# Real-time Order Book Callback
- Python
- Proto
- C#
- Java
- C++
- JavaScript
on_recv_rsp(self, rsp_pb)
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks. It will call back to this function after receiving the push of real-time disk data. You need to override on_recv_rsp in the derived class.
Parameters
Parameter Type Description rsp_pb Qot_UpdateOrderBook_pb2.Response This parameter does not need to be processed directly in the derived class. Return
Field Type Description ret RET_CODE Interface result. data dict If ret == RET_OK, plate data is returned. str If ret != RET_OK, error description is returned. Order Book format as follows：
Field Type Description code str Stock code. name str Stock name. svr_recv_time_bid str The time when Futu server receives order book of bid from the exchange. Sometimes the time is zero, e.g. server reboot or first push of cached data.svr_recv_time_ask str The time when Futu server receives order book of ask from the exchange. Sometimes the time is zero, e.g. server reboot or first push of cached data.Bid list Each tuple contains the following information：Bid price, bid volume, order qty of bid, order details of bid. Order details of ask- Details: Exchange order ID. Order volume.
- Up to 1000 order details of ask with HK SF market quotes.
Up to 40 order details of ask with LV2 quotes of US Stock, CME, CBOT, NYMEX and COMEX.
Other quote rights does not support access to such details.
Ask list Each tuple contains the following information：Ask price, ask volume, order qty of ask, order details of ask. Order details of ask- Details: Exchange order ID. Order volume.
- Up to 1000 order details of ask with HK SF market quotes.
Up to 40 order details of ask with LV2 quotes of US Stock, CME, CBOT, NYMEX and COMEX.
Other quote rights does not support access to such details.
The format of Bid and Ask fields as follows：
'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's own processing logic
return RET_OK, data
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
handler = OrderBookTest()
quote_ctx.set_handler(handler) # Set real-time swing callback
ret, data = quote_ctx.subscribe(['US.AAPL'], [SubType.ORDER_BOOK]) # Subscribe to the order type, OpenD starts to receive continuous push from the server
if ret == RET_OK:
print(data)
else:
print('error:', data)
time.sleep(15) # Set the script to receive OpenD push duration to 15 seconds
quote_ctx.close() # Close the current link, OpenD will automatically cancel the corresponding type of subscription for the corresponding stock after 1 minute
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- Output
OrderBookTest {'code': 'US.AAPL', 'name': 'Apple', '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
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the Futu server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the Futu server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the Futu server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the Futu server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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Protocol ID
3013
virtual void OnReply_UpdateOrderBook(FTAPI_Conn client, QotUpdateOrderBook.Response rsp);
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the Futu server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the Futu server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the Futu server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the Futu server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class Program: FTSPI_Qot, FTSPI_Conn {
FTAPI_Qot qot = new FTAPI_Qot();
public Program() {
qot.SetClientInfo("csharp", 1); //Set client information
qot.SetConnCallback(this); //Set connection callback
qot.SetQotCallback(this); //Set transaction callback
}
public void Start() {
qot.InitConnect("127.0.0.1", (ushort)11111, false);
}
public void OnInitConnect(FTAPI_Conn client, long errCode, String desc)
{
Console.Write("Qot onInitConnect: ret={0} desc={1} connID={2}\n", errCode, desc, client.GetConnectID());
if (errCode != 0)
return;
QotCommon.Security sec = QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_HK_Security)
.SetCode("00700")
.Build();
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);
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the Futu server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the Futu server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the Futu server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the Futu server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class QotDemo implements FTSPI_Qot, FTSPI_Conn {
FTAPI_Conn_Qot qot = new FTAPI_Conn_Qot();
public QotDemo() {
qot.setClientInfo("javaclient", 1); //Set client information
qot.setConnSpi(this); //Set connection callback
qot.setQotSpi(this); //Set transaction callback
}
public void start() {
qot.initConnect("127.0.0.1", (short)11111, false);
}
@Override
public void onInitConnect(FTAPI_Conn client, long errCode, String desc)
{
System.out.printf("Qot onInitConnect: ret=%b desc=%s connID=%d\n", errCode, desc, client.getConnectID());
if (errCode != 0)
return;
QotCommon.Security sec = QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_HK_Security_VALUE)
.setCode("00700")
.build();
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;
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the Futu server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the Futu server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the Futu server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the Futu server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- 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;
// subscribe first
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;
// print response
// ProtoBufToBodyData and UTF8ToLocal refer to tool.h in Samples
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
protected:
FTAPI_Qot *m_pQotApi;
Futu::u32_t m_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": 603,
"volume": "17900",
"orederCount": 25
},
...
