Update Version 2.9.0

PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: tqsdk
-Version: 2.8.6
+Version: 2.9.0
 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'2.8.6'
+version = u'2.9.0'
 # The full version, including alpha/beta/rc tags.
-release = u'2.8.6'
+release = u'2.9.0'
 
 # The language for content autogenerated by Sphinx. Refer to documentation
 # for a list of supported languages.

doc/profession.rst

@@ -38,7 +38,7 @@ TqSdk 中大部分功能是供用户免费使用的, 同时我们也提供了 Tq
 -------------------------------------------------
 TqSdk 免费版本提供全部的期货、商品/金融期权和上证50、沪深300和中证500的实时行情
 
-其他股票类行情需购买或申请 TqSdk 专业版试用才可提供，TqSdk 中股票示例代码参考如下::
+购买或申请 TqSdk 专业版试用后可提供A股股票的实时和历史行情，TqSdk 中股票示例代码参考如下::
 
 	SSE.600000 - 上交所浦发银行股票编码
 	SZSE.000001 - 深交所平安银行股票编码

doc/reference/tqsdk.lib.rst

@@ -4,6 +4,14 @@ tqsdk.lib - 业务工具库
 ------------------------------------------------------------------
 
 
+.. _tqsdk.lib.notify:
+
+tqsdk.lib.notify - 收集通知信息工具
+==================================================================
+.. automodule:: tqsdk.lib.notify
+    :members:
+
+
 .. _tqsdk.lib.target_pos_task:
 
 tqsdk.lib.target_pos_task - 目标持仓工具

doc/usage/backtest.rst

@@ -59,6 +59,28 @@
 
 .. figure:: ../images/web_gui_backtest.png
 
+.. _backtest_with_web_gui:
+
+回测结束在浏览器中查看绘图结果
+-------------------------------------------------
+
+要在回测结束时，如果依然需要在浏览器中查看绘图结果，同时又需要打印回测信息，您应该这样做::
+
+  from tqsdk import BacktestFinished
+
+  acc = TqSim()
+
+  try:
+    api = TqApi(acc, backtest=TqBacktest(start_dt=date(2018, 5, 1), end_dt=date(2018, 10, 1)), auth=TqAuth("信易账户", "账户密码"))
+    #策略代码在这里
+    #...
+  except BacktestFinished as e:
+    print(acc.tqsdk_stat)  # 回测时间内账户交易信息统计结果，其中包含以下字段
+    # 由于需要在浏览器中查看绘图结果，因此程序不能退出
+    while True:
+        api.wait_update()
+
+
 .. _backtest_underlying_symbol:
 
 回测时获取主连合约标的

doc/usage/mddatas.rst

@@ -9,7 +9,7 @@ TqSdk中的合约代码, 统一采用 交易所代码.交易所内品种代码 
 
 其中 TqSdk 免费版本提供全部的期货、商品/金融期权和上证50、沪深300和中证500的实时行情
 
-其他股票类行情需购买或申请 TqSdk 专业版才可提供，具体 TqSdk免费版和专业版的区别，请点击 `天勤量化专业版 <https://www.shinnytech.com/tqsdk_professional/>`_
+购买或申请 TqSdk 专业版试用后可提供A股股票的实时和历史行情，具体免费版和专业版的区别，请点击 `天勤量化专业版 <https://www.shinnytech.com/tqsdk_professional/>`_
 
 目前 TqSdk 支持的交易所包括:
 

doc/version.rst

@@ -2,6 +2,16 @@
 
 版本变更
 =============================
+2.9.0 (2021/09/29)
+
+* 增加：:py:meth:`~tqsdk.api.TqApi.query_symbol_info` 接口返回值中增加 ``pre_open_interest``, ``pre_settlement``, ``pre_close`` 这三个字段
+* 优化：重构网络连接，增加多账户测试用例
+* 优化：简化回测结束后用户依然需要查看 web_gui 时的代码，详情参考 :ref:`backtest_with_web_gui`
+* 优化：网络连接失败时，优化对用户的提示信息
+* 优化：实盘账户实盘不支持主连和指数交易，提前抛错提示用户
+* docs：更新文档，专业版承诺提供A股股票行情
+
+
 2.8.6 (2021/09/16)
 
