Update Version 3.5.8

Author: shinny-pack

PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: tqsdk
-Version: 3.5.7
+Version: 3.5.8
 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'3.5.7'
+version = u'3.5.8'
 # The full version, including alpha/beta/rc tags.
-release = u'3.5.7'
+release = u'3.5.8'
 
 # The language for content autogenerated by Sphinx. Refer to documentation
 # for a list of supported languages.

doc/version.rst

@@ -2,6 +2,16 @@
 
 版本变更
 =============================
+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
+* 修复：用户在使用 :py:class:`~tqsdk.TargetPosScheduler` 时可能出现重复创建 :py:class:`~tqsdk.TargetPosTask` 实例的问题
+* 优化：:py:class:`~tqsdk.tools.DataDownloader` 在下载没有任何成交数据的合约时能够及时退出，避免等待超时或报错
+* 优化：重构 :py:class:`~tqsdk.TargetPosTask` 退出时释放资源部分，优化异步代码中 :py:class:`~tqsdk.TargetPosTask` 的使用方法
+* 优化：回测时，如果订阅没有任何成交数据的合约，构造的空数据给下游，避免程序一直等待
+* 优化：对发送给合约服务器的数据进行检查，避免发送不合法的数据，提前报错通知用户
+
+
 3.5.7 (2024/04/23)
 
 * 修复：:py:meth:`~tqsdk.TqApi.get_kline_data_series`、:py:meth:`~tqsdk.TqApi.get_tick_data_series` 接口在指定时间段没有数据时报错

setup.py

@@ -8,7 +8,7 @@
 
 setuptools.setup(
  name='tqsdk',
- version="3.5.7",
+ version="3.5.8",
  description='TianQin SDK',
  author='TianQin',
  author_email='tianqincn@gmail.com',

tqsdk/__version__.py

@@ -1 +1 @@
-__version__ = '3.5.7'
+__version__ = '3.5.8'

tqsdk/api.py

@@ -2823,7 +2823,12 @@ async def show_symbols_info(symbols):
  """
  if self._stock is False:
  raise Exception("期货行情系统(_stock = False)不支持当前接口调用")
- symbol_list = [symbol] if isinstance(symbol, str) else symbol
+ if isinstance(symbol, str):
+ symbol_list = [symbol]
+ else:
+ if len(symbol) == 0:
+ raise Exception("symbol 参数不能为空列表。")
+ symbol_list = symbol
  if any([s == "" for s in symbol_list]):
  raise Exception(f"symbol 参数 {symbol} 中不能有空字符串。")
  backtest_timestamp = _datetime_to_timestamp_nano(self._get_current_datetime()) if isinstance(self._backtest,

