Update Version 3.5.0

PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: tqsdk
-Version: 3.4.11
+Version: 3.5.0
 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'3.4.11'
+version = u'3.5.0'
 # The full version, including alpha/beta/rc tags.
-release = u'3.4.11'
+release = u'3.5.0'
 
 # The language for content autogenerated by Sphinx. Refer to documentation
 # for a list of supported languages.

doc/usage/mddatas.rst

@@ -22,6 +22,7 @@ CZCE               郑州商品交易所
 CFFEX              中国金融交易所
 INE                上海能源中心(原油在这里)
 KQ                 快期 (所有主连合约, 指数都归属在这里)
+KQD                快期外盘主连合约
 SSWE               上期所仓单
 SSE                上海证券交易所
 SZSE               深圳证券交易所
@@ -52,6 +53,8 @@ GFEX               广州期货交易所
 	KQ.m@CFFEX.IF - 中金所IF品种主连合约
 	KQ.i@SHFE.bu - 上期所bu品种指数
 
+	KQD.m@CBOT.ZS - 美黄豆主连
+
 	SSWE.CUH - 上期所仓单铜现货数据
 
 	SSE.600000 - 上交所浦发银行股票编码

doc/version.rst

@@ -2,6 +2,14 @@
 
 版本变更
 =============================
+3.5.0 (2024/01/18)
+
+* 新增：行情增加外盘主连合约，通过 ``api.query_quotes(exchange_id=['KQD'])`` 查询外盘合约
+* 新增：:py:meth:`~tqsdk.TqZq` 众期账户类型，支持连接众期服务器交易
+* 优化：:py:meth:`~tqsdk.TqApi.query_quotes` 函数 ins_class、exchange_id、product_id 参数支持 list
+* 修复：ticks 回测时，可能出现账户结算信息为 nan 的问题
+
+
 3.4.11 (2024/01/03)
 
 * 优化：支持天勤在不同时区设置的操作系统上使用。tqsdk 内部时间表示全部使用北京时间。

setup.py

@@ -8,7 +8,7 @@
 
 setuptools.setup(
     name='tqsdk',
-    version="3.4.11",
+    version="3.5.0",
     description='TianQin SDK',
     author='TianQin',
     author_email='tianqincn@gmail.com',

tqsdk/__init__.py

@@ -4,7 +4,7 @@
 name = "tqsdk"
 
 from tqsdk.api import TqApi
-from tqsdk.tradeable import TqAccount, TqKq, TqKqStock, TqSim, TqSimStock
+from tqsdk.tradeable import TqAccount, TqZq,  TqKq, TqKqStock, TqSim, TqSimStock
 from tqsdk.auth import TqAuth
 from tqsdk.channel import TqChan
 from tqsdk.backtest import TqBacktest, TqReplay

tqsdk/__version__.py

@@ -1 +1 @@
-__version__ = '3.4.11'
+__version__ = '3.5.0'

tqsdk/api.py

@@ -70,7 +70,7 @@
 from tqsdk.risk_rule import TqRiskRule
 from tqsdk.ins_schema import ins_schema, basic, derivative, future, option
 from tqsdk.symbols import TqSymbols
-from tqsdk.tradeable import TqAccount, TqKq, TqKqStock, TqSim, TqSimStock, BaseSim, BaseOtg
+from tqsdk.tradeable import TqAccount, TqZq, TqKq, TqKqStock, TqSim, TqSimStock, BaseSim, BaseOtg
 from tqsdk.trading_status import TqTradingStatus
 from tqsdk.tqwebhelper import TqWebHelper
 from tqsdk.utils import _generate_uuid, _query_for_quote, BlockManagerUnconsolidated, _quotes_add_night, _bisect_value
@@ -99,7 +99,7 @@ def __init__(self, account: Optional[Union[TqMultiAccount, UnionTradeable]] = No
         创建天勤接口实例
 
