quote_client_demo.py

# -*- coding: utf-8 -*-
"""
Created on 2018/10/31

@author: gaoan
"""
import logging
import time
import unittest

import pandas as pd
from tigeropen.common.consts import Market, QuoteRight, FinancialReportPeriodType, Valuation, \
    Income, Balance, CashFlow, BalanceSheetRatio, Growth, Leverage, Profitability, IndustryLevel, BarPeriod, \
    SortDirection, CapitalPeriod
from tigeropen.common.consts.filter_fields import AccumulateField, StockField, FinancialField, MultiTagField, \
    AccumulatePeriod, FinancialPeriod
from tigeropen.quote.domain.filter import OptionFilter, StockFilter, SortFilterData

from tigeropen.quote.quote_client import QuoteClient

from tigeropen.examples.client_config import get_client_config

logging.basicConfig(level=logging.INFO,
                    format='%(asctime)s %(levelname)s %(message)s',
                    filemode='a', )
logger = logging.getLogger('TigerOpenApi')

_demo_config = get_client_config()
openapi_client = QuoteClient(_demo_config, logger=logger)


def get_quote():
    # 抢占行情权限
    quote_permissions = openapi_client.grab_quote_permission()
    print(quote_permissions)
    # 查询行情权限
    perms = openapi_client.get_quote_permission()
    print(perms)

    market_status_list = openapi_client.get_market_status(Market.US)
    print(market_status_list)
    briefs = openapi_client.get_briefs(symbols=['AAPL', '00700', '600519'], include_ask_bid=True, right=QuoteRight.BR)
    print(briefs)
    briefs = openapi_client.get_stock_briefs(symbols=['AAPL', '00700', '600519'])
    print(briefs)
    metas = openapi_client.get_trade_metas(symbols=['00700'])
    print(metas)
    timelines = openapi_client.get_timeline(['AAPL'], include_hour_trading=True)
    print(timelines)
    history_timelines = openapi_client.get_timeline_history(['AAPL'], date='2022-04-11')
    print(history_timelines)
    bars = openapi_client.get_bars(['AAPL'])
    print(bars)
    ticks = openapi_client.get_trade_ticks(['00700'])
    print(ticks)
    short_interest = openapi_client.get_short_interest(['GOOG', 'AAPL', '00700'])
    print(short_interest)
    # 获取深度行情
    order_book = openapi_client.get_depth_quote(['02828'], Market.HK)
    print(order_book)
    # 股票详情
    stock_details = openapi_client.get_stock_details(['AAPL', '03690'])
    print(stock_details)

    # 获取延迟行情
    delay_brief = openapi_client.get_stock_delay_briefs(['AAPL', 'GOOG'])
    print(delay_brief)

    # 获取市场交易日历
    calendar = openapi_client.get_trading_calendar(Market.US, begin_date='2022-07-01', end_date='2022-09-02')
    print(calendar)

    fundamental = openapi_client.get_stock_fundamental(['AAPL', 'GOOG'], market=Market.US)
    print(fundamental)

def test_gat_bars_by_page():
    bars = openapi_client.get_bars_by_page(['AAPL'], period=BarPeriod.DAY,
                                           end_time='2022-05-01',
                                           total=10,
                                           page_size=4,
                                           )
    bars['cn_date'] = pd.to_datetime(bars['time'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('Asia/Shanghai')
    bars['us_date'] = pd.to_datetime(bars['time'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('US/Eastern')
    print(bars)


def get_option_quote():
    symbol = 'AAPL'
    expirations = openapi_client.get_option_expirations(symbols=[symbol])
    if len(expirations) > 1:
        expiry = int(expirations[expirations['symbol'] == symbol].at[0, 'timestamp'])
        chains = openapi_client.get_option_chain(symbol, expiry)
        print(chains)

    briefs = openapi_client.get_option_briefs(['AAPL  190104C00121000'])
    print(briefs)
    bars = openapi_client.get_option_bars(['AAPL  190104P00134000'])
    print(bars)
    ticks = openapi_client.get_option_trade_ticks(['AAPL  190104P00134000'])
    print(ticks)

