Update Version 2.9.4

Author: shinny-pack

PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: tqsdk
-Version: 2.9.3
+Version: 2.9.4
 Summary: TianQin SDK
 Home-page: https://www.shinnytech.com/tqsdk
 Author: TianQin

doc/conf.py

@@ -48,9 +48,9 @@
 # built documents.
 #
 # The short X.Y version.
-version = u'2.9.3'
+version = u'2.9.4'
 # The full version, including alpha/beta/rc tags.
-release = u'2.9.3'
+release = u'2.9.4'
 
 # The language for content autogenerated by Sphinx. Refer to documentation
 # for a list of supported languages.

doc/version.rst

@@ -2,6 +2,14 @@
 
 版本变更
 =============================
+2.9.4 (2021/11/04)
+
+* 增加：:py:meth:`~tqsdk.api.TqApi.query_symbol_info` 接口返回值中增加 ``upper_limit``, ``lower_limit`` 这两个字段
+* 优化: 多账户模式支持回测模块
+* 优化: query 系列函数，发送的查询请求中合约列表长度不能大于 8192
+* 优化: 网络连接优化断线重连机制
+
+
 2.9.3 (2021/10/28)
 
 * 增加：:py:class:`~tqsdk.risk_rule.TqRuleOpenCountsLimit`、:py:class:`~tqsdk.risk_rule.TqRuleOpenVolumesLimit` 类，

setup.py

@@ -36,7 +36,7 @@ def get_tag(self):
 
 setuptools.setup(
     name='tqsdk',
-    version="2.9.3",
+    version="2.9.4",
     description='TianQin SDK',
     author='TianQin',
     author_email='tianqincn@gmail.com',

tqsdk/__version__.py

@@ -1 +1 @@
-__version__ = '2.9.3'
+__version__ = '2.9.4'

tqsdk/api.py

@@ -265,7 +265,7 @@ def __init__(self, account: Union[TqMultiAccount, TqAccount, TqSim, None] = None
         self._pending_diffs = []  # 从网络上收到的待处理的 diffs, 只在 wait_update 函数执行过程中才可能为非空
         self._pending_peek = False  # 是否有发出的 peek_message 还没收到数据回复
         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._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
         self._ws_md_recv_chan = None  # 记录 ws_md_recv_chan 引用
@@ -1858,7 +1858,7 @@ def wait_update(self, deadline: Optional[float] = None, _task: Union[asyncio.Tas
             self._process_serial_extra_array(serial)
         self._run_until_idle(async_run=False)  # 这里 self._run_until_idle() 主要为了把上一步计算出得需要绘制的数据发送到 TqWebHelper
         if _task is not None:
-                # 如果 _task 已经 done，则提前返回 True, False 代表超时会抛错
+            # 如果 _task 已经 done，则提前返回 True, False 代表超时会抛错
             _tasks = _task if isinstance(_task, list) else [_task]
             if all([t.done() for t in _tasks]):
                 return True
@@ -2377,7 +2377,8 @@ def query_quotes(self, ins_class: str = None, exchange_id: str = None, product_i
         if isinstance(self._backtest, TqBacktest):
             variables["timestamp"] = int(self._get_current_datetime().timestamp() * 1e9)
         args_definitions, args = _get_query_args(variables)
-        query = f"query({args_definitions}){{multi_symbol_info({args}){{ ... on basic {{instrument_id }} }}}}"
+        query = f"query{f'({args_definitions})' if args_definitions else ''}{{multi_symbol_info{f'({args})' if args else ''}{{ ... on basic {{instrument_id }} }}}}"
+
         def filter(query_result):
             result = []
             for quote in query_result.get("result", {}).get("multi_symbol_info", []):
@@ -2387,6 +2388,7 @@ def filter(query_result):
                 else:
                     result.append(quote["instrument_id"])
             return result
+
         return self._get_symbol_list(query=query, variables=variables, filter=filter)
 
     def _get_symbol_list(self, query: str, variables: dict, filter: Callable[[dict], list]):
@@ -2465,6 +2467,7 @@ def query_cont_quotes(self, exchange_id: str = None, product_id: str = None, has
         query = f"query( {args_definitions} ){{multi_symbol_info( {args} ){{...basic ...cont}}}}"
         fragments = "fragment basic on basic {instrument_id}" \
                     "fragment cont on derivative{underlying{edges{node{...on basic{instrument_id exchange_id}...on future {product_id}}}}}"
+
         def filter(query_result):
             result = []
             for quote in query_result.get("result", {}).get("multi_symbol_info", []):
@@ -2476,8 +2479,8 @@ def filter(query_result):
                             continue
                         result.append(underlying_quote["instrument_id"])
             return result
-        return self._get_symbol_list(query=query + fragments, variables=variables, filter=filter)
 
