Merge branch 'feature_position_param' into 'dev'

Feature position param

See merge request server/openapi/openapi-python-sdk!121

Author: tigersk

tests/test_utils.py

@@ -0,0 +1,43 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2022/7/14
+# @Author  : sukai
+import unittest
+
+from tigeropen.common.util.price_util import PriceUtil
+
+
+class TestUtils(unittest.TestCase):
+    def test_price_util(self):
+        delta = 1e-6
+        tick_sizes = [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0001},
+                      {'begin': '1', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 0.01}]
+        self.assertFalse(PriceUtil.match_tick_size(None, None))
+        self.assertTrue(PriceUtil.match_tick_size(2.33, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(2.3, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(1.334, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(0.5, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(0.22223, tick_sizes))
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2.334, tick_sizes, True), 2.34, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2.334, tick_sizes, False), 2.33, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2.3345, None), 2.3345, delta=delta)
+
+        tick_sizes = [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0005},
+                      {'begin': '1', 'end': '100', 'type': 'OPEN_CLOSED', 'tick_size': 0.05},
+                      {'begin': '100', 'end': '1000', 'type': 'OPEN_CLOSED', 'tick_size': 1.0},
+                      {'begin': '1000', 'end': '10000', 'type': 'OPEN_CLOSED', 'tick_size': 2.0},
+                      {'begin': '10000', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 5.0}]
+        self.assertTrue(PriceUtil.match_tick_size(0.0005, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(1.15, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(0.0008, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(1.11, tick_sizes))
+        self.assertTrue(PriceUtil.match_tick_size(300, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(300.5, tick_sizes))
+        self.assertFalse(PriceUtil.match_tick_size(5001, tick_sizes))
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(0.0021, tick_sizes), 0.002, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(0.0021, tick_sizes, True), 0.0025, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(3.027, tick_sizes), 3.0, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(3.027, tick_sizes, True), 3.05, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(200.5, tick_sizes), 200, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(2001, tick_sizes, True), 2002, delta=delta)
+        self.assertAlmostEqual(PriceUtil.fix_price_by_tick_size(20001, tick_sizes, True), 20005, delta=delta)

tigeropen/common/consts/__init__.py

@@ -148,7 +148,15 @@ class IndustryLevel(Enum):
     GSUBIND = 'GSUBIND'
 
 
+@unique
+class TickSizeType(Enum):
+    CLOSED = 'CLOSED'
+    OPEN_CLOSED = 'OPEN_CLOSED'
+    OPEN = 'OPEN'
+
+
 @unique
 class OrderSortBy(Enum):
     LATEST_CREATED = 'LATEST_CREATED'
     LATEST_STATUS_UPDATED = 'LATEST_STATUS_UPDATED'
+

tigeropen/common/util/price_util.py

@@ -0,0 +1,87 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2022/7/13
+# @Author  : sukai
+from decimal import Decimal, ROUND_DOWN
+
+import math
+
+from tigeropen.common.consts import TickSizeType
+
+
+class PriceUtil:
+    INFINITY = 'Infinity'
+    RELATIVE_TOLERANCE = 1e-6
+
+    @staticmethod
+    def match_tick_size(price, tick_sizes):
+        """
+        check if the price matches the tick sizes
+        :param price: user input price
+        :param tick_sizes: tick sizes list like:
+                        [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0001},
+                        {'begin': '1', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 0.01}]
+        :return:
+        """
+        if not price or not tick_sizes:
+            return False
+        fixed_price = PriceUtil.fix_price_by_tick_size(price=price, tick_sizes=tick_sizes)
+        return math.isclose(price, fixed_price, rel_tol=PriceUtil.RELATIVE_TOLERANCE)
+
+    @staticmethod
+    def fix_price_by_tick_size(price, tick_sizes, is_up=False):
+        """
+        fix the user input price by tick sizes of the contract
+        :param price:
+        :param tick_sizes:
+        :param is_up:
+        :return:
+        """
+        if not price:
+            return None
+        tick_size_item = PriceUtil._find_tick_size_item(price=price, tick_sizes=tick_sizes)
+        if not tick_size_item:
+            return price
+        min_tick = tick_size_item.get('tick_size')
+        begin = tick_size_item.get('begin')
+        return PriceUtil._round_with_tick(price=price, begin=begin, min_tick=min_tick, is_up=is_up)
+
+    @staticmethod
+    def _find_tick_size_item(price, tick_sizes):
+        """
+        :param price:
+        :param tick_sizes: tick size infos, example:
+                    [{'begin': '0', 'end': '1', 'type': 'CLOSED', 'tick_size': 0.0001},
+                     {'begin': '1', 'end': 'Infinity', 'type': 'OPEN', 'tick_size': 0.01}]
+        :return: dict
+        """
+        if not price or not tick_sizes:
+            return None
+        for item in tick_sizes:
+            type_ = item.get('type')
+            begin = float(item.get('begin'))
+            end = float('inf') if PriceUtil.INFINITY == item.get('end') else float(item.get('end'))
+
+            if TickSizeType.OPEN.value == type_:
+                if begin < price < end:
+                    return item
+            elif TickSizeType.OPEN_CLOSED.value == type_:
+                if begin < price <= end:
+                    return item
+            elif TickSizeType.CLOSED.value == type_:
+                if begin <= price <= end:
+                    return item
+        return None
+
+    @staticmethod
+    def _round_with_tick(price, begin, min_tick, is_up):
+        p = Decimal(str(price))
+        t = Decimal(str(min_tick))
+        base = Decimal(str(begin))
+        multiple = (p - base) / t
+        if multiple <= 0:
+            return price
+        if is_up:
+            multiple += Decimal(1)
+
+        return float(multiple.quantize(0, ROUND_DOWN) * t + base)

