Update Version 3.5.9

Author: shinny-pack

PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: tqsdk
-Version: 3.5.8
+Version: 3.5.9
 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'3.5.8'
+version = u'3.5.9'
 # The full version, including alpha/beta/rc tags.
-release = u'3.5.8'
+release = u'3.5.9'
 
 # The language for content autogenerated by Sphinx. Refer to documentation
 # for a list of supported languages.

doc/version.rst

@@ -2,6 +2,12 @@
 
 版本变更
 =============================
+3.5.9 (2024/05/09)
+
+* 增加：:py:meth:`~tqsdk.TqApi.query_all_level_finance_options` 增加中金所股指期权标的
+* 优化：:py:meth:`~tqsdk.TqApi.get_kline_data_series`、:py:meth:`~tqsdk.TqApi.get_tick_data_series` 接口在请求没有任何成交数据的合约时能够及时退出，避免等待超时
+
+
 3.5.8 (2024/04/29)
 
 * 增加：:py:class:`~tqsdk.tools.DataDownloader` 增加 write_mode 参数，作为写入模式参数，并且在模式为 'a' 时，不写入标题行

setup.py

@@ -8,7 +8,7 @@
 
 setuptools.setup(
  name='tqsdk',
- version="3.5.8",
+ version="3.5.9",
  description='TianQin SDK',
  author='TianQin',
  author_email='tianqincn@gmail.com',

tqsdk/__version__.py

@@ -1 +1 @@
-__version__ = '3.5.8'
+__version__ = '3.5.9'

tqsdk/api.py

@@ -2928,7 +2928,9 @@ def query_all_level_finance_options(self, underlying_symbol, underlying_price, o
 
  Args:
  underlying_symbol (str): [必填] 标的合约 （针对 ETF 期权和股指期权，只支持以下几个合约）
- * "SSE.000300" 为中金所股指期权标的
+ * "SSE.000300" 为中金所沪深 300 股指期权(IO)标的
+ * "SSE.000852" 为中金所中证 1000 股指期权(MO)标的
+ * "SSE.000016" 为中金所上证 50 股指期权(HO)标的
  * "SSE.510050" 为上交所华夏上证 50 ETF 期权标的
  * "SSE.510300" 为上交所华泰柏瑞沪深 300 ETF 期权标的
  * "SZSE.159919" 为深交所嘉实沪深 300 ETF 期权标的
@@ -2991,7 +2993,8 @@ def query_all_level_finance_options(self, underlying_symbol, underlying_price, o
  """
  if self._stock is False:
  raise Exception("期货行情系统(_stock = False)不支持当前接口调用")
- if underlying_symbol not in ["SSE.000300", "SSE.510050", "SSE.510300", "SZSE.159919", "SZSE.159915", "SZSE.159922", "SSE.510500"]:
+ if underlying_symbol not in ["SSE.000300", "SSE.510050", "SSE.510300", "SZSE.159919", "SZSE.159915", "SZSE.159922", "SSE.510500",
+ "SSE.000016", "SSE.000852"]:
  raise Exception("不支持的标的合约")
  if option_class not in ['CALL', 'PUT']:
  raise Exception("option_class 参数错误，option_class 必须是 'CALL' 或者 'PUT'")

tqsdk/data_series.py

@@ -13,8 +13,7 @@
 from tqsdk.channel import TqChan
 from tqsdk.diff import _get_obj
 from tqsdk.rangeset import _rangeset_difference, _rangeset_intersection
-from tqsdk.tafunc import get_dividend_df
-from tqsdk.utils import _generate_uuid
+from tqsdk.utils import _generate_uuid, _get_dividend_factor
 
 CACHE_DIR = os.path.join(os.path.expanduser('~'), ".tqsdk/data_series_1")
 
@@ -144,7 +143,8 @@ async def _run(self):
  # 复权, 如果存在 STOCK / FUND 并且 adj_type is not None, 这里需要提前准备下载时间段内的复权因子
  quote = self._api.get_quote(symbol)
  if self._adj_type and quote.ins_class in ["STOCK", "FUND"]:
- factor_df = await self._update_dividend_factor(symbol) # 复权需要根据日线计算除权因子，todo: 如果本地下载过日线，不需要再从服务器获取日线数据
+ factor_df = await _get_dividend_factor(self._api, quote, self._start_dt_nano, self._end_dt_nano,
+ chart_id_prefix="PYSDK_data_factor") # 复权需要根据日线计算除权因子，todo: 如果本地下载过日线，不需要再从服务器获取日线数据
  if self._adj_type == "F":
  # 倒序循环 factor_df, 对于小于当前 factor_df[datetime] 的行 乘以 factor_df[factor]
  for i in range(factor_df.shape[0] - 1, -1, -1):
@@ -212,13 +212,12 @@ async def _download_data(self, start_dt, end_dt, data_chan):
  async for _ in update_chan:
  if not (chart_info.items() <= _get_obj(chart, ["state"]).items()):
  continue # 当前请求还没收齐回应, 不应继续处理
+ if chart.get("ready", False) is False:
+ continue # 数据还没全部收到
+ if serial.get("last_id", -1) == -1:
+ return # 合约没有任何数据
  left_id = chart.get("left_id", -1)
  right_id = chart.get("right_id", -1)
- if (left_id == -1 and right_id == -1) or self._api._data.get("mdhis_more_data", True):
- continue # 定位信息还没收到, 或数据序列还没收到
- # 检查合约的数据是否收到
- if serial.get("last_id", -1) == -1:
- continue
  if current_id is None:
  current_id = max(left_id, 0)
  while current_id <= right_id:
@@ -245,51 +244,6 @@ async def _download_data(self, start_dt, end_dt, data_chan):
  "view_width": 2000,
  })
 
