Merge pull request #45 from tigerfintech/feature_api_order_transactions

Add api TradeClient.get_transaction, QuoteClient.get_quoe_permissions;

Author: hotea

CHANGELOG.md

@@ -1,3 +1,18 @@
+## 2.0.5 (2022-01-10)
+### New
+- 查询行情权限接口 QuoteClient.get_quote_permission
+- 订单综合账户成交记录接口 TradeClient.get_transactions
+- 增加一个完整的策略示例
+
+### Changed
+- 方法枚举参数优化，使用枚举参数的方法也可以直接使用该枚举对应值
+- TradeClient.place_order 去除返回数据中 Order.order_id 属性的校验
+- 将 SDK 内部的日志级别由 INFO 调整为 DEBUG, 防止默认情况下输出 SDK 的日志
+- 去除 pandas 固定版本号, 方便安装时灵活指定版本
+
+### Breaking
+- 行情权限抢占接口 QuoteClient.grab_quote_permission 返回的数据项中，'expireAt' 字段格式转换为 'expire_at'
+
 ## 2.0.4 (2021-12-08)
 ### New
 - 综合/模拟账户查询资产接口 TradeClient.get_prime_assets

requirements.txt

@@ -1,6 +1,6 @@
 simplejson==3.17.3
 delorean==1.0.0
-pandas==1.1.5
+pandas
 python-dateutil==2.8.2
 pytz==2021.1
 pyasn1==0.4.8

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.0.4'
+__VERSION__ = '2.0.5'

tigeropen/common/consts/push_subscriptions.py

@@ -0,0 +1,10 @@
+# -*- coding: utf-8 -*-
+
+SUBSCRIPTION_QUOTE = 'Quote'
+SUBSCRIPTION_QUOTE_DEPTH = 'QuoteDepth'
+SUBSCRIPTION_QUOTE_FUTURE = 'Future'
+SUBSCRIPTION_QUOTE_OPTION = 'Option'
+
+SUBSCRIPTION_TRADE_ASSET = 'Asset'
+SUBSCRIPTION_TRADE_POSITION = 'Position'
+SUBSCRIPTION_TRADE_ORDER = 'OrderStatus'

tigeropen/common/consts/service_types.py

@@ -22,6 +22,7 @@
 ACTIVE_ORDERS = "active_orders"  # 待成交订单
 INACTIVE_ORDERS = "inactive_orders"  # 已撤销订单
 FILLED_ORDERS = "filled_orders"  # 已成交订单
+ORDER_TRANSACTIONS = "order_transactions"  # 订单成交记录
 
 """
 合约
@@ -46,6 +47,7 @@
 QUOTE_STOCK_TRADE = "quote_stock_trade"
 QUOTE_DEPTH = "quote_depth"  # level2 深度行情
 GRAB_QUOTE_PERMISSION = "grab_quote_permission"  # 抢占行情
+GET_QUOTE_PERMISSION = "get_quote_permission"
 
 # 期权行情
 OPTION_EXPIRATION = "option_expiration"

tigeropen/common/util/common_utils.py

@@ -4,6 +4,8 @@
 
 @author: gaoan
 """
+from enum import Enum
+
 import pytz
 
 eastern = pytz.timezone('US/Eastern')
@@ -19,3 +21,9 @@ def has_value(m, key):
     if not m[key]:
         return False
     return True
+
+
+def get_enum_value(e, enum_type=None):
+    if enum_type is None:
+        return e.value if isinstance(e, Enum) else e
+    return e.value if isinstance(e, enum_type) else e

