delay quote api; option chain filter

Author: tigersk

.gitignore

@@ -136,3 +136,6 @@ dmypy.json
 
 # Cython debug symbols
 cython_debug/
+
+# other
+.DS_Store

CHANGELOG.md

@@ -0,0 +1,78 @@
+## 2.0.3 (2021-12-01)
+### New
+- 期权链查询接口支持过滤 QuoteClient.get_option_chain 
+- 新增延迟行情接口 QuoteClient.get_stock_delay_briefs
+
+## 2.0.2 (2021-11-01)
+### Changed
+-  移除 client_config 中不常用的属性
+-  长链接订阅优化
+
+## 2.0.1 (2021-09-18)
+### Breaking
+-  移除 python2 的兼容
+
+## 1.4.0 (2021-06-28)
+### New
+-  新增深度行情查询及订阅
+-  新增行情权限抢占接口
+
+## 1.2.0 (2020-04-02)
+### New
+-  新增行业接口
+
+## 1.1.10 (2020-01-19)
+### New
+-  新增公司行动日历数据
+-  新增附加订单（仅环球账户）
+
+## 1.1.9 (2019-10-28)
+### Fixed
+-  修复 1.1.8 的安装问题
+
+## 1.1.8 (2019-10-27)
+### New
+-  持仓、订单相关接口中增加identifier，做为相关标的的唯一识别符。
+-  期权增增加 underlying asset 的历史波动率
+
+## 1.1.7 (2019-08-02)
+### New
+-  期货行情的推送价格默认处理为小数
+-  订单与持仓推送中增加 symbol 字段（请注意标准账户与环球账户的差异）
+-  账户资产（asset）推送中新增 segment ，表示推送的账户类型。
+-  股票合约中增加保证金交易相关数据
+-  example 中增加了一个示例策略
+-  新增一个生成 client_config 的方法
+
+
+## 1.1.6 (2019-07-12)
+### New
+-  支持按照 account 订阅持仓、订单、资产信息
+
+## 1.1.5 (2019-06-27)
+### New
+-  get_contracts 支持批量获取合约
+-  PushClient 中的行情支持按照成交与报价分类订阅
+-  PushClient 修复盘前成交推送的bug
+-  PushClient 中的时间戳改为按需推送，不再需要单独订阅
+-  重新梳理了get_assets接口，股票与期货交易使用更加清晰
+### Documentation
+-  SDK 中补全了文档，方便在IDE中快速查看
+
+
+## 1.1.4 (2019-06-06)
+### New
+-  创建订单不再需要联网请求合约数据和申请订单号， 减少为 place_order 一个请求
+-  获取订单列表，订单列表支持一次查询股票和期货订单
+-  行情订阅的 focus_key 订阅逻辑修复， 支持订阅指定字段的推送
+-  get_order 支持按照 id 查询订单
+-  get_trade_ticks 返回多只股票
+-  新增公司行动数据 API， 含分红以及拆合股数据
+-  添加基本面 API，含日级别的估值数据以及财报级别的三大报表及衍生因子
+-  增加已成交、待撤销和已撤销的订单列表
+-  push_client 中新增加分钟分时的推送
+-  push_client 中的订单状态改为 OrderStatus 对象
+-  push_client 中增加心跳，减少链接断开的可能
+-  期货增加 3min、45min 等周期行情的查询， 修复期货 1min 周期的查询
+### Fixed
+-  修复 get_orders 的 sec_type 无效的问题

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.0.2'
+__VERSION__ = '2.0.3'

tigeropen/common/consts/__init__.py

@@ -11,7 +11,8 @@
     Leverage, Profitability
 from .quote_keys import QuoteChangeKey, QuoteKeyType
 
-OPEN_API_SDK_VERSION = "2.0"
+OPEN_API_SERVICE_VERSION = "2.0"
+OPEN_API_SERVICE_VERSION_V3 = "3.0"
 
 THREAD_LOCAL = threading.local()
 

tigeropen/common/consts/service_types.py

@@ -40,6 +40,7 @@
 KLINE = "kline"
 TRADE_TICK = "trade_tick"
 QUOTE_REAL_TIME = "quote_real_time"
+QUOTE_DELAY = "quote_delay"
 QUOTE_SHORTABLE_STOCKS = "quote_shortable_stocks"
 QUOTE_STOCK_TRADE = "quote_stock_trade"
 QUOTE_DEPTH = "quote_depth"  # level2 深度行情

tigeropen/common/model.py

@@ -0,0 +1,16 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2021/11/12
+# @Author  : sukai
+
+class BaseParams:
+    def __init__(self):
+        self._version = None  # api版本
+
+    @property
+    def version(self):
+        return self._version
+
+    @version.setter
+    def version(self, value):
+        self._version = value

tigeropen/common/util/string_utils.py

@@ -6,6 +6,8 @@
 """
 import re
 
+CAMEL_PATTERN = re.compile(r'([a-z]|\d)([A-Z])')
+
 
 def add_start_end(key, start_marker, end_marker):
     if key.find(start_marker) < 0:
@@ -16,8 +18,4 @@ def add_start_end(key, start_marker, end_marker):
 
 
 def camel_to_underline(hunp_str):
-    p = re.compile(r'([a-z]|\d)([A-Z])')
-    sub = re.sub(p, r'\1_\2', hunp_str).lower()
-    return sub
-
-
+    return re.sub(CAMEL_PATTERN, r'\1_\2', hunp_str).lower()

tigeropen/examples/quote_client_demo.py

@@ -8,6 +8,7 @@
 import pandas as pd
 from tigeropen.common.consts import Market, QuoteRight, FinancialReportPeriodType, Valuation, \
     Income, Balance, CashFlow, BalanceSheetRatio, Growth, Leverage, Profitability, IndustryLevel
+from tigeropen.quote.domain.filter import OptionFilter
 
 from tigeropen.quote.quote_client import QuoteClient
 
@@ -50,6 +51,10 @@ def get_quote():
     stock_details = openapi_client.get_stock_details(['AAPL', '03690'])
     print(stock_details)
 
