# Get Option Chain
- Python
- Proto
- C#
- Java
- C++
- JavaScript
# get_option_chain
get_option_chain(code, index_option_type=IndexOptionType.NORMAL, start=None, end=None, option_type=OptionType.ALL, option_cond_type=OptionCondType.ALL, data_filter=None)
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
Parameter Type Description code str Code of underlying stock. index_option_type IndexOptionType Index option type. Ignore this parameter for stocks and ETFs.start str Start date, for expiration date. For example: "2017-08-01".end str End date (including this day), for expiration date. For example: "2017-08-30".option_type OptionType Option type for call/put. Default all.option_cond_type OptionCondType Option type for in/out of the money. Default all.data_filter OptionDataFilter Data filter condition. No filter by default.The combination of start and end is as follows:
Start type End type Description str str start and end are the specified dates respectively. None str start is 30 days before end. str None end is 30 days after start. None None start is the current date, end is 30 days later. OptionDataFilter fields are as follows
Field Type Description implied_volatility_min float Min value of implied volatility. 0 decimal place accuracy, the excess part is discarded.implied_volatility_max float Max value of implied volatility. 0 decimal place accuracy, the excess part is discarded.delta_min float Min value of Greek value Delta. 3 decimal place accuracy, the excess part is discarded.delta_max float Max value of Greek value Delta. 3 decimal place accuracy, the excess part is discarded.gamma_min float Min value of Greek value Gamma. 3 decimal place accuracy, the excess part is discarded.gamma_max float Max value of Greek value Gamma. 3 decimal place accuracy, the excess part is discarded.vega_min float Min value of Greek value Vega. 3 decimal place accuracy, the excess part is discarded.vega_max float Max value of Greek value Vega. 3 decimal place accuracy, the excess part is discarded.theta_min float Min value of Greek value Theta. 3 decimal place accuracy, the excess part is discarded.theta_max float Max value of Greek value Theta. 3 decimal place accuracy, the excess part is discarded.rho_min float Min value of Greek value Rho. 3 decimal place accuracy, the excess part is discarded.rho_max float Max value of Greek value Rho. 3 decimal place accuracy, the excess part is discarded.net_open_interest_min float Min value of net open contract number. 0 decimal place accuracy, the excess part is discarded.net_open_interest_max float Max value of net open contract number. 0 decimal place accuracy, the excess part is discarded.open_interest_min float Min value of open contract number. 0 decimal place accuracy, the excess part is discarded.open_interest_max float Max value of open contract number. 0 decimal place accuracy, the excess part is discarded.vol_min float Min value of Volume. 0 decimal place accuracy, the excess part is discarded.vol_max float Max value of Volume. 0 decimal place accuracy, the excess part is discarded.
Return
Field Type Description ret RET_CODE Interface result. data pd.DataFrame If ret == RET_OK, option chain data is returned. str If ret != RET_OK, error description is returned. - Option chain data format as follows:
Field Type Description code str Security code. name str Security name. lot_size int Number of shares per lot, number of shares per contract for options. Index options do not have this field.stock_type SecurityType Stock type. option_type OptionType Option type. stock_owner str Underlying stock. strike_time str Exercise date. Format: yyyy-MM-dd
The default of HK stock market and A-share market is Beijing time, while that of US stock market is US Eastern time.strike_price float Strike price. suspension bool Whether is suspended. True: suspended.
False: not suspendedstock_id int Stock ID. index_option_type IndexOptionType Index option type.
- Option chain data format as follows:
Example
from futu import *
import time
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
ret1, data1 = quote_ctx.get_option_expiration_date(code='HK.00700')
filter1 = OptionDataFilter()
filter1.delta_min = 0
filter1.delta_max = 0.1
if ret1 == RET_OK:
expiration_date_list = data1['strike_time'].values.tolist()
for date in expiration_date_list:
ret2, data2 = quote_ctx.get_option_chain(code='HK.00700', start=date, end=date, data_filter=filter1)
if ret2 == RET_OK:
print(data2)
print(data2['code'][0]) # Take the first stock code
print(data2['code'].values.tolist()) # Convert to list
else:
print('error:', data2)
time.sleep(3)
else:
print('error:', data1)
quote_ctx.close() # After using the connection, remember to close it to prevent the number of connections from running out
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- Output
code name lot_size stock_type option_type stock_owner strike_time strike_price suspension stock_id index_option_type
0 HK.TCH210429C350000 腾讯 210429 350.00 购 100 DRVT CALL HK.00700 2021-04-29 350.0 False 80235167 N/A
1 HK.TCH210429P350000 腾讯 210429 350.00 沽 100 DRVT PUT HK.00700 2021-04-29 350.0 False 80235247 N/A
2 HK.TCH210429C360000 腾讯 210429 360.00 购 100 DRVT CALL HK.00700 2021-04-29 360.0 False 80235163 N/A
3 HK.TCH210429P360000 腾讯 210429 360.00 沽 100 DRVT PUT HK.00700 2021-04-29 360.0 False 80235246 N/A
4 HK.TCH210429C370000 腾讯 210429 370.00 购 100 DRVT CALL HK.00700 2021-04-29 370.0 False 80235165 N/A
5 HK.TCH210429P370000 腾讯 210429 370.00 沽 100 DRVT PUT HK.00700 2021-04-29 370.0 False 80235248 N/A
HK.TCH210429C350000
['HK.TCH210429C350000', 'HK.TCH210429P350000', 'HK.TCH210429C360000', 'HK.TCH210429P360000', 'HK.TCH210429C370000', 'HK.TCH210429P370000']
...
