# 獲取期權快照
- Python
- Proto
- C#
- Java
- C++
- JavaScript
get_option_quote(combo_leg_list)
介紹
根據組合腿列表獲取期權快照行情，適用於多腿策略的批量報價查詢。
參數
參數 類型 說明 combo_leg_list list 組合腿列表 元素為 OptionStrategyLeg，結構參見 get_option_strategy返回
參數 類型 說明 ret RET_CODE 接口調用結果 data pd.DataFrame 當 ret == RET_OK，返回期權快照數據 str 當 ret != RET_OK，返回錯誤描述 DataFrame 欄位說明：
欄位 類型 說明 price float 組合價格 change_val float 漲跌額 change_rate float 漲跌幅 volume str 成交量 turnover str 成交額 high_price str 最高價 low_price str 最低價 mid_price str 中間價 open_price str 開盤價 last_close_price float 昨收價 open_interest str 持倉量 premium str 溢價 implied_volatility str 隱含波動率 delta float Delta gamma float Gamma vega float Vega theta float Theta rho float Rho option_type str 期權類型 expire_time str 到期日 strike_price str 行權價 contract_size float 合約規模 contract_multiplier float 合約乘數 exercise_type str 行權方式 days_to_expiry int 距到期天數 net_open_interest str 淨未平倉合約數 contract_value str 合約價值 equal_underlying str 等價標的 index_option_type str 指數期權類型 intrinsic_value float 內在價值 time_value float 時間價值 breakeven_point list 盈虧平衡點 dist_to_breakeven list 距盈虧平衡點距離 prob_of_profit float 盈利概率 該欄位為百分比欄位，預設不展示 %，如 20 實際對應 20%seller_roi str 賣方收益率 該欄位為百分比欄位，預設不展示 %，如 20 實際對應 20%mark_price float 標記價格 leverage_ratio str 槓桿比率 effective_gearing str 有效槓桿
Example
from futu import *
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
ret, data = quote_ctx.get_option_strategy(code='HK.00700', option_strategy=OptionStrategyType.STRADDLE)
if ret == RET_OK:
index=0
print(data['legs'][index])
ret2,data2 = quote_ctx.get_option_quote(data['legs'][index])
if ret2 == RET_OK:
print(data2)
else:
print("get_analysis,error:",data2)
else:
print('error:', data)
quote_ctx.close() # 結束後記得關閉當條連接，防止連接條數用盡
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
- Output
[OptionStrategyLeg(code=HK.TCH260522P330000, action=BUY, quantity=1.0), OptionStrategyLeg(code=HK.TCH260522C330000, action=BUY, quantity=1.0)]
price change_val change_rate volume turnover high_price low_price mid_price open_price last_close_price open_interest premium implied_volatility delta gamma vega theta rho option_type expire_time strike_price contract_size contract_multiplier exercise_type days_to_expiry net_open_interest contract_value equal_underlying index_option_type intrinsic_value time_value breakeven_point dist_to_breakeven prob_of_profit seller_roi mark_price leverage_ratio effective_gearing
0 131.65 0.0 0.0 N/A N/A N/A N/A N/A N/A 131.65 N/A N/A N/A 0.974369 0.000797 0.019825 -0.785757 0.016246 N/A 2026-05-22 N/A 100.0 100.0 N/A 2 N/A N/A N/A N/A 125.2 6.45 [199.56, 460.44] [255.64, -5.240000000000009] 0.315418 N/A 130.4 N/A N/A
1
2
3
2
3
# Qot_GetOptionQuote.proto
介紹
獲取期權組合快照行情
參數
message C2S
{
repeated OptionStrategyLeg comboLegList = 1; // 組合腿列表
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
2
3
4
5
6
7
8
9
- 組合腿結構參見 OptionStrategyLeg
- 返回
message S2C
{
// 期權快照列表，欄位以協議定義為準
}
message Response
{
required int32 retType = 1 [default = -400]; // 返回結果，详见 Common.RetType
optional string retMsg = 2; // 返回結果描述
optional int32 errCode = 3; // 錯誤碼
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
2
3
4
5
6
7
8
9
10
11
12
- 接口調用結果，結構參見 RetType
- 期權類型枚舉參見 OptionType
- 指數期權類別枚舉參見 IndexOptionType
uint GetOptionQuote(QotGetOptionQuote.Request req);
virtual void OnReply_GetOptionQuote(FTAPI_Conn client, uint nSerialNo, QotGetOptionQuote.Response rsp);
介紹
獲取期權組合快照行情。請求時傳入組合腿列表 multi_legs，可由 獲取期權策略 接口返回的 multi_legs 取得；單腿時返回 1 條與組合腿對應的行情，多腿時返回按策略聚合後的 1 條記錄。
參數
message C2S
{
repeated Qot_Common.ComboLeg multi_legs = 1;
optional Qot_Common.QotHeader header = 100;
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
10
2
3
4
5
6
7
8
9
10
- multi_legs 可由 獲取期權策略 返回的 multi_legs 取得
- 返回
message OptionQuote
{
optional double price = 1;
optional double chg = 2;
optional double chg_rate = 3;
optional int64 vol = 4;
optional double turnover = 5;
optional double high = 6;
optional double low = 7;
optional double mid = 8;
optional double open = 9;
optional double pre_close = 10;
optional int32 open_interest = 11;
optional double premium = 12;
optional double IV = 13;
optional double delta = 14;
optional double gamma = 15;
optional double vega = 16;
optional double theta = 17;
optional double rho = 18;
optional int32 option_type = 19;
optional string expire_time = 20;
optional double strike = 21;
optional double contract_size = 22;
optional double contract_multiplier = 23;
optional int32 exercise_type = 24;
optional int32 days_to_expiry = 25;
optional int32 net_open_interest = 26;
optional double contract_value = 27;
optional double equal_underlying = 28;
optional int32 index_option_type = 29;
optional double intrinsic_value = 30;