+    # 获取延迟行情
+    delay_brief = openapi_client.get_stock_delay_briefs(['AAPL', 'GOOG'])
+    print(delay_brief)
+
 
 def get_option_quote():
     symbol = 'AAPL'
@@ -66,6 +71,19 @@ def get_option_quote():
     ticks = openapi_client.get_option_trade_ticks(['AAPL  190104P00134000'])
     print(ticks)
 
+    # option chain filter
+    option_filter = OptionFilter(implied_volatility_min=0.5, implied_volatility_max=0.9, delta_min=0, delta_max=1,
+                                 open_interest_min=100, gamma_min=0.005, theta_max=-0.05, in_the_money=True)
+    chains = openapi_client.get_option_chain('AAPL', '2023-01-20', option_filter=option_filter)
+    print(chains)
+    # or
+    chains = openapi_client.get_option_chain('AAPL', '2023-01-20', implied_volatility_min=0.5, open_interest_min=200,
+                                             vega_min=0.1, rho_max=0.9)
+    # convert expiry date to US/Eastern
+    chains['expiry_date'] = pd.to_datetime(chains['expiry'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('US/Eastern')
+    print(chains)
+
+
 
 def get_future_quote():
     exchanges = openapi_client.get_future_exchanges()

tigeropen/fundamental/request/model.py

@@ -1,8 +1,10 @@
 # -*- coding: utf-8 -*-
+from tigeropen.common.model import BaseParams
 
 
-class FinancialDailyParams:
+class FinancialDailyParams(BaseParams):
     def __init__(self):
+        super(FinancialDailyParams, self).__init__()
         self._symbols = None
         self._market = None
         self._period_type = None
@@ -82,8 +84,9 @@ def to_openapi_dict(self):
         return params
 
 
-class FinancialReportParams:
+class FinancialReportParams(BaseParams):
     def __init__(self):
+        super(FinancialReportParams, self).__init__()
         self._symbols = None
         self._market = None
         self._fields = None
@@ -139,8 +142,9 @@ def to_openapi_dict(self):
         return params
 
 
-class CorporateActionParams:
+class CorporateActionParams(BaseParams):
     def __init__(self):
+        super(CorporateActionParams, self).__init__()
         self._symbols = None
         self._market = None
         self._action_type = None
@@ -208,8 +212,9 @@ def to_openapi_dict(self):
         return params
 
 
-class IndustryParams:
+class IndustryParams(BaseParams):
     def __init__(self):
+        super(IndustryParams, self).__init__()
         self._industry_level = None
         self._industry_id = None
         self._market = None

tigeropen/quote/domain/filter.py

@@ -0,0 +1,58 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2021/11/15
+# @Author  : sukai
+
+GREEKS = ['delta', 'gamma', 'theta', 'vega', 'rho']
+
+
+class OptionFilter:
+    def __init__(self, implied_volatility_min=None, implied_volatility_max=None, open_interest_min=None,
+                 open_interest_max=None, delta_min=None, delta_max=None, gamma_min=None, gamma_max=None,
+                 theta_min=None, theta_max=None, vega_min=None, vega_max=None, rho_min=None, rho_max=None,
+                 in_the_money=None):
+        """
+        option filter
+        :param implied_volatility_min:
+        :param implied_volatility_max:
+        :param open_interest_min:
+        :param open_interest_max:
+        :param delta_min:
+        :param delta_max:
+        :param gamma_min:
+        :param gamma_max:
+        :param theta_min:
+        :param theta_max:
+        :param vega_min:
+        :param vega_max:
+        :param rho_min:
+        :param rho_max:
+        :param in_the_money:
+        """
+        self.implied_volatility_min = implied_volatility_min
+        self.implied_volatility_max = implied_volatility_max
+        self.open_interest_min = open_interest_min
+        self.open_interest_max = open_interest_max
+        self.delta_min = delta_min
+        self.delta_max = delta_max
+        self.gamma_min = gamma_min
+        self.gamma_max = gamma_max
+        self.theta_min = theta_min
+        self.theta_max = theta_max
+        self.vega_min = vega_min
+        self.vega_max = vega_max
+        self.rho_min = rho_min
+        self.rho_max = rho_max
+        self.in_the_money = in_the_money
+
+    def to_dict(self):
+        return {'greeks': self._get_greeks(),
+                'implied_volatility': self._min_max('implied_volatility'),
+                'open_interest': self._min_max('open_interest'),
+                'in_the_money': self.in_the_money}
+
+    def _get_greeks(self):
+        return {greek: self._min_max(greek) for greek in GREEKS}
+
+    def _min_max(self, k):
+        return {'min': getattr(self, k + '_min'), 'max': getattr(self, k + '_max')}