Merge branch 'feature_pagetoken' into 'dev'

Feature pagetoken

See merge request server/openapi/openapi-python-sdk!110

Author: tigersk

CHANGELOG.md

@@ -1,3 +1,11 @@
+## 2.1.1 (2022-05-25)
+### New
+- 新增批量分页获取k线接口
+  股票：`QuoteClient.get_bars_by_page`
+  期货：`QuoteClient.get_future_bars_by_page`
+- `QuoteClient.get_future_bars`, `QuoteClient.get_bars` 增加 `page_token` 参数，可用于分页请求定位下一页位置
+- `tigeropen.trade.domain.order.Order` 新增 `user_mark` 属性，用户下单时可传入一定长度的备注信息，该属性值在查询订单时会返回。(需用户提前向平台申请配置)
+
 ## 2.1.0 (2022-05-07)
 ### New
 - 动态获取服务域名；更改默认域名

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.1.0'
+__VERSION__ = '2.1.1'

tigeropen/examples/option_helpers/helpers.py

@@ -268,6 +268,7 @@ def __init__(self,
     else:
         helper_class = FDAmericanDividendOptionHelper
 
+    ql.Settings.instance().evaluationDate = settlement_date
     helper = helper_class(option_type=ql_option_type,
                           underlying=args.underlying,
                           strike=args.strike,

tigeropen/examples/quote_client_demo.py

@@ -5,9 +5,11 @@
 @author: gaoan
 """
 import logging
+import time
+
 import pandas as pd
 from tigeropen.common.consts import Market, QuoteRight, FinancialReportPeriodType, Valuation, \
-    Income, Balance, CashFlow, BalanceSheetRatio, Growth, Leverage, Profitability, IndustryLevel
+    Income, Balance, CashFlow, BalanceSheetRatio, Growth, Leverage, Profitability, IndustryLevel, BarPeriod
 from tigeropen.quote.domain.filter import OptionFilter
 
 from tigeropen.quote.quote_client import QuoteClient
@@ -61,6 +63,17 @@ def get_quote():
     print(delay_brief)
 
 
+def test_gat_bars_by_page():
+    bars = openapi_client.get_bars_by_page(['AAPL'], period=BarPeriod.DAY,
+                                           end_time='2022-05-01',
+                                           total=10,
+                                           page_size=4,
+                                           )
+    bars['cn_date'] = pd.to_datetime(bars['time'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('Asia/Shanghai')
+    bars['us_date'] = pd.to_datetime(bars['time'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('US/Eastern')
+    print(bars)
+
+
 def get_option_quote():
     symbol = 'AAPL'
     expirations = openapi_client.get_option_expirations(symbols=[symbol])
@@ -85,11 +98,11 @@ def get_option_quote():
     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')
+    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()
     print(exchanges)
@@ -107,18 +120,27 @@ def get_future_quote():
     print(briefs)
 
 
+def test_get_future_bars_by_page():
+    bars = openapi_client.get_future_bars_by_page('CLmain',
+                                                  end_time=1648526400000,
+                                                  total=10,
+                                                  page_size=4)
+    bars['cn_date'] = pd.to_datetime(bars['time'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('Asia/Shanghai')
+    bars['us_date'] = pd.to_datetime(bars['time'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('US/Eastern')
+    print(bars)
+
 
 def get_fundamental():
     """获取基础数据"""
-    
+
     # 日级财务数据
     financial_daily = openapi_client.get_financial_daily(symbols=['AAPL', 'MSFT'],
                                                          market=Market.US,
                                                          fields=[Valuation.shares_outstanding],
                                                          begin_date='2019-01-01',
                                                          end_date='2019-01-10')
     print(financial_daily)
-    
+
     # 财报数据(季报或年报)
     financial_report = openapi_client.get_financial_report(symbols=['AAPL', 'GOOG'],
                                                            market=Market.US,

tigeropen/quote/quote_client.py

@@ -6,8 +6,10 @@
 """
 import logging
 import re
+import time
 
 import delorean
+import pandas as pd
 
 from tigeropen.common.consts import Market, Language, QuoteRight, BarPeriod, OPEN_API_SERVICE_VERSION_V3
 from tigeropen.common.consts import THREAD_LOCAL, SecurityType, CorporateActionType, IndustryLevel
@@ -399,7 +401,7 @@ def get_timeline_history(self, symbols, date, right=QuoteRight.BR):
                 raise ApiException(response.code, response.message)
 
