openapi/python/src/quote/context.rs at main · noneback/openapi · GitHub

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use std::sync::Arc;

use longport::{

blocking::QuoteContextSync,

quote::{RequestCreateWatchlistGroup, RequestUpdateWatchlistGroup},

};

use parking_lot::Mutex;

use pyo3::prelude::*;

use time::PrimitiveDateTime;

use crate::{

config::Config,

error::ErrorNewType,

quote::{

push::handle_push_event,

types::{

AdjustType, CalcIndex, Candlestick, CapitalDistributionResponse, CapitalFlowLine,

FilterWarrantExpiryDate, FilterWarrantInOutBoundsType,

HistoryMarketTemperatureResponse, IntradayLine, IssuerInfo, MarketTemperature,

MarketTradingDays, MarketTradingSession, OptionQuote, ParticipantInfo, Period,

QuotePackageDetail, RealtimeQuote, SecuritiesUpdateMode, Security, SecurityBrokers,

SecurityCalcIndex, SecurityDepth, SecurityListCategory, SecurityQuote,

SecurityStaticInfo, SortOrderType, StrikePriceInfo, SubType, SubTypes, Subscription,

Trade, TradeSessions, WarrantInfo, WarrantQuote, WarrantSortBy, WarrantStatus,

WarrantType, WatchlistGroup,

time::{PyDateWrapper, PyOffsetDateTimeWrapper},

types::Market,

};

#[derive(Debug, Default)]

pub(crate) struct Callbacks {

pub(crate) quote: Option<PyObject>,

pub(crate) depth: Option<PyObject>,

pub(crate) brokers: Option<PyObject>,

pub(crate) trades: Option<PyObject>,

pub(crate) candlestick: Option<PyObject>,

}

#[pyclass]

pub(crate) struct QuoteContext {

ctx: QuoteContextSync,

callbacks: Arc<Mutex<Callbacks>>,

}

#[pymethods]

impl QuoteContext {

#[new]

fn new(config: &Config) -> PyResult<Self> {

let callbacks = Arc::new(Mutex::new(Callbacks::default()));

let ctx = QuoteContextSync::try_new(Arc::new(config.0.clone()), {

let callbacks = callbacks.clone();

move |event| {

handle_push_event(&callbacks.lock(), event);

}

})

.map_err(ErrorNewType)?;

Ok(Self { ctx, callbacks })

}

/// Returns the member ID

fn member_id(&self) -> PyResult<i64> {

Ok(self.ctx.member_id().map_err(ErrorNewType)?)

}

/// Returns the quote level

fn quote_level(&self) -> PyResult<String> {

Ok(self.ctx.quote_level().map_err(ErrorNewType)?)

}

/// Returns the quote package details

fn quote_package_details(&self) -> PyResult<Vec<QuotePackageDetail>> {

self.ctx

.quote_package_details()

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Set quote callback, after receiving the quote data push, it

/// will call back to this function.

fn set_on_quote(&self, py: Python<'_>, callback: PyObject) {

if callback.is_none(py) {

self.callbacks.lock().quote = None;

} else {

self.callbacks.lock().quote = Some(callback);

}

/// Set depth callback, after receiving the depth data push, it

/// will call back to this function.

fn set_on_depth(&self, py: Python<'_>, callback: PyObject) {

if callback.is_none(py) {

self.callbacks.lock().depth = None;

} else {

self.callbacks.lock().depth = Some(callback);

}

/// Set brokers callback, after receiving the brokers data push, it

/// will call back to this function.

fn set_on_brokers(&self, py: Python<'_>, callback: PyObject) {

if callback.is_none(py) {

self.callbacks.lock().brokers = None;

} else {

self.callbacks.lock().brokers = Some(callback);

}

/// Set trades callback, after receiving the trades data push, it

/// will call back to this function.

fn set_on_trades(&self, py: Python<'_>, callback: PyObject) {

if callback.is_none(py) {

self.callbacks.lock().trades = None;

} else {

self.callbacks.lock().trades = Some(callback);