code name lot_size stock_type option_type stock_owner strike_time strike_price suspension stock_id index_option_type
0 HK.TCH220330C490000 腾讯 220330 490.00 购 100 DRVT CALL HK.00700 2022-03-30 490.0 False 80235143 N/A
1 HK.TCH220330P490000 腾讯 220330 490.00 沽 100 DRVT PUT HK.00700 2022-03-30 490.0 False 80235193 N/A
2 HK.TCH220330C500000 腾讯 220330 500.00 购 100 DRVT CALL HK.00700 2022-03-30 500.0 False 80233887 N/A
3 HK.TCH220330P500000 腾讯 220330 500.00 沽 100 DRVT PUT HK.00700 2022-03-30 500.0 False 80233912 N/A
4 HK.TCH220330C510000 腾讯 220330 510.00 购 100 DRVT CALL HK.00700 2022-03-30 510.0 False 80233747 N/A
5 HK.TCH220330P510000 腾讯 220330 510.00 沽 100 DRVT PUT HK.00700 2022-03-30 510.0 False 80233766 N/A
HK.TCH220330C490000
['HK.TCH220330C490000', 'HK.TCH220330P490000', 'HK.TCH220330C500000', 'HK.TCH220330P500000', 'HK.TCH220330C510000', 'HK.TCH220330P510000']
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# Qot_GetOptionChain.proto
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Protocol ID
3209
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
Protocol ID
3209
# GetOptionChain
uint GetOptionChain(QotGetOptionChain.Request req);
virtual void OnReply_GetOptionChain(FTAPI_Conn client, uint nSerialNo, QotGetOptionChain.Response rsp);
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
- Example
public class Program: FTSPI_Qot, FTSPI_Conn {
FTAPI_Qot qot = new FTAPI_Qot();
public Program() {
qot.SetClientInfo("csharp", 1); //Set client information
qot.SetConnCallback(this); //Set connection callback
qot.SetQotCallback(this); //Set transaction callback
}
public void Start() {
qot.InitConnect("127.0.0.1", (ushort)11111, false);
}
public void OnInitConnect(FTAPI_Conn client, long errCode, String desc)
{
Console.Write("Qot onInitConnect: ret={0} desc={1} connID={2}\n", errCode, desc, client.GetConnectID());
if (errCode != 0)
return;
QotCommon.Security sec = QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_HK_Security)
.SetCode("00700")
.Build();
QotGetOptionChain.C2S c2s = QotGetOptionChain.C2S.CreateBuilder()
.SetOwner(sec)
.SetBeginTime("2020-11-01")
.SetEndTime("2020-12-01")
.Build();
QotGetOptionChain.Request req = QotGetOptionChain.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = qot.GetOptionChain(req);
Console.Write("Send QotGetOptionChain: {0}\n", seqNo);
}
public void OnDisconnect(FTAPI_Conn client, long errCode) {
Console.Write("Qot onDisConnect: {0}\n", errCode);
}
public void OnReply_GetOptionChain(FTAPI_Conn client, uint nSerialNo, QotGetOptionChain.Response rsp)
{
Console.Write("Reply: QotGetOptionChain: {0}\n", nSerialNo);
Console.Write("strikeTime: {0}, name: {1} \n",
rsp.S2C.OptionChainList[0].StrikeTime,
rsp.S2C.OptionChainList[0].OptionList[0].Call.Basic.Name);
}
public static void Main(String[] args) {
FTAPI.Init();
Program qot = new Program();
qot.Start();
while (true)
Thread.Sleep(1000 * 600);
}
}
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- Output
Qot onInitConnect: ret=0 desc= connID=6825705573658441031
Send QotGetOptionChain: 3
Reply: QotGetOptionChain: 3
strikeTime: 2021-07-29, name: TCH 210729 400.00 C
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# getOptionChain
int getOptionChain(QotGetOptionChain.Request req);
void onReply_GetOptionChain(FTAPI_Conn client, int nSerialNo, QotGetOptionChain.Response rsp);
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
- Example
public class QotDemo implements FTSPI_Qot, FTSPI_Conn {
FTAPI_Conn_Qot qot = new FTAPI_Conn_Qot();
public QotDemo() {
qot.setClientInfo("javaclient", 1); //Set client information
qot.setConnSpi(this); //Set connection callback
qot.setQotSpi(this); //Set transaction callback
}
public void start() {
qot.initConnect("127.0.0.1", (short)11111, false);
}
@Override
public void onInitConnect(FTAPI_Conn client, long errCode, String desc)
{
System.out.printf("Qot onInitConnect: ret=%b desc=%s connID=%d\n", errCode, desc, client.getConnectID());
if (errCode != 0)
return;
QotCommon.Security sec = QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_HK_Security_VALUE)
.setCode("00700")
.build();
QotGetOptionChain.C2S c2s = QotGetOptionChain.C2S.newBuilder()
.setOwner(sec)
.setBeginTime("2021-06-01")
.setEndTime("2021-07-01")
.build();
QotGetOptionChain.Request req = QotGetOptionChain.Request.newBuilder().setC2S(c2s).build();
int seqNo = qot.getOptionChain(req);
System.out.printf("Send QotGetOptionChain: %d\n", seqNo);
}
@Override
public void onDisconnect(FTAPI_Conn client, long errCode) {
System.out.printf("Qot onDisConnect: %d\n", errCode);
}
@Override
