期貨
利用訂閱商品檔的方式去取得即時行情。
Subscribe
api.quote.subscribe?
Signature:
api.quote.subscribe(
contract:shioaji.contracts.Contract,
quote_type:shioaji.constant.QuoteType=<QuoteType.Tick: 'tick'>,
intraday_odd:bool=False,
version: shioaji.constant.QuoteVersion=<QuoteVersion.v0: 'v0'>,
)
Docstring: <no docstring>
Type: method
Quote Parameters:
quote_type: 訂閱類型 {'tick', 'bidask'}
intraday_odd: 盤中零股 {True, False}
version: 行情版本 {'v1', 'v0'}
Tick¶
範例¶
In
api.quote.subscribe(
api.Contracts.Futures.TXF['TXF202107'],
quote_type = sj.constant.QuoteType.Tick,
version = sj.constant.QuoteVersion.v1,
)
Out
Response Code: 200 | Event Code: 16 | Info: TIC/v1/FOP/*/TFE/TXFG1 | Event: Subscribe or Unsubscribe ok
Exchange.TAIFEX
Tick(
code = 'TXFG1',
datetime = datetime.datetime(2021, 7, 1, 10, 42, 29, 757000),
open = Decimal('17678'),
underlying_price = Decimal('17849.57'),
bid_side_total_vol= 32210,
ask_side_total_vol= 33218,
avg_price = Decimal('17704.663999'),
close = Decimal('17753'),
high = Decimal('17774'),
low = Decimal('17655'),
amount = Decimal('17753'),
total_amount = Decimal('913790823'),
volume = 1,
total_volume = 51613,
tick_type = 0,
chg_type = 2,
price_chg = Decimal('41'),
pct_chg = Decimal('0.231481'),
simtrade = 0
)
Response Code: 200 | Event Code: 16 | Info: L/*/TXFG1 | Event: Subscribe or Unsubscribe ok
L/TFE/TXFG1
{
'Amount': [17754.0],
'AmountSum': [913027415.0],
'AvgPrice': [17704.623134],
'Close': [17754.0],
'Code': 'TXFG1',
'Date': '2021/07/01',
'DiffPrice': [42.0],
'DiffRate': [0.237127],
'DiffType': [2],
'High': [17774.0],
'Low': [17655.0],
'Open': 17678.0,
'TargetKindPrice': 17849.57,
'TickType': [2],
'Time': '10:42:25.552000',
'TradeAskVolSum': 33198,
'TradeBidVolSum': 32180,
'VolSum': [51570],
'Volume': [1]
}
屬性¶
Tick
code (str): 商品代碼
datetime (datetime.datetime): 日期
open (Decimal): 開盤價
underlying_price (Decimal): 標的物價格
bid_side_total_vol(int): 買盤成交總量 (lot)
ask_side_total_vol(int): 賣盤成交總量 (lot)
avg_price (Decimal): 均價
close (Decimal): 成交價
high (Decimal): 最高價(自開盤)
low (Decimal): 最低價(自開盤)
amount (Decimal): 成交額 (NTD)
total_amount (Decimal): 總成交額 (NTD)
volume (int): 成交量 (lot)
total_volume (int): 總成交量 (lot)
tick_type (int): 內外盤別{1: 外盤, 2: 內盤, 0: 無法判定}
chg_type (int): 漲跌註記{1: 漲停, 2: 漲, 3: 平盤, 4: 跌, 5: 跌停}
price_chg (Decimal): 漲跌
pct_chg (Decimal): 漲跌幅 (%)
simtrade (int): 試撮
Amount (list of float): 成交額 (成交價)
AmountSum (list of float): 總成交額 (總成交價)
AvgPrice (list of float): 均價
Close (list of float): 成交價
Code (str): 商品代碼
Date (str): 日期 (yyyy/MM/dd)
DiffPrice (list of float): 漲跌
DiffRate (list of float): 漲跌幅 (%)
DiffType (list of int): 漲跌註記{1: 漲停, 2: 漲, 3: 平盤, 4: 跌, 5: 跌停}
High (list of float): 最高價(自開盤)
Low (list of float): 最低價(自開盤)
Open (float): 開盤價
TargetKindPrice float: 標的物價格
TickType (:list:int): 內外盤別{1: 外盤, 2: 內盤, 0: 無法判定}
Time (str): 時間 (HH:mm:ss.ffffff)
TradeAskVolSum (int): 賣盤成交總量 (lot)
TradeBidVolSum (int): 買盤成交總量 (lot)
VolSum (list of int): 總成交量 (lot)
Volume (list of int): 成交量 (lot)
BidAsk¶
範例¶
In
api.quote.subscribe(
api.Contracts.Futures.TXF['TXF202107'],
quote_type = sj.constant.QuoteType.BidAsk,