optional double time_value = 31;
repeated double breakeven_point = 32;
repeated double dist_to_breakeven = 33;
optional double prob_of_profit = 34;
optional double seller_roi = 35;
optional double mark_price = 36;
optional double leverage_ratio = 37;
optional double effective_gearing = 38;
}
message S2C
{
repeated OptionQuote optionQuoteList = 1;
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
- Example
public class Program : FTSPI_Qot, FTSPI_Conn
{
FTAPI_Qot qot = new FTAPI_Qot();
public Program()
{
qot.SetClientInfo("csharp", 1);
qot.SetConnCallback(this);
qot.SetQotCallback(this);
}
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.ComboLeg leg = QotCommon.ComboLeg.CreateBuilder()
.SetSecurity(QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_HK_Security)
.SetCode("TCH260622C330000")
.Build())
.SetSide((int)TrdCommon.TrdSide.TrdSide_Buy)
.SetQtyRatio(1)
.Build();
QotGetOptionQuote.C2S c2s = QotGetOptionQuote.C2S.CreateBuilder()
.AddMultiLegs(leg)
.Build();
QotGetOptionQuote.Request req = QotGetOptionQuote.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = qot.GetOptionQuote(req);
Console.Write("Send QotGetOptionQuote: {0}\n", seqNo);
}
public void OnDisconnect(FTAPI_Conn client, long errCode)
{
Console.Write("Qot onDisConnect: {0}\n", errCode);
}
public void OnReply_GetOptionQuote(FTAPI_Conn client, uint nSerialNo, QotGetOptionQuote.Response rsp)
{
Console.Write("Reply: QotGetOptionQuote: {0} {1}\n", nSerialNo, rsp.ToString());
}
public static void Main(String[] args)
{
FTAPI.Init();
Program qot = new Program();
qot.Start();
while (true)
Thread.Sleep(1000 * 600);
}
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
- Output
Qot onInitConnect: ret=0 desc= connID=7459213669204006063
Send QotGetOptionQuote: 3
Reply: QotGetOptionQuote: 3 retType: 0 ...
1
2
3
2
3
int getOptionQuote(QotGetOptionQuote.Request req);
void onReply_GetOptionQuote(FTAPI_Conn client, int nSerialNo, QotGetOptionQuote.Response rsp);
介紹
獲取期權組合快照行情。請求時傳入組合腿列表 multi_legs，可由 獲取期權策略 接口返回的 multi_legs 取得；單腿時返回 1 條與組合腿對應的行情，多腿時返回按策略聚合後的 1 條記錄。
參數
message C2S
{
repeated Qot_Common.ComboLeg multi_legs = 1;
optional Qot_Common.QotHeader header = 100;
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
10
2
3
4
5
6
7
8
9
10
- multi_legs 可由 獲取期權策略 返回的 multi_legs 取得
- 返回
message OptionQuote
{
optional double price = 1;
optional double chg = 2;
optional double chg_rate = 3;
optional int64 vol = 4;
optional double turnover = 5;
optional double high = 6;
optional double low = 7;
optional double mid = 8;
optional double open = 9;
optional double pre_close = 10;
optional int32 open_interest = 11;
optional double premium = 12;
optional double IV = 13;
optional double delta = 14;
optional double gamma = 15;
optional double vega = 16;
optional double theta = 17;
optional double rho = 18;
optional int32 option_type = 19;
optional string expire_time = 20;
optional double strike = 21;
optional double contract_size = 22;
optional double contract_multiplier = 23;
optional int32 exercise_type = 24;
optional int32 days_to_expiry = 25;
optional int32 net_open_interest = 26;
optional double contract_value = 27;
optional double equal_underlying = 28;
optional int32 index_option_type = 29;
optional double intrinsic_value = 30;
optional double time_value = 31;
repeated double breakeven_point = 32;
repeated double dist_to_breakeven = 33;
optional double prob_of_profit = 34;
optional double seller_roi = 35;
optional double mark_price = 36;
optional double leverage_ratio = 37;
optional double effective_gearing = 38;
}
message S2C
{
repeated OptionQuote optionQuoteList = 1;
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
- Example
public class QotDemo implements FTSPI_Qot, FTSPI_Conn {
FTAPI_Conn_Qot qot = new FTAPI_Conn_Qot();
public QotDemo() {
qot.setClientInfo("javaclient", 1);
qot.setConnSpi(this);
qot.setQotSpi(this);
}
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.ComboLeg leg = QotCommon.ComboLeg.newBuilder()
.setSecurity(QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_HK_Security_VALUE)
.setCode("TCH260622C330000")
.build())
.setSide(TrdCommon.TrdSide.TrdSide_Buy_VALUE)
.setQtyRatio(1)
.build();
QotGetOptionQuote.C2S c2s = QotGetOptionQuote.C2S.newBuilder()
.addMultiLegs(leg)
.build();
QotGetOptionQuote.Request req = QotGetOptionQuote.Request.newBuilder().setC2S(c2s).build();
int seqNo = qot.getOptionQuote(req);
System.out.printf("Send QotGetOptionQuote: %d\n", seqNo);
}
@Override
public void onDisconnect(FTAPI_Conn client, long errCode) {
System.out.printf("Qot onDisConnect: %d\n", errCode);
}
@Override
