# 实时摆盘回调
- Python
- Proto
- C#
- Java
- C++
- JavaScript
on_recv_rsp(self, rsp_pb)
介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。 在收到实时摆盘数据推送后会回调到该函数，您需要在派生类中覆盖 on_recv_rsp。
参数
参数 类型 说明 rsp_pb Qot_UpdateOrderBook_pb2.Response 派生类中不需要直接处理该参数 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
import time
from futu import *
class OrderBookTest(OrderBookHandlerBase):
def on_recv_rsp(self, rsp_pb):
ret_code, data = super(OrderBookTest,self).on_recv_rsp(rsp_pb)
if ret_code != RET_OK:
print("OrderBookTest: error, msg: %s" % data)
return RET_ERROR, data
print("OrderBookTest ", data) # OrderBookTest 自己的处理逻辑
return RET_OK, data
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
handler = OrderBookTest()
quote_ctx.set_handler(handler) # 设置实时摆盘回调
ret, data = quote_ctx.subscribe(['US.AAPL'], [SubType.ORDER_BOOK]) # 订阅买卖摆盘类型，OpenD 开始持续收到服务器的推送
if ret == RET_OK:
print(data)
else:
print('error:', data)
time.sleep(15) # 设置脚本接收 OpenD 的推送持续时间为15秒
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
OrderBookTest {'code': 'US.AAPL', 'name': '苹果', 'svr_recv_time_bid': '', 'svr_recv_time_ask': '', 'Bid': [(179.77, 100, 1, {}), (179.68, 200, 1, {}), (179.65, 2, 2, {}), (179.64, 27, 1, {}), (179.6, 9, 2, {}), (179.58, 39, 2, {}), (179.5, 13, 4, {}), (179.48, 331, 2, {}), (179.4, 1002, 2, {}), (179.38, 330, 1, {}), (179.37, 2, 1, {}), (179.3, 47, 1, {}), (179.28, 330, 1, {}), (179.21, 2, 1, {}), (179.2, 1000, 1, {}), (179.18, 330, 1, {}), (179.17, 100, 1, {}), (179.16, 1, 1, {}), (179.13, 400, 1, {}), (179.1, 3000, 1, {}), (179.08, 330, 1, {}), (179.05, 125, 2, {}), (179.01, 17, 2, {}), (179.0, 81, 7, {})], 'Ask': [(179.95, 400, 2, {}), (180.0, 360, 2, {}), (180.05, 20, 1, {}), (180.1, 246, 4, {}), (180.18, 20, 1, {}), (180.2, 2030, 3, {}), (180.23, 20, 1, {}), (180.3, 23, 1, {}), (180.33, 15, 1, {}), (180.4, 2000, 2, {}), (180.49, 5, 1, {}), (180.59, 253, 1, {}), (180.6, 2000, 2, {}), (180.8, 2010, 3, {}), (181.0, 2018, 4, {}), (181.08, 1, 1, {}), (181.2, 1009, 2, {}), (181.3, 17, 3, {}), (181.4, 1, 1, {}), (181.5, 50, 1, {}), (181.79, 9, 1, {}), (181.9, 66, 2, {})]}
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# Qot_UpdateOrderBook.proto
介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
参数
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
3013
virtual void OnReply_UpdateOrderBook(FTAPI_Conn client, QotUpdateOrderBook.Response rsp);
- 介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
- 参数
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)
.SetIsRegOrUnRegPush(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());
}
public void OnReply_UpdateOrderBook(FTAPI_Conn client, uint nSerialNo, QotUpdateOrderBook.Response rsp) {
Console.Write("Push: UpdateOrderBook: {0}\n", nSerialNo);
Console.Write("price : {0}\n", rsp.S2C.OrderBookAskListList[0].Price);
Console.Write("volume : {0}\n", rsp.S2C.OrderBookAskListList[0].Volume);
}
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=6825335709542277011
Send QotSub: 3
Reply: QotSub: 3 retType: 0
retMsg: ""
errCode: 0
Push: UpdateOrderBook: 1
price : 490
volume : 3228700
...
