Merge branch 'dev' into 'master'

Dev->master

See merge request !46

Author: zhanggoo9527

requirements.txt

@@ -1,9 +1,10 @@
-six
-simplejson
-delorean
+six==1.13.0
+simplejson==3.17.0
+delorean==1.0.0
 pandas==0.24.2
-python-dateutil
-pytz
+python-dateutil==2.8.1
+pytz==2019.3
 pyasn1==0.4.2
 rsa==4.0
-stomp.py
+stomp.py==4.1.22
+enum34==1.1.6

setup.py

@@ -7,12 +7,12 @@
 from os import path
 from setuptools import find_packages, setup
 
-with open(path.join(path.abspath(path.dirname(__file__)), 'requirements.txt'), encoding='utf-8') as f:
+with open(path.join(path.abspath(path.dirname(__file__)), 'requirements.txt')) as f:
     install_requires = f.read()
 
 setup(
     name='tigeropen',
-    version='1.1.9',
+    version='1.1.10',
     description='TigerBrokers Open API',
     packages=find_packages(exclude=[]),
     author='TigerBrokers',

tigeropen/common/consts/__init__.py

@@ -132,3 +132,4 @@ class CorporateActionType(Enum):
     """
     SPLIT = 'split'  # 拆合股
     DIVIDEND = 'dividend'  # 分红
+    EARNINGS_CALENDAR = 'earning'  # 财报日历

tigeropen/common/consts/push_types.py

@@ -60,3 +60,5 @@ class ResponseType(Enum):
     GET_SUB_SYMBOLS_END = 111
     GET_SUBSCRIBE_END = 112
     GET_CANCEL_SUBSCRIBE_END = 113
+
+    ERROR_END = 200

tigeropen/common/util/order_utils.py

@@ -4,7 +4,7 @@
 
 @author: gaoan
 """
-from tigeropen.trade.domain.order import Order
+from tigeropen.trade.domain.order import Order, OrderLeg
 from tigeropen.common.consts import OrderStatus
 
 
@@ -74,6 +74,33 @@ def trail_order(account, contract, action, quantity, trailing_percent=None, aux_
     return Order(account, contract, action, 'TRAIL', quantity, trailing_percent=trailing_percent, aux_price=aux_price)
 
 
+def order_leg(leg_type, price, time_in_force='DAY', outside_rth=None):
+    """
+    附加订单
+    :param leg_type: 附加订单类型. PROFIT 止盈单类型,  LOSS 止损单类型
+    :param price: 附加订单价格.
+    :param time_in_force: 附加订单有效期. 'DAY'（当日有效）和'GTC'（取消前有效 Good-Til-Canceled).
+    :param outside_rth: 附加订单是否允许盘前盘后交易(美股专属). True 允许, False 不允许.
+    """
+    return OrderLeg(leg_type=leg_type, price=price, time_in_force=time_in_force, outside_rth=outside_rth)
+
+
+def limit_order_with_legs(account, contract, action, quantity, limit_price, order_legs=None):
+    """
+    限价单 + 附加订单(仅环球账户支持)
+    :param account:
+    :param contract:
+    :param action: BUY/SELL
+    :param quantity:
+    :param limit_price: 限价单价格
+    :param order_legs: 附加订单列表
+    :return:
+    """
+    if order_legs and len(order_legs) > 2:
+        raise Exception('2 order legs at most')
+    return Order(account, contract, action, 'LMT', quantity, limit_price=limit_price, order_legs=order_legs)
+
+
 def get_order_status(value):
     """
     Invalid(-2), Initial(-1), PendingCancel(3), Cancelled(4), Submitted(5), Filled(6), Inactive(7), PendingSubmit(8)

tigeropen/examples/push_client_demo.py

@@ -90,6 +90,24 @@ def on_position_changed(account, items):
     print(account, items)
 
 
+def subscribe_callback(destination, content):
+    """
+    订阅成功与否的回调
+    :param destination: 订阅的类型. 有 quote, trade/asset, trade/position, trade/order
+    :param content: 回调信息. 如成功 {'code': 0, 'message': 'success'}; 若失败则 code 不为0, message 为错误详情
+    """
+    print('subscribe:{}, callback content:{}'.format(destination, content))
+
+
+def unsubscribe_callback(destination, content):
+    """
+    退订成功与否的回调
+    :param destination: 取消订阅的类型. 有 quote, trade/asset, trade/position, trade/order
+    :param content: 回调信息.
+    """
+    print('subscribe:{}, callback content:{}'.format(destination, content))
+
+
 # def connect_callback():
 #     """连接建立回调"""
 #     print('connected')
@@ -126,9 +144,14 @@ def on_position_changed(account, items):
     # 持仓变动回调
     # push_client.position_changed = on_position_changed
 
+    # 订阅成功与否的回调
+    push_client.subscribe_callback = subscribe_callback
+    # 退订成功与否的回调
+    push_client.unsubscribe_callback = unsubscribe_callback
+
     # 建立推送连接
     push_client.connect(client_config.tiger_id, client_config.private_key)
-    # 断线重连
+    # 断线重连回调
     # push_client.disconnect_callback = disconnect_callback
 
     # 订阅行情

tigeropen/examples/quote_client_demo.py

@@ -104,6 +104,10 @@ def get_fundamental():
                                                                end_date='2019-01-01')
     print(corporate_dividend)
 