tigeropen/examples/nasdaq100.py

@@ -0,0 +1,309 @@
+import datetime
+import logging
+import sys
+import time
+
+import pandas as pd
+
+from tigeropen.common.consts import BarPeriod, SecurityType, Market, Currency
+from tigeropen.common.util.contract_utils import stock_contract
+from tigeropen.common.util.order_utils import limit_order
+from tigeropen.quote.quote_client import QuoteClient
+from tigeropen.tiger_open_config import get_client_config
+from tigeropen.trade.trade_client import TradeClient
+
+client_logger = logging.getLogger('client')
+client_logger.setLevel(logging.WARNING)
+client_logger.addHandler(logging.StreamHandler(sys.stdout))
+logger = logging.getLogger(__name__)
+logger.setLevel(logging.INFO)
+logger.addHandler(logging.StreamHandler(sys.stdout))
+
+pd.set_option('display.max_columns', 500)
+pd.set_option('display.max_rows', 100)
+pd.set_option('display.width', 1000)
+
+# 纳斯达克100指数成分股 Components of Nasdaq-100. Up to 2021/12/20
+UNIVERSE_NDX = ["AAPL", "ADBE", "ADI", "ADP", "ADSK", "AEP", "ALGN", "AMAT", "AMD", "AMGN", "AMZN", "ANSS", "ASML",
+                "ATVI", "AVGO", "BIDU", "BIIB", "BKNG", "CDNS", "CDW", "CERN", "CHKP", "CHTR", "CMCSA", "COST", "CPRT",
+                "CRWD", "CSCO", "CSX", "CTAS", "CTSH", "DLTR", "DOCU", "DXCM", "EA", "EBAY", "EXC", "FAST", "FB",
+                "FISV", "FOX", "GILD", "GOOG", "HON", "IDXX", "ILMN", "INCY", "INTC", "INTU", "ISRG",
+                "JD", "KDP", "KHC", "KLAC", "LRCX", "LULU", "MAR", "MCHP", "MDLZ", "MELI", "MNST", "MRNA", "MRVL",
+                "MSFT", "MTCH", "MU", "NFLX", "NTES", "NVDA", "NXPI", "OKTA", "ORLY", "PAYX", "PCAR", "PDD", "PEP",
+                "PTON", "PYPL", "QCOM", "REGN", "ROST", "SBUX", "SGEN", "SIRI", "SNPS", "SPLK", "SWKS", "TCOM", "TEAM",
+                "TMUS", "TSLA", "TXN", "VRSK", "VRSN", "VRTX", "WBA", "WDAY", "XEL", "XLNX", "ZM"]
+
+# 恒生科技指数成分股. Up to 2021/12/20
+UNIVERSE_HSTECH = ["00241", "00268", "00285", "00522", "00700", "00772", "00780", "00909", "00981", "00992", "01024",
+                   "01347", "01810", "01833", "02013", "02018", "02382", "02518", "03690", "03888", "06060", "06618",
+                   "06690", "09618", "09626", "09698", "09888", "09961", "09988", "09999"]
+
+# 持仓股票个数
+HOLDING_NUM = 5
+# 订单检查次数
+ORDERS_CHECK_MAX_TIMES = 10
+# 获取行情每次请求symbol个数
+REQUEST_SIZE = 50
+TARGET_QUANTITY = "target_quantity"
+PRE_CLOSE = "pre_close"
+LATEST_PRICE = "latest_price"
+MARKET_CAPITAL = "market_capital"
+SYMBOL = "symbol"
+WEIGHT = "weight"
+TIME = "time"
+CLOSE = "close"
+DATE = "date"
+LOT_SIZE = "lot_size"
+
+PRIVATE_KEY_PATH = "your private key path"
+TIGER_ID = "your tiger id"
+ACCOUNT = "your account"
+client_config = get_client_config(private_key_path=PRIVATE_KEY_PATH, tiger_id=TIGER_ID, account=ACCOUNT)
+quote_client = QuoteClient(client_config, logger=client_logger)
+trade_client = TradeClient(client_config, logger=client_logger)
+
+
+def request(symbols, method, **kwargs):
+    """
+    :param symbols:
+    :param method:
+    :param kwargs:
+    :return:
+    """
+    symbols = list(symbols)
+    result = pd.DataFrame()
+    for i in range(0, len(symbols), REQUEST_SIZE):
+        part = symbols[i:i + REQUEST_SIZE]
+        quote = method(part, **kwargs)
+        result = result.append(quote)
+        # for rate limit
+        time.sleep(0.5)
+    return result
+
+
+def get_quote(symbols):
+    quote = request(symbols, quote_client.get_stock_briefs)
+    return quote.set_index(SYMBOL)
+
+
+def get_trade_meta(symbols):
+    metas = request(symbols, quote_client.get_trade_metas)
+    return metas.set_index(SYMBOL)
+
+
+def get_history(symbols, total=200, batch_size=50) -> pd.DataFrame:
+    """
+
+    :param symbols:
+    :param total:
+    :param batch_size:
+    :return:
+                                               time      open     high       low   close     volume
+    date                      symbol
+    2021-03-05 00:00:00-05:00 AAPL    1614920400000  120.9800  121.935  117.5700  121.42  153766601
+                              ADBE    1614920400000  444.8800  444.950  423.7101  440.83    4614971
+                              ADI     1614920400000  149.0000  149.620  143.3900  148.88    4040153
+                              ADP     1614920400000  171.8300  179.000  171.5003  178.26    2535893
+                              ADSK    1614920400000  270.3300  270.330  255.0200  267.39    1835526
+    ...                                         ...       ...      ...       ...     ...        ...
+    2021-12-16 00:00:00-05:00 WBA     1639630800000   48.5035   50.150   48.5000   49.26    5551852
+                              WDAY    1639630800000  277.3300  278.365  269.2600  272.23    1206784
+                              XEL     1639630800000   68.5800   69.570   68.3100   68.95    3774564
