# 組合下單
- Python
- Proto
- C#
- Java
- C++
- JavaScript
place_combo_order(combo_leg_list, price, qty, order_type=OrderType.NORMAL, trd_env=TrdEnv.REAL, acc_id=0, acc_index=0, remark="", time_in_force=TimeInForce.DAY, expire_time=None)
介紹
提交組合期權/組合策略訂單。
參數
參數 類型 說明 combo_leg_list list 組合腿列表 - 列表元素為 ComboLeg 對象，每條腿描述組合中的一個標的及交易方向
- ComboLeg 欄位見下表
price float 訂單價格 - 當訂單是市價單或競價單類型，仍需對 price 傳遞參數，price 可以傳入任意值
- 精度規則同 place_order 的 price 參數
qty float 訂單數量 組合下單數量；每條腿的實際數量為 qty × 該腿的 qty_ratioorder_type OrderType 訂單類型 trd_env TrdEnv 交易環境 acc_id int 交易業務賬戶 ID - acc_id 和 acc_index 都可用於指定交易業務賬戶，二選一即可，推薦使用 acc_id
- 當 acc_id 傳 0 時，以 acc_index 指定的賬戶為準
- 當 acc_id 傳 ID 號時（不為 0），以 acc_id 指定的賬戶為準
acc_index int 交易業務賬戶列表中的賬戶序號 - acc_id 和 acc_index 都可用於指定交易業務賬戶，二選一即可，推薦使用 acc_id
- acc_index 預設為 0，表示指定第 1 個交易業務賬戶
remark str 備註 - 訂單會帶上此備註欄位，方便您標識訂單
- 轉成 utf8 後的長度上限為 64 位元組
time_in_force TimeInForce 有效期限 expire_time str 訂單過期時間 time_in_force 為 GTD 時有效；格式：yyyy-MM-dd返回
參數 類型 說明 ret RET_CODE 介面執行結果 data pd.DataFrame 當 ret == RET_OK 時，返回訂單列表 str 當 ret != RET_OK 時，返回錯誤描述 - 訂單列表格式如下：
欄位 類型 說明 order_id str 訂單號 code str 組合策略代碼 strategy_type OptionStrategyType 組合策略類型 trd_side TrdSide 交易方向 order_type OrderType 訂單類型 order_status OrderStatus 訂單狀態 qty float 訂單數量 price float 訂單價格 amount float 訂單金額 time_in_force TimeInForce 有效期限 expire_time str 過期時間 dealt_qty float 成交數量 dealt_avg_price float 成交均價 create_time str 創建時間 updated_time str 最後更新時間 last_err_msg str 最後的錯誤描述 remark str 備註 combo_legs list 組合腿列表 元素為 ComboLeg 對象
- 訂單列表格式如下：
Example
from futu import *
trd_ctx = OpenSecTradeContext(filter_trdmarket=TrdMarket.US, host='127.0.0.1', port=11111, security_firm=SecurityFirm.FUTUSECURITIES)
leg1 = ComboLeg()
leg1.code = 'US.AAPL260529C302500'
leg1.trd_side = TrdSide.BUY
leg1.qty_ratio = 1
leg2 = ComboLeg()
leg2.code = 'US.AAPL'
leg2.trd_side = TrdSide.SELL
leg2.qty_ratio = 100
combo_legs = [leg1, leg2]
ret, data = trd_ctx.place_combo_order(combo_legs, price=9.9, qty=1, order_type=OrderType.NORMAL, trd_env=TrdEnv.SIMULATE)
if ret == RET_OK:
print(data)
print(data['order_id'][0])
else:
print('place_combo_order error: ', data)
trd_ctx.close()
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- Output
order_id code strategy_type trd_side order_type order_status qty price ...
