mod: add margin and short fee for contract

gaoan · gaoan · commit a803466ad772 · 2019-08-02T11:20:59.000+08:00
diff --git a/setup.py b/setup.py
@@ -10,7 +10,7 @@
 
 setup(
     name='tigeropen',
-    version='1.1.6',
+    version='1.1.7',
     description='TigerBrokers Open API',
     packages=find_packages(exclude=[]),
     author='TigerBrokers',
diff --git a/tigeropen/examples/push_client_demo.py b/tigeropen/examples/push_client_demo.py
@@ -61,7 +61,7 @@ def on_position_changed(account, items):
 #             time.sleep(t)
 #         else:
 #             print('reconnect success')
-#             break
+#             return
 #     print('reconnect failed, please check your network')
 #
 
diff --git a/tigeropen/push/push_client.py b/tigeropen/push/push_client.py
@@ -21,38 +21,41 @@
                                     }
 QUOTE_KEYS_MAPPINGS = {field.value: field.name for field in QuoteChangeKey}  # like {'askPrice': 'ask_price'}
 QUOTE_KEYS_MAPPINGS.update(HOUR_TRADING_QUOTE_KEYS_MAPPINGS)
+PRICE_FIELDS = {'open', 'high', 'low', 'close', 'prev_close', 'ask_price', 'bid_price', 'latest_price'}
 
 ASSET_KEYS_MAPPINGS = {'buyingPower': 'buying_power', 'cashBalance': 'cash',
                        'grossPositionValue': 'gross_position_value',
                        'netLiquidation': 'net_liquidation', 'equityWithLoan': 'equity_with_loan',
                        'initMarginReq': 'initial_margin_requirement',
                        'maintMarginReq': 'maintenance_margin_requirement',
                        'availableFunds': 'available_funds', 'excessLiquidity': 'excess_liquidity',
-                       'dayTradesRemaining': 'day_trades_remaining', 'currency': 'currency'}
+                       'dayTradesRemaining': 'day_trades_remaining', 'currency': 'currency', 'segment': 'segment'}
 
 POSITION_KEYS_MAPPINGS = {'averageCost': 'average_cost', 'position': 'quantity', 'latestPrice': 'market_price',
                           'marketValue': 'market_value', 'orderType': 'order_type', 'realizedPnl': 'realized_pnl',
                           'unrealizedPnl': 'unrealized_pnl', 'secType': 'sec_type', 'localSymbol': 'local_symbol',
                           'originSymbol': 'origin_symbol', 'contractId': 'contract_id', 'symbol': 'symbol',
-                          'currency': 'currency', 'strike': 'strike', 'expiry': 'expiry', 'right': 'right'}
+                          'currency': 'currency', 'strike': 'strike', 'expiry': 'expiry', 'right': 'right',
+                          'segment': 'segment'}
 
 ORDER_KEYS_MAPPINGS = {'parentId': 'parent_id', 'orderId': 'order_id', 'orderType': 'order_type',
                        'limitPrice': 'limit_price', 'auxPrice': 'aux_price', 'avgFillPrice': 'avg_fill_price',
                        'totalQuantity': 'quantity', 'filledQuantity': 'filled', 'lastFillPrice': 'last_fill_price',
-                       'realizedPnl': 'realized_pnl', 'secType': 'sec_type',
+                       'realizedPnl': 'realized_pnl', 'secType': 'sec_type', 'symbol': 'symbol',
                        'remark': 'reason', 'localSymbol': 'local_symbol', 'originSymbol': 'origin_symbol',
                        'outsideRth': 'outside_rth', 'timeInForce': 'time_in_force', 'openTime': 'order_time',
                        'latestTime': 'trade_time', 'contractId': 'contract_id', 'trailStopPrice': 'trail_stop_price',
                        'trailingPercent': 'trailing_percent', 'percentOffset': 'percent_offset', 'action': 'action',
-                       'status': 'status', 'currency': 'currency', 'remaining': 'remaining', 'id': 'id'}
+                       'status': 'status', 'currency': 'currency', 'remaining': 'remaining', 'id': 'id',
+                       'segment': 'segment'}
 
 if sys.platform == 'linux' or sys.platform == 'linux2':
     KEEPALIVE = True
 else:
     KEEPALIVE = False
 
