Merge branch 'dev' into 'master'

Dev->master

See merge request server/openapi/openapi-python-sdk!182

Author: tigersk

CHANGELOG.md

@@ -1,3 +1,9 @@
+## 3.0.1 (2023-06-21)
+### New
+- 历史K线额度接口
+- 持仓对象新增按均价计算的盈亏字段
+- 长链接新增榜单数据推送
+
 ## 3.0.0 (2023-06-08)
 ### Breaking
 - 长链接由默认stomp改为默认使用protobuf

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '3.0.0'
+__VERSION__ = '3.0.1'

tigeropen/common/consts/__init__.py

@@ -215,3 +215,18 @@ class ComboType(Enum):
     DIAGONAL = 'DIAGONAL'
     SYNTHETIC = 'SYNTHETIC'
     CUSTOM = 'CUSTOM'
+
+class StockRankingIndicator(Enum):
+    ChangeRate = "changeRate"
+    ChangeRate5Min = "changeRate5Min"
+    TurnoverRate = "turnoverRate"
+    Amount = "amount"  # trade amount
+    Volume = "volume"  # trade volume
+    Amplitude = "amplitude"
+
+class OptionRankingIndicator(Enum):
+    BigOrder = "bigOrder"
+    Volume = "volume"
+    Amount = "amount"
+    OpenInt = "openInt"
+

tigeropen/common/consts/service_types.py

@@ -69,6 +69,7 @@
 CAPITAL_FLOW = "capital_flow"  # 股票资金流向
 WARRANT_FILTER = "warrant_filter"
 WARRANT_REAL_TIME_QUOTE = "warrant_real_time_quote"
+KLINE_QUOTA = "kline_quota"  # 历史k线额度
 
 # 期权行情
 OPTION_EXPIRATION = "option_expiration"

tigeropen/examples/push_client_demo.py

@@ -8,13 +8,16 @@
 # from tigeropen.common.consts import QuoteKeyType
 import pandas as pd
 
+from tigeropen.common.consts import StockRankingIndicator, OptionRankingIndicator
 from tigeropen.push.pb.AssetData_pb2 import AssetData
+from tigeropen.push.pb.OptionTopData_pb2 import OptionTopData
 from tigeropen.push.pb.OrderStatusData_pb2 import OrderStatusData
 from tigeropen.push.pb.OrderTransactionData_pb2 import OrderTransactionData
 from tigeropen.push.pb.PositionData_pb2 import PositionData
 from tigeropen.push.pb.QuoteBBOData_pb2 import QuoteBBOData
 from tigeropen.push.pb.QuoteBasicData_pb2 import QuoteBasicData
 from tigeropen.push.pb.QuoteDepthData_pb2 import QuoteDepthData
+from tigeropen.push.pb.StockTopData_pb2 import StockTopData
 from tigeropen.push.pb.TradeTickData_pb2 import TradeTickData
 from tigeropen.push.pb.trade_tick import TradeTick
 from tigeropen.push.push_client import PushClient
@@ -161,6 +164,11 @@ def on_tick_changed(frame: TradeTick):
     """
     print(frame)
 
+def on_stock_top_changed(frame: StockTopData):
+    print(f'stock top changed: {frame}')
+
+def on_option_top_changed(frame: OptionTopData):
+    print(f'option top changed: {frame}')
 
 def on_order_changed(frame: OrderStatusData):
     """订单回调
@@ -312,6 +320,12 @@ def disconnect_callback():
     # 持仓变动回调
     push_client.position_changed = on_position_changed
 
+    # 股票榜单回调
+    push_client.stock_top_changed = on_stock_top_changed
+    # 期权榜单回调
+    push_client.option_top_changed = on_option_top_changed
+
+
     # 订阅成功与否的回调
     push_client.subscribe_callback = subscribe_callback
     # 退订成功与否的回调
@@ -348,5 +362,10 @@ def disconnect_callback():
     # 查询已订阅的 symbol
     push_client.query_subscribed_quote()
 