+        return self._get_symbol_list(query=query + fragments, variables=variables, filter=filter)
 
     def query_options(self, underlying_symbol: str, option_class: str = None, exercise_year: int = None,
                       exercise_month: int = None, strike_price: float = None, expired: bool = None, has_A: bool = None,
@@ -2534,6 +2537,7 @@ def query_options(self, underlying_symbol: str, option_class: str = None, exerci
         if self._stock is False:
             raise Exception("期货行情系统(_stock = False)不支持当前接口调用")
         query, variables = self._query_options_by_underlying(underlying_symbol)
+
         def filter(query_result):
             options = []
             exe_year = exercise_year if exercise_year else kwargs.get("delivery_year")
@@ -2554,6 +2558,7 @@ def filter(query_result):
                             continue
                         options.append(option["instrument_id"])
             return options
+
         return self._get_symbol_list(query=query, variables=variables, filter=filter)
 
     def query_atm_options(self, underlying_symbol, underlying_price, price_level, option_class, exercise_year: int = None,
@@ -2644,6 +2649,7 @@ def query_atm_options(self, underlying_symbol, underlying_price, price_level, op
         if exercise_year and exercise_month and not (isinstance(exercise_year, int) and isinstance(exercise_month, int)):
             raise Exception("exercise_year / exercise_month 类型错误")
         query, variables = self._query_options_by_underlying(underlying_symbol)
+
         def filter(query_result):
             options = self._convert_query_result_to_list(query_result)
             if options:
@@ -2659,6 +2665,7 @@ def filter(query_result):
                 return rst_options
             else:
                 return []
+
         return self._get_symbol_list(query=query, variables=variables, filter=filter)
 
     def query_symbol_info(self, symbol: Union[str, List[str]]):
@@ -2699,12 +2706,19 @@ def query_symbol_info(self, symbol: Union[str, List[str]]):
             * exercise_year: 期权最后行权日年份，只对期权品种有效。
             * exercise_month: 期权最后行权日月份，只对期权品种有效。
             * option_class: 期权方向
+            * upper_limit: 涨停价
+            * lower_limit: 跌停价
             * pre_settlement: 昨结算
             * pre_open_interest: 昨持仓
             * pre_close: 昨收盘
             * trading_time_day: 白盘交易时间段，list 类型
             * trading_time_night: 夜盘交易时间段，list 类型
 
+        注意:
+
+        1. 回测时，以下字段值为 nan: "upper_limit", "lower_limit", "pre_settlement", "pre_open_interest", "pre_close"
+        2. 中金所合约未提供涨停价、跌停价
+
         Example1::
 
             from tqsdk import TqApi, TqAuth
@@ -2800,6 +2814,7 @@ def query_all_level_options(self, underlying_symbol, underlying_price, option_cl
         if exercise_year and exercise_month and not (isinstance(exercise_year, int) and isinstance(exercise_month, int)):
             raise Exception("exercise_year / exercise_month 类型错误")
         query, variables = self._query_options_by_underlying(underlying_symbol)
+
         def filter(query_result):
             options = self._convert_query_result_to_list(query_result)
             if options:
@@ -2814,6 +2829,7 @@ def filter(query_result):
                 return in_money_options, at_money_options, out_of_money_options
             else:
                 return [], [], []
+
         return self._get_symbol_level_list(query=query, variables=variables, filter=filter)
 
     def _get_symbol_level_list(self, query: str, variables: dict, filter: Callable[[dict], Tuple[list, list, list]]):
@@ -2907,6 +2923,7 @@ def query_all_level_finance_options(self, underlying_symbol, underlying_price, o
             if any([i not in [0, 1, 2, 3] for i in nearbys]):
                 raise Exception(f"ETF 期权标的为：{underlying_symbol}，exercise_date 参数应该是在 [0, 1, 2, 3] 之间。")
         query, variables = self._query_options_by_underlying(underlying_symbol)
+
         def filter(query_result):
             options = self._convert_query_result_to_list(query_result)
             if options:
@@ -2918,6 +2935,7 @@ def filter(query_result):
                 return in_money_options, at_money_options, out_of_money_options
             else:
                 return [], [], []
+
         return self._get_symbol_level_list(query=query, variables=variables, filter=filter)
 
     def _query_options_by_underlying(self, underlying_symbol):

