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Futures

Order Event

Order event occurs when you place order, cancel order and update order. It will return an Order State base on your action. Let's take a look at order event.

Place Order

In

contract = api.Contracts.Futures.TXF['TXF202107']
order = api.Order(
    action='Sell',
    price=17760,
    quantity=1,
    price_type='LMT',
    order_type='ROD', 
    octype=sj.constant.FuturesOCType.Auto,
    account=api.futopt_account
)
trade = api.place_order(contract, order)

Out

OrderState.FOrder {
    'operation': {
        'op_type': 'New', 
        'op_code': '00', 
        'op_msg': ''
    }, 
    'order': {
        'id': '02c347f7', 
        'seqno': '956201', 
        'ordno': 'kY00H', 
        'action': 'Sell', 
        'price': 17760.0, 
        'quantity': 1, 
        'order_cond': None, 
        'order_type': 'ROD', 
        'price_type': 'LMT', 
        'market_type': 'Night', 
        'oc_type': 'New', 
        'subaccount': ''
    }, 
    'status': {
        'id': '02c347f7', 
        'exchange_ts': 1625729890, 
        'modified_price': 0.0, 
        'cancel_quantity': 0
    }, 
    'contract': {
        'security_type': 'FUT', 
        'code': 'TXF', 
        'exchange': 'TIM', 
        'delivery_month': '202107', 
        'strike_price': 0.0, 
        'option_right': 'Future'
    }
}
  • op_type: operation type
  • op_code: "00": success, others: fail
  • op_msg: "" if succsess else it will show error message

Set order callback

In: set order callback

def place_cb(stat, msg):
    print('__my_place_callback__')
    print(stat, msg)

api.set_order_callback(place_cb)

In: place order

contract = api.Contracts.Futures.TXF['TXF202107']
order = api.Order(
    action='Sell',
    price=17760,
    quantity=1,
    price_type='LMT',
    order_type='ROD', 
    octype=sj.constant.FuturesOCType.Auto,
    account=api.futopt_account
)
trade = api.place_order(contract, order)

Out

__my_place_callback__
OrderState.FOrder {
    'operation': {
        'op_type': 'New', 
        'op_code': '00', 
        'op_msg': ''
    }, 
    'order': {
        'id': '02c347f7', 
        'seqno': '956201', 
        'ordno': 'kY00H', 
        'action': 'Sell', 
        'price': 17760.0, 
        'quantity': 1, 
        'order_cond': None, 
        'order_type': 'ROD', 
        'price_type': 'LMT', 
        'market_type': 'Night', 
        'oc_type': 'New', 
        'subaccount': ''
    }, 
    'status': {
        'id': '02c347f7', 
        'exchange_ts': 1625729890, 
        'modified_price': 0.0, 
        'cancel_quantity': 0
    }, 
    'contract': {
        'security_type': 'FUT', 
        'code': 'TXF', 
        'exchange': 'TIM', 
        'delivery_month': '202107', 
        'strike_price': 0.0, 
        'option_right': 'Future'
    }
}


Cancel Order

In

api.update_status(api.futopt_account)
api.cancel_order(trade)

Out

OrderState.FOrder {
    "operation":{
        "op_type":"Cancel",
        "op_code":"00",
        "op_msg":""
    },
    "order":{
        "id":"02c347f7",
        "seqno":"956201",
        "ordno":"kY00H",
        "action":"Sell",
        "price":17760.0,
        "quantity":1,
        "order_cond":None,
        "order_type":"ROD",
        "price_type":"CXL",
        "market_type":"Night",
        "oc_type":"New",
        "subaccount":""
    },
    "status":{
        "id":"02c347f7",
        "exchange_ts":1625730789,
        "modified_price":0.0,
        "cancel_quantity":1
    },
    "contract":{
        "security_type":"FUT",
        "code":"TXF",
        "exchange":"TIM",
        "delivery_month":"202107",
        "strike_price":0.0,
        "option_right":"Future"
    }
}


Update Price

In: place order

contract = api.Contracts.Futures.TXF['TXF202107']
order = api.Order(
    action='Sell',
    price=17860,
    quantity=4,
    price_type='LMT',
    order_type='ROD', 
    octype=sj.constant.FuturesOCType.Auto,
    account=api.futopt_account
)
trade = api.place_order(contract, order)

