Update Version 2.8.3

PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: tqsdk
-Version: 2.8.2
+Version: 2.8.3
 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'2.8.2'
+version = u'2.8.3'
 # The full version, including alpha/beta/rc tags.
-release = u'2.8.2'
+release = u'2.8.3'
 
 # The language for content autogenerated by Sphinx. Refer to documentation
 # for a list of supported languages.

doc/quickstart.rst

@@ -34,7 +34,7 @@
 
 但是由于 `pip` 使用的是国外的服务器，普通用户往往下载速度过慢或不稳定，对于使用 `pip` 命令下载速度较慢的用户，我们推荐采用切换国内源的方式安装/升级 TqSdk::
 
-    pip install tqsdk -U -i http://mirrors.aliyun.com/pypi/simple/ --trusted-host=mirrors.aliyun.com
+    pip install tqsdk -U -i https://pypi.tuna.tsinghua.edu.cn/simple --trusted-host=pypi.tuna.tsinghua.edu.cn
 
 .. _quickstart_0:
 
@@ -138,7 +138,7 @@ klines是一个pandas.DataFrame对象. 跟 api.get_quote() 一样, api.get_kline
 
 点击生成的地址，即可访问订阅的K线图形
 
-.. figure:: images/web_gui_klines.png
+.. figure:: images/web_gui_demo.png
 
 具体请见 :ref:`web_gui`
 

doc/usage/mddatas.rst

@@ -68,7 +68,7 @@ SZSE               深圳证券交易所
 
 天勤指数的计算方式为根据在市期货合约的昨持仓量加权平均
 
-天勤主力的选定标准为该合约持仓量和成交量均为最大后盘后切换，且一旦切换之后不会再切回
+天勤主力的选定标准为该合约持仓量和成交量均为最大后，在下一个交易日开盘后进行切换，且切换后不会再切换到之前的合约
 
 
 .. image:

doc/usage/option_trade.rst

@@ -42,7 +42,7 @@ TqSdk 内提供了丰富的期权指标计算&序列计算函数，参考如下
 
 期权查询函数
 ----------------------------------------------------
-TqSdk 内提供了完善的期权查询函数 :py:meth:`~tqsdk.api.TqApi.query_options` 和对应平值虚值期权查询函数  :py:meth:`~tqsdk.api.TqApi.query_atm_options` ，供用户搜索符合自己需求的期权，**需要注意 query 系列函数暂时不支持在回测中使用**::
+TqSdk 内提供了完善的期权查询函数 :py:meth:`~tqsdk.api.TqApi.query_options` 和对应平值虚值期权查询函数  :py:meth:`~tqsdk.api.TqApi.query_atm_options` ，供用户搜索符合自己需求的期权::
 
 
 

doc/version.rst

@@ -2,6 +2,15 @@
 
 版本变更
 =============================
+2.8.3 (2021/08/30)
+
+* 增加：is_changing 接口增加对于委托单 :py:meth:`~tqsdk.objs.Order.is_dead`、:py:meth:`~tqsdk.objs.Order.is_online`、
+  :py:meth:`~tqsdk.objs.Order.is_error`、:py:meth:`~tqsdk.objs.Order.trade_price` 字段支持判断是否更新
+* 修复: TqApi 初始化可能失败的问题
+* 优化: 将已知下市合约直接打包在代码中，缩短 TqApi 初始化时间
+* docs: 完善主力切换规则说明，将阿里源替换为清华源
+
+
 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`、

setup.py

@@ -36,7 +36,7 @@ def get_tag(self):
 
 setuptools.setup(
     name='tqsdk',
-    version="2.8.2",
+    version="2.8.3",
     description='TianQin SDK',
     author='TianQin',
     author_email='[email protected]',

tqsdk/__version__.py

@@ -1 +1 @@
-__version__ = '2.8.2'
+__version__ = '2.8.3'

tqsdk/api.py

@@ -20,6 +20,8 @@
 import asyncio
 import copy
 import logging
+import lzma
+import json
 import os
 import platform
 import re
@@ -116,15 +118,14 @@ def __init__(self, account: Union[TqMultiAccount, TqAccount, TqSim, None] = None
                 信易账户注册链接 https://www.shinnytech.com/register-intro/
 
