# 获取实时摆盘
- Python
- Proto
- C#
- Java
- C++
- JavaScript
get_order_book(code, num=10)
介绍
获取已订阅股票的实时摆盘，必须要先订阅。
参数
参数 类型 说明 code str 股票代码 name str 股票名称 num int 请求摆盘档数 摆盘档数获取上限请参见 摆盘档数明细
返回
参数 类型 说明 ret RET_CODE 接口调用结果 data dict 当 ret == RET_OK，返回摆盘数据 str 当 ret != RET_OK，返回错误描述 摆盘数据格式如下：
字段 类型 说明 code str 股票代码 name str 股票名称 svr_recv_time_bid str 富途服务器从交易所收到买盘数据的时间 部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据svr_recv_time_ask str 富途服务器从交易所收到卖盘数据的时间 部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据Bid list 每个元祖包含如下信息：委托价格，委托数量，委托订单数，委托订单明细 委托订单明细- 明细内容：交易所订单 ID，单笔委托数量
- 港股 SF 权限下最多支持 1000 笔委托订单明细；
美股, CME, CBOT, NYMEX, COMEX 的 LV2 权限最多支持 40 笔委托订单明细；
其余行情权限不支持获取此类数据
Ask list 每个元祖包含如下信息：委托价格，委托数量，委托订单数，委托订单明细 委托订单明细- 明细内容：交易所订单 ID，单笔委托数量
- 港股 SF 权限下最多支持 1000 笔委托订单明细；
美股, CME, CBOT, NYMEX, COMEX 的 LV2 权限最多支持 40 笔委托订单明细；
其余行情权限不支持获取此类数据
其中，Bid 和 Ask 字段的结构如下：
'Bid': [ (bid_price1, bid_volume1, order_num, {'orderid1': order_volume1, 'orderid2': order_volume2, …… }), (bid_price2, bid_volume2, order_num, {'orderid1': order_volume1, 'orderid2': order_volume2, …… }),…] 'Ask': [ (ask_price1, ask_volume1，order_num, {'orderid1': order_volume1, 'orderid2': order_volume2, …… }), (ask_price2, ask_volume2, order_num, {'orderid1': order_volume1, 'orderid2': order_volume2, …… }),…]
Example
from futu import *
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
ret_sub = quote_ctx.subscribe(['HK.00700'], [SubType.ORDER_BOOK], subscribe_push=False)[0]
# 先订阅买卖摆盘类型。订阅成功后 OpenD 将持续收到服务器的推送，False 代表暂时不需要推送给脚本
if ret_sub == RET_OK: # 订阅成功
ret, data = quote_ctx.get_order_book('HK.00700', num=3) # 获取一次 3 档实时摆盘数据
if ret == RET_OK:
print(data)
else:
print('error:', data)
else:
print('subscription failed')
quote_ctx.close() # 关闭当条连接，OpenD 会在 1 分钟后自动取消相应股票相应类型的订阅
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- Output
{'code': 'HK.00700', 'name': '腾讯控股', 'svr_recv_time_bid': '', 'svr_recv_time_ask': '', 'Bid': [(332.8, 4700, 4, {}), (332.6, 158300, 11, {}), (332.4, 172700, 19, {})], 'Ask': [(333.0, 2393100, 98, {}), (333.2, 90300, 27, {}), (333.4, 107100, 16, {})]}
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# Qot_GetOrderBook.proto
介绍
获取已订阅股票的实时摆盘，必须要先订阅。
参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // 富途服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // 富途服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // 富途服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // 富途服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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协议 ID
3012
uint GetOrderBook(QotGetOrderBook.Request req);
virtual void OnReply_GetOrderBook(FTAPI_Conn client, uint nSerialNo, QotGetOrderBook.Response rsp);
- 介绍
获取已订阅股票的实时摆盘，必须要先订阅。
- 参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // 富途服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // 富途服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // 富途服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // 富途服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class Program : FTSPI_Qot, FTSPI_Conn {
FTAPI_Qot qot = new FTAPI_Qot();
public Program() {
qot.SetClientInfo("csharp", 1); //设置客户端信息
qot.SetConnCallback(this); //设置连接回调
qot.SetQotCallback(this); //设置交易回调
}
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();
QotSub.C2S c2s = QotSub.C2S.CreateBuilder()
.AddSecurityList(sec)
.AddSubTypeList((int)QotCommon.SubType.SubType_OrderBook)
.SetIsSubOrUnSub(true)
.Build();
QotSub.Request req = QotSub.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = qot.Sub(req);
Console.Write("Send QotSub: {0}\n", seqNo);