         Args:
-            account (None/TqAccount/TqKq/TqKqStock/TqSim/TqSimStock/TqMultiAccount): [可选]交易账号:
+            account (None/TqAccount/TqKq/TqKqStock/TqSim/TqSimStock/TqZq/TqMultiAccount): [可选]交易账号:
                 * None: 账号将根据环境变量决定, 默认为 :py:class:`~tqsdk.TqSim`
 
                 * :py:class:`~tqsdk.TqAccount` : 使用实盘账号, 直连行情和交易服务器, 需提供期货公司/帐号/密码
@@ -112,6 +112,8 @@ def __init__(self, account: Optional[Union[TqMultiAccount, UnionTradeable]] = No
 
                 * :py:class:`~tqsdk.TqSimStock` : 使用 TqApi 自带的内部股票模拟账号
 
+                * :py:class:`~tqsdk.TqZq` : 使用众期账号
+
                 * :py:class:`~tqsdk.TqMultiAccount` : 多账户列表，列表中支持 :py:class:`~tqsdk.TqAccount`、:py:class:`~tqsdk.TqKq`、\
                   :py:class:`~tqsdk.TqKqStock`、:py:class:`~tqsdk.TqSim` 和 :py:class:`~tqsdk.TqSimStock` 中的 0 至 N 个或者组合
 
@@ -2317,30 +2319,31 @@ def query_symbol_ranking(self, symbol: str, ranking_type: str, days: int = 1, st
                 raise TqTimeoutError(f"获取 {symbol}, {ranking_type} 持仓排名信息信息超时，请检查客户端及网络是否正常")
         return df
 
-    def query_quotes(self, ins_class: str = None, exchange_id: str = None, product_id: str = None, expired: bool = None,
-                     has_night: bool = None) -> SymbolList:
+    def query_quotes(self, ins_class: Union[str, List[str]] = None, exchange_id: Union[str, List[str]] = None,
+                     product_id: Union[str, List[str]] = None, expired: bool = None, has_night: bool = None) -> SymbolList:
         """
         根据相应的参数发送合约服务请求查询，并返回查询结果
 
         Args:
-            ins_class (str): [可选] 合约类型
+            ins_class (str / list of str): [可选] 合约类型
                 * FUTURE: 期货
                 * CONT: 主连
                 * COMBINE: 组合
                 * INDEX: 指数
                 * OPTION: 期权
                 * STOCK: 股票
 
-            exchange_id (str): [可选] 交易所
+            exchange_id (str / list of str): [可选] 交易所
                 * CFFEX: 中金所
                 * SHFE: 上期所
                 * DCE: 大商所
                 * CZCE: 郑商所
                 * INE: 能源交易所(原油)
                 * SSE: 上交所
                 * SZSE: 深交所
+                * KQD: 外盘主连
 
-            product_id (str): [可选] 品种（股票、期权不能通过 product_id 筛选查询）
+            product_id (str / list of str): [可选] 品种（股票、期权不能通过 product_id 筛选查询）
 
             expired (bool): [可选] 是否已下市
 
@@ -2364,6 +2367,9 @@ def query_quotes(self, ins_class: str = None, exchange_id: str = None, product_i
             ls = api.query_quotes(ins_class="FUTURE", product_id="au")
             print(ls)  # au 品种的全部合约，包括已下市以及未下市合约
 
+            ls = api.query_quotes(ins_class=["FUTURE"], product_id=["au", "cu"], expired=False)
+            print(ls)  # au、cu 品种的全部未下市合约合约
+
             ls = api.query_quotes(ins_class="INDEX", product_id="au")
             print(ls)  # au 品种指数合约
 