tigeropen/examples/trade_client_demo.py

@@ -7,6 +7,7 @@
 import logging
 import traceback
 
+from tigeropen.common.util.price_util import PriceUtil
 from tigeropen.trade.domain.order import OrderStatus
 from tigeropen.trade.request.model import AccountsParams
 from tigeropen.tiger_open_client import TigerOpenClient
@@ -122,6 +123,13 @@ def trade_apis():
     order_legs = openapi_client.get_open_orders(account, parent_id=main_order.order_id)
     print(order_legs)
 
+    # adjust price by contract tick sizes
+    contract = openapi_client.get_contract('UVXY')
+    price = 10.125
+    if not PriceUtil.match_tick_size(price, contract.tick_sizes):
+        price = PriceUtil.fix_price_by_tick_size(price, contract.tick_sizes)
+
+
 
 def algo_order_demo():
     account = client_config.account

tigeropen/trade/domain/contract.py

@@ -15,7 +15,7 @@ def __init__(self, symbol=None, currency=None, contract_id=None, sec_type=None,
                  long_maintenance_margin=None, contract_month=None, identifier=None, primary_exchange=None,
                  market=None, min_tick=None, trading_class=None, status=None, continuous=None, trade=None,
                  marginable=None, close_only=None,
-                 last_trading_date=None, first_notice_date=None, last_bidding_close_time=None):
+                 last_trading_date=None, first_notice_date=None, last_bidding_close_time=None, tick_sizes=None):
         self.contract_id = contract_id
         self.symbol = symbol
         self.currency = get_enum_value(currency)
@@ -54,6 +54,8 @@ def __init__(self, symbol=None, currency=None, contract_id=None, sec_type=None,
         self.market = market
         # 最小报价单位
         self.min_tick = min_tick
+        # tick size info list
+        self.tick_sizes = tick_sizes
         # 合约的交易级别名称
         self.trading_class = trading_class
         # 状态

tigeropen/trade/request/model.py

@@ -117,6 +117,9 @@ def __init__(self):
         self._currency = None
         self._market = None
         self._sub_accounts = None
+        self._expiry = None
+        self._strike = None
+        self._right = None
 
     @property
     def account(self):
@@ -174,6 +177,30 @@ def sub_accounts(self):
     def sub_accounts(self, value):
         self._sub_accounts = value
 
+    @property
+    def expiry(self):
+        return self._expiry
+
+    @expiry.setter
+    def expiry(self, value):
+        self._expiry = value
+
+    @property
+    def strike(self):
+        return self._strike
+
+    @strike.setter
+    def strike(self, value):
+        self._strike = value
+
+    @property
+    def right(self):
+        return self._right
+
+    @right.setter
+    def right(self, value):
+        self._right = value
+
     def to_openapi_dict(self):
         params = dict()
         if self.account:
@@ -197,6 +224,15 @@ def to_openapi_dict(self):
         if self.sub_accounts:
             params['sub_accounts'] = self.sub_accounts
 
+        if self.expiry:
+            params['expiry'] = self.expiry
+
+        if self.strike:
+            params['strike'] = self.strike
+
+        if self.right:
+            params['right'] = self.right
+
         return params
 
 

tigeropen/trade/response/contracts_response.py

@@ -7,7 +7,7 @@
 import json
 
 from tigeropen.common.response import TigerResponse
-from tigeropen.common.util.string_utils import camel_to_underline
+from tigeropen.common.util.string_utils import camel_to_underline, camel_to_underline_obj
 from tigeropen.trade.domain.contract import Contract
 
 CONTRACT_FIELD_MAPPINGS = {'conid': 'contract_id', 'right': 'put_call', 'tradeable': 'trade'}
@@ -31,6 +31,8 @@ def parse_response_content(self, response_content):
                     contract_fields = {}
                     for key, value in item.items():
                         tag = CONTRACT_FIELD_MAPPINGS[key] if key in CONTRACT_FIELD_MAPPINGS else camel_to_underline(key)
+                        if isinstance(value, (list, dict)):
+                            value = camel_to_underline_obj(value)
                         contract_fields[tag] = value
                     contract = Contract()
                     for k, v in contract_fields.items():

tigeropen/trade/trade_client.py

@@ -176,7 +176,7 @@ def get_derivative_contracts(self, symbol, sec_type, expiry, lang=None):
         return None
 
     def get_positions(self, account=None, sec_type=SecurityType.STK, currency=Currency.ALL, market=Market.ALL,
-                      symbol=None, sub_accounts=None):
+                      symbol=None, sub_accounts=None, expiry=None, strike=None, put_call=None):
         """
         获取持仓数据
         :param account:
@@ -203,7 +203,12 @@ def get_positions(self, account=None, sec_type=SecurityType.STK, currency=Curren
         params.currency = get_enum_value(currency)
         params.market = get_enum_value(market)
         params.symbol = symbol
-
+        if expiry:
+            params.expiry = expiry
+        if strike:
+            params.strike = strike
+        if put_call:
+            params.right = put_call
         request = OpenApiRequest(POSITIONS, biz_model=params)
         response_content = self.__fetch_data(request)
         if response_content: