Merge branch 'identifier' into 'dev'

Identifier -> dev

See merge request !35

Author: zhanggoo9527

tigeropen/common/consts/quote_keys.py

@@ -21,7 +21,7 @@ class QuoteChangeKey(Enum):
 
 @unique
 class QuoteKeyType(Enum):
-    ALL = None  # 所有行情数据
+    ALL = 'askPrice,askSize,bidPrice,bidSize,open,high,low,close,preClose,volume,latestPrice,mi'  # 所有行情数据
     QUOTE = 'askPrice,askSize,bidPrice,bidSize'  # 盘口数据
     TRADE = 'open,high,low,close,preClose,volume,latestPrice'  # 成交数据
     TIMELINE = 'mi'  # 分时数据

tigeropen/common/util/contract_utils.py

@@ -26,9 +26,9 @@ def option_contract(identifier, multiplier=100, currency='USD'):
                     multiplier=multiplier)
 
 
-def future_contract(symbol, currency, expiry, exchange, multiplier=None, local_symbol=None):
-    return Contract(symbol, currency, sec_type='FUT', expiry=expiry, exchange=exchange, multiplier=multiplier,
-                    local_symbol=local_symbol)
+def future_contract(symbol, currency, expiry=None, exchange=None, contract_month=None, multiplier=None, local_symbol=None):
+    return Contract(symbol, currency, sec_type='FUT', expiry=expiry, exchange=exchange, contract_month=contract_month,
+                    multiplier=multiplier, local_symbol=local_symbol)
 
 
 def future_option_contract(symbol, currency, expiry, strike, put_call, multiplier=None, local_symbol=None,

tigeropen/examples/push_client_demo.py

@@ -18,6 +18,14 @@ def on_query_subscribed_quote(symbols, focus_keys, limit, used):
     :param limit: 当前 tigerid 可以订阅的合约数量
     :param used: 目前已订阅的合约数量
     :return:
+        返回示例:
+        symbols: ['00700', 'SPY'],
+        focus_keys: {'00700': ['ask_size', 'latest_price', 'ask_price', 'prev_close', 'open', 'minute', 'low', 'volume',
+         'bid_price', 'bid_size', 'high', 'close'], 'SPY': ['ask_size', 'latest_price', 'ask_price', 'prev_close',
+         'open', 'minute', 'low', 'volume', 'bid_price', 'bid_size', 'high', 'close']},
+        limit: 100,
+        used: 2
+
     """
     print(symbols, focus_keys, limit, used)
 
@@ -29,19 +37,56 @@ def on_quote_changed(symbol, items, hour_trading):
     :param items: list，每个元素是一个tuple，对应订阅的字段名称和值
     :param hour_trading: 是否为盘前盘后的交易
     :return:
+    items 数据示例
+        [('latest_price', 339.8), ('ask_size', 42500), ('ask_price', 340.0), ('bid_size', 1400), ('bid_price', 339.8),
+         ('high', 345.0), ('prev_close', 342.4), ('low', 339.2), ('open', 344.0), ('volume', 7361440),
+         ('minute', {'p': 339.8, 'a': 341.084, 't': 1568098440000, 'v': 7000, 'h': 340.0, 'l': 339.8}),
+         ('timestamp', '1568098469463')]
     """
     print(symbol, items, hour_trading)
 
 
 def on_order_changed(account, items):
+    """
+
+    :param account:
+    :param items:
+    :return:
+    items 数据示例:
+        [('order_type', 'LMT'), ('symbol', 'ABCD'), ('order_id', 1000101463), ('sec_type', 'STK'), ('filled', 100),
+        ('quantity', 100), ('segment', 'summary'), ('action', 'BUY'), ('currency', 'USD'), ('id', 173612806463631360),
+        ('order_time', 1568095814556), ('time_in_force', 'DAY'), ('identifier', 'ABCD'), ('limit_price', 113.7),
+        ('outside_rth', True), ('avg_fill_price', 113.7), ('trade_time', 1568095815418),
+        ('status', <OrderStatus.FILLED: 'Filled'>)]
+    """
     print(account, items)
 