tqsdk/connect.py

@@ -179,7 +179,7 @@ async def _run(self, api, url, send_chan, recv_chan):
             # 希望做到的效果是遇到网络问题可以断线重连, 但是可能抛出的例外太多了(TimeoutError,socket.gaierror等), 又没有文档或工具可以理出 try 代码中所有可能遇到的例外
             # 而这里的 except 又需要处理所有子函数及子函数的子函数等等可能抛出的例外, 因此这里只能遇到问题之后再补, 并且无法避免 false positive 和 false negative
             except (websockets.exceptions.ConnectionClosed, websockets.exceptions.InvalidStatusCode,
-                    websockets.exceptions.InvalidState, websockets.exceptions.ProtocolError, OSError,
+                    websockets.exceptions.InvalidState, websockets.exceptions.ProtocolError, OSError, EOFError,
                     TqBacktestPermissionError) as e:
                 in_ops_time = datetime.now().hour == 19 and 0 <= datetime.now().minute <= 30
                 # 发送网络连接断开的通知，code = 2019112911

tqsdk/multiaccount.py

@@ -4,11 +4,13 @@
 __author__ = 'Hong Yan'
 
 from typing import List, Union
+
+from shinny_structlog import ShinnyLoggerAdapter
+
 from tqsdk.account import TqAccount, TqKq
-from tqsdk.sim import TqSim
+from tqsdk.connect import TqConnect, TdReconnectHandler
 from tqsdk.channel import TqChan
-from shinny_structlog import ShinnyLoggerAdapter, JSONFormatter
-from tqsdk.connect import TqConnect, MdReconnectHandler, TdReconnectHandler
+from tqsdk.sim import TqSim
 
 
 class TqMultiAccount(object):
@@ -21,10 +23,8 @@ class TqMultiAccount(object):
 
     **注意**
 
-    - 多账户模式暂未支持回测模块
     - 多账户模式暂未支持 `webgui`
     - 多账户模式下, 对于 get_position，account，insert_order，set_target_volume 等函数必须指定 account 参数
-    - 多账户必须指定信易账户信息, 如 ``api = TqApi(TqMultiAccount(...), auth=TqAuth("信易账户", "账户密码"))``
     - 多账户模式下, 实盘账户的数量受限于信易账户支持实盘账户数, 详见:`更多的实盘交易账户数 <https://doc.shinnytech.com/tqsdk/latest/profession.html#id2>`_
 
     """

tqsdk/objs_not_entity.py

@@ -232,13 +232,13 @@ def __init__(self, api, symbol_list, backtest_timestamp, *args, **kwargs):
             "exercise_year",
             "exercise_month",
             "option_class",
+            "upper_limit",
+            "lower_limit",
             "pre_settlement",
             "pre_open_interest",
             "pre_close",
             "trading_time_day",
             "trading_time_night"
-            # todo upper_limit 涨停价
-            # todo lower_limit 跌停价
         ]
         default_quote = Quote(None)
         data = [{k: (s if k == "instrument_id" else default_quote.get(k, None)) for k in self.__dict__["_columns"]} for s in symbol_list]
@@ -271,6 +271,8 @@ async def async_update(self):
                     quotes = self.__dict__["_api"]._symbols_to_quotes(query_result, keys=all_keys)
                     self._quotes_to_dataframe(quotes)
                     if self.__dict__["_backtest_timestamp"]:
+                        # 回测时这些字段应该为 nan
+                        self.loc[:, ["upper_limit", "lower_limit", "pre_settlement", "pre_open_interest", "pre_close"]] = float('nan')
                         # 回测时清空请求，不缓存请求内容
                         self.__dict__["_api"]._send_pack({
                             "aid": "ins_query",
@@ -292,9 +294,9 @@ def _quotes_to_dataframe(self, quotes):
                 self.loc[:, col] = [_get_expire_rest_days(quotes[s]['expire_datetime'], current_dt) for s in self.__dict__["_symbol_list"]]
             elif col == "trading_time_day" or col == "trading_time_night":
                 k = 'day' if col == "trading_time_day" else 'night'
-                self.loc[:, col] = [self._get_trading_time(quotes, s, k) for s in self.__dict__["_symbol_list"]]
+                self.loc[:, col] = Series([self._get_trading_time(quotes, s, k) for s in self.__dict__["_symbol_list"]])
             else:
-                self.loc[:, col] = [quotes[s].get(col, default_quote[col]) for s in self.__dict__["_symbol_list"]]
+                self.loc[:, col] = Series([quotes[s].get(col, default_quote[col]) for s in self.__dict__["_symbol_list"]])
 
     def __await__(self):
         return self.__dict__["_task"].__await__()