Merge branch 'level2' into 'dev'

Level2 -> dev

See merge request !34

Author: zhanggoo9527

.gitignore

@@ -4,6 +4,7 @@ __pycache__/
 build/
 dist/
 eggs/
+*.egg-info
 
 .idea
 .DS_Store

requirements.txt

@@ -1,8 +1,7 @@
-logbook
 six
 simplejson
 delorean
-pandas
+pandas==0.24.2
 python-dateutil
 pytz
 pyasn1==0.4.2

setup.py

@@ -4,13 +4,15 @@
 
 @author: gaoan
 """
+from os import path
 from setuptools import find_packages, setup
 
-install_requires = ['six', 'simplejson', 'delorean', 'pandas', 'python-dateutil', 'pytz', 'pyasn1==0.4.4', 'rsa==4.0', 'stomp.py']
+with open(path.join(path.abspath(path.dirname(__file__)), 'requirements.txt'), encoding='utf-8') as f:
+    install_requires = f.read()
 
 setup(
     name='tigeropen',
-    version='1.1.7',
+    version='1.1.8',
     description='TigerBrokers Open API',
     packages=find_packages(exclude=[]),
     author='TigerBrokers',

tigeropen/common/consts/service_types.py

@@ -42,6 +42,7 @@
 QUOTE_REAL_TIME = "quote_real_time"
 QUOTE_SHORTABLE_STOCKS = "quote_shortable_stocks"
 QUOTE_STOCK_TRADE = "quote_stock_trade"
+ORDER_BOOK = "ask_bid"  # level2 深度行情
 
 # 期权行情
 OPTION_EXPIRATION = "option_expiration"

tigeropen/examples/quote_client_demo.py

@@ -39,6 +39,9 @@ def get_quote():
     print(ticks)
     short_interest = openapi_client.get_short_interest(['GOOG', 'AAPL', '00700'])
     print(short_interest)
+    # 获取深度行情
+    order_book = openapi_client.get_order_book(['02828'])
+    print(order_book)
 
 
 def get_option_quote():

tigeropen/quote/quote_client.py

@@ -35,18 +35,20 @@
 from tigeropen.quote.response.stock_trade_meta_response import TradeMetaResponse
 from tigeropen.quote.response.symbol_names_response import SymbolNamesResponse
 from tigeropen.quote.response.symbols_response import SymbolsResponse
+from tigeropen.quote.response.quote_order_book_response import OrderBookResponse
 from tigeropen.tiger_open_client import TigerOpenClient
 from tigeropen.quote.request.model import MarketParams, MultipleQuoteParams, MultipleContractParams, \
     FutureQuoteParams, FutureExchangeParams, FutureTypeParams, FutureTradingTimeParams, SingleContractParams, \
-    SingleOptionQuoteParams
+    SingleOptionQuoteParams, OrderBookParams
 from tigeropen.quote.request import OpenApiRequest
 from tigeropen.quote.response.quote_ticks_response import TradeTickResponse
 from tigeropen.quote.response.market_status_response import MarketStatusResponse
 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, \
     FUTURE_TRADING_DATE, QUOTE_SHORTABLE_STOCKS, FUTURE_REAL_TIME_QUOTE, \
-    FUTURE_CURRENT_CONTRACT, QUOTE_REAL_TIME, QUOTE_STOCK_TRADE, FINANCIAL_DAILY, FINANCIAL_REPORT, CORPORATE_ACTION
+    FUTURE_CURRENT_CONTRACT, QUOTE_REAL_TIME, QUOTE_STOCK_TRADE, FINANCIAL_DAILY, FINANCIAL_REPORT, CORPORATE_ACTION, \
+    ORDER_BOOK
 from tigeropen.common.consts import Market, Language, QuoteRight, BarPeriod
 from tigeropen.common.util.contract_utils import extract_option_info
 from tigeropen.common.util.common_utils import eastern
@@ -373,6 +375,54 @@ def get_short_interest(self, symbols, lang=None):
 