 
 def on_asset_changed(account, items):
+    """
+
+    :param account:
+    :param items:
+    :return:
+    items 数据示例:
+        [('equity_with_loan', 721583.83), ('gross_position_value', 1339641.94),
+        ('excess_liquidity', 378624.18), ('available_funds', 320059.1), ('initial_margin_requirement', 497419.25),
+        ('buying_power', 2293551.51), ('cash', 950059.0), ('segment', 'summary'), ('net_liquidation', 817685.72),
+        ('maintenance_margin_requirement', 439061.54)]
+    """
     print(account, items)
 
 
 def on_position_changed(account, items):
+    """
+
+    :param account:
+    :param items:
+    :return:
+    items 数据示例:
+        [('symbol', 'ABCD'), ('market_price', 3.68525), ('market_value', 0.0), ('sec_type', 'STK'),
+        ('segment', 'summary'), ('currency', 'USD'), ('quantity', 0.0), ('average_cost', 3.884548)]
+    """
     print(account, items)
 
 

tigeropen/push/push_client.py

@@ -36,7 +36,7 @@
                           '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',
-                          'segment': 'segment'}
+                          'segment': 'segment', 'identifier': 'identifier'}
 
 ORDER_KEYS_MAPPINGS = {'parentId': 'parent_id', 'orderId': 'order_id', 'orderType': 'order_type',
                        'limitPrice': 'limit_price', 'auxPrice': 'aux_price', 'avgFillPrice': 'avg_fill_price',
@@ -47,7 +47,7 @@
                        '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'}
+                       'segment': 'segment', 'identifier': 'identifier'}
 
 if sys.platform == 'linux' or sys.platform == 'linux2':
     KEEPALIVE = True

tigeropen/quote/quote_client.py

@@ -511,6 +511,8 @@ def get_option_briefs(self, identifiers):
             open: 开盘价
             high: 最高价
             low: 最低价
+            rates_bonds: 无风险利率
+            volatility: 历史波动率
         """
         params = MultipleContractParams()
         contracts = []

tigeropen/quote/response/option_briefs_response.py

@@ -13,7 +13,7 @@
 
 COLUMNS = ['identifier', 'symbol', 'expiry', 'strike', 'put_call', 'multiplier', 'ask_price', 'ask_size', 'bid_price',
            'bid_size', 'pre_close', 'latest_price', 'latest_time', 'volume', 'open_interest', 'open', 'high', 'low',
-           'rates_bonds']
+           'rates_bonds', 'volatility']
 BRIEF_FIELD_MAPPINGS = {'askPrice': 'ask_price', 'askSize': 'ask_size', 'bidPrice': 'bid_price', 'bidSize': 'bid_size',
                         'latestPrice': 'latest_price', 'openInterest': 'open_interest', 'preClose': 'pre_close',
                         'right': 'put_call', 'latestTime': 'latest_time', 'openInt': 'open_interest',

tigeropen/trade/domain/contract.py

@@ -4,13 +4,14 @@
 
 @author: gaoan
 """
+from tigeropen.common.consts import SecurityType
 
 
 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,
                  short_margin=None, short_fee_rate=None, shortable=None, long_initial_margin=None,
-                 long_maintenance_margin=None):
+                 long_maintenance_margin=None, contract_month=None, identifier=None):
         self.contract_id = contract_id
         self.symbol = symbol
         self.currency = currency
@@ -19,26 +20,35 @@ def __init__(self, symbol, currency, contract_id=None, sec_type=None, exchange=N
         self.origin_symbol = origin_symbol
         self.local_symbol = local_symbol
         self.expiry = expiry
+        # 行权价
         self.strike = strike
+        # 看跌/看涨
         self.put_call = put_call
+        # 合约乘数
         self.multiplier = multiplier
+        # 合约名称
         self.name = name
+        # 做空保证金比例
         self.short_margin = short_margin
+        # 做空费率
         self.short_fee_rate = short_fee_rate
+        # 做空池剩余
         self.shortable = shortable
+        # 做多初始保证金
         self.long_initial_margin = long_initial_margin
+        # 做多维持保证金
         self.long_maintenance_margin = long_maintenance_margin
+        # 合约月份
+        self.contract_month = contract_month
+        # 合约标识符
+        self.identifier = identifier
 
