Update Version 2.8.2

shinny-pack · shinny-mayanqiong · commit 41d8f69515af · 2021-08-17T18:43:51.000+08:00
diff --git a/PKG-INFO b/PKG-INFO
@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: tqsdk
-Version: 2.8.1
+Version: 2.8.2
 Summary: TianQin SDK
 Home-page: https://www.shinnytech.com/tqsdk
 Author: TianQin
diff --git a/doc/conf.py b/doc/conf.py
@@ -48,9 +48,9 @@
 # built documents.
 #
 # The short X.Y version.
-version = u'2.8.1'
+version = u'2.8.2'
 # The full version, including alpha/beta/rc tags.
-release = u'2.8.1'
+release = u'2.8.2'
 
 # The language for content autogenerated by Sphinx. Refer to documentation
 # for a list of supported languages.
diff --git a/doc/usage/mddatas.rst b/doc/usage/mddatas.rst
@@ -79,59 +79,78 @@ SZSE               深圳证券交易所
 ----------------------------------------------------
 :py:meth:`~tqsdk.api.TqApi.get_quote` 函数提供实时行情和合约信息::
 
-    q = api.get_quote("SHFE.cu1901")
+    q = api.get_quote("SHFE.cu2201")
 
 返回值为一个dict, 结构如下::
 
