': 'NSDQ',
35+
'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_FORM_T',
36+
'time': 1656062084875, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
37+
'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570}]
38+
self.assertEqual(expected, PushClient._convert_tick(body))

‎tigeropen/__init__.py‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -4,4 +4,4 @@
44
55
@author: gaoan
66
"""
7-
__VERSION__ = '2.1.2'
7+
__VERSION__ = '2.1.3'

‎tigeropen/common/consts/push_destinations.py‎

Lines changed: 1 addition & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -4,6 +4,7 @@
44
QUOTE_DEPTH = 'quotedepth'
55
QUOTE_FUTURE = 'future'
66
QUOTE_OPTION = 'option'
7+
TRADE_TICK = 'tradetick'
78

89
TRADE_ASSET = 'trade/asset'
910
TRADE_POSITION = 'trade/position'

‎tigeropen/common/consts/push_subscriptions.py‎

Lines changed: 1 addition & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -4,6 +4,7 @@
44
SUBSCRIPTION_QUOTE_DEPTH = 'QuoteDepth'
55
SUBSCRIPTION_QUOTE_FUTURE = 'Future'
66
SUBSCRIPTION_QUOTE_OPTION = 'Option'
7+
SUBSCRIPTION_TRADE_TICK = 'TradeTick'
78