+    # 财报日历
+    earnings_calendar = openapi_client.get_corporate_earnings_calendar(Market.US, '2020-01-01', '2020-02-01')
+    print(earnings_calendar)
+
 
 if __name__ == '__main__':
     with pd.option_context('display.max_rows', None, 'display.max_columns', None):

tigeropen/examples/trade_client_demo.py

@@ -14,8 +14,9 @@
 from tigeropen.trade.trade_client import TradeClient
 from tigeropen.quote.request import OpenApiRequest
 from tigeropen.examples.client_config import get_client_config
-# from tigeropen.common.util.contract_utils import stock_contract, option_contract, future_contract
-# from tigeropen.common.util.order_utils import limit_order
+# from tigeropen.common.util.contract_utils import stock_contract, option_contract_by_symbol, future_contract, \
+#     war_contract_by_symbol, iopt_contract_by_symbol
+from tigeropen.common.util.order_utils import limit_order, limit_order_with_legs, order_leg
 
 logging.basicConfig(level=logging.INFO,
                     format='%(asctime)s %(levelname)s %(message)s',
@@ -96,6 +97,22 @@ def trade_apis():
     result = openapi_client.preview_order(order)
     print(result)
 
+    # 限价单 + 附加订单 (仅主订单为限价单时支持附加订单)
+    stop_loss_order_leg = order_leg('LOSS', 8.0, time_in_force='GTC')  # 附加止损
+    profit_taker_order_leg = order_leg('PROFIT', 12.0, time_in_force='GTC')  # 附加止盈
+
+    main_order = openapi_client.create_order(account, contract, 'BUY', 'LMT', quantity=100, limit_price=10.0,
+                                             order_legs=[stop_loss_order_leg, profit_taker_order_leg])
+    # 本地构造限价单 + 附加订单
+    # main_order = limit_order_with_legs(account, contract, 'BUY', 100, limit_price=10.0,
+    # order_legs=[stop_loss_order_leg])
+
+    openapi_client.place_order(main_order)
+    print(main_order)
+    # 查询主订单所关联的附加订单
+    order_legs = openapi_client.get_open_orders(account, parent_id=main_order.order_id)
+    print(order_legs)
+
 
 if __name__ == '__main__':
     get_account_info()

tigeropen/fundamental/response/corporate_earnings_calendar_response.py

@@ -0,0 +1,29 @@
+# -*- coding: utf-8 -*-
+from itertools import chain
+
+import pandas as pd
+from tigeropen.common.response import TigerResponse
+
+COLUMNS = ['symbol', 'reportDate', 'reportTime', 'executeDate', 'expectedEps', 'actualEps',
+           'fiscalQuarterEnding', 'market', 'exchange', 'actionType']
+EARNINGS_CALENDAR_FIELD_MAPPINGS = {'actionType': 'action_type', 'actualEps': 'actual_eps',
+                                    'expectedEps': 'expected_eps', 'executeDate': 'execute_date',
+                                    'fiscalQuarterEnding': 'fiscal_quarter_ending', 'reportDate': 'report_date',
+                                    'reportTime': 'report_time',
+                                    }
+
+
+class EarningsCalendarResponse(TigerResponse):
+    def __init__(self):
+        super(EarningsCalendarResponse, self).__init__()
+        self.earnings_calendar = None
+        self._is_success = None
+
+    def parse_response_content(self, response_content):
+        response = super(EarningsCalendarResponse, self).parse_response_content(response_content)
+        if 'is_success' in response:
+            self._is_success = response['is_success']
+
+        if self.data:
+            self.earnings_calendar = pd.DataFrame(chain.from_iterable(self.data.values()), columns=COLUMNS).rename(
+                columns=EARNINGS_CALENDAR_FIELD_MAPPINGS).sort_values(by=['report_date']).reset_index(drop=True)

tigeropen/push/push_client.py

@@ -77,7 +77,6 @@ def __init__(self, host, port, use_ssl=True, connection_timeout=120, auto_reconn
         self._asset_counter = 0
         self._position_counter = 0
         self._order_counter = 0
-        # self.subscriptions = {}  # subscription callbacks indexed by subscriber's ID
 
         self.subscribed_symbols = None
         self.quote_changed = None
@@ -86,6 +85,8 @@ def __init__(self, host, port, use_ssl=True, connection_timeout=120, auto_reconn
         self.order_changed = None
         self.connect_callback = None
         self.disconnect_callback = None
+        self.subscribe_callback = None
+        self.unsubscribe_callback = None
         self.error_callback = None
         self._connection_timeout = connection_timeout
         self._auto_reconnect = auto_reconnect
@@ -226,11 +227,21 @@ def on_message(self, headers, body):
                                 items.append((ORDER_KEYS_MAPPINGS.get(key), value))
                         if items:
                             self.order_changed(account, items)
+            elif response_type == str(ResponseType.GET_SUBSCRIBE_END.value):
+                if self.subscribe_callback:
+                    self.subscribe_callback(headers.get('destination'), json.loads(body))
+            elif response_type == str(ResponseType.GET_CANCEL_SUBSCRIBE_END.value):
+                if self.unsubscribe_callback:
+                    self.unsubscribe_callback(headers.get('destination'), json.loads(body))
+            elif response_type == str(ResponseType.ERROR_END.value):
+                if self.error_callback:
+                    self.error_callback(body)
         except Exception as e:
             logging.error(e, exc_info=True)
 
     def on_error(self, headers, body):
-        pass
+        if self.error_callback:
+            self.error_callback(body)
 
     @staticmethod
     def _get_subscribe_id(counter):