Merge branch 'attach_order' into 'dev'

attach order

See merge request !42

Author: zhanggoo9527

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/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/trade/domain/order.py

@@ -14,37 +14,38 @@ 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_type", "time_in_force", "outside_rth", "order_legs"]
 
     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):
+                 id=None, order_id=None, parent_id=None, order_time=None, trade_time=None, order_legs=None):
         """
         - account: 订单所属的账户
         - id: 全局订单 id
         - order_id: 账户自增订单号
-        - parent_id: 母订单id，目前只用于 TigerTrade App端的附加订单中
+        - parent_id: 主订单id, 目前只用于 TigerTrade App端的附加订单中
         - order_time: 下单时间
-        - reason: 下单失败时，会返回失败原因的描述
+        - reason: 下单失败时, 会返回失败原因的描述
         - trade_time: 最新成交时间
-        - action: 交易方向， 'BUY' / 'SELL'
+        - action: 交易方向, 'BUY' / 'SELL'
         - quantity: 下单数量
         - filled: 成交数量
         - avg_fill_price: 包含佣金的平均成交价
-        - commission: 包含佣金、印花税、证监会费等系列费用
+        - commission: 包含佣金, 印花税, 证监会费等系列费用
         - realized_pnl: 实现盈亏
         - trail_stop_price: 跟踪止损单--触发止损单的价格
         - limit_price: 限价单价格
-        - aux_price: 在止损单中，表示出发止损单的价格， 在移动止损单中， 表示跟踪的价差
-        - trailing_percent:  跟踪止损单-百分比，取值范围为0-100
+        - aux_price: 在止损单中, 表示出发止损单的价格, 在移动止损单中, 表示跟踪的价差
+        - trailing_percent:  跟踪止损单-百分比, 取值范围为0-100
         - percent_offset: None,
-        - order_type: 订单类型, 'MKT'市价单/'LMT'限价单/'STP'止损单/'STP_LMT'止损限价单/'TRAIL'跟踪止损单
-        - time_in_force: 有效期,'DAY'日内有效/'GTC'撤销前有效
-        - outside_rth: 是否支持盘前盘后交易，美股专属。
+        - order_type: 订单类型, 'MKT' 市价单 / 'LMT' 限价单 / 'STP' 止损单 / 'STP_LMT' 止损限价单 / 'TRAIL' 跟踪止损单
+        - time_in_force: 有效期,'DAY' 日内有效 / 'GTC' 撤销前有效
+        - outside_rth: 是否允许盘前盘后交易(outside of regular trading hours 美股专属). True 允许, False 不允许
         - contract: 合约对象
-        - status: Order_Status 的枚举， 表示订单状态
+        - 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
         """
 
         self.id = id
@@ -71,6 +72,7 @@ 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.order_legs = order_legs
 
     def to_dict(self):
         dct = {name: getattr(self, name) for name in self.__slots__ if name not in ORDER_FIELDS_TO_IGNORE}
@@ -115,3 +117,27 @@ def __unicode__(self):
         Unicode representation for this object.
         """
         return text_type(repr(self))
+
+
+class OrderLeg(object):
+    """
+    附加订单
+    """
+
+    def __init__(self, leg_type, price, time_in_force='DAY', outside_rth=None):
+        """
+        :param leg_type: 附加订单类型(仅限价单支持). 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).
+        :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.
+        """
+        self.leg_type = leg_type
+        self.price = price
+        self.time_in_force = time_in_force
+        self.outside_rth = outside_rth
+
+    def to_dict(self):
+        return self.__dict__
+
+    def __repr__(self):
+        return "OrderLeg(%s)" % self.to_dict()

tigeropen/trade/request/model.py

@@ -228,7 +228,7 @@ def expiry(self):
 
     @expiry.setter
     def expiry(self, value):
-        self._expiry= value
+        self._expiry = value
 
     @property
     def strike(self):
@@ -358,6 +358,7 @@ def __init__(self):
         self._end_date = None
         self._limit = None
         self._states = None
+        self._parent_id = None
 
     @property
     def account(self):
@@ -439,6 +440,14 @@ def states(self):
     def states(self, value):
         self._states = value
 
+    @property
+    def parent_id(self):
+        return self._parent_id
+
+    @parent_id.setter
+    def parent_id(self, value):
+        self._parent_id = value
+
     def to_openapi_dict(self):
         params = dict()
         if self.account:
@@ -471,6 +480,9 @@ def to_openapi_dict(self):
         if self.states:
             params['states'] = self.states
 