public void onReply_GetOptionQuote(FTAPI_Conn client, int nSerialNo, QotGetOptionQuote.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("QotGetOptionQuote failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotGetOptionQuote: %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) {
}
}
}
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
- Output
Qot onInitConnect: ret=0 desc= connID=7459213669204006063
Send QotGetOptionQuote: 2
Receive QotGetOptionQuote: {
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"optionQuoteList": [
{
"strike": 330,
"price": 131.65,
"chg": 0,
"chgRate": 0,
"delta": 0.974369,
"gamma": 0.000797,
"vega": 0.019825,
"theta": -0.785757,
"rho": 0.016246,
"expireTime": "2026-06-22",
"contractSize": 100,
"contractMultiplier": 100,
"daysToExpiry": 21,
"intrinsicValue": 125.2,
"timeValue": 6.45,
"breakevenPoint": [460.44],
"distToBreakeven": [-5.24],
"probOfProfit": 0.315418,
"markPrice": 130.4
}
]
}
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
Futu::u32_t GetOptionQuote(const Qot_GetOptionQuote::Request &stReq);
virtual void OnReply_GetOptionQuote(Futu::u32_t nSerialNo, const Qot_GetOptionQuote::Response &stRsp) = 0;
介紹
獲取期權組合快照行情。請求時傳入組合腿列表
multi_legs，可由 獲取期權策略 介面返回的multi_legs取得；單腿時返回 1 條與組合腿對應的行情，多腿時返回按策略聚合後的 1 條記錄。參數
message C2S
{
repeated Qot_Common.ComboLeg multi_legs = 1; //組合策略合約腿列表（實際下單數量 = 外層 qty × 本腿 qty_ratio）
optional Qot_Common.QotHeader header = 100; //行情公共參數頭
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
10
2
3
4
5
6
7
8
9
10
multi_legs可由 獲取期權策略 返回的multi_legs取得
- 返回
message OptionQuote
{
//--- 基礎行情 ---
optional double price = 1; //最新價
optional double chg = 2; //漲跌額
optional double chg_rate = 3; //漲跌幅（百分比，如 20 實際對應 20%）
optional int64 vol = 4; //成交量
optional double turnover = 5; //成交額
optional double high = 6; //最高價
optional double low = 7; //最低價
optional double mid = 8; //中間價（買一與賣一均值）
optional double open = 9; //今開
optional double pre_close = 10; //昨收
//--- 期權行情衍生數據 ---
optional int32 open_interest = 11; //未平倉合約數
optional double premium = 12; //溢價（百分比）
optional double IV = 13; //隱含波動率（百分比）
optional double delta = 14; //Delta
optional double gamma = 15; //Gamma
optional double vega = 16; //Vega
optional double theta = 17; //Theta
optional double rho = 18; //Rho
//--- 期權合約靜態屬性 ---
optional int32 option_type = 19; //Qot_Common.OptionType，CALL/PUT
optional string expire_time = 20; //到期日
optional double strike = 21; //行權價
optional double contract_size = 22; //合約規模
optional double contract_multiplier = 23; //合約乘數
optional int32 exercise_type = 24; //Qot_Common.OptionAreaType，行權類型（美式/歐式/百慕大）
optional int32 days_to_expiry = 25; //距到期天數，負數表示已過期
optional int32 net_open_interest = 26; //淨未平倉合約數，僅港股期權適用
optional double contract_value = 27; //合約金額，僅港股期權適用
optional double equal_underlying = 28; //相當正股手數，僅港股期權適用
optional int32 index_option_type = 29; //Qot_Common.IndexOptionType，指數期權類型
//--- 期權專有分析數據 ---
optional double intrinsic_value = 30; //內在價值
optional double time_value = 31; //時間價值
repeated double breakeven_point = 32; //盈虧平衡點列表
repeated double dist_to_breakeven = 33; //與 breakeven_point 同下標一一對應的距離
optional double prob_of_profit = 34; //盈利機率
optional double seller_roi = 35; //賣方回報率（百分比）
optional double mark_price = 36; //標記價
optional double leverage_ratio = 37; //槓桿倍數
optional double effective_gearing = 38; //有效槓桿
}
message S2C
{
repeated OptionQuote optionQuoteList = 1; //期權實時行情列表
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回結果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
- 接口調用結果，結構參見 RetType
- 期權類型枚舉參見 OptionType
- 指數期權類別枚舉參見 IndexOptionType
- 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;
// 組包
Qot_GetOptionQuote::Request req;
Qot_GetOptionQuote::C2S *c2s = req.mutable_c2s();
// 組合腿列表（實際場景通常由 GetOptionStrategy 返回的 multi_legs 取得）
Qot_Common::ComboLeg *leg = c2s->add_multi_legs();
Qot_Common::Security *sec = leg->mutable_security();
sec->set_market(Qot_Common::QotMarket::QotMarket_HK_Security);
sec->set_code("TCH260622C330000"); // 期權合約代碼：騰訊 Call，2026-06-22 到期，行權價 330
leg->set_side(Trd_Common::TrdSide::TrdSide_Buy);
leg->set_qtyratio(1);
m_GetOptionQuoteSerialNo = m_pQotApi->GetOptionQuote(req);
cout << "Request GetOptionQuote SerialNo: " << m_GetOptionQuoteSerialNo << endl;
}
virtual void OnReply_GetOptionQuote(Futu::u32_t nSerialNo, const Qot_GetOptionQuote::Response &stRsp) {
if (nSerialNo != m_GetOptionQuoteSerialNo) return;
cout << "OnReply_GetOptionQuote SerialNo: " << nSerialNo << endl;
// 解析內部結構並印出
// ProtoBufToBodyData 與 UTF8ToLocal 函數定義參見 Sample 中的 tool.h
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
protected:
FTAPI_Qot *m_pQotApi;
Futu::u32_t m_GetOptionQuoteSerialNo = 0;
