Merge branch 'feature_algo_order' into 'dev_with_quote'

algo order support

See merge request server/openapi/openapi-python-sdk!60

Author: zhanggoo9527

setup.py

@@ -12,7 +12,7 @@
 
 setup(
     name='tigeropen',
-    version='1.2.0',
+    version='1.3.0',
     description='TigerBrokers Open API',
     packages=find_packages(exclude=[]),
     author='TigerBrokers',

tigeropen/common/util/order_utils.py

@@ -4,7 +4,7 @@
 
 @author: gaoan
 """
-from tigeropen.trade.domain.order import Order, OrderLeg
+from tigeropen.trade.domain.order import Order, OrderLeg, AlgoParams
 from tigeropen.common.consts import OrderStatus
 
 
@@ -101,6 +101,36 @@ def limit_order_with_legs(account, contract, action, quantity, limit_price, orde
     return Order(account, contract, action, 'LMT', quantity, limit_price=limit_price, order_legs=order_legs)
 
 
+def algo_order_params(start_time=None, end_time=None, no_take_liq=None, allow_past_end_time=None, participation_rate=None):
+    """
+    算法订单参数
+    :param start_time: 生效开始时间(时间戳 TWAP和VWAP专用)
+    :param end_time: 生效结束时间(时间戳 TWAP和VWAP专用)
+    :param no_take_liq: 是否尽可能减少交易次数(VWAP订单专用)
+    :param allow_past_end_time: 是否允许生效时间结束后继续完成成交(TWAP和VWAP专用)
+    :param participation_rate: 参与率(VWAP专用,0.01-0.5)
+    :return:
+    """
+    return AlgoParams(start_time=start_time, end_time=end_time, no_take_liq=no_take_liq,
+                      allow_past_end_time=allow_past_end_time, participation_rate=participation_rate)
+
+
+def algo_order(account, contract, action, quantity, strategy, algo_params=None, limit_price=None):
+    """
+    算法订单
+    :param account:
+    :param contract:
+    :param action:
+    :param quantity:
+    :param strategy: 交易量加权平均价格（VWAP）/时间加权平均价格(TWAP)
+    :param algo_params: tigeropen.trade.domain.order.AlgoParams
+    :param limit_price:
+    :return:
+    """
+    return Order(account, contract, action, order_type=strategy, quantity=quantity, algo_params=algo_params,
+                 limit_price=limit_price, outside_rth=False)
+
+
 def get_order_status(value):
     """
     Invalid(-2), Initial(-1), PendingCancel(3), Cancelled(4), Submitted(5), Filled(6), Inactive(7), PendingSubmit(8)

tigeropen/examples/trade_client_demo.py

@@ -15,9 +15,10 @@
 from tigeropen.quote.request import OpenApiRequest
 from tigeropen.examples.client_config import get_client_config
 # from tigeropen.common.consts import Currency, SecurityType
-# 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
+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, algo_order_params, \
+    algo_order
 
 logging.basicConfig(level=logging.INFO,
                     format='%(asctime)s %(levelname)s %(message)s',
@@ -122,6 +123,17 @@ def trade_apis():
     print(order_legs)
 
 
+def algo_order_demo():
+    account = client_config.account
+    openapi_client = TradeClient(client_config, logger=logger)
+    contract = stock_contract(symbol='AAPL', currency='USD')
+    params = algo_order_params(start_time='2020-11-19 23:00:00', end_time='2020-11-19 23:50:00', no_take_liq=True,
+                               allow_past_end_time=True, participation_rate=0.1)
+    order = algo_order(account, contract, 'BUY', 1000, 'VWAP', algo_params=params, limit_price=100.0)
+    openapi_client.place_order(order)
+    print(order)
+
+
 if __name__ == '__main__':
     get_account_info()
     get_account_apis()

tigeropen/trade/domain/order.py

@@ -8,18 +8,20 @@
 from tigeropen.common.consts import OrderStatus
 
 ORDER_FIELDS_TO_IGNORE = {'type', '_status', 'contract', '_remaining'}
-
+ALGO_PARAMS_TAG_MAP = {'noTakeLiq': 'no_take_liq', 'startTime': 'start_time', 'endTime': 'end_time',
+                       'participationRate': 'participation_rate', 'allowPastEndTime': 'allow_past_end_time'}
 
 class Order(object):
     __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"]
+                 "order_type", "time_in_force", "outside_rth", "order_legs", "algo_params"]
 
     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,
                  outside_rth=None, filled=0, avg_fill_price=0, commission=None, realized_pnl=None,
-                 id=None, order_id=None, parent_id=None, order_time=None, trade_time=None, order_legs=None):
+                 id=None, order_id=None, parent_id=None, order_time=None, trade_time=None, order_legs=None,
+                 algo_params=None):
         """
         - account: 订单所属的账户
         - id: 全局订单 id
@@ -46,6 +48,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         - status: Order_Status 的枚举, 表示订单状态
         - remaining: 未成交的数量
         - order_legs: 附加订单列表
+        - algo_params: 算法订单参数
         """
 
         self.id = id
@@ -73,6 +76,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         self.order_time = order_time
         self.trade_time = trade_time
         self.order_legs = order_legs
+        self.algo_params = algo_params
 
     def to_dict(self):
         dct = {name: getattr(self, name) for name in self.__slots__ if name not in ORDER_FIELDS_TO_IGNORE}
@@ -141,3 +145,44 @@ def to_dict(self):
 