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void onPush_UpdateOrderBook(FTAPI_Conn client, QotUpdateOrderBook.Response rsp);
- 介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
- 参数
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)
.setIsRegOrUnRegPush(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) {
if (rsp.getRetType() != 0) {
System.out.printf("QotSub failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotSub: %s\n", json);
} catch (InvalidProtocolBufferException e) {
e.printStackTrace();
}
}
}
@Override
public void onPush_UpdateOrderBook(FTAPI_Conn client, QotUpdateOrderBook.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("QotUpdateOrderBook failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotUpdateOrderBook: %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
Receive QotUpdateOrderBook: {
"retType": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [{
"price": 587.5,
"volume": "200",
"orederCount": 2
}, ... {
"price": 582.5,
"volume": "2600",
"orederCount": 13
}],
"svrRecvTimeBid": "2021-06-25 10:07:32.841",
"svrRecvTimeBidTimestamp": 1.624586852841E9,
"svrRecvTimeAsk": "2021-06-25 10:07:32.841",
"svrRecvTimeAskTimestamp": 1.624586852841E9
}
}
Receive QotUpdateOrderBook: {
"retType": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [{
"price": 587.5,
"volume": "200",
"orederCount": 2
}, ... {
"price": 582.5,
"volume": "2600",
"orederCount": 13
}],
"svrRecvTimeBid": "2021-06-25 10:07:32.941",
"svrRecvTimeBidTimestamp": 1.624586852941E9,
"svrRecvTimeAsk": "2021-06-25 10:07:32.941",
"svrRecvTimeAskTimestamp": 1.624586852941E9
}
}
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virtual void OnPush_UpdateOrderBook(const Qot_UpdateOrderBook::Response &stRsp) = 0;
介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
参数
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;
}
}
}
virtual void OnPush_UpdateOrderBook(const Qot_UpdateOrderBook::Response &stRsp) {
cout << "OnPush_UpdateOrderBook: " << 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;
};
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
OnPush_UpdateOrderBook:
{
"retType": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [
{
"price": 605.5,
"volume": "51000",
"orederCount": 54
},
...
{
"price": 610,
"volume": "70900",
"orederCount": 147
}
],
"orderBookBidList": [
{
"price": 605,
"volume": "14600",
"orederCount": 23
},
...
{
"price": 600.5,
"volume": "19100",
"orederCount": 32
}
],
"svrRecvTimeBid": "2021-06-09 11:09:51.493",
"svrRecvTimeBidTimestamp": 1623208191.493,
"svrRecvTimeAsk": "2021-06-09 11:09:51.493",
"svrRecvTimeAskTimestamp": 1623208191.493
}
}
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OnPush(cmd,res)
介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
参数
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";
function UpdateOrderBook(){
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
const req = {
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
},
}; // 订阅参数
websocket.Sub(req) //# 订阅, OpenD 开始持续收到服务器的推送
.then((res) => { })
.catch((error) => {
if ("retMsg" in error) {
console.log("error:", error.retMsg);
}
});
} else {
console.log("error", msg);
}
};
websocket.onPush = (cmd, res)=>{
if(ftCmdID.QotUpdateOrderBook.cmd == cmd){ // 实时摆盘推送的处理逻辑
let { retType, s2c } = res
if(retType == RetType.RetType_Succeed){
console.log("OrderBookTest", JSON.stringify(s2c));
} else {
console.log("OrderBookTest: error")
}
}
};
websocket.start(addr, port, enable_ssl, key);
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // 接收 OpenD 的推送持续时间为5秒,5秒后断开
}
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- Output
OrderBookTest {"security":{"market":1,"code":"00700"},"orderBookAskList":[{"price":480.4,"volume":"700","orederCount":2},{"price":480.6,"volume":"385900","orederCount":14},{"price":480.8,"volume":"4200","orederCount":3},{"price":481,"volume":"15000","orederCount":14},{"price":481.2,"volume":"4600","orederCount":5},{"price":481.4,"volume":"13400","orederCount":4},{"price":481.6,"volume":"1800","orederCount":6},{"price":481.8,"volume":"3000","orederCount":8},{"price":482,"volume":"23700","orederCount":25},{"price":482.2,"volume":"1200","orederCount":3}],"orderBookBidList":[{"price":480,"volume":"55300","orederCount":39},{"price":479.8,"volume":"92400","orederCount":61},{"price":479.6,"volume":"106100","orederCount":41},{"price":479.4,"volume":"85900","orederCount":48},{"price":479.2,"volume":"78100","orederCount":34},{"price":479,"volume":"50200","orederCount":150},{"price":478.8,"volume":"51300","orederCount":44},{"price":478.6,"volume":"92700","orederCount":33},{"price":478.4,"volume":"5400","orederCount":16},{"price":478.2,"volume":"102500","orederCount":66}]}
OrderBookTest { ... }
...