0 FH1C79E90941477000 ... ... ... NORMAL SUBMITTING 1.0 9.9 ...
FH1C79E90941477000
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# Trd_PlaceComboOrder.proto
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1; //交易寫操作防重放攻擊
required Trd_Common.TrdHeader header = 2; //交易公共參數頭
repeated Qot_Common.ComboLeg comboLegs = 3; //組合的腿資訊
required double qty = 4; //數量，實際數量為 qty * 腿的 qty_ratio
optional double price = 5; //價格
required int32 orderType = 6; //訂單類型，參見 Trd_Common.OrderType 的枚舉定義
optional int32 timeInForce = 7; //訂單有效期限，參見 TrdCommon_TimeInForce 的枚舉定義
optional string expireTime = 8; //訂單過期時間，timeInForce 為 GTD 時有效
optional string remark = 9; //用戶備註字串，最多只能傳 64 位元組
}
message Request
{
required C2S c2s = 1;
}
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- 請求包標識結構參見 PacketID
- 交易公共參數頭結構參見 TrdHeader
- 組合腿結構參見 ComboLeg
- 訂單類型參見 OrderType
- 訂單有效期參見 TimeInForce
- 返回
message S2C
{
required Trd_Common.TrdHeader header = 1; //交易公共參數頭
optional string orderIDEx = 2; //表示伺服器訂單 id
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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協議 ID
2227
uint PlaceComboOrder(TrdPlaceComboOrder.Request req);
virtual void OnReply_PlaceComboOrder(FTAPI_Conn client, uint nSerialNo, TrdPlaceComboOrder.Response rsp);
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1;
required Trd_Common.TrdHeader header = 2;
repeated Qot_Common.ComboLeg comboLegs = 3;
required double qty = 4;
optional double price = 5;
required int32 orderType = 6;
optional int32 timeInForce = 7;
optional string expireTime = 8;
optional string remark = 9;
}
message Request
{
required C2S c2s = 1;
}
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- 回呼
message S2C
{
required Trd_Common.TrdHeader header = 1;
optional string orderIDEx = 2;
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class Program : FTSPI_Trd, FTSPI_Conn {
FTAPI_Trd trd = new FTAPI_Trd();
public Program() {
trd.SetClientInfo("csharp", 1); //設置客戶端資訊
trd.SetConnCallback(this); //設置連接回呼
trd.SetTrdCallback(this); //設置交易回呼
}
public void Start() {
trd.InitConnect("127.0.0.1", (ushort)11111, false);
}
public void OnInitConnect(FTAPI_Conn client, long errCode, String desc)
{
Console.Write("Trd onInitConnect: ret={0} desc={1} connID={2}\n", errCode, desc, client.GetConnectID());
if (errCode != 0)
return;
TrdCommon.TrdHeader header = TrdCommon.TrdHeader.CreateBuilder()
.SetAccID(281756457888247915L)
.SetTrdEnv((int)TrdCommon.TrdEnv.TrdEnv_Simulate)
.SetTrdMarket((int)TrdCommon.TrdMarket.TrdMarket_US)
.Build();
QotCommon.ComboLeg leg1 = QotCommon.ComboLeg.CreateBuilder()
.SetSecurity(QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_US_Security)
.SetCode("AAPL260529C302500")
.Build())
.SetSide((int)TrdCommon.TrdSide.TrdSide_Buy)
.SetQtyRatio(1)
.Build();
QotCommon.ComboLeg leg2 = QotCommon.ComboLeg.CreateBuilder()
.SetSecurity(QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_US_Security)
.SetCode("AAPL")
.Build())
.SetSide((int)TrdCommon.TrdSide.TrdSide_Sell)
.SetQtyRatio(100)
.Build();
TrdPlaceComboOrder.C2S c2s = TrdPlaceComboOrder.C2S.CreateBuilder()
.SetPacketID(trd.NextPacketID())
.SetHeader(header)
.AddComboLegs(leg1)
.AddComboLegs(leg2)
.SetQty(1)
.SetPrice(9.9)
.SetOrderType((int)TrdCommon.OrderType.OrderType_Normal)
.SetTimeInForce((int)TrdCommon.TimeInForce.TimeInForce_DAY)
.SetRemark("combo-demo")
.Build();
TrdPlaceComboOrder.Request req = TrdPlaceComboOrder.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = trd.PlaceComboOrder(req);
Console.Write("Send TrdPlaceComboOrder: {0}\n", seqNo);
}
public void OnDisconnect(FTAPI_Conn client, long errCode) {
Console.Write("Trd onDisConnect: {0}\n", errCode);
}
public void OnReply_PlaceComboOrder(FTAPI_Conn client, uint nSerialNo, TrdPlaceComboOrder.Response rsp)
{
Console.Write("Reply: TrdPlaceComboOrder: {0}\n", nSerialNo);
Console.Write("orderIDEx: {0}\n", rsp.S2C.OrderIDEx);
}
public static void Main(String[] args) {
FTAPI.Init();
Program trd = new Program();
