warrant filter

Author: tigersk

tigeropen/common/consts/service_types.py

@@ -65,6 +65,8 @@
 STOCK_BROKER = "stock_broker"  # 港股股票实时经纪队列
 CAPITAL_DISTRIBUTION = "capital_distribution"  # 股票当日资金分布
 CAPITAL_FLOW = "capital_flow"  # 股票资金流向
+WARRANT_FILTER = "warrant_filter"
+WARRANT_REAL_TIME_QUOTE = "warrant_real_time_quote"
 
 # 期权行情
 OPTION_EXPIRATION = "option_expiration"

tigeropen/quote/domain/filter.py

@@ -197,3 +197,44 @@ def _build_items(self, items):
 
     def __repr__(self):
         return "ScannerResult(%s)" % self.__dict__
+
+
+class WarrantFilterItem:
+    def __init__(self, page=None, total_page=None, total_count=None, items=None, bounds=None):
+        self.page = page
+        self.total_page = total_page
+        self.total_count = total_count
+        self.items = items
+        self.bounds = bounds
+
+    def __repr__(self):
+        return "WarrantFilterItem(%s)" % self.__dict__
+
+
+class WarrantFilterBounds:
+    def __init__(self, issuer_name=None, expire_date=None, lot_size=None, entitlement_ratio=None,
+                 leverage_ratio=None, strike=None, premium=None, outstanding_ratio=None,
+                 implied_volatility=None, effective_leverage=None, call_price=None):
+        if entitlement_ratio is None:
+            entitlement_ratio = []
+        if lot_size is None:
+            lot_size = []
+        if expire_date is None:
+            expire_date = []
+        if issuer_name is None:
+            issuer_name = []
+        self.issuer_name = issuer_name
+        self.expire_date = expire_date
+        self.lot_size = lot_size
+        self.entitlement_ratio = entitlement_ratio
+        self.leverage_ratio = leverage_ratio
+        self.strike = strike
+        self.premium = premium
+        self.outstanding_ratio = outstanding_ratio
+        self.implied_volatility = implied_volatility
+        self.effective_leverage = effective_leverage
+        self.call_price = call_price
+
+    def __repr__(self):
+        return "FilterBounds(%s)" % self.__dict__
+

tigeropen/quote/quote_client.py

@@ -16,7 +16,7 @@
 from tigeropen.common.consts.filter_fields import FieldBelongType
 from tigeropen.common.consts.service_types import GRAB_QUOTE_PERMISSION, QUOTE_DELAY, GET_QUOTE_PERMISSION, \
     HISTORY_TIMELINE, FUTURE_CONTRACT_BY_CONTRACT_CODE, TRADING_CALENDAR, FUTURE_CONTRACTS, MARKET_SCANNER, \
-    STOCK_BROKER, CAPITAL_FLOW, CAPITAL_DISTRIBUTION
+    STOCK_BROKER, CAPITAL_FLOW, CAPITAL_DISTRIBUTION, WARRANT_REAL_TIME_QUOTE, WARRANT_FILTER
 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, \
@@ -40,7 +40,7 @@
 from tigeropen.quote.request.model import MarketParams, MultipleQuoteParams, MultipleContractParams, \
     FutureQuoteParams, FutureExchangeParams, FutureContractParams, FutureTradingTimeParams, SingleContractParams, \
     SingleOptionQuoteParams, DepthQuoteParams, OptionChainParams, TradingCalendarParams, MarketScannerParams, \
-    StockBrokerParams, CapitalParams
+    StockBrokerParams, CapitalParams, WarrantFilterParams
 from tigeropen.quote.response.capital_distribution_response import CapitalDistributionResponse
 from tigeropen.quote.response.capital_flow_response import CapitalFlowResponse
 from tigeropen.quote.response.future_briefs_response import FutureBriefsResponse
@@ -72,6 +72,8 @@
 from tigeropen.quote.response.symbol_names_response import SymbolNamesResponse
 from tigeropen.quote.response.symbols_response import SymbolsResponse
 from tigeropen.quote.response.trading_calendar_response import TradingCalendarResponse
+from tigeropen.quote.response.warrant_briefs_response import WarrantBriefsResponse
+from tigeropen.quote.response.warrant_filter_response import WarrantFilterResponse
 from tigeropen.tiger_open_client import TigerOpenClient
 from tigeropen.tiger_open_config import LANGUAGE
 