 * 增加：TqApi 增加 :py:meth:`~tqsdk.api.TqApi.query_his_cont_quotes` 接口，可以获取过去 n 个交易日的历史主连信息

setup.py

@@ -36,7 +36,7 @@ def get_tag(self):
 
 setuptools.setup(
     name='tqsdk',
-    version="2.8.6",
+    version="2.9.0",
     description='TianQin SDK',
     author='TianQin',
     author_email='[email protected]',

tqsdk/__version__.py

@@ -1 +1 @@
-__version__ = '2.8.6'
+__version__ = '2.9.0'

tqsdk/account.py

@@ -106,10 +106,11 @@ async def _run(self, api, api_send_chan, api_recv_chan, md_send_chan, md_recv_ch
                 "aid": "confirm_settlement"
             })  # 自动发送确认结算单
         self._pending_peek = False  # 是否有下游收到未处理的 peek_message
-        self._md_pending_peek = False  # 是否有发给上游的 peek_message，未收到过回复
+        self._md_pending_peek = False  # 是否有发给行情上游的 peek_message，未收到过回复
+        self._td_pending_peek = False  # 是否有发给交易上游的 peek_message，未收到过回复
         self._diffs = []
-        md_task = api.create_task(self._md_handler(api_recv_chan, md_send_chan, md_recv_chan))
-        td_task = api.create_task(self._td_handler(api_recv_chan, td_send_chan, td_recv_chan))
+        md_task = api.create_task(self._md_handler(api_recv_chan, md_recv_chan))
+        td_task = api.create_task(self._td_handler(api_recv_chan, td_recv_chan))
         try:
             async for pack in api_send_chan:
                 if pack["aid"] == "subscribe_quote" or pack["aid"] == "set_chart" or pack["aid"] == "ins_query":
@@ -125,9 +126,13 @@ async def _run(self, api, api_send_chan, api_recv_chan, md_send_chan, md_recv_ch
                 elif pack["aid"] == "peek_message":
                     self._pending_peek = True
                     await self._send_diff(api_recv_chan)
-                    if self._pending_peek and self._md_pending_peek is False:  # 控制"peek_message"发送: 当没有新的事件需要用户处理时才推进到下一个行情
-                        await md_send_chan.send(pack)
-                        self._md_pending_peek = True
+                    if self._pending_peek:
+                        if self._md_pending_peek is False:  # 控制"peek_message"发送: 当没有新的事件需要用户处理时才推进到下一个行情
+                            await md_send_chan.send({"aid": "peek_message"})
+                            self._md_pending_peek = True
+                        if self._td_pending_peek is False:  # 控制"peek_message"发送: 当没有新的事件需要用户处理时才推进到下一个行情
+                            await td_send_chan.send({"aid": "peek_message"})
+                            self._td_pending_peek = True
         finally:
             md_task.cancel()
             td_task.cancel()
@@ -142,16 +147,16 @@ async def _send_diff(self, api_recv_chan):
             self._pending_peek = False
             await api_recv_chan.send(rtn_data)
 
-    async def _md_handler(self, api_recv_chan, md_send_chan, md_recv_chan):
+    async def _md_handler(self, api_recv_chan, md_recv_chan):
         async for pack in md_recv_chan:
             if pack["aid"] == "rtn_data":
+                self._md_pending_peek = False
                 self._diffs.extend(pack.get('data', []))
+                await self._send_diff(api_recv_chan)
             else:
                 await api_recv_chan.send(pack)  # 有可能是另一个 account 的 rsp_login
-            self._md_pending_peek = False
-            await self._send_diff(api_recv_chan)
 
-    async def _td_handler(self, api_recv_chan, td_send_chan, td_recv_chan):
+    async def _td_handler(self, api_recv_chan, td_recv_chan):
         async for pack in td_recv_chan:
             # OTG 返回业务信息截面 trade 中 account_key 为 user_id, 该值需要替换为 account_key
             for _, slice_item in enumerate(pack["data"] if "data" in pack else []):
@@ -166,13 +171,11 @@ async def _td_handler(self, api_recv_chan, td_send_chan, td_recv_chan):
                 elif self._sub_account_id in slice_item["trade"]:
                     slice_item["trade"][self._account_key] = slice_item["trade"].pop(self._sub_account_id)
             if pack["aid"] == "rtn_data":
+                self._td_pending_peek = False
                 self._diffs.extend(pack.get('data', []))
+                await self._send_diff(api_recv_chan)
             else:
                 await api_recv_chan.send(pack)
-            await td_send_chan.send({
-                "aid": "peek_message"
-            })
-            await self._send_diff(api_recv_chan)
 
     def _get_sub_account(self, trade):
         """ 股票账户

tqsdk/api.py

@@ -1143,7 +1143,8 @@ def insert_order(self, symbol: str, direction: str, offset: str = "", volume: in
 
