price util used to adjust price

Author: tigersk

tests/test_utils.py

@@ -0,0 +1,43 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2022/7/14
+# @Author  : sukai
+import unittest
+
+from tigeropen.common.util.price_util import PriceUtil
+
+
+class TestUtils(unittest.TestCase):
+    def test_price_util(self):
+        delta = 1e-6
+        tick_sizes = [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0001},
+                      {'begin': '1', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 0.01}]
+        self.assertFalse(PriceUtil.match_tick_size(None, None))
+        self.assertTrue(PriceUtil.match_tick_size(2.33, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(2.3, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(1.334, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(0.5, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(0.22223, tick_sizes))
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2.334, tick_sizes, True), 2.34, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2.334, tick_sizes, False), 2.33, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2.3345, None), 2.3345, delta=delta)
+
+        tick_sizes = [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0005},
+                      {'begin': '1', 'end': '100', 'type': 'OPEN_CLOSED', 'tick_size': 0.05},
+                      {'begin': '100', 'end': '1000', 'type': 'OPEN_CLOSED', 'tick_size': 1.0},
+                      {'begin': '1000', 'end': '10000', 'type': 'OPEN_CLOSED', 'tick_size': 2.0},
+                      {'begin': '10000', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 5.0}]
+        self.assertTrue(PriceUtil.match_tick_size(0.0005, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(1.15, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(0.0008, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(1.11, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(300, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(300.5, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(5001, tick_sizes))
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(0.0021, tick_sizes), 0.002, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(0.0021, tick_sizes, True), 0.0025, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(3.027, tick_sizes), 3.0, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(3.027, tick_sizes, True), 3.05, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(200.5, tick_sizes), 200, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2001, tick_sizes, True), 2002, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(20001, tick_sizes, True), 20005, delta=delta)

tigeropen/common/util/price_util.py

@@ -2,9 +2,86 @@
 # 
 # @Date    : 2022/7/13
 # @Author  : sukai
+from decimal import Decimal, ROUND_DOWN
+
+import math
+
+from tigeropen.common.consts import TickSizeType
+
 
 class PriceUtil:
+    INFINITY = 'Infinity'
+    RELATIVE_TOLERANCE = 1e-6
 
     @staticmethod
     def match_tick_size(price, tick_sizes):
-        pass
+        """
+        check if the price matches the tick sizes
+        :param price: user input price
+        :param tick_sizes: tick sizes list like:
+                        [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0001},
+                        {'begin': '1', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 0.01}]
+        :return:
+        """
+        if not price or not tick_sizes:
+            return False
+        fixed_price = PriceUtil.fix_price_by_tick_size(price=price, tick_sizes=tick_sizes)
+        return math.isclose(price, fixed_price, rel_tol=PriceUtil.RELATIVE_TOLERANCE)
+
+    @staticmethod
+    def fix_price_by_tick_size(price, tick_sizes, is_up=False):
+        """
+        fix the user input price by tick sizes of the contract
+        :param price:
+        :param tick_sizes:
+        :param is_up:
+        :return:
+        """
+        if not price:
+            return None
+        tick_size_item = PriceUtil._find_tick_size_item(price=price, tick_sizes=tick_sizes)
+        if not tick_size_item:
+            return price
+        min_tick = tick_size_item.get('tick_size')
+        begin = tick_size_item.get('begin')
+        return PriceUtil._round_with_tick(price=price, begin=begin, min_tick=min_tick, is_up=is_up)
+
+    @staticmethod
+    def _find_tick_size_item(price, tick_sizes):
+        """
+        :param price:
+        :param tick_sizes: tick size infos, example:
+                    [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0001},
+                     {'begin': '1', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 0.01}]
+        :return: dict
+        """
+        if not price or not tick_sizes:
+            return None
+        for item in tick_sizes:
+            type_ = item.get('type')
+            begin = float(item.get('begin'))
+            end = float('inf') if PriceUtil.INFINITY == item.get('end') else float(item.get('end'))
+
+            if TickSizeType.OPEN.value == type_:
+                if begin < price < end:
+                    return item
+            elif TickSizeType.OPEN_CLOSED.value == type_:
+                if begin < price <= end:
+                    return item
+            elif TickSizeType.CLOSED.value == type_:
+                if begin <= price <= end:
+                    return item
+        return None
+
+    @staticmethod
+    def _round_with_tick(price, begin, min_tick, is_up):
+        p = Decimal(str(price))
+        t = Decimal(str(min_tick))
+        base = Decimal(str(begin))
+        multiple = (p - base) / t
+        if multiple <= 0:
+            return price
+        if is_up:
+            multiple += Decimal(1)
+
+        return float(multiple.quantize(0, ROUND_DOWN) * t + base)

tigeropen/examples/trade_client_demo.py

@@ -7,6 +7,7 @@
 import logging
 import traceback
 
+from tigeropen.common.util.price_util import PriceUtil
 from tigeropen.trade.domain.order import OrderStatus
 from tigeropen.trade.request.model import AccountsParams
 from tigeropen.tiger_open_client import TigerOpenClient
@@ -119,6 +120,13 @@ def trade_apis():
     order_legs = openapi_client.get_open_orders(account, parent_id=main_order.order_id)
     print(order_legs)
 
+    # adjust price by contract tick sizes
+    contract = openapi_client.get_contract('UVXY')
+    price = 10.125
+    if not PriceUtil.match_tick_size(price, contract.tick_sizes):
+        price = PriceUtil.fix_price_by_tick_size(price, contract.tick_sizes)
+
+
 
 def algo_order_demo():
     account = client_config.account