trd.Start();
while (true)
Thread.Sleep(1000 * 600);
}
}
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- Output
Trd onInitConnect: ret=0 desc= connID=6827788355222092042
Send TrdPlaceComboOrder: 3
Reply: TrdPlaceComboOrder: 3
orderIDEx: FH1C79E90941477000
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int placeComboOrder(TrdPlaceComboOrder.Request req);
void onReply_PlaceComboOrder(FTAPI_Conn client, int nSerialNo, TrdPlaceComboOrder.Response rsp);
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1;
required Trd_Common.TrdHeader header = 2;
repeated Qot_Common.ComboLeg comboLegs = 3;
required double qty = 4;
optional double price = 5;
required int32 orderType = 6;
optional int32 timeInForce = 7;
optional string expireTime = 8;
optional string remark = 9;
}
message Request
{
required C2S c2s = 1;
}
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- 回呼
message S2C
{
required Trd_Common.TrdHeader header = 1;
optional string orderIDEx = 2;
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class TrdDemo implements FTSPI_Trd, FTSPI_Conn {
FTAPI_Conn_Trd trd = new FTAPI_Conn_Trd();
public TrdDemo() {
trd.setClientInfo("javaclient", 1); //設置客戶端資訊
trd.setConnSpi(this); //設置連接回呼
trd.setTrdSpi(this); //設置交易回呼
}
public void start() {
trd.initConnect("127.0.0.1", (short)11111, false);
}
@Override
public void onInitConnect(FTAPI_Conn client, long errCode, String desc)
{
System.out.printf("Trd onInitConnect: ret=%b desc=%s connID=%d\n", errCode, desc, client.getConnectID());
if (errCode != 0)
return;
TrdCommon.TrdHeader header = TrdCommon.TrdHeader.newBuilder()
.setAccID(281756457888247915L)
.setTrdEnv(TrdCommon.TrdEnv.TrdEnv_Simulate_VALUE)
.setTrdMarket(TrdCommon.TrdMarket.TrdMarket_US_VALUE)
.build();
QotCommon.ComboLeg leg1 = QotCommon.ComboLeg.newBuilder()
.setSecurity(QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_US_Security_VALUE)
.setCode("AAPL260529C302500")
.build())
.setSide(TrdCommon.TrdSide.TrdSide_Buy_VALUE)
.setQtyRatio(1)
.build();
QotCommon.ComboLeg leg2 = QotCommon.ComboLeg.newBuilder()
.setSecurity(QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_US_Security_VALUE)
.setCode("AAPL")
.build())
.setSide(TrdCommon.TrdSide.TrdSide_Sell_VALUE)
.setQtyRatio(100)
.build();
TrdPlaceComboOrder.C2S c2s = TrdPlaceComboOrder.C2S.newBuilder()
.setPacketID(trd.nextPacketID())
.setHeader(header)
.addComboLegs(leg1)
.addComboLegs(leg2)
.setQty(1)
.setPrice(9.9)
.setOrderType(TrdCommon.OrderType.OrderType_Normal_VALUE)
.setTimeInForce(TrdCommon.TimeInForce.TimeInForce_DAY_VALUE)
.setRemark("combo-demo")
.build();
TrdPlaceComboOrder.Request req = TrdPlaceComboOrder.Request.newBuilder().setC2S(c2s).build();
int seqNo = trd.placeComboOrder(req);
System.out.printf("Send TrdPlaceComboOrder: %d\n", seqNo);
}
@Override
public void onDisconnect(FTAPI_Conn client, long errCode) {
System.out.printf("Trd onDisConnect: %d\n", errCode);
}
@Override
public void onReply_PlaceComboOrder(FTAPI_Conn client, int nSerialNo, TrdPlaceComboOrder.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("TrdPlaceComboOrder failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive TrdPlaceComboOrder: %s\n", json);
} catch (InvalidProtocolBufferException e) {
e.printStackTrace();
}
}
}
public static void main(String[] args) {
FTAPI.init();
TrdDemo trd = new TrdDemo();
trd.start();
while (true) {
try {
Thread.sleep(1000 * 600);
} catch (InterruptedException exc) {
}
}
}
}
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- Output
Send TrdPlaceComboOrder: 2
Receive TrdPlaceComboOrder: {
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"header": {
"trdEnv": 0,
"accID": "281756457888247915",
"trdMarket": 2
},
"orderIDEx": "FH1C79E90941477000"
}
}
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Futu::u32_t PlaceComboOrder(const Trd_PlaceComboOrder::Request &stReq);
virtual void OnReply_PlaceComboOrder(Futu::u32_t nSerialNo, const Trd_PlaceComboOrder::Response &stRsp) = 0;
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1;