         """
         (exchange_id, instrument_id) = symbol.split(".", 1)
-        if not self._account._check_valid(account):
+        account = self._account._check_valid(account)
+        if account is None:
             raise Exception(f"多账户模式下, 需要指定账户实例 account")
         if direction not in ("BUY", "SELL"):
             raise Exception("下单方向(direction) %s 错误, 请检查 direction 参数是否填写正确" % (direction))
@@ -1152,6 +1153,8 @@ def insert_order(self, symbol: str, direction: str, offset: str = "", volume: in
             raise Exception("下单数量(volume) %s 错误, 请检查 volume 是否填写正确" % (volume))
         if limit_price != limit_price:
             raise Exception(f"limit_price 参数不支持设置为 {limit_price}。")
+        if isinstance(account, TqAccount) and exchange_id == "KQ":
+            raise Exception(f"账户 {account._broker_id}, {account._account_id} 不支持交易合约 {symbol}。")
         # 股票下单时, 不支持 order_id 和 offset 参数
         if exchange_id in ["SSE", "SZSE"] and self._account._is_stock_type(account):
             if order_id:
@@ -1746,15 +1749,15 @@ def wait_update(self, deadline: Optional[float] = None, _task: Union[asyncio.Tas
                 "TqSdk 使用了 python3 的原生协程和异步通讯库 asyncio，您所使用的 IDE 不支持 asyncio, 请使用 pycharm 或其它支持 asyncio 的 IDE")
         self._wait_timeout = False
         # 先尝试执行各个task,再请求下个业务数据，可能用户的同步代码会在 chan 中 send 数据，需要先 run_tasks
-        self._run_until_idle()
+        self._run_until_idle(async_run=False)
 
         # 用户可能在同步或者异步代码中修改 klines 附加列的值
         #    同步代码：此次调用 wait_update 之前应该已经修改执行
         #    异步代码：上一行 self._run_until_idle() 可能会修改 klines 附加列的值
         # 所以放在这里处理， 总会发送 serial_extra_array 数据，由 TqWebHelper 处理
         for _, serial in self._serials.items():
             self._process_serial_extra_array(serial)
-        self._run_until_idle()  # 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
+        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
             _tasks = _task if isinstance(_task, list) else [_task]
@@ -2595,6 +2598,9 @@ 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
+            * pre_settlement: 昨结算
+            * pre_open_interest: 昨持仓
+            * pre_close: 昨收盘
 
         Example1::
 
@@ -2981,7 +2987,14 @@ def _setup_connection(self):
 
         # 连接合约和行情服务器
         if self._md_url is None:
-            self._md_url = self._auth._get_md_url(self._stock, backtest=isinstance(self._backtest, TqBacktest))  # 如果用户未指定行情地址，则使用名称服务获取行情地址
+            try:
+                self._md_url = self._auth._get_md_url(self._stock, backtest=isinstance(self._backtest, TqBacktest))  # 如果用户未指定行情地址，则使用名称服务获取行情地址
+            except Exception as e:
+                now = datetime.now()
+                if now.hour == 19 and 0 <= now.minute <= 30:
+                    raise Exception(f"{e}, 每日 19:00-19:30 为日常运维时间，请稍后再试")
+                else:
+                    raise
         md_logger = ShinnyLoggerAdapter(self._logger.getChild("TqConnect"), url=self._md_url)
         ws_md_send_chan = TqChan(self, chan_name="send to md", logger=md_logger)
         ws_md_recv_chan = TqChan(self, chan_name="recv from md", logger=md_logger)
@@ -3071,9 +3084,9 @@ def _setup_connection(self):
         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._logger_bind(chan_from="data_extension")
         self._recv_chan._logger_bind(chan_to="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")

tqsdk/backtest.py

@@ -336,6 +336,7 @@ async def _send_diff(self):
                             }
                         }]
                     })
+                    await self._api._wait_until_idle()
                     raise BacktestFinished(self._api) from None
             for ins, diff in quotes.items():
                 self._quotes[ins]["sended_init_quote"] = True

tqsdk/baseApi.py

@@ -6,6 +6,7 @@
 import functools
 import sys
 import time
+from asyncio import Future
 from typing import Optional, Coroutine
 
 
@@ -23,6 +24,7 @@ def __init__(self, loop: Optional[asyncio.AbstractEventLoop] = None) -> None:
         """
         self._loop = asyncio.SelectorEventLoop() if loop is None else loop  # 创建一个新的 ioloop, 避免和其他框架/环境产生干扰
         self._event_rev, self._check_rev = 0, 0
+        self._wait_idle_list = []  # 所有等待 loop idle 的 Future
         self._wait_timeout = False  # wait_update 是否触发超时
         self._tasks = set()  # 由api维护的所有根task，不包含子task，子task由其父task维护
         self._exceptions = []  # 由api维护的所有task抛出的例外
@@ -54,22 +56,38 @@ def _run_once(self):
         if self._exceptions:
             raise self._exceptions.pop(0)
 
