Merge branch 'dev' into 'master'

future ticks upgrade to v3; get all future contracts by type;

See merge request server/openapi/openapi-python-sdk!129

Author: tigersk

CHANGELOG.md

@@ -1,3 +1,11 @@
+## 2.1.7 (2022-08-19)
+### New
+- 新增获取期货某类型所有合约接口 `QuoteClient.get_all_future_contracts`
+- 附加订单支持追踪止损单
+
+### Breaking
+- 期货tick接口 `QuoteClient.get_future_trade_ticks`, 合约参数由接受列表改为只接受单个合约
+
 ## 2.1.6 (2022-08-11)
 ### Modify
 - 支持全局时区配置， 可通过 ClientConfig.timezone 设置时区

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.1.6'
+__VERSION__ = '2.1.7'

tigeropen/common/consts/__init__.py

@@ -160,3 +160,11 @@ class OrderSortBy(Enum):
     LATEST_CREATED = 'LATEST_CREATED'
     LATEST_STATUS_UPDATED = 'LATEST_STATUS_UPDATED'
 
+
+@unique
+class OrderType(Enum):
+    MKT = 'MKT'  # 市价单
+    LMT = 'LMT'  # 限价单
+    STP = 'STP'  # 止损单
+    STP_LMT = 'STP_LMT'  # 止损限价单
+    TRAIL = 'TRAIL'  # 跟踪止损单

tigeropen/common/consts/service_types.py

@@ -64,6 +64,7 @@
 FUTURE_EXCHANGE = "future_exchange"
 FUTURE_CONTRACT_BY_CONTRACT_CODE = "future_contract_by_contract_code"
 FUTURE_CONTRACT_BY_EXCHANGE_CODE = "future_contract_by_exchange_code"
+FUTURE_CONTRACTS = "future_contracts"
 FUTURE_CONTINUOUS_CONTRACTS = "future_continuous_contracts"
 FUTURE_CURRENT_CONTRACT = "future_current_contract"
 FUTURE_KLINE = "future_kline"

tigeropen/common/util/order_utils.py

@@ -74,15 +74,20 @@ def trail_order(account, contract, action, quantity, trailing_percent=None, aux_
     return Order(account, contract, action, 'TRAIL', quantity, trailing_percent=trailing_percent, aux_price=aux_price)
 
 
-def order_leg(leg_type, price, time_in_force='DAY', outside_rth=None):
+def order_leg(leg_type, price, time_in_force='DAY', outside_rth=None, limit_price=None, trailing_percent=None,
+              trailing_amount=None):
     """
     附加订单
     :param leg_type: 附加订单类型. PROFIT 止盈单类型,  LOSS 止损单类型
     :param price: 附加订单价格.
     :param time_in_force: 附加订单有效期. 'DAY'（当日有效）和'GTC'（取消前有效 Good-Til-Canceled).
     :param outside_rth: 附加订单是否允许盘前盘后交易(美股专属). True 允许, False 不允许.
+    :param limit_price: attached stop loss order's limit price
+    :param trailing_percent: attached trailing stop loss order's trailing percent
+    :param trailing_amount: attached trailing stop loss order's trailing amount
     """
-    return OrderLeg(leg_type=leg_type, price=price, time_in_force=time_in_force, outside_rth=outside_rth)
+    return OrderLeg(leg_type=leg_type, price=price, time_in_force=time_in_force, outside_rth=outside_rth,
+                    limit_price=limit_price, trailing_percent=trailing_percent, trailing_amount=trailing_amount)
 
 
 def limit_order_with_legs(account, contract, action, quantity, limit_price, order_legs=None):