89
SUBSCRIPTION_TRADE_ASSET = 'Asset'
910
SUBSCRIPTION_TRADE_POSITION = 'Position'

‎tigeropen/common/consts/tick_constants.py‎

Lines changed: 94 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,94 @@
1+
# -*- coding: utf-8 -*-
2+
#
3+
# @Date : 2022/6/23
4+
# @Author : sukai
5+
6+
HK_QUOTE_LEVEL_PREFIX = "hk"
7+
US_QUOTE_LEVEL_PREFIX = "us"
8+
9+
PART_CODE_NAME_MAP = {
10+
"a": "NYSE American, LLC (NYSE American)",
11+
"b": "NASDAQ OMX BX, Inc. (NASDAQ OMX BX)",
12+
"c": "NYSE National, Inc. (NYSE National)",
13+
"d": "FINRA Alternative Display Facility (ADF)",
14+
"h": "MIAX Pearl Exchange, LLC (MIAX)",
15+
"i": "International Securities Exchange, LLC (ISE)",
16+
"j": "Cboe EDGA Exchange, Inc. (Cboe EDGA)",
17+
"k": "Cboe EDGX Exchange, Inc. (Cboe EDGX)",
18+
"l": "Long-Term Stock Exchange, Inc. (LTSE)",
19+
"m": "NYSE Chicago, Inc. (NYSE Chicago)",
20+
"n": "New York Stock Exchange, LLC (NYSE)",
21+
"p": "NYSE Arca, Inc. (NYSE Arca)",
22+
"s": "Consolidated Tape System (CTS)",
23+
"t": "NASDAQ Stock Market, LLC (NASDAQ)",
24+
"u": "Members Exchange, LLC (MEMX)",
25+
"v": "Investors’ Exchange, LLC. (IEX)",
26+
"w": "CBOE Stock Exchange, Inc. (CBSX)",
27+
"x": "NASDAQ OMX PSX, Inc. (NASDAQ OMX PSX)",
28+
"y": "Cboe BYX Exchange, Inc. (Cboe BYX)",
29+
"z": "Cboe BZX Exchange, Inc. (Cboe BZX)",
30+
}
31+
32+
PART_CODE_MAP = {
33+
"a": "AMEX",
34+
"b": "BX",
35+
"c": "NSX",
36+
"d": "ADF",
37+
"h": "MIAX",
38+
"i": "ISE",
39+
"j": "EDGA",
40+
"k": "EDGX",
41+
"l": "LTSE",
42+
"m": "CHO",
43+
"n": "NYSE",
44+
"p": "ARCA",
45+
"s": "CTS",
46+
"t": "NSDQ",
47+
"u": "MEMX",
48+
"v": "IEX",
49+
"w": "CBSX",
50+
"x": "PSX",
51+
"y": "BYX",
52+
"z": "BZX",
53+
}
54+
55+
US_TRADE_COND_MAP = {
56+
" ": "US_REGULAR_SALE", # 自动对盘
57+
"B": "US_BUNCHED_TRADE", # 批量交易
58+
"C": "US_CASH_TRADE", # 现金交易
59+
"F": "US_INTERMARKET_SWEEP", # 跨市场交易
60+
"G": "US_BUNCHED_SOLD_TRADE", # 批量卖出
61+
"H": "US_PRICE_VARIATION_TRADE", # 离价交易
62+
"I": "US_ODD_LOT_TRADE", # 碎股交易
63+
"K": "US_RULE_127_OR_155_TRADE", # 纽交所 第127条交易 或 第155条交易
64+
"L": "US_SOLD_LAST", # 延迟交易
65+
"M": "US_MARKET_CENTER_CLOSE_PRICE", # 中央收市价
66+
"N": "US_NEXT_DAY_TRADE", # 隔日交易
67+
"O": "US_MARKET_CENTER_OPENING_TRADE", # 中央开盘价交易
68+
"P": "US_PRIOR_REFERENCE_PRICE", # 前参考价
69+
"Q": "US_MARKET_CENTER_OPEN_PRICE", # 中央开盘价
70+
"R": "US_SELLER", # 卖方
71+
"T": "US_FORM_T", # 盘前盘后交易
72+
"U": "US_EXTENDED_TRADING_HOURS", # 延长交易时段
73+
"V": "US_CONTINGENT_TRADE", # 合单交易
74+
"W": "US_AVERAGE_PRICE_TRADE", # 均价交易
75+
"X": "US_CROSS_TRADE", #
76+
"Z": "US_SOLD_OUT_OF_SEQUENCE", # 场外售出
77+
"0": "US_ODD_LOST_CROSS_TRADE", # 碎股跨市场交易
78+
"4": "US_DERIVATIVELY_PRICED", # 衍生工具定价
79+
"5": "US_MARKET_CENTER_RE_OPENING_TRADE", # 再开盘定价
80+
"6": "US_MARKET_CENTER_CLOSING_TRADE", # 收盘定价
81+
"7": "US_QUALIFIED_CONTINGENT_TRADE", # 合单交易
82+
"9": "US_CONSOLIDATED_LAST_PRICE_PER_LISTING_PACKET", # 综合延迟价格
83+
}
84+
85+
HK_TRADE_COND_MAP = {
86+
" ": "HK_AUTOMATCH_NORMAL", # 自动对盘
87+
"D": "HK_ODD_LOT_TRADE", # 碎股交易
88+
"U": "HK_AUCTION_TRADE", # 竞价交易
89+
"*": "HK_OVERSEAS_TRADE", # 场外交易
90+
"P": "HK_LATE_TRADE_OFF_EXCHG", # 开市前成交
91+
"M": "HK_NON_DIRECT_OFF_EXCHG_TRADE", # 非自动对盘
92+
"X": "HK_DIRECT_OFF_EXCHG_TRADE", # 同券商自动对盘
93+
"Y": "HK_AUTOMATIC_INTERNALIZED", # 同券商非自动对盘
94+
}

‎tigeropen/common/util/tick_util.py‎

Lines changed: 27 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,27 @@
1+
# -*- coding: utf-8 -*-
2+
#
3+
# @Date : 2022/6/24
4+
# @Author : sukai
5+
6+
from tigeropen.common.consts.tick_constants import PART_CODE_MAP, PART_CODE_NAME_MAP, HK_QUOTE_LEVEL_PREFIX, \
7+
HK_TRADE_COND_MAP, US_TRADE_COND_MAP
8+
9+
10+
def get_part_code(code):
11+
return PART_CODE_MAP.get(code)
12+
13+
14+
def get_part_code_name(code):
15+
return PART_CODE_NAME_MAP.get(code)
16+
17+
18+
def get_trade_condition_map(quote_level):
19+
if quote_level.lower().startswith(HK_QUOTE_LEVEL_PREFIX):
20+
return HK_TRADE_COND_MAP
21+
return US_TRADE_COND_MAP
22+
23+
24+
def get_trade_condition(cond, cond_map):
25+
return cond_map.get(cond)
26+
27+

