Merge branch 'dev' into 'master'

Dev

See merge request server/openapi/openapi-python-sdk!178

Author: tigersk

CHANGELOG.md

@@ -1,3 +1,15 @@
+## 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
+### Modify
+- 修改订单状态推送proto定义，增加 userMark
+
 ## 2.3.8 (2023-05-09)
 ### New
 - 合约接口新增字段保证金优惠信息

tigeropen/__init__.py

@@ -4,4 +4,4 @@
 
 @author: gaoan
 """
-__VERSION__ = '2.3.8'
+__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/push_client_demo.py

@@ -16,6 +16,7 @@
 from tigeropen.push.pb.QuoteBasicData_pb2 import QuoteBasicData
 from tigeropen.push.pb.QuoteDepthData_pb2 import QuoteDepthData
 from tigeropen.push.pb.TradeTickData_pb2 import TradeTickData
+from tigeropen.push.pb.trade_tick import TradeTick
 from tigeropen.push.push_client import PushClient
 from tigeropen.examples.client_config import get_client_config
 
@@ -152,24 +153,11 @@ def on_quote_depth_changed(frame: QuoteDepthData):
     print(f'quote depth changed: {frame}')
 
 
-def on_tick_changed(frame: TradeTickData):
+def on_tick_changed(frame: TradeTick):
     """逐笔成交回调
     example:
-    symbol: "00700"
-    type: "-+"
-    sn: 37998
-    priceBase: 3636
-    priceOffset: 1
-    time: 1677742815311
-    time: 69
-    price: 0
-    price: 2
-    volume: 500
-    volume: 100
-    quoteLevel: "hkStockQuoteLv2"
-    timestamp: 1677742815776
-    secType: "STK"
-
+    TradeTick<{'symbol': '00700', 'sec_type': 'STK', 'quote_level': 'hkStockQuoteLv2', 'timestamp': 1685602618145, 'ticks': [TradeTickItem<{'tick_type': '+', 'price': 316.6, 'volume': 100, 'part_code': None, 'part_code_name': None, 'cond': None, 'time': 1685602617046, 'sn': 42055}>, TradeTickItem<{'tick_type': '-', 'price': 316.4, 'volume': 600, 'part_code': None, 'part_code_name': None, 'cond': None, 'time': 1685602617639, 'sn': 42056}>, TradeTickItem<{'tick_type': '-', 'price': 316.4, 'volume': 200, 'part_code': None, 'part_code_name': None, 'cond': None, 'time': 1685602617639, 'sn': 42057}>]}>
+    TradeTick<{'symbol': 'CLmain', 'sec_type': 'FUT', 'quote_level': '', 'timestamp': 1685602618153, 'ticks': [TradeTickItem<{'tick_type': None, 'price': 68.7, 'volume': 1, 'part_code': None, 'part_code_name': None, 'cond': None, 'time': 1685602616000, 'sn': 109150}>, TradeTickItem<{'tick_type': None, 'price': 68.7, 'volume': 1, 'part_code': None, 'part_code_name': None, 'cond': None, 'time': 1685602616000, 'sn': 109151}>]}>
     """
     print(frame)
 

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/network/listener.py

@@ -222,8 +222,6 @@ def __heartbeat_loop(self):
                     self.transport.set_connected(False)
                     self.transport.disconnect_socket()
                     self.transport.stop()
-                    for listener in self.transport.listeners.values():
-                        listener.on_heartbeat_timeout()
         self.heartbeat_thread = None
         self.heartbeat_terminate_event.clear()
         if self.heartbeats != (0, 0):

tigeropen/push/pb/OrderStatusData.proto

@@ -2,37 +2,45 @@ syntax = "proto3";
 
 package tigeropen.push.pb;
 
-
 message OrderStatusData {
   sint64 id = 1; // unique order id
   string account = 2; // user account
   string symbol = 3;
-  string identifier = 4;
-  uint32 multiplier = 5; // multiplier for futures, options, warrants and CBBC
-  string action = 6; // BUY or SELL
-  string market = 7; // market. US, HK, etc.
-  string currency = 8; // currency. USD, HKD, etc.
-  string segType = 9; // Securities Category C: (Commodities Futures), S: (Securities Stocks)
-  string secType = 10; // STK Stocks, OPT Options, WAR Warrants, IOPT CBBC, CASH FOREX, FUT Futures, FOP Future Options
+  string expiry = 4; // for options, formate:yyyyMMdd
+  string strike = 5; // for options
+  string right = 6; // for options
+  string identifier = 7;
+  uint32 multiplier = 8; // multiplier for futures, options, warrants and CBBC
+  string action = 9; // BUY or SELL
+  string market = 10; // market. US, HK, etc.
+  string currency = 11; // currency. USD, HKD, etc.
+  string segType = 12; // Securities Category C: (Commodities Futures), S: (Securities Stocks)
+  string secType = 13; // STK Stocks, OPT Options, WAR Warrants, IOPT CBBC, CASH FOREX, FUT Futures, FOP Future Options
 
-  string orderType = 11; // order type
-  bool isLong = 12;
-  sint64 totalQuantity = 13; // total quantity
-  sint32 totalQuantityScale = 14; // total quantity scale
-  sint64 filledQuantity = 15; // filled quantity
-  sint32 filledQuantityScale = 16; // filled quantity scale
-  double avgFillPrice = 17; // average price at which the orders got filled
-  double limitPrice = 18; // limit price（required when orderType is 'LMT'）
-  double realizedPnl = 19; // realized profit and loss
-  string status = 20; // order status
+  string orderType = 14; // order type
+  bool isLong = 15;
+  sint64 totalQuantity = 16; // total quantity
+  sint32 totalQuantityScale = 17; // total quantity scale
+  sint64 filledQuantity = 18; // filled quantity
+  sint32 filledQuantityScale = 19; // filled quantity scale
+  double avgFillPrice = 20; // average price at which the orders got filled
+  double limitPrice = 21; // limit price（required when orderType is 'LMT'）
+  double stopPrice = 22; // stop price（required when orderType is 'STP'）
+  double realizedPnl = 23; // realized profit and loss
+  string status = 24; // order status
+  string replaceStatus = 25; // order replace status
+  string cancelStatus = 26; // order cancel status
 
-  bool outsideRth = 21; // if trade outside regular trading hours (only applicable to U.S. market)
-  bool canModify = 22;
-  bool canCancel = 23;
-  string name = 24; // symbol name
-  string source = 25; // order source(from 'OpenApi', or not)
-  string errorMsg = 26; // error message
-  float commissionAndFee = 27; // commission and fee
-  uint64 openTime = 28; // timestamp when the order is placed
-  uint64 timestamp = 29;
+  bool outsideRth = 27; // if trade outside regular trading hours (only applicable to U.S. market)
+  bool canModify = 28;
+  bool canCancel = 29;
+  bool liquidation = 30;
+  string name = 31; // symbol name
+  string source = 32; // order source(from 'OpenApi', or not)
+  string errorMsg = 33; // error message
+  string attrDesc = 34; // order description
+  float commissionAndFee = 35; // commission and fee
+  uint64 openTime = 36; // timestamp when the order is placed
+  uint64 timestamp = 37;
+  string userMark = 38;
 }