Merge branch 'feature_execution_push' into 'dev'

Feature execution push

See merge request server/openapi/openapi-python-sdk!139

Author: tigersk

CHANGELOG.md

@@ -1,3 +1,8 @@
+## 2.2.2 (2022-11-22)
+### New
+- 订单支持GTD类型, 下单时可通过指定 Order 属性 time_in_force = "GTD" 设置
+- 订单成交明细支持长链接订阅推送
+
 ## 2.2.1 (2022-11-07)
 ### Fixed
 - 修复 `TradeClient.get_trade_ticks` begin_index 参数传 0 不生效的问题

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.2.1'
+__VERSION__ = '2.2.2'

tigeropen/common/consts/push_destinations.py

@@ -9,3 +9,4 @@
 TRADE_ASSET = 'trade/asset'
 TRADE_POSITION = 'trade/position'
 TRADE_ORDER = 'trade/order'
+TRADE_TRANSACTION = 'trade/transaction'

tigeropen/common/consts/push_subscriptions.py

@@ -9,3 +9,4 @@
 SUBSCRIPTION_TRADE_ASSET = 'Asset'
 SUBSCRIPTION_TRADE_POSITION = 'Position'
 SUBSCRIPTION_TRADE_ORDER = 'OrderStatus'
+SUBSCRIPTION_TRADE_TRANSACTION = 'TradeTransaction'

tigeropen/common/consts/push_types.py

@@ -45,6 +45,7 @@ class ResponseType(Enum):
     SUBSCRIBE_ORDER_STATUS = 9
     SUBSCRIBE_POSITION = 10
     SUBSCRIBE_ASSET = 11
+    SUBSCRIBE_TRADE_EXECUTION = 12
 
     # 行情
     GET_MARKET_STATE_END = 101

tigeropen/examples/push_client_demo.py

@@ -123,6 +123,19 @@ def on_order_changed(account, items):
     """
     print(account, items)
 
+def on_transaction_changed(account, items):
+    """
+
+    :param account:
+    :param items:
+    :return:
+    account:11111,
+    items: [('id', 28819544190616576), ('currency', 'USD'), ('sec_type', 'FUT'), ('market', 'SG'), ('symbol', 'CN'),
+     ('multiplier', 1.0), ('action', 'BUY'), ('filled_quantity', 1.0), ('filled_price', 12309.0),
+     ('order_id', 28819544031364096), ('transact_time', 1668774872538), ('create_time', 1668774872946),
+      ('update_time', 1668774872946), ('identifier', 'CN2212'), ('timestamp', 1668774873002), ('segment', 'C')]
+    """
+    print(f'account:{account}, items: {items}')
 
 def on_asset_changed(account, items):
     """
@@ -210,6 +223,8 @@ def disconnect_callback():
     # push_client.subscribed_symbols = on_query_subscribed_quote
     # 订单变动回调
     push_client.order_changed = on_order_changed
+    # 订单执行明细回调
+    push_client.transaction_changed = on_transaction_changed
     # 资产变动回调
     push_client.asset_changed = on_asset_changed
     # 持仓变动回调
@@ -244,6 +259,8 @@ def disconnect_callback():
     push_client.subscribe_asset()
     # 订阅订单变动
     push_client.subscribe_order()
+    # 订阅订单执行明细
+    push_client.subscribe_transaction()
     # 订阅持仓变动
     push_client.subscribe_position()
     # 查询已订阅的 symbol

tigeropen/push/push_client.py

@@ -17,10 +17,10 @@
 from tigeropen.common.consts import OrderStatus
 from tigeropen.common.consts.params import P_SDK_VERSION, P_SDK_VERSION_PREFIX
 from tigeropen.common.consts.push_destinations import QUOTE, QUOTE_DEPTH, QUOTE_FUTURE, QUOTE_OPTION, TRADE_ASSET, \
-    TRADE_ORDER, TRADE_POSITION, TRADE_TICK
+    TRADE_ORDER, TRADE_POSITION, TRADE_TICK, TRADE_TRANSACTION
 from tigeropen.common.consts.push_subscriptions import SUBSCRIPTION_QUOTE, SUBSCRIPTION_QUOTE_DEPTH, \
     SUBSCRIPTION_QUOTE_OPTION, SUBSCRIPTION_QUOTE_FUTURE, SUBSCRIPTION_TRADE_ASSET, SUBSCRIPTION_TRADE_POSITION, \
-    SUBSCRIPTION_TRADE_ORDER, SUBSCRIPTION_TRADE_TICK
+    SUBSCRIPTION_TRADE_ORDER, SUBSCRIPTION_TRADE_TICK, SUBSCRIPTION_TRADE_TRANSACTION
 from tigeropen.common.consts.push_types import RequestType, ResponseType
 from tigeropen.common.consts.quote_keys import QuoteChangeKey, QuoteKeyType
 from tigeropen.common.exceptions import ApiException
@@ -97,6 +97,7 @@ def __init__(self, host, port, use_ssl=True, connection_timeout=120, heartbeats=
         self.asset_changed = None
         self.position_changed = None
         self.order_changed = None
+        self.transaction_changed = None
         self.connect_callback = None
         self.disconnect_callback = None
         self.subscribe_callback = None
@@ -273,6 +274,16 @@ def on_message(self, frame):
                                 items.append((camel_to_underline(key), value))
                         if items:
                             self.order_changed(account, items)
+            elif response_type == str(ResponseType.SUBSCRIBE_TRADE_EXECUTION.value):
+                data = json.loads(body)
+                if self.transaction_changed:
+                    if 'account' in data:
+                        account = data.pop('account', None)
+                        items = []
+                        for key, value in data.items():
+                            items.append((camel_to_underline(key), value))
+                        if items:
+                            self.transaction_changed(account, items)
             elif response_type == str(ResponseType.GET_SUBSCRIBE_END.value):
                 if self.subscribe_callback:
                     self.subscribe_callback(headers.get('destination'), json.loads(body))
@@ -345,6 +356,20 @@ def unsubscribe_order(self, id=None):
         """
         self._handle_trade_unsubscribe(TRADE_ORDER, SUBSCRIPTION_TRADE_ORDER, sub_id=id)
 