@@ -2392,17 +2398,17 @@ def query_quotes(self, ins_class: str = None, exchange_id: str = None, product_i
         if ins_class is not None:
             if ins_class == "":
                 raise Exception("ins_class 参数不能为空字符串。")
-            variables["class_"] = [ins_class]
+            variables["class_"] = [ins_class] if isinstance(ins_class, str) else ins_class
         if exchange_id is not None:
             if exchange_id == "":
                 raise Exception("exchange_id 参数不能为空字符串。")
             # 如果是主连和指数，请求全部，在客户端区分交易所
             if ins_class not in ["INDEX", "CONT"] or exchange_id not in ["CFFEX", "SHFE", "DCE", "CZCE", "INE"]:
-                variables["exchange_id"] = [exchange_id]
+                variables["exchange_id"] = [exchange_id] if isinstance(exchange_id, str) else exchange_id
         if product_id is not None:
             if product_id == "":
                 raise Exception("product_id 参数不能为空字符串。")
-            variables["product_id"] = [product_id]
+            variables["product_id"] = [product_id] if isinstance(product_id, str) else product_id
         if expired is not None:
             variables["expired"] = expired
         if has_night is not None:

tqsdk/auth.py

@@ -148,7 +148,7 @@ def _has_account(self, account):
     def _has_md_grants(self, symbol):
         symbol_list = symbol if isinstance(symbol, list) else [symbol]
         for symbol in symbol_list:
-            if symbol.split('.', 1)[0] in ["SHFE", "DCE", "CZCE", "INE", "CFFEX", "KQ", "SSWE", "GFEX"] and self._has_feature("futr"):
+            if symbol.split('.', 1)[0] in ["SHFE", "DCE", "CZCE", "INE", "CFFEX", "KQ", "KQD", "SSWE", "GFEX"] and self._has_feature("futr"):
                 continue
             elif symbol.split('.', 1)[0] in ["CSI", "SSE", "SZSE"] and self._has_feature("sec"):
                 continue

tqsdk/multiaccount.py

@@ -8,7 +8,7 @@
 from shinny_structlog import ShinnyLoggerAdapter
 
 from tqsdk.channel import TqChan
-from tqsdk.tradeable import TqAccount, TqKq, TqKqStock, TqSim, TqSimStock, BaseSim
+from tqsdk.tradeable import TqAccount, TqKq, TqKqStock, TqSim, TqSimStock, BaseSim, TqZq
 from tqsdk.tradeable.mixin import StockMixin
 
 
@@ -27,12 +27,12 @@ class TqMultiAccount(object):
 
     """
 
-    def __init__(self, accounts: Optional[List[Union[TqAccount, TqKq, TqKqStock, TqSim, TqSimStock]]] = None):
+    def __init__(self, accounts: Optional[List[Union[TqAccount, TqKq, TqKqStock, TqSim, TqSimStock, TqZq]]] = None):
         """
         创建 TqMultiAccount 实例
 
         Args:
-            accounts (List[Union[TqAccount, TqKq, TqKqStock, TqSim, TqSimStock]]): [可选] 多账户列表, 若未指定任何账户, 则为 [TqSim()]
+            accounts (List[Union[TqAccount, TqKq, TqKqStock, TqSim, TqSimStock, TqZq]]): [可选] 多账户列表, 若未指定任何账户, 则为 [TqSim()]
 
         Example1::
 

tqsdk/tradeable/__init__.py

@@ -5,6 +5,6 @@
 
 
 from tqsdk.tradeable.otg.base_otg import BaseOtg
-from tqsdk.tradeable.otg import TqAccount, TqKq, TqKqStock
+from tqsdk.tradeable.otg import TqAccount, TqZq, TqKq, TqKqStock
 from tqsdk.tradeable.sim.basesim import BaseSim
 from tqsdk.tradeable.sim import TqSim, TqSimStock

tqsdk/tradeable/otg/__init__.py

@@ -4,4 +4,5 @@
 __author__ = 'mayanqiong'
 
 from tqsdk.tradeable.otg.tqaccount import TqAccount
+from tqsdk.tradeable.otg.tqzq import TqZq
 from tqsdk.tradeable.otg.tqkq import TqKq, TqKqStock