}
public void OnDisconnect(FTAPI_Conn client, long errCode) {
Console.Write("Qot onDisConnect: {0}\n", errCode);
}
public void OnReply_Sub(FTAPI_Conn client, uint nSerialNo, QotSub.Response rsp) {
Console.Write("Reply: QotSub: {0} {1}\n", nSerialNo, rsp.ToString());
if (rsp.RetType != (int)Common.RetType.RetType_Succeed)
return;
QotCommon.Security sec = QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_HK_Security)
.SetCode("00700")
.Build();
QotGetOrderBook.C2S c2s = QotGetOrderBook.C2S.CreateBuilder()
.SetSecurity(sec)
.SetNum(10)
.Build();
QotGetOrderBook.Request req = QotGetOrderBook.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = qot.GetOrderBook(req);
Console.Write("Send QotGetOrderBook: {0}\n", seqNo);
}
public void OnReply_GetOrderBook(FTAPI_Conn client, uint nSerialNo, QotGetOrderBook.Response rsp)
{
Console.Write("Reply: QotGetOrderBook: {0}\n", nSerialNo);
Console.Write("price: {0}\n", rsp.S2C.OrderBookAskListList[0].Price);
}
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=6825669765086569309
Send QotSub: 3
Reply: QotSub: 3 retType: 0
retMsg: ""
errCode: 0
Send QotGetOrderBook: 4
Reply: QotGetOrderBook: 4
price: 457
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int getOrderBook(QotGetOrderBook.Request req);
void onReply_GetOrderBook(FTAPI_Conn client, int nSerialNo, QotGetOrderBook.Response rsp);
- 介绍
获取已订阅股票的实时摆盘，必须要先订阅。
- 参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // 富途服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // 富途服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // 富途服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // 富途服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class QotDemo implements FTSPI_Qot, FTSPI_Conn {
FTAPI_Conn_Qot qot = new FTAPI_Conn_Qot();
public QotDemo() {
qot.setClientInfo("javaclient", 1); //设置客户端信息
qot.setConnSpi(this); //设置连接回调
qot.setQotSpi(this); //设置交易回调
}
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();
QotSub.C2S c2s = QotSub.C2S.newBuilder()
.addSecurityList(sec)
.addSubTypeList(QotCommon.SubType.SubType_OrderBook_VALUE)
.setIsSubOrUnSub(true)
.build();
QotSub.Request req = QotSub.Request.newBuilder().setC2S(c2s).build();
int seqNo = qot.sub(req);
System.out.printf("Send QotSub: %d\n", seqNo);
}
@Override
public void onDisconnect(FTAPI_Conn client, long errCode) {
System.out.printf("Qot onDisConnect: %d\n", errCode);
}
@Override
public void onReply_Sub(FTAPI_Conn client, int nSerialNo, QotSub.Response rsp) {
System.out.printf("Reply: QotSub: %d %s\n", nSerialNo, rsp.toString());
if (rsp.getRetType() != Common.RetType.RetType_Succeed_VALUE)
return;
QotCommon.Security sec = QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_HK_Security_VALUE)
.setCode("00700")
.build();
QotGetOrderBook.C2S c2s = QotGetOrderBook.C2S.newBuilder()
.setSecurity(sec)
.setNum(10)
.build();
QotGetOrderBook.Request req = QotGetOrderBook.Request.newBuilder().setC2S(c2s).build();
int seqNo = qot.getOrderBook(req);
System.out.printf("Send QotGetOrderBook: %d\n", seqNo);
}
@Override
public void onReply_GetOrderBook(FTAPI_Conn client, int nSerialNo, QotGetOrderBook.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("QotGetOrderBook failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotGetOrderBook: %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 QotGetOrderBook: 3
Receive QotGetOrderBook: {
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [{
"price": 583.5,
"volume": "142300",
"orederCount": 25
}, {
"price": 584.0,
"volume": "56600",
"orederCount": 45
}, ... {
"price": 578.5,