-    def _run_until_idle(self):
-        """执行 ioloop 直到没有待执行任务"""
+    def _run_until_idle(self, async_run=False):
+        """执行 ioloop 直到没有待执行任务
+        async_run is True 会从 _wait_idle_list 中取出等待的异步任务，保证同步代码优先于异步代码执行，
+        只有被 _run_until_task_done 调用（即 api 等待 fetch_msg）时，async_run 会为 True
+        """
         while self._check_rev != self._event_rev:
             check_handle = self._loop.call_soon(self._check_event, self._event_rev + 1)
             try:
                 self._run_once()
             finally:
                 check_handle.cancel()
+        if len(self._wait_idle_list) > 0 and async_run:
+            f = self._wait_idle_list.pop(0)  # 取出 list 中的第一个 Future
+            f.set_result(None)  # f 返回
+
+    async def _wait_until_idle(self):
+        """等待 ioloop 执行到空闲时，才从网络连接处收数据包，在 TqConnect 类中使用"""
+        f = Future()
+        self._wait_idle_list.append(f)
+        self._loop.stop()
+        await f
 
     def _run_until_task_done(self, task: asyncio.Task, deadline=None):
         try:
             self._wait_timeout = False
             if deadline is not None:
                 deadline_handle = self._loop.call_later(max(0, deadline - time.time()), self._set_wait_timeout)
             while not self._wait_timeout and not task.done():
-                self._run_once()
+                if len(self._wait_idle_list) == 0:
+                    self._run_once()
+                else:
+                    self._run_until_idle(async_run=True)
         finally:
             if deadline is not None:
                 deadline_handle.cancel()
@@ -101,7 +119,7 @@ async def _windows_patch(self):
             await asyncio.sleep(1)
 
     def _close(self) -> None:
-        self._run_until_idle()  # 由于有的处于 ready 状态 task 可能需要报撤单, 因此一直运行到没有 ready 状态的 task
+        self._run_until_idle(async_run=False)  # 由于有的处于 ready 状态 task 可能需要报撤单, 因此一直运行到没有 ready 状态的 task
         for task in self._tasks:
             task.cancel()
         while self._tasks:  # 等待 task 执行完成

tqsdk/connect.py

@@ -10,6 +10,8 @@
 import time
 import warnings
 from abc import abstractmethod
+from asyncio import Future
+from datetime import datetime
 from queue import Queue
 
 import certifi
@@ -150,6 +152,7 @@ async def _run(self, api, url, send_chan, recv_chan):
                     else:
                         self._logger.debug("websocket connected")
                     # 发送网络连接建立的通知，code = 2019112901 or 2019112902，这里区分了第一次连接和重连
+                    await self._api._wait_until_idle()
                     await recv_chan.send({
                         "aid": "rtn_data",
                         "data": [{
@@ -163,8 +166,9 @@ async def _run(self, api, url, send_chan, recv_chan):
                     send_task = self._api.create_task(self._send_handler(send_chan, client))
                     try:
                         async for msg in client:
-                            self._logger.debug("websocket received data", pack=msg)
                             pack = json.loads(msg)
+                            await self._api._wait_until_idle()
+                            self._logger.debug("websocket received data", pack=msg)
                             await recv_chan.send(pack)
                     finally:
                         if client.reader._start_read_message:
@@ -177,15 +181,18 @@ async def _run(self, api, url, send_chan, recv_chan):
             except (websockets.exceptions.ConnectionClosed, websockets.exceptions.InvalidStatusCode,
                     websockets.exceptions.InvalidState, websockets.exceptions.ProtocolError, OSError,
                     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
                 notify_id = _generate_uuid()
                 notify = {
                     "type": "MESSAGE",
                     "level": "WARNING",
                     "code": 2019112911,
-                    "content": "与 %s 的网络连接断开，请检查客户端及网络是否正常" % url,
+                    "content": f"与 {url} 的网络连接断开，请检查客户端及网络是否正常",
                     "url": url
                 }
+                if in_ops_time:
+                    notify['content'] += '，每日 19:00-19:30 为日常运维时间，请稍后再试'
                 self._logger.debug("websocket connection closed", error=str(e))
                 await recv_chan.send({
                     "aid": "rtn_data",
@@ -198,6 +205,8 @@ async def _run(self, api, url, send_chan, recv_chan):
                 if isinstance(e, TqBacktestPermissionError):
                     # 如果错误类型是用户无回测权限，直接返回
                     raise
+                if self._first_connect and in_ops_time:
+                    raise Exception(f'与 {url} 的连接失败，每日 19:00-19:30 为日常运维时间，请稍后再试')
             finally:
                 if self._first_connect:
                     self._first_connect = False