- async def _update_dividend_factor(self, symbol):
- quote = self._api.get_quote(symbol)
- df = get_dividend_df(quote.stock_dividend_ratio, quote.cash_dividend_ratio)
- between = df["datetime"].between(self._start_dt_nano, self._end_dt_nano) # 只需要开始时间～结束时间之间的复权因子
- df["pre_close"] = float('nan')
- for i in df[between].index:
- chart_info = {
- "aid": "set_chart",
- "chart_id": _generate_uuid("PYSDK_data_factor"),
- "ins_list": symbol,
- "duration": 86400 * 1000000000,
- "view_width": 2,
- "focus_datetime": int(df.iloc[i].datetime),
- "focus_position": 1
- }
- await self._api._send_chan.send(chart_info)
- chart = _get_obj(self._api._data, ["charts", chart_info["chart_id"]])
- serial = _get_obj(self._api._data, ["klines", symbol, str(86400000000000)])
- try:
- async with self._api.register_update_notify() as update_chan:
- async for _ in update_chan:
- if not (chart_info.items() <= _get_obj(chart, ["state"]).items()):
- continue # 当前请求还没收齐回应, 不应继续处理
- left_id = chart.get("left_id", -1)
- right_id = chart.get("right_id", -1)
- if (left_id == -1 and right_id == -1) or self._api._data.get("mdhis_more_data",
- True) or serial.get("last_id",
- -1) == -1:
- continue # 定位信息还没收到, 或数据序列还没收到, 合约的数据是否收到
- last_item = serial["data"].get(str(left_id), {})
- # 复权时间点的昨收盘
- df.loc[i, 'pre_close'] = last_item['close'] if last_item.get('close') else float('nan')
- break
- finally:
- await self._api._send_chan.send({
- "aid": "set_chart",
- "chart_id": chart_info["chart_id"],
- "ins_list": "",
- "duration": 86400000000000,
- "view_width": 2
- })
- df["factor"] = (df["pre_close"] - df["cash_dividend"]) / df["pre_close"] / (1 + df["stock_dividend"])
- df["factor"].fillna(1, inplace=True)
- return df
-
  def _merge_rangeset(self):
  symbol = self._symbol_list[0]
  rangeset = DataSeries._get_rangeset_id(symbol, self._dur_nano)

tqsdk/tools/downloader.py

@@ -15,8 +15,7 @@
 from tqsdk.api import TqApi
 from tqsdk.datetime import _cst_tz, _convert_user_input_to_nano
 from tqsdk.diff import _get_obj
-from tqsdk.tafunc import get_dividend_df
-from tqsdk.utils import _generate_uuid
+from tqsdk.utils import _generate_uuid, _get_dividend_factor
 
 try:
  file_path = os.path.split(os.path.abspath(__file__))[0]
@@ -188,46 +187,7 @@ def _get_data_series(self) -> Optional[pandas.DataFrame]:
 
