tick push

tigersk · tigersk · commit f7e2ce00aa0a · 2022-06-24T19:29:36.000+08:00
diff --git a/setup.py b/setup.py
@@ -16,7 +16,7 @@
     name='tigeropen',
     version=__VERSION__,
     description='TigerBrokers Open API',
-    packages=find_packages(exclude=[]),
+    packages=find_packages(exclude=["tests"]),
     author='TigerBrokers',
     author_email='openapi@tigerbrokers.com',
     license='Apache License v2',
diff --git a/tests/__init__.py b/tests/__init__.py
@@ -0,0 +1,4 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2022/6/24
+# @Author  : sukai
diff --git a/tests/test_push_client.py b/tests/test_push_client.py
@@ -0,0 +1,38 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2022/6/24
+# @Author  : sukai
+import unittest
+
+from tigeropen.push.push_client import PushClient
+
+
+class TestPushClient(unittest.TestCase):
+
+    def test_tick_convert(self):
+        body = '{"symbol":"QQQ","tickType":"*****","serverTimestamp":1656062042242,"priceOffset":2,' \
+               '"volumes":[99,10,10,10,800],"partCode":["t","p","p","p","t"],"cond":"IIIIT","type":"TradeTick",' \
+               '"times":[1656062084833,11,0,0,31],"quoteLevel":"usStockQuote","priceBase":28770,"sn":878,' \
+               '"prices":[6,3,2,2,0],"timestamp":1656062085570}'
+
+        expected = 'QQQ', [{'tick_type': '*', 'price': 287.76, 'volume': 99, 'part_code': 'NSDQ',
+                     'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_ODD_LOT_TRADE',
+                     'time': 1656062084833, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
+                     'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
+                    {'tick_type': '*', 'price': 287.73, 'volume': 10, 'part_code': 'ARCA',
+                     'part_code_name': 'NYSE Arca, Inc. (NYSE Arca)', 'cond': 'US_ODD_LOT_TRADE',
+                     'time': 1656062084844, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
+                     'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
+                    {'tick_type': '*', 'price': 287.72, 'volume': 10, 'part_code': 'ARCA',
+                     'part_code_name': 'NYSE Arca, Inc. (NYSE Arca)', 'cond': 'US_ODD_LOT_TRADE',
+                     'time': 1656062084844, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
+                     'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
+                    {'tick_type': '*', 'price': 287.72, 'volume': 10, 'part_code': 'ARCA',
+                     'part_code_name': 'NYSE Arca, Inc. (NYSE Arca)', 'cond': 'US_ODD_LOT_TRADE',
+                     'time': 1656062084844, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
+                     'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570},
+                    {'tick_type': '*', 'price': 287.7, 'volume': 800, 'part_code': 'NSDQ',
+                     'part_code_name': 'NASDAQ Stock Market, LLC (NASDAQ)', 'cond': 'US_FORM_T',
+                     'time': 1656062084875, 'server_timestamp': 1656062042242, 'type': 'TradeTick',
+                     'quote_level': 'usStockQuote', 'sn': 878, 'timestamp': 1656062085570}]
+        self.assertEqual(expected, PushClient._convert_tick(body))
diff --git a/tigeropen/common/consts/push_destinations.py b/tigeropen/common/consts/push_destinations.py
@@ -4,6 +4,7 @@
 QUOTE_DEPTH = 'quotedepth'
 QUOTE_FUTURE = 'future'
 QUOTE_OPTION = 'option'
+QUOTE_TICK = 'tradetick'
 
 TRADE_ASSET = 'trade/asset'
 TRADE_POSITION = 'trade/position'
diff --git a/tigeropen/common/consts/push_subscriptions.py b/tigeropen/common/consts/push_subscriptions.py
@@ -4,6 +4,7 @@
 SUBSCRIPTION_QUOTE_DEPTH = 'QuoteDepth'
 SUBSCRIPTION_QUOTE_FUTURE = 'Future'
 SUBSCRIPTION_QUOTE_OPTION = 'Option'
+SUBSCRIPTION_QUOTE_TICK = 'TradeTick'
 