 
-class PushClient(object):
+class PushClient(stomp.ConnectionListener):
     def __init__(self, host, port, use_ssl=True, connection_timeout=120, auto_reconnect=True,
                  heartbeats=(30 * 1000, 30 * 1000)):
         """
@@ -155,12 +158,34 @@ def on_message(self, headers, body):
                         hour_trading = True
                     if 'symbol' in data:
                         symbol = data.get('symbol')
+                        offset = data.get('offset', 0)
                         items = []
-                        for key, value in data.items():
-                            if (key == 'latestTime' or key == 'hourTradingLatestTime') and isinstance(value, six.string_types):
-                                continue
-                            if key in QUOTE_KEYS_MAPPINGS:
-                                items.append((QUOTE_KEYS_MAPPINGS.get(key), value))
+                        # 期货行情推送的价格都乘了 10 的 offset 次方变成了整数, 需要除回去变为正常单位的价格
+                        if offset:
+                            for key, value in data.items():
+                                if (key == 'latestTime' or key == 'hourTradingLatestTime') and \
+                                        isinstance(value, six.string_types):
+                                    continue
+                                if key in QUOTE_KEYS_MAPPINGS:
+                                    key = QUOTE_KEYS_MAPPINGS.get(key)
+                                    if key in PRICE_FIELDS:
+                                        value /= 10 ** offset
+                                    elif key == 'minute':
+                                        minute_item = dict()
+                                        for m_key, m_value in value.items():
+                                            if m_key in {'p', 'h', 'l'}:
+                                                m_value /= 10 ** offset
+                                            minute_item[m_key] = m_value
+                                            value = minute_item
+                                    items.append((key, value))
+                        else:
+                            for key, value in data.items():
+                                if (key == 'latestTime' or key == 'hourTradingLatestTime') and \
+                                        isinstance(value, six.string_types):
+                                    continue
+                                if key in QUOTE_KEYS_MAPPINGS:
+                                    key = QUOTE_KEYS_MAPPINGS.get(key)
+                                    items.append((key, value))
                         if items:
                             self.quote_changed(symbol, items, hour_trading)
             elif response_type == str(ResponseType.SUBSCRIBE_ASSET.value):
diff --git a/tigeropen/tiger_open_config.py b/tigeropen/tiger_open_config.py
@@ -5,6 +5,31 @@
 @author: gaoan
 """
 from tigeropen.common.consts import Language
+from tigeropen.common.util.signature_utils import read_private_key
+
+# 老虎证券开放平台网关地址
+SERVER_URL = 'https://openapi.itiger.com/gateway'
+# 老虎证券开放平台 socket 连接域名端口
+SOCKET_HOST_PORT = ('ssl', 'openapi.itiger.com', 8883)
+# 老虎证券开放平台公钥
+TIGER_PUBLIC_KEY = 'MIGfMA0GCSqGSIb3DQEBAQUAA4GNADCBiQKBgQDNF3G8SoEcCZh2rshUbayDgLLrj6rKgzNMxDL2HS' \
+                   'nKcB0+GPOsndqSv+a4IBu9+I3fyBp5hkyMMG2+AXugd9pMpy6VxJxlNjhX1MYbNTZJUT4nudki4uh+LM' \
+                   'OkIBHOceGNXjgB+cXqmlUnjlqha/HgboeHSnSgpM3dKSJQlIOsDwIDAQAB'
+# 请求签名类型
+SIGN_TYPE = 'RSA'
+# 请求字符集
+CHARSET = 'UTF-8'
+# 语言
+LANGUAGE = Language.zh_CN
+# 请求超时时间, 单位秒, 默认15s
+TIMEOUT = 15
+
+# sandbox 环境配置
+SANDBOX_SERVER_URL = 'https://openapi-sandbox.itiger.com/gateway'
+SANDBOX_SOCKET_HOST_PORT = ('ssl', 'openapi-sandbox.itiger.com', 8885)
+SANDBOX_TIGER_PUBLIC_KEY = 'MIGfMA0GCSqGSIb3DQEBAQUAA4GNADCBiQKBgQCbm21i11hgAENGd3/f280PSe4g9YGkS3TEXBY' \
+                           'MidihTvHHf+tJ0PYD0o3PruI0hl3qhEjHTAxb75T5YD3SGK4IBhHn/Rk6mhqlGgI+bBrBVYaXixm' \
+                           'HfRo75RpUUuWACyeqQkZckgR0McxuW9xRMIa2cXZOoL1E4SL4lXKGhKoWbwIDAQAB'
 