     {
-        "datetime": "",  # "2017-07-26 23:04:21.000001" (行情从交易所发出的时间(北京时间))
-        "ask_price5": float("nan"),  # 6122.0 (卖五价)
-        "ask_volume5": 0,  # 3 (卖五量)
-        "ask_price4": float("nan"),  # 6122.0 (卖四价)
-        "ask_volume4": 0,  # 3 (卖四量)
-        "ask_price3": float("nan"),  # 6122.0 (卖三价)
-        "ask_volume3": 0,  # 3 (卖三量)
-        "ask_price2": float("nan"),  # 6122.0 (卖二价)
-        "ask_volume2": 0,  # 3 (卖二量)
-        "ask_price1": float("nan"),  # 6122.0 (卖一价)
-        "ask_volume1": 0,  # 3 (卖一量)
-        "bid_price1": float("nan"),  # 6121.0 (买一价)
-        "bid_volume1": 0,  # 7 (买一量)
-        "bid_price2": float("nan"),  # 6121.0 (买二价)
-        "bid_volume2": 0,  # 7 (买二量)
-        "bid_price3": float("nan"),  # 6121.0 (买三价)
-        "bid_volume3": 0,  # 7 (买三量)
-        "bid_price4": float("nan"),  # 6121.0 (买四价)
-        "bid_volume4": 0,  # 7 (买四量)
-        "bid_price5": float("nan"),  # 6121.0 (买五价)
-        "bid_volume5": 0,  # 7 (买五量)
-        "last_price": float("nan"),  # 6122.0 (最新价)
-        "highest": float("nan"),  # 6129.0 (当日最高价)
-        "lowest": float("nan"),  # 6101.0 (当日最低价)
-        "open": float("nan"),  # 6102.0 (开盘价)
-        "close": float("nan"),  # nan (收盘价)
-        "average": float("nan"),  # 6119.0 (当日均价)
-        "volume": 0,  # 89252 (成交量)
-        "amount": float("nan"),  # 5461329880.0 (成交额)
-        "open_interest": 0,  # 616424 (持仓量)
-        "settlement": float("nan"),  # nan (结算价)
-        "upper_limit": float("nan"),  # 6388.0 (涨停价)
-        "lower_limit": float("nan"),  # 5896.0 (跌停价)
-        "pre_open_interest": 0,  # 616620 (昨持仓量)
-        "pre_settlement": float("nan"),  # 6142.0 (昨结算价)
-        "pre_close": float("nan"),  # 6106.0 (昨收盘价)
-        "price_tick": float("nan"),  # 10.0 (合约价格单位)
-        "price_decs": 0,  # 0 (合约价格小数位数)
-        "volume_multiple": 0,  # 10 (合约乘数)
-        "max_limit_order_volume": 0,  # 500 (最大限价单手数)
-        "max_market_order_volume": 0,  # 0 (最大市价单手数)
-        "min_limit_order_volume": 0,  # 1 (最小限价单手数)
-        "min_market_order_volume": 0,  # 0 (最小市价单手数)
-        "underlying_symbol": "",  # SHFE.rb1901 (标的合约)
-        "strike_price": float("nan"),  # nan (行权价)
-        "change": float("nan"),  # −20.0 (涨跌)
-        "change_percent": float("nan"),  # −0.00325 (涨跌幅)
-        "expired": False,  # False (合约是否已下市)
+        "datetime": "2021-08-17 14:59:59.000001",  # 行情从交易所发出的时间(北京时间)
+        "ask_price1": 69750.0,  # 卖一价
+        "ask_volume1": 1,  # 卖一量
+        "bid_price1": 69600.0,  # 买一价
+        "bid_volume1": 2,  # 买一量
+        "ask_price2": 69920.0,  # 卖二价
+        "ask_volume2": 3,  # 卖二量
+        "bid_price2": 69500.0,  # 买二价
+        "bid_volume2": 3,  # 买二量
+        "ask_price3": 69940.0,  # 卖三价
+        "ask_volume3": 1,  # 卖三量
+        "bid_price3": 69450.0,  # 买三价
+        "bid_volume3": 1,  # 买三量
+        "ask_price4": 70010.0,  # 卖四价
+        "ask_volume4": 1,  # 卖四量
+        "bid_price4": 69400.0,  # 买四价
+        "bid_volume4": 1,  # 买四量
+        "ask_price5": 70050.0,  # 卖五价
+        "ask_volume5": 1,  # 卖五量
+        "bid_price5": 69380.0,  # 买五价
+        "bid_volume5": 1,  # 买五量
+        "last_price": 69710.0,  # 最新价
+        "highest": 70050.0,  # 当日最高价
+        "lowest": 69520.0,  # 当日最低价
+        "open": 69770.0,  # 开盘价
+        "close": 69710.0,  # 收盘价
+        "average": 69785.019711,  # 当日均价
+        "volume": 761,  # 成交量
+        "amount": 265532000.0,  # 成交额
+        "open_interest": 8850,  # 持仓量
+        "settlement": 69780.0,  # 结算价
+        "upper_limit": 75880.0,  # 涨停价
+        "lower_limit": 64630.0,  # 跌停价
+        "pre_open_interest": 8791,  # 昨持仓量
+        "pre_settlement": 70260.0,  # 昨结算价
+        "pre_close": 69680.0,  # 昨收盘价
+        "price_tick": 10.0,  # 合约价格变动单位
+        "price_decs": 0,  # 合约价格小数位数
+        "volume_multiple": 5.0,  # 合约乘数
+        "max_limit_order_volume": 500,  # 最大限价单手数
+        "max_market_order_volume": 0,  # 最大市价单手数
+        "min_limit_order_volume": 0,  # 最小限价单手数
+        "min_market_order_volume": 0,  # 最小市价单手数
+        "underlying_symbol": "",  # 标的合约
+        "strike_price": NaN,  # 行权价
+        "ins_class": "FUTURE",  # 合约类型
+        "instrument_id": "SHFE.cu2201",  # 合约代码
+        "instrument_name": "沪铜2201",  # 合约中文名
+        "exchange_id": "SHFE",  # 交易所代码
+        "expired": false,  # 合约是否已下市
+        "trading_time": "{'day': [['09:00:00', '10:15:00'], ['10:30:00', '11:30:00'], ['13:30:00', '15:00:00']], 'night': [['21:00:00', '25:00:00']]}",  # 交易时间段
+        "expire_datetime": 1642402800.0,  # 到期具体日，以秒为单位的 timestamp 值
+        "delivery_year": 2022,  # 期货交割日年份，只对期货品种有效。期权推荐使用最后行权日年份
+        "delivery_month": 1,  # 期货交割日月份，只对期货品种有效。期权推荐使用最后行权日月份
+        "last_exercise_datetime": NaN,  # 期权最后行权日，以秒为单位的 timestamp 值
+        "exercise_year": 0,  # 期权最后行权日年份，只对期权品种有效。
+        "exercise_month": 0,  # 期权最后行权日月份，只对期权品种有效。
+        "option_class": "",  # 期权行权方式，看涨:'CALL'，看跌:'PUT'
+        "exercise_type": "",  # 期权行权方式，美式:'A'，欧式:'E'
+        "product_id": "cu",  # 品种代码
+        "iopv": NaN,  # ETF实时单位基金净值
+        "public_float_share_quantity": 0,  # 日流通股数，只对证券产品有效。
+        "stock_dividend_ratio": [],  # 除权表 ["20190601,0.15","20200107,0.2"…]
+        "cash_dividend_ratio": [],  # 除息表 ["20190601,0.15","20200107,0.2"…]
+        "expire_rest_days": 153,   # 距离到期日的剩余天数（自然日天数），正数表示距离到期日的剩余天数，0表示到期日当天，负数表示距离到期日已经过去的天数
+        "commission": 17.565,
+        "margin": 31617.0
     }
 