"volume": "61300",
"orederCount": 27
}]
}
}
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Futu::u32_t GetOrderBook(const Qot_GetOrderBook::Request &stReq);
virtual void OnReply_GetOrderBook(Futu::u32_t nSerialNo, const Qot_GetOrderBook::Response &stRsp) = 0;
介绍
获取已订阅股票的实时摆盘，必须要先订阅。
参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // 富途服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // 富途服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // 富途服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // 富途服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- 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;
// 这个接口要先订阅
Qot_Sub::Request req;
Qot_Sub::C2S *c2s = req.mutable_c2s();
auto secList = c2s->mutable_securitylist();
Qot_Common::Security *sec = secList->Add();
sec->set_code("00700");
sec->set_market(Qot_Common::QotMarket::QotMarket_HK_Security);
c2s->add_subtypelist(Qot_Common::SubType::SubType_OrderBook);
c2s->set_isregorunregpush(true);
c2s->set_issuborunsub(true);
m_SubSerialNo = m_pQotApi->Sub(req);
cout << "Request Sub SerialNo: " << m_SubSerialNo << endl;
}
virtual void OnReply_Sub(Futu::u32_t nSerialNo, const Qot_Sub::Response &stRsp)
{
if(nSerialNo == m_SubSerialNo)
{
cout << "OnReply_Sub SerialNo: " << nSerialNo << endl;
if(stRsp.rettype() != Common::RetType::RetType_Succeed)
{
cout << "Sub Failed" << endl;
return;
}
// 组包
Qot_GetOrderBook::Request req;
Qot_GetOrderBook::C2S *c2s = req.mutable_c2s();
Qot_Common::Security *sec = c2s->mutable_security();
sec->set_code("00700");
sec->set_market(Qot_Common::QotMarket::QotMarket_HK_Security);
c2s->set_num(5);
m_GetOrderBookSerialNo = m_pQotApi->GetOrderBook(req);
cout << "Request GetOrderBook SerialNo: " << m_GetOrderBookSerialNo << endl;
}
}
virtual void OnReply_GetOrderBook(Futu::u32_t nSerialNo, const Qot_GetOrderBook::Response &stRsp){
if(nSerialNo == m_GetOrderBookSerialNo)
{
cout << "OnReply_GetOrderBook SerialNo: " << nSerialNo << endl;
// 解析内部结构打印出来
// ProtoBufToBodyData和UTF8ToLocal函数的定义参见Sample中的tool.h文件
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
}
protected:
FTAPI_Qot *m_pQotApi;
Futu::u32_t m_SubSerialNo;
Futu::u32_t m_GetOrderBookSerialNo;
};
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 Sub SerialNo: 3
OnReply_Sub SerialNo: 3
Request GetOrderBook SerialNo: 4
OnReply_GetOrderBook SerialNo: 4
{
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [
{
"price": 604.5,
"volume": "31100",
"orederCount": 27
},
{
"price": 605,
"volume": "47600",
"orederCount": 77
},
{
"price": 605.5,
"volume": "51600",
"orederCount": 36
},
{
"price": 606,
"volume": "49000",
"orederCount": 125
},
{
"price": 606.5,
"volume": "16900",
"orederCount": 33
}
],
"orderBookBidList": [
{
"price": 604,
"volume": "9100",
"orederCount": 12
},
{
"price": 603.5,
"volume": "16400",
"orederCount": 24
},
{
"price": 603,
"volume": "16000",
"orederCount": 11
},
{
"price": 602.5,
"volume": "33900",
"orederCount": 8
},
{
"price": 602,
"volume": "25500",
"orederCount": 15
}
]
}
}
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GetOrderBook(req);
介绍
获取已订阅股票的实时摆盘，必须要先订阅。
参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // 富途服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // 富途服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // 富途服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // 富途服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- 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 QotGetOrderBook(){
const { RetType } = Common
const { SubType, 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) { // 登录成功
