timeline history

Author: tigersk

CHANGELOG.md

@@ -1,3 +1,17 @@
+## 2.0.9 (2022-04-18)
+### New
+- 新增历史分时接口 `QuoteClient.get_timeline_history`
+- Order 对象新增字段
+  sub_ids: 附加订单子订单id列表(仅在下附加订单时此字段会有值)
+  adjust_limit: 限价单价格调整限制比例(作为下单参数使用, 查询时不返回)
+  
+### Breaking
+- 下单 `TradeClient.place_order`, 改单 `TradeClient.modify_order`, 撤单 `TradeClient.cancel_order` 三个接口返回值，由之前的
+  `True` 或 `False` 改为订单 id
+- 行情权限抢占，改为在 `QuoteClient` 初始化时默认自动抢占，提供参数 `is_grab_permission` 可配置为不自动抢占。若该参数设置为 `False`, 
+  则需用户自行调用 `QuoteClient.grab_quote_permission()` 进行行情权限抢占
+
+
 ## 2.0.7 (2022-01-31)
 ### Modify
 - 修改服务域名

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.0.7'
+__VERSION__ = '2.0.9'

tigeropen/common/consts/service_types.py

@@ -39,6 +39,7 @@
 BRIEF = "brief"
 STOCK_DETAIL = "stock_detail"
 TIMELINE = "timeline"
+HISTORY_TIMELINE = "history_timeline"
 KLINE = "kline"
 TRADE_TICK = "trade_tick"
 QUOTE_REAL_TIME = "quote_real_time"

tigeropen/examples/quote_client_demo.py

@@ -41,6 +41,8 @@ def get_quote():
     print(metas)
     timelines = openapi_client.get_timeline(['AAPL'], include_hour_trading=True)
     print(timelines)
+    history_timelines = openapi_client.get_timeline_history(['AAPL'], date='2022-04-11')
+    print(history_timelines)
     bars = openapi_client.get_bars(['AAPL'])
     print(bars)
     ticks = openapi_client.get_trade_ticks(['00700'])

tigeropen/quote/quote_client.py

@@ -11,7 +11,8 @@
 
 from tigeropen.common.consts import Market, Language, 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
+from tigeropen.common.consts.service_types import GRAB_QUOTE_PERMISSION, QUOTE_DELAY, GET_QUOTE_PERMISSION, \
+    HISTORY_TIMELINE
 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, \
@@ -53,6 +54,7 @@
 from tigeropen.quote.response.quote_depth_response import DepthQuoteResponse
 from tigeropen.quote.response.quote_grab_permission_response import QuoteGrabPermissionResponse
 from tigeropen.quote.response.quote_ticks_response import TradeTickResponse
+from tigeropen.quote.response.quote_timeline_history_response import QuoteTimelineHistoryResponse
 from tigeropen.quote.response.quote_timeline_response import QuoteTimelineResponse
 from tigeropen.quote.response.stock_briefs_response import StockBriefsResponse
 from tigeropen.quote.response.stock_details_response import StockDetailsResponse
@@ -64,14 +66,19 @@
 
 
 class QuoteClient(TigerOpenClient):
-    def __init__(self, client_config, logger=None):
+
+    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)
         if client_config:
             self._lang = client_config.language
         else:
             self._lang = Language.zh_CN
+        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))
 
     def __fetch_data(self, request):
         try:
@@ -364,6 +371,33 @@ def get_timeline(self, symbols, include_hour_trading=False, begin_time=-1, lang=
             else:
                 raise ApiException(response.code, response.message)
 
+    def get_timeline_history(self, symbols, date, right=QuoteRight.BR):
+        """
+        get timeline history data
+        :param symbols: security symbol list. like ['AAPL', 'BABA']
+        :param date: date of timeline. yyyy-MM-dd format, like "2022-04-12"
+        :param right: quote right. QuoteRight.BR: before right，QuoteRight.NR: no right
+        :return: pandas.DataFrame, columns explanations：
+            symbol: security symbol
+            time: time in milliseconds
+            price: close price of current minute
+            avg_price: volume weighted average price up to now.
+        """
+        params = MultipleQuoteParams()
+        params.symbols = symbols
+        params.date = date
+        params.right = get_enum_value(right)
+
+        request = OpenApiRequest(HISTORY_TIMELINE, biz_model=params)
+        response_content = self.__fetch_data(request)
+        if response_content:
+            response = QuoteTimelineHistoryResponse()
+            response.parse_response_content(response_content)
+            if response.is_success():
+                return response.timelines
+            else:
+                raise ApiException(response.code, response.message)
+
     def get_bars(self, symbols, period=BarPeriod.DAY, begin_time=-1, end_time=-1, right=QuoteRight.BR, limit=251,
                  lang=None):
         """

tigeropen/quote/request/model.py

@@ -231,6 +231,7 @@ def __init__(self):
         self._limit = None
         self._begin_index = None
         self._end_index = None
+        self._date = None
 
     @property
     def symbols(self):
@@ -312,6 +313,14 @@ def end_index(self):
     def end_index(self, value):
         self._end_index = value
 
+    @property
+    def date(self):
+        return self._date
+
+    @date.setter
+    def date(self, value):
+        self._date = value
+
     def to_openapi_dict(self):
         params = super(MultipleQuoteParams, self).to_openapi_dict()
 
