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Merge branch 'feature_push_tick' into 'master'
Feature push tick See merge request server/openapi/openapi-python-sdk!115
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‎CHANGELOG.md‎

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## 2.1.3 (2022-07-01)
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### New
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- 长连接新增逐笔订阅: `PushClient.subscribe_tick`, 退订 `PushClient.unsubscribe_tick`
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- 新增已订阅查询回调方法 `PushClient.query_subscribed_callback` 取代旧有的 `Pushclient.subscribed_symbols`
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- `QuoteClient.get_trade_ticks` 新增 `trade_session` 参数，可指定该参数查询盘前盘后数据
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### Modify
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- `Pushclient.subscribed_symbols` 标记为废弃
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## 2.1.2 (2022-06-14)
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### Modify
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- 升级 stomp.py 版本, 将之前的 4.1.24 升级到 8.0.1

‎setup.py‎

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name='tigeropen',
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version=__VERSION__,
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description='TigerBrokers Open API',
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packages=find_packages(exclude=[]),
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packages=find_packages(exclude=["tests"]),
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author='TigerBrokers',
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author_email='[email protected]',
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license='Apache License v2',

‎tests/__init__.py‎

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# -*- coding: utf-8 -*-
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#
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# @Date : 2022/6/24
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# @Author : sukai

‎tests/test_push_client.py‎

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# -*- coding: utf-8 -*-
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#
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# @Date : 2022/6/24
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# @Author : sukai
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import unittest
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from tigeropen.push.push_client import PushClient
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class TestPushClient(unittest.TestCase):
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def test_tick_convert(self):
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body = '{"symbol":"QQQ","tickType":"*****","serverTimestamp":1656062042242,"priceOffset":2,' \
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'"volumes":[99,10,10,10,800],"partCode":["t","p","p","p","t"],"cond":"IIIIT","type":"TradeTick",' \
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'"times":[1656062084833,11,0,0,31],"quoteLevel":"usStockQuote","priceBase":28770,"sn":878,' \
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'"prices":[6,3,2,2,0],"timestamp":1656062085570}'
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expected = 'QQQ', [{'tick_type': '*', 'price': 287.76, 'volume': 99, 'part_code': 'NSDQ',
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'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_ODD_LOT_TRADE',
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'time': 1656062084833, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
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'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
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{'tick_type': '*', 'price': 287.73, 'volume': 10, 'part_code': 'ARCA',
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'part_code_name': 'NYSE Arca, Inc. (NYSE Arca)', 'cond': 'US_ODD_LOT_TRADE',
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'time': 1656062084844, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
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'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
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{'tick_type': '*', 'price': 287.72, 'volume': 10, 'part_code': 'ARCA',
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'part_code_name': 'NYSE Arca, Inc. (NYSE Arca)', 'cond': 'US_ODD_LOT_TRADE',
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'time': 1656062084844, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
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'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
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{'tick_type': '*', 'price': 287.72, 'volume': 10, 'part_code': 'ARCA',
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'part_code_name': 'NYSE Arca, Inc. (NYSE Arca)', 'cond': 'US_ODD_LOT_TRADE',
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'time': 1656062084844, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
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'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
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{'tick_type': '*', 'price': 287.7, 'volume': 800, 'part_code': 'NSDQ',
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'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_FORM_T',
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'time': 1656062084875, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
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'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570}]
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self.assertEqual(expected, PushClient._convert_tick(body))

‎tigeropen/__init__.py‎

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@author: gaoan
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"""
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__VERSION__ = '2.1.2'
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__VERSION__ = '2.1.3'

‎tigeropen/common/consts/push_destinations.py‎

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QUOTE_DEPTH = 'quotedepth'
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QUOTE_FUTURE = 'future'
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QUOTE_OPTION = 'option'
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TRADE_TICK = 'tradetick'
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TRADE_ASSET = 'trade/asset'
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TRADE_POSITION = 'trade/position'

‎tigeropen/common/consts/push_subscriptions.py‎

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SUBSCRIPTION_QUOTE_DEPTH = 'QuoteDepth'
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SUBSCRIPTION_QUOTE_FUTURE = 'Future'
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SUBSCRIPTION_QUOTE_OPTION = 'Option'
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SUBSCRIPTION_TRADE_TICK = 'TradeTick'
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SUBSCRIPTION_TRADE_ASSET = 'Asset'
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SUBSCRIPTION_TRADE_POSITION = 'Position'