}

/// Set candlestick callback, after receiving the candlestick updated event,

/// it will call back to this function.

fn set_on_candlestick(&self, py: Python<'_>, callback: PyObject) {

if callback.is_none(py) {

self.callbacks.lock().candlestick = None;

} else {

self.callbacks.lock().candlestick = Some(callback);

}

/// Subscribe

#[pyo3(signature = (symbols, sub_types, is_first_push = false))]

fn subscribe(

&self,

symbols: Vec<String>,

sub_types: Vec<SubType>,

is_first_push: bool,

) -> PyResult<()> {

self.ctx

.subscribe(symbols, SubTypes(sub_types), is_first_push)

.map_err(ErrorNewType)?;

Ok(())

}

/// Unsubscribe

fn unsubscribe(&self, symbols: Vec<String>, sub_types: Vec<SubType>) -> PyResult<()> {

self.ctx

.unsubscribe(symbols, SubTypes(sub_types))

.map_err(ErrorNewType)?;

Ok(())

}

/// Subscribe security candlesticks

#[pyo3(signature = (symbol, period, trade_sessions = TradeSessions::Intraday))]

fn subscribe_candlesticks(

&self,

symbol: String,

period: Period,

trade_sessions: TradeSessions,

) -> PyResult<Vec<Candlestick>> {

self.ctx

.subscribe_candlesticks(symbol, period.into(), trade_sessions.into())

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Subscribe security candlesticks

fn unsubscribe_candlesticks(&self, symbol: String, period: Period) -> PyResult<()> {

self.ctx

.unsubscribe_candlesticks(symbol, period.into())

.map_err(ErrorNewType)?;

Ok(())

}

/// Get subscription information

fn subscriptions(&self) -> PyResult<Vec<Subscription>> {

self.ctx

.subscriptions()

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get basic information of securities

fn static_info(&self, symbols: Vec<String>) -> PyResult<Vec<SecurityStaticInfo>> {

self.ctx

.static_info(symbols)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get quote of securities

fn quote(&self, symbols: Vec<String>) -> PyResult<Vec<SecurityQuote>> {

self.ctx

.quote(symbols)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get quote of option securities

fn option_quote(&self, symbols: Vec<String>) -> PyResult<Vec<OptionQuote>> {

self.ctx

.option_quote(symbols)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get quote of warrant securities

fn warrant_quote(&self, symbols: Vec<String>) -> PyResult<Vec<WarrantQuote>> {

self.ctx

.warrant_quote(symbols)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get security depth

fn depth(&self, symbol: String) -> PyResult<SecurityDepth> {

self.ctx.depth(symbol).map_err(ErrorNewType)?.try_into()

}

/// Get security brokers

fn brokers(&self, symbol: String) -> PyResult<SecurityBrokers> {

self.ctx.brokers(symbol).map_err(ErrorNewType)?.try_into()

}

/// Get participants

fn participants(&self) -> PyResult<Vec<ParticipantInfo>> {

self.ctx

.participants()

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get security trades

fn trades(&self, symbol: String, count: usize) -> PyResult<Vec<Trade>> {

self.ctx

.trades(symbol, count)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get security intraday

fn intraday(&self, symbol: String) -> PyResult<Vec<IntradayLine>> {

self.ctx

.intraday(symbol)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get security candlesticks

#[pyo3(signature = (symbol, period, count, adjust_type, trade_sessions = TradeSessions::Intraday))]

fn candlesticks(

&self,

symbol: String,

period: Period,

adjust_type: AdjustType,

trade_sessions: TradeSessions,

) -> PyResult<Vec<Candlestick>> {

self.ctx

.candlesticks(

symbol,

period.into(),

count,

adjust_type.into(),

trade_sessions.into(),

)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get security history candlesticks by offset

#[pyo3(signature = (symbol, period, adjust_type, forward, count, time = None, trade_sessions = TradeSessions::Intraday))]