};
int32_t main(int32_t argc, char** argv)
{
FTAPI::Init();
{
Program program;
program.Start();
getchar();
}
protobuf::ShutdownProtobufLibrary();
FTAPI::UnInit();
return 0;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
- Output
connect
Request GetOptionQuote SerialNo: 3
OnReply_GetOptionQuote SerialNo: 3
{
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"optionQuoteList": [
{
"strike": 330,
"price": 131.65,
"chg": 0,
"chgRate": 0,
"delta": 0.974369,
"gamma": 0.000797,
"vega": 0.019825,
"theta": -0.785757,
"rho": 0.016246,
"expireTime": "2026-06-22",
"contractSize": 100,
"contractMultiplier": 100,
"daysToExpiry": 21,
"intrinsicValue": 125.2,
"timeValue": 6.45,
"breakevenPoint": [460.44],
"distToBreakeven": [-5.24],
"probOfProfit": 0.315418,
"markPrice": 130.4
}
]
}
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
GetOptionQuote(req);
介紹
獲取期權組合快照行情
參數
message C2S
{
repeated Qot_Common.ComboLeg multi_legs = 1; //組合策略合約腿列表
optional Qot_Common.QotHeader header = 100; //行情公共參數頭
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
10
2
3
4
5
6
7
8
9
10
- 組合腿 multiLegs 可由 GetOptionStrategy 返回的 multiLegs 取得
- 返回
message OptionQuote
{
optional double price = 1; //最新價
optional double chg = 2; //漲跌額
optional double chg_rate = 3; //漲跌幅（百分比）
optional int64 vol = 4; //成交量
optional double turnover = 5; //成交額
optional double high = 6; //最高價
optional double low = 7; //最低價
optional double mid = 8; //中間價
optional double open = 9; //今開
optional double pre_close = 10; //昨收
optional int32 open_interest = 11; //未平倉合約數
optional double premium = 12; //溢價（百分比）
optional double IV = 13; //隱含波動率（百分比）
optional double delta = 14; //Delta
optional double gamma = 15; //Gamma
optional double vega = 16; //Vega
optional double theta = 17; //Theta
optional double rho = 18; //Rho
optional int32 option_type = 19; //OptionType，CALL/PUT
optional string expire_time = 20; //到期日
optional double strike = 21; //行權價
optional double contract_size = 22; //合約規模
optional double contract_multiplier = 23; //合約乘數
optional int32 exercise_type = 24; //行權類型
optional int32 days_to_expiry = 25; //距到期天數
optional int32 net_open_interest = 26; //淨未平倉合約數
optional double contract_value = 27; //合約金額
optional double equal_underlying = 28; //相當正股手數
optional int32 index_option_type = 29; //指數期權類型
optional double intrinsic_value = 30; //內在價值
optional double time_value = 31; //時間價值
repeated double breakeven_point = 32; //盈虧平衡點列表
repeated double dist_to_breakeven = 33; //與盈虧平衡點的距離
optional double prob_of_profit = 34; //盈利概率
optional double seller_roi = 35; //賣方回報率（百分比）
optional double mark_price = 36; //標記價
optional double leverage_ratio = 37; //槓桿倍數
optional double effective_gearing = 38; //有效槓桿
}
message S2C
{
repeated OptionQuote optionQuoteList = 1; //期權實時行情列表
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
- 接口調用結果，結構參見 RetType
- 期權類型枚舉參見 OptionType
- 指數期權類別枚舉參見 IndexOptionType
- 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 QotGetOptionQuote(){
const { RetType } = Common
const { QotMarket, OptionStrategyType } = 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) { // 登录成功
// 先获取期权策略，取其中一组组合腿
websocket.GetOptionStrategy({
c2s: {
owner: { market: QotMarket.QotMarket_HK_Security, code: "00700" },
optionStrategy: OptionStrategyType.OptionStrategyType_Straddle,
},
})
.then((res) => {
let { retType, s2c: { strategyList } } = res
if(retType == RetType.RetType_Succeed && strategyList.length > 0){
const req = {
c2s: {
multiLegs: strategyList[0].multiLegs,
},
};
websocket.GetOptionQuote(req)
.then((res) => {
let { errCode, retMsg, retType, s2c } = res
console.log("GetOptionQuote: 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);
});
}
})
.catch((error) => {
console.log("GetOptionStrategy error:", error);
});
} else {
console.log("start error", msg);
}
};
websocket.start(addr, port, enable_ssl, key);
//关闭行情连接，连接不再使用之后，要关闭，否则占用不必要资源
//同时OpenD也限制了最多128条连接
//也可以一个页面或者一个项目维护一条连接，这里范例请求一次创建一条连接
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // 5秒后断开
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
- Output
GetOptionQuote: errCode 0, retMsg , retType 0
{
"optionQuoteList": [{
"price": 131.65,
"chg": 0,
"chgRate": 0,
"delta": 0.974369,
"gamma": 0.000797,
"vega": 0.019825,
"theta": -0.785757,
"rho": 0.016246,
"expireTime": "2026-05-22",
"contractSize": 100,
"contractMultiplier": 100,
"daysToExpiry": 2,
"intrinsicValue": 125.2,
"timeValue": 6.45,
"breakevenPoint": [199.56, 460.44],
"distToBreakeven": [255.64, -5.24],
"probOfProfit": 0.315418,
"markPrice": 130.4
}]
}
stop
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
接口限制
- 每 30 秒內最多請求 120 次。
- Python
