modified: tigeropen/quote/quote_client.py

	modified:   tigeropen/quote/response/option_briefs_response.py
	modified:   tigeropen/trade/domain/contract.py
	modified:   tigeropen/trade/response/__init__.py
	modified:   tigeropen/trade/response/contracts_response.py
	modified:   tigeropen/trade/response/orders_response.py
	modified:   tigeropen/trade/response/positions_response.py
	modified:   tigeropen/trade/trade_client.py
	modified:   tigeropen/common/consts/quote_keys.py

Author: Kai Su

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/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/quote/quote_client.py

@@ -461,6 +461,8 @@ 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, contract_month=None):
+                 long_maintenance_margin=None, contract_month=None, identifier=None):
         self.contract_id = contract_id
         self.symbol = symbol
         self.currency = currency
@@ -19,27 +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/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', 'contract_month'])
+                       'shortable', 'long_initial_margin', 'long_maintenance_margin', 'contract_month', 'identifier'])
 

tigeropen/trade/response/contracts_response.py

@@ -61,10 +61,11 @@ def parse_response_content(self, response_content):
                     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, contract_month=contract_month,
-                                        long_maintenance_margin=long_maintenance_margin)
+                                        long_maintenance_margin=long_maintenance_margin, identifier=identifier)
                     self.contracts.append(contract)

tigeropen/trade/response/orders_response.py

@@ -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'}
+                        'percentOffset': 'percent_offset', 'identifier': 'identifier'}
 
 
 class OrdersResponse(TigerResponse):
@@ -74,9 +74,10 @@ def parse_order(item):
         strike = contract_fields.get('strike')
         put_call = contract_fields.get('right')
         multiplier = contract_fields.get('multiplier')
+        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)
+                            strike=strike, put_call=put_call, multiplier=multiplier, identifier=identifier)
         account = order_fields.get('account')
         action = order_fields.get('action')
         order_type = order_fields.get('order_type')

tigeropen/trade/response/positions_response.py

@@ -13,9 +13,9 @@
 from tigeropen.trade.response import CONTRACT_FIELDS
 
 POSITION_FIELD_MAPPINGS = {'averageCost': 'average_cost', 'position': 'quantity', 'latestPrice': 'market_price',
-    'marketValue': 'market_value', 'orderType': 'order_type', 'realizedPnl': 'realized_pnl',
-    'unrealizedPnl': 'unrealized_pnl', 'secType': 'sec_type', 'localSymbol': 'local_symbol',
-    'originSymbol': 'origin_symbol', 'contractId':'contract_id'}
+                           'marketValue': 'market_value', 'orderType': 'order_type', 'realizedPnl': 'realized_pnl',
+                           'unrealizedPnl': 'unrealized_pnl', 'secType': 'sec_type', 'localSymbol': 'local_symbol',
+                           'originSymbol': 'origin_symbol', 'contractId': 'contract_id', 'identifier': 'identifier'}
 
 
 class PositionsResponse(TigerResponse):
@@ -57,9 +57,11 @@ def parse_response_content(self, response_content):
                     strike = contract_fields.get('strike')
                     put_call = contract_fields.get('right')
                     multiplier = contract_fields.get('multiplier')
+                    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)
+                                        expiry=expiry, strike=strike, put_call=put_call, multiplier=multiplier,
+                                        identifier=identifier)
                     account = position_fields.get('account')
                     quantity = position_fields.get('quantity')
                     average_cost = position_fields.get('average_cost')

tigeropen/trade/trade_client.py

@@ -62,6 +62,14 @@ def get_managed_accounts(self, account=None):
         return None
 
     def get_contracts(self, symbol, sec_type=SecurityType.STK, currency=None, exchange=None):
+        """
+        批量获取合约
+        :param symbol:
+        :param sec_type:
+        :param currency:
+        :param exchange:
+        :return: 合约对象列表, 每个列表项的对象信息同 get_contract 返回
+        """
         params = ContractParams()
         params.account = self._account
         params.symbols = symbol if isinstance(symbol, list) else [symbol]
@@ -85,6 +93,33 @@ def get_contracts(self, symbol, sec_type=SecurityType.STK, currency=None, exchan
 
     def get_contract(self, symbol, sec_type=SecurityType.STK, currency=None, exchange=None, expiry=None, strike=None,
                      right=None):
+        """
+        获取合约
+        :param symbol:
+        :param sec_type:
+        :param currency:
+        :param exchange:
+        :param expiry:
+        :param strike:
+        :param right:
+        :return: Contract 对象. 有如下属性:
+            symbol: 合约 symbol
+            identifier: 合约唯一标识
+            currency: 币种
+            exchange: 交易所
+            name: 合约名称
+            sec_type: 合约类型
+            long_initial_margin: 做多初始保证金比例
+            long_maintenance_margin: 做多维持保证金比例
+            short_fee_rate: 做空费率
+            short_margin: 做空保证金
+            shortable: 做空池剩余
+            multiplier: 合约乘数
+            expiry: 合约到期日(期货/期权)
+            contract_month: 合约月份(期货)
+            strike: 行权价(期权)
+            put_call: 看跌/看涨(期权)
+        """
         params = ContractParams()
         params.account = self._account
         params.symbol = symbol
@@ -218,7 +253,7 @@ def get_orders(self, account=None, sec_type=None, market=Market.ALL, symbol=None
         :param limit: 每次获取订单的数量
         :param is_brief: 是否返回精简的订单数据
         :param states: 订单状态枚举对象列表, 可选, 若传递则按状态筛选
-        :return: Order 对象构成的列表
+        :return: Order 对象构成的列表. Order 对象信息参见 tigeropen.trade.domain.order
         """
         params = OrdersParams()
         params.account = account if account else self._account
@@ -321,7 +356,7 @@ def get_order(self, account=None, id=None, order_id=None, is_brief=False):
         :param id:
         :param order_id:
         :param is_brief: 是否返回精简的订单数据
-        :return:
+        :return: Order 对象. 对象信息参见 tigeropen.trade.domain.order
         """
         params = OrderParams()
         params.account = account if account else self._account