tqsdk/tradeable/otg/tqzq.py

@@ -0,0 +1,36 @@
+#!usr/bin/env python3
+# -*- coding:utf-8 -*-
+__author__ = 'yanqiong'
+
+import hashlib
+
+from tqsdk.tradeable.otg.base_otg import BaseOtg
+from tqsdk.tradeable.mixin import FutureMixin
+
+
+class TqZq(BaseOtg, FutureMixin):
+    """众期账户类"""
+
+    def __init__(self, account_id: str, password: str, td_url: str) -> None:
+        """
+        创建众期账户实例
+
+        Args:
+            account_id (str): 帐号
+
+            password (str): 密码
+
+            td_url (str): 众期交易服务器地址, eg: "ws://1.2.3.4:8765/"
+
+        Example1::
+
+            from tqsdk import TqApi, TqZq
+            account = TqZq(user_name="众期账户", password="众期密码", td_url="众期柜台地址")
+            api = TqApi(account, auth=TqAuth("快期账户", "账户密码"))
+
+        """
+        super(TqZq, self).__init__(broker_id="", account_id=account_id, password=password, td_url=td_url)
+
+    def _get_account_key(self):
+        s = self._account_id + self._td_url
+        return hashlib.md5(s.encode('utf-8')).hexdigest()

tqsdk/tradeable/sim/trade_base.py

@@ -168,6 +168,12 @@ def _match_order(self, order, symbol, position, quote, underlying_quote=None):
             if last_msg == "全部成交":
                 trade = self._generate_trade(order, quote, price)
                 self._trades.append(trade)
+                # 用 ticks 回测某些期权合约的时候，position['last_price'] 初始值可能是 nan，
+                # 当委托单成交时，由于 position['last_price'] 为 nan 会导致后续持仓市值、保证金等计算得到 nan
+                # 所以这里如果发现价格时 nan，就用当前成交价记为 position['last_price']
+                # 后续在 update_quotes 时，会更新 position['last_price']，因为 update_quotes 会跳过无效行情，所以这里不会再变为 nan
+                if math.isnan(position['last_price']):
+                    position['last_price'] = price
                 self._on_order_traded(order, trade, symbol, position, quote, underlying_quote)
             else:
                 self._on_order_failed(symbol, order)

tqsdk/tradeable/sim/trade_future.py

@@ -388,13 +388,21 @@ def _on_order_failed(self, symbol, order):
 
     def _on_update_quotes(self, symbol, position, quote, underlying_quote):
         # 调整持仓保证金和盈亏
-        underlying_last_price = underlying_quote["last_price"] if underlying_quote else float('nan')
+        if underlying_quote is None:
+            underlying_last_price = float("nan")
+        else:
+            # 期权，underlying_last_price 用于计算期权保证金，必须不是 nan，这里依次选取以下价格中第一个不为 nan 的
+            # 标的合约最新价，前一次持仓中记录的不为 nan 的标的最新价，期权行权价
+            if math.isnan(underlying_quote["last_price"]):
+                underlying_last_price = quote["strike_price"] if math.isnan(position["underlying_last_price"]) \
+                    else position["underlying_last_price"]
+            else:
+                underlying_last_price = underlying_quote["last_price"]
         future_margin = _get_future_margin(quote)
         if position["volume_long"] > 0 or position["volume_short"] > 0:
             if position["last_price"] != quote["last_price"] \
                     or (math.isnan(future_margin) or future_margin != position["future_margin"]) \
-                    or (underlying_quote and (
-                    math.isnan(underlying_last_price) or underlying_last_price != position["underlying_last_price"])):
+                    or (underlying_quote and underlying_last_price != position["underlying_last_price"]):
                 self._adjust_position_account(symbol, quote, underlying_quote,
                                               pre_last_price=position["last_price"],
                                               last_price=quote["last_price"],