Merge branch 'feat_option_strategy_order' into 'dev'

option combo order

See merge request server/openapi/openapi-python-sdk!177

Author: tigersk

CHANGELOG.md

@@ -1,3 +1,9 @@
+## 2.4.0 (2023-06-07)
+### New
+- 支持期权组合订单
+### Fix
+- 修复分页获取k线数据为空时pandas字段索引错误
+
 ## 2.3.9 (2023-06-01)
 ### Fix
 - 修复protobuf推送tick数据未解压的问题

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.3.9'
+__VERSION__ = '2.4.0'

tigeropen/common/consts/__init__.py

@@ -48,7 +48,7 @@ class SecurityType(Enum):
     FUT = 'FUT'  # 期货
     FOP = 'FOP'  # 期货期权
     CASH = 'CASH'  # 外汇
-
+    MLEG = 'MLEG'
 
 @unique
 class SegmentType(Enum):
@@ -189,7 +189,8 @@ class OrderType(Enum):
     TRAIL = 'TRAIL'  # 跟踪止损单
     AM = 'AM'  # Auction Market ，竞价市价单
     AL = 'AL'  # Auction Limit ，竞价限价单
-
+    TWAP = 'TWAP'  # 'Time Weighted Average Price' 时间加权平均价格算法
+    VWAP = 'VWAP'  # 'Volume Weighted Average Price'  成交量加权平均价格算法
 
 @unique
 class License(Enum):
@@ -203,3 +204,14 @@ class ServiceType(Enum):
     TRADE = 'TRADE'
     QUOTE = 'QUOTE'
 
+@unique
+class ComboType(Enum):
+    COVERED = 'COVERED'
+    PROTECTIVE = 'PROTECTIVE'
+    VERTICAL = 'VERTICAL'
+    STRADDLE = 'STRADDLE'
+    STRANGLE = 'STRANGLE'
+    CALENDAR = 'CALENDAR'
+    DIAGONAL = 'DIAGONAL'
+    SYNTHETIC = 'SYNTHETIC'
+    CUSTOM = 'CUSTOM'

tigeropen/common/response.py

@@ -4,6 +4,7 @@
 
 @author: gaoan
 """
+import json
 
 
 class TigerResponse:
@@ -22,4 +23,6 @@ def parse_response_content(self, response):
             self.message = response['message']
         if 'data' in response:
             self.data = response['data']
+            if isinstance(self.data, str):
+                self.data = json.loads(self.data)
         return response

tigeropen/common/util/order_utils.py

@@ -4,8 +4,9 @@
 
 @author: gaoan
 """
+from tigeropen.trade.domain.contract import ContractLeg
 from tigeropen.trade.domain.order import Order, OrderLeg, AlgoParams
-from tigeropen.common.consts import OrderStatus
+from tigeropen.common.consts import OrderStatus, OrderType
 
 
 def market_order(account, contract, action, quantity):
@@ -164,6 +165,17 @@ def algo_order(account, contract, action, quantity, strategy, algo_params=None,
                  limit_price=limit_price, outside_rth=False)
 
 
+def contract_leg(symbol=None, sec_type=None, expiry=None, strike=None, put_call=None, action=None,
+                 ratio=1):
+    return ContractLeg(symbol=symbol, sec_type=sec_type, expiry=expiry, strike=strike, put_call=put_call,
+                        action=action, ratio=ratio)
+
+
+def combo_order(account, contract_legs, combo_type, action, quantity, order_type=OrderType.LMT.value, limit_price=None,
+                aux_price=None, trailing_percent=None):
+    return Order(account, None, action=action, order_type=order_type, quantity=quantity, limit_price=limit_price,
+                 aux_price=aux_price, trailing_percent=trailing_percent, combo_type=combo_type,
+                 contract_legs=contract_legs)
 def get_order_status(value):
     """
     Invalid(-2), Initial(-1), PendingCancel(3), Cancelled(4), Submitted(5), Filled(6), Inactive(7), PendingSubmit(8)