required Trd_Common.TrdHeader header = 2;
repeated Qot_Common.ComboLeg comboLegs = 3;
required double qty = 4;
optional double price = 5;
required int32 orderType = 6;
optional int32 timeInForce = 7;
optional string expireTime = 8;
optional string remark = 9;
}
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- 回呼
message S2C
{
required Trd_Common.TrdHeader header = 1;
optional string orderIDEx = 2;
}
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- Example
class Program : public FTSPI_Qot, public FTSPI_Trd, public FTSPI_Conn
{
public:
Program() {
m_pTrdApi = FTAPI::CreateTrdApi();
m_pTrdApi->RegisterTrdSpi(this);
m_pTrdApi->RegisterConnSpi(this);
}
~Program() {
if (m_pTrdApi != nullptr)
{
m_pTrdApi->UnregisterTrdSpi();
m_pTrdApi->UnregisterConnSpi();
FTAPI::ReleaseTrdApi(m_pTrdApi);
m_pTrdApi = nullptr;
}
}
void Start() {
m_pTrdApi->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
Trd_PlaceComboOrder::Request req;
Trd_PlaceComboOrder::C2S *c2s = req.mutable_c2s();
Trd_Common::TrdHeader *header = c2s->mutable_header();
header->set_accid(3637840);
header->set_trdenv(0);
header->set_trdmarket(2);
Qot_Common::ComboLeg *leg1 = c2s->add_combolegs();
leg1->mutable_security()->set_market(Qot_Common::QotMarket_US_Security);
leg1->mutable_security()->set_code("AAPL260529C302500");
leg1->set_side(Trd_Common::TrdSide_Buy);
leg1->set_qtyratio(1);
Qot_Common::ComboLeg *leg2 = c2s->add_combolegs();
leg2->mutable_security()->set_market(Qot_Common::QotMarket_US_Security);
leg2->mutable_security()->set_code("AAPL");
leg2->set_side(Trd_Common::TrdSide_Sell);
leg2->set_qtyratio(100);
c2s->set_qty(1);
c2s->set_price(9.9);
c2s->set_ordertype(Trd_Common::OrderType_Normal);
m_PlaceComboOrderSerialNo = m_pTrdApi->PlaceComboOrder(req);
cout << "Request PlaceComboOrder SerialNo: " << m_PlaceComboOrderSerialNo << endl;
}
virtual void OnReply_PlaceComboOrder(Futu::u32_t nSerialNo, const Trd_PlaceComboOrder::Response &stRsp){
if(nSerialNo == m_PlaceComboOrderSerialNo)
{
cout << "OnReply_PlaceComboOrder SerialNo: " << nSerialNo << endl;
// 解析內部結構並列印出來
// ProtoBufToBodyData 和 UTF8ToLocal 函數的定義參見 Sample 中的 tool.h 文件
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
}
protected:
FTAPI_Trd *m_pTrdApi;
Futu::u32_t m_PlaceComboOrderSerialNo;
};
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 PlaceComboOrder SerialNo: 4
OnReply_PlaceComboOrder SerialNo: 4
{
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"header": {
"trdEnv": 0,
"accID": "3637840",
"trdMarket": 2
},
"orderIDEx": "FH1C79E90941477000"
}
}
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PlaceComboOrder(req);
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1;
required Trd_Common.TrdHeader header = 2;
repeated Qot_Common.ComboLeg comboLegs = 3;
required double qty = 4;
optional double price = 5;
required int32 orderType = 6;
optional int32 timeInForce = 7;
optional string expireTime = 8;
optional string remark = 9;
}
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- 返回
message S2C
{
required Trd_Common.TrdHeader header = 1;
optional string orderIDEx = 2;
}
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- Example
import ftWebsocket from "futu-api";
import { ftCmdID } from "futu-api";
import { Common, Qot_Common, Trd_Common } from "futu-api/proto";
import beautify from "js-beautify";
function TrdPlaceComboOrder(){
const { RetType, PacketID } = Common
const { TrdEnv, TrdSide, OrderType, SecurityFirm, TrdMarket, TimeInForce } = Trd_Common
const { QotMarket } = Qot_Common
let [addr, port, enable_ssl, key] = ["127.0.0.1", 33333, false, '7522027ccf5a06b1'];
let websocket = new ftWebsocket();
let tradeSerialNo = 0;
websocket.onlogin = async ()=>{
try{
let { errCode, retMsg, retType } = await websocket.UnlockTrade({
c2s: {
unlock: true,
securityFirm: SecurityFirm.SecurityFirm_FutuSecurities,
pwdMD5: "d0970714757783e6cf17b26fb8e2298f", // 設置為自己賬號的交易密碼 MD5
},
});
if(retType == RetType.RetType_Succeed && errCode == 0) { // 解鎖交易成功