#[allow(clippy::too_many_arguments)]

fn history_candlesticks_by_offset(

&self,

symbol: String,

period: Period,

adjust_type: AdjustType,

forward: bool,

time: Option<PyOffsetDateTimeWrapper>,

trade_sessions: TradeSessions,

) -> PyResult<Vec<Candlestick>> {

self.ctx

.history_candlesticks_by_offset(

symbol,

period.into(),

adjust_type.into(),

forward,

time.map(|time| PrimitiveDateTime::new(time.0.date(), time.0.time())),

count,

trade_sessions.into(),

)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get security history candlesticks by offset

#[pyo3(signature = (symbol, period, adjust_type, start = None, end = None,trade_sessions = TradeSessions::Intraday))]

fn history_candlesticks_by_date(

&self,

symbol: String,

period: Period,

adjust_type: AdjustType,

start: Option<PyDateWrapper>,

end: Option<PyDateWrapper>,

trade_sessions: TradeSessions,

) -> PyResult<Vec<Candlestick>> {

self.ctx

.history_candlesticks_by_date(

symbol,

period.into(),

adjust_type.into(),

start.map(|d| d.0),

end.map(|d| d.0),

trade_sessions.into(),

)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get option chain expiry date list

fn option_chain_expiry_date_list(&self, symbol: String) -> PyResult<Vec<PyDateWrapper>> {

Ok(self

.ctx

.option_chain_expiry_date_list(symbol)

.map_err(ErrorNewType)?

.into_iter()

.map(Into::into)

.collect())

}

/// Get option chain info by date

fn option_chain_info_by_date(

&self,

symbol: String,

expiry_date: PyDateWrapper,

) -> PyResult<Vec<StrikePriceInfo>> {

self.ctx

.option_chain_info_by_date(symbol, expiry_date.0)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get warrant issuers

fn warrant_issuers(&self) -> PyResult<Vec<IssuerInfo>> {

self.ctx

.warrant_issuers()

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Query warrant list

#[pyo3(signature = (symbol, sort_by, sort_order, warrant_type = None, issuer = None, expiry_date = None, price_type = None, status = None))]

#[allow(clippy::too_many_arguments)]

fn warrant_list(

&self,

symbol: String,

sort_by: WarrantSortBy,

sort_order: SortOrderType,

warrant_type: Option<Vec<WarrantType>>,

issuer: Option<Vec<i32>>,

expiry_date: Option<Vec<FilterWarrantExpiryDate>>,

price_type: Option<Vec<FilterWarrantInOutBoundsType>>,

status: Option<Vec<WarrantStatus>>,

) -> PyResult<Vec<WarrantInfo>> {

let warrant_type: Option<Vec<longport::quote::WarrantType>> =

warrant_type.map(|v| v.into_iter().map(Into::into).collect());

let expiry_date: Option<Vec<longport::quote::FilterWarrantExpiryDate>> =

expiry_date.map(|v| v.into_iter().map(Into::into).collect());

let price_type: Option<Vec<longport::quote::FilterWarrantInOutBoundsType>> =

price_type.map(|v| v.into_iter().map(Into::into).collect());

let status: Option<Vec<longport::quote::WarrantStatus>> =

status.map(|v| v.into_iter().map(Into::into).collect());

self.ctx

.warrant_list(

symbol,

sort_by.into(),

sort_order.into(),

warrant_type.as_deref(),

issuer.as_deref(),

expiry_date.as_deref(),

price_type.as_deref(),

status.as_deref(),

)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get trading session of the day

fn trading_session(&self) -> PyResult<Vec<MarketTradingSession>> {

self.ctx

.trading_session()

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get trading session of the day

fn trading_days(

&self,

market: Market,

begin: PyDateWrapper,

end: PyDateWrapper,

) -> PyResult<MarketTradingDays> {

self.ctx

.trading_days(market.into(), begin.0, end.0)

.map_err(ErrorNewType)?

.try_into()

}

/// Get capital flow intraday

fn capital_flow(&self, symbol: String) -> PyResult<Vec<CapitalFlowLine>> {

self.ctx

.capital_flow(symbol)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get capital distribution

fn capital_distribution(&self, symbol: String) -> PyResult<CapitalDistributionResponse> {

self.ctx

.capital_distribution(symbol)

.map_err(ErrorNewType)?