version = sj.constant.QuoteVersion.v1
)
Out
Response Code: 200 | Event Code: 16 | Info: QUO/v1/FOP/*/TFE/TXFG1 | Event: Subscribe or Unsubscribe ok
Exchange.TAIFEX
BidAsk(
code = 'TXFG1',
datetime = datetime.datetime(2021, 7, 1, 10, 51, 31, 999000),
bid_total_vol = 66,
ask_total_vol = 101,
bid_price = [Decimal('17746'), Decimal('17745'), Decimal('17744'), Decimal('17743'), Decimal('17742')],
bid_volume = [1, 14, 19, 17, 15],
diff_bid_vol = [0, 1, 0, 0, 0],
ask_price = [Decimal('17747'), Decimal('17748'), Decimal('17749'), Decimal('17750'), Decimal('17751')],
ask_volume = [6, 22, 25, 32, 16],
diff_ask_vol = [0, 0, 0, 0, 0],
first_derived_bid_price = Decimal('17743'),
first_derived_ask_price = Decimal('17751'),
first_derived_bid_vol = 1,
first_derived_ask_vol = 1,
underlying_price = Decimal('17827.94'),
simtrade = 0
)
Response Code: 200 | Event Code: 16 | Info: Q/*/TXFG1 | Event: Subscribe or Unsubscribe ok
Q/TFE/TXFG1
{
'AskPrice': [17747.0, 17748.0, 17749.0, 17750.0, 17751.0],
'AskVolSum': 99,
'AskVolume': [6, 22, 25, 31, 15],
'BidPrice': [17746.0, 17745.0, 17744.0, 17743.0, 17742.0],
'BidVolSum': 81,
'BidVolume': [1, 12, 23, 25, 20],
'Code': 'TXFG1',
'Date': '2021/07/01',
'DiffAskVol': [0, 0, 0, 0, 0],
'DiffAskVolSum': 0,
'DiffBidVol': [0, 0, 2, 0, 0],
'DiffBidVolSum': 0,
'FirstDerivedAskPrice': 17751.0,
'FirstDerivedAskVolume': 1,
'FirstDerivedBidPrice': 17743.0,
'FirstDerivedBidVolume': 1,
'TargetKindPrice': 17828.46,
'Time': '10:51:29.999000'
}
屬性¶
BidAsk
code (str): 商品代碼
datetime (datetime.datetime): 時間
bid_total_vol (int): 委買量總計 (lot)
ask_total_vol (int): 委賣量總計 (lot)
bid_price (:List:decimal): 委買價
bid_volume (:List:int): 委買量 (lot)
diff_bid_vol (:List:int): 委買價增減量 (lot)
ask_price (:List:decimal): 委賣價
ask_volume (:List:int): 委賣量 (lot)
diff_ask_vol (:List:int): 委賣價增減量 (lot)
first_derived_bid_price (decimal): 衍生一檔委買價
first_derived_ask_price (decimal): 衍生一檔委賣價
first_derived_bid_vol (int): 衍生一檔委買量
first_derived_ask_vol (int): 衍生一檔委賣量
underlying_price (decimal): 標的物價格
simtrade (int): 試撮
AskPrice (:List:float): 委賣價
AskVolSum (int): 委賣量總計(lot)
AskVolume (:List:int): 委賣量
BidPrice (:List:float): 委買價
BidVolSum (int): 委買量總計(lot)
BidVolume (:List:int): 委買量
Code (str): 商品代碼
Date (str): 日期 (yyyy/MM/dd)
DiffAskVol (:List:int): 賣價增減量(lot)
DiffAskVolSum (int):
DiffBidVol (:List:int): 買價增減量(lot)
DiffBidVolSum (int):
FirstDerivedAskPrice (float): 衍生一檔委賣價
FirstDerivedAskVolume (int): 衍生一檔委賣量
FirstDerivedBidPrice (float): 衍生一檔委買價
FirstDerivedBidVolume (int): 衍生一檔委買量
TargetKindPrice (float): 標的物價格
Time (str): 時間 (HH:mm:ss.ffffff)
Callback¶
預設狀況下我們將即時行情使用print的方式呈現。可根據個人需求修改函數。請避免在函數內進行運算。
Tick¶
decorator方式
from shioaji import TickFOPv1, Exchange
@api.on_tick_fop_v1()
def quote_callback(exchange:Exchange, tick:TickFOPv1):
print(f"Exchange: {exchange}, Tick: {tick}")
@api.quote.on_quote
def quote_callback(topic: str, quote: dict):
print(f"Topic: {topic}, Quote: {quote}")
傳統方式
from shioaji import TickFOPv1, Exchange
def quote_callback(exchange:Exchange, tick:TickFOPv1):
print(f"Exchange: {exchange}, Tick: {tick}")