tqsdk/backtest/backtest.py

@@ -350,7 +350,7 @@ async def _generator_diffs(self, keep_current):
  # klines 请求，需要记录已经发送 api 的数据
  for symbol in diff.get("klines", {}):
  for dur in diff["klines"][symbol]:
- for kid in diff["klines"][symbol][dur]["data"]:
+ for kid in diff["klines"][symbol][dur].get('data', {}):
  rs = self._sended_to_api.setdefault((symbol, int(dur)), [])
  kid = int(kid)
  self._sended_to_api[(symbol, int(dur))] = _rangeset_range_union(rs, (kid, kid + 1))
@@ -390,22 +390,24 @@ def _generator_quotes_diffs(self, quotes_helper) -> dict:
  # 如果先订阅 A 合约（有夜盘），时间停留在夜盘开始时间， 再订阅 B 合约（没有夜盘），那么 B 合约的行情（前一天收盘时间）应该发下去，
  # 否则 get_quote(B) 等到收到行情才返回，会直接把时间推进到第二天白盘。
  continue
+ item = quotes_helper[key]["kline_or_tick"]
+ if item is None:
+ # item 如果是 None 的话，没有可以生成行情的信息的数据，那么不生成 quote_diff
+ continue
  diffs = None
  if self._quotes[symbol]['min_duration'] == 0 and dur == 0:
  # tick 生成行情
- tick = quotes_helper[key]["kline_or_tick"]
- diffs = TqBacktest._get_quote_diffs_from_tick(symbol, tick)
+ diffs = TqBacktest._get_quote_diffs_from_tick(symbol, item)
  if self._quotes[symbol]['min_duration'] != 0:
  # kline 生成行情
  when = quotes_helper[key]["when"]
  timestamp = quotes_helper[key]["timestamp"] # quote 行情时间
- kline = quotes_helper[key]["kline_or_tick"]
  quote_info = self._data["quotes"][symbol]
  froms = ["open"] if when == "OPEN" else ["close"]
  if when == "CLOSE" and self._quotes[symbol]['min_duration'] == dur:
  # kline 生成 quote 数据，只有该合约订阅的最小周期会生成 high low 对应的行情
  froms = ["high", "low", "close"]
- diffs = TqBacktest._get_quote_diffs_from_kline(symbol, quote_info['price_tick'], timestamp, kline, froms)
+ diffs = TqBacktest._get_quote_diffs_from_kline(symbol, quote_info['price_tick'], timestamp, item, froms)
  if diffs:
  self._quotes[symbol]["sended_init_quote"] = True
  self._diffs.extend(diffs)
@@ -505,18 +507,31 @@ async def _gen_serial(self, ins, dur):
  if not (chart_info.items() <= _get_obj(chart, ["state"]).items()):
  # 当前请求还没收齐回应, 不应继续处理
  continue
- left_id = chart.get("left_id", -1)
- right_id = chart.get("right_id", -1)
- if (left_id == -1 and right_id == -1) or chart.get("more_data", True):
- continue # 定位信息还没收到, 数据没有完全收到
+ if not chart.get("ready", False):
+ continue # chart 数据还没准备好
  last_id = serials[0].get("last_id", -1)
  if last_id == -1:
- continue # 数据序列还没收到
+ # 所有合约的 tick 数据一定有，开盘一定会收到一笔 tick
+ # kline 是由有价格的 tick 生成的，所以 kline 可能没有数据的
+ assert dur > 0
+ diff = {
+ "klines": {
+ symbol_list[0]: {
+ str(dur): {
+ "last_id": -1
+ }
+ }
+ }
+ }
+ yield self._current_dt, diff, None, "OPEN"
+ return
  if self._data.get("mdhis_more_data", True):
  self._data["_listener"].add(update_chan)
  continue
  else:
  self._data["_listener"].discard(update_chan)
+ left_id = chart.get("left_id", -1)
+ right_id = chart.get("right_id", -1)
  if current_id is None:
  current_id = max(left_id, 0)
  # 发送下一段 chart 8964 根 kline

tqsdk/ins_schema.py

@@ -6,6 +6,22 @@
 import sgqlc.types
 from sgqlc.operation import Fragment
 
+
+########################################################################
+# Monkey patching 检查请求的参数是否合法，与 api.query_graphql 函数的校验规则保持一致
+########################################################################
+_origin__to_graphql_input__ = sgqlc.types.Arg.__to_graphql_input__
+
+
+def _tqsdk__to_graphql_input__(self, value, *args, **kwargs):
+ if value == "" or isinstance(value, list) and (any([s == "" for s in value]) or len(value) == 0):
+ raise Exception(f"variables 中变量值不支持空字符串、空列表或者列表中包括空字符串。")
+ return _origin__to_graphql_input__(self, value, *args, **kwargs)
+
+
+sgqlc.types.Arg.__to_graphql_input__ = _tqsdk__to_graphql_input__
+
+
 ins_schema = sgqlc.types.Schema()
 
 

tqsdk/lib/target_pos_scheduler.py

@@ -135,8 +135,8 @@ async def _run(self):
  async for _ in self._api.register_update_notify(quote):
  if _get_trade_timestamp(quote.datetime, float('nan')) > row['deadline']:
  if target_pos_task:
- target_pos_task._task.cancel()
- await asyncio.gather(target_pos_task._task, return_exceptions=True)
+ target_pos_task.cancel()
+ await asyncio.gather(target_pos_task, return_exceptions=True)
  break
  elif target_pos_task: # 最后一项，如果有 target_pos_task 等待持仓调整完成，否则直接退出
  position = self._account.get_position(self._symbol)
@@ -147,8 +147,8 @@ async def _run(self):
  _index = _index + 1
  finally:
  if target_pos_task:
- target_pos_task._task.cancel()
- await asyncio.gather(target_pos_task._task, return_exceptions=True)
+ target_pos_task.cancel()
+ await asyncio.gather(target_pos_task, return_exceptions=True)
  await self._trade_objs_chan.close()
  await self._trade_recv_task
 