+    # 订阅股票榜单数据
+    push_client.subscribe_stock_top("HK", [StockRankingIndicator.Amount, StockRankingIndicator.ChangeRate])
+    # 订阅期权榜单数据
+    push_client.subscribe_option_top("US", [OptionRankingIndicator.Amount])
+
     time.sleep(600)
     push_client.disconnect()

tigeropen/push/pb/OptionTopData.proto

@@ -0,0 +1,40 @@
+syntax = "proto3";
+
+package tigeropen.push.pb;
+
+message OptionTopData {
+  string market = 1;
+  int64 timestamp = 2;
+  repeated TopData topData = 3;
+
+  message TopData {
+    string targetName = 1; // bigOrder, volume, amount, openInt
+    repeated BigOrder bigOrder = 2; // large order(bigOrder)
+    repeated OptionItem item = 3; // target value top list(volume, amount, openInt)
+  }
+
+  message BigOrder {
+    string symbol = 1;
+    string expiry = 2; // formate:yyyyMMdd
+    string strike = 3; // strike price
+    string right = 4; // CALL/PUT
+    string dir = 5;     // BUY/SELL
+    double volume = 6;  // target value: volume > 1000
+    double price = 7;   // trade price
+    double amount = 8;  // trade amount
+    int64 tradeTime = 9;// trade timestamp
+  }
+
+  message OptionItem {
+    string symbol = 1;
+    string expiry = 2; // formate:yyyyMMdd
+    string strike = 3; // strike price
+    string right = 4; // CALL/PUT
+    double totalAmount = 5;  // total trade amount
+    double totalVolume = 6;  // total trade volume
+    double totalOpenInt = 7; // open interest
+    double volumeToOpenInt = 8; // Volume to Open Interest
+    double latestPrice = 9;  // option latest price
+    int64 updateTime = 10;    // uptate timestamp
+  }
+}