{
"price": 607.5,
"volume": "17100",
"orederCount": 24
}
],
"orderBookBidList": [
{
"price": 602.5,
"volume": "24500",
"orederCount": 16
},
...
{
"price": 598,
"volume": "94600",
"orederCount": 387
}
],
"svrRecvTimeBid": "2021-06-09 15:40:01.825",
"svrRecvTimeBidTimestamp": 1623224401.825,
"svrRecvTimeAsk": "2021-06-09 15:40:01.825",
"svrRecvTimeAskTimestamp": 1623224401.825
}
}
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OnPush(cmd,res)
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the Futu server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the Futu server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the Futu server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the Futu server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- 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) {
const req = {
c2s: {
securityList: [
{
market: QotMarket.QotMarket_HK_Security,
code: "00700",
},
],
subTypeList: [ SubType.SubType_OrderBook ], // Subscribe to the order type
isSubOrUnSub: true,
isRegOrUnRegPush: true,
},
};
websocket.Sub(req) // Subscribe to the order type, OpenD starts to receive continuous push from the server
.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){ // OrderBookTest's own processing logic
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);
// After using the connection, remember to close it to prevent the number of connections from running out
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // Set the script to receive OpenD push duration to 5 seconds
}
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- Output
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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Tips
- This interface provides the function of continuously obtaining pushed data. If you need to obtain real-time data at one time, please refer to the Get Real-time Orderbook API.
- For the difference between get real-time data and real-time data callback, please refer to How to Get Real-time Quotes Through Subscription Interface.
- Real-time order book callback for US stocks, will continuously update data during the current trading session, with no need to set the session parameter.
- Python
- Proto
- C#
- Java
- C++
- JavaScript
on_recv_rsp(self, rsp_pb)
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks. It will call back to this function after receiving the push of real-time disk data. You need to override on_recv_rsp in the derived class.
Parameters
Parameter Type Description rsp_pb Qot_UpdateOrderBook_pb2.Response This parameter does not need to be processed directly in the derived class. Return
Field Type Description ret RET_CODE Interface result. data dict If ret == RET_OK, plate data is returned. str If ret != RET_OK, error description is returned. Order Book format as follows：
Field Type Description code str Stock code. name str Stock name. svr_recv_time_bid str The time when moomoo server receives order book of bid from the exchange. Sometimes the time is zero, e.g. server reboot or first push of cached data.svr_recv_time_ask str The time when moomoo server receives order book of ask from the exchange. Sometimes the time is zero, e.g. server reboot or first push of cached data.Bid list Each tuple contains the following information：Bid price, bid volume, order qty of bid, order details of bid. Order details of ask- Details: Exchange order ID. Order volume.
- Up to 1000 order details of ask with HK SF market quotes.
Up to 40 order details of ask with LV2 quotes of US Stock, CME, CBOT, NYMEX and COMEX.
Other quote rights does not support access to such details.
Ask list Each tuple contains the following information：Ask price, ask volume, order qty of ask, order details of ask. Order details of ask- Details: Exchange order ID. Order volume.
- Up to 1000 order details of ask with HK SF market quotes.
Up to 40 order details of ask with LV2 quotes of US Stock, CME, CBOT, NYMEX and COMEX.
Other quote rights does not support access to such details.
The format of Bid and Ask fields as follows：
'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's own processing logic
return RET_OK, data
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
handler = OrderBookTest()
quote_ctx.set_handler(handler) # Set real-time swing callback
ret, data = quote_ctx.subscribe(['US.AAPL'], [SubType.ORDER_BOOK]) # Subscribe to the order type, OpenD starts to receive continuous push from the server
if ret == RET_OK:
print(data)
else:
print('error:', data)
time.sleep(15) # Set the script to receive OpenD push duration to 15 seconds
quote_ctx.close() # Close the current link, OpenD will automatically cancel the corresponding type of subscription for the corresponding stock after 1 minute
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- Output
OrderBookTest {'code': 'US.AAPL', 'name': 'Apple', '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
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the moomoo server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the moomoo server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the moomoo server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the moomoo server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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Protocol ID
3013
virtual void OnReply_UpdateOrderBook(MMAPI_Conn client, QotUpdateOrderBook.Response rsp);
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the moomoo server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the moomoo server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the moomoo server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the moomoo server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class Program: MMSPI_Qot, MMSPI_Conn {
MMAPI_Qot qot = new MMAPI_Qot();
public Program() {
