Merge pull request #36 from tigerfintech/feature_grab_quote_permission

feature grab quote permission and depth quote

Author: lijiawen

.gitignore

@@ -0,0 +1,138 @@
+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
+
+# C extensions
+*.so
+
+# Distribution / packaging
+.Python
+build/
+develop-eggs/
+dist/
+downloads/
+eggs/
+.eggs/
+lib/
+lib64/
+parts/
+sdist/
+var/
+wheels/
+share/python-wheels/
+*.egg-info/
+.installed.cfg
+*.egg
+MANIFEST
+
+# PyInstaller
+#  Usually these files are written by a python script from a template
+#  before PyInstaller builds the exe, so as to inject date/other infos into it.
+*.manifest
+*.spec
+
+# Installer logs
+pip-log.txt
+pip-delete-this-directory.txt
+
+# Unit test / coverage reports
+htmlcov/
+.tox/
+.nox/
+.coverage
+.coverage.*
+.cache
+nosetests.xml
+coverage.xml
+*.cover
+*.py,cover
+.hypothesis/
+.pytest_cache/
+cover/
+
+# Translations
+*.mo
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+
+# Django stuff:
+*.log
+local_settings.py
+db.sqlite3
+db.sqlite3-journal
+
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+# Sphinx documentation
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+.pybuilder/
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+# Jupyter Notebook
+.ipynb_checkpoints
+
+# IPython
+profile_default/
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+
+# pyenv
+#   For a library or package, you might want to ignore these files since the code is
+#   intended to run in multiple environments; otherwise, check them in:
+# .python-version
+
+# pipenv
+#   According to pypa/pipenv#598, it is recommended to include Pipfile.lock in version control.
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+#   having no cross-platform support, pipenv may install dependencies that don't work, or not
+#   install all needed dependencies.
+#Pipfile.lock
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+# PEP 582; used by e.g. github.com/David-OConnor/pyflow
+__pypackages__/
+
+# Celery stuff
+celerybeat-schedule
+celerybeat.pid
+
+# SageMath parsed files
+*.sage.py
+
+# Environments
+.env
+.venv
+env/
+venv/
+ENV/
+env.bak/
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+.spyderproject
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+.ropeproject
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+# mkdocs documentation
+/site
+
+# mypy
+.mypy_cache/
+.dmypy.json
+dmypy.json
+
+# Pyre type checker
+.pyre/
+
+# pytype static type analyzer
+.pytype/
+
+# Cython debug symbols
+cython_debug/

MANIFEST.in

@@ -1 +1 @@
-include requirements.txt
+include requirements.txt

README.md

@@ -89,18 +89,52 @@ def get_quote_apis():
     client_config = get_client_config()
     quote_client = QuoteClient(client_config)
     quote_client.get_market_status(Market.US)
-  
+    quote_client.get_briefs(symbols=['AAPL', '00700', '600519'], include_ask_bid=True, right=QuoteRight.BR)
+    quote_client.get_timeline(['AAPL'], period=TimelinePeriod.DAY, include_hour_trading=True)
+    quote_client.get_bars(['AAPL'])
     
+def get_option_quote():
+    client_config = get_client_config()
+    quote_client = QuoteClient(client_config)
+    symbol = 'AAPL'
+    expirations = quote_client.get_option_expirations(symbols=[symbol])
+    if len(expirations) > 1:
+        expiry = int(expirations[expirations['symbol'] == symbol].at[0, 'timestamp'])
+        quote_client.get_option_chain(symbol, expiry)
+
+    quote_client.get_option_briefs(['AAPL  190104C00121000'])
+    quote_client.get_option_bars(['AAPL  190104P00134000'])
+    quote_client.get_option_trade_ticks(['AAPL  190104P00134000'])
+
+
+def get_future_quote():
+    client_config = get_client_config()
+    quote_client = QuoteClient(client_config)
+    exchanges = quote_client.get_future_exchanges()
+    print(exchanges)
+    quote_client.get_future_bars(['CN1901'], begin_time=-1, end_time=1545105097358)
+    quote_client.get_future_trade_ticks(['CN1901'])
+    quote_client.get_future_contracts('CME')
+    quote_client.get_future_trading_times('CN1901', trading_date=1545049282852)
+    quote_client.get_future_brief(['ES1906', 'CN1901'])
+
 ```
 
-- 交易信息推送
+- 行情和交易信息推送
 ```
 from tigeropen.common.consts import Language
 from tigeropen.common.util.signature_utils import read_private_key
 from tigeropen.push.push_client import PushClient
 from tigeropen.tiger_open_config import TigerOpenClientConfig
 