public void onReply_GetOptionChain(FTAPI_Conn client, int nSerialNo, QotGetOptionChain.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("QotGetOptionChain failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotGetOptionChain: %s\n", json);
} catch (InvalidProtocolBufferException e) {
e.printStackTrace();
}
}
}
public static void main(String[] args) {
FTAPI.init();
QotDemo qot = new QotDemo();
qot.start();
while (true) {
try {
Thread.sleep(1000 * 600);
} catch (InterruptedException exc) {
}
}
}
}
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- Output
Send QotGetOptionChain: 2
Receive QotGetOptionChain: {
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"optionChain": [{
"strikeTime": "2021-06-29",
"option": [{
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629C295000"
},
"id": "80143386",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 295.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 295.0,
"suspend": false,
"market": "",
"strikeTimestamp": 1.624896E9
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629P295000"
},
"id": "80143074",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 295.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 295.0,
"suspend": false,
"market": "",
"strikeTimestamp": 1.624896E9
}
}
}, ... {
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629C1050000"
},
"id": "80223489",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 1050.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 1050.0,
"suspend": false,
"market": "",
"strikeTimestamp": 1.624896E9
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629P1050000"
},
"id": "80223488",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 1050.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 1050.0,
"suspend": false,
"market": "",
"strikeTimestamp": 1.624896E9
}
}
}],
"strikeTimestamp": 1.624896E9
}]
}
}
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# GetOptionChain
Futu::u32_t GetOptionChain(const Qot_GetOptionChain::Request &stReq);
virtual void OnReply_GetOptionChain(Futu::u32_t nSerialNo, const Qot_GetOptionChain::Response &stRsp) = 0;
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
- Example
class Program : public FTSPI_Qot, public FTSPI_Trd, public FTSPI_Conn
{
public:
Program() {
m_pQotApi = FTAPI::CreateQotApi();
m_pQotApi->RegisterQotSpi(this);
m_pQotApi->RegisterConnSpi(this);
}
~Program() {
if (m_pQotApi != nullptr)
{
m_pQotApi->UnregisterQotSpi();
m_pQotApi->UnregisterConnSpi();
FTAPI::ReleaseQotApi(m_pQotApi);
m_pQotApi = nullptr;
}
}
void Start() {
m_pQotApi->InitConnect("127.0.0.1", 11111, false);
}
virtual void OnInitConnect(FTAPI_Conn* pConn, Futu::i64_t nErrCode, const char* strDesc) {
cout << "connect" << endl;
// construct request message
Qot_GetOptionChain::Request req;
Qot_GetOptionChain::C2S *c2s = req.mutable_c2s();
Qot_Common::Security *sec = c2s->mutable_owner();
sec->set_code("00700");
sec->set_market(Qot_Common::QotMarket::QotMarket_HK_Security);
c2s->set_begintime("2021-06-07");
c2s->set_endtime("2021-07-01");
m_GetOptionChainSerialNo = m_pQotApi->GetOptionChain(req);
cout << "Request GetOptionChain SerialNo: " << m_GetOptionChainSerialNo << endl;
}
virtual void OnReply_GetOptionChain(Futu::u32_t nSerialNo, const Qot_GetOptionChain::Response &stRsp){
if(nSerialNo == m_GetOptionChainSerialNo)
{
cout << "OnReply_GetOptionChain SerialNo: " << nSerialNo << endl;
// print response
// ProtoBufToBodyData and UTF8ToLocal refer to tool.h in Samples
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
}
protected:
FTAPI_Qot *m_pQotApi;
Futu::u32_t m_GetOptionChainSerialNo;
};
int32_t main(int32_t argc, char** argv)
{
FTAPI::Init();
{
Program program;
program.Start();
getchar();
}
protobuf::ShutdownProtobufLibrary();
FTAPI::UnInit();
return 0;
}
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- Output
connect
Request GetOptionChain SerialNo: 4
OnReply_GetOptionChain SerialNo: 4
{
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"optionChain": [
{
"strikeTime": "2021-06-29",
"option": [
{
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629C295000"
},
"id": "80143386",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 295.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 295,
"suspend": false,
"market": "",
"strikeTimestamp": 1624896000
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629P295000"
},
"id": "80143074",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 295.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 295,
"suspend": false,
"market": "",
"strikeTimestamp": 1624896000
}
}
},
...