...
stop
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提示
- 此接口提供了持续获取推送数据的功能，如需一次性获取实时数据，请参考 获取实时摆盘 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？
- 美股市场实时摆盘回调，会持续推送当前交易时段的实时摆盘，无需设置时段。
- Python
- Proto
- C#
- Java
- C++
- JavaScript
on_recv_rsp(self, rsp_pb)
介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。 在收到实时摆盘数据推送后会回调到该函数，您需要在派生类中覆盖 on_recv_rsp。
参数
参数 类型 说明 rsp_pb Qot_UpdateOrderBook_pb2.Response 派生类中不需要直接处理该参数 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 moomoo 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 moomoo 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
import time
from moomoo import *
class OrderBookTest(OrderBookHandlerBase):
def on_recv_rsp(self, rsp_pb):
ret_code, data = super(OrderBookTest,self).on_recv_rsp(rsp_pb)
if ret_code != RET_OK:
print("OrderBookTest: error, msg: %s" % data)
return RET_ERROR, data
print("OrderBookTest ", data) # OrderBookTest 自己的处理逻辑
return RET_OK, data
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
handler = OrderBookTest()
quote_ctx.set_handler(handler) # 设置实时摆盘回调
ret, data = quote_ctx.subscribe(['US.AAPL'], [SubType.ORDER_BOOK]) # 订阅买卖摆盘类型，OpenD 开始持续收到服务器的推送
if ret == RET_OK:
print(data)
else:
print('error:', data)
time.sleep(15) # 设置脚本接收 OpenD 的推送持续时间为15秒
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
OrderBookTest {'code': 'US.AAPL', 'name': '苹果', 'svr_recv_time_bid': '', 'svr_recv_time_ask': '', 'Bid': [(179.77, 100, 1, {}), (179.68, 200, 1, {}), (179.65, 2, 2, {}), (179.64, 27, 1, {}), (179.6, 9, 2, {}), (179.58, 39, 2, {}), (179.5, 13, 4, {}), (179.48, 331, 2, {}), (179.4, 1002, 2, {}), (179.38, 330, 1, {}), (179.37, 2, 1, {}), (179.3, 47, 1, {}), (179.28, 330, 1, {}), (179.21, 2, 1, {}), (179.2, 1000, 1, {}), (179.18, 330, 1, {}), (179.17, 100, 1, {}), (179.16, 1, 1, {}), (179.13, 400, 1, {}), (179.1, 3000, 1, {}), (179.08, 330, 1, {}), (179.05, 125, 2, {}), (179.01, 17, 2, {}), (179.0, 81, 7, {})], 'Ask': [(179.95, 400, 2, {}), (180.0, 360, 2, {}), (180.05, 20, 1, {}), (180.1, 246, 4, {}), (180.18, 20, 1, {}), (180.2, 2030, 3, {}), (180.23, 20, 1, {}), (180.3, 23, 1, {}), (180.33, 15, 1, {}), (180.4, 2000, 2, {}), (180.49, 5, 1, {}), (180.59, 253, 1, {}), (180.6, 2000, 2, {}), (180.8, 2010, 3, {}), (181.0, 2018, 4, {}), (181.08, 1, 1, {}), (181.2, 1009, 2, {}), (181.3, 17, 3, {}), (181.4, 1, 1, {}), (181.5, 50, 1, {}), (181.79, 9, 1, {}), (181.9, 66, 2, {})]}
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# Qot_UpdateOrderBook.proto
介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
参数
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
3013
virtual void OnReply_UpdateOrderBook(MMAPI_Conn client, QotUpdateOrderBook.Response rsp);
- 介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
- 参数
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)
.SetIsRegOrUnRegPush(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());
}
public void OnReply_UpdateOrderBook(MMAPI_Conn client, uint nSerialNo, QotUpdateOrderBook.Response rsp) {
Console.Write("Push: UpdateOrderBook: {0}\n", nSerialNo);
Console.Write("price : {0}\n", rsp.S2C.OrderBookAskListList[0].Price);
Console.Write("volume : {0}\n", rsp.S2C.OrderBookAskListList[0].Volume);
}
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=6825335709542277011
Send QotSub: 3
Reply: QotSub: 3 retType: 0
retMsg: ""
errCode: 0
Push: UpdateOrderBook: 1
price : 490
volume : 3228700
...
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void onPush_UpdateOrderBook(MMAPI_Conn client, QotUpdateOrderBook.Response rsp);
- 介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
- 参数
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)
.setIsRegOrUnRegPush(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) {
if (rsp.getRetType() != 0) {
System.out.printf("QotSub failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotSub: %s\n", json);
} catch (InvalidProtocolBufferException e) {
e.printStackTrace();
}
}
}
@Override
public void onPush_UpdateOrderBook(MMAPI_Conn client, QotUpdateOrderBook.Response rsp) {
if (rsp.getRetType() != 0) {
System.out.printf("QotUpdateOrderBook failed: %s\n", rsp.getRetMsg());
}
else {
try {
String json = JsonFormat.printer().print(rsp);
System.out.printf("Receive QotUpdateOrderBook: %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
Receive QotUpdateOrderBook: {
"retType": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [{
"price": 587.5,
"volume": "200",
"orederCount": 2
}, ... {
"price": 582.5,
"volume": "2600",
"orederCount": 13
}],
"svrRecvTimeBid": "2021-06-25 10:07:32.841",
"svrRecvTimeBidTimestamp": 1.624586852841E9,
"svrRecvTimeAsk": "2021-06-25 10:07:32.841",
"svrRecvTimeAskTimestamp": 1.624586852841E9
}
}
Receive QotUpdateOrderBook: {
"retType": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [{
"price": 587.5,
"volume": "200",
"orederCount": 2
}, ... {
"price": 582.5,
"volume": "2600",
"orederCount": 13
}],
"svrRecvTimeBid": "2021-06-25 10:07:32.941",
"svrRecvTimeBidTimestamp": 1.624586852941E9,
"svrRecvTimeAsk": "2021-06-25 10:07:32.941",
"svrRecvTimeAskTimestamp": 1.624586852941E9
}
}
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virtual void OnPush_UpdateOrderBook(const Qot_UpdateOrderBook::Response &stRsp) = 0;
介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
参数
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, 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(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;
}
}
}
virtual void OnPush_UpdateOrderBook(const Qot_UpdateOrderBook::Response &stRsp) {
cout << "OnPush_UpdateOrderBook: " << 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;
};
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
OnPush_UpdateOrderBook:
{
"retType": 0,
"s2c": {
"security": {
"market": 1,
"code": "00700"
},
"orderBookAskList": [
{
"price": 605.5,
"volume": "51000",
"orederCount": 54
},
...
{
"price": 610,
"volume": "70900",
"orederCount": 147
}
],
"orderBookBidList": [
{
"price": 605,
"volume": "14600",
"orederCount": 23
},
...
{
"price": 600.5,
"volume": "19100",
"orederCount": 32
}
],
"svrRecvTimeBid": "2021-06-09 11:09:51.493",
"svrRecvTimeBidTimestamp": 1623208191.493,
"svrRecvTimeAsk": "2021-06-09 11:09:51.493",
"svrRecvTimeAskTimestamp": 1623208191.493
}
}
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OnPush(cmd,res)
介绍
实时摆盘回调，异步处理已订阅股票的实时摆盘推送。
参数
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";
function UpdateOrderBook(){
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
const req = {
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
},
}; // 订阅参数
websocket.Sub(req) //# 订阅, OpenD 开始持续收到服务器的推送
.then((res) => { })
.catch((error) => {
if ("retMsg" in error) {
console.log("error:", error.retMsg);
}
});
} else {
console.log("error", msg);
}
};
websocket.onPush = (cmd, res)=>{
if(ftCmdID.QotUpdateOrderBook.cmd == cmd){ // 实时摆盘推送的处理逻辑
let { retType, s2c } = res
if(retType == RetType.RetType_Succeed){
console.log("OrderBookTest", JSON.stringify(s2c));
} else {
console.log("OrderBookTest: error")
}
}
};
websocket.start(addr, port, enable_ssl, key);
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // 接收 OpenD 的推送持续时间为5秒,5秒后断开
}
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- Output
OrderBookTest {"security":{"market":1,"code":"00700"},"orderBookAskList":[{"price":480.4,"volume":"700","orederCount":2},{"price":480.6,"volume":"385900","orederCount":14},{"price":480.8,"volume":"4200","orederCount":3},{"price":481,"volume":"15000","orederCount":14},{"price":481.2,"volume":"4600","orederCount":5},{"price":481.4,"volume":"13400","orederCount":4},{"price":481.6,"volume":"1800","orederCount":6},{"price":481.8,"volume":"3000","orederCount":8},{"price":482,"volume":"23700","orederCount":25},{"price":482.2,"volume":"1200","orederCount":3}],"orderBookBidList":[{"price":480,"volume":"55300","orederCount":39},{"price":479.8,"volume":"92400","orederCount":61},{"price":479.6,"volume":"106100","orederCount":41},{"price":479.4,"volume":"85900","orederCount":48},{"price":479.2,"volume":"78100","orederCount":34},{"price":479,"volume":"50200","orederCount":150},{"price":478.8,"volume":"51300","orederCount":44},{"price":478.6,"volume":"92700","orederCount":33},{"price":478.4,"volume":"5400","orederCount":16},{"price":478.2,"volume":"102500","orederCount":66}]}
OrderBookTest { ... }
...
...
stop
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提示
- 此接口提供了持续获取推送数据的功能，如需一次性获取实时数据，请参考 获取实时摆盘 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？
- 美股市场实时摆盘回调，会持续推送当前交易时段的实时摆盘，无需设置时段。