websocket.Sub({
c2s: {
securityList: [
{
market: QotMarket.QotMarket_HK_Security,
code: "00700",
},
],
subTypeList: [ SubType.SubType_OrderBook ], // 订阅实时摆盘类型
isSubOrUnSub: true, // 订阅 true, 反订阅 false
isRegOrUnRegPush: true, // 注册推送 true, 反注册推送 false
},
})
.then((res) => {
const req = {
c2s: {
security: {
market: QotMarket.QotMarket_HK_Security,
code: "00700",
},
num: 2,
},
};
websocket.GetOrderBook(req)
.then((res) => {
let { errCode, retMsg, retType,s2c } = res
console.log("OrderBook: 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("getorderbook error:", error);
});
})
.catch((error) => {
if ("retMsg" in error) {
console.log("sub error:", error.retMsg);
}
});
} 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
}
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- Output
OrderBook: errCode 0, retMsg , retType 0
{
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [{
"price": 480.4,
"volume": "700",
"orederCount": 2
}, {
"price": 480.6,
"volume": "385900",
"orederCount": 14
}],
"orderBookBidList": [{
"price": 480,
"volume": "55300",
"orederCount": 39
}, {
"price": 479.8,
"volume": "92400",
"orederCount": 61
}]
}
stop
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接口限制
- 富途服务器从交易所收到数据的时间字段，仅支持港股正股、窝轮、牛熊，且仅开盘时间才有此数据。
- 富途服务器从交易所收到数据的时间字段，部分情况下接收时间可能为零，例如：服务器重启或第一次推送的缓存数据。
提示
- 此接口提供了一次性获取实时数据的功能，如需持续获取推送数据，请参考 实时摆盘回调 接口
- 获取实时数据 和 实时数据回调 的差别，请参考 如何通过订阅接口获取实时行情？
- Python
- Proto
- C#
- Java
- C++
- JavaScript
get_order_book(code, num=10)
介绍
获取已订阅股票的实时摆盘，必须要先订阅。
参数
参数 类型 说明 code str 股票代码 name str 股票名称 num int 请求摆盘档数 摆盘档数获取上限请参见 摆盘档数明细
返回
参数 类型 说明 ret RET_CODE 接口调用结果 data dict 当 ret == RET_OK，返回摆盘数据 str 当 ret != RET_OK，返回错误描述 摆盘数据格式如下：
字段 类型 说明 code str 股票代码 name str 股票名称 svr_recv_time_bid str 富途服务器从交易所收到买盘数据的时间 部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据svr_recv_time_ask str 富途服务器从交易所收到卖盘数据的时间 部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据Bid list 每个元祖包含如下信息：委托价格，委托数量，委托订单数，委托订单明细 委托订单明细- 明细内容：交易所订单 ID，单笔委托数量
- 港股 SF 权限下最多支持 1000 笔委托订单明细；
美股, CME, CBOT, NYMEX, COMEX 的 LV2 权限最多支持 40 笔委托订单明细；
其余行情权限不支持获取此类数据
Ask list 每个元祖包含如下信息：委托价格，委托数量，委托订单数，委托订单明细 委托订单明细- 明细内容：交易所订单 ID，单笔委托数量
- 港股 SF 权限下最多支持 1000 笔委托订单明细；
美股, CME, CBOT, NYMEX, COMEX 的 LV2 权限最多支持 40 笔委托订单明细；
其余行情权限不支持获取此类数据
其中，Bid 和 Ask 字段的结构如下：
'Bid': [ (bid_price1, bid_volume1, order_num, {'orderid1': order_volume1, 'orderid2': order_volume2, …… }), (bid_price2, bid_volume2, order_num, {'orderid1': order_volume1, 'orderid2': order_volume2, …… }),…] 'Ask': [ (ask_price1, ask_volume1，order_num, {'orderid1': order_volume1, 'orderid2': order_volume2, …… }), (ask_price2, ask_volume2, order_num, {'orderid1': order_volume1, 'orderid2': order_volume2, …… }),…]
Example
from moomoo import *
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
ret_sub = quote_ctx.subscribe(['HK.00700'], [SubType.ORDER_BOOK], subscribe_push=False)[0]
# 先订阅买卖摆盘类型。订阅成功后 OpenD 将持续收到服务器的推送，False 代表暂时不需要推送给脚本
if ret_sub == RET_OK: # 订阅成功
ret, data = quote_ctx.get_order_book('HK.00700', num=3) # 获取一次 3 档实时摆盘数据
if ret == RET_OK:
print(data)
else:
print('error:', data)
else:
print('subscription failed')
quote_ctx.close() # 关闭当条连接，OpenD 会在 1 分钟后自动取消相应股票相应类型的订阅
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- Output
{'code': 'HK.00700', 'name': '腾讯控股', 'svr_recv_time_bid': '', 'svr_recv_time_ask': '', 'Bid': [(332.8, 4700, 4, {}), (332.6, 158300, 11, {}), (332.4, 172700, 19, {})], 'Ask': [(333.0, 2393100, 98, {}), (333.2, 90300, 27, {}), (333.4, 107100, 16, {})]}
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# Qot_GetOrderBook.proto