 SUBSCRIPTION_TRADE_ASSET = 'Asset'
 SUBSCRIPTION_TRADE_POSITION = 'Position'
diff --git a/tigeropen/common/consts/tick_constants.py b/tigeropen/common/consts/tick_constants.py
@@ -0,0 +1,94 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2022/6/23
+# @Author  : sukai
+
+HK_QUOTE_LEVEL_PREFIX = "hk"
+US_QUOTE_LEVEL_PREFIX = "us"
+
+PART_CODE_NAME_MAP = {
+    "a": "NYSE American, LLC (NYSE American)",
+    "b": "NASDAQ OMX BX, Inc. (NASDAQ OMX BX)",
+    "c": "NYSE National, Inc. (NYSE National)",
+    "d": "FINRA Alternative Display Facility (ADF)",
+    "h": "MIAX Pearl Exchange, LLC (MIAX)",
+    "i": "International Securities Exchange, LLC (ISE)",
+    "j": "Cboe EDGA Exchange, Inc. (Cboe EDGA)",
+    "k": "Cboe EDGX Exchange, Inc. (Cboe EDGX)",
+    "l": "Long-Term Stock Exchange, Inc. (LTSE)",
+    "m": "NYSE Chicago, Inc. (NYSE Chicago)",
+    "n": "New York Stock Exchange, LLC (NYSE)",
+    "p": "NYSE Arca, Inc. (NYSE Arca)",
+    "s": "Consolidated Tape System (CTS)",
+    "t": "NASDAQ Stock Market, LLC (NASDAQ)",
+    "u": "Members Exchange, LLC (MEMX)",
+    "v": "Investors’ Exchange, LLC. (IEX)",
+    "w": "CBOE Stock Exchange, Inc. (CBSX)",
+    "x": "NASDAQ OMX PSX, Inc. (NASDAQ OMX PSX)",
+    "y": "Cboe BYX Exchange, Inc. (Cboe BYX)",
+    "z": "Cboe BZX Exchange, Inc. (Cboe BZX)",
+}
+
+PART_CODE_MAP = {
+    "a": "AMEX",
+    "b": "BX",
+    "c": "NSX",
+    "d": "ADF",
+    "h": "MIAX",
+    "i": "ISE",
+    "j": "EDGA",
+    "k": "EDGX",
+    "l": "LTSE",
+    "m": "CHO",
+    "n": "NYSE",
+    "p": "ARCA",
+    "s": "CTS",
+    "t": "NSDQ",
+    "u": "MEMX",
+    "v": "IEX",
+    "w": "CBSX",
+    "x": "PSX",
+    "y": "BYX",
+    "z": "BZX",
+}
+
+US_TRADE_COND_MAP = {
+    " ": "US_REGULAR_SALE",  # 自动对盘
+    "B": "US_BUNCHED_TRADE",  # 批量交易
+    "C": "US_CASH_TRADE",  # 现金交易
+    "F": "US_INTERMARKET_SWEEP",  # 跨市场交易
+    "G": "US_BUNCHED_SOLD_TRADE",  # 批量卖出
+    "H": "US_PRICE_VARIATION_TRADE",  # 离价交易
+    "I": "US_ODD_LOT_TRADE",  # 碎股交易
+    "K": "US_RULE_127_OR_155_TRADE",  # 纽交所 第127条交易 或 第155条交易
+    "L": "US_SOLD_LAST",  # 延迟交易
+    "M": "US_MARKET_CENTER_CLOSE_PRICE",  # 中央收市价