    # option chain filter
    option_filter = OptionFilter(implied_volatility_min=0.5, implied_volatility_max=0.9, delta_min=0, delta_max=1,
                                 open_interest_min=100, gamma_min=0.005, theta_max=-0.05, in_the_money=True)
    chains = openapi_client.get_option_chain('AAPL', '2023-01-20', option_filter=option_filter)
    print(chains)
    # or
    chains = openapi_client.get_option_chain('AAPL', '2023-01-20', implied_volatility_min=0.5, open_interest_min=200,
                                             vega_min=0.1, rho_max=0.9)
    # convert expiry date to US/Eastern
    chains['expiry_date'] = pd.to_datetime(chains['expiry'], unit='ms').dt.tz_localize('UTC').dt.tz_convert(
        'US/Eastern')
    print(chains)


def get_future_quote():
    exchanges = openapi_client.get_future_exchanges()
    print(exchanges)
    bars = openapi_client.get_future_bars(['CN1901'], begin_time=-1, end_time=1545105097358)
    print(bars)
    ticks = openapi_client.get_future_trade_ticks('CN2209')
    print(ticks)
    contracts = openapi_client.get_future_contracts('CME')
    print(contracts)
    contracts = openapi_client.get_all_future_contracts('CL')
    print(contracts)
    contract = openapi_client.get_future_contract('VIX2206')
    print(contract)
    trading_times = openapi_client.get_future_trading_times('CN1901', trading_date=1545049282852)
    print(trading_times)
    briefs = openapi_client.get_future_brief(['ES1906', 'CN1901'])
    print(briefs)


def test_get_future_bars_by_page():
    bars = openapi_client.get_future_bars_by_page('CLmain',
                                                  end_time=1648526400000,
                                                  total=10,
                                                  page_size=4)
    bars['cn_date'] = pd.to_datetime(bars['time'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('Asia/Shanghai')
    bars['us_date'] = pd.to_datetime(bars['time'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('US/Eastern')
    print(bars)


def get_fundamental():
    """获取基础数据"""

    # 日级财务数据
    financial_daily = openapi_client.get_financial_daily(symbols=['AAPL', 'MSFT'],
                                                         market=Market.US,
                                                         fields=[Valuation.shares_outstanding],
                                                         begin_date='2019-01-01',
                                                         end_date='2019-01-10')
    print(financial_daily)

    # 财报数据(季报或年报)
    financial_report = openapi_client.get_financial_report(symbols=['AAPL', 'GOOG'],
                                                           market=Market.US,
                                                           fields=[Income.revenues, CashFlow.cash_from_investing],
                                                           period_type=FinancialReportPeriodType.ANNUAL)
    print(financial_report)

    # 拆合股数据
    corporate_split = openapi_client.get_corporate_split(symbols=['UVXY', 'TQQQ'],
                                                         market=Market.US,
                                                         begin_date='2017-01-01',
                                                         end_date='2019-01-01')
    print(corporate_split)

    # 派息数据
    corporate_dividend = openapi_client.get_corporate_dividend(symbols=['MSFT', 'AAPL'],
                                                               market=Market.US,
                                                               begin_date='2018-01-01',
                                                               end_date='2019-01-01')
    print(corporate_dividend)

    # 财报日历
    earnings_calendar = openapi_client.get_corporate_earnings_calendar(Market.US, '2020-01-01', '2020-02-01')
    print(earnings_calendar)

    # 行业数据
    # 获取行业列表
    industries = openapi_client.get_industry_list(IndustryLevel.GGROUP)
    print(industries)
    # 获取某行业下公司列表
    industry_stocks = openapi_client.get_industry_stocks(50101020)
    print(industry_stocks)
    # 获取某股票的行业
    stock_industry = openapi_client.get_stock_industry('AAPL', Market.US)
    print(stock_industry)


def test_market_scanner():
    # 股票基本数据过滤(is_no_filter为True时表示不启用该过滤器)
    base_filter1 = StockFilter(StockField.FloatShare, filter_min=1e7, filter_max=1e13, is_no_filter=True)
    base_filter2 = StockFilter(StockField.MarketValue, filter_min=1e8, filter_max=1e14, is_no_filter=False)
    # 周期累计数据过滤
    accumulate_filter = StockFilter(AccumulateField.ChangeRate, filter_min=0.01, filter_max=1, is_no_filter=False,
                                    accumulate_period=AccumulatePeriod.Last_Year)
    # 财务数据过滤
    financial_filter = StockFilter(FinancialField.LYR_PE, filter_min=1, filter_max=100, is_no_filter=False,
                                   financial_period=FinancialPeriod.LTM)
    # 多标签数据过滤
    multi_tag_filter = StockFilter(MultiTagField.isOTC, tag_list=[0])