let { errCode, retMsg, retType, s2c: { accList } } = await websocket.GetAccList({
c2s: {
userID: 0,
},
});
if(retType == RetType.RetType_Succeed && errCode == 0) { // 獲取賬戶成功
let acc = accList.filter((item)=>{
return item.trdEnv == TrdEnv.TrdEnv_Simulate && item.trdMarketAuthList.some((auth)=>{ return auth == TrdMarket.TrdMarket_US})
})[0]; // 樣例取第一個美國市場模擬環境賬戶
const req = {
c2s: {
packetID:{
connID: websocket.getConnID(),
serialNo: tradeSerialNo++,
},
header: {
trdEnv: acc.trdEnv,
accID: acc.accID,
trdMarket: TrdMarket.TrdMarket_US,
},
comboLegs: [
{
security: {
market: QotMarket.QotMarket_US_Security,
code: "AAPL260529C302500",
},
side: TrdSide.TrdSide_Buy,
qtyRatio: 1,
},
{
security: {
market: QotMarket.QotMarket_US_Security,
code: "AAPL",
},
side: TrdSide.TrdSide_Sell,
qtyRatio: 100,
},
],
qty: 1,
price: 9.9,
orderType: OrderType.OrderType_Normal,
timeInForce: TimeInForce.TimeInForce_DAY,
remark: "combo-demo",
},
};
let { errCode, retMsg, retType, s2c } = await websocket.PlaceComboOrder(req);
console.log("PlaceComboOrder: 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(err){
console.log(err)
}
};
websocket.start(addr, port, enable_ssl, key);
//關閉連接，連接不再使用之後要關閉，否則佔用不必要資源
//同時 OpenD 也限制了最多 128 條連接
//也可以一個頁面或者一個項目維護一條連接，這裏範例請求一次創建一條連接
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // 5 秒後斷開
}
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- Output
PlaceComboOrder: errCode 0, retMsg , retType 0
{
"header": {
"trdEnv": 0,
"accID": "6684972",
"trdMarket": 2
},
"orderIDEx": "FH1C79E90941477000"
}
stop
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介面限制
提示
- combo_leg_list 中各腿標的須屬於同一交易市場，系統將根據第一條腿的市場確定 trd_market。
- 各腿 qty_ratio 與 qty 共同決定每條腿的實際委託數量。
- Python
- Proto
- C#
- Java
- C++
- JavaScript
place_combo_order(combo_leg_list, price, qty, order_type=OrderType.NORMAL, trd_env=TrdEnv.REAL, acc_id=0, acc_index=0, remark="", time_in_force=TimeInForce.DAY, expire_time=None)
介紹
提交組合期權/組合策略訂單。
參數
參數 類型 說明 combo_leg_list list 組合腿列表 - 列表元素為 ComboLeg 對象，每條腿描述組合中的一個標的及交易方向
- ComboLeg 欄位見下表
price float 訂單價格 - 當訂單是市價單或競價單類型，仍需對 price 傳遞參數，price 可以傳入任意值
- 精度規則同 place_order 的 price 參數
qty float 訂單數量 組合下單數量；每條腿的實際數量為 qty × 該腿的 qty_ratioorder_type OrderType 訂單類型 trd_env TrdEnv 交易環境 acc_id int 交易業務賬戶 ID - acc_id 和 acc_index 都可用於指定交易業務賬戶，二選一即可，推薦使用 acc_id
- 當 acc_id 傳 0 時，以 acc_index 指定的賬戶為準
- 當 acc_id 傳 ID 號時（不為 0），以 acc_id 指定的賬戶為準
acc_index int 交易業務賬戶列表中的賬戶序號 - acc_id 和 acc_index 都可用於指定交易業務賬戶，二選一即可，推薦使用 acc_id
- acc_index 預設為 0，表示指定第 1 個交易業務賬戶
remark str 備註 - 訂單會帶上此備註欄位，方便您標識訂單
- 轉成 utf8 後的長度上限為 64 位元組
time_in_force TimeInForce 有效期限 expire_time str 訂單過期時間 time_in_force 為 GTD 時有效；格式：yyyy-MM-dd返回
參數 類型 說明 ret RET_CODE 介面執行結果 data pd.DataFrame 當 ret == RET_OK 時，返回訂單列表 str 當 ret != RET_OK 時，返回錯誤描述 - 訂單列表格式如下：
欄位 類型 說明 order_id str 訂單號 code str 組合策略代碼 strategy_type OptionStrategyType 組合策略類型 trd_side TrdSide 交易方向 order_type OrderType 訂單類型 order_status OrderStatus 訂單狀態 qty float 訂單數量 price float 訂單價格 amount float 訂單金額 time_in_force TimeInForce 有效期限 expire_time str 過期時間 dealt_qty float 成交數量 dealt_avg_price float 成交均價 create_time str 創建時間 updated_time str 最後更新時間 last_err_msg str 最後的錯誤描述 remark str 備註 combo_legs list 組合腿列表 元素為 ComboLeg 對象
- 訂單列表格式如下：
Example
from moomoo import *
trd_ctx = OpenSecTradeContext(filter_trdmarket=TrdMarket.US, host='127.0.0.1', port=11111, security_firm=SecurityFirm.FUTUINC)
leg1 = ComboLeg()
leg1.code = 'US.AAPL260529C302500'
leg1.trd_side = TrdSide.BUY
leg1.qty_ratio = 1
leg2 = ComboLeg()
leg2.code = 'US.AAPL'
leg2.trd_side = TrdSide.SELL
leg2.qty_ratio = 100
combo_legs = [leg1, leg2]
ret, data = trd_ctx.place_combo_order(combo_legs, price=9.9, qty=1, order_type=OrderType.NORMAL, trd_env=TrdEnv.SIMULATE)
if ret == RET_OK:
print(data)
print(data['order_id'][0])
else:
print('place_combo_order error: ', data)
trd_ctx.close()
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- Output
order_id code strategy_type trd_side order_type order_status qty price ...