+    "N": "US_NEXT_DAY_TRADE",  # 隔日交易
+    "O": "US_MARKET_CENTER_OPENING_TRADE",  # 中央开盘价交易
+    "P": "US_PRIOR_REFERENCE_PRICE",  # 前参考价
+    "Q": "US_MARKET_CENTER_OPEN_PRICE",  # 中央开盘价
+    "R": "US_SELLER",  # 卖方
+    "T": "US_FORM_T",  # 盘前盘后交易
+    "U": "US_EXTENDED_TRADING_HOURS",  # 延长交易时段
+    "V": "US_CONTINGENT_TRADE",  # 合单交易
+    "W": "US_AVERAGE_PRICE_TRADE",  # 均价交易
+    "X": "US_CROSS_TRADE",  #
+    "Z": "US_SOLD_OUT_OF_SEQUENCE",  # 场外售出
+    "0": "US_ODD_LOST_CROSS_TRADE",  # 碎股跨市场交易
+    "4": "US_DERIVATIVELY_PRICED",  # 衍生工具定价
+    "5": "US_MARKET_CENTER_RE_OPENING_TRADE",  # 再开盘定价
+    "6": "US_MARKET_CENTER_CLOSING_TRADE",  # 收盘定价
+    "7": "US_QUALIFIED_CONTINGENT_TRADE",  # 合单交易
+    "9": "US_CONSOLIDATED_LAST_PRICE_PER_LISTING_PACKET",  # 综合延迟价格
+}
+
+HK_TRADE_COND_MAP = {
+    " ": "HK_AUTOMATCH_NORMAL",  # 自动对盘
+    "D": "HK_ODD_LOT_TRADE",  # 碎股交易
+    "U": "HK_AUCTION_TRADE",  # 竞价交易
+    "*": "HK_OVERSEAS_TRADE",  # 场外交易
+    "P": "HK_LATE_TRADE_OFF_EXCHG",  # 开市前成交
+    "M": "HK_NON_DIRECT_OFF_EXCHG_TRADE",  # 非自动对盘
+    "X": "HK_DIRECT_OFF_EXCHG_TRADE",  # 同券商自动对盘
+    "Y": "HK_AUTOMATIC_INTERNALIZED",  # 同券商非自动对盘
+}
diff --git a/tigeropen/common/util/tick_util.py b/tigeropen/common/util/tick_util.py
@@ -0,0 +1,27 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2022/6/24
+# @Author  : sukai
+
+from tigeropen.common.consts.tick_constants import PART_CODE_MAP, PART_CODE_NAME_MAP, HK_QUOTE_LEVEL_PREFIX, \
+    HK_TRADE_COND_MAP, US_TRADE_COND_MAP
+
+
+def get_part_code(code):
+    return PART_CODE_MAP.get(code)
+
+
+def get_part_code_name(code):
+    return PART_CODE_NAME_MAP.get(code)
+
+
+def get_trade_condition_map(quote_level):
+    if quote_level.lower().startswith(HK_QUOTE_LEVEL_PREFIX):
+        return HK_TRADE_COND_MAP
+    return US_TRADE_COND_MAP
+
+
+def get_trade_condition(cond, cond_map):
+    return cond_map.get(cond)
+
+
diff --git a/tigeropen/push/push_client.py b/tigeropen/push/push_client.py
@@ -7,8 +7,8 @@
 import json
 import logging
 import sys
-import os
 from collections import defaultdict
+from itertools import accumulate, zip_longest
 
 import stomp
 from stomp.exception import ConnectFailedException
@@ -17,17 +17,19 @@
 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_ORDER, TRADE_POSITION, QUOTE_TICK
 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_ORDER, SUBSCRIPTION_QUOTE_TICK
 from tigeropen.common.consts.push_types import RequestType, ResponseType
 from tigeropen.common.consts.quote_keys import QuoteChangeKey, QuoteKeyType
 from tigeropen.common.exceptions import ApiException
-from tigeropen.common.util.string_utils import camel_to_underline
 from tigeropen.common.util.common_utils import get_enum_value
 from tigeropen.common.util.order_utils import get_order_status
 from tigeropen.common.util.signature_utils import sign_with_rsa
+from tigeropen.common.util.string_utils import camel_to_underline, camel_to_underline_obj
+from tigeropen.common.util.tick_util import get_part_code, get_part_code_name, get_trade_condition_map, \
+    get_trade_condition
 from tigeropen.push import _patch_ssl
 
 HOUR_TRADING_QUOTE_KEYS_MAPPINGS = {'hourTradingLatestPrice': 'latest_price', 'hourTradingPreClose': 'pre_close',
@@ -89,6 +91,7 @@ def __init__(self, host, port, use_ssl=True, connection_timeout=120, heartbeats=
 
         self.subscribed_symbols = None
         self.quote_changed = None
+        self.tick_changed = None
         self.asset_changed = None
         self.position_changed = None
         self.order_changed = None
@@ -204,6 +207,11 @@ def on_message(self, frame):
                                     items.append((camel_to_underline(key), value))
                         if items:
                             self.quote_changed(symbol, items, hour_trading)
+            elif response_type == str(ResponseType.GET_TRADING_TICK_END.value):
+                if self.tick_changed:
+                    symbol, items = self._convert_tick(body)
+                    self.tick_changed(symbol, items)
+
             elif response_type == str(ResponseType.SUBSCRIBE_ASSET.value):
                 if self.asset_changed:
                     data = json.loads(body)
@@ -342,6 +350,15 @@ def subscribe_quote(self, symbols, quote_key_type=QuoteKeyType.TRADE, focus_keys
         return self._handle_quote_subscribe(destination=QUOTE, subscription=SUBSCRIPTION_QUOTE, symbols=symbols,
                                             extra_headers=extra_headers)
 
+    def subscribe_tick(self, symbols):
+        """
+        subscribe trade tick
+        :param symbols: symbol列表
+        :return:
+        """
+        return self._handle_quote_subscribe(destination=QUOTE_TICK, subscription=SUBSCRIPTION_QUOTE_TICK,
+                                            symbols=symbols)
+
     def subscribe_depth_quote(self, symbols):
         """
         订阅深度行情
@@ -383,6 +400,14 @@ def unsubscribe_quote(self, symbols=None, id=None):
         """
         self._handle_quote_unsubscribe(destination=QUOTE, subscription=SUBSCRIPTION_QUOTE, sub_id=id, symbols=symbols)
 
+    def unsubscribe_tick(self, symbols=None, id=None):
+        """
+        退订行情更新
+        :return:
+        """
+        self._handle_quote_unsubscribe(destination=QUOTE_TICK, subscription=SUBSCRIPTION_QUOTE_TICK, sub_id=id,
+                                       symbols=symbols)
+
     def unsubscribe_depth_quote(self, symbols=None, id=None):
         """
         退订深度行情更新
@@ -440,3 +465,38 @@ def _generate_headers(self, extra_headers=None):
             headers.update(extra_headers)
         return headers
 
+    @staticmethod
+    def _convert_tick(tick):
+        data = json.loads(tick)
+        symbol = data.pop('symbol')
+        data = camel_to_underline_obj(data)
+        price_offset = 10 ** data.pop('price_offset')
+        price_base = data.pop('price_base')
+        # The latter time is equal to the sum of all previous values
+        price_items = [('price', (item + price_base) / price_offset) for item in data.pop('prices')]
+        time_items = [('time', item) for item in accumulate(data.pop('times'))]
+        volumes = [('volume', item) for item in data.pop('volumes')]
+        tick_type_items = [('tick_type', item) for item in data.pop('tick_type')]
+        part_codes = data.pop('part_code')
+        if part_codes:
+            part_code_items = [('part_code', get_part_code(item)) for item in part_codes]
+            part_code_name_items = [('part_code_name', get_part_code_name(item)) for item in part_codes]
+        else:
+            part_code_items = [('part_code', None) for _ in range(len(time_items))]
+            part_code_name_items = [('part_code_name', None) for _ in range(len(time_items))]
+
+        conds = data.pop('cond')
+        cond_map = get_trade_condition_map(data.get('quote_level'))
+        if conds:
+            cond_items = [('cond', get_trade_condition(item, cond_map)) for item in conds]
+        else:
+            cond_items = [('cond', None) for _ in range(len(time_items))]
+        tick_data = zip_longest(tick_type_items, price_items, volumes, part_code_items,
+                                part_code_name_items, cond_items, time_items)
+        items = []
+        for item in tick_data:
+            item_dict = dict(item)
+            item_dict.update(data)
+            items.append(item_dict)
+        return symbol, items
+