{
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629C1050000"
},
"id": "80223489",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 1050.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 1050,
"suspend": false,
"market": "",
"strikeTimestamp": 1624896000
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629P1050000"
},
"id": "80223488",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 1050.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 1050,
"suspend": false,
"market": "",
"strikeTimestamp": 1624896000
}
}
}
],
"strikeTimestamp": 1624896000
}
]
}
}
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# GetOptionChain
GetOptionChain(req);
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
- Example
import ftWebsocket from "futu-api";
import { ftCmdID } from "futu-api";
import { Common, Qot_Common } from "futu-api/proto";
import beautify from "js-beautify";
function QotGetOptionChain(){
const { RetType } = Common
const { QotMarket } = Qot_Common
let [addr, port, enable_ssl, key] = ["127.0.0.1", 33333, false, '7522027ccf5a06b1'];
let websocket = new ftWebsocket();
websocket.onlogin = (ret, msg)=>{
if (ret) {
const req = {
c2s: {
owner:{
market: QotMarket.QotMarket_HK_Security,
code: "00700",
},
beginTime: "2021-09-01",
endTime: "2021-09-30",
},
};
websocket.GetOptionChain(req)
.then((res) => {
let { errCode, retMsg, retType,s2c } = res
console.log("OptionChain: errCode %d, retMsg %s, retType %d", errCode, retMsg, retType);
if(retType == RetType.RetType_Succeed){
let data = beautify(JSON.stringify(s2c), {
indent_size: 2,
space_in_empty_paren: true,
});
console.log(data);
}
})
.catch((error) => {
console.log("error:", error);
});
} else {
console.log("error", msg);
}
};
websocket.start(addr, port, enable_ssl, key);
// After using the connection, remember to close it to prevent the number of connections from running out
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // Set the script to receive OpenD push duration to 5 seconds
}
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- Output
OptionChain: errCode 0, retMsg , retType 0
{
"optionChain": [{
"strikeTime": "2021-09-29",
"option": [{
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929C300000"
},
"id": "80287116",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 300.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 300,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929P300000"
},
"id": "80287124",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 300.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 300,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
}
}, {
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929C310000"
},
"id": "80277871",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 310.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 310,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929P310000"
},
"id": "80277826",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 310.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 310,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
}
}, ..., {
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929C950000"
},
"id": "80215136",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 950.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 950,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929P950000"
},
"id": "80215157",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 950.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 950,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
}
}],
"strikeTimestamp": 1632844800
}]
}
stop
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Interface Limitations
- A maximum of 10 requests per 30 seconds
- The upper limit of the incoming time span is 30 days
Tips
- This interface does not support the query of expired option chains, please enter today or future date to the End date parameter.
- Python
- Proto
- C#
- Java
- C++
- JavaScript
# get_option_chain
get_option_chain(code, index_option_type=IndexOptionType.NORMAL, start=None, end=None, option_type=OptionType.ALL, option_cond_type=OptionCondType.ALL, data_filter=None)
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
Parameter Type Description code str Code of underlying stock. index_option_type IndexOptionType Index option type. Ignore this parameter for stocks and ETFs.start str Start date, for expiration date. For example: "2017-08-01".end str End date (including this day), for expiration date. For example: "2017-08-30".option_type OptionType Option type for call/put. Default all.option_cond_type OptionCondType Option type for in/out of the money. Default all.data_filter OptionDataFilter Data filter condition. No filter by default.The combination of start and end is as follows:
Start type End type Description str str start and end are the specified dates respectively. None str start is 30 days before end. str None end is 30 days after start. None None start is the current date, end is 30 days later. OptionDataFilter fields are as follows
Field Type Description implied_volatility_min float Min value of implied volatility. 0 decimal place accuracy, the excess part is discarded.implied_volatility_max float Max value of implied volatility. 0 decimal place accuracy, the excess part is discarded.delta_min float Min value of Greek value Delta. 3 decimal place accuracy, the excess part is discarded.delta_max float Max value of Greek value Delta. 3 decimal place accuracy, the excess part is discarded.gamma_min float Min value of Greek value Gamma. 3 decimal place accuracy, the excess part is discarded.gamma_max float Max value of Greek value Gamma. 3 decimal place accuracy, the excess part is discarded.vega_min float Min value of Greek value Vega. 3 decimal place accuracy, the excess part is discarded.vega_max float Max value of Greek value Vega. 3 decimal place accuracy, the excess part is discarded.theta_min float Min value of Greek value Theta. 3 decimal place accuracy, the excess part is discarded.theta_max float Max value of Greek value Theta. 3 decimal place accuracy, the excess part is discarded.rho_min float Min value of Greek value Rho. 3 decimal place accuracy, the excess part is discarded.rho_max float Max value of Greek value Rho. 3 decimal place accuracy, the excess part is discarded.net_open_interest_min float Min value of net open contract number. 0 decimal place accuracy, the excess part is discarded.net_open_interest_max float Max value of net open contract number. 0 decimal place accuracy, the excess part is discarded.open_interest_min float Min value of open contract number. 0 decimal place accuracy, the excess part is discarded.open_interest_max float Max value of open contract number. 0 decimal place accuracy, the excess part is discarded.vol_min float Min value of Volume. 0 decimal place accuracy, the excess part is discarded.vol_max float Max value of Volume. 0 decimal place accuracy, the excess part is discarded.