- Proto
- C#
- Java
- C++
- JavaScript
get_option_quote(combo_leg_list)
介紹
根據組合腿列表獲取期權快照行情，適用於多腿策略的批量報價查詢。
參數
參數 類型 說明 combo_leg_list list 組合腿列表 元素為 OptionStrategyLeg，結構參見 get_option_strategy返回
參數 類型 說明 ret RET_CODE 接口調用結果 data pd.DataFrame 當 ret == RET_OK，返回期權快照數據 str 當 ret != RET_OK，返回錯誤描述 DataFrame 欄位說明：
欄位 類型 說明 price float 組合價格 change_val float 漲跌額 change_rate float 漲跌幅 volume str 成交量 turnover str 成交額 high_price str 最高價 low_price str 最低價 mid_price str 中間價 open_price str 開盤價 last_close_price float 昨收價 open_interest str 持倉量 premium str 溢價 implied_volatility str 隱含波動率 delta float Delta gamma float Gamma vega float Vega theta float Theta rho float Rho option_type str 期權類型 expire_time str 到期日 strike_price str 行權價 contract_size float 合約規模 contract_multiplier float 合約乘數 exercise_type str 行權方式 days_to_expiry int 距到期天數 net_open_interest str 淨未平倉合約數 contract_value str 合約價值 equal_underlying str 等價標的 index_option_type str 指數期權類型 intrinsic_value float 內在價值 time_value float 時間價值 breakeven_point list 盈虧平衡點 dist_to_breakeven list 距盈虧平衡點距離 prob_of_profit float 盈利概率 該欄位為百分比欄位，預設不展示 %，如 20 實際對應 20%seller_roi str 賣方收益率 該欄位為百分比欄位，預設不展示 %，如 20 實際對應 20%mark_price float 標記價格 leverage_ratio str 槓桿比率 effective_gearing str 有效槓桿
Example
from moomoo import *
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
ret, data = quote_ctx.get_option_strategy(code='HK.00700', option_strategy=OptionStrategyType.STRADDLE)
if ret == RET_OK:
index=0
print(data['legs'][index])
ret2,data2 = quote_ctx.get_option_quote(data['legs'][index])
if ret2 == RET_OK:
print(data2)
else:
print("get_analysis,error:",data2)
else:
print('error:', data)
quote_ctx.close() # 結束後記得關閉當條連接，防止連接條數用盡
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
- Output
[OptionStrategyLeg(code=HK.TCH260522P330000, action=BUY, quantity=1.0), OptionStrategyLeg(code=HK.TCH260522C330000, action=BUY, quantity=1.0)]
price change_val change_rate volume turnover high_price low_price mid_price open_price last_close_price open_interest premium implied_volatility delta gamma vega theta rho option_type expire_time strike_price contract_size contract_multiplier exercise_type days_to_expiry net_open_interest contract_value equal_underlying index_option_type intrinsic_value time_value breakeven_point dist_to_breakeven prob_of_profit seller_roi mark_price leverage_ratio effective_gearing
0 131.65 0.0 0.0 N/A N/A N/A N/A N/A N/A 131.65 N/A N/A N/A 0.974369 0.000797 0.019825 -0.785757 0.016246 N/A 2026-05-22 N/A 100.0 100.0 N/A 2 N/A N/A N/A N/A 125.2 6.45 [199.56, 460.44] [255.64, -5.240000000000009] 0.315418 N/A 130.4 N/A N/A
1
2
3
2
3
# Qot_GetOptionQuote.proto
介紹
獲取期權組合快照行情
參數
message C2S
{
repeated OptionStrategyLeg comboLegList = 1; // 組合腿列表
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
2
3
4
5
6
7
8
9
- 組合腿結構參見 OptionStrategyLeg
- 返回
message S2C
{
// 期權快照列表，欄位以協議定義為準
}
message Response
{
required int32 retType = 1 [default = -400]; // 返回結果，详见 Common.RetType
optional string retMsg = 2; // 返回結果描述
optional int32 errCode = 3; // 錯誤碼
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
2
3
4
5
6
7
8
9
10
11
12
- 接口調用結果，結構參見 RetType
- 期權類型枚舉參見 OptionType
- 指數期權類別枚舉參見 IndexOptionType
uint GetOptionQuote(QotGetOptionQuote.Request req);
virtual void OnReply_GetOptionQuote(MMAPI_Conn client, uint nSerialNo, QotGetOptionQuote.Response rsp);
介紹
獲取期權組合快照行情。請求時傳入組合腿列表 multi_legs，可由 獲取期權策略 接口返回的 multi_legs 取得；單腿時返回 1 條與組合腿對應的行情，多腿時返回按策略聚合後的 1 條記錄。
參數
message C2S
{
repeated Qot_Common.ComboLeg multi_legs = 1;
optional Qot_Common.QotHeader header = 100;
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
10
2
3
4
5
6
7
8
9
10
- multi_legs 可由 獲取期權策略 返回的 multi_legs 取得
- 返回
message OptionQuote
{
optional double price = 1;
optional double chg = 2;
optional double chg_rate = 3;
optional int64 vol = 4;
optional double turnover = 5;
optional double high = 6;
optional double low = 7;
optional double mid = 8;
optional double open = 9;
optional double pre_close = 10;
optional int32 open_interest = 11;
optional double premium = 12;
optional double IV = 13;
optional double delta = 14;
optional double gamma = 15;
optional double vega = 16;
optional double theta = 17;
optional double rho = 18;
optional int32 option_type = 19;
optional string expire_time = 20;
optional double strike = 21;
optional double contract_size = 22;
optional double contract_multiplier = 23;
optional int32 exercise_type = 24;
optional int32 days_to_expiry = 25;
optional int32 net_open_interest = 26;
optional double contract_value = 27;
optional double equal_underlying = 28;
optional int32 index_option_type = 29;
optional double intrinsic_value = 30;
optional double time_value = 31;
repeated double breakeven_point = 32;
repeated double dist_to_breakeven = 33;
optional double prob_of_profit = 34;
optional double seller_roi = 35;
optional double mark_price = 36;
optional double leverage_ratio = 37;
optional double effective_gearing = 38;
}
message S2C
{
repeated OptionQuote optionQuoteList = 1;
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
- Example
public class Program : MMSPI_Qot, MMSPI_Conn
{
MMAPI_Qot qot = new MMAPI_Qot();
public Program()
{
qot.SetClientInfo("csharp", 1);
qot.SetConnCallback(this);
qot.SetQotCallback(this);
}
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.ComboLeg leg = QotCommon.ComboLeg.CreateBuilder()
.SetSecurity(QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_HK_Security)
.SetCode("TCH260622C330000")
.Build())
.SetSide((int)TrdCommon.TrdSide.TrdSide_Buy)
.SetQtyRatio(1)
.Build();
QotGetOptionQuote.C2S c2s = QotGetOptionQuote.C2S.CreateBuilder()
.AddMultiLegs(leg)
.Build();
QotGetOptionQuote.Request req = QotGetOptionQuote.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = qot.GetOptionQuote(req);
Console.Write("Send QotGetOptionQuote: {0}\n", seqNo);
}
public void OnDisconnect(MMAPI_Conn client, long errCode)
{
Console.Write("Qot onDisConnect: {0}\n", errCode);
}
public void OnReply_GetOptionQuote(MMAPI_Conn client, uint nSerialNo, QotGetOptionQuote.Response rsp)
{
Console.Write("Reply: QotGetOptionQuote: {0} {1}\n", nSerialNo, rsp.ToString());
}
public static void Main(String[] args)
{
MMAPI.Init();
Program qot = new Program();
qot.Start();
while (true)
Thread.Sleep(1000 * 600);
}
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
- Output
Qot onInitConnect: ret=0 desc= connID=7459213669204006063
Send QotGetOptionQuote: 3
Reply: QotGetOptionQuote: 3 retType: 0 ...
1
2
3
2
3
int getOptionQuote(QotGetOptionQuote.Request req);
void onReply_GetOptionQuote(MMAPI_Conn client, int nSerialNo, QotGetOptionQuote.Response rsp);
介紹
獲取期權組合快照行情。請求時傳入組合腿列表 multi_legs，可由 獲取期權策略 接口返回的 multi_legs 取得；單腿時返回 1 條與組合腿對應的行情，多腿時返回按策略聚合後的 1 條記錄。
參數
message C2S
{
repeated Qot_Common.ComboLeg multi_legs = 1;
optional Qot_Common.QotHeader header = 100;
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
10
2
3
4
5
6
7
8
9
10
- multi_legs 可由 獲取期權策略 返回的 multi_legs 取得
- 返回
message OptionQuote
{
optional double price = 1;
optional double chg = 2;
optional double chg_rate = 3;
optional int64 vol = 4;
optional double turnover = 5;
optional double high = 6;
optional double low = 7;
optional double mid = 8;
optional double open = 9;
optional double pre_close = 10;
optional int32 open_interest = 11;
optional double premium = 12;
optional double IV = 13;
optional double delta = 14;
optional double gamma = 15;
optional double vega = 16;
optional double theta = 17;
optional double rho = 18;
optional int32 option_type = 19;
optional string expire_time = 20;
optional double strike = 21;
optional double contract_size = 22;
optional double contract_multiplier = 23;
optional int32 exercise_type = 24;
optional int32 days_to_expiry = 25;
optional int32 net_open_interest = 26;
optional double contract_value = 27;
optional double equal_underlying = 28;
optional int32 index_option_type = 29;
optional double intrinsic_value = 30;
optional double time_value = 31;
repeated double breakeven_point = 32;
repeated double dist_to_breakeven = 33;
optional double prob_of_profit = 34;
optional double seller_roi = 35;
optional double mark_price = 36;
optional double leverage_ratio = 37;
optional double effective_gearing = 38;
}
message S2C
{
repeated OptionQuote optionQuoteList = 1;
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
- Example
public class QotDemo implements MMSPI_Qot, MMSPI_Conn {
MMAPI_Conn_Qot qot = new MMAPI_Conn_Qot();
public QotDemo() {
qot.setClientInfo("javaclient", 1);
qot.setConnSpi(this);
qot.setQotSpi(this);
}
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.ComboLeg leg = QotCommon.ComboLeg.newBuilder()
.setSecurity(QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_HK_Security_VALUE)
.setCode("TCH260622C330000")
.build())
.setSide(TrdCommon.TrdSide.TrdSide_Buy_VALUE)
.setQtyRatio(1)
.build();
QotGetOptionQuote.C2S c2s = QotGetOptionQuote.C2S.newBuilder()
.addMultiLegs(leg)
.build();
QotGetOptionQuote.Request req = QotGetOptionQuote.Request.newBuilder().setC2S(c2s).build();
int seqNo = qot.getOptionQuote(req);
System.out.printf("Send QotGetOptionQuote: %d\n", seqNo);
}
@Override
public void onDisconnect(MMAPI_Conn client, long errCode) {
System.out.printf("Qot onDisConnect: %d\n", errCode);
}
@Override