 对于每个合约, 只需要调用一次 get_quote 函数. 如果需要监控数据更新, 可以使用 :py:meth:`~tqsdk.api.TqApi.wait_update`::
diff --git a/doc/version.rst b/doc/version.rst
@@ -2,6 +2,14 @@
 
 版本变更
 =============================
+2.8.2 (2021/08/17)
+
+* 增加：is_changing 接口增加对于合约 :py:meth:`~tqsdk.objs.Quote.expire_rest_days`，持仓 :py:meth:`~tqsdk.objs.Position.pos_long`、
+  :py:meth:`~tqsdk.objs.Position.pos_short`、:py:meth:`~tqsdk.objs.Position.pos` 字段支持判断是否更新
+* 修复：2.8.1 版本重构后，不支持多线程运行的问题
+* docs: 更新合约字段示例说明
+
+
 2.8.1 (2021/08/12)
 
 * 增加：增强在协程中的支持，以下接口 :py:meth:`~tqsdk.api.TqApi.query_quotes`，:py:meth:`~tqsdk.api.TqApi.query_cont_quotes`，
diff --git a/setup.py b/setup.py
@@ -36,7 +36,7 @@ def get_tag(self):
 
 setuptools.setup(
     name='tqsdk',
-    version="2.8.1",
+    version="2.8.2",
     description='TianQin SDK',
     author='TianQin',
     author_email='tianqincn@gmail.com',
diff --git a/tqsdk/__version__.py b/tqsdk/__version__.py
@@ -1 +1 @@
-__version__ = '2.8.1'
+__version__ = '2.8.2'
diff --git a/tqsdk/api.py b/tqsdk/api.py
@@ -60,6 +60,7 @@
 from tqsdk.backtest import TqBacktest, TqReplay
 from tqsdk.channel import TqChan
 from tqsdk.connect import TqConnect, MdReconnectHandler, TdReconnectHandler, ReconnectTimer
+from tqsdk.data_extension import DataExtension
 from tqsdk.data_series import DataSeries
 from tqsdk.datetime import _get_trading_day_start_time, _get_trading_day_end_time, _get_trading_calendar
 from tqsdk.diff import _merge_diff, _get_obj, _is_key_exist, _register_update_chan
@@ -258,6 +259,7 @@ def __init__(self, account: Union[TqMultiAccount, TqAccount, TqSim, None] = None
         self._prototype = self._gen_prototype()  # 各业务数据的原型, 用于决定默认值及将收到的数据转为特定的类型
         self._security_prototype = self._gen_security_prototype() # 股票业务数据原型
         self._dividend_cache = {}  # 缓存合约对应的复权系数矩阵，每个合约只计算一次
+        self._send_chan, self._recv_chan = TqChan(self), TqChan(self)  # 消息收发队列
 