Return
Field Type Description ret RET_CODE Interface result. data pd.DataFrame If ret == RET_OK, option chain data is returned. str If ret != RET_OK, error description is returned. - Option chain data format as follows:
Field Type Description code str Security code. name str Security name. lot_size int Number of shares per lot, number of shares per contract for options. Index options do not have this field.stock_type SecurityType Stock type. option_type OptionType Option type. stock_owner str Underlying stock. strike_time str Exercise date. Format: yyyy-MM-dd
The default of HK stock market and A-share market is Beijing time, while that of US stock market is US Eastern time.strike_price float Strike price. suspension bool Whether is suspended. True: suspended.
False: not suspendedstock_id int Stock ID. index_option_type IndexOptionType Index option type.
- Option chain data format as follows:
Example
from moomoo import *
import time
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
ret1, data1 = quote_ctx.get_option_expiration_date(code='HK.00700')
filter1 = OptionDataFilter()
filter1.delta_min = 0
filter1.delta_max = 0.1
if ret1 == RET_OK:
expiration_date_list = data1['strike_time'].values.tolist()
for date in expiration_date_list:
ret2, data2 = quote_ctx.get_option_chain(code='HK.00700', start=date, end=date, data_filter=filter1)
if ret2 == RET_OK:
print(data2)
print(data2['code'][0]) # Take the first stock code
print(data2['code'].values.tolist()) # Convert to list
else:
print('error:', data2)
time.sleep(3)
else:
print('error:', data1)
quote_ctx.close() # After using the connection, remember to close it to prevent the number of connections from running out
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- Output
code name lot_size stock_type option_type stock_owner strike_time strike_price suspension stock_id index_option_type
0 HK.TCH210429C350000 腾讯 210429 350.00 购 100 DRVT CALL HK.00700 2021-04-29 350.0 False 80235167 N/A
1 HK.TCH210429P350000 腾讯 210429 350.00 沽 100 DRVT PUT HK.00700 2021-04-29 350.0 False 80235247 N/A
2 HK.TCH210429C360000 腾讯 210429 360.00 购 100 DRVT CALL HK.00700 2021-04-29 360.0 False 80235163 N/A
3 HK.TCH210429P360000 腾讯 210429 360.00 沽 100 DRVT PUT HK.00700 2021-04-29 360.0 False 80235246 N/A
4 HK.TCH210429C370000 腾讯 210429 370.00 购 100 DRVT CALL HK.00700 2021-04-29 370.0 False 80235165 N/A
5 HK.TCH210429P370000 腾讯 210429 370.00 沽 100 DRVT PUT HK.00700 2021-04-29 370.0 False 80235248 N/A
HK.TCH210429C350000
['HK.TCH210429C350000', 'HK.TCH210429P350000', 'HK.TCH210429C360000', 'HK.TCH210429P360000', 'HK.TCH210429C370000', 'HK.TCH210429P370000']
...