‎tigeropen/common/consts/tick_constants.py‎

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# -*- coding: utf-8 -*-
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#
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# @Date : 2022/6/23
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# @Author : sukai
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HK_QUOTE_LEVEL_PREFIX = "hk"
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US_QUOTE_LEVEL_PREFIX = "us"
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PART_CODE_NAME_MAP = {
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"a": "NYSE American, LLC (NYSE American)",
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"b": "NASDAQ OMX BX, Inc. (NASDAQ OMX BX)",
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"c": "NYSE National, Inc. (NYSE National)",
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"d": "FINRA Alternative Display Facility (ADF)",
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"h": "MIAX Pearl Exchange, LLC (MIAX)",
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"i": "International Securities Exchange, LLC (ISE)",
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"j": "Cboe EDGA Exchange, Inc. (Cboe EDGA)",
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"k": "Cboe EDGX Exchange, Inc. (Cboe EDGX)",
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"l": "Long-Term Stock Exchange, Inc. (LTSE)",
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"m": "NYSE Chicago, Inc. (NYSE Chicago)",
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"n": "New York Stock Exchange, LLC (NYSE)",
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"p": "NYSE Arca, Inc. (NYSE Arca)",
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"s": "Consolidated Tape System (CTS)",
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"t": "NASDAQ Stock Market, LLC (NASDAQ)",
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"u": "Members Exchange, LLC (MEMX)",
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"v": "Investors’ Exchange, LLC. (IEX)",
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"w": "CBOE Stock Exchange, Inc. (CBSX)",
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"x": "NASDAQ OMX PSX, Inc. (NASDAQ OMX PSX)",
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"y": "Cboe BYX Exchange, Inc. (Cboe BYX)",
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"z": "Cboe BZX Exchange, Inc. (Cboe BZX)",
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}
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PART_CODE_MAP = {
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"a": "AMEX",
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"b": "BX",
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"c": "NSX",
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"d": "ADF",
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"h": "MIAX",
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"i": "ISE",
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"j": "EDGA",
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"k": "EDGX",
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"l": "LTSE",
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"m": "CHO",
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"n": "NYSE",
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"p": "ARCA",
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"s": "CTS",
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"t": "NSDQ",
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"u": "MEMX",
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"v": "IEX",
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"w": "CBSX",
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"x": "PSX",
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"y": "BYX",
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"z": "BZX",
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}
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US_TRADE_COND_MAP = {
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" ": "US_REGULAR_SALE", # 自动对盘
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"B": "US_BUNCHED_TRADE", # 批量交易
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"C": "US_CASH_TRADE", # 现金交易
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"F": "US_INTERMARKET_SWEEP", # 跨市场交易
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"G": "US_BUNCHED_SOLD_TRADE", # 批量卖出
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"H": "US_PRICE_VARIATION_TRADE", # 离价交易
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"I": "US_ODD_LOT_TRADE", # 碎股交易
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"K": "US_RULE_127_OR_155_TRADE", # 纽交所 第127条交易 或 第155条交易
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"L": "US_SOLD_LAST", # 延迟交易
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"M": "US_MARKET_CENTER_CLOSE_PRICE", # 中央收市价
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"N": "US_NEXT_DAY_TRADE", # 隔日交易
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"O": "US_MARKET_CENTER_OPENING_TRADE", # 中央开盘价交易
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"P": "US_PRIOR_REFERENCE_PRICE", # 前参考价
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"Q": "US_MARKET_CENTER_OPEN_PRICE", # 中央开盘价
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"R": "US_SELLER", # 卖方
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"T": "US_FORM_T", # 盘前盘后交易
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"U": "US_EXTENDED_TRADING_HOURS", # 延长交易时段
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"V": "US_CONTINGENT_TRADE", # 合单交易
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"W": "US_AVERAGE_PRICE_TRADE", # 均价交易
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"X": "US_CROSS_TRADE", #
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"Z": "US_SOLD_OUT_OF_SEQUENCE", # 场外售出
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"0": "US_ODD_LOST_CROSS_TRADE", # 碎股跨市场交易
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"4": "US_DERIVATIVELY_PRICED", # 衍生工具定价
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"5": "US_MARKET_CENTER_RE_OPENING_TRADE", # 再开盘定价
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"6": "US_MARKET_CENTER_CLOSING_TRADE", # 收盘定价
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"7": "US_QUALIFIED_CONTINGENT_TRADE", # 合单交易
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"9": "US_CONSOLIDATED_LAST_PRICE_PER_LISTING_PACKET", # 综合延迟价格
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}
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HK_TRADE_COND_MAP = {
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" ": "HK_AUTOMATCH_NORMAL", # 自动对盘
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"D": "HK_ODD_LOT_TRADE", # 碎股交易
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"U": "HK_AUCTION_TRADE", # 竞价交易
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"*": "HK_OVERSEAS_TRADE", # 场外交易
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"P": "HK_LATE_TRADE_OFF_EXCHG", # 开市前成交
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"M": "HK_NON_DIRECT_OFF_EXCHG_TRADE", # 非自动对盘
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"X": "HK_DIRECT_OFF_EXCHG_TRADE", # 同券商自动对盘
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"Y": "HK_AUTOMATIC_INTERNALIZED", # 同券商非自动对盘
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}