tigeropen/examples/trade_client_demo.py

@@ -138,7 +138,7 @@ def algo_order_demo():
     account = client_config.account
     openapi_client = TradeClient(client_config, logger=logger)
     contract = stock_contract(symbol='AAPL', currency='USD')
-    params = algo_order_params(start_time='2020-11-19 23:00:00', end_time='2020-11-19 23:50:00', no_take_liq=True,
+    params = algo_order_params(start_time=1686147201000, end_time=1686150801000, no_take_liq=True,
                                allow_past_end_time=True, participation_rate=0.1)
     order = algo_order(account, contract, 'BUY', 1000, 'VWAP', algo_params=params, limit_price=100.0)
     openapi_client.place_order(order)

tigeropen/push/pb/QuoteData.proto

@@ -48,8 +48,8 @@ message QuoteData {
     double a = 2; // average price of the minute bar
     uint64 t = 3; // timestamp of the minute bar
     sint64 v = 4; // trading volume of the minute bar
-    double o = 5; // open price of the minute bar (only futures support)
-    double h = 6; // highest price of the minute bar (only futures support)
-    double l = 7; // lowest price of the minute bar (only futures support)
+    double o = 5; // open price of the minute bar
+    double h = 6; // highest price of the minute bar
+    double l = 7; // lowest price of the minute bar
   }
 }

tigeropen/quote/quote_client.py

@@ -480,18 +480,22 @@ def get_bars_by_page(self, symbol, period=BarPeriod.DAY, begin_time=-1, end_time
         current = 0
         next_page_token = None
         result = list()
+        result_df = None
         while current < total:
             if current + page_size >= total:
                 page_size = total - current
             current += page_size
             bars = self.get_bars(symbols=symbol, period=period, begin_time=begin_time, end_time=end_time, right=right,
                                  limit=page_size, lang=lang, page_token=next_page_token)
+            if bars.empty:
+                result_df = bars
+                break
             next_page_token = bars['next_page_token'].iloc[0]
             result.append(bars)
             if not next_page_token:
                 break
             time.sleep(time_interval)
-        return pd.concat(result).sort_values('time').reset_index(drop=True)
+        return pd.concat(result).sort_values('time').reset_index(drop=True) if result else result_df
 
     def get_trade_ticks(self, symbols, trade_session=None, begin_index=None, end_index=None, limit=None, lang=None,
                         **kwargs):
@@ -1045,18 +1049,22 @@ def get_future_bars_by_page(self, identifier, period=BarPeriod.DAY, begin_time=-
         current = 0
         next_page_token = None
         result = list()
+        result_df = None
         while current < total:
             if current + page_size >= total:
                 page_size = total - current
             current += page_size
             bars = self.get_future_bars(identifiers=identifier, period=period, begin_time=begin_time, end_time=end_time,
                                         limit=page_size, page_token=next_page_token)
+            if bars.empty:
+                result_df = bars
+                break
             next_page_token = bars['next_page_token'].iloc[0]
             result.append(bars)
             if not next_page_token:
                 break
             time.sleep(time_interval)
-        return pd.concat(result).sort_values('time').reset_index(drop=True)
+        return pd.concat(result).sort_values('time').reset_index(drop=True) if result else result_df
 
     def get_future_trade_ticks(self, identifier, begin_index=0, end_index=30, limit=1000):
         """

tigeropen/quote/response/future_quote_bar_response.py

@@ -16,7 +16,7 @@
 class FutureQuoteBarResponse(TigerResponse):
     def __init__(self):
         super(FutureQuoteBarResponse, self).__init__()
-        self.bars = []
+        self.bars = pd.DataFrame(columns=COLUMNS)
         self._is_success = None
 
     def parse_response_content(self, response_content):

tigeropen/quote/response/quote_bar_response.py

@@ -15,7 +15,7 @@
 class QuoteBarResponse(TigerResponse):
     def __init__(self):
         super(QuoteBarResponse, self).__init__()
-        self.bars = None
+        self.bars = pd.DataFrame(columns=COLUMNS)
         self._is_success = None
 
     def parse_response_content(self, response_content):