介绍
获取已订阅股票的实时摆盘，必须要先订阅。
参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // moomoo 服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // moomoo 服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // moomoo 服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // moomoo 服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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协议 ID
3012
uint GetOrderBook(QotGetOrderBook.Request req);
virtual void OnReply_GetOrderBook(MMAPI_Conn client, uint nSerialNo, QotGetOrderBook.Response rsp);
- 介绍
获取已订阅股票的实时摆盘，必须要先订阅。
- 参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // moomoo服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // moomoo服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // moomoo服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // moomoo服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class Program : MMSPI_Qot, MMSPI_Conn {
MMAPI_Qot qot = new MMAPI_Qot();
public Program() {
qot.SetClientInfo("csharp", 1); //设置客户端信息
qot.SetConnCallback(this); //设置连接回调
qot.SetQotCallback(this); //设置交易回调
}
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();
QotSub.C2S c2s = QotSub.C2S.CreateBuilder()
.AddSecurityList(sec)
.AddSubTypeList((int)QotCommon.SubType.SubType_OrderBook)
.SetIsSubOrUnSub(true)
.Build();
QotSub.Request req = QotSub.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = qot.Sub(req);
Console.Write("Send QotSub: {0}\n", seqNo);
}
public void OnDisconnect(MMAPI_Conn client, long errCode) {
Console.Write("Qot onDisConnect: {0}\n", errCode);
}
public void OnReply_Sub(MMAPI_Conn client, uint nSerialNo, QotSub.Response rsp) {
Console.Write("Reply: QotSub: {0} {1}\n", nSerialNo, rsp.ToString());
if (rsp.RetType != (int)Common.RetType.RetType_Succeed)
return;
QotCommon.Security sec = QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_HK_Security)
.SetCode("00700")
.Build();
QotGetOrderBook.C2S c2s = QotGetOrderBook.C2S.CreateBuilder()
.SetSecurity(sec)
.SetNum(10)
.Build();
QotGetOrderBook.Request req = QotGetOrderBook.Request.CreateBuilder().SetC2S(c2s).Build();
uint seqNo = qot.GetOrderBook(req);
Console.Write("Send QotGetOrderBook: {0}\n", seqNo);
}
public void OnReply_GetOrderBook(MMAPI_Conn client, uint nSerialNo, QotGetOrderBook.Response rsp)
{
Console.Write("Reply: QotGetOrderBook: {0}\n", nSerialNo);
Console.Write("price: {0}\n", rsp.S2C.OrderBookAskListList[0].Price);
}
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=6825669765086569309
Send QotSub: 3
Reply: QotSub: 3 retType: 0
retMsg: ""
errCode: 0
Send QotGetOrderBook: 4
Reply: QotGetOrderBook: 4
price: 457
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int getOrderBook(QotGetOrderBook.Request req);
void onReply_GetOrderBook(MMAPI_Conn client, int nSerialNo, QotGetOrderBook.Response rsp);
- 介绍
获取已订阅股票的实时摆盘，必须要先订阅。
- 参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // moomoo 服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // moomoo 服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // moomoo 服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // moomoo服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class QotDemo implements MMSPI_Qot, MMSPI_Conn {
MMAPI_Conn_Qot qot = new MMAPI_Conn_Qot();
public QotDemo() {
qot.setClientInfo("javaclient", 1); //设置客户端信息
qot.setConnSpi(this); //设置连接回调
qot.setQotSpi(this); //设置交易回调
}
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();
QotSub.C2S c2s = QotSub.C2S.newBuilder()
.addSecurityList(sec)
.addSubTypeList(QotCommon.SubType.SubType_OrderBook_VALUE)
.setIsSubOrUnSub(true)
.build();
QotSub.Request req = QotSub.Request.newBuilder().setC2S(c2s).build();
int seqNo = qot.sub(req);
System.out.printf("Send QotSub: %d\n", seqNo);
}
@Override
public void onDisconnect(MMAPI_Conn client, long errCode) {
System.out.printf("Qot onDisConnect: %d\n", errCode);
}
@Override
public void onReply_Sub(MMAPI_Conn client, int nSerialNo, QotSub.Response rsp) {
System.out.printf("Reply: QotSub: %d %s\n", nSerialNo, rsp.toString());
if (rsp.getRetType() != Common.RetType.RetType_Succeed_VALUE)
return;
QotCommon.Security sec = QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_HK_Security_VALUE)
.setCode("00700")
.build();
QotGetOrderBook.C2S c2s = QotGetOrderBook.C2S.newBuilder()
.setSecurity(sec)
.setNum(10)
.build();
QotGetOrderBook.Request req = QotGetOrderBook.Request.newBuilder().setC2S(c2s).build();
int seqNo = qot.getOrderBook(req);
System.out.printf("Send QotGetOrderBook: %d\n", seqNo);
}
@Override
public void onReply_GetOrderBook(MMAPI_Conn client, int nSerialNo, QotGetOrderBook.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("QotGetOrderBook failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotGetOrderBook: %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 QotGetOrderBook: 3
Receive QotGetOrderBook: {
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [{
"price": 583.5,
"volume": "142300",
"orederCount": 25
}, {
"price": 584.0,
"volume": "56600",
"orederCount": 45
}, ... {
"price": 578.5,
"volume": "61300",
"orederCount": 27
}]
}
}
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moomoo::u32_t GetOrderBook(const Qot_GetOrderBook::Request &stReq);
virtual void OnReply_GetOrderBook(moomoo::u32_t nSerialNo, const Qot_GetOrderBook::Response &stRsp) = 0;
介绍
获取已订阅股票的实时摆盘，必须要先订阅。
参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // moomoo 服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // moomoo 服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // moomoo 服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // moomoo 服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- 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;
// 这个接口要先订阅
Qot_Sub::Request req;
Qot_Sub::C2S *c2s = req.mutable_c2s();
auto secList = c2s->mutable_securitylist();
Qot_Common::Security *sec = secList->Add();
sec->set_code("00700");
sec->set_market(Qot_Common::QotMarket::QotMarket_HK_Security);
c2s->add_subtypelist(Qot_Common::SubType::SubType_OrderBook);
c2s->set_isregorunregpush(true);
c2s->set_issuborunsub(true);
m_SubSerialNo = m_pQotApi->Sub(req);
cout << "Request Sub SerialNo: " << m_SubSerialNo << endl;
}
virtual void OnReply_Sub(moomoo::u32_t nSerialNo, const Qot_Sub::Response &stRsp)
{
if(nSerialNo == m_SubSerialNo)
{
cout << "OnReply_Sub SerialNo: " << nSerialNo << endl;
if(stRsp.rettype() != Common::RetType::RetType_Succeed)
{
cout << "Sub Failed" << endl;
return;
}
// 组包
Qot_GetOrderBook::Request req;
Qot_GetOrderBook::C2S *c2s = req.mutable_c2s();
Qot_Common::Security *sec = c2s->mutable_security();
sec->set_code("00700");
sec->set_market(Qot_Common::QotMarket::QotMarket_HK_Security);
c2s->set_num(5);
m_GetOrderBookSerialNo = m_pQotApi->GetOrderBook(req);
cout << "Request GetOrderBook SerialNo: " << m_GetOrderBookSerialNo << endl;
}
}
virtual void OnReply_GetOrderBook(moomoo::u32_t nSerialNo, const Qot_GetOrderBook::Response &stRsp){
if(nSerialNo == m_GetOrderBookSerialNo)
{
cout << "OnReply_GetOrderBook SerialNo: " << nSerialNo << endl;
// 解析内部结构打印出来
// ProtoBufToBodyData和UTF8ToLocal函数的定义参见Sample中的tool.h文件
