def test_lib_insert_order_time_check_5(self):
'''
lib下单时间判断测试5
回测时间：
起始交易日（datetime.date）在非周一
订阅:
cu（有夜盘,凌晨1点结束夜盘）,rb（夜盘23点结束）,jd（无夜盘）
测试：
1 起始回测在21点后rb、cu下单，到第二日9点后jd下单
2 本交易日白盘9：00后jd下单
'''
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_lib_insert_order_time_check_5.script.lzma"))
utils.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(datetime.date(2019, 12, 3),
datetime.date(2019, 12, 4)),
_ins_url=self.ins_url_2019_12_04) # 2019, 12, 3:周二
symbol1 = "SHFE.cu2002" # 有夜盘,凌晨1点结束夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "DCE.jd2002" # 无夜盘
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
target_pos1 = TargetPosTask(api, symbol1)
target_pos2 = TargetPosTask(api, symbol2)
target_pos3 = TargetPosTask(api, symbol3)
orders = api.get_order()
try:
# 1 起始回测在21点后rb、cu下单，到第二日9点后jd下单
target_pos1.set_target_volume(1)
target_pos2.set_target_volume(2)
target_pos3.set_target_volume(3)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-12-02 21:05:00.000000":
api.wait_update()
self.assertEqual(len(orders), 2)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 0)
# 2 本交易日白盘9：00后jd下单
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-12-03 09:02:00.000000":
api.wait_update()
self.assertEqual(len(orders), 3)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(len(orders), 3)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
api.close()
def test_lib_insert_order_time_check_7(self):
"""
lib下单时间判断测试7
订阅合约：
订阅周六有行情的和周六无行情的
测试：
(测试:回测从周六开始时 可交易时间段的计算、判断)
1 回测刚开始:current_datetime 为 0:00 , 只有cu能下单，另外两个合约直到白盘9点下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_lib_insert_order_time_check_7.script.lzma.lzma"))
TqApi.RD = random.Random(4)
api = TqApi(
backtest=TqBacktest(datetime.datetime(2019, 11, 30, 0, 0, 0), datetime.datetime(2019, 12, 2, 9, 30)),
_ins_url=self.ins_url_2019_12_04)
symbol1 = "SHFE.cu2002" # 有夜盘,凌晨1点结束夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "DCE.jd2002" # 无夜盘
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
target_pos1 = TargetPosTask(api, symbol1)
target_pos2 = TargetPosTask(api, symbol2)
target_pos3 = TargetPosTask(api, symbol3)
orders = api.get_order()
try:
# 1 回测刚开始:current_datetime 为 0:00 , 只有cu能下单，另外两个合约直到白盘9点下单
target_pos1.set_target_volume(1)
target_pos2.set_target_volume(2)
target_pos3.set_target_volume(3)
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-11-30 00:02:00.000000":
api.wait_update()
self.assertEqual(len(orders), 1)
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-11-30 00:15:00.000000":
api.wait_update()
self.assertEqual(len(orders), 1)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 0)
self.assertEqual(position3.pos, 0)
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-12-02 09:05:00.000000":
api.wait_update()
self.assertEqual(len(orders), 3)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
api.close()
def record_quotes(symbols, _stock, _md_url):
api = TqApi(auth=AUTH, _stock=_stock, _md_url=_md_url)
api._requests["quotes"] = set(symbols)
api._send_chan.send_nowait({
"aid": "subscribe_quote",
"ins_list": ",".join(symbols)
})
api.wait_update()
api.wait_update()
quotes = {}
csv_files = {}
for s in symbols:
quotes[s] = api.get_quote(s)
csv_files[s] = (create_csvfile(s, "new" if _stock else "old"))
csv_files[s][1].writerow(["local_nano_time", "quote_nano_time"] +
HEADER_ROW)
end = time() + 60 * 60 # 记录 30 min 分钟的数据分析
while True:
if end < time():
break
api.wait_update()
for s, q in quotes.items():
if api.is_changing(q):
csv_files[s][1].writerow([
f"{time()*1e9:.0f}", f"{_str_to_nano(q['datetime']):.0f}"
] + [q[k] for k in HEADER_ROW])
close_csvfiles(csv_files)
api.close()
def test_is_changing(self):
"""is_changing() 测试"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_func_basic_is_changing.script.lzma"))
# 测试: 模拟账户下单
TqApi.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url, _td_url=self.td_url, _md_url=self.md_url)
quote = api.get_quote("SHFE.rb2001")
position = api.get_position("SHFE.rb2001")
order1 = api.insert_order("DCE.m2001", "BUY", "OPEN", 1)
api.wait_update()
order2 = api.insert_order("SHFE.rb2001", "SELL", "OPEN", 2)
api.wait_update()
self.assertEqual(api.is_changing(order2, "status"), True)
self.assertEqual(api.is_changing(position, "volume_short"), True)
self.assertEqual(api.is_changing(position, "volume_long"), False)
order3 = api.insert_order("SHFE.rb2001", "BUY", "CLOSETODAY", 1)
while order3.status == "ALIVE":
api.wait_update()
self.assertEqual(api.is_changing(order3, "status"), True)
self.assertEqual(api.is_changing(position, "volume_short"), True)
self.assertEqual(api.is_changing(quote, "last_price"), False)
api.close()
def test_get_quote_backtest(self):
"""
回测获取行情报价
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_md_backtest_get_quote.script.lzma"))
# 测试
try:
utils.RD = random.Random(1)
api = TqApi(backtest=TqBacktest(datetime(2019, 10, 15), datetime(2019, 10, 16)), _ins_url=self.ins_url_2019_07_03,
_td_url=self.td_url, _md_url=self.md_url)
with closing(api):
quote = api.get_quote("SHFE.cu2001")
quote_data = {k: v for k, v in quote.items()}
quote_data["trading_time"] = {k: v for k, v in quote_data["trading_time"].items()}
self.assertEqual(json.dumps(quote_data, sort_keys=True),
'{"amount": NaN, "ask_price1": 47070.0, "ask_price2": NaN, "ask_price3": NaN, "ask_price4": NaN, "ask_price5": NaN, "ask_volume1": 1, "ask_volume2": 0, "ask_volume3": 0, "ask_volume4": 0, "ask_volume5": 0, "average": NaN, "bid_price1": 47050.0, "bid_price2": NaN, "bid_price3": NaN, "bid_price4": NaN, "bid_price5": NaN, "bid_volume1": 1, "bid_volume2": 0, "bid_volume3": 0, "bid_volume4": 0, "bid_volume5": 0, "close": NaN, "commission": 11.594999999999999, "datetime": "2019-10-14 23:59:59.999999", "delivery_month": 1, "delivery_year": 2020, "expire_datetime": 1579071600.0, "expired": false, "highest": NaN, "ins_class": "FUTURE", "instrument_id": "SHFE.cu2001", "last_price": 47060.0, "lower_limit": NaN, "lowest": NaN, "margin": 16233.000000000002, "max_limit_order_volume": 500, "max_market_order_volume": 0, "min_limit_order_volume": 0, "min_market_order_volume": 0, "open": NaN, "open_interest": 45357, "option_class": "", "pre_close": NaN, "pre_open_interest": 0, "pre_settlement": NaN, "price_decs": 0, "price_tick": 10, "product_id": "cu", "settlement": NaN, "strike_price": NaN, "trading_time": {"day": [["09:00:00", "10:15:00"], ["10:30:00", "11:30:00"], ["13:30:00", "15:00:00"]], "night": [["21:00:00", "25:00:00"]]}, "underlying_symbol": "", "upper_limit": NaN, "volume": 0, "volume_multiple": 5}')
# 其他取值方式
self.assertNotEqual(quote["pre_close"], quote.pre_close)
self.assertNotEqual(quote.get("pre_settlement"), quote.pre_settlement)
self.assertNotEqual(quote.get("highest"), quote.highest)
self.assertNotEqual(quote.get("lowest"), quote.lowest)
self.assertNotEqual(quote["open"], quote.open)
self.assertNotEqual(quote["close"], quote.close)
except BacktestFinished:
api.close()
print("backtest finished")
def test_get_quote_normal_backtest():
"""
回测获取行情报价
"""
# 获取行情
api = TqApi(
backtest=TqBacktest(datetime(2019, 10, 15), datetime(2019, 10, 16)),
_ins_url="https://openmd.shinnytech.com/t/md/symbols/2019-07-03.json")
quote = api.get_quote("SHFE.cu2001")
quote_data = {k: v for k, v in quote.items()}
quote_data["trading_time"] = {
k: v
for k, v in quote_data["trading_time"].items()
}
assert json.dumps(quote_data, sort_keys=True) == \
'{"amount": NaN, "ask_price1": 47070.0, "ask_price2": NaN, "ask_price3": NaN, "ask_price4": NaN, "ask_price5": NaN, "ask_volume1": 1, "ask_volume2": 0, "ask_volume3": 0, "ask_volume4": 0, "ask_volume5": 0, "average": NaN, "bid_price1": 47050.0, "bid_price2": NaN, "bid_price3": NaN, "bid_price4": NaN, "bid_price5": NaN, "bid_volume1": 1, "bid_volume2": 0, "bid_volume3": 0, "bid_volume4": 0, "bid_volume5": 0, "close": NaN, "commission": 11.594999999999999, "datetime": "2019-10-14 23:59:59.999999", "delivery_month": 1, "delivery_year": 2020, "expire_datetime": 1579071600.0, "expired": false, "highest": NaN, "ins_class": "FUTURE", "instrument_id": "SHFE.cu2001", "last_price": 47060.0, "lower_limit": NaN, "lowest": NaN, "margin": 16233.000000000002, "max_limit_order_volume": 500, "max_market_order_volume": 0, "min_limit_order_volume": 0, "min_market_order_volume": 0, "open": NaN, "open_interest": 90714, "pre_close": NaN, "pre_open_interest": 0, "pre_settlement": NaN, "price_decs": 0, "price_tick": 10, "settlement": NaN, "strike_price": NaN, "trading_time": {"day": [["09:00:00", "10:15:00"], ["10:30:00", "11:30:00"], ["13:30:00", "15:00:00"]], "night": [["21:00:00", "25:00:00"]]}, "underlying_symbol": "", "upper_limit": NaN, "volume": 0, "volume_multiple": 5}'
# 其他取值方式
assert quote["pre_close"] != quote.pre_close
assert quote.get("pre_settlement") != quote.pre_settlement
assert quote.get("highest") != quote.highest
assert quote.get("lowest") != quote.lowest
assert quote["open"] != quote.open
assert quote["close"] != quote.close
api.close()
def test_api_vipuser(self):
api = TqApi(auth="[email protected],MaYanQiong")
self.assertEqual(api._md_url,
"wss://api.shinnytech.com/t/nfmd/front/mobile")
quote = api.get_quote("SSE.10002513")
print(quote.datetime, quote.last_price)