‎tigeropen/common/util/tick_util.py‎

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# -*- coding: utf-8 -*-
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#
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# @Date : 2022/6/24
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# @Author : sukai
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from tigeropen.common.consts.tick_constants import PART_CODE_MAP, PART_CODE_NAME_MAP, HK_QUOTE_LEVEL_PREFIX, \
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HK_TRADE_COND_MAP, US_TRADE_COND_MAP
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def get_part_code(code):
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return PART_CODE_MAP.get(code)
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def get_part_code_name(code):
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return PART_CODE_NAME_MAP.get(code)
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def get_trade_condition_map(quote_level):
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if quote_level.lower().startswith(HK_QUOTE_LEVEL_PREFIX):
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return HK_TRADE_COND_MAP
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return US_TRADE_COND_MAP
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def get_trade_condition(cond, cond_map):
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return cond_map.get(cond)
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‎tigeropen/examples/push_client_demo.py‎

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"""
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import time
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# from tigeropen.common.consts import QuoteKeyType
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import pandas as pd
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from tigeropen.push.push_client import PushClient
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from tigeropen.examples.client_config import get_client_config
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def query_subscribed_callback(data):
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"""
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callback of PushClient.query_subscribed_quote
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:param data:
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example:
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{'subscribed_symbols': ['QQQ'], 'limit': 1200, 'used': 1, 'symbol_focus_keys': {'qqq': ['open', 'prev_close', 'low', 'volume', 'latest_price', 'close', 'high']},
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'subscribed_quote_depth_symbols': ['NVDA'], 'quote_depth_limit': 20, 'quote_depth_used': 1,
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'subscribed_trade_tick_symbols': ['QQQ', 'AMD', '00700'], 'trade_tick_limit': 1200, 'trade_tick_used': 3
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}
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:return:
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"""
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print(data)
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def on_query_subscribed_quote(symbols, focus_keys, limit, used):
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"""
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deprecated. Use query_subscribed_callback instead.
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查询已订阅symbol回调
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:param symbols: 订阅合约的列表
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:param focus_keys: 每个合约订阅的 key 列表
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print(symbol, items, hour_trading)
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def on_tick_changed(symbol, items):
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"""
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:param symbol:
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:param items:
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items example:
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[{'tick_type': '*', 'price': 293.87, 'volume': 102, 'part_code': 'NSDQ',
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'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_FORM_T', 'time': 1656405615779,
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'server_timestamp': 1656405573461, 'type': 'TradeTick', 'quote_level': 'usStockQuote', 'sn': 342,
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'timestamp': 1656405617385},
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{'tick_type': '*', 'price': 293.87, 'volume': 102, 'part_code': 'NSDQ',
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'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_FORM_T', 'time': 1656405616573,
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'server_timestamp': 1656405573461,
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'type': 'TradeTick', 'quote_level': 'usStockQuote', 'sn': 343, 'timestamp': 1656405617385}]
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:return:
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"""
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print(symbol, items)
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# convert to DataFrame
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# frame = pd.DataFrame(items)
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# print(frame)
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def on_order_changed(account, items):
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"""
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# 行情变动回调
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push_client.quote_changed = on_quote_changed
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# 逐笔数据回调
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push_client.tick_changed = on_tick_changed
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# 已订阅 symbol 查询回调
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push_client.subscribed_symbols = on_query_subscribed_quote
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push_client.query_subscribed_callback = query_subscribed_callback
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# 已订阅 symbol 查询回调(已废弃)
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# push_client.subscribed_symbols = on_query_subscribed_quote
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# 订单变动回调
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push_client.order_changed = on_order_changed
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# 资产变动回调
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# 订阅深度行情
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push_client.subscribe_depth_quote(['AMD', 'BABA'])
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# 订阅逐笔数据
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push_client.subscribe_tick(['AMD', 'QQQ'])
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# 订阅资产变动
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push_client.subscribe_asset()
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# 订阅订单变动

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