code name lot_size stock_type option_type stock_owner strike_time strike_price suspension stock_id index_option_type
0 HK.TCH220330C490000 腾讯 220330 490.00 购 100 DRVT CALL HK.00700 2022-03-30 490.0 False 80235143 N/A
1 HK.TCH220330P490000 腾讯 220330 490.00 沽 100 DRVT PUT HK.00700 2022-03-30 490.0 False 80235193 N/A
2 HK.TCH220330C500000 腾讯 220330 500.00 购 100 DRVT CALL HK.00700 2022-03-30 500.0 False 80233887 N/A
3 HK.TCH220330P500000 腾讯 220330 500.00 沽 100 DRVT PUT HK.00700 2022-03-30 500.0 False 80233912 N/A
4 HK.TCH220330C510000 腾讯 220330 510.00 购 100 DRVT CALL HK.00700 2022-03-30 510.0 False 80233747 N/A
5 HK.TCH220330P510000 腾讯 220330 510.00 沽 100 DRVT PUT HK.00700 2022-03-30 510.0 False 80233766 N/A
HK.TCH220330C490000
['HK.TCH220330C490000', 'HK.TCH220330P490000', 'HK.TCH220330C500000', 'HK.TCH220330P500000', 'HK.TCH220330C510000', 'HK.TCH220330P510000']
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# Qot_GetOptionChain.proto
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Protocol ID
3209
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
Protocol ID
3209
# GetOptionChain
uint GetOptionChain(QotGetOptionChain.Request req);
virtual void OnReply_GetOptionChain(MMAPI_Conn client, uint nSerialNo, QotGetOptionChain.Response rsp);
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
- Example
public class Program: MMSPI_Qot, MMSPI_Conn {
MMAPI_Qot qot = new MMAPI_Qot();
public Program() {
qot.SetClientInfo("csharp", 1); //Set client information
qot.SetConnCallback(this); //Set connection callback
qot.SetQotCallback(this); //Set transaction callback
}
public void Start() {
qot.InitConnect("127.0.0.1", (ushort)11111, false);
}
public void OnInitConnect(MMAPI_Conn client, long errCode, String desc)
{
Console.Write("Qot onInitConnect: ret={0} desc={1} connID={2}\n", errCode, desc, client.GetConnectID());
if (errCode != 0)
return;
QotCommon.Security sec = QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_HK_Security)
.SetCode("00700")
.Build();
QotGetOptionChain.C2S c2s = QotGetOptionChain.C2S.CreateBuilder()
.SetOwner(sec)
.SetBeginTime("2020-11-01")
.SetEndTime("2020-12-01")
.Build();
QotGetOptionChain.Request req = QotGetOptionChain.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = qot.GetOptionChain(req);
Console.Write("Send QotGetOptionChain: {0}\n", seqNo);
}
public void OnDisconnect(MMAPI_Conn client, long errCode) {
Console.Write("Qot onDisConnect: {0}\n", errCode);
}
public void OnReply_GetOptionChain(MMAPI_Conn client, uint nSerialNo, QotGetOptionChain.Response rsp)
{
Console.Write("Reply: QotGetOptionChain: {0}\n", nSerialNo);
Console.Write("strikeTime: {0}, name: {1} \n",
rsp.S2C.OptionChainList[0].StrikeTime,
rsp.S2C.OptionChainList[0].OptionList[0].Call.Basic.Name);
}
public static void Main(String[] args) {
MMAPI.Init();
Program qot = new Program();
qot.Start();
while (true)
Thread.Sleep(1000 * 600);
}
}
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- Output
Qot onInitConnect: ret=0 desc= connID=6825705573658441031
Send QotGetOptionChain: 3
Reply: QotGetOptionChain: 3
strikeTime: 2021-07-29, name: TCH 210729 400.00 C
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# getOptionChain
int getOptionChain(QotGetOptionChain.Request req);
void onReply_GetOptionChain(MMAPI_Conn client, int nSerialNo, QotGetOptionChain.Response rsp);
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
- Example
public class QotDemo implements MMSPI_Qot, MMSPI_Conn {
MMAPI_Conn_Qot qot = new MMAPI_Conn_Qot();
public QotDemo() {
qot.setClientInfo("javaclient", 1); //Set client information
qot.setConnSpi(this); //Set connection callback
qot.setQotSpi(this); //Set transaction callback
}
public void start() {
qot.initConnect("127.0.0.1", (short)11111, false);
}
@Override
public void onInitConnect(MMAPI_Conn client, long errCode, String desc)
{
System.out.printf("Qot onInitConnect: ret=%b desc=%s connID=%d\n", errCode, desc, client.getConnectID());
if (errCode != 0)
return;
QotCommon.Security sec = QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_HK_Security_VALUE)
.setCode("00700")
.build();
QotGetOptionChain.C2S c2s = QotGetOptionChain.C2S.newBuilder()
.setOwner(sec)
.setBeginTime("2021-06-01")
.setEndTime("2021-07-01")
.build();
QotGetOptionChain.Request req = QotGetOptionChain.Request.newBuilder().setC2S(c2s).build();
int seqNo = qot.getOptionChain(req);
System.out.printf("Send QotGetOptionChain: %d\n", seqNo);
}
@Override
public void onDisconnect(MMAPI_Conn client, long errCode) {
System.out.printf("Qot onDisConnect: %d\n", errCode);
}
@Override
public void onReply_GetOptionChain(MMAPI_Conn client, int nSerialNo, QotGetOptionChain.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("QotGetOptionChain failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotGetOptionChain: %s\n", json);
} catch (InvalidProtocolBufferException e) {
e.printStackTrace();
}
}
}
public static void main(String[] args) {
MMAPI.init();
QotDemo qot = new QotDemo();
qot.start();
while (true) {
try {
Thread.sleep(1000 * 600);
} catch (InterruptedException exc) {
}
}
}