             url (str): [可选]指定服务器的地址
-                * 当 account 为 :py:class:`~tqsdk.account.TqAccount` 类型时, 可以通过该参数指定交易服务器地址, \
-                默认使用 wss://opentd.shinnytech.com/trade/user0, 行情始终使用 wss://openmd.shinnytech.com/t/md/front/mobile
+                * 当 account 为 :py:class:`~tqsdk.account.TqAccount`、:py:class:`~tqsdk.multiaccount.TqMultiAccount` 类型时, 可以通过该参数指定交易服务器地址,\
+                默认使用对应账户的交易服务地址，行情地址该信易账户对应的行情服务地址
 
-                * 当 account 为 :py:class:`~tqsdk.sim.TqSim` 类型时, 可以通过该参数指定行情服务器地址,\
-                默认使用 wss://openmd.shinnytech.com/t/md/front/mobile
+                * 当 account 为 :py:class:`~tqsdk.sim.TqSim` 类型时, 可以通过该参数指定行情服务器地址, 默认使用该信易账户对应的行情服务地址
 
             backtest (TqBacktest/TqReplay): [可选] 进入时光机，此时强制要求 account 类型为 :py:class:`~tqsdk.sim.TqSim`
                 * :py:class:`~tqsdk.backtest.TqBacktest` : 传入 TqBacktest 对象，进入回测模式 \
-                在回测模式下, TqBacktest 连接 wss://openmd.shinnytech.com/t/md/front/mobile 接收行情数据, \
+                在回测模式下, TqBacktest 连接 wss://backtest.shinnytech.com/t/md/front/mobile 接收行情数据, \
                 由 TqBacktest 内部完成回测时间段内的行情推进和 K 线、Tick 更新.
 
                 * :py:class:`~tqsdk.backtest.TqReplay` : 传入 TqReplay 对象, 进入复盘模式 \
@@ -2790,29 +2791,22 @@ def _setup_connection(self):
 
         if self._stock is False:  # self._stock == False 需要旧版的合约服务文件
             quotes = self._fetch_symbol_info(self._ins_url)
-            if isinstance(self._backtest, TqBacktest):
-                _quotes_add_night(quotes)
-            ws_md_recv_chan.send_nowait({
-                "aid": "rtn_data",
-                "data": [{
-                    "quotes": quotes
-                }]
-            })  # 获取合约信息
         else:  # todo: self._stock == True 新版合约服务没有已下市合约
-            quotes = self._fetch_symbol_info(os.getenv("TQ_INS_URL", "https://openmd.shinnytech.com/t/md/symbols/2020-09-15.json"))
-            if isinstance(self._backtest, TqBacktest):
-                _quotes_add_night(quotes)
-            ws_md_recv_chan.send_nowait({
-                "aid": "rtn_data",
-                "data": [{
-                    "quotes": {k: v for k, v in quotes.items() if v["expired"] is True}
-                }]
-            })  # 获取合约信息
+            dir_path = os.path.dirname(os.path.realpath(__file__))
+            with lzma.open(os.path.join(dir_path, "expired_quotes.json.lzma"), "rt", encoding="utf-8") as f:
+                quotes = json.loads(f.read())
+
+        if isinstance(self._backtest, TqBacktest):
+            _quotes_add_night(quotes)
         # 期权增加了 exercise_year、exercise_month 在旧版合约服务中没有，需要添加，使用下市日期代替最后行权日
         for quote in quotes.values():
             if quote["ins_class"] == "FUTURE_OPTION":
                 quote["exercise_year"] = datetime.fromtimestamp(quote["expire_datetime"]).year
                 quote["exercise_month"] = datetime.fromtimestamp(quote["expire_datetime"]).month
+        ws_md_recv_chan.send_nowait({
+            "aid": "rtn_data",
+            "data": [{"quotes": quotes}]
+        })  # 获取合约信息
 
         conn = TqConnect(md_logger)
         self.create_task(conn._run(self, self._md_url, ws_md_send_chan, ws_md_recv_chan))
@@ -2879,6 +2873,8 @@ def _setup_connection(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._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/data_extension.py