@@ -733,7 +735,7 @@ def get_option_briefs(self, identifiers):
 
         return None
 
-    def get_option_bars(self, identifiers, begin_time=-1, end_time=4070880000000, period=BarPeriod.DAY):
+    def get_option_bars(self, identifiers, begin_time=-1, end_time=4070880000000, period=BarPeriod.DAY, limit=None):
         """
         获取期权日K数据
         :param identifiers: 期权代码列表
@@ -742,6 +744,7 @@ def get_option_bars(self, identifiers, begin_time=-1, end_time=4070880000000, pe
         :param end_time: 结束时间. 格式同 begin_time
         :param period: 时间间隔. 可选值: DAY("day"), ONE_MINUTE("1min"), FIVE_MINUTES("5min"), HALF_HOUR("30min"),
             ONE_HOUR("60min");
+        :param limit: 每个期权的返回k线数量
         :return: pandas.DataFrame, 各 column 含义如下：
             time: 毫秒级时间戳
             open: 开盘价
@@ -768,6 +771,7 @@ def get_option_bars(self, identifiers, begin_time=-1, end_time=4070880000000, pe
             param.period = get_enum_value(period)
             param.begin_time = date_str_to_timestamp(begin_time, self._timezone)
             param.end_time = date_str_to_timestamp(end_time, self._timezone)
+            param.limit = limit
             contracts.append(param)
         params.contracts = contracts
         request = OpenApiRequest(OPTION_KLINE, biz_model=params)
@@ -1542,6 +1546,42 @@ def get_capital_distribution(self, symbol, market, lang=None):
         if response_content:
             response = CapitalDistributionResponse()
             response.parse_response_content(response_content)
+            if response.is_success():
+                return response.result
+            else:
+                raise ApiException(response.code, response.message)
+
+    def get_warrant_briefs(self, symbols):
+        """
+        get warrant/iopt quote
+        :param symbols:
+        :return:
+        """
+        params = MultipleQuoteParams()
+        params.symbols = symbols if isinstance(symbols, list) else [symbols]
+        params.lang = get_enum_value(self._lang)
+        request = OpenApiRequest(WARRANT_REAL_TIME_QUOTE, biz_model=params)
+        response_content = self.__fetch_data(request)
+        if response_content:
+            response = WarrantBriefsResponse()
+            response.parse_response_content(response_content)
+            if response.is_success():
+                return response.result
+            else:
+                raise ApiException(response.code, response.message)
+
+    def get_warrant_filter(self, symbol, ):
+        """
+        :return:
+        """
+        params = WarrantFilterParams()
+        params.lang = get_enum_value(self._lang)
+        params.symbol = symbol
+        request = OpenApiRequest(WARRANT_FILTER, biz_model=params)
+        response_content = self.__fetch_data(request)
+        if response_content:
+            response = WarrantFilterResponse()
+            response.parse_response_content(response_content)
             if response.is_success():
                 return response.result
             else:

tigeropen/quote/request/model.py

@@ -1056,3 +1056,214 @@ def to_openapi_dict(self):
         if self.limit:
             params['limit'] = self.limit
         return params
+
+
+class WarrantFilterParams(BaseParams):
+    def __init__(self):
+        super().__init__()
+        self._symbol = None
+        self._page = None
+        self._page_size = None
+        self._sort_field_name = None
+        # sort directions
+        self._sort_dir = None
+        # 1:Call, 2: Put, 3: Bull,4: Bear, 0: All
+        self._warrant_type = None
+        self._issuer_name = None
+        # expiry date: yyyy-MM
+        self._expire_ym = None
+        # 0 All, 1 Normal, 2 Terminate Trades, 3 Waiting to be listed
+        self._state = None
+        # -1:out the money, 1: in the money
+        self._in_out_price: set[int] = set()
+        self._lot_size: set[int] = set()
+        self._entitlement_ratio: set[float] = set()
+
+        self._strike: tuple[float, float] = tuple()
+        self._effective_leverage: tuple[float, float] = tuple()
+        self._leverage_ratio: tuple[float, float] = tuple()
+        self._call_price: tuple[float, float] = tuple()
+        self._volume: tuple[int, int] = tuple()
+        self._premium: tuple[float, float] = tuple()
+        self._outstanding_ratio: tuple[float, float] = tuple()
+        self._implied_volatility: tuple[int, int] = tuple()
+
+    @property
+    def symbol(self):
+        return self._symbol
+
+    @symbol.setter
+    def symbol(self, value):
+        self._symbol = value
+
+    @property
+    def page(self):
+        return self._page
+
+    @page.setter
+    def page(self, value):
+        self._page = value
+
+    @property
+    def page_size(self):
+        return self._page_size
+
+    @page_size.setter
+    def page_size(self, value):
+        self._page_size = value
+
+    @property
+    def sort_field_name(self):
+        return self._sort_field_name
+
+    @sort_field_name.setter
+    def sort_field_name(self, value):
+        self._sort_field_name = value
+
+    @property
+    def sort_dir(self):
+        return self._sort_dir
+
+    @sort_dir.setter
+    def sort_dir(self, value):
+        self._sort_dir = value
+
+    @property
+    def warrant_type(self):
+        return self._warrant_type
+
+    @warrant_type.setter
+    def warrant_type(self, value):
+        self._warrant_type = value
+
+    @property
+    def issuer_name(self):
+        return self._issuer_name
+
+    @issuer_name.setter
+    def issuer_name(self, value):
+        self._issuer_name = value
+
+    @property
+    def expire_ym(self):
+        return self._expire_ym
+
+    @expire_ym.setter
+    def expire_ym(self, value):
+        self._expire_ym = value
+
+    @property
+    def state(self):
+        return self._state
+
+    @state.setter
+    def state(self, value):
+        self._state = value
+
+    @property
+    def strike(self):
+        return self._strike
+
+    @strike.setter
+    def strike(self, value):
+        self._strike = value
+
+    @property
+    def effective_leverage(self):
+        return self._effective_leverage
+
+    @effective_leverage.setter
+    def effective_leverage(self, value):
+        self._effective_leverage = value
+
+    @property
+    def leverage_ratio(self):
+        return self._leverage_ratio
+
+    @leverage_ratio.setter
+    def leverage_ratio(self, value):
+        self._leverage_ratio = value
+
+    @property
+    def call_price(self):
+        return self._call_price
+
+    @call_price.setter
+    def call_price(self, value):
+        self._call_price = value
+
+    @property
+    def volume(self):
+        return self._volume
+
+    @volume.setter
+    def volume(self, value):
+        self._volume = value
+
+    @property
+    def premium(self):
+        return self._premium
+
+    @premium.setter
+    def premium(self, value):
+        self._premium = value
+
+    @property
+    def outstanding_ratio(self):
+        return self._outstanding_ratio
+
+    @outstanding_ratio.setter
+    def outstanding_ratio(self, value):
+        self._outstanding_ratio = value
+
+    @property
+    def implied_volatility(self):
+        return self._implied_volatility
+
+    @implied_volatility.setter
+    def implied_volatility(self, value):
+        self._implied_volatility = value
+
+    def convert_range_param(self, value: tuple):
+        if value and len(value) == 2:
+            return {'min': value[0], 'max': value[1]}
+        return None
+
+    def to_openapi_dict(self):
+        params = super().to_openapi_dict()
+        if self.symbol:
+            params['symbol'] = self.symbol
+        if self.page:
+            params['page'] = self.page
+        if self.page_size:
+            params['page_size'] = self.page_size
+        if self.sort_field_name:
+            params['sort_field_name'] = self.sort_field_name
+        if self.sort_dir:
+            params['sort_dir'] = self.sort_dir
+        if self.warrant_type:
+            params['warrant_type'] = self.warrant_type
+        if self.issuer_name:
+            params['issuer_name'] = self.issuer_name
+        if self.expire_ym:
+            params['expire_ym'] = self.expire_ym
+        if self.state:
+            params['state'] = self.state
+        # tuple params
+        if self.strike:
+            params['strike'] = self.convert_range_param(self.strike)
+        if self.effective_leverage:
+            params['effective_leverage'] = self.convert_range_param(self.effective_leverage)
+        if self.leverage_ratio:
+            params['leverage_ratio'] = self.convert_range_param(self.leverage_ratio)
+        if self.call_price:
+            params['call_price'] = self.convert_range_param(self.call_price)
+        if self.volume:
+            params['volume'] = self.convert_range_param(self.volume)
+        if self.premium:
+            params['premium'] = self.convert_range_param(self.premium)
+        if self.outstanding_ratio:
+            params['outstanding_ratio'] = self.convert_range_param(self.outstanding_ratio)
+        if self.implied_volatility:
+            params['implied_volatility'] = self.convert_range_param(self.implied_volatility)
+        return params

tigeropen/quote/response/warrant_briefs_response.py

@@ -0,0 +1,24 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2023/4/6
+# @Author  : sukai
+import pandas as pd
+
+from tigeropen.common.response import TigerResponse
+from tigeropen.common.util import string_utils
+
+
+class WarrantBriefsResponse(TigerResponse):
+    def __init__(self):
+        super(WarrantBriefsResponse, self).__init__()
+        self.result = None
+        self._is_success = None
+
+    def parse_response_content(self, response_content):
+        response = super(WarrantBriefsResponse, self).parse_response_content(response_content)
+        if 'is_success' in response:
+            self._is_success = response['is_success']
+
+        if self.data and self.data.get('items'):
+            self.result = string_utils.camel_to_underline_obj(self.data.get('items'))
+            self.result = pd.DataFrame(self.result)