     def get_bars(self, symbols, period=BarPeriod.DAY, begin_time=-1, end_time=-1, right=QuoteRight.BR, limit=251,
-                 lang=None):
+                 lang=None, page_token=None):
         """
         获取K线数据
         :param symbols: 股票代号列表
@@ -410,22 +412,25 @@ def get_bars(self, symbols, period=BarPeriod.DAY, begin_time=-1, end_time=-1, ri
         :param right: 复权选项 ，QuoteRight.BR: 前复权，nQuoteRight.NR: 不复权
         :param limit: 数量限制
         :param lang: 语言支持: zh_CN,zh_TW,en_US
+        :param page_token: the token of next page. only supported when exactly one symbol
         :return: pandas.DataFrame 对象，各 column 的含义如下；
             time: 毫秒时间戳
             open: Bar 的开盘价
             close: Bar 的收盘价
             high: Bar 的最高价
             low: Bar 的最低价
             volume: Bar 的成交量
+            next_page_token: token of next page
         """
         params = MultipleQuoteParams()
-        params.symbols = symbols
+        params.symbols = symbols if isinstance(symbols, list) else [symbols]
         params.period = get_enum_value(period)
         params.begin_time = begin_time
         params.end_time = end_time
         params.right = get_enum_value(right)
         params.limit = limit
         params.lang = get_enum_value(lang) if lang else get_enum_value(self._lang)
+        params.page_token = page_token if len(params.symbols) == 1 else None
 
         request = OpenApiRequest(KLINE, biz_model=params)
         response_content = self.__fetch_data(request)
@@ -437,6 +442,41 @@ def get_bars(self, symbols, period=BarPeriod.DAY, begin_time=-1, end_time=-1, ri
             else:
                 raise ApiException(response.code, response.message)
 
+    def get_bars_by_page(self, symbol, period=BarPeriod.DAY, begin_time=-1, end_time=-1, total=10000, page_size=1000,
+                         right=QuoteRight.BR, time_interval=2, lang=None):
+        """
+        request bats by page
+        :param symbol: symbol of stock.
+        :param period:
+        :param begin_time:
+        :param end_time: time of the latest bar, excluded
+        :param total: Total bars number
+        :param page_size: Bars number of each request
+        :param right:
+        :param time_interval: Time interval between requests
+        :param lang:
+        :return:
+        """
+        if begin_time == -1 and end_time == -1:
+            raise ApiException(400, 'One of the begin_time or end_time must be specified')
+        if isinstance(symbol, list) and len(symbol) != 1:
+            raise ApiException(400, 'Paging queries support only one symbol at each request')
+        current = 0
+        next_page_token = None
+        result = list()
+        while current < total:
+            if current + page_size >= total:
+                page_size = total - current
+            current += page_size
+            bars = self.get_bars(symbols=symbol, period=period, begin_time=begin_time, end_time=end_time, right=right,
+                                 limit=page_size, lang=lang, page_token=next_page_token)
+            next_page_token = bars['next_page_token'].iloc[0]
+            result.append(bars)
+            if not next_page_token:
+                break
+            time.sleep(time_interval)
+        return pd.concat(result).sort_values('time').reset_index(drop=True)
+
     def get_trade_ticks(self, symbols, begin_index=None, end_index=None, limit=None, lang=None):
         """
         获取逐笔成交
@@ -896,15 +936,16 @@ def get_future_trading_times(self, identifier, trading_date=None):
                 raise ApiException(response.code, response.message)
         return None
 
-    def get_future_bars(self, identifiers, period=BarPeriod.DAY, begin_time=-1, end_time=-1, limit=1000):
+    def get_future_bars(self, identifiers, period=BarPeriod.DAY, begin_time=-1, end_time=-1, limit=1000,
+                        page_token=None):
         """
         获取期货K线数据
         :param identifiers: 期货代码列表
         :param period: day: 日K,week: 周K,month:月K ,year:年K,1min:1分钟,5min:5分钟,15min:15分钟,30min:30分钟,60min:60分钟
         :param begin_time: 开始时间. 若是时间戳需要精确到毫秒, 为13位整数;
-                                    或是日期时间格式的字符串, 如 "2019-01-01" 或 "2019-01-01 12:00:00"
         :param end_time: 结束时间. 格式同 begin_time
         :param limit: 数量限制
+        :param page_token: the token of next page. only supported when there exactly one identifier
         :return: pandas.DataFrame, 各column 含义如下：
             identifier: 期货合约代码
             time: Bar对应的时间戳, 即Bar的结束时间。Bar的切割方式与交易所一致，以CN1901举例，T日的17:00至T+1日的16:30的数据会被合成一个日级Bar。
@@ -916,13 +957,15 @@ def get_future_bars(self, identifiers, period=BarPeriod.DAY, begin_time=-1, end_
             settlement: 结算价，在未生成结算价时返回0
             volume: 成交量
             open_interest: 未平仓合约数量
+            next_page_token: token of next page
         """
         params = FutureQuoteParams()
-        params.contract_codes = identifiers
+        params.contract_codes = identifiers if isinstance(identifiers, list) else [identifiers]
         params.period = get_enum_value(period)
         params.begin_time = begin_time
         params.end_time = end_time
         params.limit = limit
+        params.page_token = page_token if len(params.contract_codes) == 1 else None
 
         request = OpenApiRequest(FUTURE_KLINE, biz_model=params)
         response_content = self.__fetch_data(request)
@@ -934,6 +977,39 @@ def get_future_bars(self, identifiers, period=BarPeriod.DAY, begin_time=-1, end_
             else:
                 raise ApiException(response.code, response.message)
 