0 FH1C79E90941477000 ... ... ... NORMAL SUBMITTING 1.0 9.9 ...
FH1C79E90941477000
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# Trd_PlaceComboOrder.proto
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1; //交易寫操作防重放攻擊
required Trd_Common.TrdHeader header = 2; //交易公共參數頭
repeated Qot_Common.ComboLeg comboLegs = 3; //組合的腿資訊
required double qty = 4; //數量，實際數量為 qty * 腿的 qty_ratio
optional double price = 5; //價格
required int32 orderType = 6; //訂單類型，參見 Trd_Common.OrderType 的枚舉定義
optional int32 timeInForce = 7; //訂單有效期限，參見 TrdCommon_TimeInForce 的枚舉定義
optional string expireTime = 8; //訂單過期時間，timeInForce 為 GTD 時有效
optional string remark = 9; //用戶備註字串，最多只能傳 64 位元組
}
message Request
{
required C2S c2s = 1;
}
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- 請求包標識結構參見 PacketID
- 交易公共參數頭結構參見 TrdHeader
- 組合腿結構參見 ComboLeg
- 訂單類型參見 OrderType
- 訂單有效期參見 TimeInForce
- 返回
message S2C
{
required Trd_Common.TrdHeader header = 1; //交易公共參數頭
optional string orderIDEx = 2; //表示伺服器訂單 id
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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協議 ID
2227
uint PlaceComboOrder(TrdPlaceComboOrder.Request req);
virtual void OnReply_PlaceComboOrder(MMAPI_Conn client, uint nSerialNo, TrdPlaceComboOrder.Response rsp);
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1;
required Trd_Common.TrdHeader header = 2;
repeated Qot_Common.ComboLeg comboLegs = 3;
required double qty = 4;
optional double price = 5;
required int32 orderType = 6;
optional int32 timeInForce = 7;
optional string expireTime = 8;
optional string remark = 9;
}
message Request
{
required C2S c2s = 1;
}
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- 回呼
message S2C
{
required Trd_Common.TrdHeader header = 1;
optional string orderIDEx = 2;
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class Program : MMSPI_Trd, MMSPI_Conn {
MMAPI_Trd trd = new MMAPI_Trd();
public Program() {
trd.SetClientInfo("csharp", 1); //設置客戶端資訊
trd.SetConnCallback(this); //設置連接回呼
trd.SetTrdCallback(this); //設置交易回呼
}
public void Start() {
trd.InitConnect("127.0.0.1", (ushort)11111, false);
}
public void OnInitConnect(MMAPI_Conn client, long errCode, String desc)
{
Console.Write("Trd onInitConnect: ret={0} desc={1} connID={2}\n", errCode, desc, client.GetConnectID());
if (errCode != 0)
return;
TrdCommon.TrdHeader header = TrdCommon.TrdHeader.CreateBuilder()
.SetAccID(281756457888247915L)
.SetTrdEnv((int)TrdCommon.TrdEnv.TrdEnv_Simulate)
.SetTrdMarket((int)TrdCommon.TrdMarket.TrdMarket_US)
.Build();
QotCommon.ComboLeg leg1 = QotCommon.ComboLeg.CreateBuilder()
.SetSecurity(QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_US_Security)
.SetCode("AAPL260529C302500")
.Build())
.SetSide((int)TrdCommon.TrdSide.TrdSide_Buy)
.SetQtyRatio(1)
.Build();
QotCommon.ComboLeg leg2 = QotCommon.ComboLeg.CreateBuilder()
.SetSecurity(QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_US_Security)
.SetCode("AAPL")
.Build())
.SetSide((int)TrdCommon.TrdSide.TrdSide_Sell)
.SetQtyRatio(100)
.Build();
TrdPlaceComboOrder.C2S c2s = TrdPlaceComboOrder.C2S.CreateBuilder()
.SetPacketID(trd.NextPacketID())
.SetHeader(header)
.AddComboLegs(leg1)
.AddComboLegs(leg2)
.SetQty(1)
.SetPrice(9.9)
.SetOrderType((int)TrdCommon.OrderType.OrderType_Normal)
.SetTimeInForce((int)TrdCommon.TimeInForce.TimeInForce_DAY)
.SetRemark("combo-demo")
.Build();
TrdPlaceComboOrder.Request req = TrdPlaceComboOrder.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = trd.PlaceComboOrder(req);
Console.Write("Send TrdPlaceComboOrder: {0}\n", seqNo);
}
public void OnDisconnect(MMAPI_Conn client, long errCode) {
Console.Write("Trd onDisConnect: {0}\n", errCode);
}
public void OnReply_PlaceComboOrder(MMAPI_Conn client, uint nSerialNo, TrdPlaceComboOrder.Response rsp)
{
Console.Write("Reply: TrdPlaceComboOrder: {0}\n", nSerialNo);
Console.Write("orderIDEx: {0}\n", rsp.S2C.OrderIDEx);
}
public static void Main(String[] args) {
MMAPI.Init();
Program trd = new Program();
trd.Start();
while (true)
Thread.Sleep(1000 * 600);
}
}
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- Output
Trd onInitConnect: ret=0 desc= connID=6827788355222092042
Send TrdPlaceComboOrder: 3
Reply: TrdPlaceComboOrder: 3
orderIDEx: FH1C79E90941477000
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int placeComboOrder(TrdPlaceComboOrder.Request req);
void onReply_PlaceComboOrder(MMAPI_Conn client, int nSerialNo, TrdPlaceComboOrder.Response rsp);
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1;
required Trd_Common.TrdHeader header = 2;
repeated Qot_Common.ComboLeg comboLegs = 3;