+    def subscribe_transaction(self, account=None):
+        """
+        订阅订单执行明细
+        :return:
+        """
+        return self._handle_trade_subscribe(TRADE_TRANSACTION, SUBSCRIPTION_TRADE_TRANSACTION, account)
+
+    def unsubscribe_transaction(self, id=None):
+        """
+        退订订单执行明细
+        :return:
+        """
+        self._handle_trade_unsubscribe(TRADE_TRANSACTION, SUBSCRIPTION_TRADE_TRANSACTION, sub_id=id)
+
     def subscribe_quote(self, symbols, quote_key_type=QuoteKeyType.TRADE, focus_keys=None):
         """
         订阅行情更新

tigeropen/quote/quote_client.py

@@ -72,8 +72,9 @@ class QuoteClient(TigerOpenClient):
 
     def __init__(self, client_config, logger=None, is_grab_permission=True):
         if not logger:
-            self.logger = logging.getLogger('tiger_openapi')
-        super(QuoteClient, self).__init__(client_config, logger=self.logger)
+            logger = logging.getLogger('tiger_openapi')
+        self.logger = logger
+        super(QuoteClient, self).__init__(client_config, logger=logger)
         self._lang = LANGUAGE
         self._timezone = eastern
         self._url = None

tigeropen/trade/domain/order.py

@@ -17,7 +17,7 @@ class Order:
                  "trail_stop_price", "limit_price", "aux_price", "trailing_percent", "percent_offset", "action",
                  "order_type", "time_in_force", "outside_rth", "order_legs", "algo_params", "algo_strategy",
                  "secret_key", "liquidation", "discount", "attr_desc", "source", 'adjust_limit', 'sub_ids', "user_mark",
-                 "update_time"]
+                 "update_time", "expire_time"]
 
     def __init__(self, account, contract, action, order_type, quantity, limit_price=None, aux_price=None,
                  trail_stop_price=None, trailing_percent=None, percent_offset=None, time_in_force=None,
@@ -45,7 +45,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         - trailing_percent:  跟踪止损单-百分比, 取值范围为0-100
         - percent_offset: None,
         - order_type: 订单类型, 'MKT' 市价单 / 'LMT' 限价单 / 'STP' 止损单 / 'STP_LMT' 止损限价单 / 'TRAIL' 跟踪止损单
-        - time_in_force: 有效期,'DAY' 日内有效 / 'GTC' 撤销前有效
+        - time_in_force: 有效期,'DAY' 日内有效 / 'GTC' good till cancel  / 'GTD' good till date
         - outside_rth: 是否允许盘前盘后交易(outside of regular trading hours 美股专属). True 允许, False 不允许
         - contract: 合约对象
         - status: Order_Status 的枚举, 表示订单状态
@@ -60,6 +60,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
           例如：0.001 代表向上调整且幅度不超过 0.1%；-0.001 代表向下调整且幅度不超过 0.1%。默认 0 表示不调整
         - sub_ids id list of sub orders.
         - user_mark: user's remark
+        - expire_time: GTD order's expire time
         """
 
         self.id = id
@@ -98,6 +99,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         self.adjust_limit = kwargs.get('adjust_limit')
         self.sub_ids = kwargs.get('sub_ids')
         self.user_mark = kwargs.get('user_mark')
+        self.expire_time = kwargs.get('expire_time')
 
     def to_dict(self):
         dct = {name: getattr(self, name) for name in self.__slots__ if name not in ORDER_FIELDS_TO_IGNORE}

tigeropen/trade/request/model.py

@@ -774,6 +774,7 @@ def __init__(self):
         self.algo_params = None
         self.adjust_limit = None
         self.user_mark = None
+        self.expire_time = None
 
     def to_openapi_dict(self):
         params = super().to_openapi_dict()
@@ -831,6 +832,8 @@ def to_openapi_dict(self):
                 params['adjust_limit'] = self.adjust_limit
             if self.user_mark is not None:
                 params['user_mark'] = self.user_mark
+            if self.expire_time is not None:
+                params['expire_time'] = self.expire_time
 
             if self.order_legs:
                 if len(self.order_legs) > 2: