def get_option_trade_ticks(self, identifiers):
"""
获取期权逐笔成交
:param identifiers: 期权代码
:return:
"""
params = MultipleContractParams()
contracts = []
for identifier in identifiers:
symbol, expiry, put_call, strike = extract_option_info(identifier)
if symbol is None or expiry is None or put_call is None or strike is None:
continue
param = SingleContractParams()
param.symbol = symbol
param.expiry = int(delorean.parse(expiry, timezone=eastern, dayfirst=False).datetime.timestamp() * 1000)
param.put_call = put_call
param.strike = strike
contracts.append(param)
params.contracts = contracts
request = OpenApiRequest(OPTION_TRADE_TICK, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OptionTradeTickResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.trade_ticks
else:
raise ApiException(response.code, response.message)
return None
def get_option_bars(self, identifiers, begin_time=-1, end_time=4070880000000):
"""
获取K线(DAY)数据
:param identifiers: 期权代码
:param begin_time: 开始时间
:param end_time: 结束时间
:return:
"""
params = MultipleContractParams()
contracts = []
for identifier in identifiers:
symbol, expiry, put_call, strike = extract_option_info(identifier)
if symbol is None or expiry is None or put_call is None or strike is None:
continue
param = SingleOptionQuoteParams()
param.symbol = symbol
param.expiry = int(delorean.parse(expiry, timezone=eastern, dayfirst=False).datetime.timestamp() * 1000)
param.put_call = put_call
param.strike = strike
param.period = BarPeriod.DAY.value
param.begin_time = begin_time
param.end_time = end_time
contracts.append(param)
params.contracts = contracts
request = OpenApiRequest(OPTION_KLINE, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OptionQuoteBarResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.bars
else:
raise ApiException(response.code, response.message)
def get_option_briefs(self, identifiers):
"""
获取期权最新行情
:param identifiers: 期权代码列表
:return: pandas.DataFrame， 各 column 的含义如下：
identifier: 期权代码
symbol: 期权对应的正股代码
expiry: 到期日，毫秒级时间戳
strike: 行权价
put_call: 期权方向
multiplier: 乘数
ask_price: 卖价
ask_size: 卖量
bid_price: 买价
bid_size: 买量
pre_close: 前收价
latest_price: 最新价
latest_time: 最新交易时间
volume: 成交量
open_interest: 未平仓数量
open: 开盘价
high: 最高价
low: 最低价
rates_bonds: 无风险利率
volatility: 历史波动率
"""
params = MultipleContractParams()
contracts = []
for identifier in identifiers:
symbol, expiry, put_call, strike = extract_option_info(identifier)
if symbol is None or expiry is None or put_call is None or strike is None:
continue
param = SingleContractParams()
param.symbol = symbol
param.expiry = int(
delorean.parse(expiry, timezone=eastern,
dayfirst=False).datetime.timestamp() * 1000)
param.put_call = put_call
param.strike = strike
contracts.append(param)
params.contracts = contracts
request = OpenApiRequest(OPTION_BRIEF, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OptionBriefsResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.briefs
else:
raise ApiException(response.code, response.message)
return None
def get_option_bars(self,
identifiers,
begin_time=-1,
end_time=4070880000000):
"""
获取期权日K数据
:param identifiers: 期权代码列表
:param begin_time: 开始时间. 若是时间戳需要精确到毫秒, 为13位整数;
或是日期时间格式的字符串, 如 "2019-01-01" 或 "2019-01-01 12:00:00"
:param end_time: 结束时间. 格式同 begin_time
:return: pandas.DataFrame, 各 column 含义如下：
time: 毫秒级时间戳
open: 开盘价
high: 最高价
low: 最低价
close: 收盘价
volume: 成交量
open_interest: 未平仓数量
expiry: 期权到期时间
strike: 行权价
put_call: 期权方向
"""
params = MultipleContractParams()
contracts = []
for identifier in identifiers:
symbol, expiry, put_call, strike = extract_option_info(identifier)
if symbol is None or expiry is None or put_call is None or strike is None:
continue
param = SingleOptionQuoteParams()
param.symbol = symbol
param.expiry = int(
delorean.parse(expiry, timezone=eastern,
dayfirst=False).datetime.timestamp() * 1000)
param.put_call = put_call
param.strike = strike
param.period = BarPeriod.DAY.value
param.begin_time = begin_time
param.end_time = end_time
contracts.append(param)
params.contracts = contracts
request = OpenApiRequest(OPTION_KLINE, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OptionQuoteBarResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.bars
else:
raise ApiException(response.code, response.message)