 
+def on_query_subscribed_quote(symbols, focus_keys, limit, used):
+    print(symbols, focus_keys, limit, used)
+
+
+def on_quote_changed(symbol, items, hour_trading):
+    print(symbol, items, hour_trading)
+
 
 is_sandbox = False
 client_config = TigerOpenClientConfig(sandbox_debug=is_sandbox)
@@ -111,7 +145,11 @@ client_config.account = 'your account'
 client_config.language = Language.en_US
 protocol, host, port = client_config.socket_host_port
 push_client = PushClient(host, port, use_ssl=(protocol == 'ssl'))
+push_client.quote_changed = on_quote_changed
+push_client.subscribed_symbols = on_query_subscribed_quote
 push_client.connect(client_config.tiger_id, client_config.private_key)
+push_client.query_subscribed_quote()
+push_client.subscribe_quote(['AAPL', 'GOOG'])
 push_client.subscribe_asset()
 
 time.sleep(600)
@@ -140,4 +178,4 @@ push_client.disconnect()
 * 使用新版本时请先仔细阅读接口文档，大部分问题都可以在接口文档中找到你想要的答案。
 * 欢迎大家提出建议、也可以提出各种需求，我们一定会尽量满足大家的需求。
 
----
+---

requirements.txt

@@ -1,10 +1,11 @@
 six==1.13.0
 simplejson==3.17.0
 delorean==1.0.0
-pandas==0.24.2
+pandas==0.25.3
 python-dateutil==2.8.1
 pytz==2019.3
 pyasn1==0.4.2
 rsa==4.0
 stomp.py==4.1.22
-enum34==1.1.6
+enum34==1.1.6
+getmac==0.8.2

setup.py

@@ -12,7 +12,7 @@
 
 setup(
     name='tigeropen',
-    version='1.2.0',
+    version='1.4.0',
     description='TigerBrokers Open API',
     packages=find_packages(exclude=[]),
     author='TigerBrokers',

tigeropen/common/consts/__init__.py

@@ -31,6 +31,7 @@ class Market(Enum):
     US = 'US'  # 美股
     HK = 'HK'  # 港股
     CN = 'CN'  # A股
+    SG = 'SG'  # 新加坡
 
 
 @unique
@@ -62,6 +63,7 @@ class Currency(Enum):
     USD = 'USD'  # 美元
     HKD = 'HKD'  # 港币
     CNH = 'CNH'  # 离岸人民币
+    SGD = 'SGD'  # 新加坡币
 
 
 @unique

tigeropen/common/consts/fundamental_fields.py

@@ -590,3 +590,4 @@ class Profitability(Enum):
     levered_free_cash_flow_margin = "levered_free_cash_flow_margin"
     unlevered_free_cash_flow_margin = "unlevered_free_cash_flow_margin"
     normalized_net_income_margin = "normalized_net_income_margin"
+

tigeropen/common/consts/params.py

@@ -13,6 +13,8 @@
 P_TIMESTAMP = "timestamp"
 P_VERSION = "version"
 P_NOTIFY_URL = "notify_url"
+P_DEVICE_ID = "device_id"
 
-COMMON_PARAM_KEYS = set([P_TIGER_ID, P_METHOD, P_CHARSET, P_SIGN_TYPE, P_SIGN, P_TIMESTAMP, P_VERSION, P_NOTIFY_URL])
+COMMON_PARAM_KEYS = {P_TIGER_ID, P_METHOD, P_CHARSET, P_SIGN_TYPE, P_SIGN, P_TIMESTAMP, P_VERSION, P_NOTIFY_URL,
+                     P_DEVICE_ID}
 P_BIZ_CONTENT = "biz_content"

tigeropen/common/consts/push_destinations.py

@@ -0,0 +1,10 @@
+# -*- coding: utf-8 -*-
+
+QUOTE = 'quote'
+QUOTE_DEPTH = 'quotedepth'
+QUOTE_FUTURE = 'future'
+QUOTE_OPTION = 'option'
+
+TRADE_ASSET = 'trade/asset'
+TRADE_POSITION = 'trade/position'
+TRADE_ORDER = 'trade/order'

tigeropen/common/consts/quote_keys.py

@@ -17,6 +17,8 @@ class QuoteChangeKey(Enum):
     bid_price = 'bidPrice'
     bid_size = 'bidSize'
     minute = 'mi'
+    bid_depth = 'bidDepth'
+    ask_depth = 'askDepth'
 
 
 @unique