Merge branch 'master' into feature_stock_screener

tigersk · tigersk · commit 5aea372b72f6 · 2021-12-09T11:31:07.000+08:00
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -0,0 +1,82 @@
+## 2.0.4 (2021-12-08)
+### New
+- 综合/模拟账户查询资产接口 TradeClient.get_prime_assets
+
+## 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
diff --git a/tigeropen/__init__.py b/tigeropen/__init__.py
@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.0.3'
+__VERSION__ = '2.0.4'
diff --git a/tigeropen/common/consts/service_types.py b/tigeropen/common/consts/service_types.py
@@ -16,6 +16,7 @@
 """
 ACCOUNTS = "accounts"
 ASSETS = "assets"
+PRIME_ASSETS = "prime_assets"
 POSITIONS = "positions"
 ORDERS = "orders"
 ACTIVE_ORDERS = "active_orders"  # 待成交订单
@@ -40,6 +41,7 @@
 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
diff --git a/tigeropen/common/model.py b/tigeropen/common/model.py
@@ -20,3 +20,4 @@ def version(self, value):
 
 class Field(Enum):
     pass
+
diff --git a/tigeropen/common/util/string_utils.py b/tigeropen/common/util/string_utils.py
@@ -19,3 +19,10 @@ def add_start_end(key, start_marker, end_marker):
 
 def camel_to_underline(hunp_str):
     return re.sub(CAMEL_PATTERN, r'\1_\2', hunp_str).lower()
+
+
+def camel_to_underline_obj(d):
+    if isinstance(d, list):
+        return [camel_to_underline_obj(i) if isinstance(i, (dict, list)) else i for i in d]
+    return {camel_to_underline(k): camel_to_underline_obj(v) if isinstance(v, (dict, list)) else v
+            for k, v in d.items()}
diff --git a/tigeropen/examples/quote_client_demo.py b/tigeropen/examples/quote_client_demo.py
@@ -51,6 +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'
diff --git a/tigeropen/examples/trade_client_demo.py b/tigeropen/examples/trade_client_demo.py
@@ -64,6 +64,8 @@ def get_account_apis():
     openapi_client.get_positions()
     # 获取资产
     openapi_client.get_assets()
+    # 综合/模拟账户获取资产
+    openapi_client.get_prime_assets()
 
 
 def trade_apis():
diff --git a/tigeropen/fundamental/request/model.py b/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
diff --git a/tigeropen/quote/quote_client.py b/tigeropen/quote/quote_client.py
@@ -12,7 +12,7 @@
 
 from tigeropen.common.consts import Market, Language, QuoteRight, BarPeriod, OPEN_API_SERVICE_VERSION_V3
 from tigeropen.common.consts import THREAD_LOCAL, SecurityType, CorporateActionType, IndustryLevel
-from tigeropen.common.consts.service_types import GRAB_QUOTE_PERMISSION, STOCK_SCREENER
+from tigeropen.common.consts.service_types import GRAB_QUOTE_PERMISSION, QUOTE_DELAY, STOCK_SCREENER
 from tigeropen.common.consts.service_types import MARKET_STATE, ALL_SYMBOLS, ALL_SYMBOL_NAMES, BRIEF, \
     TIMELINE, KLINE, TRADE_TICK, OPTION_EXPIRATION, OPTION_CHAIN, FUTURE_EXCHANGE, OPTION_BRIEF, \
     OPTION_KLINE, OPTION_TRADE_TICK, FUTURE_KLINE, FUTURE_TICK, FUTURE_CONTRACT_BY_EXCHANGE_CODE, \
@@ -50,6 +50,7 @@
 from tigeropen.quote.response.option_quote_ticks_response import OptionTradeTickResponse
 from tigeropen.quote.response.quote_bar_response import QuoteBarResponse
 from tigeropen.quote.response.quote_brief_response import QuoteBriefResponse
+from tigeropen.quote.response.quote_delay_briefs_response import DelayBriefsResponse
 from tigeropen.quote.response.quote_depth_response import DepthQuoteResponse
 from tigeropen.quote.response.quote_grab_permission_response import QuoteGrabPermissionResponse
 from tigeropen.quote.response.quote_ticks_response import TradeTickResponse
@@ -248,6 +249,38 @@ def get_stock_briefs(self, symbols, lang=None):
 