@@ -345,6 +354,9 @@ def to_openapi_dict(self):
         if self.end_index:
             params['end_index'] = self.end_index
 
+        if self.date:
+            params['date'] = self.date
+
         return params
 
 

tigeropen/quote/response/quote_timeline_history_response.py

@@ -0,0 +1,30 @@
+# -*- coding: utf-8 -*-
+#
+# @Date    : 2022/4/13
+# @Author  : sukai
+
+import pandas as pd
+
+from tigeropen.common.response import TigerResponse
+
+TIMELINE_FIELD_MAPPINGS = {'avgPrice': 'avg_price'}
+
+
+class QuoteTimelineHistoryResponse(TigerResponse):
+    def __init__(self):
+        super(QuoteTimelineHistoryResponse, self).__init__()
+        self.timelines = None
+        self._is_success = None
+
+    def parse_response_content(self, response_content):
+        response = super(QuoteTimelineHistoryResponse, self).parse_response_content(response_content)
+        if 'is_success' in response:
+            self._is_success = response['is_success']
+
+        if self.data and isinstance(self.data, list):
+            timeline_items = []
+            for symbol_item in self.data:
+                timeline_df = pd.DataFrame(symbol_item.get('items'))
+                timeline_df.insert(0, 'symbol', symbol_item.get('symbol'))
+                timeline_items.append(timeline_df)
+            self.timelines = pd.concat(timeline_items).rename(columns=TIMELINE_FIELD_MAPPINGS)

tigeropen/trade/domain/order.py

@@ -15,8 +15,8 @@ class Order:
     __slots__ = ["account", "id", "order_id", "parent_id", "order_time", "reason", "trade_time", "contract", "action",
                  "quantity", "filled", "_remaining", "avg_fill_price", "commission", "realized_pnl", "_status",
                  "trail_stop_price", "limit_price", "aux_price", "trailing_percent", "percent_offset", "action",
-                 "order_type", "time_in_force", "outside_rth", "order_legs", "algo_params", "secret_key", "liquidation",
-                 "algo_strategy", "discount", "attr_desc", "source"]
+                 "order_type", "time_in_force", "outside_rth", "order_legs", "algo_params", "algo_strategy",
+                 "secret_key", "liquidation", "discount", "attr_desc", "source", 'adjust_limit', 'sub_ids']
 
     def __init__(self, account, contract, action, order_type, quantity, limit_price=None, aux_price=None,
                  trail_stop_price=None, trailing_percent=None, percent_offset=None, time_in_force=None,
@@ -39,7 +39,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         - realized_pnl: 实现盈亏
         - trail_stop_price: 跟踪止损单--触发止损单的价格
         - limit_price: 限价单价格
-        - aux_price: 在止损单中, 表示出发止损单的价格, 在移动止损单中, 表示跟踪的价差
+        - aux_price: 在止损单中, 表示触发止损单的价格, 在移动止损单中, 表示跟踪的价差
         - trailing_percent:  跟踪止损单-百分比, 取值范围为0-100
         - percent_offset: None,
         - order_type: 订单类型, 'MKT' 市价单 / 'LMT' 限价单 / 'STP' 止损单 / 'STP_LMT' 止损限价单 / 'TRAIL' 跟踪止损单
@@ -54,6 +54,9 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         - liquidation
         - algo_strategy
         - discount
+        - adjust_limit 价格微调幅度（默认为0表示不调整，正数为向上调整，负数向下调整），对传入价格自动调整到合法价位上.
+          例如：0.001 代表向上调整且幅度不超过 0.1%；-0.001 代表向下调整且幅度不超过 0.1%。默认 0 表示不调整
+        - sub_ids id list of sub orders.
         """
 
         self.id = id
@@ -87,7 +90,9 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         self.algo_strategy = kwargs.get('algo_strategy')
         self.discount = kwargs.get('discount')
         self.attr_desc = kwargs.get('attr_desc')
-        self.source = kwargs.get("source")
+        self.source = kwargs.get('source')
+        self.adjust_limit = kwargs.get('adjust_limit')
+        self.sub_ids = kwargs.get('sub_ids')
 
     def to_dict(self):
         dct = {name: getattr(self, name) for name in self.__slots__ if name not in ORDER_FIELDS_TO_IGNORE}

tigeropen/trade/request/model.py

@@ -724,6 +724,7 @@ def __init__(self):
         self.outside_rth = None
         self.order_legs = None
         self.algo_params = None
+        self.adjust_limit = None
 
     def to_openapi_dict(self):
         params = dict()
@@ -777,6 +778,8 @@ def to_openapi_dict(self):
                 params['time_in_force'] = self.time_in_force
             if self.outside_rth is not None:
                 params['outside_rth'] = self.outside_rth
+            if self.adjust_limit is not None:
+                params['adjust_limit'] = self.adjust_limit
 
             if self.order_legs:
                 if len(self.order_legs) > 2:

tigeropen/trade/response/order_id_response.py

@@ -13,6 +13,7 @@ def __init__(self):
         super(OrderIdResponse, self).__init__()
         self.order_id = None
         self.id = None
+        self.sub_ids = None
         self._is_success = None
 
     def parse_response_content(self, response_content):
@@ -32,3 +33,6 @@ def parse_response_content(self, response_content):
 
             if 'id' in data_json:
                 self.id = data_json['id']
+
+            if 'subIds' in data_json:
+                self.sub_ids = data_json['subIds']