         # slave模式的api不需要完整初始化流程
         self._is_slave = isinstance(account, TqApi)
@@ -273,7 +275,6 @@ def __init__(self, account: Union[TqMultiAccount, TqAccount, TqSim, None] = None
 
         self._web_gui = web_gui
         # 初始化
-        self._send_chan, self._recv_chan = TqChan(self), TqChan(self)  # 消息收发队列
         self.create_task(self._notify_watcher())  # 监控服务器发送的通知
         self._reconnect_timer = ReconnectTimer()  # 管理 ws 连接重连时间
         self._setup_connection()  # 初始化通讯连接
@@ -2867,16 +2868,21 @@ def _setup_connection(self):
         self.create_task(tq_web_helper._run(web_send_chan, web_recv_chan, self._send_chan, self._recv_chan))
         self._send_chan, self._recv_chan = web_send_chan, web_recv_chan
 
-        self._send_chan._logger_bind(chan_from="api")
-        self._recv_chan._logger_bind(chan_to="api")
-
         # 股票盈亏计算
         if self._account._has_stock_account:
             stock_profit_helper = TqStockProfit(self)
             stock_send_chan, stock_recv_chan = TqChan(self), TqChan(self)
             self.create_task(stock_profit_helper._run(stock_send_chan, stock_recv_chan, self._send_chan, self._recv_chan))
             self._send_chan, self._recv_chan = stock_send_chan, stock_recv_chan
 