+                              XLNX    1639630800000  217.3700  218.080  198.5100  199.78    4299386
+                              ZM      1639630800000  183.7900  185.720  177.0000  182.40    4224447
+    """
+    end = int(datetime.datetime.today().timestamp() * 1000)
+    history = pd.DataFrame()
+    for i in range(0, total, batch_size):
+        if i + batch_size <= total:
+            limit = batch_size
+        else:
+            limit = i + batch_size - total
+        logger.info(f'query history, end_time:{end}, limit:{limit}')
+        part = request(symbols, quote_client.get_bars, period=BarPeriod.DAY, end_time=end, limit=limit)
+        part[DATE] = pd.to_datetime(part[TIME], unit='ms').dt.tz_localize('UTC').dt.tz_convert('US/Eastern')
+        end = min(part[TIME])
+        history = history.append(part)
+    history.set_index([DATE, SYMBOL], inplace=True)
+    history.sort_index(inplace=True)
+    return history
+
+
+class Strategy:
+
+    def __init__(self):
+        self.market = Market.US
+        self.currency = Currency.USD
+        self.universe = UNIVERSE_NDX
+        # self.market = Market.HK
+        # self.currency = Currency.HKD
+        # self.universe = UNIVERSE_HSTECH
+
+        self.selected_symbols = list()
+        # 计算动量的时间周期
+        self.momentum_period = 30
+        # 持仓股票个数
+        self.holding_num = HOLDING_NUM
+        # 调仓后隔夜剩余流动性目标占比，剩余流动性占比越高，风控状态越安全，如果隔夜剩余流动性占比过低（比如小于5%), 则存在被强平的风险。
+        self.target_overnight_liquidation_ratio = 0.6
+
+    def screen_stocks(self):
+        """screen stock by price momentum
+        按动量筛选股票. 选取周期内涨幅最高的若干股票
+        :return:
+        """
+        history = get_history(self.universe)
+        close_data = history[CLOSE].unstack()
+        momentum = close_data.pct_change(periods=self.momentum_period).iloc[-1]
+        self.selected_symbols = momentum.nlargest(self.holding_num).index.values.tolist()
+        return self.selected_symbols
+
+    def rebalance_portfolio(self):
+        """
+        调仓。先将本次选股未选中但在持仓中的股票进行平仓，然后将选中的股票按照等股数权重买入
+        :return:
+        """
+        position_list = trade_client.get_positions(sec_type=SecurityType.STK, market=self.market)
+        positions = dict()
+        for pos in position_list:
+            positions[pos.contract.symbol] = pos.quantity
+
+        need_close_symbols = set(positions.keys()) - set(self.selected_symbols)
+
+        # 如果不是美股，需要获取股票的每手股数，每次下单的股数只能使用每手股数的整数倍
+        lot_size = get_trade_meta(set(positions.keys()).union(self.selected_symbols))[LOT_SIZE]
+        latest_price = get_quote(need_close_symbols)[LATEST_PRICE]
+        orders = list()
+        for symbol in need_close_symbols:
+            contract = stock_contract(symbol, currency=self.currency.name)
+            # 将下单股数处理为每手股数的整数倍
+            quantity = int(positions[symbol] // lot_size[symbol] * lot_size[symbol])
+            if quantity == 0:
+                logger.warning(f'can not place order with this quantity, symbol:{symbol}, lot_size:{lot_size[symbol]},'
+                               f'quantity:{positions[symbol]}')
+                continue
+            limit_price = latest_price[symbol]
+            order = limit_order(account=ACCOUNT,
+                                contract=contract,
+                                action='SELL' if quantity > 0 else 'BUY',
+                                quantity=abs(quantity),
+                                limit_price=limit_price)
+            orders.append(order)
+        self.execute_orders(orders)
+
+        # 环球账户 global account
+        # asset = trade_client.get_assets(account=ACCOUNT, segment=True)[0].segments['S']
+        # target_overnight_liquidation = asset.equity_with_loan * self.target_overnight_liquidation_ratio
+        # adjust_value = asset.sma - target_overnight_liquidation
+
+        # 综合/模拟账户 prime/paper account
+        asset = trade_client.get_prime_assets(account=ACCOUNT).segments['S']
+        # 调仓后目标隔夜剩余流动性(隔夜剩余流动性 overnight_liquidation = 含贷款价值总权益 equity_with_loan - 隔夜保证金 overnight_margin)
+        # 隔夜剩余流动性比例 = 隔夜剩余流动性 overnight_liquidation / 含贷款价值总权益 equity_with_loan
+        target_overnight_liquidation = asset.equity_with_loan * self.target_overnight_liquidation_ratio
+        # 如果流动性充足，需要买入的金额
+        adjust_value = asset.overnight_liquidation - target_overnight_liquidation
+        if adjust_value <= 0:
+            logger.info('no enough liquidation')
+            return
+        quote = get_quote(self.selected_symbols)
+        # 按持股数量等权重持仓，equal weight
+        quote[WEIGHT] = 1 / len(self.selected_symbols)
+        quote[TARGET_QUANTITY] = (adjust_value * quote[WEIGHT] / quote[LATEST_PRICE]).astype(int)
+
+        orders = list()
+        for symbol in quote.index:
+            contract = stock_contract(symbol, self.currency.name)