         return None
 
+    def get_stock_delay_briefs(self, symbols, lang=None):
+        """
+        query delay quote
+        :param symbols: stock symbol list, like ['AAPL', 'GOOG']
+        :param lang: language: tigeropen.common.consts.Language:  zh_CN,zh_TW,en_US
+        :return: pandas.DataFrame. the columns are as follows：
+            symbol:
+            pre_close:
+            time: last quote change time
+            volume:
+            open:
+            high:
+            low:
+            close:
+            halted: stock status(0: normal 3: suspended  4: delist 7: ipo 8: changed)
+        """
+        params = MultipleQuoteParams()
+        params.symbols = symbols
+        params.lang = lang.value if lang else self._lang.value
+
+        request = OpenApiRequest(QUOTE_DELAY, biz_model=params)
+        response_content = self.__fetch_data(request)
+        if response_content:
+            response = DelayBriefsResponse()
+            response.parse_response_content(response_content)
+            if response.is_success():
+                return response.briefs
+            else:
+                raise ApiException(response.code, response.message)
+
+        return None
+
     def get_stock_details(self, symbols, lang=None):
         """
         获取股票详情
diff --git a/tigeropen/quote/response/quote_delay_briefs_response.py b/tigeropen/quote/response/quote_delay_briefs_response.py
@@ -0,0 +1,28 @@
+# -*- coding: utf-8 -*-
+"""
+Created on 2021/11/11
+
+@author: sukai
+"""
+
+import pandas as pd
+
+from tigeropen.common.response import TigerResponse
+
+from tigeropen.common.util import string_utils
+
+
+class DelayBriefsResponse(TigerResponse):
+    def __init__(self):
+        super(DelayBriefsResponse, self).__init__()
+        self.briefs = None
+        self._is_success = None
+
+    def parse_response_content(self, response_content):
+        response = super(DelayBriefsResponse, self).parse_response_content(response_content)
+        if 'is_success' in response:
+            self._is_success = response['is_success']
+        if self.data and isinstance(self.data, list):
+            df = pd.DataFrame(self.data)
+            field_mapping = {item: string_utils.camel_to_underline(item) for item in df.columns}
+            self.briefs = df.rename(columns=field_mapping)
diff --git a/tigeropen/quote/response/screened_stocks_response.py b/tigeropen/quote/response/screened_stocks_response.py
@@ -16,4 +16,5 @@ def parse_response_content(self, response_content):
         if 'is_success' in response:
             self._is_success = response['is_success']
         if self.data and isinstance(self.data, list):
-            stocks = []
+            stocks = []
+            self.stocks = self.data  # todo
diff --git a/tigeropen/trade/domain/prime_account.py b/tigeropen/trade/domain/prime_account.py
@@ -0,0 +1,98 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2021/12/2
+# @Author  : sukai
+MODEL_REPR = '{}({})'
+
+
+class PortfolioAccount:
+    """
+    prime/paper account assets
+    """
+    def __init__(self, account, update_timestamp=None):
+        """
+        :param account:
+        :param update_timestamp: asset update timestamp in milliseconds.
+        """
+        self.account = account
+        self.update_timestamp = update_timestamp
+        self._segments = dict()
+
+    @property
+    def segments(self):
+        """account information by contract type
+        :return: dict with two keys, 'S' for stocks， 'C' for commodity futures；
+        """
+        return self._segments
+
+    def add_segment(self, segment):
+        if segment.category not in self._segments:
+            self._segments[segment.category] = segment
+            return segment
+        else:
+            return self._segments.get(segment.category)
+
+    def __repr__(self):
+        d = {'account': self.account, 'update_timestamp': self.update_timestamp, 'segments': self.segments}
+        return MODEL_REPR.format(self.__class__.__name__, d)
+
+
+class Segment:
+    def __init__(self):
+        self.currency = None
+        self.capability = None
+        self.category = None
+        self.cash_balance = float('inf')
+        self.cash_available_for_trade = float('inf')
+        self.cash_available_for_withdrawal = float('inf')
+        self.gross_position_value = float('inf')
+        self.equity_with_loan = float('inf')
+        self.net_liquidation = float('inf')
+        self.init_margin = float('inf')
+        self.maintain_margin = float('inf')
+        self.overnight_margin = float('inf')
+        self.unrealized_pl = float('inf')
+        self.realized_pl = float('inf')
+        self.excess_liquidation = float('inf')
+        self.overnight_liquidation = float('inf')
+        self.buying_power = float('inf')
+        self.leverage = float('inf')
+        self._currency_assets = dict()
+
+    @property
+    def currency_assets(self):
+        return self._currency_assets
+
+    def add_currency_asset(self, asset):
+        if asset.currency not in self._currency_assets:
+            self._currency_assets[asset.currency] = asset
+            return asset
+        else:
+            return self._currency_assets.get(asset.currency)
+
+    def __repr__(self):
+        d = {k: v for k, v in self.__dict__.items() if not k.startswith('_')}
+        d['currency_assets'] = self.currency_assets
+        return MODEL_REPR.format(self.__class__.__name__, d)
+
+
+class CurrencyAsset:
+    def __init__(self):
+        self.currency = None
+        self.cash_balance = float('inf')
+        self.cash_available_for_trade = float('inf')
+        self.gross_position_value = float('inf')
+        self.stock_market_value = float('inf')
+        self.futures_market_value = float('inf')
+        self.option_market_value = float('inf')
+        self.unrealized_pl = float('inf')
+        self.realized_pl = float('inf')
+
+    @staticmethod
+    def from_dict(d):
+        currency_asset = CurrencyAsset()
+        currency_asset.__dict__.update(d)
+        return currency_asset
+
+    def __repr__(self):
+        return MODEL_REPR.format(self.__class__.__name__, self.__dict__)
diff --git a/tigeropen/trade/response/prime_assets_response.py b/tigeropen/trade/response/prime_assets_response.py
diff --git a/tigeropen/trade/trade_client.py b/tigeropen/trade/trade_client.py

Original file line number	Diff line number	Diff line change
`@@ -20,3 +20,4 @@ def version(self, value):`
`20`	`20`
`21`	`21`	`class Field(Enum):`
`22`	`22`	`pass`
	`23`	`+`