Update Version 3.2.5

shinnytech · Mar 9, 2022 · a9497b2 · a9497b2
1 parent 4b0fa90
commit a9497b2
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Showing 9 changed files with 33 additions and 11 deletions.
diff --git a/PKG-INFO b/PKG-INFO
@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: tqsdk
-Version: 3.2.4
+Version: 3.2.5
 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'3.2.4'
+version = u'3.2.5'
 # The full version, including alpha/beta/rc tags.
-release = u'3.2.4'
+release = u'3.2.5'
 
 # The language for content autogenerated by Sphinx. Refer to documentation
 # for a list of supported languages.

diff --git a/doc/version.rst b/doc/version.rst
@@ -2,6 +2,13 @@
 
 版本变更
 =============================
+3.2.5 (2022/03/09)
+
+* 修复：修正上交所 ETF 期权的昨结算（pre_settlement）字段未正确显示的问题
+* 修复：:py:class:`~tqsdk.TargetPosTask` 及 :py:class:`~tqsdk.algorithm.twap` 添加强麦期货暂不支持的提示
+* 修复：api.insert_order 没有检查 advanced 参数
+
+
 3.2.4 (2022/03/07)
 
 * 优化：某些情况下启用 web_gui 后网页卡顿的问题

diff --git a/setup.py b/setup.py
@@ -36,7 +36,7 @@ def get_tag(self):
 
 setuptools.setup(
     name='tqsdk',
-    version="3.2.4",
+    version="3.2.5",
     description='TianQin SDK',
     author='TianQin',
     author_email='[email protected]',

diff --git a/tqsdk/__version__.py b/tqsdk/__version__.py
@@ -1 +1 @@
-__version__ = '3.2.4'
+__version__ = '3.2.5'
diff --git a/tqsdk/algorithm/twap.py b/tqsdk/algorithm/twap.py
@@ -120,7 +120,9 @@ def __init__(self, api: TqApi, symbol: str, direction: str, offset: str, volume:
         if symbol.startswith("CZCE.CJ"):
             raise Exception("红枣期货不支持创建 targetpostask、twap、vwap 任务，交易所规定该品种最小开仓手数为大于等于 4 手，这些函数还未支持该规则!")
         if symbol.startswith("CZCE.ZC"):
-            raise Exception("动力煤期货不支持创建 targetpostask、twap、vwap 任务，交易所规定该品种最小开仓手数为大于等于 2 手，这些函数还未支持该规则!")
+            raise Exception("动力煤期货不支持创建 targetpostask、twap、vwap 任务，交易所规定该品种最小开仓手数为大于等于 4 手，这些函数还未支持该规则!")
+        if symbol.startswith("CZCE.WH"):
+            raise Exception("强麦期货不支持创建 targetpostask、twap、vwap 任务，交易所规定该品种最小开仓手数为大于等于 10 手，这些函数还未支持该规则!")
         self._api = api
         self._account = api._account._check_valid(account)
         if self._account is None:

diff --git a/tqsdk/api.py b/tqsdk/api.py
@@ -1246,6 +1246,8 @@ def insert_order(self, symbol: str, direction: str, offset: str = "", volume: in
             raise Exception(f"账户 {account._broker_id}, {account._account_id} 不支持交易合约 {symbol}。")
         if isinstance(account, TqKq) and exchange_id in ["SSE", "SZSE"]:  # 快期模拟暂不支持，提前抛错
             raise Exception(f"快期模拟暂不支持股票及 ETF 期权交易，股票交易请使用 TqKqStock。")
+        if not (advanced is None or advanced in ["FAK", "FOK"]):
+            raise Exception("advanced 参数错误，只支持以下选项之一 'FAK', 'FOK', None。")
         order_id = order_id if order_id else _generate_uuid("PYSDK_insert")
 