}
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- Output
Send QotGetOptionChain: 2
Receive QotGetOptionChain: {
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"optionChain": [{
"strikeTime": "2021-06-29",
"option": [{
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629C295000"
},
"id": "80143386",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 295.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 295.0,
"suspend": false,
"market": "",
"strikeTimestamp": 1.624896E9
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629P295000"
},
"id": "80143074",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 295.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 295.0,
"suspend": false,
"market": "",
"strikeTimestamp": 1.624896E9
}
}
}, ... {
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629C1050000"
},
"id": "80223489",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 1050.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 1050.0,
"suspend": false,
"market": "",
"strikeTimestamp": 1.624896E9
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629P1050000"
},
"id": "80223488",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 1050.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 1050.0,
"suspend": false,
"market": "",
"strikeTimestamp": 1.624896E9
}
}
}],
"strikeTimestamp": 1.624896E9
}]
}
}
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# GetOptionChain
moomoo::u32_t GetOptionChain(const Qot_GetOptionChain::Request &stReq);
virtual void OnReply_GetOptionChain(moomoo::u32_t nSerialNo, const Qot_GetOptionChain::Response &stRsp) = 0;
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
- Example
class Program : public MMSPI_Qot, public MMSPI_Trd, public MMSPI_Conn
{
public:
Program() {
m_pQotApi = MMAPI::CreateQotApi();
m_pQotApi->RegisterQotSpi(this);
m_pQotApi->RegisterConnSpi(this);
}
~Program() {
if (m_pQotApi != nullptr)
{
m_pQotApi->UnregisterQotSpi();
m_pQotApi->UnregisterConnSpi();
MMAPI::ReleaseQotApi(m_pQotApi);
m_pQotApi = nullptr;
}
}
void Start() {
m_pQotApi->InitConnect("127.0.0.1", 11111, false);
}
virtual void OnInitConnect(MMAPI_Conn* pConn, moomoo::i64_t nErrCode, const char* strDesc) {
cout << "connect" << endl;
// construct request message
Qot_GetOptionChain::Request req;
Qot_GetOptionChain::C2S *c2s = req.mutable_c2s();
Qot_Common::Security *sec = c2s->mutable_owner();
sec->set_code("00700");
sec->set_market(Qot_Common::QotMarket::QotMarket_HK_Security);
c2s->set_begintime("2021-06-07");
c2s->set_endtime("2021-07-01");
m_GetOptionChainSerialNo = m_pQotApi->GetOptionChain(req);
cout << "Request GetOptionChain SerialNo: " << m_GetOptionChainSerialNo << endl;
}
virtual void OnReply_GetOptionChain(moomoo::u32_t nSerialNo, const Qot_GetOptionChain::Response &stRsp){
if(nSerialNo == m_GetOptionChainSerialNo)
{
cout << "OnReply_GetOptionChain SerialNo: " << nSerialNo << endl;
// print response
// ProtoBufToBodyData and UTF8ToLocal refer to tool.h in Samples
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
}
protected:
MMAPI_Qot *m_pQotApi;
moomoo::u32_t m_GetOptionChainSerialNo;
};
int32_t main(int32_t argc, char** argv)
{
MMAPI::Init();
{
Program program;
program.Start();
getchar();
}
protobuf::ShutdownProtobufLibrary();
MMAPI::UnInit();
return 0;
}
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- Output
connect
Request GetOptionChain SerialNo: 4
OnReply_GetOptionChain SerialNo: 4
{
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"optionChain": [
{
"strikeTime": "2021-06-29",
"option": [
{
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629C295000"
},
"id": "80143386",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 295.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 295,
"suspend": false,
"market": "",
"strikeTimestamp": 1624896000
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629P295000"
},
"id": "80143074",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 295.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 295,
"suspend": false,
"market": "",
"strikeTimestamp": 1624896000
}
}
},
...
{
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629C1050000"
},
"id": "80223489",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 1050.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 1050,
"suspend": false,
"market": "",
"strikeTimestamp": 1624896000
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210629P1050000"
},
"id": "80223488",
"lotSize": 100,
"secType": 8,
"name": "TCH 210629 1050.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-06-29",
"strikePrice": 1050,
"suspend": false,
"market": "",
"strikeTimestamp": 1624896000
}
}
}
],
"strikeTimestamp": 1624896000
}
]
}
}
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# GetOptionChain
GetOptionChain(req);
Description
Query the option chain from an underlying stock. This interface only returns the static information of the option chain. If you need to obtain dynamic information such as quotation or trading, please use the security code returned by this interface to subscribe the required security.