  async def _ensure_dividend_factor(self, quote, timestamp):
  if quote.instrument_id not in self._dividend_cache:
- # 对每个除权除息矩阵增加 factor 序列，为当日的复权因子
- df = get_dividend_df(quote.stock_dividend_ratio, quote.cash_dividend_ratio)
- df = df[df["datetime"].between(timestamp, self._end_dt_nano, inclusive="right")] # 只需要第一笔行情时间～结束时间之间的复权因子, 左开右闭
- df["pre_close"] = float('nan') # 初始化 pre_close 为 nan
- for i in range(len(df)):
- chart_info = {
- "aid": "set_chart",
- "chart_id": _generate_uuid("PYSDK_downloader"),
- "ins_list": quote.instrument_id,
- "duration": 86400 * 1000000000,
- "view_width": 2,
- "focus_datetime": int(df["datetime"].iloc[i]),
- "focus_position": 1
- }
- await self._api._send_chan.send(chart_info)
- chart = _get_obj(self._api._data, ["charts", chart_info["chart_id"]])
- serial = _get_obj(self._api._data, ["klines", quote.instrument_id, str(86400000000000)])
- try:
- async with self._api.register_update_notify() as update_chan:
- async for _ in update_chan:
- if not (chart_info.items() <= _get_obj(chart, ["state"]).items()):
- continue # 当前请求还没收齐回应, 不应继续处理
- if chart.get("ready", False) is False:
- continue # 合约的数据是否收到
- left_id = chart.get("left_id", -1)
- assert left_id != -1 # 需要下载除权除息日的前一天行情，即这一天一定是有行情的，left_id 一定不是 -1
- last_item = serial["data"].get(str(left_id), {})
- # 复权时间点的昨收盘
- df.loc[i, 'pre_close'] = last_item['close'] if last_item.get('close') else float('nan')
- break
- finally:
- await self._api._send_chan.send({
- "aid": "set_chart",
- "chart_id": chart_info["chart_id"],
- "ins_list": "",
- "duration": 86400000000000,
- "view_width": 2
- })
- df["factor"] = (df["pre_close"] - df["cash_dividend"]) / df["pre_close"] / (1 + df["stock_dividend"])
- df["factor"].fillna(1.0, inplace=True)
+ df = await _get_dividend_factor(self._api, quote, timestamp, self._end_dt_nano, chart_id_prefix="PYSDK_downloader")
  # 插入结束时间这条记录, 因为可能存在行情时间等于 _end_dt_nano 的行情，因此这里 +1
  df = df.append({"datetime": self._end_dt_nano+1, "factor": 1.0}, ignore_index=True)
  if self._adj_type == "F":

tqsdk/utils.py

@@ -10,7 +10,9 @@
 from sgqlc.operation import Operation
 from pandas.core.internals import BlockManager
 
+from tqsdk.diff import _get_obj
 from tqsdk.ins_schema import ins_schema, _add_all_frags
+from tqsdk.tafunc import get_dividend_df
 
 RD = random.Random(secrets.randbits(128)) # 初始化随机数引擎，使用随机数作为seed，防止用户同时拉起多个策略，产生同样的 seed
 
@@ -150,3 +152,48 @@ def __init__(self, *args, **kwargs):
  self._known_consolidated = False
 
  def _consolidate_inplace(self): pass
+
+
+async def _get_dividend_factor(api, quote, start_dt_nano, end_dt_nano, chart_id_prefix="PYSDK_dividend_factor"):
+ # 对每个除权除息矩阵增加 factor 序列，为当日的复权因子
+ df = get_dividend_df(quote.stock_dividend_ratio, quote.cash_dividend_ratio)
+ df = df[df["datetime"].between(start_dt_nano, end_dt_nano, inclusive="right")] # 只需要一段时间之间的复权因子, 左开右闭
+ df["pre_close"] = float('nan') # 初始化 pre_close 为 nan
+ for i in range(len(df)):
+ chart_info = {
+ "aid": "set_chart",
+ "chart_id": _generate_uuid(chart_id_prefix),
+ "ins_list": quote.instrument_id,
+ "duration": 86400 * 1000000000,
+ "view_width": 2,
+ "focus_datetime": int(df["datetime"].iloc[i]),
+ "focus_position": 1
+ }
+ await api._send_chan.send(chart_info)
+ chart = _get_obj(api._data, ["charts", chart_info["chart_id"]])
+ serial = _get_obj(api._data, ["klines", quote.instrument_id, str(86400000000000)])
+ try:
+ async with api.register_update_notify() as update_chan:
+ async for _ in update_chan:
+ if not (chart_info.items() <= _get_obj(chart, ["state"]).items()):
+ continue # 当前请求还没收齐回应, 不应继续处理
+ if chart.get("ready", False) is False:
+ continue # 合约的数据是否收到
+ left_id = chart.get("left_id", -1)
+ assert left_id != -1 # 需要下载除权除息日的前一天行情，即这一天一定是有行情的，left_id 一定不是 -1
+ last_item = serial["data"].get(str(left_id), {})
+ # 复权时间点的昨收盘
+ df.loc[i, 'pre_close'] = last_item['close'] if last_item.get('close') else float('nan')
+ break
+ finally:
+ await api._send_chan.send({
+ "aid": "set_chart",
+ "chart_id": chart_info["chart_id"],
+ "ins_list": "",
+ "duration": 86400000000000,
+ "view_width": 2
+ })
+ df["factor"] = (df["pre_close"] - df["cash_dividend"]) / df["pre_close"] / (1 + df["stock_dividend"])
+ df["factor"].fillna(1.0, inplace=True)
+ return df
+