required double qty = 4;
optional double price = 5;
required int32 orderType = 6;
optional int32 timeInForce = 7;
optional string expireTime = 8;
optional string remark = 9;
}
message Request
{
required C2S c2s = 1;
}
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- 回呼
message S2C
{
required Trd_Common.TrdHeader header = 1;
optional string orderIDEx = 2;
}
message Response
{
required int32 retType = 1 [default = -400];
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class TrdDemo implements MMSPI_Trd, MMSPI_Conn {
MMAPI_Conn_Trd trd = new MMAPI_Conn_Trd();
public TrdDemo() {
trd.setClientInfo("javaclient", 1); //設置客戶端資訊
trd.setConnSpi(this); //設置連接回呼
trd.setTrdSpi(this); //設置交易回呼
}
public void start() {
trd.initConnect("127.0.0.1", (short)11111, false);
}
@Override
public void onInitConnect(MMAPI_Conn client, long errCode, String desc)
{
System.out.printf("Trd onInitConnect: ret=%b desc=%s connID=%d\n", errCode, desc, client.getConnectID());
if (errCode != 0)
return;
TrdCommon.TrdHeader header = TrdCommon.TrdHeader.newBuilder()
.setAccID(281756457888247915L)
.setTrdEnv(TrdCommon.TrdEnv.TrdEnv_Simulate_VALUE)
.setTrdMarket(TrdCommon.TrdMarket.TrdMarket_US_VALUE)
.build();
QotCommon.ComboLeg leg1 = QotCommon.ComboLeg.newBuilder()
.setSecurity(QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_US_Security_VALUE)
.setCode("AAPL260529C302500")
.build())
.setSide(TrdCommon.TrdSide.TrdSide_Buy_VALUE)
.setQtyRatio(1)
.build();
QotCommon.ComboLeg leg2 = QotCommon.ComboLeg.newBuilder()
.setSecurity(QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_US_Security_VALUE)
.setCode("AAPL")
.build())
.setSide(TrdCommon.TrdSide.TrdSide_Sell_VALUE)
.setQtyRatio(100)
.build();
TrdPlaceComboOrder.C2S c2s = TrdPlaceComboOrder.C2S.newBuilder()
.setPacketID(trd.nextPacketID())
.setHeader(header)
.addComboLegs(leg1)
.addComboLegs(leg2)
.setQty(1)
.setPrice(9.9)
.setOrderType(TrdCommon.OrderType.OrderType_Normal_VALUE)
.setTimeInForce(TrdCommon.TimeInForce.TimeInForce_DAY_VALUE)
.setRemark("combo-demo")
.build();
TrdPlaceComboOrder.Request req = TrdPlaceComboOrder.Request.newBuilder().setC2S(c2s).build();
int seqNo = trd.placeComboOrder(req);
System.out.printf("Send TrdPlaceComboOrder: %d\n", seqNo);
}
@Override
public void onDisconnect(MMAPI_Conn client, long errCode) {
System.out.printf("Trd onDisConnect: %d\n", errCode);
}
@Override
public void onReply_PlaceComboOrder(MMAPI_Conn client, int nSerialNo, TrdPlaceComboOrder.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("TrdPlaceComboOrder failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive TrdPlaceComboOrder: %s\n", json);
} catch (InvalidProtocolBufferException e) {
e.printStackTrace();
}
}
}
public static void main(String[] args) {
MMAPI.init();
TrdDemo trd = new TrdDemo();
trd.start();
while (true) {
try {
Thread.sleep(1000 * 600);
} catch (InterruptedException exc) {
}
}
}
}
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- Output
Send TrdPlaceComboOrder: 2
Receive TrdPlaceComboOrder: {
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"header": {
"trdEnv": 0,
"accID": "281756457888247915",
"trdMarket": 2
},
"orderIDEx": "FH1C79E90941477000"
}
}
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moomoo::u32_t PlaceComboOrder(const Trd_PlaceComboOrder::Request &stReq);
virtual void OnReply_PlaceComboOrder(moomoo::u32_t nSerialNo, const Trd_PlaceComboOrder::Response &stRsp) = 0;
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1;
required Trd_Common.TrdHeader header = 2;
repeated Qot_Common.ComboLeg comboLegs = 3;
required double qty = 4;
optional double price = 5;
required int32 orderType = 6;
optional int32 timeInForce = 7;
optional string expireTime = 8;
optional string remark = 9;
}
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- 回呼
message S2C
{
required Trd_Common.TrdHeader header = 1;
optional string orderIDEx = 2;
}
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- Example
class Program : public MMSPI_Qot, public MMSPI_Trd, public MMSPI_Conn
{
public:
Program() {
m_pTrdApi = MMAPI::CreateTrdApi();
m_pTrdApi->RegisterTrdSpi(this);
m_pTrdApi->RegisterConnSpi(this);
}
~Program() {
if (m_pTrdApi != nullptr)
{
m_pTrdApi->UnregisterTrdSpi();
m_pTrdApi->UnregisterConnSpi();
MMAPI::ReleaseTrdApi(m_pTrdApi);
m_pTrdApi = nullptr;
}
}
void Start() {
m_pTrdApi->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
Trd_PlaceComboOrder::Request req;
Trd_PlaceComboOrder::C2S *c2s = req.mutable_c2s();
Trd_Common::TrdHeader *header = c2s->mutable_header();
header->set_accid(3637840);
header->set_trdenv(0);