Out: place order

OrderState.FOrder {
    "operation":{
        "op_type":"New",
        "op_code":"00",
        "op_msg":""
    },
    "order":{
        "id":"e031f0d4",
        "seqno":"956295",
        "ordno":"ky00K",
        "action":"Sell",
        "price":17860.0,
        "quantity":4,
        "order_cond":None,
        "order_type":"ROD",
        "price_type":"LMT",
        "market_type":"Day",
        "oc_type":"New",
        "subaccount":""
    },
    "status":{
        "id":"e031f0d4",
        "exchange_ts":1625798848,
        "modified_price":0.0,
        "cancel_quantity":0
    },
    "contract":{
        "security_type":"FUT",
        "code":"TXF",
        "exchange":"TIM",
        "delivery_month":"202107",
        "strike_price":0.0,
        "option_right":"Future"
    }
}

In: update price

api.update_status(api.futopt_account)
api.update_order(trade=trade, price=18990)

Out: update price

OrderState.FOrder {
    "operation":{
        "op_type":"UpdatePrice",
        "op_code":"00",
        "op_msg":""
    },
    "order":{
        "id":"e031f0d4",
        "seqno":"956295",
        "ordno":"ky00K",
        "action":"Sell",
        "price":18990.0,
        "quantity":4,
        "order_cond":None,
        "order_type":"ROD",
        "price_type":"UPL",
        "market_type":"Day",
        "oc_type":"New",
        "subaccount":""
    },
    "status":{
        "id":"e031f0d4",
        "exchange_ts":1625798970,
        "modified_price":18990.0,
        "cancel_quantity":0
    },
    "contract":{
        "security_type":"FUT",
        "code":"TXF",
        "exchange":"TIM",
        "delivery_month":"202107",
        "strike_price":0.0,
        "option_right":"Future"
    }
}


Update Quantity

In: place order

contract = api.Contracts.Futures.TXF['TXF202107']
order = api.Order(
    action='Sell',
    price=17860,
    quantity=4,
    price_type='LMT',
    order_type='ROD', 
    octype=sj.constant.FuturesOCType.Auto,
    account=api.futopt_account
)
trade = api.place_order(contract, order)

Out: place order

OrderState.FOrder {
    "operation":{
        "op_type":"New",
        "op_code":"00",
        "op_msg":""
    },
    "order":{
        "id":"3960ad5d",
        "seqno":"956297",
        "ordno":"ky00L",
        "action":"Sell",
        "price":17860.0,
        "quantity":4,
        "order_cond":None,
        "order_type":"ROD",
        "price_type":"LMT",
        "market_type":"Day",
        "oc_type":"New",
        "subaccount":""
    },
    "status":{
        "id":"3960ad5d",
        "exchange_ts":1625799066,
        "modified_price":0.0,
        "cancel_quantity":0
    },
    "contract":{
        "security_type":"FUT",
        "code":"TXF",
        "exchange":"TIM",
        "delivery_month":"202107",
        "strike_price":0.0,
        "option_right":"Future"
    }
}

In: update quantity

api.update_status(api.futopt_account)
api.update_order(trade=trade, qty=3)

Out: update quantity

OrderState.FOrder {
    "operation":{
        "op_type":"UpdateQty",
        "op_code":"00",
        "op_msg":""
    },
    "order":{
        "id":"3960ad5d",
        "seqno":"956297",
        "ordno":"ky00L",
        "action":"Sell",
        "price":17860.0,
        "quantity":3,
        "order_cond":None,
        "order_type":"ROD",
        "price_type":"UPD",
        "market_type":"Day",
        "oc_type":"New",
        "subaccount":""
    },
    "status":{
        "id":"3960ad5d",
        "exchange_ts":1625799182,
        "modified_price":0.0,
        "cancel_quantity":3
    },
    "contract":{
        "security_type":"FUT",
        "code":"TXF",
        "exchange":"TIM",
        "delivery_month":"202107",
        "strike_price":0.0,
        "option_right":"Future"
    }
}


Deal Event

Deal event occurs when the order is full/partially filled. Note that you "may" recieve the deal event sooner than the order event due to message priority in exchange.