+    def get_future_bars_by_page(self, identifier, period=BarPeriod.DAY, begin_time=-1, end_time=-1, total=10000,
+                                page_size=1000, time_interval=2):
+        """
+        request bats by page
+        :param identifier: identifier of future
+        :param period:
+        :param begin_time:
+        :param end_time: time of the latest bar, excluded
+        :param total: Total bars number
+        :param page_size: Bars number of each request
+        :param time_interval: Time interval between requests
+        :return:
+        """
+        if begin_time == -1 and end_time == -1:
+            raise ApiException(400, 'One of the begin_time or end_time must be specified')
+        if isinstance(identifier, list) and len(identifier) != 1:
+            raise ApiException(400, 'Paging queries support only one identifier at each request')
+        current = 0
+        next_page_token = None
+        result = list()
+        while current < total:
+            if current + page_size >= total:
+                page_size = total - current
+            current += page_size
+            bars = self.get_future_bars(identifiers=identifier, period=period, begin_time=begin_time, end_time=end_time,
+                                        limit=page_size, page_token=next_page_token)
+            next_page_token = bars['next_page_token'].iloc[0]
+            result.append(bars)
+            if not next_page_token:
+                break
+            time.sleep(time_interval)
+        return pd.concat(result).sort_values('time').reset_index(drop=True)
+
     def get_future_trade_ticks(self, identifiers, begin_index=0, end_index=30, limit=1000):
         """
         获取期货逐笔成交
@@ -1263,4 +1339,4 @@ def get_quote_permission(self):
                 return response.permissions
             else:
                 raise ApiException(response.code, response.message)
-        return False
+        return False

tigeropen/quote/request/model.py

@@ -232,6 +232,7 @@ def __init__(self):
         self._begin_index = None
         self._end_index = None
         self._date = None
+        self._page_token = None
 
     @property
     def symbols(self):
@@ -321,6 +322,14 @@ def date(self):
     def date(self, value):
         self._date = value
 
+    @property
+    def page_token(self):
+        return self._page_token
+
+    @page_token.setter
+    def page_token(self, value):
+        self._page_token = value
+
     def to_openapi_dict(self):
         params = super(MultipleQuoteParams, self).to_openapi_dict()
 
@@ -357,6 +366,9 @@ def to_openapi_dict(self):
         if self.date:
             params['date'] = self.date
 
+        if self.page_token:
+            params['page_token'] = self.page_token
+
         return params
 
 
@@ -619,6 +631,7 @@ def __init__(self):
         self._limit = None
         self._begin_index = None
         self._end_index = None
+        self._page_token = None
 
     @property
     def contract_codes(self):
@@ -676,6 +689,14 @@ def limit(self):
     def limit(self, value):
         self._limit = value
 
+    @property
+    def page_token(self):
+        return self._page_token
+
+    @page_token.setter
+    def page_token(self, value):
+        self._page_token = value
+
     def to_openapi_dict(self):
         params = super(FutureQuoteParams, self).to_openapi_dict()
 
@@ -700,6 +721,9 @@ def to_openapi_dict(self):
         if self.limit:
             params['limit'] = self.limit
 
+        if self.page_token:
+            params['page_token'] = self.page_token
+
         return params
 
 

tigeropen/quote/response/future_quote_bar_response.py

@@ -8,7 +8,8 @@
 
 from tigeropen.common.response import TigerResponse
 
-COLUMNS = ['identifier', 'time', 'latest_time', 'open', 'high', 'low', 'close', 'settlement', 'volume', 'open_interest']
+COLUMNS = ['identifier', 'time', 'latest_time', 'open', 'high', 'low', 'close', 'settlement', 'volume',
+           'open_interest', 'next_page_token']
 BAR_FIELD_MAPPINGS = {'avgPrice': 'avg_price', 'openInterest': 'open_interest', 'lastTime': 'latest_time'}
 
 
@@ -27,9 +28,10 @@ def parse_response_content(self, response_content):
             bar_items = []
             for symbol_item in self.data:
                 identifier = symbol_item.get('contractCode')
+                next_page_token = symbol_item.get('nextPageToken')
                 if 'items' in symbol_item:
                     for item in symbol_item['items']:
-                        item_values = {'identifier': identifier}
+                        item_values = {'identifier': identifier, 'next_page_token': next_page_token}
                         for key, value in item.items():
                             if value is None:
                                 continue

tigeropen/quote/response/quote_bar_response.py

@@ -8,7 +8,7 @@
 
 from tigeropen.common.response import TigerResponse
 
-COLUMNS = ['symbol', 'time', 'open', 'high', 'low', 'close', 'volume']
+COLUMNS = ['symbol', 'time', 'open', 'high', 'low', 'close', 'volume', 'next_page_token']
 BAR_FIELD_MAPPINGS = {'avgPrice': 'avg_price'}
 
 
@@ -27,9 +27,10 @@ def parse_response_content(self, response_content):
             bar_items = []
             for symbol_item in self.data:
                 symbol = symbol_item.get('symbol')
+                next_page_token = symbol_item.get('nextPageToken')
                 if 'items' in symbol_item:
                     for item in symbol_item['items']:
-                        item_values = {'symbol': symbol}
+                        item_values = {'symbol': symbol, 'next_page_token': next_page_token}
                         for key, value in item.items():
                             if value is None:
                                 continue