public void onReply_GetOptionQuote(MMAPI_Conn client, int nSerialNo, QotGetOptionQuote.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("QotGetOptionQuote failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotGetOptionQuote: %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) {
}
}
}
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
- Output
Qot onInitConnect: ret=0 desc= connID=7459213669204006063
Send QotGetOptionQuote: 2
Receive QotGetOptionQuote: {
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"optionQuoteList": [
{
"strike": 330,
"price": 131.65,
"chg": 0,
"chgRate": 0,
"delta": 0.974369,
"gamma": 0.000797,
"vega": 0.019825,
"theta": -0.785757,
"rho": 0.016246,
"expireTime": "2026-06-22",
"contractSize": 100,
"contractMultiplier": 100,
"daysToExpiry": 21,
"intrinsicValue": 125.2,
"timeValue": 6.45,
"breakevenPoint": [460.44],
"distToBreakeven": [-5.24],
"probOfProfit": 0.315418,
"markPrice": 130.4
}
]
}
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
moomoo::u32_t GetOptionQuote(const Qot_GetOptionQuote::Request &stReq);
virtual void OnReply_GetOptionQuote(moomoo::u32_t nSerialNo, const Qot_GetOptionQuote::Response &stRsp) = 0;
介紹
獲取期權組合快照行情。請求時傳入組合腿列表
multi_legs，可由 獲取期權策略 介面返回的multi_legs取得；單腿時返回 1 條與組合腿對應的行情，多腿時返回按策略聚合後的 1 條記錄。參數
message C2S
{
repeated Qot_Common.ComboLeg multi_legs = 1; //組合策略合約腿列表（實際下單數量 = 外層 qty × 本腿 qty_ratio）
optional Qot_Common.QotHeader header = 100; //行情公共參數頭
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
10
2
3
4
5
6
7
8
9
10
multi_legs可由 獲取期權策略 返回的multi_legs取得
- 返回
message OptionQuote
{
//--- 基礎行情 ---
optional double price = 1; //最新價
optional double chg = 2; //漲跌額
optional double chg_rate = 3; //漲跌幅（百分比，如 20 實際對應 20%）
optional int64 vol = 4; //成交量
optional double turnover = 5; //成交額
optional double high = 6; //最高價
optional double low = 7; //最低價
optional double mid = 8; //中間價（買一與賣一均值）
optional double open = 9; //今開
optional double pre_close = 10; //昨收
//--- 期權行情衍生數據 ---
optional int32 open_interest = 11; //未平倉合約數
optional double premium = 12; //溢價（百分比）
optional double IV = 13; //隱含波動率（百分比）
optional double delta = 14; //Delta
optional double gamma = 15; //Gamma
optional double vega = 16; //Vega
optional double theta = 17; //Theta
optional double rho = 18; //Rho
//--- 期權合約靜態屬性 ---
optional int32 option_type = 19; //Qot_Common.OptionType，CALL/PUT
optional string expire_time = 20; //到期日
optional double strike = 21; //行權價
optional double contract_size = 22; //合約規模
optional double contract_multiplier = 23; //合約乘數
optional int32 exercise_type = 24; //Qot_Common.OptionAreaType，行權類型（美式/歐式/百慕大）
optional int32 days_to_expiry = 25; //距到期天數，負數表示已過期
optional int32 net_open_interest = 26; //淨未平倉合約數，僅港股期權適用
optional double contract_value = 27; //合約金額，僅港股期權適用
optional double equal_underlying = 28; //相當正股手數，僅港股期權適用
optional int32 index_option_type = 29; //Qot_Common.IndexOptionType，指數期權類型
//--- 期權專有分析數據 ---
optional double intrinsic_value = 30; //內在價值
optional double time_value = 31; //時間價值
repeated double breakeven_point = 32; //盈虧平衡點列表
repeated double dist_to_breakeven = 33; //與 breakeven_point 同下標一一對應的距離
optional double prob_of_profit = 34; //盈利機率
optional double seller_roi = 35; //賣方回報率（百分比）
optional double mark_price = 36; //標記價
optional double leverage_ratio = 37; //槓桿倍數
optional double effective_gearing = 38; //有效槓桿
}
message S2C
{
repeated OptionQuote optionQuoteList = 1; //期權實時行情列表
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回結果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
- 接口調用結果，結構參見 RetType
- 期權類型枚舉參見 OptionType
- 指數期權類別枚舉參見 IndexOptionType
- 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;
// 組包
Qot_GetOptionQuote::Request req;
Qot_GetOptionQuote::C2S *c2s = req.mutable_c2s();
// 組合腿列表（實際場景通常由 GetOptionStrategy 返回的 multi_legs 取得）
Qot_Common::ComboLeg *leg = c2s->add_multi_legs();
Qot_Common::Security *sec = leg->mutable_security();
sec->set_market(Qot_Common::QotMarket::QotMarket_HK_Security);
sec->set_code("TCH260622C330000"); // 期權合約代碼：騰訊 Call，2026-06-22 到期，行權價 330
leg->set_side(Trd_Common::TrdSide::TrdSide_Buy);
leg->set_qtyratio(1);
m_GetOptionQuoteSerialNo = m_pQotApi->GetOptionQuote(req);
cout << "Request GetOptionQuote SerialNo: " << m_GetOptionQuoteSerialNo << endl;
}
virtual void OnReply_GetOptionQuote(moomoo::u32_t nSerialNo, const Qot_GetOptionQuote::Response &stRsp) {
if (nSerialNo != m_GetOptionQuoteSerialNo) return;
cout << "OnReply_GetOptionQuote SerialNo: " << nSerialNo << endl;
// 解析內部結構並印出
// ProtoBufToBodyData 與 UTF8ToLocal 函數定義參見 Sample 中的 tool.h
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
protected:
MMAPI_Qot *m_pQotApi;
moomoo::u32_t m_GetOptionQuoteSerialNo = 0;