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
}
protected:
MMAPI_Qot *m_pQotApi;
moomoo::u32_t m_SubSerialNo;
moomoo::u32_t m_GetOrderBookSerialNo;
};
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 Sub SerialNo: 3
OnReply_Sub SerialNo: 3
Request GetOrderBook SerialNo: 4
OnReply_GetOrderBook SerialNo: 4
{
"retType": 0,
"retMsg": "",
"errCode": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [
{
"price": 604.5,
"volume": "31100",
"orederCount": 27
},
{
"price": 605,
"volume": "47600",
"orederCount": 77
},
{
"price": 605.5,
"volume": "51600",
"orederCount": 36
},
{
"price": 606,
"volume": "49000",
"orederCount": 125
},
{
"price": 606.5,
"volume": "16900",
"orederCount": 33
}
],
"orderBookBidList": [
{
"price": 604,
"volume": "9100",
"orederCount": 12
},
{
"price": 603.5,
"volume": "16400",
"orederCount": 24
},
{
"price": 603,
"volume": "16000",
"orederCount": 11
},
{
"price": 602.5,
"volume": "33900",
"orederCount": 8
},
{
"price": 602,
"volume": "25500",
"orederCount": 15
}
]
}
}
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GetOrderBook(req);
介绍
获取已订阅股票的实时摆盘，必须要先订阅。
参数
message C2S
{
required Qot_Common.Security security = 1; //股票
required int32 num = 2; //请求的摆盘个数
}
message Request
{
required C2S c2s = 1;
}
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- 股票结构参见 Security
- 返回
message S2C
{
required Qot_Common.Security security = 1; //股票
optional string name = 8; //股票名称
repeated Qot_Common.OrderBook orderBookAskList = 2; //卖盘
repeated Qot_Common.OrderBook orderBookBidList = 3; //买盘
optional string svrRecvTimeBid = 4; // moomoo 服务器从交易所收到数据的时间(for bid)部分数据的接收时间为零，例如服务器重启或第一次推送的缓存数据。该字段暂时只支持港股。
optional double svrRecvTimeBidTimestamp = 5; // moomoo 服务器从交易所收到数据的时间戳(for bid)
optional string svrRecvTimeAsk = 6; // moomoo 服务器从交易所收到数据的时间(for ask)
optional double svrRecvTimeAskTimestamp = 7; // moomoo 服务器从交易所收到数据的时间戳(for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType，返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- 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 QotGetOrderBook(){
const { RetType } = Common
const { SubType, 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) { // 登录成功
websocket.Sub({
c2s: {
securityList: [
{
market: QotMarket.QotMarket_HK_Security,
code: "00700",
},
],
subTypeList: [ SubType.SubType_OrderBook ], // 订阅实时摆盘类型
isSubOrUnSub: true, // 订阅 true, 反订阅 false
isRegOrUnRegPush: true, // 注册推送 true, 反注册推送 false
},
})
.then((res) => {
const req = {
c2s: {
security: {
market: QotMarket.QotMarket_HK_Security,
code: "00700",
},
num: 2,
},
};
websocket.GetOrderBook(req)
.then((res) => {
let { errCode, retMsg, retType,s2c } = res
console.log("OrderBook: 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("getorderbook error:", error);
});
})
.catch((error) => {
if ("retMsg" in error) {
console.log("sub error:", error.retMsg);
}
});
} 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
}
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- Output
OrderBook: errCode 0, retMsg , retType 0
{
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [{
"price": 480.4,
"volume": "700",
"orederCount": 2
}, {
"price": 480.6,
"volume": "385900",
"orederCount": 14
}],
"orderBookBidList": [{
"price": 480,
"volume": "55300",
"orederCount": 39
}, {
"price": 479.8,
"volume": "92400",
"orederCount": 61
}]
}
stop
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接口限制
- moomoo 服务器从交易所收到数据的时间字段，仅支持港股正股、窝轮、牛熊，且仅开盘时间才有此数据。
- moomoo 服务器从交易所收到数据的时间字段，部分情况下接收时间可能为零，例如：服务器重启或第一次推送的缓存数据。
提示
- 此接口提供了一次性获取实时数据的功能，如需持续获取推送数据，请参考 实时摆盘回调 接口
- 获取实时数据 和 实时数据回调 的差别，请参考 如何通过订阅接口获取实时行情？