@@ -5,7 +5,7 @@
 
 from tqsdk.datetime import _get_expire_rest_days
 from tqsdk.datetime_state import TqDatetimeState
-from tqsdk.diff import _simple_merge_diff
+from tqsdk.diff import _simple_merge_diff, _is_key_exist, _simple_merge_diff_and_collect_paths, _get_obj
 
 
 class DataExtension(object):
@@ -25,6 +25,14 @@ class DataExtension(object):
                         'pos_short': int,
                         'pos': int
                     }
+                },
+                ordres: {
+                    *: {
+                        'is_dead': bool
+                        'is_online': bool
+                        'is_error': bool
+                        'trade_price': float
+                    }
                 }
             }
         }
@@ -35,6 +43,30 @@ 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 = []
+        self._diffs_paths = set()
+        self._prototype = {
+            "trade": {
+                "*": {
+                    "orders": {
+                        "*": {
+                            "status": None,
+                            "exchange_order_id": None
+                        }
+                    },
+                    "trades": {
+                        "*": None
+                    },
+                    "positions": {
+                        "*": {
+                            "pos_long_his": None,
+                            "pos_long_today": None,
+                            "pos_short_his": None,
+                            "pos_short_today": None
+                        }
+                    }
+                }
+            }
+        }
 
     async def _run(self, api_send_chan, api_recv_chan, md_send_chan, md_recv_chan):
         self._logger = self._api._logger.getChild("DataExtension")
@@ -74,10 +106,16 @@ async def _md_handler(self):
 
     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", {}):
+        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)
+                _simple_merge_diff_and_collect_paths(
+                    result=self._data['trade'],
+                    diff=d['trade'],
+                    path=('trade', ),
+                    diff_paths=self._diffs_paths,
+                    prototype=self._prototype['trade']
+                )
             self._diffs.append(d)
 
     def _generate_ext_diff(self):
@@ -86,43 +124,79 @@ def _generate_ext_diff(self):
         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)
+                self._update_quotes(d)
+        pend_diff = {}
+        _simple_merge_diff(pend_diff, self._get_positions_pend_diff(), reduce_diff=False)
+        orders_set = set()  # 计算过委托单，is_dead、is_online、is_error
+        orders_price_set = set()  # 根据成交计算哪些 order 需要重新计算平均成交价 trade_price
+        for path in self._diffs_paths:
+            if path[2] == 'orders':
+                _, account_key, _, order_id, _ = path
+                if (account_key, order_id) not in orders_set:
+                    orders_set.add((account_key, order_id))
+                    order = _get_obj(self._data, ['trade', account_key, 'orders', order_id])
+                    if order:
+                        pend_order = pend_diff.setdefault('trade', {}).setdefault(account_key, {}).setdefault('orders', {}).setdefault(order_id, {})
+                        pend_order['is_dead'] = order['status'] == "FINISHED"
+                        pend_order['is_online'] = order['exchange_order_id'] != "" and order['status'] == "ALIVE"
+                        pend_order['is_error'] = order['exchange_order_id'] == "" and order['status'] == "FINISHED"
+            elif path[2] == 'trades':
+                _, account_key, _, trade_id = path
+                trade = _get_obj(self._data, path)
+                order_id = trade.get('order_id', '')
+                if order_id:
+                    orders_price_set.add(('trade', account_key, 'orders', order_id))
+        for path in orders_price_set:
+            _, account_key, _, order_id = path
+            trade_price = self._get_trade_price(account_key, order_id)
+            if trade_price == trade_price:
+                pend_order = pend_diff.setdefault('trade', {}).setdefault(account_key, {}).setdefault('orders', {}).setdefault(order_id, {})
+                pend_order['trade_price'] = trade_price
+        self._diffs_paths = set()
         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
+            if not _is_key_exist(diff, path=['quotes', symbol], key=['expire_datetime']):
+                continue
+            expire_datetime = diff['quotes'][symbol]['expire_datetime']
+            if expire_datetime and expire_datetime == expire_datetime:  # 排除 None 和 nan
+                # 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
+                # 直接修改在 diff 里面的数据，当 diffs 里有多个对同个合约的修改时，保持数据截面的一致
                 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 {}
+                diff['quotes'][symbol]['expire_rest_days'] = expire_rest_days
 
