execution push

Author: tigersk

tigeropen/common/consts/push_destinations.py

@@ -9,3 +9,4 @@
 TRADE_ASSET = 'trade/asset'
 TRADE_POSITION = 'trade/position'
 TRADE_ORDER = 'trade/order'
+TRADE_EXECUTION = 'trade/execution'

tigeropen/common/consts/push_subscriptions.py

@@ -9,3 +9,4 @@
 SUBSCRIPTION_TRADE_ASSET = 'Asset'
 SUBSCRIPTION_TRADE_POSITION = 'Position'
 SUBSCRIPTION_TRADE_ORDER = 'OrderStatus'
+SUBSCRIPTION_TRADE_EXECUTION = 'TradeExecution'

tigeropen/common/consts/push_types.py

@@ -45,6 +45,7 @@ class ResponseType(Enum):
     SUBSCRIBE_ORDER_STATUS = 9
     SUBSCRIBE_POSITION = 10
     SUBSCRIBE_ASSET = 11
+    SUBSCRIBE_TRADE_EXECUTION = 12
 
     # 行情
     GET_MARKET_STATE_END = 101

tigeropen/push/push_client.py

@@ -17,10 +17,10 @@
 from tigeropen.common.consts import OrderStatus
 from tigeropen.common.consts.params import P_SDK_VERSION, P_SDK_VERSION_PREFIX
 from tigeropen.common.consts.push_destinations import QUOTE, QUOTE_DEPTH, QUOTE_FUTURE, QUOTE_OPTION, TRADE_ASSET, \
-    TRADE_ORDER, TRADE_POSITION, TRADE_TICK
+    TRADE_ORDER, TRADE_POSITION, TRADE_TICK, TRADE_EXECUTION
 from tigeropen.common.consts.push_subscriptions import SUBSCRIPTION_QUOTE, SUBSCRIPTION_QUOTE_DEPTH, \
     SUBSCRIPTION_QUOTE_OPTION, SUBSCRIPTION_QUOTE_FUTURE, SUBSCRIPTION_TRADE_ASSET, SUBSCRIPTION_TRADE_POSITION, \
-    SUBSCRIPTION_TRADE_ORDER, SUBSCRIPTION_TRADE_TICK
+    SUBSCRIPTION_TRADE_ORDER, SUBSCRIPTION_TRADE_TICK, SUBSCRIPTION_TRADE_EXECUTION
 from tigeropen.common.consts.push_types import RequestType, ResponseType
 from tigeropen.common.consts.quote_keys import QuoteChangeKey, QuoteKeyType
 from tigeropen.common.exceptions import ApiException
@@ -97,6 +97,7 @@ def __init__(self, host, port, use_ssl=True, connection_timeout=120, heartbeats=
         self.asset_changed = None
         self.position_changed = None
         self.order_changed = None
+        self.execution_changed = None
         self.connect_callback = None
         self.disconnect_callback = None
         self.subscribe_callback = None
@@ -273,6 +274,16 @@ def on_message(self, frame):
                                 items.append((camel_to_underline(key), value))
                         if items:
                             self.order_changed(account, items)
+            elif response_type == str(ResponseType.SUBSCRIBE_TRADE_EXECUTION.value):
+                data = json.loads(body)
+                if self.execution_changed:
+                    if 'account' in data:
+                        account = data.pop('account', None)
+                        items = []
+                        for key, value in data.items():
+                            items.append((camel_to_underline(key), value))
+                        if items:
+                            self.execution_changed(account, items)
             elif response_type == str(ResponseType.GET_SUBSCRIBE_END.value):
                 if self.subscribe_callback:
                     self.subscribe_callback(headers.get('destination'), json.loads(body))
@@ -345,6 +356,20 @@ def unsubscribe_order(self, id=None):
         """
         self._handle_trade_unsubscribe(TRADE_ORDER, SUBSCRIPTION_TRADE_ORDER, sub_id=id)
 
+    def subscribe_execution(self, account=None):
+        """
+        订阅订单执行明细
+        :return:
+        """
+        return self._handle_trade_subscribe(TRADE_EXECUTION, SUBSCRIPTION_TRADE_EXECUTION, account)
+
+    def unsubscribe_execution(self, id=None):
+        """
+        退订订单执行明细
+        :return:
+        """
+        self._handle_trade_unsubscribe(TRADE_EXECUTION, SUBSCRIPTION_TRADE_EXECUTION, sub_id=id)
+
     def subscribe_quote(self, symbols, quote_key_type=QuoteKeyType.TRADE, focus_keys=None):
         """
         订阅行情更新

tigeropen/trade/domain/order.py

@@ -17,7 +17,7 @@ class Order:
                  "trail_stop_price", "limit_price", "aux_price", "trailing_percent", "percent_offset", "action",
                  "order_type", "time_in_force", "outside_rth", "order_legs", "algo_params", "algo_strategy",
                  "secret_key", "liquidation", "discount", "attr_desc", "source", 'adjust_limit', 'sub_ids', "user_mark",
-                 "update_time"]
+                 "update_time", "expire_time"]
 
     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,
@@ -60,6 +60,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
           例如：0.001 代表向上调整且幅度不超过 0.1%；-0.001 代表向下调整且幅度不超过 0.1%。默认 0 表示不调整
         - sub_ids id list of sub orders.
         - user_mark: user's remark
+        - expire_time: GTD order's expire time
         """
 
         self.id = id
@@ -98,6 +99,7 @@ def __init__(self, account, contract, action, order_type, quantity, limit_price=
         self.adjust_limit = kwargs.get('adjust_limit')
         self.sub_ids = kwargs.get('sub_ids')
         self.user_mark = kwargs.get('user_mark')
+        self.expire_time = kwargs.get('expire_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/request/model.py

@@ -774,6 +774,7 @@ def __init__(self):
         self.algo_params = None
         self.adjust_limit = None
         self.user_mark = None
+        self.expire_time = None
 
     def to_openapi_dict(self):
         params = super().to_openapi_dict()
@@ -831,6 +832,8 @@ def to_openapi_dict(self):
                 params['adjust_limit'] = self.adjust_limit
             if self.user_mark is not None:
                 params['user_mark'] = self.user_mark
+            if self.expire_time is not None:
+                params['expire_time'] = self.expire_time
 
             if self.order_legs:
                 if len(self.order_legs) > 2:

tigeropen/trade/trade_client.py

@@ -569,6 +569,7 @@ def place_order(self, order):
         params.secret_key = order.secret_key if order.secret_key else self._secret_key
         params.adjust_limit = order.adjust_limit
         params.user_mark = order.user_mark
+        params.expire_time = order.expire_time
         params.lang = get_enum_value(self._lang)
 
         request = OpenApiRequest(PLACE_ORDER, biz_model=params)
@@ -615,6 +616,9 @@ def modify_order(self, order, quantity=None, limit_price=None, aux_price=None,
         params.trailing_percent = trailing_percent if trailing_percent is not None else order.trailing_percent
         params.percent_offset = percent_offset if percent_offset is not None else order.percent_offset
         params.time_in_force = time_in_force if time_in_force is not None else order.time_in_force
+        expire_time = kwargs.get('expire_time', order.expire_time)
+        if expire_time is not None:
+            params.expire_time = expire_time
         params.outside_rth = outside_rth if outside_rth is not None else order.outside_rth
         params.secret_key = order.secret_key if order.secret_key else self._secret_key
         params.adjust_limit = kwargs.get('adjust_limit', order.adjust_limit)