 
 class TigerOpenClientConfig(object):
@@ -17,33 +42,29 @@ def __init__(self, sandbox_debug=False):
         self._standard_account = ''
         # 模拟账户
         self._paper_account = ''
-        # 请求签名类型，推荐RSA2
-        self._sign_type = 'RSA'
         # 开发者应用私钥
         self._private_key = ''
-        
+        # 请求签名类型，推荐RSA2
+        self._sign_type = SIGN_TYPE
+
         # 老虎证券开放平台网关地址
-        self._server_url = "https://openapi.itiger.com/gateway"
-        self._socket_host_port = ('ssl', 'openapi.itiger.com', 8883)
+        self._server_url = SERVER_URL
+        self._socket_host_port = SOCKET_HOST_PORT
         # 老虎证券开放平台公钥
-        self._tiger_public_key = 'MIGfMA0GCSqGSIb3DQEBAQUAA4GNADCBiQKBgQDNF3G8SoEcCZh2rshUbayDgLLrj6rKgzNMxDL2HS' \
-                                 'nKcB0+GPOsndqSv+a4IBu9+I3fyBp5hkyMMG2+AXugd9pMpy6VxJxlNjhX1MYbNTZJUT4nudki4uh+LM' \
-                                 'OkIBHOceGNXjgB+cXqmlUnjlqha/HgboeHSnSgpM3dKSJQlIOsDwIDAQAB'
+        self._tiger_public_key = TIGER_PUBLIC_KEY
 
         if sandbox_debug:
-            self._server_url = "https://openapi-sandbox.itiger.com/gateway"
-            self._socket_host_port = ('ssl', 'openapi-sandbox.itiger.com', 8885)
-            self._tiger_public_key = 'MIGfMA0GCSqGSIb3DQEBAQUAA4GNADCBiQKBgQCbm21i11hgAENGd3/f280PSe4g9YGkS3TEXBY' \
-                                     'MidihTvHHf+tJ0PYD0o3PruI0hl3qhEjHTAxb75T5YD3SGK4IBhHn/Rk6mhqlGgI+bBrBVYaXixm' \
-                                     'HfRo75RpUUuWACyeqQkZckgR0McxuW9xRMIa2cXZOoL1E4SL4lXKGhKoWbwIDAQAB'
-            # 请求字符集，默认utf-8
-        self._charset = 'UTF-8'
+            self._server_url = SANDBOX_SERVER_URL
+            self._socket_host_port = SANDBOX_SOCKET_HOST_PORT
+            self._tiger_public_key = SANDBOX_TIGER_PUBLIC_KEY
+        # 请求字符集，默认utf-8
+        self._charset = CHARSET
         # 语言
-        self._language = Language.zh_CN
+        self._language = LANGUAGE
         
-        ## 以下为可选参数
+        # 以下为可选参数
         # 请求读取超时，单位秒，默认15s
-        self._timeout = 15
+        self._timeout = TIMEOUT
     
     @property
     def tiger_id(self):
@@ -140,3 +161,46 @@ def timeout(self):
     @timeout.setter
     def timeout(self, value):
         self._timeout = value
+
+
+def get_client_config(private_key_path, tiger_id, account, standard_account=None, paper_account=None,
+                      sandbox_debug=False, sign_type=None, timeout=None, language=None, charset=None,
+                      server_url=None, socket_host_port=None):
+    """
+    生成客户端配置
+    :param private_key_path: 私钥文件路径, 如 '/Users/tiger/.ssh/rsa_private_key.pem'
+    :param tiger_id: 开发者应用 id
+    :param account: 授权账户 (必填. 作为发送请求时的默认账户)
+    :param standard_account:
+    :param paper_account:
+    :param sandbox_debug: 是否请求 sandbox 环境
+    :param sign_type: 签名类型
+    :param timeout: 请求超时时间, 单位秒
+    :param language: 语言, 取值为 tigeropen.common.consts.Language 中的枚举类型
+    :param charset: 字符集编码
+    :param server_url: 网关地址
+    :param socket_host_port: 推送长连接的域名端口, 值为协议, 域名, 端口构成的三元组
+    :return:
+    """
+    config = TigerOpenClientConfig(sandbox_debug=sandbox_debug)
+    config.private_key = read_private_key(private_key_path)
+    config.tiger_id = tiger_id
+    config.account = account
+    if standard_account:
+        config.standard_account = standard_account
+    if paper_account:
+        config.paper_account = paper_account
+    if sign_type:
+        config.sign_type = sign_type
+    if timeout:
+        config.timeout = timeout
+    if language:
+        config.language = language
+    if charset:
+        config.charset = charset
+    if server_url:
+        config.server_url = server_url
+    if socket_host_port:
+        config.socket_host_port = socket_host_port
+    return config
+
diff --git a/tigeropen/trade/domain/contract.py b/tigeropen/trade/domain/contract.py
@@ -8,7 +8,9 @@
 
 class Contract(object):
     def __init__(self, symbol, currency, contract_id=None, sec_type=None, exchange=None, origin_symbol=None,
-                 local_symbol=None, expiry=None, strike=None, put_call=None, multiplier=None, name=None):
+                 local_symbol=None, expiry=None, strike=None, put_call=None, multiplier=None, name=None,
+                 short_margin=None, short_fee_rate=None, shortable=None, long_initial_margin=None,
+                 long_maintenance_margin=None):
         self.contract_id = contract_id
         self.symbol = symbol
         self.currency = currency
@@ -21,6 +23,11 @@ def __init__(self, symbol, currency, contract_id=None, sec_type=None, exchange=N
         self.put_call = put_call
         self.multiplier = multiplier
         self.name = name
+        self.short_margin = short_margin
+        self.short_fee_rate = short_fee_rate
+        self.shortable = shortable
+        self.long_initial_margin = long_initial_margin
+        self.long_maintenance_margin = long_maintenance_margin
 
     def __repr__(self):
         if self.symbol:
diff --git a/tigeropen/trade/response/__init__.py b/tigeropen/trade/response/__init__.py
@@ -6,5 +6,6 @@
 """
 
 CONTRACT_FIELDS = set(['symbol', 'market', 'multiplier', 'sec_type', 'currency', 'local_symbol', 'origin_symbol',
-                  'expiry', 'strike', 'right', 'contract_id', 'exchange', 'name'])
+                       'expiry', 'strike', 'right', 'contract_id', 'exchange', 'name', 'short_margin', 'short_fee_rate',
+                       'shortable', 'long_initial_margin', 'long_maintenance_margin'])
 
diff --git a/tigeropen/trade/response/contracts_response.py b/tigeropen/trade/response/contracts_response.py
@@ -12,7 +12,10 @@
 from tigeropen.trade.response import CONTRACT_FIELDS
 
 CONTRACT_FIELD_MAPPINGS = {'secType': 'sec_type', 'localSymbol': 'local_symbol', 'originSymbol': 'origin_symbol',
-                           'conid': 'contract_id', 'contractId': 'contract_id', 'lastTradingDate': 'expiry'}
+                           'conid': 'contract_id', 'contractId': 'contract_id', 'lastTradingDate': 'expiry',
+                           'shortMargin': 'short_margin', 'shortFeeRate': 'short_fee_rate',
+                           'longInitialMargin': 'long_initial_margin',
+                           'longMaintenanceMargin': 'long_maintenance_margin'}
 
 
 class ContractsResponse(TigerResponse):
@@ -52,7 +55,16 @@ def parse_response_content(self, response_content):
                     put_call = contract_fields.get('right')
                     multiplier = contract_fields.get('multiplier')
                     name = contract_fields.get('name')
+                    short_margin = contract_fields.get('short_margin')
+                    short_fee_rate = contract_fields.get('short_fee_rate')
+                    shortable = contract_fields.get('shortable')
+                    long_initial_margin = contract_fields.get('long_initial_margin')
+                    long_maintenance_margin = contract_fields.get('long_maintenance_margin')
+
                     contract = Contract(symbol, currency, contract_id=contract_id, sec_type=sec_type, exchange=exchange,
                                         origin_symbol=origin_symbol, local_symbol=local_symbol, expiry=expiry,
-                                        strike=strike, put_call=put_call, multiplier=multiplier, name=name)
+                                        strike=strike, put_call=put_call, multiplier=multiplier, name=name,
+                                        short_margin=short_margin, short_fee_rate=short_fee_rate, shortable=shortable,
+                                        long_initial_margin=long_initial_margin,
+                                        long_maintenance_margin=long_maintenance_margin)
                     self.contracts.append(contract)

Original file line number	Diff line number	Diff line change
`@@ -61,7 +61,7 @@ def on_position_changed(account, items):`
`61`	`61`	`# time.sleep(t)`
`62`	`62`	`# else:`
`63`	`63`	`# print('reconnect success')`
`64`		`-# break`
	`64`	`+# return`
`65`	`65`	`# print('reconnect failed, please check your network')`
`66`	`66`	`#`
`67`	`67`