};
int32_t main(int32_t argc, char** argv)
{
MMAPI::Init();
{
Program program;
program.Start();
getchar();
}
protobuf::ShutdownProtobufLibrary();
MMAPI::UnInit();
return 0;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
- Output
connect
Request GetOptionQuote SerialNo: 3
OnReply_GetOptionQuote SerialNo: 3
{
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"optionQuoteList": [
{
"strike": 330,
"price": 131.65,
"chg": 0,
"chgRate": 0,
"delta": 0.974369,
"gamma": 0.000797,
"vega": 0.019825,
"theta": -0.785757,
"rho": 0.016246,
"expireTime": "2026-06-22",
"contractSize": 100,
"contractMultiplier": 100,
"daysToExpiry": 21,
"intrinsicValue": 125.2,
"timeValue": 6.45,
"breakevenPoint": [460.44],
"distToBreakeven": [-5.24],
"probOfProfit": 0.315418,
"markPrice": 130.4
}
]
}
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
GetOptionQuote(req);
介紹
獲取期權組合快照行情
參數
message C2S
{
repeated Qot_Common.ComboLeg multi_legs = 1; //組合策略合約腿列表
optional Qot_Common.QotHeader header = 100; //行情公共參數頭
}
message Request
{
required C2S c2s = 1;
}
1
2
3
4
5
6
7
8
9
10
2
3
4
5
6
7
8
9
10
- 組合腿 multiLegs 可由 GetOptionStrategy 返回的 multiLegs 取得
- 返回
message OptionQuote
{
optional double price = 1; //最新價
optional double chg = 2; //漲跌額
optional double chg_rate = 3; //漲跌幅（百分比）
optional int64 vol = 4; //成交量
optional double turnover = 5; //成交額
optional double high = 6; //最高價
optional double low = 7; //最低價
optional double mid = 8; //中間價
optional double open = 9; //今開
optional double pre_close = 10; //昨收
optional int32 open_interest = 11; //未平倉合約數
optional double premium = 12; //溢價（百分比）
optional double IV = 13; //隱含波動率（百分比）
optional double delta = 14; //Delta
optional double gamma = 15; //Gamma
optional double vega = 16; //Vega
optional double theta = 17; //Theta
optional double rho = 18; //Rho
optional int32 option_type = 19; //OptionType，CALL/PUT
optional string expire_time = 20; //到期日
optional double strike = 21; //行權價
optional double contract_size = 22; //合約規模
optional double contract_multiplier = 23; //合約乘數
optional int32 exercise_type = 24; //行權類型
optional int32 days_to_expiry = 25; //距到期天數
optional int32 net_open_interest = 26; //淨未平倉合約數
optional double contract_value = 27; //合約金額
optional double equal_underlying = 28; //相當正股手數
optional int32 index_option_type = 29; //指數期權類型
optional double intrinsic_value = 30; //內在價值
optional double time_value = 31; //時間價值
repeated double breakeven_point = 32; //盈虧平衡點列表
repeated double dist_to_breakeven = 33; //與盈虧平衡點的距離
optional double prob_of_profit = 34; //盈利概率
optional double seller_roi = 35; //賣方回報率（百分比）
optional double mark_price = 36; //標記價
optional double leverage_ratio = 37; //槓桿倍數
optional double effective_gearing = 38; //有效槓桿
}
message S2C
{
repeated OptionQuote optionQuoteList = 1; //期權實時行情列表
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
- 接口調用結果，結構參見 RetType
- 期權類型枚舉參見 OptionType
- 指數期權類別枚舉參見 IndexOptionType
- 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 QotGetOptionQuote(){
const { RetType } = Common
const { QotMarket, OptionStrategyType } = 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) { // 登录成功
// 先获取期权策略，取其中一组组合腿
websocket.GetOptionStrategy({
c2s: {
owner: { market: QotMarket.QotMarket_HK_Security, code: "00700" },
optionStrategy: OptionStrategyType.OptionStrategyType_Straddle,
},
})
.then((res) => {
let { retType, s2c: { strategyList } } = res
if(retType == RetType.RetType_Succeed && strategyList.length > 0){
const req = {
c2s: {
multiLegs: strategyList[0].multiLegs,
},
};
websocket.GetOptionQuote(req)
.then((res) => {
let { errCode, retMsg, retType, s2c } = res
console.log("GetOptionQuote: 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);
});
}
})
.catch((error) => {
console.log("GetOptionStrategy error:", error);
});
} else {
console.log("start error", msg);
}
};
websocket.start(addr, port, enable_ssl, key);
//关闭行情连接，连接不再使用之后，要关闭，否则占用不必要资源
//同时OpenD也限制了最多128条连接
//也可以一个页面或者一个项目维护一条连接，这里范例请求一次创建一条连接
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // 5秒后断开
}
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
- Output
GetOptionQuote: errCode 0, retMsg , retType 0
{
"optionQuoteList": [{
"price": 131.65,
"chg": 0,
"chgRate": 0,
"delta": 0.974369,
"gamma": 0.000797,
"vega": 0.019825,
"theta": -0.785757,
"rho": 0.016246,
"expireTime": "2026-05-22",
"contractSize": 100,
"contractMultiplier": 100,
"daysToExpiry": 2,
"intrinsicValue": 125.2,
"timeValue": 6.45,
"breakevenPoint": [199.56, 460.44],
"distToBreakeven": [255.64, -5.24],
"probOfProfit": 0.315418,
"markPrice": 130.4
}]
}
stop
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
接口限制
- 每 30 秒內最多請求 120 次。