‎tigeropen/examples/push_client_demo.py‎

Lines changed: 47 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -6,12 +6,29 @@
66
"""
77
import time
88
# from tigeropen.common.consts import QuoteKeyType
9+
import pandas as pd
10+
911
from tigeropen.push.push_client import PushClient
1012
from tigeropen.examples.client_config import get_client_config
1113

1214

15+
def query_subscribed_callback(data):
16+
"""
17+
callback of PushClient.query_subscribed_quote
18+
:param data:
19+
example:
20+
{'subscribed_symbols': ['QQQ'], 'limit': 1200, 'used': 1, 'symbol_focus_keys': {'qqq': ['open', 'prev_close', 'low', 'volume', 'latest_price', 'close', 'high']},
21+
'subscribed_quote_depth_symbols': ['NVDA'], 'quote_depth_limit': 20, 'quote_depth_used': 1,
22+
'subscribed_trade_tick_symbols': ['QQQ', 'AMD', '00700'], 'trade_tick_limit': 1200, 'trade_tick_used': 3
23+
}
24+
:return:
25+
"""
26+
print(data)
27+
28+
1329
def on_query_subscribed_quote(symbols, focus_keys, limit, used):
1430
"""
31+
deprecated. Use query_subscribed_callback instead.
1532
查询已订阅symbol回调
1633
:param symbols: 订阅合约的列表
1734
:param focus_keys: 每个合约订阅的 key 列表
@@ -58,6 +75,28 @@ def on_quote_changed(symbol, items, hour_trading):
5875
print(symbol, items, hour_trading)
5976

6077

78+
def on_tick_changed(symbol, items):
79+
"""
80+
81+
:param symbol:
82+
:param items:
83+
items example:
84+
[{'tick_type': '*', 'price': 293.87, 'volume': 102, 'part_code': 'NSDQ',
85+
'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_FORM_T', 'time': 1656405615779,
86+
'server_timestamp': 1656405573461, 'type': 'TradeTick', 'quote_level': 'usStockQuote', 'sn': 342,
87+
'timestamp': 1656405617385},
88+
{'tick_type': '*', 'price': 293.87, 'volume': 102, 'part_code': 'NSDQ',
89+
'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_FORM_T', 'time': 1656405616573,
90+
'server_timestamp': 1656405573461,
91+
'type': 'TradeTick', 'quote_level': 'usStockQuote', 'sn': 343, 'timestamp': 1656405617385}]
92+
:return:
93+
"""
94+
print(symbol, items)
95+
# convert to DataFrame
96+
# frame = pd.DataFrame(items)
97+
# print(frame)
98+
99+
61100
def on_order_changed(account, items):
62101
"""
63102
@@ -152,8 +191,12 @@ def disconnect_callback():
152191

153192
# 行情变动回调
154193
push_client.quote_changed = on_quote_changed
194+
# 逐笔数据回调
195+
push_client.tick_changed = on_tick_changed
155196
# 已订阅 symbol 查询回调
156-
push_client.subscribed_symbols = on_query_subscribed_quote
197+
push_client.query_subscribed_callback = query_subscribed_callback
198+
# 已订阅 symbol 查询回调(已废弃)
199+
# push_client.subscribed_symbols = on_query_subscribed_quote
157200
# 订单变动回调
158201
push_client.order_changed = on_order_changed
159202
# 资产变动回调
@@ -182,6 +225,9 @@ def disconnect_callback():
182225
# 订阅深度行情
183226
push_client.subscribe_depth_quote(['AMD', 'BABA'])
184227

228+
# 订阅逐笔数据
229+
push_client.subscribe_tick(['AMD', 'QQQ'])
230+
185231
# 订阅资产变动
186232
push_client.subscribe_asset()
187233
# 订阅订单变动

0 commit comments

Comments
 (0)