tqsdk/lib/target_pos_task.py

@@ -214,6 +214,33 @@ def get_price(direction):
  self._time_update_task = self._api.create_task(self._update_time_from_md()) # 监听行情更新并记录当时本地时间的task
  self._local_time_record = time.time() - 0.005 # 更新最新行情时间时的本地时间
  self._local_time_record_update_chan = TqChan(self._api, last_only=True) # 监听 self._local_time_record 更新
+ self._wait_task_finished = self._api._loop.create_future()
+ self._task.add_done_callback(lambda _: self._api.create_task(self._exit_task()))
+
+ async def _exit_task(self):
+ """
+ 执行 task.cancel() 时, 删除掉该 symbol 对应的 TargetPosTask 实例，以释放占有的资源。
+
+ 当用户代码为：
+ t = TargetPosTask(api, 'SHFE.rb2106', min_volume=2, max_volume=10)
+ t.cancel()
+ await asyncio.gather(t._task, return_exceptions=True)
+
+ 以上代码执行后，t._task 中的 finally 部分没有被执行过，因为 t._task 本身从来没有被执行过。
+
+ 所以这里用 add_done_callback 的方式，处理 __init__ 方法中创建的资源。
+ self._task、self._pos_chan、self._time_update_task 都是在 __init__ 方法里创建的资源，所以在这里释放资源，
+ self._task 中的 finally 部分只处理在 self._task 函数里创建的资源。
+ """
+ # self._account 类型为 TqSim/TqKq/TqAccount，都包括 _account_key 变量
+ TargetPosTaskSingleton._instances.pop(self._account._account_key + "#" + self._symbol, None)
+ await self._pos_chan.close()
+ self._time_update_task.cancel()
+ await asyncio.gather(self._time_update_task, return_exceptions=True)
+ self._wait_task_finished.set_result(True)
+
+ def __await__(self):
+ return self._wait_task_finished.__await__()
 
  def set_target_volume(self, volume: int) -> None:
  """
@@ -379,12 +406,7 @@ async def _target_pos_task(self):
  all_tasks.append(order_task)
  delta_volume -= order_volume if order_dir == "BUY" else -order_volume
  finally:
- # 执行 task.cancel() 时, 删除掉该 symbol 对应的 TargetPosTask 实例
- # self._account 类型为 TqSim/TqKq/TqAccount，都包括 _account_key 变量
- TargetPosTaskSingleton._instances.pop(self._account._account_key + "#" + self._symbol, None)
- await self._pos_chan.close()
- self._time_update_task.cancel()
- await asyncio.gather(*([t._task for t in all_tasks] + [self._time_update_task]), return_exceptions=True)
+ await asyncio.gather(*[t._task for t in all_tasks], return_exceptions=True)
 
  def cancel(self):
  """
@@ -423,6 +445,46 @@ def cancel(self):
 
  api.close()
 
+
+ Example2::
+
+ # 在异步代码中使用
+ from datetime import datetime, time
+ from tqsdk import TqApi, TargetPosTask
+
+ api = TqApi(auth=TqAuth("快期账户", "账户密码"))
+ quote = api.get_quote("SHFE.rb2110")
+
+ async def demo(SYMBOL):
+ quote = await api.get_quote(SYMBOL)
+ target_pos_passive = TargetPosTask(api, SYMBOL, price="PASSIVE")
+ async with api.register_update_notify() as update_chan:
+ async for _ in update_chan:
+ if datetime.strptime(quote.datetime, "%Y-%m-%d %H:%M:%S.%f").time() < time(14, 50):
+ # ... 策略代码 ...
+ else:
+ target_pos_passive.cancel() # 取消 TargetPosTask 实例
+ await target_pos_passive # 等待 target_pos_passive 处理 cancel 结束
+ break
+
+ target_pos_active = TargetPosTask(api, "SHFE.rb2110", price="ACTIVE")
+ target_pos_active.set_target_volume(0) # 平所有仓位
+ pos = await api.get_position(SYMBOL)
+ async with api.register_update_notify() as update_chan:
+ async for _ in update_chan:
+ if pos.pos == 0:
+ target_pos_active.cancel() # 取消 TargetPosTask 实例
+ await target_pos_active # 等待 target_pos_active 处理 cancel 结束
+ break
+
+
+ symbol_list = ["SHFE.rb2107", "DCE.m2109"] # 设置合约代码
+ for symbol in symbol_list:
+ api.create_task(demo("SHFE.rb2107")) # 为每个合约创建异步任务
+
+ while True:
+ api.wait_update()
+
  """
  self._task.cancel()
 
@@ -433,7 +495,10 @@ def is_finished(self) -> bool:
  Returns:
  bool: 当前 TargetPosTask 实例是否已经结束
  """
- return self._task.done()
+ if self._wait_task_finished.done():
+ assert self._task.done() is True
+ return self._wait_task_finished.result()
+ return False
 
 
 class InsertOrderUntilAllTradedTask(object):