api.close()
def test_tdsdk_quote():
api = TqApi(TqSim())
quote = api.get_quote("SHFE.cu1908")
print(quote["last_price"], quote["volume"])
while True:
api.wait_update()
print(quote["datetime"], quote["last_price"])
def test_is_changing(self):
"""
is_changing() 测试
注：本函数不是回测，重新生成测试用例script文件时更改为当前可交易的合约代码,在盘中生成,且_ins_url可能需修改。
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_func_basic_is_changing.script.lzma"))
# 测试: 模拟账户下单
utils.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
quote = api.get_quote("SHFE.rb2010")
position = api.get_position("SHFE.rb2010")
order1 = api.insert_order("DCE.m2009", "BUY", "OPEN", 1)
api.wait_update()
order2 = api.insert_order("SHFE.rb2010", "SELL", "OPEN", 2)
api.wait_update()
self.assertTrue(api.is_changing(order2, "status"))
self.assertTrue(api.is_changing(position, "volume_short"))
self.assertFalse(api.is_changing(position, "volume_long"))
order3 = api.insert_order("SHFE.rb2010", "BUY", "CLOSETODAY", 1)
while order3.status == "ALIVE":
api.wait_update()
self.assertTrue(api.is_changing(order3, "status"))
self.assertTrue(api.is_changing(position, "volume_short"))
self.assertFalse(api.is_changing(quote, "last_price"))
api.close()
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd),
auth="[email protected],MaYanQiong",
_stock=True,
_td_url=td_url)
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(
account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
check_risk_rule(api, None)
check_risk_data(api, "SSE.10002513")
api.set_risk_management_rule("SSE", True)
logger.info(f"{'='*12} 期权 开仓 {'='*12}")
quote = api.get_quote("SSE.10002513") # ETF 期权
# 挂单
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.lower_limit + quote.price_tick, volume=2)
order = api.insert_order(symbol="SSE.10002513",
direction="SELL",
offset="OPEN",
limit_price=quote.upper_limit - quote.price_tick,
volume=2)
# 可成交
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=3)
# 可成交 FAK 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FAK")
# 可成交 FOK
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FOK")
# BEST
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=10)
# BEST FOK 下单失败,已撤单报单被拒绝12038，合约代码:SSE.10002513，下单方向:买，开平标志:开仓，委托价格:最优价，委托手数:3
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=3, advanced="FOK")
# any_price 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", volume=3)
# FIVELEVEL 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="FIVELEVEL", volume=3)
api.cancel_order(order)
api.cancel_order(order)
api.cancel_order(order)
while order.status == "ALIVE":
api.wait_update()
check_all(api, bid, user_id)
check_risk_rule(api, None)
check_risk_data(api, "SSE.10002513")
api.close()
def test_lib_insert_order_time_check_2(self):
"""
lib下单时间判断测试2
回测时间：
10：15 - 10：45
订阅合约：
IF、T（无盘中休息时间）,cu（有盘中休息时间）
测试：
10:15 - 10:30期间IF和T能立即下单，cu等到10：30以后下单；
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_lib_insert_order_time_check_2.script.lzma"))
utils.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(
datetime.datetime(2020, 2, 17, 10, 15, 0),
datetime.datetime(2020, 2, 17, 10, 45, 0)),
_ins_url=self.ins_url_2020_02_18,
_td_url=self.td_url,
_md_url=self.md_url)
symbol1 = "SHFE.cu2003"
symbol2 = "CFFEX.T2003"
symbol3 = "CFFEX.IF2003"
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
target_pos1 = TargetPosTask(api, symbol1)
target_pos2 = TargetPosTask(api, symbol2)
target_pos3 = TargetPosTask(api, symbol3)
orders = api.get_order()
try:
# 1 10:15 - 10:30期间IF和T能立即下单，cu等到10：30以后下单；
target_pos1.set_target_volume(1)
target_pos2.set_target_volume(2)
target_pos3.set_target_volume(3)
while datetime.datetime.strptime(
quote3.datetime,
"%Y-%m-%d %H:%M:%S.%f") < datetime.datetime(
2020, 2, 17, 10, 25):
api.wait_update()
self.assertEqual(len(orders), 2)
self.assertEqual(position1.pos, 0)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
while True:
api.wait_update()
except BacktestFinished:
# 验证下單情況
self.assertEqual(len(orders), 3)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
print("回测结束")
api.close()
def test_openmd_vipuser_bt(self):
bt = TqBacktest(start_dt=datetime(2020, 6, 1),
end_dt=datetime(2020, 6, 2))
api = TqApi(backtest=bt, _stock=False, auth="[email protected],MaYanQiong")
quote = api.get_quote("DCE.m2009")
print(quote.datetime, quote.last_price)
self.assertEqual("2020-05-29 22:59:59.999999", quote.datetime)
self.assertEqual(2826.0, quote.last_price)
api.close()
def test_get_quote_normal(self):
"""
获取行情报价
"""
# 预设服务器端响应
self.mock.run("test_md_basic_get_quote_normal.script")
# 获取行情
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
q = api.get_quote("SHFE.cu1901")
self.assertEqual(46940.0, q.last_price)
api.close()
def acceptMD():
api = TqApi()
quote = api.get_quote("SHFE.fu2009")
saveTick(quote)
while True:
try:
api.wait_update()
saveTick(quote)
except FileNotFoundError:
print("File Not Found Error")
time.sleep(3)
def test_get_quote_normal(self):
"""
获取行情报价
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_md_basic_get_quote_normal.script"))
# 获取行情
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
q = api.get_quote("SHFE.cu1909")
self.assertEqual(
str(q),
"{'datetime': '2019-09-16 14:59:59.999500', 'ask_price1': 47650.0, 'ask_volume1': 10, 'bid_price1': 47570.0, 'bid_volume1': 5, 'last_price': 47580.0, 'highest': 47860.0, 'lowest': 47580.0, 'open': 47860.0, 'close': 47580.0, 'average': 47732.35, 'volume': 9020, 'amount': 2152729000.0, 'open_interest': 6940, 'settlement': 47730.0, 'upper_limit': 49650.0, 'lower_limit': 44920.0, 'pre_open_interest': 13260, 'pre_settlement': 47290.0, 'pre_close': 47590.0, 'price_tick': 10, 'price_decs': 0, 'volume_multiple': 5, 'max_limit_order_volume': 500, 'max_market_order_volume': 0, 'min_limit_order_volume': 0, 'min_market_order_volume': 0, 'underlying_symbol': '', 'strike_price': nan, 'change': nan, 'change_percent': nan, 'expired': False, 'margin': 16233.000000000002, 'commission': 11.594999999999999, 'instrument_id': 'SHFE.cu1909', 'ask_price5': '-', 'ask_volume5': 0, 'ask_price4': 49250.0, 'ask_volume4': 50, 'ask_price3': 47990.0, 'ask_volume3': 5, 'ask_price2': 47730.0, 'ask_volume2': 10, 'bid_price2': 46560.0, 'bid_volume2': 100, 'bid_price3': 45650.0, 'bid_volume3': 270, 'bid_price4': 44920.0, 'bid_volume4': 5, 'bid_price5': '-', 'bid_volume5': 0}"
)
self.assertEqual(q.datetime, "2019-09-16 14:59:59.999500")
self.assertEqual(q.ask_price1, 47650.0)
self.assertEqual(q.ask_volume1, 10)
self.assertEqual(q.bid_price1, 47570.0)
self.assertEqual(q.bid_volume1, 5)
self.assertEqual(q.last_price, 47580.0)
self.assertEqual(q.highest, 47860.0)
self.assertEqual(q.lowest, 47580.0)
self.assertEqual(q.open, 47860.0)
self.assertEqual(q.close, 47580.0)
self.assertEqual(q.average, 47732.35)
self.assertEqual(q.volume, 9020)
self.assertEqual(q.amount, 2152729000.0)
self.assertEqual(q.open_interest, 6940)
self.assertEqual(q.settlement, 47730.0)
self.assertEqual(q.upper_limit, 49650.0)
self.assertEqual(q.lower_limit, 44920)
self.assertEqual(q.pre_open_interest, 13260)
self.assertEqual(q.pre_settlement, 47290.0)
self.assertEqual(q.pre_close, 47590.0)
# 其他取值方式
self.assertEqual(q["pre_close"], 47590.0)
self.assertEqual(q.get("pre_settlement"), 47290.0)
self.assertEqual(q.get("highest"), 47860.0)
self.assertEqual(q.get("lowest"), 47580.0)
self.assertEqual(q["open"], 47860.0)
self.assertEqual(q["close"], 47580.0)
# 报错测试
self.assertRaises(Exception, api.get_quote, "SHFE.au1999")
self.assertRaises(KeyError, q.__getitem__, "ask_price6")
api.close()
def sell_close():
api = TqApi(TqAccount(bid, user_id, pwd),
url=td_url,
auth="ringo,Shinnytech123")
test_logger.info(f"{'='*12} 期权 卖平仓 {'='*12}")
quote = api.get_quote(symbol) # ETF 期权
order = api.insert_order(symbol=symbol,
direction="SELL",
offset="CLOSE",
limit_price=quote.bid_price1,
volume=3)
while order.status == "ALIVE":
api.wait_update()
api.wait_update()
api.close()
def get_product_info(api: TqApi, symbol):
q = api.get_quote(symbol)
product_info = {
'class': q.ins_class,
'root': q.product_id,
'symbol': q.instrument_id,
'short_symbol': q.instrument_id.split(".")[1],
'exchange': q.exchange_id,
'price_tick': q.price_tick,
'multiplier': q.volume_multiple,
'trading_hours': q.trading_time,
'max_limit_order_volume': q.max_limit_order_volume,
'min_limit_order_volume': q.min_limit_order_volume
}
ds = pd.Series(product_info)
return ds
def test_lib_insert_order_time_check_6(self):
'''
lib下单时间判断测试6
测试：
设置目标持仓后在TargetPosTask未下单前调整目标持仓， lib等到10：30有行情之后调整到的是最新目标持仓
'''
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_lib_insert_order_time_check_6.script.lzma"))
utils.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(start_dt=datetime.datetime(
2019, 7, 11, 10, 15),
end_dt=datetime.date(2019, 7, 12)),
_ins_url=self.ins_url_2019_12_04,
_td_url=self.td_url,
_md_url=self.md_url)
symbol1 = "SHFE.cu1908"
symbol2 = "CFFEX.IF1908" # 用于行情推进，到10：20
quote2 = api.get_quote(symbol2)
target_pos = TargetPosTask(api, symbol1)
orders = api.get_order()
position = api.get_position(symbol1)
try:
target_pos.set_target_volume(5)
while quote2.datetime < "2019-07-11 10:20:00.000000":
api.wait_update()
self.assertEqual(len(api.get_order()), 0)
target_pos.set_target_volume(2)
while quote2.datetime < "2019-07-11 10:25:00.000000":
api.wait_update()
self.assertEqual(len(api.get_order()), 0)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(len(orders), 1)
self.assertEqual(position.pos, 2)
api.close()
def test_is_changing(self):
# 预设服务器端响应
self.mock.run("test_func_basic_is_changing.script")
# 测试: 模拟账户下单
TqApi.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
quote = api.get_quote("SHFE.rb2001")
position = api.get_position("SHFE.rb2001")
order1 = api.insert_order("DCE.m2001", "BUY", "OPEN", 1)
api.wait_update()
order2 = api.insert_order("SHFE.rb2001", "SELL", "OPEN", 2)
api.wait_update()
self.assertEqual(api.is_changing(order2, "status"), True)
self.assertEqual(api.is_changing(position, "volume_short"), True)
self.assertEqual(api.is_changing(position, "volume_long"), False)
order3 = api.insert_order("SHFE.rb2001", "BUY", "CLOSETODAY", 1)
while order3.status == "ALIVE":
api.wait_update()
self.assertEqual(api.is_changing(order3, "status"), True)
self.assertEqual(api.is_changing(position, "volume_short"), True)
self.assertEqual(api.is_changing(quote, "last_price"), False)
acc = TqSim(init_balance=1000000)
# 在创建 api 实例时传入 TqBacktest 就会进入回测模式
api = TqApi(acc,
backtest=TqBacktest(start_dt=date(2018, 2, 1),
end_dt=date(2018, 5, 1)),
web_gui='http://127.0.0.1:8889') #
kind1 = 'SHFE.cu1901'
kind2 = 'SHFE.cu1902'
# 获得 m1901 5分钟K线的引用
klines1 = api.get_kline_serial([kind1], 1 * 30, data_length=8000)
klines2 = api.get_kline_serial([kind2], 1 * 30, data_length=8000)
quote1 = api.get_quote(kind1)
quote2 = api.get_quote(kind2)
# # 创建 m1901 的目标持仓 task，该 task 负责调整 m1901 的仓位到指定的目标仓位
target_pos1 = TargetPosTask(api, kind1)
target_pos2 = TargetPosTask(api, kind2)
now1 = datetime.datetime.strptime(quote1.datetime,
"%Y-%m-%d %H:%M:%S.%f") # 当前quote的时间
now2 = datetime.datetime.strptime(quote2.datetime,
"%Y-%m-%d %H:%M:%S.%f") # 当前quote的时间
# api.wait_update()
# time1 = time.ctime(klines2.iloc[-1].datetime/(10**9))
while True:
api.wait_update()
if not pd.isna(klines2['close'][0]):
from trading_strategies.technical_indicators import MACD_adj
ls_symbols = ['SHFE.rb1910', 'SHFE.hc1910', 'CZCE.MA909', 'CZCE.TA909', 'DCE.i1909']
# ls_symbols = ['SHFE.fu1909', 'SHFE.bu1912', 'DCE.jd1909']
api = TqApi('SIM')
# api = TqApi(TqSim(), backtest=TqBacktest(start_dt=dt.date(2019,1,2), end_dt=dt.date(2019,1,10)))
dict_quotes = {}
dict_klines = {}
dict_positions = {}
dict_target_pos = {}
dict_update_kline_chan = {}
dict_update_quote_chan = {}
for SYMBOL in ls_symbols:
dict_quotes[SYMBOL] = api.get_quote(SYMBOL) # 行情数据
dict_klines[SYMBOL] = api.get_kline_serial(SYMBOL, duration_seconds=15 * 60)
dict_positions[SYMBOL] = api.get_position(SYMBOL)
dict_target_pos[SYMBOL] = TargetPosTask(api, SYMBOL)
dict_update_kline_chan[SYMBOL] = api.register_update_notify(dict_klines[SYMBOL])
dict_update_quote_chan[SYMBOL] = api.register_update_notify(dict_quotes[SYMBOL])
async def signal_generator(SYMBOL, strategy):
"""该task应用策略在价格触发时开仓，出发平仓条件时平仓"""
klines = dict_klines[SYMBOL]
position = dict_positions[SYMBOL]
target_pos = dict_target_pos[SYMBOL]
update_kline_chan = dict_update_kline_chan[SYMBOL]
while True:
short_value_ini = np.sum([
short_cost_lst[i] * short_contract[i] * short_volume[i]
for i in range(len(short_code_lst))
])
while True:
lst = []
long_value_now = 0
short_value_now = 0
for i in range(len(long_code_lst)):
index_code = long_code_lst[i]
contract = long_contract[i]
price_now = api.get_quote(
exchageID[index_code.upper()]['ExchangeID'] + '.' +
index_code).last_price
print(price_now)
long_value_now = long_value_now + price_now * long_contract[
i] * long_volume[i]
for i in range(len(short_code_lst)):
index_code = short_code_lst[i]
contract = short_contract[i]
price_now = api.get_quote(
exchageID[index_code.upper()]['ExchangeID'] + '.' +
index_code).last_price
print(price_now)
short_value_now = short_value_now + price_now * short_contract[
i] * short_volume[i]
long_chng = long_value_now / long_value_ini - 1
position_short = position_account.pos_short
position = trading_info.loc[code]['position']
if code == 'DCE.y2009':
a = 0
if position == 0 and position_short == 0 and position_long == 0:
print('%s: 仓位%s手, 状态：%s' % (code, position, '完成'))
continue
elif position == position_long and position_short == 0:
print('%s: 多头持仓%s手, 状态：%s' % (code, position, '完成'))
continue
elif position == -position_short and position_long == 0:
print('%s: 空头持仓%s手, 状态：%s' % (code, position, '完成'))
continue
else:
print('%s: 仓位%s手, 状态：%s' % (code, position, '未完成'))
quote = api.get_quote(code)
if position > 0:
if position_short > 0:
order_bp = Trd.insert_order_bp_limit(code)
diff = position - position_long
if diff > 0:
order = Trd.insert_order_bk_limit(code, int(diff))
elif diff < 0:
order = Trd.insert_order_sp_limit(code, -int(diff))
if position < 0:
if position_long > 0:
order_sp = Trd.insert_order_sp_limit(code)
diff = -position - position_short
if diff > 0:
order = Trd.insert_order_sk_limit(code, int(diff))
elif diff < 0:
#!usr/bin/env python3
#-*- coding:utf-8 -*-
from tqsdk import TqApi, tafunc
from tqsdk.ta import *
api = TqApi()
underlying_quote = api.get_quote("CFFEX.IF2002")
klines = api.get_kline_serial('CFFEX.IF2002', 24 * 60 * 60, 20)
v = tafunc.get_his_volatility(klines, underlying_quote)
print("历史波动率:", v)
quote = api.get_quote("CFFEX.IO2002-C-3550")
bs_serise = BS_VALUE(klines, quote, 0.025)
print("理论价:", list(round(bs_serise['bs_price'], 2)))
klines2 = api.get_kline_serial(["CFFEX.IO2002-C-3550", "CFFEX.IF2002"],
24 * 60 * 60, 20)
values = OPTION_VALUE(klines2, quote)
print("内在价值:", list(values["intrins"]))
print("时间价值:", list(values["time"]))
impv = OPTION_IMPV(klines2, quote, 0.025)
print("隐含波动率:", list(round(impv['impv'] * 100, 2)))
greeks = OPTION_GREEKS(klines2, quote, 0.025, impv['impv'])
print("delta:", list(greeks["delta"]))
print("theta:", list(greeks["theta"]))
print("gamma:", list(greeks["gamma"]))
class Turtle:
def __init__(self,
account,
symbol,
donchian_channel_open_position=20,
donchian_channel_stop_profit=10,
atr_day_length=20,
max_risk_ratio=0.5):
self.account = account # 交易账号
self.symbol = symbol # 合约代码
self.donchian_channel_open_position = donchian_channel_open_position # 唐奇安通道的天数周期(开仓)
self.donchian_channel_stop_profit = donchian_channel_stop_profit # 唐奇安通道的天数周期(止盈)
self.atr_day_length = atr_day_length # ATR计算所用天数
self.max_risk_ratio = max_risk_ratio # 最高风险度
self.state = {
"position": 0, # 本策略净持仓数(正数表示多头，负数表示空头，0表示空仓)
"last_price": float("nan"), # 上次调仓价
}
self.n = 0 # 平均真实波幅(N值)
self.unit = 0 # 买卖单位
self.donchian_channel_high = 0 # 唐奇安通道上轨
self.donchian_channel_low = 0 # 唐奇安通道下轨
self.api = TqApi(self.account)
self.quote = self.api.get_quote(self.symbol)
# 由于ATR是路径依赖函数，因此使用更长的数据序列进行计算以便使其值稳定下来
kline_length = max(donchian_channel_open_position + 1,
donchian_channel_stop_profit + 1,
atr_day_length * 5)
self.klines = self.api.get_kline_serial(self.symbol,
24 * 60 * 60,
data_length=kline_length)
self.account = self.api.get_account()
self.target_pos = TargetPosTask(self.api,
self.symbol,
init_pos=self.state["position"])
def recalc_paramter(self):
# 平均真实波幅(N值)
self.n = ATR(self.klines, self.atr_day_length)["atr"].iloc[-1]
# 买卖单位
self.unit = int((self.account.balance * 0.01) /
(self.quote.volume_multiple * self.n))
# 唐奇安通道上轨：前N个交易日的最高价
self.donchian_channel_high = max(
self.klines.high[-self.donchian_channel_open_position - 1:-1])
# 唐奇安通道下轨：前N个交易日的最低价
self.donchian_channel_low = min(
self.klines.low[-self.donchian_channel_open_position - 1:-1])
print("唐其安通道上下轨: %f, %f" %
(self.donchian_channel_high, self.donchian_channel_low))
return True
def set_position(self, pos):
self.state["position"] = pos
self.state["last_price"] = self.quote["last_price"]
self.target_pos.set_target_volume(self.state["position"])
def try_open(self):
"""开仓策略"""
while self.state["position"] == 0:
self.api.wait_update()
if self.api.is_changing(self.klines.iloc[-1],
"datetime"): # 如果产生新k线,则重新计算唐奇安通道及买卖单位
self.recalc_paramter()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: %f" % self.quote.last_price)
if self.quote.last_price > self.donchian_channel_high: # 当前价>唐奇安通道上轨，买入1个Unit；(持多仓)
print("当前价>唐奇安通道上轨，买入1个Unit(持多仓): %d 手" % self.unit)
self.set_position(self.state["position"] + self.unit)
elif self.quote.last_price < self.donchian_channel_low: # 当前价<唐奇安通道下轨，卖出1个Unit；(持空仓)
print("当前价<唐奇安通道下轨，卖出1个Unit(持空仓): %d 手" % self.unit)
self.set_position(self.state["position"] - self.unit)
def try_close(self):
"""交易策略"""
while self.state["position"] != 0:
self.api.wait_update()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: ", self.quote.last_price)
if self.state["position"] > 0: # 持多单
# 加仓策略: 如果是多仓且行情最新价在上一次建仓（或者加仓）的基础上又上涨了0.5N，就再加一个Unit的多仓,并且风险度在设定范围内(以防爆仓)
if self.quote.last_price >= self.state[
"last_price"] + 0.5 * self.n and self.account.risk_ratio <= self.max_risk_ratio:
print("加仓:加1个Unit的多仓")
self.set_position(self.state["position"] + self.unit)
# 止损策略: 如果是多仓且行情最新价在上一次建仓（或者加仓）的基础上又下跌了2N，就卖出全部头寸止损
elif self.quote.last_price <= self.state[
"last_price"] - 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是多仓且行情最新价跌破了10日唐奇安通道的下轨，就清空所有头寸结束策略,离场
if self.quote.last_price <= min(
self.klines.
low[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
elif self.state["position"] < 0: # 持空单
# 加仓策略: 如果是空仓且行情最新价在上一次建仓（或者加仓）的基础上又下跌了0.5N，就再加一个Unit的空仓,并且风险度在设定范围内(以防爆仓)
if self.quote.last_price <= self.state[
"last_price"] - 0.5 * self.n and self.account.risk_ratio <= self.max_risk_ratio:
print("加仓:加1个Unit的空仓")
self.set_position(self.state["position"] - self.unit)
# 止损策略: 如果是空仓且行情最新价在上一次建仓（或者加仓）的基础上又上涨了2N，就平仓止损
elif self.quote.last_price >= self.state[
"last_price"] + 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是空仓且行情最新价升破了10日唐奇安通道的上轨，就清空所有头寸结束策略,离场
if self.quote.last_price >= max(
self.klines.
high[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
def strategy(self):
"""海龟策略"""
print("等待K线及账户数据...")
deadline = time.time() + 5
while not self.recalc_paramter():
if not self.api.wait_update(deadline=deadline):
raise Exception("获取数据失败，请确认行情连接正常并已经登录交易账户")
while True:
self.try_open()
self.try_close()
#!/usr/bin/env python
# -*- coding: utf-8 -*-
__author__ = 'chengzhi'
from tqsdk import TqApi
# 可以指定debug选项将调试信息写入指定的文件中
api = TqApi(debug="debug.log")
quote = api.get_quote("SHFE.cu1909")
print(quote.datetime, quote.last_price, quote.ask_price1, quote.ask_price2)
while True:
# 调用 wait_update 等待业务信息发生变化，例如: 行情发生变化, 委托单状态变化, 发生成交等等
# 注意：其他合约的行情的更新也会触发业务信息变化，因此下面使用 is_changing 判断 cu1909 的行情是否有变化
api.wait_update()
# 如果 cu1909 的任何字段有变化，is_changing就会返回 True
if api.is_changing(quote):
print("行情变化", quote)
# 只有当 cu1909 的最新价有变化，is_changing才会返回 True
if api.is_changing(quote, "last_price"):
print("最新价变化", quote.last_price)
# 当 cu1909 的买1价/买1量/卖1价/卖1量中任何一个有变化，is_changing都会返回 True
if api.is_changing(quote, ["ask_price1", "ask_volume1", "bid_price1", "bid_volume1"]):
print("盘口变化", quote.ask_price1, quote.ask_volume1, quote.bid_price1, quote.bid_volume1)
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd), auth="[email protected],MaYanQiong", _stock=True,
_md_url="wss://nfmd.shinnytech.com/t/nfmd/front/mobile", _td_url=td_url)
print(api._md_url)
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
logger.info(f"{'='*12} 期权 开仓 {'='*12}")
quote = api.get_quote("CZCE.RM105") # ETF 期权
print(quote)
# 挂单
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.lower_limit + quote.price_tick, volume=2)
# 可成交
order = api.insert_order(symbol="CZCE.RM105", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=1)
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=3)
# 可成交 FAK 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FAK")
# 可成交 FOK
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FOK")
# BEST
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=10)
# BEST FOK 下单失败,已撤单报单被拒绝12038，合约代码:SSE.10002513，下单方向:买，开平标志:开仓，委托价格:最优价，委托手数:3
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=3, advanced="FOK")
# any_price 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", volume=3)
# FIVELEVEL 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="FIVELEVEL", volume=3)
while order.status == "ALIVE":
api.wait_update()
api.wait_update()
api.wait_update()
check_all(api, bid, user_id)
# logger.info(f"{'='*30} 发平仓挂单 {'='*30}")
# positions = api._data["trade"][user_id]["positions"]
# for pos in positions.values():
# symbol = f"{pos.exchange_id}.{pos.instrument_id}"
# quote = api.get_quote(symbol)
# if pos.pos_long > 0:
# api.insert_order(symbol=symbol, direction="SELL", offset="CLOSE",
# limit_price=quote.upper_limit - quote.price_tick,
# volume=pos.pos_long)
# if pos.pos_short > 0:
# api.insert_order(symbol=symbol, direction="BUY", offset="CLOSE",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=pos.pos_short)
# check_all(api, bid, user_id)
api.close()
参考: https://www.shinnytech.com/blog/dual-thrust
'''
import logging
from tqsdk import TqApi, TqSim, TargetPosTask
SYMBOL = "DCE.jd1905" # 合约代码
NDAY = 5 # 天数
K1 = 0.2 # 上轨K值
K2 = 0.2 # 下轨K值
api = TqApi(TqSim())
logger = logging.getLogger("TQ")
logger.info("策略开始运行")
quote = api.get_quote(SYMBOL)
klines = api.get_kline_serial(SYMBOL, 24 * 60 * 60) # 86400使用日线
target_pos = TargetPosTask(api, SYMBOL)
def dual_thrust(quote, klines):
current_open = klines[-1]["open"]
HH = max(klines.high[-NDAY - 1:-1]) # N日最高价的最高价
HC = max(klines.close[-NDAY - 1:-1]) # N日收盘价的最高价
LC = min(klines.close[-NDAY - 1:-1]) # N日收盘价的最低价
LL = min(klines.low[-NDAY - 1:-1]) # N日最低价的最低价