         # 股票下单时, 不支持 offset 参数

diff --git a/tqsdk/lib/target_pos_task.py b/tqsdk/lib/target_pos_task.py
@@ -198,7 +198,9 @@ def get_price(direction, quote):
         if symbol.startswith("CZCE.CJ"):
             raise Exception("红枣期货不支持创建 targetpostask、twap、vwap 任务，交易所规定该品种最小开仓手数为大于等于 4 手，这些函数还未支持该规则!")
         if symbol.startswith("CZCE.ZC"):
-            raise Exception("动力煤期货不支持创建 targetpostask、twap、vwap 任务，交易所规定该品种最小开仓手数为大于等于 2 手，这些函数还未支持该规则!")
+            raise Exception("动力煤期货不支持创建 targetpostask、twap、vwap 任务，交易所规定该品种最小开仓手数为大于等于 4 手，这些函数还未支持该规则!")
+        if symbol.startswith("CZCE.WH"):
+            raise Exception("强麦期货不支持创建 targetpostask、twap、vwap 任务，交易所规定该品种最小开仓手数为大于等于 10 手，这些函数还未支持该规则!")
         super(TargetPosTask, self).__init__()
         self._api = api
         self._account = api._account._check_valid(account)

diff --git a/tqsdk/symbols.py b/tqsdk/symbols.py
@@ -19,6 +19,7 @@ async def _run(self, api, sim_send_chan, sim_recv_chan, md_send_chan, md_recv_ch
         self._sim_recv_chan = sim_recv_chan
         self._md_send_chan = md_send_chan
         self._md_recv_chan = md_recv_chan
+        self._sse_options = set()
         self._quotes_all_keys = set(Quote(None).keys())
         self._quotes_all_keys = self._quotes_all_keys.union({'margin', 'commission'})
         # 以下字段合约服务也会请求，但是不应该记在 quotes 中，quotes 中的这些字段应该有行情服务负责
@@ -30,6 +31,9 @@ async def _run(self, api, sim_send_chan, sim_recv_chan, md_send_chan, md_recv_ch
                     data = pack.setdefault("data", [])
                     # 对于收到的数据，全部转发给下游
                     # 对于合约服务信息，query_id 为 PYSDK_quote_xxx 开头的，一定是请求了合约的全部合约信息，需要转为 quotes 转发给下游
+                    updated_quotes = {}  # 合约服务内容转为的 quotes 对象
+                    # 分两次循环，第一次循环找到所有的 SSE 期权，第二次循环将从行情收到的 SSE 期权的 pre_settlement 删掉
+                    # 最终将 updated_quotes 发送给下游
                     for d in data:
                         for query_id, query_result in d.get("symbols", {}).items():
                             if query_result:
@@ -38,17 +42,22 @@ async def _run(self, api, sim_send_chan, sim_recv_chan, md_send_chan, md_recv_ch
                                 elif query_id.startswith("PYSDK_quote"):
                                     quotes = self._api._symbols_to_quotes(query_result, self._quotes_all_keys)
                                     for quote in quotes.values():
-                                        if not (quote["ins_class"] == "OPTION" and quote["exchange_id"] == "SSE"):
+                                        if quote["ins_class"] == "OPTION" and quote["exchange_id"] == "SSE":
+                                            self._sse_options.add(quote["instrument_id"])
+                                        else:
                                             # quotes 中的 pre_settlement 字段应该由行情服务负责，行情没有上交所期权的 pre_settlement，需要从合约服务取，其他合约不变
                                             quote.pop("pre_settlement", None)
-                                    data.append(
-                                        {"quotes": quotes}
-                                    )
+                                    updated_quotes.update(quotes)
                                     self._md_send_chan.send_nowait({
                                         "aid": "ins_query",
                                         "query_id": query_id,
                                         "query": ""
                                     })
+                    for d in data:
+                        for symbol, quote in d.get("quotes", {}).items():
+                            if symbol in self._sse_options:
+                                quote.pop("pre_settlement", None)
+                    data.append({"quotes": updated_quotes})
                 await self._sim_recv_chan.send(pack)
         finally:
             sim_task.cancel()