    # 排序字段
    sort_field_data = SortFilterData(StockField.FloatShare, sort_dir=SortDirection.ASC)

    # 请求的开始页码
    begin_page = 0
    page_size = 50
    # 是否为最后一页数据
    is_last_page = False
    # 筛选后的symbol列表
    scanner_result_symbols = set()

    while not is_last_page:
        # filters参数里填需要使用的过滤器
        result = openapi_client.market_scanner(market=Market.US,
                                               filters=[base_filter1, base_filter2, accumulate_filter, financial_filter,
                                                        multi_tag_filter],
                                               sort_field_data=sort_field_data,
                                               page=begin_page,
                                               page_size=page_size)
        if result.total_page:
            for item in result.items:
                symbol = item.symbol
                market = item.market
                # 可以字典的形式获取某个filter的字段对应的值
                base_filter1_value = item[base_filter1]
                accumulate_filter_value = item[accumulate_filter]
                print(
                    f'page:{result.page}, symbol:{symbol}, base_filter1 value:{base_filter1_value}, accumulate_filter value:{accumulate_filter_value}')
            print(f'current page symbols:{result.symbols}')
            scanner_result_symbols.update(result.symbols)
        time.sleep(1)
        # 处理分页
        if result.page >= result.total_page - 1:
            is_last_page = True
        else:
            begin_page = result.page + 1

    print(f'scanned symbols:{scanner_result_symbols}')


def test_stock_broker():
    """

    :return:
    StockBroker({'symbol': '01810',
        'bid_broker': [
            LevelBroker({'level': 1, 'price': 11.46, 'broker_count': 5,
                'broker': [Broker({'id': '5999', 'name': '中国创盈'}), Broker({'id': '4374', 'name': '巴克莱亚洲'}),
                        Broker({'id': '1438', 'name': 'Susquehanna'}), Broker({'id': '4821', 'name': '华盛'}),
                         Broker({'id': '6998', 'name': '中国投资'})]})],
        'ask_broker': [
            LevelBroker({'level': 1, 'price': 11.48, 'broker_count': 5,
                'broker': [Broker({'id': '4374', 'name': '巴克莱亚洲'}), Broker({'id': '9056', 'name': '瑞银'}),
                        Broker({'id': '2027', 'name': '东亚'}), Broker({'id': '4821', 'name': '华盛'}),
                        Broker({'id': '4374', 'name': '巴克莱亚洲'})]})]})
    """
    result = openapi_client.get_stock_broker('01810', limit=5)
    print(result)


def test_capital_flow():
    """
               time      timestamp    net_inflow symbol period
    0    2022-02-24  1645678800000 -5.889058e+08   AAPL    day
    1    2022-02-25  1645765200000 -1.229127e+08   AAPL    day
    2    2022-02-28  1646024400000  1.763644e+08   AAPL    day
    """
    result = openapi_client.get_capital_flow('AAPL', market=Market.US, period=CapitalPeriod.INTRADAY)
    print(result)


def test_capital_distribution():
    """

    :return:
    CapitalDistribution({'symbol': 'JD', 'net_inflow': -14178801.76, 'in_all': 157357147.5,
    'in_big': 25577130.842900004, 'in_mid': 13664116.789999994, 'in_small': 118115899.86410056,
    'out_all': 171535949.25, 'out_big': 22642951.677099995, 'out_mid': 12733553.691200001,
    'out_small': 136159443.88620025})
    """
    result = openapi_client.get_capital_distribution('JD', market=Market.US)
    print(result)


class TestQuoteClient(unittest.TestCase):
    """测试QuoteClient"""

    def test_get_fund_symbols(self):
        result = openapi_client.get_fund_symbols()
        print(result)

    def test_get_fund_contracts(self):
        result = openapi_client.get_fund_contracts(['IE00B11XZ988.USD', 'LU0476943708.HKD', 'SG9999017602.SGD'])
        print(result)
        print(result.iloc[0]['name'])

    def test_get_fund_quote(self):
        result = openapi_client.get_fund_quote(['IE00B11XZ988.USD', 'LU0476943708.HKD'])
        print(result)
        print(result.iloc[0]['close'])
        # to python type
        close = float(result.iloc[0]['close'])

    def test_get_fund_history_quote(self):
        result = openapi_client.get_fund_history_quote(['LU0476943708.HKD'], begin_time=1691337600000, end_time=1691596800000)
        print(result)
        print(result.loc[result['symbol']=='LU0476943708.HKD'].iloc[0]['nav'])

    def test_get_hk_option_symbols(self):
        symbols = openapi_client.get_option_symbols()
        print(symbols)

if __name__ == '__main__':
    with pd.option_context('display.max_rows', None, 'display.max_columns', None):
        get_quote()
        get_option_quote()
        get_future_quote()
        get_fundamental()