.try_into()

}

/// Get calc indexes

fn calc_indexes(

&self,

symbols: Vec<String>,

indexes: Vec<CalcIndex>,

) -> PyResult<Vec<SecurityCalcIndex>> {

self.ctx

.calc_indexes(symbols, indexes.into_iter().map(Into::into))

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get watch list

fn watchlist(&self) -> PyResult<Vec<WatchlistGroup>> {

self.ctx

.watchlist()

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Create watchlist group

#[pyo3(signature = (name, securities = None))]

fn create_watchlist_group(

&self,

securities: Option<Vec<String>>,

) -> PyResult<i64> {

let mut req = RequestCreateWatchlistGroup::new(name);

if let Some(securities) = securities {

req = req.securities(securities);

}

let id = self.ctx.create_watchlist_group(req).map_err(ErrorNewType)?;

Ok(id)

}

/// Delete watchlist group

#[pyo3(signature=(id, purge = false))]

fn delete_watchlist_group(&self, id: i64, purge: bool) -> PyResult<()> {

self.ctx

.delete_watchlist_group(id, purge)

.map_err(ErrorNewType)?;

Ok(())

}

/// Update watchlist group

#[pyo3(signature = (id, name = None, securities = None, mode = None))]

fn update_watchlist_group(

&self,

id: i64,

securities: Option<Vec<String>>,

mode: Option<SecuritiesUpdateMode>,

) -> PyResult<()> {

let mut req = RequestUpdateWatchlistGroup::new(id);

if let Some(name) = name {

req = req.name(name);

}

if let Some(securities) = securities {

req = req.securities(securities);

}

if let Some(mode) = mode {

req = req.mode(mode.into());

}

self.ctx.update_watchlist_group(req).map_err(ErrorNewType)?;

Ok(())

}

/// Get security list

pub fn security_list(

&self,

market: Market,

category: SecurityListCategory,

) -> PyResult<Vec<Security>> {

self.ctx

.security_list(market.into(), category.into())

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get current market temperature

pub fn market_temperature(&self, market: Market) -> PyResult<MarketTemperature> {

self.ctx

.market_temperature(market.into())

.map_err(ErrorNewType)?

.try_into()

}

/// Get historical market temperature

pub fn history_market_temperature(

&self,

market: Market,

start_date: PyDateWrapper,

end: PyDateWrapper,

) -> PyResult<HistoryMarketTemperatureResponse> {

self.ctx

.history_market_temperature(market.into(), start_date.0, end.0)

.map_err(ErrorNewType)?

.try_into()

}

/// Get real-time quote

fn realtime_quote(&self, symbols: Vec<String>) -> PyResult<Vec<RealtimeQuote>> {

self.ctx

.realtime_quote(symbols)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get real-time depth

fn realtime_depth(&self, symbol: String) -> PyResult<SecurityDepth> {

self.ctx

.realtime_depth(symbol)

.map_err(ErrorNewType)?

.try_into()

}

/// Get real-time brokers

fn realtime_brokers(&self, symbol: String) -> PyResult<SecurityBrokers> {

self.ctx

.realtime_brokers(symbol)

.map_err(ErrorNewType)?

.try_into()

}

/// Get real-time trades

#[pyo3(signature = (symbol, count = 500))]

fn realtime_trades(&self, symbol: String, count: usize) -> PyResult<Vec<Trade>> {

self.ctx

.realtime_trades(symbol, count)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

/// Get real-time candlesticks

#[pyo3(signature = (symbol, period, count = 500))]

fn realtime_candlesticks(

&self,

symbol: String,

period: Period,

) -> PyResult<Vec<Candlestick>> {

self.ctx

.realtime_candlesticks(symbol, period.into(), count)

.map_err(ErrorNewType)?

.into_iter()

.map(TryInto::try_into)

.collect()

}

openapi/python/src/quote/context.rs at main · noneback/openapi · GitHub

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