+            quantity = int(quote[TARGET_QUANTITY][symbol] // lot_size[symbol] * lot_size[symbol])
+            # 该检查主要针对非美股。如果目前下单股数不是log_size的整数倍，则不能下单，只能通过app进行碎股卖出
+            if quantity == 0:
+                logger.warning(f'can not place order with this quantity, symbol:{symbol}, lot_size:{lot_size[symbol]},'
+                               f'quantity:{quote[TARGET_QUANTITY][symbol]}')
+                continue
+            order = limit_order(account=ACCOUNT,
+                                contract=contract,
+                                action='BUY',
+                                quantity=quantity,
+                                limit_price=quote[LATEST_PRICE][symbol])
+            order.time_in_force = 'GTC'  # 'DAY' 日内有效 / 'GTC' 撤销前有效
+            orders.append(order)
+        self.execute_orders(orders)
+
+    def execute_orders(self, orders):
+        local_orders = dict()
+        for order in orders:
+            try:
+                trade_client.place_order(order)
+                logger.info(f'place order, {order.action} {order.contract.symbol} {order.quantity} {order.limit_price}')
+                local_orders[order.id] = order
+            except Exception as e:
+                logger.error(f'place order error:{order}')
+                logger.error(e, exc_info=True)
+
+        time.sleep(20)
+        i = 0
+        while i <= ORDERS_CHECK_MAX_TIMES:
+            logger.info(f'check {i} times')
+            history_open_orders = trade_client.get_open_orders(account=ACCOUNT, sec_type=SecurityType.STK,
+                                                               market=self.market,
+                                                               start_time=self.get_time_from_now(
+                                                                   datetime.timedelta(days=1)),
+                                                               end_time=self.get_time_from_now())
+            if not history_open_orders:
+                break
+
+            # 检查一定次数后如果还未成交， 进行一次改单， 修改限价为最新价格
+            if i == ORDERS_CHECK_MAX_TIMES // 2:
+                for open_order in history_open_orders:
+                    latest_price = get_quote([open_order.contract.symbol])[LATEST_PRICE][open_order.contract.symbol]
+                    try:
+                        trade_client.modify_order(open_order, limit_price=latest_price)
+                        logger.info(f'modify order, id:{open_order.id}, symbol:{open_order.contract.symbol},'
+                                    f' old_price:{open_order.limit_price}, new_price:{latest_price}')
+                    except Exception as e:
+                        logger.error(f'modify order error:{open_order.id}')
+                        logger.error(e)
+            # 如果达到最大检查次数还未成交，则进行撤单
+            if i >= ORDERS_CHECK_MAX_TIMES:
+                for order in history_open_orders:
+                    logger.info(f'the order was not filled, now cancel it: {order}')
+                    try:
+                        trade_client.cancel_order(ACCOUNT, id=order.id)
+                    except Exception as e:
+                        logger.error(f'cancel order error: {order}')
+                        logger.error(e, exc_info=True)
+            i += 1
+            time.sleep(10)
+
+        # 打印已成交订单信息
+        filled_orders = trade_client.get_filled_orders(account=ACCOUNT,
+                                                       sec_type=SecurityType.STK,
+                                                       market=self.market,
+                                                       start_time=self.get_time_from_now(datetime.timedelta(days=1)),
+                                                       end_time=self.get_time_from_now())
+        order_infos = [(str(order.id) + ':' + order.contract.symbol + ':' + order.action + ':' + str(order.filled)
+                        + ':' + str(order.avg_fill_price)) for order in filled_orders]
+        logger.info(f'recently filled orders:{order_infos}')
+
+        # 打印未成交订单信息
+        unfilled_order_ids = set(local_orders.keys()) - set(order.id for order in filled_orders)
+        for order_id in unfilled_order_ids:
+            order = trade_client.get_order(ACCOUNT, id=order_id)
+            logger.info(f'order was cancelled, id:{order.id}, status:{order.status}, reason:{order.reason}')
+
+    @staticmethod
+    def get_time_from_now(delta=None):
+        if not delta:
+            return int(datetime.datetime.now().timestamp()) * 1000
+        return int((datetime.datetime.now() - delta).timestamp()) * 1000
+
+    def run(self):
+        perms = quote_client.grab_quote_permission()
+        logger.info(perms)
+        self.screen_stocks()
+        self.rebalance_portfolio()
+
+
+if __name__ == '__main__':
+    strategy = Strategy()
+    strategy.run()