header->set_trdmarket(2);
Qot_Common::ComboLeg *leg1 = c2s->add_combolegs();
leg1->mutable_security()->set_market(Qot_Common::QotMarket_US_Security);
leg1->mutable_security()->set_code("AAPL260529C302500");
leg1->set_side(Trd_Common::TrdSide_Buy);
leg1->set_qtyratio(1);
Qot_Common::ComboLeg *leg2 = c2s->add_combolegs();
leg2->mutable_security()->set_market(Qot_Common::QotMarket_US_Security);
leg2->mutable_security()->set_code("AAPL");
leg2->set_side(Trd_Common::TrdSide_Sell);
leg2->set_qtyratio(100);
c2s->set_qty(1);
c2s->set_price(9.9);
c2s->set_ordertype(Trd_Common::OrderType_Normal);
m_PlaceComboOrderSerialNo = m_pTrdApi->PlaceComboOrder(req);
cout << "Request PlaceComboOrder SerialNo: " << m_PlaceComboOrderSerialNo << endl;
}
virtual void OnReply_PlaceComboOrder(moomoo::u32_t nSerialNo, const Trd_PlaceComboOrder::Response &stRsp){
if(nSerialNo == m_PlaceComboOrderSerialNo)
{
cout << "OnReply_PlaceComboOrder SerialNo: " << nSerialNo << endl;
// 解析內部結構並列印出來
// ProtoBufToBodyData 和 UTF8ToLocal 函數的定義參見 Sample 中的 tool.h 文件
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
}
protected:
MMAPI_Trd *m_pTrdApi;
moomoo::u32_t m_PlaceComboOrderSerialNo;
};
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 PlaceComboOrder SerialNo: 4
OnReply_PlaceComboOrder SerialNo: 4
{
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"header": {
"trdEnv": 0,
"accID": "3637840",
"trdMarket": 2
},
"orderIDEx": "FH1C79E90941477000"
}
}
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PlaceComboOrder(req);
介紹
組合期權/組合策略下單
參數
message C2S
{
required Common.PacketID packetID = 1;
required Trd_Common.TrdHeader header = 2;
repeated Qot_Common.ComboLeg comboLegs = 3;
required double qty = 4;
optional double price = 5;
required int32 orderType = 6;
optional int32 timeInForce = 7;
optional string expireTime = 8;
optional string remark = 9;
}
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- 返回
message S2C
{
required Trd_Common.TrdHeader header = 1;
optional string orderIDEx = 2;
}
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- Example
import mmWebsocket from "moomoo-api";
import { mmCmdID } from "moomoo-api";
import { Common, Qot_Common, Trd_Common } from "moomoo-api/proto";
import beautify from "js-beautify";
function TrdPlaceComboOrder(){
const { RetType, PacketID } = Common
const { TrdEnv, TrdSide, OrderType, SecurityFirm, TrdMarket, TimeInForce } = Trd_Common
const { QotMarket } = Qot_Common
let [addr, port, enable_ssl, key] = ["127.0.0.1", 33333, false, '7522027ccf5a06b1'];
let websocket = new mmWebsocket();
let tradeSerialNo = 0;
websocket.onlogin = async ()=>{
try{
let { errCode, retMsg, retType } = await websocket.UnlockTrade({
c2s: {
unlock: true,
securityFirm: SecurityFirm.SecurityFirm_FutuSecurities,
pwdMD5: "d0970714757783e6cf17b26fb8e2298f", // 設置為自己賬號的交易密碼 MD5
},
});
if(retType == RetType.RetType_Succeed && errCode == 0) { // 解鎖交易成功
let { errCode, retMsg, retType, s2c: { accList } } = await websocket.GetAccList({
c2s: {
userID: 0,
},
});
if(retType == RetType.RetType_Succeed && errCode == 0) { // 獲取賬戶成功
let acc = accList.filter((item)=>{
return item.trdEnv == TrdEnv.TrdEnv_Simulate && item.trdMarketAuthList.some((auth)=>{ return auth == TrdMarket.TrdMarket_US})
})[0]; // 樣例取第一個美國市場模擬環境賬戶
const req = {
c2s: {
packetID:{
connID: websocket.getConnID(),
serialNo: tradeSerialNo++,
},
header: {
trdEnv: acc.trdEnv,
accID: acc.accID,
trdMarket: TrdMarket.TrdMarket_US,
},
comboLegs: [
{
security: {
market: QotMarket.QotMarket_US_Security,
code: "AAPL260529C302500",
},
side: TrdSide.TrdSide_Buy,
qtyRatio: 1,
},
{
security: {
market: QotMarket.QotMarket_US_Security,
code: "AAPL",
},
side: TrdSide.TrdSide_Sell,
qtyRatio: 100,
},
],
qty: 1,
price: 9.9,
orderType: OrderType.OrderType_Normal,
timeInForce: TimeInForce.TimeInForce_DAY,
remark: "combo-demo",
},
};
let { errCode, retMsg, retType, s2c } = await websocket.PlaceComboOrder(req);
console.log("PlaceComboOrder: 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(err){
console.log(err)
}
};
websocket.start(addr, port, enable_ssl, key);
//關閉連接，連接不再使用之後要關閉，否則佔用不必要資源
//同時 OpenD 也限制了最多 128 條連接
//也可以一個頁面或者一個項目維護一條連接，這裏範例請求一次創建一條連接
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // 5 秒後斷開
}
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- Output
PlaceComboOrder: errCode 0, retMsg , retType 0
{
"header": {
"trdEnv": 0,
"accID": "6684972",
"trdMarket": 2
},
"orderIDEx": "FH1C79E90941477000"
}
stop
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介面限制
提示
- combo_leg_list 中各腿標的須屬於同一交易市場，系統將根據第一條腿的市場確定 trd_market。
- 各腿 qty_ratio 與 qty 共同決定每條腿的實際委託數量。