+        if self.parent_id:
+            params['parent_id'] = self.parent_id
+
         return params
 
 
@@ -490,6 +502,7 @@ def __init__(self):
         self.percent_offset = None
         self.time_in_force = None
         self.outside_rth = None
+        self.order_legs = None
 
     def to_openapi_dict(self):
         params = dict()
@@ -542,6 +555,33 @@ def to_openapi_dict(self):
             if self.outside_rth is not None:
                 params['outside_rth'] = self.outside_rth
 
+            if self.order_legs:
+                if len(self.order_legs) > 2:
+                    raise Exception('2 order legs at most')
+                leg_types = set()
+                for order_leg in self.order_legs:
+                    if order_leg.leg_type == 'PROFIT':
+                        leg_types.add('PROFIT')
+                        params['attach_type'] = 'PROFIT'
+                        if order_leg.price is not None:
+                            params['profit_taker_price'] = order_leg.price
+                        if order_leg.time_in_force is not None:
+                            params['profit_taker_tif'] = order_leg.time_in_force
+                        if order_leg.outside_rth is not None:
+                            params['profit_taker_rth'] = order_leg.outside_rth
+                    if order_leg.leg_type == 'LOSS':
+                        leg_types.add('LOSS')
+                        params['attach_type'] = 'LOSS'
+                        if order_leg.price is not None:
+                            params['stop_loss_price'] = order_leg.price
+                        if order_leg.time_in_force is not None:
+                            params['stop_loss_tif'] = order_leg.time_in_force
+                        if order_leg.outside_rth is not None:
+                            params['stop_loss_rth'] = order_leg.outside_rth
+                # 括号订单(止盈和止损)
+                if len(leg_types) == 2:
+                    params['attach_type'] = 'BRACKETS'
+
         return params
 
 

tigeropen/trade/trade_client.py

@@ -279,9 +279,10 @@ def get_orders(self, account=None, sec_type=None, market=Market.ALL, symbol=None
         return None
 
     def get_open_orders(self, account=None, sec_type=None, market=Market.ALL, symbol=None, start_time=None,
-                        end_time=None):
+                        end_time=None, parent_id=None):
         """
         获取待成交订单列表. 参数同 get_orders
+        :param parent_id: 主订单 order_id
         """
         params = OrdersParams()
         params.account = account if account else self._account
@@ -291,6 +292,7 @@ def get_open_orders(self, account=None, sec_type=None, market=Market.ALL, symbol
         params.symbol = symbol
         params.start_date = start_time
         params.end_date = end_time
+        params.parent_id = parent_id
         request = OpenApiRequest(ACTIVE_ORDERS, biz_model=params)
         response_content = self.__fetch_data(request)
         if response_content:
@@ -377,7 +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):
+                     outside_rth=None, order_legs=None):
         """
         创建订单对象.
         :param account:
@@ -392,7 +394,7 @@ def create_order(self, account, contract, action, order_type, quantity, limit_pr
         :param percent_offset:
         :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)
-        :return:
+        :param order_legs: 附加订单
         """
         params = AccountsParams()
         params.account = account if account else self._account
@@ -406,7 +408,8 @@ def create_order(self, account, contract, action, order_type, quantity, limit_pr
                 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, order_id=order_id)
+                              time_in_force=time_in_force, outside_rth=outside_rth, order_id=order_id,
+                              order_legs=order_legs)
                 return order
             else:
                 raise ApiException(response.code, response.message)
@@ -476,14 +479,20 @@ def place_order(self, order):
         params.percent_offset = order.percent_offset
         params.time_in_force = order.time_in_force
         params.outside_rth = order.outside_rth
+        params.order_legs = order.order_legs
+
         request = OpenApiRequest(PLACE_ORDER, biz_model=params)
         response_content = self.__fetch_data(request)
         if response_content:
             response = OrderIdResponse()
             response.parse_response_content(response_content)
             if response.is_success():
                 order.id = response.id
-                return response.order_id == order.order_id if order.order_id else True
+                if order.order_id:
+                    return response.order_id == order.order_id
+                else:
+                    order.order_id = response.order_id
+                    return True
             else:
                 raise ApiException(response.code, response.message)