-    def _update_positions(self, diff):
+    def _get_positions_pend_diff(self):
         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', {})
+        for account_key in self._data['trade']:
+            positions = self._data['trade'][account_key].get('positions', {})
+            for symbol, pos in positions.items():
+                paths = [('trade', account_key, 'positions', symbol) + (key, )
+                         for key in ['pos_long_his', 'pos_long_today', 'pos_short_his', 'pos_short_today']]
+                if any([p in self._diffs_paths for p in paths]):
+                    pos_long = pos['pos_long_his'] + pos['pos_long_today']
+                    pos_short = pos['pos_short_his'] + pos['pos_short_today']
+                    pend_diff.setdefault(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 {}
 
+    def _get_trade_price(self, account_key, order_id):
+        # 计算某个 order_id 对应的成交均价
+        trades = self._data['trade'][account_key]['trades']
+        trade_id_list = [t_id for t_id in trades.keys() if trades[t_id]['order_id'] == order_id]
+        sum_volume = sum([trades[t_id]['volume'] for t_id in trade_id_list])
+        if sum_volume == 0:
+            return float('nan')
+        else:
+            sum_amount = sum([trades[t_id]['volume'] * trades[t_id]['price'] for t_id in trade_id_list])
+            return sum_amount / sum_volume
+
     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

tqsdk/diff.py

@@ -3,6 +3,7 @@
 __author__ = 'yanqiong'
 
 import copy
+from typing import Set, Union, Dict, Tuple
 
 from tqsdk.entity import Entity
 
@@ -143,3 +144,40 @@ def _simple_merge_diff(result, diff, reduce_diff=True, persist=False):
             del diff[key]
         else:
             result[key] = diff[key]
+
+
+def _simple_merge_diff_and_collect_paths(result, diff, path: Tuple, diff_paths: Set, prototype: Union[Dict, None]):
+    """
+    更新业务数据并收集指定节点的路径
+    默认行为 reduce_diff = True，表示函数运行完成后，diff 会更新为与 result 真正的有区别的字段。
+    这个函数只在 data_extension 中用到，diff 只使用一次，并且全部转发到 api，可以执行 reduce_diff = True 的行为。
+    :param result: 更新结果
+    :param diff: diff pack
+    :param path: 当前迭代 merge_diff 的节点路径
+    :param diff_paths: 收集指定节点的路径
+    :param prototype: 数据原型, 为 None 的节点路径会被记录在 diff_paths 集合中
+    :return:
+    """
+    for key in list(diff.keys()):
+        if diff[key] is None:
+            result.pop(key, None)
+            if prototype and ('*' in prototype or key in prototype) and prototype['*' if '*' in prototype else key] is None:
+                diff_paths.add(path + (key, ))
+        elif isinstance(diff[key], dict):
+            target = result.setdefault(key, {})
+            sub_path = path + (key, )
+            sub_prototype = None
+            if prototype and ('*' in prototype or key in prototype):
+                sub_prototype = prototype['*' if '*' in prototype else key]
+                if sub_prototype is None:
+                    diff_paths.add(sub_path)
+            _simple_merge_diff_and_collect_paths(target, diff[key], path=sub_path, prototype=sub_prototype, diff_paths=diff_paths)
+            if len(diff[key]) == 0:
+                del diff[key]
+        elif key in result and result[key] == diff[key]:
+            del diff[key]
+        else:
+            result[key] = diff[key]
+            # 只有确实有变更的字段，会出现在 diff_paths 里
+            if prototype and ('*' in prototype or key in prototype) and prototype['*' if '*' in prototype else key] is None:
+                diff_paths.add(path + (key, ))