+        data_extension = DataExtension(self)
+        data_extension_send_chan = TqChan(self, chan_name="send to data_extension")
+        data_extension_recv_chan = TqChan(self, chan_name="recv from data_extension")
+        self.create_task(data_extension._run(data_extension_send_chan, data_extension_recv_chan, self._send_chan, self._recv_chan))
+        self._send_chan, self._recv_chan = data_extension_send_chan, data_extension_recv_chan
+        self._send_chan._logger_bind(chan_from="api")
+        self._recv_chan._logger_bind(chan_to="api")
+
     def _fetch_symbol_info(self, url):
         """获取合约信息"""
         rsp = requests.get(url, headers=self._base_headers, timeout=30)
diff --git a/tqsdk/data_extension.py b/tqsdk/data_extension.py
@@ -0,0 +1,136 @@
+#!/usr/bin/env python
+#  -*- coding: utf-8 -*-
+__author__ = 'mayanqiong'
+
+
+from tqsdk.datetime import _get_expire_rest_days
+from tqsdk.datetime_state import TqDatetimeState
+from tqsdk.diff import _simple_merge_diff
+
+
+class DataExtension(object):
+    """
+    为数据截面添加以下字段：
+    {
+        quotes: {
+            *: {
+                expire_rest_days: int
+            }
+        },
+        trade: {
+            *: {
+                positions: {
+                    *: {
+                        'pos_long': int,
+                        'pos_short': int,
+                        'pos': int
+                    }
+                }
+            }
+        }
+    }
+    """
+
+    def __init__(self, api):
+        self._api = api
+        self._data = {'trade': {}}  # 数据截面, 现在的功能只需要记录 trade
+        self._diffs = []
+
+    async def _run(self, api_send_chan, api_recv_chan, md_send_chan, md_recv_chan):
+        self._logger = self._api._logger.getChild("DataExtension")
+        self._api_send_chan = api_send_chan
+        self._api_recv_chan = api_recv_chan
+        self._md_send_chan = md_send_chan
+        self._md_recv_chan = md_recv_chan
+        self._datetime_state = TqDatetimeState()
+        md_task = self._api.create_task(self._md_handler())
+        self._pending_peek = False  # True 表示收到下游的 peek_message ，并且没有发给过下游回复；False 表示发给过下游回复，没有 pending_peek_message
+        self._pending_peek_md = False  # True 表示发给过上游 peek_message；False 表示对上游没有 pending_peek_message
+        try:
+            async for pack in api_send_chan:
+                if "_md_recv" in pack:
+                    self._pending_peek_md = False
+                    await self._md_recv(pack)
+                    await self._send_diff()
+                    if self._pending_peek and self._pending_peek_md is False:
+                        self._pending_peek_md = True
+                        await self._md_send_chan.send({"aid": "peek_message"})
+                elif pack["aid"] == "peek_message":
+                    self._pending_peek = True
+                    await self._send_diff()
+                    if self._pending_peek and self._pending_peek_md is False:
+                        self._pending_peek_md = True
+                        await self._md_send_chan.send(pack)
+                else:
+                    await self._md_send_chan.send(pack)
+        finally:
+            md_task.cancel()
+
+    async def _md_handler(self):
+        """0 接收上游数据包 """
+        async for pack in self._md_recv_chan:
+            pack["_md_recv"] = True
+            await self._api_send_chan.send(pack)
+
+    async def _md_recv(self, pack):
+        """将行情数据和交易数据合并至 self._data """
+        for d in pack.get("data", {}):
+            self._datetime_state.update_state(d)
+            if d.get('trade', None):
+                _simple_merge_diff(self._data['trade'], d['trade'], reduce_diff=False)
+            self._diffs.append(d)
+
+    def _generate_ext_diff(self):
+        """"
+        补充 quote, position 额外字段
+        此函数在 send_diff() 才会调用， self._datetime_state.data_ready 一定为 True，
+        调用 self._datetime_state.get_current_dt() 一定有正确的当前时间
+        """
+        pend_diff = {}
+        for d in self._diffs:
+            if d.get('quotes', None):
+                _simple_merge_diff(pend_diff, self._update_quotes(d), reduce_diff=False)
+            if d.get('trade', None):
+                _simple_merge_diff(pend_diff, self._update_positions(d), reduce_diff=False)
+        return pend_diff
+
+    def _update_quotes(self, diff):
+        pend_diff = {}
+        for symbol in diff['quotes']:
+            expire_datetime = diff['quotes'].get(symbol, {}).get('expire_datetime', float('nan'))
+            if expire_datetime == expire_datetime:
+                # expire_rest_days 距离到期日的剩余天数（自然日天数）
+                # 正数表示距离到期日的剩余天数，0表示到期日当天，负数表示距离到期日已经过去的天数
+                expire_rest_days = _get_expire_rest_days(expire_datetime, self._datetime_state.get_current_dt() / 1e9)
+                pend_diff[symbol] = {'expire_rest_days': expire_rest_days}
+        return {'quotes': pend_diff} if pend_diff else {}
+
+    def _update_positions(self, diff):
+        pend_diff = {}
+        for account_key in diff['trade']:
+            for symbol in diff['trade'].get(account_key, {}).get('positions', {}):
+                pos = diff['trade'][account_key]['positions'][symbol]
+                if 'pos_long_his' in pos or 'pos_long_today' in pos or 'pos_short_his' in pos or 'pos_short_today' in pos:
+                    data_pos = self._data['trade'][account_key]['positions'][symbol]
+                    pos_long = data_pos['pos_long_his'] + data_pos['pos_long_today']
+                    pos_short = data_pos['pos_short_his'] + data_pos['pos_short_today']
+                    pend_diff.setdefault(account_key, {})
+                    pend_diff[account_key].setdefault('positions', {})
+                    pend_diff[account_key]['positions'][symbol] = {
+                        'pos_long': pos_long,
+                        'pos_short': pos_short,
+                        'pos': pos_long - pos_short
+                    }
+        return {'trade': pend_diff} if pend_diff else {}
+
+    async def _send_diff(self):
+        if self._datetime_state.data_ready and self._pending_peek and self._diffs:
+            # 生成增量业务截面, 该截面包含补充的字段，只在真正需要给下游发送数据时，才将需要发送的数据放在 _diffs 中
+            ext_diff = self._generate_ext_diff()
+            rtn_data = {
+                "aid": "rtn_data",
+                "data": self._diffs + [ext_diff],
+            }
+            self._diffs = []
+            self._pending_peek = False
+            await self._api_recv_chan.send(rtn_data)
diff --git a/tqsdk/objs.py b/tqsdk/objs.py

Original file line number	Diff line number	Diff line change
`@@ -1 +1 @@`
`1`		`-__version__ = '2.8.1'`
	`1`	`+__version__ = '2.8.2'`