Merge branch 'dev' into 'master'

Dev

See merge request server/openapi/openapi-python-sdk!123

Author: tigersk

CHANGELOG.md

@@ -1,3 +1,12 @@
+## 2.1.4 (2022-07-18)
+### New
+- 新增历史资产分析接口 `TradeClient.get_analytics_asset`
+- 新增合约价格校正工具函数 `tigeropen.common.util.price_util.PriceUtil`, 可根据请求到的合约tick size, 校正输入的下单价格
+- 订单对象新增属性: 更新时间: `update_time`
+- 查询订单列表接口 `TradeClieng.get_orders (get_open_orders/get_filled_orders)` 支持指定排序规则, 按照订单创建时间或订单状态更新时间排序
+- 查询持仓接口 `TradeClient.get_positions` 支持期权要素(expiry, strike, put_call)参数过滤
+
+
 ## 2.1.3 (2022-07-01)
 ### New
 - 长连接新增逐笔订阅: `PushClient.subscribe_tick`, 退订 `PushClient.unsubscribe_tick`

tests/test_utils.py

@@ -0,0 +1,43 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2022/7/14
+# @Author  : sukai
+import unittest
+
+from tigeropen.common.util.price_util import PriceUtil
+
+
+class TestUtils(unittest.TestCase):
+    def test_price_util(self):
+        delta = 1e-6
+        tick_sizes = [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0001},
+                      {'begin': '1', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 0.01}]
+        self.assertFalse(PriceUtil.match_tick_size(None, None))
+        self.assertTrue(PriceUtil.match_tick_size(2.33, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(2.3, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(1.334, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(0.5, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(0.22223, tick_sizes))
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2.334, tick_sizes, True), 2.34, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2.334, tick_sizes, False), 2.33, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2.3345, None), 2.3345, delta=delta)
+
+        tick_sizes = [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0005},
+                      {'begin': '1', 'end': '100', 'type': 'OPEN_CLOSED', 'tick_size': 0.05},
+                      {'begin': '100', 'end': '1000', 'type': 'OPEN_CLOSED', 'tick_size': 1.0},
+                      {'begin': '1000', 'end': '10000', 'type': 'OPEN_CLOSED', 'tick_size': 2.0},
+                      {'begin': '10000', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 5.0}]
+        self.assertTrue(PriceUtil.match_tick_size(0.0005, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(1.15, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(0.0008, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(1.11, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(300, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(300.5, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(5001, tick_sizes))
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(0.0021, tick_sizes), 0.002, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(0.0021, tick_sizes, True), 0.0025, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(3.027, tick_sizes), 3.0, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(3.027, tick_sizes, True), 3.05, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(200.5, tick_sizes), 200, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2001, tick_sizes, True), 2002, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(20001, tick_sizes, True), 20005, delta=delta)

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.1.3'
+__VERSION__ = '2.1.4'

tigeropen/common/consts/__init__.py

@@ -49,6 +49,12 @@ class SecurityType(Enum):
     CASH = 'CASH'  # 外汇
 
 
+@unique
+class SegmentType(Enum):
+    SEC = 'SEC'
+    FUT = 'FUT'
+
+
 @unique
 class Currency(Enum):
     """Enum for currency """
@@ -140,3 +146,17 @@ class IndustryLevel(Enum):
     GGROUP = 'GGROUP'
     GIND = 'GIND'
     GSUBIND = 'GSUBIND'
+
+
+@unique
+class TickSizeType(Enum):
+    CLOSED = 'CLOSED'
+    OPEN_CLOSED = 'OPEN_CLOSED'
+    OPEN = 'OPEN'
+
+
+@unique
+class OrderSortBy(Enum):
+    LATEST_CREATED = 'LATEST_CREATED'
+    LATEST_STATUS_UPDATED = 'LATEST_STATUS_UPDATED'
+

tigeropen/common/consts/service_types.py

@@ -23,6 +23,7 @@
 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
+ANALYTICS_ASSET = "analytics_asset"
 