         return None
 
+    def get_order_book(self, symbols):
+        """
+        获取深度行情
+        :param symbols:
+        :return:
+        数据结构:
+            若返回单个 symbol:
+            {'symbol': '02833',
+             'asks': [(27.4, 300, 2), (27.45, 500, 1), (27.5, 4400, 1), (27.55, 0, 0), (27.6, 5700, 3), (27.65, 0, 0),
+                      (27.7, 500, 1), (27.75, 0, 0), (27.8, 0, 0), (27.85, 0, 0)],
+             'bids': [(27, 4000, 3), (26.95, 200, 1), (26.9, 0, 0), (26.85, 400, 1), (26.8, 0, 0), (26.75, 0, 0),
+                      (26.7, 0, 0), (26.65, 0, 0), (26.6, 0, 0), (26.55, 0, 0)]
+            }
+
+            若返回多个 symbol:
+            {'02833':
+                {'symbol': '02833',
+                 'asks': [(27.35, 200, 1), (27.4, 2100, 2), (27.45, 500, 1), (27.5, 4400, 1), (27.55, 0, 0),
+                         (27.6, 5700, 3), (27.65, 0, 0), (27.7, 500, 1), (27.75, 0, 0), (27.8, 0, 0)],
+                 'bids': [(27.05, 100, 1), (27, 5000, 4), (26.95, 200, 1), (26.9, 0, 0), (26.85, 400, 1), (26.8, 0, 0),
+                        (26.75, 0, 0), (26.7, 0, 0), (26.65, 0, 0), (26.6, 0, 0)]
+                },
+            '02828':
+                {'symbol': '02828',
+                 'asks': [(106.6, 6800, 7), (106.7, 110200, 10), (106.8, 64400, 8), (106.9, 80600, 8), (107, 9440, 16),
+                        (107.1, 31800, 5), (107.2, 11800, 4), (107.3, 9800, 2), (107.4, 9400, 1), (107.5, 21000, 9)],
+                 'bids': [(106.5, 62800, 17), (106.4, 68200, 9), (106.3, 78400, 6), (106.2, 52400, 4), (106.1, 3060, 4),
+                         (106, 33400, 4), (105.9, 29600, 3), (105.8, 9600, 2), (105.7, 15200, 2), (105.6, 0, 0)]}
+                }
+
+        asks 和 bids 列表项数据含义为:
+            [(ask_price1, ask_volume1, order_count), (ask_price2, ask_volume2, order_count), ...]
+            [(bid_price1, bid_volume2, order_count), (bid_price2, bid_volume2, order_count), ...]
+
+        """
+        params = OrderBookParams()
+        params.symbols = symbols if isinstance(symbols, list) else [symbols]
+
+        request = OpenApiRequest(ORDER_BOOK, biz_model=params)
+        response_content = self.__fetch_data(request)
+        if response_content:
+            response = OrderBookResponse()
+            response.parse_response_content(response_content)
+            if response.is_success():
+                return response.order_book
+            else:
+                raise ApiException(response.code, response.message)
+
     def get_option_expirations(self, symbols):
         """
         返回美股期权的过期日

tigeropen/quote/request/model.py

@@ -648,3 +648,22 @@ def to_openapi_dict(self):
             params['limit'] = self.limit
 
         return params
+
+
+class OrderBookParams(object):
+    def __init__(self):
+        self._symbols = None
+
+    @property
+    def symbols(self):
+        return self._symbols
+
+    @symbols.setter
+    def symbols(self, value):
+        self._symbols = value
+
+    def to_openapi_dict(self):
+        params = dict()
+        if self.symbols:
+            params['symbols'] = self.symbols
+        return params

tigeropen/quote/response/quote_order_book_response.py

@@ -0,0 +1,32 @@
+# -*- coding: utf-8 -*-
+from tigeropen.common.response import TigerResponse
+from tigeropen.common.util.string_utils import get_string
+
+
+class OrderBookResponse(TigerResponse):
+    def __init__(self):
+        super(OrderBookResponse, self).__init__()
+        self.order_book = dict()
+        self._is_success = None
+
+    def parse_response_content(self, response_content):
+        response = super(OrderBookResponse, 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):
+            if len(self.data) == 1:
+                item = self.data[0]
+                symbol = get_string(item.get('symbol'))
+                asks = [(v['price'], v['volume'], v['count']) for v in item.get('asks', [])]
+                bids = [(v['price'], v['volume'], v['count']) for v in item.get('bids', [])]
+                self.order_book = {'symbol': symbol, 'asks': asks, 'bids': bids}
+            else:
+                for item in self.data:
+                    symbol = get_string(item.get('symbol'))
+                    asks = [(v['price'], v['volume'], v['count']) for v in item.get('asks', [])]
+                    bids = [(v['price'], v['volume'], v['count']) for v in item.get('bids', [])]
+                    self.order_book[symbol] = {'symbol': symbol, 'asks': asks, 'bids': bids}
+            return self.order_book
+
+