     def __repr__(self):
         return "OrderLeg(%s)" % self.to_dict()
+
+
+class AlgoParams(object):
+    """
+    算法订单参数
+    """
+    def __init__(self, start_time=None, end_time=None, no_take_liq=None, allow_past_end_time=None,
+                 participation_rate=None):
+        """
+        :param start_time: 生效开始时间(时间戳 TWAP和VWAP专用)
+        :param end_time: 生效结束时间(时间戳 TWAP和VWAP专用)
+        :param no_take_liq: 是否尽可能减少交易次数(VWAP订单专用)
+        :param allow_past_end_time: 是否允许生效时间结束后继续完成成交(TWAP和VWAP专用)
+        :param participation_rate: 参与率(VWAP专用,0.01-0.5)
+        """
+        self.start_time = start_time
+        self.end_time = end_time
+        self.no_take_liq = no_take_liq
+        self.allow_past_end_time = allow_past_end_time
+        self.participation_rate = participation_rate
+
+    def to_dict(self):
+        return self.__dict__
+
+    @staticmethod
+    def from_tags(tag_values):
+        """
+        :param tag_values:
+        :return: AlgoParams 对象
+        """
+        algo_params = AlgoParams()
+        if tag_values:
+            for item in tag_values:
+                tag = item.get('tag')
+                value = item.get('value')
+                setattr(algo_params, ALGO_PARAMS_TAG_MAP.get(tag), value)
+            return algo_params
+        return None
+
+    def __repr__(self):
+        return "AlgoParams(%s)" % self.to_dict()

tigeropen/trade/request/model.py

@@ -503,6 +503,7 @@ def __init__(self):
         self.time_in_force = None
         self.outside_rth = None
         self.order_legs = None
+        self.algo_params = None
 
     def to_openapi_dict(self):
         params = dict()
@@ -582,6 +583,8 @@ def to_openapi_dict(self):
                 if len(leg_types) == 2:
                     params['attach_type'] = 'BRACKETS'
 
+            if self.algo_params:
+                params['algo_params'] = [{'tag': item[0], 'value': item[1]} for item in self.algo_params.to_dict().items()]
         return params
 
 

tigeropen/trade/response/orders_response.py

@@ -10,7 +10,7 @@
 from tigeropen.common.util.string_utils import get_string
 from tigeropen.common.util.order_utils import get_order_status
 from tigeropen.trade.domain.contract import Contract
-from tigeropen.trade.domain.order import Order
+from tigeropen.trade.domain.order import Order, AlgoParams
 from tigeropen.trade.response import CONTRACT_FIELDS
 
 ORDER_FIELD_MAPPINGS = {'parentId': 'parent_id', 'orderId': 'order_id', 'orderType': 'order_type',
@@ -22,7 +22,7 @@
                         'timeInForce': 'time_in_force', 'openTime': 'order_time', 'latestTime': 'trade_time',
                         'contractId': 'contract_id',
                         'trailStopPrice': 'trail_stop_price', 'trailingPercent': 'trailing_percent',
-                        'percentOffset': 'percent_offset', 'identifier': 'identifier'}
+                        'percentOffset': 'percent_offset', 'identifier': 'identifier', 'algoParameters': 'algo_params'}
 
 
 class OrdersResponse(TigerResponse):
@@ -97,12 +97,13 @@ def parse_order(item):
         order_id = order_fields.get('order_id')
         parent_id = order_fields.get('parent_id')
         status = get_order_status(order_fields.get('status'))
+        algo_params = AlgoParams.from_tags(order_fields.get('algo_params'))
 
         order = Order(account, contract, action, order_type, quantity, limit_price=limit_price, aux_price=aux_price,
                       trail_stop_price=trail_stop_price, trailing_percent=trailing_percent,
                       percent_offset=percent_offset, time_in_force=time_in_force, outside_rth=outside_rth,
                       filled=filled, avg_fill_price=avg_fill_price, commission=commission,
-                      realized_pnl=realized_pnl, id=id, order_id=order_id, parent_id=parent_id)
+                      realized_pnl=realized_pnl, id=id, order_id=order_id, parent_id=parent_id, algo_params=algo_params)
         if 'order_time' in order_fields:
             order.order_time = order_fields.get('order_time')
         if 'trade_time' in order_fields:

tigeropen/trade/trade_client.py

@@ -379,7 +379,7 @@ def get_order(self, account=None, id=None, order_id=None, is_brief=False):
 
     def create_order(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,
-                     outside_rth=None, order_legs=None):
+                     outside_rth=None, order_legs=None, algo_params=None):
         """
         创建订单对象.
         :param account:
@@ -395,6 +395,7 @@ def create_order(self, account, contract, action, order_type, quantity, limit_pr
         :param time_in_force: 订单有效期， 'DAY'（当日有效）和'GTC'（取消前有效)
         :param outside_rth: 是否允许盘前盘后交易(美股专属)
         :param order_legs: 附加订单
+        :param algo_params: 算法订单参数
         """
         params = AccountsParams()
         params.account = account if account else self._account
@@ -409,7 +410,7 @@ def create_order(self, account, contract, action, order_type, quantity, limit_pr
                               aux_price=aux_price, trail_stop_price=trail_stop_price,
                               trailing_percent=trailing_percent, percent_offset=percent_offset,
                               time_in_force=time_in_force, outside_rth=outside_rth, order_id=order_id,
-                              order_legs=order_legs)
+                              order_legs=order_legs, algo_params=algo_params)
                 return order
             else:
                 raise ApiException(response.code, response.message)
@@ -480,6 +481,7 @@ def place_order(self, order):
         params.time_in_force = order.time_in_force
         params.outside_rth = order.outside_rth
         params.order_legs = order.order_legs
+        params.algo_params = order.algo_params
 
         request = OpenApiRequest(PLACE_ORDER, biz_model=params)
         response_content = self.__fetch_data(request)