 """
 合约

tigeropen/common/util/price_util.py

@@ -0,0 +1,87 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2022/7/13
+# @Author  : sukai
+from decimal import Decimal, ROUND_DOWN
+
+import math
+
+from tigeropen.common.consts import TickSizeType
+
+
+class PriceUtil:
+    INFINITY = 'Infinity'
+    RELATIVE_TOLERANCE = 1e-6
+
+    @staticmethod
+    def match_tick_size(price, tick_sizes):
+        """
+        check if the price matches the tick sizes
+        :param price: user input price
+        :param tick_sizes: tick sizes list like:
+                        [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0001},
+                        {'begin': '1', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 0.01}]
+        :return:
+        """
+        if not price or not tick_sizes:
+            return False
+        fixed_price = PriceUtil.fix_price_by_tick_size(price=price, tick_sizes=tick_sizes)
+        return math.isclose(price, fixed_price, rel_tol=PriceUtil.RELATIVE_TOLERANCE)
+
+    @staticmethod
+    def fix_price_by_tick_size(price, tick_sizes, is_up=False):
+        """
+        fix the user input price by tick sizes of the contract
+        :param price:
+        :param tick_sizes:
+        :param is_up:
+        :return:
+        """
+        if not price:
+            return None
+        tick_size_item = PriceUtil._find_tick_size_item(price=price, tick_sizes=tick_sizes)
+        if not tick_size_item:
+            return price
+        min_tick = tick_size_item.get('tick_size')
+        begin = tick_size_item.get('begin')
+        return PriceUtil._round_with_tick(price=price, begin=begin, min_tick=min_tick, is_up=is_up)
+
+    @staticmethod
+    def _find_tick_size_item(price, tick_sizes):
+        """
+        :param price:
+        :param tick_sizes: tick size infos, example:
+                    [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0001},
+                     {'begin': '1', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 0.01}]
+        :return: dict
+        """
+        if not price or not tick_sizes:
+            return None
+        for item in tick_sizes:
+            type_ = item.get('type')
+            begin = float(item.get('begin'))
+            end = float('inf') if PriceUtil.INFINITY == item.get('end') else float(item.get('end'))
+
+            if TickSizeType.OPEN.value == type_:
+                if begin < price < end:
+                    return item
+            elif TickSizeType.OPEN_CLOSED.value == type_:
+                if begin < price <= end:
+                    return item
+            elif TickSizeType.CLOSED.value == type_:
+                if begin <= price <= end:
+                    return item
+        return None
+
+    @staticmethod
+    def _round_with_tick(price, begin, min_tick, is_up):
+        p = Decimal(str(price))
+        t = Decimal(str(min_tick))
+        base = Decimal(str(begin))
+        multiple = (p - base) / t
+        if multiple <= 0:
+            return price
+        if is_up:
+            multiple += Decimal(1)
+
+        return float(multiple.quantize(0, ROUND_DOWN) * t + base)

tigeropen/examples/trade_client_demo.py

@@ -7,6 +7,7 @@
 import logging
 import traceback
 
+from tigeropen.common.util.price_util import PriceUtil
 from tigeropen.trade.domain.order import OrderStatus
 from tigeropen.trade.request.model import AccountsParams
 from tigeropen.tiger_open_client import TigerOpenClient
@@ -63,6 +64,9 @@ def get_account_apis():
     # 综合/模拟账户获取资产
     openapi_client.get_prime_assets()
 
+    # get asset history
+    openapi_client.get_analytics_asset(start_date='2021-12-01', end_date='2021-12-07')
+
 
 def trade_apis():
     account = client_config.account
@@ -119,6 +123,13 @@ def trade_apis():
     order_legs = openapi_client.get_open_orders(account, parent_id=main_order.order_id)
     print(order_legs)
 
+    # adjust price by contract tick sizes
+    contract = openapi_client.get_contract('UVXY')
+    price = 10.125
+    if not PriceUtil.match_tick_size(price, contract.tick_sizes):
+        price = PriceUtil.fix_price_by_tick_size(price, contract.tick_sizes)
+
+
 
 def algo_order_demo():
     account = client_config.account

tigeropen/push/push_client.py

@@ -63,7 +63,8 @@
                        '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',
-                       'segment': 'segment', 'identifier': 'identifier', 'replaceStatus': 'replace_status'}
+                       'segment': 'segment', 'identifier': 'identifier', 'replaceStatus': 'replace_status',
+                       'updateTime': 'update_time'}
 
 if sys.platform == 'linux' or sys.platform == 'linux2':
     KEEPALIVE = True

tigeropen/trade/domain/contract.py

@@ -15,7 +15,7 @@ def __init__(self, symbol=None, currency=None, contract_id=None, sec_type=None,
                  long_maintenance_margin=None, contract_month=None, identifier=None, primary_exchange=None,
                  market=None, min_tick=None, trading_class=None, status=None, continuous=None, trade=None,
                  marginable=None, close_only=None,
-                 last_trading_date=None, first_notice_date=None, last_bidding_close_time=None):
+                 last_trading_date=None, first_notice_date=None, last_bidding_close_time=None, tick_sizes=None):
         self.contract_id = contract_id
         self.symbol = symbol
         self.currency = get_enum_value(currency)
@@ -54,6 +54,8 @@ def __init__(self, symbol=None, currency=None, contract_id=None, sec_type=None,
         self.market = market
         # 最小报价单位
         self.min_tick = min_tick
+        # tick size info list
+        self.tick_sizes = tick_sizes
         # 合约的交易级别名称
         self.trading_class = trading_class
         # 状态

tigeropen/trade/domain/order.py

@@ -16,7 +16,8 @@ class Order:
                  "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", "algo_strategy",
-                 "secret_key", "liquidation", "discount", "attr_desc", "source", 'adjust_limit', 'sub_ids', "user_mark"]
+                 "secret_key", "liquidation", "discount", "attr_desc", "source", 'adjust_limit', 'sub_ids', "user_mark",
+                 "update_time"]
 
     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,
@@ -31,6 +32,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         - order_time: 下单时间
         - reason: 下单失败时, 会返回失败原因的描述
         - trade_time: 最新成交时间
+        - update_time: order updated time
         - action: 交易方向, 'BUY' / 'SELL'
         - quantity: 下单数量
         - filled: 成交数量
@@ -84,6 +86,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         self.percent_offset = percent_offset
         self.order_time = order_time
         self.trade_time = trade_time
+        self.update_time = kwargs.get('update_time')
         self.order_legs = order_legs
         self.algo_params = algo_params
         self.secret_key = secret_key