Filled

In: place order

contract = api.Contracts.Futures.TXF['TXF202107']
order = api.Order(
    action='Sell',
    price=17650,
    quantity=4,
    price_type='LMT',
    order_type='ROD', 
    octype=sj.constant.FuturesOCType.Auto,
    account=api.futopt_account
)
trade = api.place_order(contract, order)

Out: place order

OrderState.FOrder {
    "operation":{
        "op_type":"New",
        "op_code":"00",
        "op_msg":""
    },
    "order":{
        "id":"aa78ef1f",
        "seqno":"956344",
        "ordno":"ky00N",
        "action":"Sell",
        "price":17650.0,
        "quantity":4,
        "order_cond":None,
        "order_type":"ROD",
        "price_type":"LMT",
        "market_type":"Day",
        "oc_type":"New",
        "subaccount":""
    },
    "status":{
        "id":"aa78ef1f",
        "exchange_ts":1625800170,
        "modified_price":0.0,
        "cancel_quantity":0
    },
    "contract":{
        "security_type":"FUT",
        "code":"TXF",
        "exchange":"TIM",
        "delivery_month":"202107",
        "strike_price":0.0,
        "option_right":"Future"
    }
}

Out: Deal

OrderState.FDeal {
    "trade_id":"aa78ef1f",
    "seqno":"956344",
    "ordno":"ky00N11O",
    "exchange_seq":"a0000060",
    "broker_id":"F002000",
    "account_id":"9104000",
    "action":"Sell",
    "code":"TXF",
    "price":17650.0,
    "quantity":4,
    "subaccount":"",
    "security_type":"FUT",
    "delivery_month":"202107",
    "strike_price":0.0,
    "option_right":"Future",
    "market_type":"Day",
    "ts":1625800369
}
  1. id in FOrder is the same as trade_id in FDeal.
  2. seqno in FOrder is the same as seqno in FDeal.
  3. The first 5 characters of ordno in FDeal is the same as ordno in FOrder. The last 3 characters of ordno in FDeal represent the deal sequence number.

Filling

In: place order

contract = api.Contracts.Futures.TXF['TXF202107']
order = api.Order(
    action='Sell',
    price=17650,
    quantity=4,
    price_type='LMT',
    order_type='ROD', 
    octype=sj.constant.FuturesOCType.Auto,
    account=api.futopt_account
)
trade = api.place_order(contract, order)

Out: place order

OrderState.FOrder {
    "operation":{
        "op_type":"New",
        "op_code":"00",
        "op_msg":""
    },
    "order":{
        "id":"f2924e46",
        "seqno":"956357",
        "ordno":"ky00b",
        "action":"Sell",
        "price":17650.0,
        "quantity":4,
        "order_cond":None,
        "order_type":"ROD",
        "price_type":"LMT",
        "market_type":"Day",
        "oc_type":"New",
        "subaccount":""
    },
    "status":{
        "id":"f2924e46",
        "exchange_ts":1625800900,
        "modified_price":0.0,
        "cancel_quantity":0
    },
    "contract":{
        "security_type":"FUT",
        "code":"TXF",
        "exchange":"TIM",
        "delivery_month":"202107",
        "strike_price":0.0,
        "option_right":"Future"
    }
}

Out: Deal: partially filled: 1

OrderState.FDeal {
    "trade_id":"f2924e46",
    "seqno":"956357",
    "ordno":"ky00b219",
    "exchange_seq":"a0000081",
    "broker_id":"F002000",
    "account_id":"9104000",
    "action":"Sell",
    "code":"TXF",
    "price":17650.0,
    "quantity":2,
    "subaccount":"",
    "security_type":"FUT",
    "delivery_month":"202107",
    "strike_price":0.0,
    "option_right":"Future",
    "market_type":"Day",
    "ts":1625800944
}

Out: Deal: partially filled: 2

OrderState.FDeal {
    "trade_id":"f2924e46",
    "seqno":"956357",
    "ordno":"ky00b21A",
    "exchange_seq":"a0000082",
    "broker_id":"F002000",
    "account_id":"9104000",
    "action":"Sell",
    "code":"TXF",
    "price":17650.0,
    "quantity":2,
    "subaccount":"",
    "security_type":"FUT",
    "delivery_month":"202107",
    "strike_price":0.0,
    "option_right":"Future",
    "market_type":"Day",
    "ts":1625801009
}
  1. id in FOrder is the same as trade_id in FDeal(partially filled: 1 and 2).
  2. seqno in FOrder is the same as seqno in FDeal(partially filled: 1 and 2).
  3. The first 5 characters of ordno in FDeal(partially filled: 1 and 2) is the same as ordno in FOrder. The last 3 characters of ordno in FDeal represent the deal sequence number, which means they are different for each deal events.