api.quote.set_on_tick_fop_v1_callback(quote_callback)
def quote_callback(topic: str, tick: dict):
print(f"Topic: {topic}, Tick: {tick}")
api.quote.set_quote_callback(quote_callback)
Out
Exchange: Exchange.TAIFEX, Tick: Tick(code='TXFG1', datetime=datetime.datetime(2021, 7, 2, 13, 17, 22, 784000), open=Decimal('17651'), underlying_price=Decimal('17727.12'), trade_bid_total_vol=61550, trade_ask_volume=60914, avg_price=Decimal('17657.959752'), close=Decimal('17653'), high=Decimal('17724'), low=Decimal('17588'), amount=Decimal('35306'), total_amount=Decimal('1683421593'), volume=2, total_volume=95335, tick_type=1, chg_type=2, price_chg=Decimal('7'), pct_chg=Decimal('0.039669'), simtrade=0)
Topic: L/TFE/TXFG1, Quote: {'Amount': [17654.0], 'AmountSum': [1682856730.0], 'AvgPrice': [17657.961764], 'Close': [17654.0], 'Code': 'TXFG1', 'Date': '2021/07/02', 'DiffPrice': [8.0], 'DiffRate': [0.045336], 'DiffType': [2], 'High': [17724.0], 'Low': [17588.0], 'Open': 17651.0, 'TargetKindPrice': 17725.14, 'TickType': [1], 'Time': '13:17:16.533000', 'TradeAskVolSum': 60890, 'TradeBidVolSum': 61520, 'VolSum': [95303], 'Volume': [1]}
BidAsk¶
decorator方式
from shioaji import BidAskFOPv1, Exchange
@api.on_bidask_fop_v1()
def quote_callback(exchange:Exchange, bidask:BidAskFOPv1):
print(f"Exchange: {exchange}, BidAsk: {bidask}")
@api.quote.on_quote
def quote_callback(topic: str, quote: dict):
print(f"Topic: {topic}, Quote: {quote}")
傳統方式
from shioaji import BidAskFOPv1, Exchange
def quote_callback(exchange:Exchange, bidask:BidAskFOPv1):
print(f"Exchange: {exchange}, BidAsk: {bidask}")
api.quote.set_on_bidask_fop_v1_callback(quote_callback)
def quote_callback(topic: str, quote: dict):
print(f"Topic: {topic}, Quote: {quote}")
api.quote.set_quote_callback(quote_callback)
Out
Exchange: Exchange.TAIFEX, BidAsk: BidAsk(code='TXFG1', datetime=datetime.datetime(2021, 7, 2, 13, 18, 0, 684000), bid_total_vol=69, ask_total_vol=94, bid_price=[Decimal('17651'), Decimal('17650'), Decimal('17649'), Decimal('17648'), Decimal('17647')], bid_volume=[10, 12, 18, 18, 11], diff_bid_vol=[0, 0, 0, 0, 0], ask_price=[Decimal('17653'), Decimal('17654'), Decimal('17655'), Decimal('17656'), Decimal('17657')], ask_volume=[6, 17, 29, 22, 20], diff_ask_vol=[0, 0, 0, 0, 0], first_derived_bid_price=Decimal('17647'), first_derived_ask_price=Decimal('17657'), first_derived_bid_vol=2, first_derived_ask_vol=3, underlying_price=Decimal('17725.5'), simtrade=0)
Topic: Q/TFE/TXFG1, Quote: {'AskPrice': [17653.0, 17654.0, 17655.0, 17656.0, 17657.0], 'AskVolSum': 85, 'AskVolume': [3, 16, 24, 22, 20], 'BidPrice': [17651.0, 17650.0, 17649.0, 17648.0, 17647.0], 'BidVolSum': 67, 'BidVolume': [10, 10, 18, 18, 11], 'Code': 'TXFG1', 'Date': '2021/07/02', 'DiffAskVol': [-4, -2, 0, 0, 0], 'DiffAskVolSum': 0, 'DiffBidVol': [1, 0, 2, 0, 0], 'DiffBidVolSum': 0, 'FirstDerivedAskPrice': 17657.0, 'FirstDerivedAskVolume': 3, 'FirstDerivedBidPrice': 17647.0, 'FirstDerivedBidVolume': 2, 'TargetKindPrice': 17716.19, 'Time': '13:17:57.809000'}
- 更進階的callback使用可以參見綁訂報價模式。