Parameters
enum OptionCondType
{
OptionCondType_Unknow = 0;
OptionCondType_WithIn = 1; //In-the-money
OptionCondType_Outside = 2; //Out-of-the-money
}
//The following is the data field filtering, optional fields, leave it blank means no filtering
message DataFilter
{
optional double impliedVolatilityMin = 1; //Min value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double impliedVolatilityMax = 2; //Max value of implied volatility range(0 decimal place accuracy, the excess part is discarded)
optional double deltaMin = 3; //Min value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double deltaMax = 4; //Max value of Greek value Delta range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMin = 5; //Min value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double gammaMax = 6; //Max value of Greek value Gamma range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMin = 7; //Min value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double vegaMax = 8; //Max value of Greek value Vega range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMin = 9; //Min value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double thetaMax = 10; //Max value of Greek value Theta range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMin = 11; //Min value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double rhoMax = 12; //Max value of Greek value Rho range(3 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMin = 13; //Min value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double netOpenInterestMax = 14; //Max value of net open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMin = 15; //Min value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double openInterestMax = 16; //Max value of open contract number range(0 decimal place accuracy, the excess part is discarded)
optional double volMin = 17; //Min value of Volume range(0 decimal place accuracy, the excess part is discarded)
optional double volMax = 18; //Max value of Volume range(0 decimal place accuracy, the excess part is discarded)
}
message C2S
{
required Qot_Common.Security owner = 1; //The underlying stock of the option, currently only supports HK stocks, US stocks, HSI and HHI
optional int32 indexOptionType = 6; //Qot_Common.IndexOptionType, the type of index option, only used for HSI and HHI
optional int32 type = 2; //Qot_Common.OptionType, option type, optional field, if not specified, it means all return
optional int32 condition = 3; //OptionCondType, in the price and out of the price, optional field, if not specified, it means all return
required string beginTime = 4; //The start time of the option expiration date (Format: yyyy-MM-dd)
required string endTime = 5; //The end time of the option expiration date, the time span is at most one month (Format: yyyy-MM-dd)
optional DataFilter dataFilter = 7; //Data field filtering
}
message Request
{
required C2S c2s = 1;
}
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- For stock structure, refer to Security
- For enumeration of option types, refer to OptionType
- For the enumeration of index option types, refer to IndexOptionType
- Return
message OptionItem
{
optional Qot_Common.SecurityStaticInfo call = 1; //Call option, this field is not necessarily present, it is determined by the request conditions
optional Qot_Common.SecurityStaticInfo put = 2; //Put option, this field is not necessarily present, it is determined by the request conditions
}
message OptionChain
{
required string strikeTime = 1; //Exercise date (Format: yyyy-MM-dd)
repeated OptionItem option = 2; //Option information
optional double strikeTimestamp = 3; //Exercise date timestamp
}
message S2C
{
repeated OptionChain optionChain = 1; //Option chain
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- For stock static information structure, refer to SecurityStaticInfo
- For interface result, refer to RetType
- Example
import mmWebsocket from "moomoo-api";
import { mmCmdID } from "moomoo-api";
import { Common, Qot_Common } from "moomoo-api/proto";
import beautify from "js-beautify";
function QotGetOptionChain(){
const { RetType } = Common
const { QotMarket } = Qot_Common
let [addr, port, enable_ssl, key] = ["127.0.0.1", 33333, false, '7522027ccf5a06b1'];
let websocket = new mmWebsocket();
websocket.onlogin = (ret, msg)=>{
if (ret) {
const req = {
c2s: {
owner:{
market: QotMarket.QotMarket_HK_Security,
code: "00700",
},
beginTime: "2021-09-01",
endTime: "2021-09-30",
},
};
websocket.GetOptionChain(req)
.then((res) => {
let { errCode, retMsg, retType,s2c } = res
console.log("OptionChain: errCode %d, retMsg %s, retType %d", errCode, retMsg, retType);
if(retType == RetType.RetType_Succeed){
let data = beautify(JSON.stringify(s2c), {
indent_size: 2,
space_in_empty_paren: true,
});
console.log(data);
}
})
.catch((error) => {
console.log("error:", error);
});
} else {
console.log("error", msg);
}
};
websocket.start(addr, port, enable_ssl, key);
// After using the connection, remember to close it to prevent the number of connections from running out
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // Set the script to receive OpenD push duration to 5 seconds
}
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- Output
OptionChain: errCode 0, retMsg , retType 0
{
"optionChain": [{
"strikeTime": "2021-09-29",
"option": [{
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929C300000"
},
"id": "80287116",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 300.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 300,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929P300000"
},
"id": "80287124",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 300.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 300,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
}
}, {
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929C310000"
},
"id": "80277871",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 310.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 310,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929P310000"
},
"id": "80277826",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 310.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 310,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
}
}, ..., {
"call": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929C950000"
},
"id": "80215136",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 950.00 C",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 1,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 950,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
},
"put": {
"basic": {
"security": {
"market": 1,
"code": "TCH210929P950000"
},
"id": "80215157",
"lotSize": 100,
"secType": 8,
"name": "TCH 210929 950.00 P",
"listTime": "",
"delisting": false
},
"optionExData": {
"type": 2,
"owner": {
"market": 1,
"code": "00700"
},
"strikeTime": "2021-09-29",
"strikePrice": 950,
"suspend": false,
"market": "",
"strikeTimestamp": 1632844800
}
}
}],
"strikeTimestamp": 1632844800
}]
}
stop
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Interface Limitations
- A maximum of 10 requests per 30 seconds
- The upper limit of the incoming time span is 30 days
Tips
- This interface does not support the query of expired option chains, please enter today or future date to the End date parameter.