     def __repr__(self):
-        if self.symbol:
-            if self.origin_symbol is not None:
-                return self.origin_symbol
-            elif self.contract_id:
-                return '%s/%s/%s/%d' % (self.symbol, self.sec_type, self.currency, self.contract_id)
-            else:
-                return '%s/%s/%s' % (self.symbol, self.sec_type, self.currency)
+        identifier = self.identifier if self.identifier else self.symbol
+        if self.sec_type == SecurityType.FUT.value:
+            return '%s/%s/%s/%s' % (identifier, self.sec_type, self.currency, self.exchange)
         else:
-            return '%d' % (self.contract_id,)
+            return '%s/%s/%s' % (identifier, self.sec_type, self.currency)
 
     def is_cn_stock(self):
         """

tigeropen/trade/domain/order.py

@@ -19,7 +19,7 @@ class Order(object):
     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):
+                 id=None, order_id=None, parent_id=None, order_time=None, trade_time=None):
         """
         - account: 订单所属的账户
         - id: 全局订单 id
@@ -69,8 +69,8 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         self.trail_stop_price = trail_stop_price
         self.trailing_percent = trailing_percent
         self.percent_offset = percent_offset
-        self.order_time = None
-        self.trade_time = None
+        self.order_time = order_time
+        self.trade_time = trade_time
 
     def to_dict(self):
         dct = {name: getattr(self, name) for name in self.__slots__ if name not in ORDER_FIELDS_TO_IGNORE}

tigeropen/trade/response/__init__.py

@@ -7,5 +7,5 @@
 
 CONTRACT_FIELDS = set(['symbol', 'market', 'multiplier', 'sec_type', 'currency', 'local_symbol', 'origin_symbol',
                        'expiry', 'strike', 'right', 'contract_id', 'exchange', 'name', 'short_margin', 'short_fee_rate',
-                       'shortable', 'long_initial_margin', 'long_maintenance_margin'])
+                       'shortable', 'long_initial_margin', 'long_maintenance_margin', 'contract_month', 'identifier'])
 

tigeropen/trade/response/contracts_response.py

@@ -14,7 +14,7 @@
 CONTRACT_FIELD_MAPPINGS = {'secType': 'sec_type', 'localSymbol': 'local_symbol', 'originSymbol': 'origin_symbol',
                            'conid': 'contract_id', 'contractId': 'contract_id', 'lastTradingDate': 'expiry',
                            'shortMargin': 'short_margin', 'shortFeeRate': 'short_fee_rate',
-                           'longInitialMargin': 'long_initial_margin',
+                           'longInitialMargin': 'long_initial_margin', 'contractMonth': 'contract_month',
                            'longMaintenanceMargin': 'long_maintenance_margin'}
 
 
@@ -60,11 +60,12 @@ def parse_response_content(self, response_content):
                     shortable = contract_fields.get('shortable')
                     long_initial_margin = contract_fields.get('long_initial_margin')
                     long_maintenance_margin = contract_fields.get('long_maintenance_margin')
-
+                    contract_month = contract_fields.get('contract_month')
+                    identifier = contract_fields.get('identifier')
                     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,
                                         short_margin=short_margin, short_fee_rate=short_fee_rate, shortable=shortable,
-                                        long_initial_margin=long_initial_margin,
-                                        long_maintenance_margin=long_maintenance_margin)
+                                        long_initial_margin=long_initial_margin, contract_month=contract_month,
+                                        long_maintenance_margin=long_maintenance_margin, identifier=identifier)
                     self.contracts.append(contract)