qot.SetClientInfo("csharp", 1); //Set client information
qot.SetConnCallback(this); //Set connection callback
qot.SetQotCallback(this); //Set transaction callback
}
public void Start() {
qot.InitConnect("127.0.0.1", (ushort)11111, false);
}
public void OnInitConnect(MMAPI_Conn client, long errCode, String desc)
{
Console.Write("Qot onInitConnect: ret={0} desc={1} connID={2}\n", errCode, desc, client.GetConnectID());
if (errCode != 0)
return;
QotCommon.Security sec = QotCommon.Security.CreateBuilder()
.SetMarket((int)QotCommon.QotMarket.QotMarket_HK_Security)
.SetCode("00700")
.Build();
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);
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the moomoo server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the moomoo server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the moomoo server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the moomoo server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- Example
public class QotDemo implements MMSPI_Qot, MMSPI_Conn {
MMAPI_Conn_Qot qot = new MMAPI_Conn_Qot();
public QotDemo() {
qot.setClientInfo("javaclient", 1); //Set client information
qot.setConnSpi(this); //Set connection callback
qot.setQotSpi(this); //Set transaction callback
}
public void start() {
qot.initConnect("127.0.0.1", (short)11111, false);
}
@Override
public void onInitConnect(MMAPI_Conn client, long errCode, String desc)
{
System.out.printf("Qot onInitConnect: ret=%b desc=%s connID=%d\n", errCode, desc, client.getConnectID());
if (errCode != 0)
return;
QotCommon.Security sec = QotCommon.Security.newBuilder()
.setMarket(QotCommon.QotMarket.QotMarket_HK_Security_VALUE)
.setCode("00700")
.build();
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;
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the moomoo server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the moomoo server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the moomoo server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the moomoo server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- 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;
// subscribe first
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;
// print response
// ProtoBufToBodyData and UTF8ToLocal refer to tool.h in Samples
string resp_str;
ProtoBufToBodyData(stRsp, resp_str);
cout << UTF8ToLocal(resp_str) << endl;
}
protected:
MMAPI_Qot *m_pQotApi;
moomoo::u32_t m_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": 603,
"volume": "17900",
"orederCount": 25
},
...
{
"price": 607.5,
"volume": "17100",
"orederCount": 24
}
],
"orderBookBidList": [
{
"price": 602.5,
"volume": "24500",
"orederCount": 16
},
...
{
"price": 598,
"volume": "94600",
"orederCount": 387
}
],
"svrRecvTimeBid": "2021-06-09 15:40:01.825",
"svrRecvTimeBidTimestamp": 1623224401.825,
"svrRecvTimeAsk": "2021-06-09 15:40:01.825",
"svrRecvTimeAskTimestamp": 1623224401.825
}
}
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OnPush(cmd,res)
Description
Real-time quotation callback, asynchronous processing of real-time quotation push of subscribed stocks.
Parameters
message S2C
{
required Qot_Common.Security security = 1; //Stock
optional string name = 8; //Stock name
repeated Qot_Common.OrderBook orderBookAskList = 2; //Ask order list
repeated Qot_Common.OrderBook orderBookBidList = 3; //Bid order list
optional string svrRecvTimeBid = 4; // The time when the moomoo server receives data from the exchange (for bid) The receiving time of part of the data is zero, such as server restart or cached data pushed for the first time. This field only supports Hong Kong stocks for the time being.
optional double svrRecvTimeBidTimestamp = 5; // The timestamp of the data received by the moomoo server from the exchange (for bid)
optional string svrRecvTimeAsk = 6; // The time when the moomoo server received data from the exchange (for ask)
optional double svrRecvTimeAskTimestamp = 7; // The timestamp of the data received by the moomoo server from the exchange (for ask)
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType, returned value
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
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- 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) {
const req = {
c2s: {
securityList: [
{
market: QotMarket.QotMarket_HK_Security,
code: "00700",
},
],
subTypeList: [ SubType.SubType_OrderBook ], // Subscribe to the order type
isSubOrUnSub: true,
isRegOrUnRegPush: true,
},
};
websocket.Sub(req) // Subscribe to the order type, OpenD starts to receive continuous push from the server
.then((res) => { })
.catch((error) => {
if ("retMsg" in error) {
console.log("error:", error.retMsg);
}
});
} else {
console.log("error", msg);
}
};
websocket.onPush = (cmd, res)=>{
if(mmCmdID.QotUpdateOrderBook.cmd == cmd){ // OrderBookTest's own processing logic
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);
// After using the connection, remember to close it to prevent the number of connections from running out
setTimeout(()=>{
websocket.stop();
console.log("stop");
}, 5000); // Set the script to receive OpenD push duration to 5 seconds
}
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- Output
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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Tips
- This interface provides the function of continuously obtaining pushed data. If you need to obtain real-time data at one time, please refer to the Get Real-time Orderbook API.
- For the difference between get real-time data and real-time data callback, please refer to How to Get Real-time Quotes Through Subscription Interface.
- Real-time order book callback for US stocks, will continuously update data during the current trading session, with no need to set the session parameter.