tigeropen/examples/quote_client_demo.py

@@ -112,10 +112,12 @@ def get_future_quote():
     print(exchanges)
     bars = openapi_client.get_future_bars(['CN1901'], begin_time=-1, end_time=1545105097358)
     print(bars)
-    ticks = openapi_client.get_future_trade_ticks(['CN1901'])
+    ticks = openapi_client.get_future_trade_ticks('CN2209')
     print(ticks)
     contracts = openapi_client.get_future_contracts('CME')
     print(contracts)
+    contracts = openapi_client.get_all_future_contracts('CL')
+    print(contracts)
     contract = openapi_client.get_future_contract('VIX2206')
     print(contract)
     trading_times = openapi_client.get_future_trading_times('CN1901', trading_date=1545049282852)

tigeropen/quote/quote_client.py

@@ -13,7 +13,7 @@
 from tigeropen.common.consts import Market, 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, QUOTE_DELAY, GET_QUOTE_PERMISSION, \
-    HISTORY_TIMELINE, FUTURE_CONTRACT_BY_CONTRACT_CODE, TRADING_CALENDAR
+    HISTORY_TIMELINE, FUTURE_CONTRACT_BY_CONTRACT_CODE, TRADING_CALENDAR, FUTURE_CONTRACTS
 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, \
@@ -72,8 +72,8 @@ class QuoteClient(TigerOpenClient):
 
     def __init__(self, client_config, logger=None, is_grab_permission=True):
         if not logger:
-            logger = logging.getLogger('tiger_openapi')
-        super(QuoteClient, self).__init__(client_config, logger=logger)
+            self.logger = logging.getLogger('tiger_openapi')
+        super(QuoteClient, self).__init__(client_config, logger=self.logger)
         self._lang = LANGUAGE
         self._timezone = eastern
         if client_config:
@@ -83,7 +83,7 @@ def __init__(self, client_config, logger=None, is_grab_permission=True):
         self.permissions = None
         if is_grab_permission and self.permissions is None:
             self.permissions = self.grab_quote_permission()
-            logger.info('Grab quote permission. Permissions:' + str(self.permissions))
+            self.logger.info('Grab quote permission. Permissions:' + str(self.permissions))
 
     def __fetch_data(self, request):
         try:
@@ -890,6 +890,28 @@ def get_current_future_contract(self, future_type, lang=None):
                 raise ApiException(response.code, response.message)
         return None
 
+    def get_all_future_contracts(self, future_type, lang=None):
+        """
+        Query all contracts of a given type
+        :param future_type: like CL, VIX
+        :param lang: language
+        :return: same as "get_current_future_contract"
+        """
+        params = FutureContractParams()
+        params.type = future_type
+        params.lang = get_enum_value(lang) if lang else get_enum_value(self._lang)
+
+        request = OpenApiRequest(FUTURE_CONTRACTS, biz_model=params)
+        response_content = self.__fetch_data(request)
+        if response_content:
+            response = FutureContractResponse()
+            response.parse_response_content(response_content)
+            if response.is_success():
+                return response.contracts
+            else:
+                raise ApiException(response.code, response.message)
+        return None
+
     def get_future_contract(self, contract_code, lang=None):
         """
         get future contract by contract_code
@@ -1014,10 +1036,10 @@ def get_future_bars_by_page(self, identifier, period=BarPeriod.DAY, begin_time=-
             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):
+    def get_future_trade_ticks(self, identifier, begin_index=0, end_index=30, limit=1000):
         """
         获取期货逐笔成交
-        :param identifiers: 期货代码列表
+        :param identifier: future identifier. Only supports one identifier
         :param begin_index: 开始索引
         :param end_index: 结束索引
         :param limit: 数量限制
@@ -1028,11 +1050,16 @@ def get_future_trade_ticks(self, identifiers, begin_index=0, end_index=30, limit
             volume: 成交量
         """
         params = FutureQuoteParams()
-        params.contract_codes = identifiers
+        # Compatible with previous version (previous version 'identifiers' argument is a list)
+        params.contract_code = identifier
+        if isinstance(identifier, list):
+            self.logger.warning("the 'identifier' argument should be a string")
+            params.contract_code = identifier[0]
         params.begin_index = begin_index
         params.end_index = end_index
         params.limit = limit
         params.lang = get_enum_value(self._lang)
+        params.version = OPEN_API_SERVICE_VERSION_V3
         request = OpenApiRequest(FUTURE_TICK, biz_model=params)
         response_content = self.__fetch_data(request)
         if response_content:

tigeropen/quote/request/model.py

@@ -601,6 +601,7 @@ def to_openapi_dict(self):
 class FutureQuoteParams(MarketParams):
     def __init__(self):
         super(FutureQuoteParams, self).__init__()
+        self._contract_code = None
         self._contract_codes = None
         self._period = None
         self._begin_time = None
@@ -610,6 +611,14 @@ def __init__(self):
         self._end_index = None
         self._page_token = None
 
+    @property
+    def contract_code(self):
+        return self._contract_code
+
+    @contract_code.setter
+    def contract_code(self, value):
+        self._contract_code = value
+
     @property
     def contract_codes(self):
         return self._contract_codes
@@ -677,6 +686,9 @@ def page_token(self, value):
     def to_openapi_dict(self):
         params = super(FutureQuoteParams, self).to_openapi_dict()
 
+        if self.contract_code:
+            params['contract_code'] = self.contract_code
+
         if self.contract_codes:
             params['contract_codes'] = self.contract_codes
 

tigeropen/quote/response/future_quote_ticks_response.py

@@ -8,8 +8,6 @@
 
 from tigeropen.common.response import TigerResponse
 
-COLUMNS = ['identifier', 'index', 'time', 'price', 'volume']
-
 
 class FutureTradeTickResponse(TigerResponse):
     def __init__(self):
@@ -22,17 +20,6 @@ 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):
-            tick_items = []
-            for symbol_item in self.data:
-                identifier = symbol_item.get('contractCode')
-                if 'items' in symbol_item:
-                    for item in symbol_item['items'][::-1]:
-                        item_values = {'identifier': identifier}
-                        for key, value in item.items():
-                            if value is None:
-                                continue
-                            item_values[key] = value
-                        tick_items.append([item_values.get(tag) for tag in COLUMNS])
-
-            self.trade_ticks = pd.DataFrame(tick_items, columns=COLUMNS)
+        if self.data:
+            self.trade_ticks = pd.DataFrame(self.data.get('items', []))
+            self.trade_ticks.insert(0, column='identifier', value=self.data.get('contractCode'))

tigeropen/trade/domain/order.py

@@ -143,17 +143,24 @@ class OrderLeg:
     附加订单
     """
 
-    def __init__(self, leg_type, price, time_in_force='DAY', outside_rth=None):
+    def __init__(self, leg_type, price, time_in_force='DAY', outside_rth=None, limit_price=None, trailing_percent=None,
+                 trailing_amount=None):
         """
-        :param leg_type: 附加订单类型(仅限价单支持). PROFIT 止盈单类型, LOSS 止损单类型
-        :param price: 附加订单价格
-        :param time_in_force: 附加订单有效期. 'DAY'（当日有效）和'GTC'（取消前有效).
+        :param leg_type: 附加订单类型(仅限价单支持). PROFIT 止盈单; LOSS 止损单
+        :param price: 附加订单触发价格
+        :param time_in_force: 附加订单有效期. 'DAY'（当日有效）和 'GTC'（取消前有效).
         :param outside_rth: 附加订单是否允许盘前盘后交易(美股专属). True 允许, False 不允许.
+        :param limit_price: attached stop loss order's limit price
+        :param trailing_percent: attached trailing stop loss order's trailing percent
+        :param trailing_amount: attached trailing stop loss order's trailing amount
         """
         self.leg_type = leg_type
         self.price = price
         self.time_in_force = time_in_force
         self.outside_rth = outside_rth
+        self.limit_price = limit_price
+        self.trailing_percent = trailing_percent
+        self.trailing_amount = trailing_amount
 
     def to_dict(self):
         return self.__dict__