range = max(HH - LC, HC - LL)
buy_line = current_open + range * K1 # 上轨
sell_line = current_open - range * K2 # 下轨
logger.info("当前开盘价: %f, 上轨: %f, 下轨: %f" % (current_open, buy_line, sell_line))
return buy_line, sell_line
'''
菲阿里四价 策略(日内突破策略, 在每日收盘前对所持合约进行平仓)
参考: https://www.shinnytech.com/blog/fairy-four-price/
注: 该示例策略仅用于功能示范, 实盘时请根据自己的策略/经验进行修改
'''
from tqsdk import TqApi, TargetPosTask
from datetime import datetime
import time
symbol = "SHFE.cu2002" # 合约代码
close_hour, close_minute = 14, 50 # 平仓时间
api = TqApi() # 使用模拟帐号直连行情和交易服务器
quote = api.get_quote(symbol) # 获取指定合约的盘口行情
klines = api.get_kline_serial(symbol, 24 * 60 * 60) # 获取日线
position = api.get_position(symbol) # 持仓信息
target_pos = TargetPosTask(api, symbol) # 目标持仓
top_rail = klines.high.iloc[-2] # 上轨: 昨日高点
bottom_rail = klines.low.iloc[-2] # 下轨: 昨日低点
print("上轨:", top_rail, ",下轨:", bottom_rail, ",昨日收盘价:", klines.close.iloc[-2], ",今日开盘价:", klines.open.iloc[-1])
while True:
api.wait_update()
if api.is_changing(klines.iloc[-1], "datetime"): # 如果产生一根新日线 (即到达下一个交易日): 重新获取上下轨
top_rail = klines.high.iloc[-2]
bottom_rail = klines.low.iloc[-2]
print("上轨:", top_rail, ",下轨:", bottom_rail, ",昨日收盘价:", klines.close.iloc[-2], ",今日开盘价:", klines.open.iloc[-1])
def test_get_quote_normal(self):
"""
获取行情报价
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_md_basic_get_quote_normal.script.lzma"))
# 获取行情
api = TqApi(_ins_url=self.ins_url_2019_07_03,
_td_url=self.td_url,
_md_url=self.md_url)
q = api.get_quote("SHFE.cu1909")
self.assertEqual(q.datetime, "2019-09-16 14:59:59.999500")
self.assertEqual(q.ask_price1, 47650.0)
self.assertEqual(q.ask_volume1, 10)
self.assertEqual(q.bid_price1, 47570.0)
self.assertEqual(q.bid_volume1, 5)
self.assertEqual(q.last_price, 47580.0)
self.assertEqual(q.highest, 47860.0)
self.assertEqual(q.lowest, 47580.0)
self.assertEqual(q.open, 47860.0)
self.assertEqual(q.close, 47580.0)
self.assertEqual(q.average, 47732.35)
self.assertEqual(q.volume, 9020)
self.assertEqual(q.amount, 2152729000.0)
self.assertEqual(q.open_interest, 6940)
self.assertEqual(q.settlement, 47730.0)
self.assertEqual(q.upper_limit, 49650.0)
self.assertEqual(q.lower_limit, 44920)
self.assertEqual(q.pre_open_interest, 13260)
self.assertEqual(q.pre_settlement, 47290.0)
self.assertEqual(q.pre_close, 47590.0)
self.assertEqual(q.price_tick, 10)
self.assertEqual(q.price_decs, 0)
self.assertEqual(q.volume_multiple, 5)
self.assertEqual(q.max_limit_order_volume, 500)
self.assertEqual(q.max_market_order_volume, 0)
self.assertEqual(q.min_limit_order_volume, 0)
self.assertEqual(q.min_market_order_volume, 0)
self.assertEqual(q.underlying_symbol, "")
self.assertTrue(q.strike_price != q.strike_price) # 判定nan
self.assertEqual(q.expired, False)
self.assertEqual(q.ins_class, "FUTURE")
self.assertEqual(q.margin, 16233.000000000002)
self.assertEqual(q.commission, 11.594999999999999)
self.assertEqual(
repr(q.trading_time.day),
"[['09:00:00', '10:15:00'], ['10:30:00', '11:30:00'], ['13:30:00', '15:00:00']]"
)
self.assertEqual(repr(q.trading_time.night),
"[['21:00:00', '25:00:00']]")
self.assertEqual(q.expire_datetime, 1568617200.0)
self.assertEqual(q.delivery_month, 9)
self.assertEqual(q.delivery_year, 2019)
self.assertEqual(q.instrument_id, "SHFE.cu1909")
self.assertEqual(q.ask_price2, 47730.0)
self.assertEqual(q.ask_volume2, 10)
self.assertEqual(q.ask_price3, 47990.0)
self.assertEqual(q.ask_volume3, 5)
self.assertEqual(q.ask_price4, 49250.0)
self.assertEqual(q.ask_volume4, 50)
self.assertEqual(q.ask_price5 != q.ask_price5, True) # 判断nan
self.assertEqual(q.ask_volume5, 0)
self.assertEqual(q.bid_price2, 46560.0)
self.assertEqual(q.bid_volume2, 100)
self.assertEqual(q.bid_price3, 45650.0)
self.assertEqual(q.bid_volume3, 270)
self.assertEqual(q.bid_price4, 44920.0)
self.assertEqual(q.bid_volume4, 5)
self.assertEqual(q.bid_price5 != q.bid_price5, True)
self.assertEqual(q.bid_volume5, 0)
# 其他取值方式
self.assertEqual(q["pre_close"], 47590.0)
self.assertEqual(q.get("pre_settlement"), 47290.0)
self.assertEqual(q.get("highest"), 47860.0)
self.assertEqual(q.get("lowest"), 47580.0)
self.assertEqual(q["open"], 47860.0)
self.assertEqual(q["close"], 47580.0)
# 报错测试
self.assertRaises(Exception, api.get_quote, "SHFE.au1999")
self.assertRaises(KeyError, q.__getitem__, "ask_price6")
api.close()