tigeropen/push/pb/OptionTopData_pb2.py

@@ -0,0 +1,69 @@
+from google.protobuf.internal import containers as _containers
+from google.protobuf import descriptor as _descriptor
+from google.protobuf import message as _message
+from typing import ClassVar as _ClassVar, Iterable as _Iterable, Mapping as _Mapping, Optional as _Optional, Union as _Union
+
+DESCRIPTOR: _descriptor.FileDescriptor
+
+class OptionTopData(_message.Message):
+    __slots__ = ["market", "timestamp", "topData"]
+    class BigOrder(_message.Message):
+        __slots__ = ["amount", "dir", "expiry", "price", "right", "strike", "symbol", "tradeTime", "volume"]
+        AMOUNT_FIELD_NUMBER: _ClassVar[int]
+        DIR_FIELD_NUMBER: _ClassVar[int]
+        EXPIRY_FIELD_NUMBER: _ClassVar[int]
+        PRICE_FIELD_NUMBER: _ClassVar[int]
+        RIGHT_FIELD_NUMBER: _ClassVar[int]
+        STRIKE_FIELD_NUMBER: _ClassVar[int]
+        SYMBOL_FIELD_NUMBER: _ClassVar[int]
+        TRADETIME_FIELD_NUMBER: _ClassVar[int]
+        VOLUME_FIELD_NUMBER: _ClassVar[int]
+        amount: float
+        dir: str
+        expiry: str
+        price: float
+        right: str
+        strike: str
+        symbol: str
+        tradeTime: int
+        volume: float
+        def __init__(self, symbol: _Optional[str] = ..., expiry: _Optional[str] = ..., strike: _Optional[str] = ..., right: _Optional[str] = ..., dir: _Optional[str] = ..., volume: _Optional[float] = ..., price: _Optional[float] = ..., amount: _Optional[float] = ..., tradeTime: _Optional[int] = ...) -> None: ...
+    class OptionItem(_message.Message):
+        __slots__ = ["expiry", "latestPrice", "right", "strike", "symbol", "totalAmount", "totalOpenInt", "totalVolume", "updateTime", "volumeToOpenInt"]
+        EXPIRY_FIELD_NUMBER: _ClassVar[int]
+        LATESTPRICE_FIELD_NUMBER: _ClassVar[int]
+        RIGHT_FIELD_NUMBER: _ClassVar[int]
+        STRIKE_FIELD_NUMBER: _ClassVar[int]
+        SYMBOL_FIELD_NUMBER: _ClassVar[int]
+        TOTALAMOUNT_FIELD_NUMBER: _ClassVar[int]
+        TOTALOPENINT_FIELD_NUMBER: _ClassVar[int]
+        TOTALVOLUME_FIELD_NUMBER: _ClassVar[int]
+        UPDATETIME_FIELD_NUMBER: _ClassVar[int]
+        VOLUMETOOPENINT_FIELD_NUMBER: _ClassVar[int]
+        expiry: str
+        latestPrice: float
+        right: str
+        strike: str
+        symbol: str
+        totalAmount: float
+        totalOpenInt: float
+        totalVolume: float
+        updateTime: int
+        volumeToOpenInt: float
+        def __init__(self, symbol: _Optional[str] = ..., expiry: _Optional[str] = ..., strike: _Optional[str] = ..., right: _Optional[str] = ..., totalAmount: _Optional[float] = ..., totalVolume: _Optional[float] = ..., totalOpenInt: _Optional[float] = ..., volumeToOpenInt: _Optional[float] = ..., latestPrice: _Optional[float] = ..., updateTime: _Optional[int] = ...) -> None: ...
+    class TopData(_message.Message):
+        __slots__ = ["bigOrder", "item", "targetName"]
+        BIGORDER_FIELD_NUMBER: _ClassVar[int]
+        ITEM_FIELD_NUMBER: _ClassVar[int]
+        TARGETNAME_FIELD_NUMBER: _ClassVar[int]
+        bigOrder: _containers.RepeatedCompositeFieldContainer[OptionTopData.BigOrder]
+        item: _containers.RepeatedCompositeFieldContainer[OptionTopData.OptionItem]
+        targetName: str
+        def __init__(self, targetName: _Optional[str] = ..., bigOrder: _Optional[_Iterable[_Union[OptionTopData.BigOrder, _Mapping]]] = ..., item: _Optional[_Iterable[_Union[OptionTopData.OptionItem, _Mapping]]] = ...) -> None: ...
+    MARKET_FIELD_NUMBER: _ClassVar[int]
+    TIMESTAMP_FIELD_NUMBER: _ClassVar[int]
+    TOPDATA_FIELD_NUMBER: _ClassVar[int]
+    market: str
+    timestamp: int
+    topData: _containers.RepeatedCompositeFieldContainer[OptionTopData.TopData]
+    def __init__(self, market: _Optional[str] = ..., timestamp: _Optional[int] = ..., topData: _Optional[_Iterable[_Union[OptionTopData.TopData, _Mapping]]] = ...) -> None: ...

tigeropen/push/pb/OptionTopData_pb2.pyi

@@ -7,6 +7,8 @@ import public "tigeropen/push/pb/QuoteData.proto";
 import public "tigeropen/push/pb/QuoteDepthData.proto";
 import public "tigeropen/push/pb/TradeTickData.proto";
 import public "tigeropen/push/pb/OrderTransactionData.proto";
+import public "tigeropen/push/pb/StockTopData.proto";
+import public "tigeropen/push/pb/OptionTopData.proto";
 
 package tigeropen.push.pb;
 
@@ -20,5 +22,7 @@ message PushData {
     AssetData assetData = 6;
     OrderStatusData orderStatusData = 7;
     OrderTransactionData orderTransactionData = 8;
+    StockTopData stockTopData = 9;
+    OptionTopData optionTopData = 10;
   }
 }