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實時盤口推送

已訂閱標的的實時盤口數據推送。

SDK Links

Python
longport.openapi.QuoteContext.set_on_depth
Rust
longport::quote::QuoteContext#set_on_depth
Go
QuoteContext.OnDepth
Node.js
QuoteContext#setOnDepth
信息

數據格式

Properties

NameTypeDescription
symbolstring標的代碼,例如:AAPL.US
sequenceint64序列號
askobject[]賣盤
∟ positionint32檔位
∟ pricestring價格
∟ volumeint64掛單量
∟ order_numint64訂單數量
bidobject[]買盤
∟ positionint32檔位
∟ pricestring價格
∟ volumeint64掛單量
∟ order_numint64訂單數量

Protobuf

message PushDepth {
string symbol = 1;
int64 sequence = 2;
repeated Depth ask = 3;
repeated Depth bid = 4;
}

message Depth {
int32 position = 1;
string price = 2;
int64 volume = 3;
int64 order_num = 4;
}

Example

# 實時盤口推送
# https://open.longportapp.com/docs/quote/push/push-depth
# 訂閱行情數據請檢查“開發者中心“ - “行情權限”是否正確
# https://open.longportapp.com/account
#
# - 港股 - BMP 基礎報價,無實時行情推送,無法用 WebSocket 訂閱
# - 美股 - LV1 納斯達克最優報價 (只限 Open API)
#
# 運行前請訪問“開發者中心“確保賬戶有正確的行情權限。
# 如沒有開通行情權限,可以通過“LongPort”手機客戶端,並進入“我的 - 我的行情 - 行情商城”購買開通行情權限。
from time import sleep
from longport.openapi import QuoteContext, Config, SubType, PushQuote

def on_depth(symbol: str, event: PushDepth):
print(symbol, event)

config = Config.from_env()
ctx = QuoteContext(config)
ctx.set_on_depth(on_depth)

ctx.subscribe(["700.HK", "AAPL.US"], [SubType.Depth], is_first_push=True)
sleep(30)

JSON Example

{
"symbol": "700.HK",
"sequence": 160808750000000,
"ask": [
{
"position": 1,
"price": "335.000",
"volume": 500,
"order_num": 1
},
{
"position": 2,
"price": "335.200",
"volume": 400,
"order_num": 1
},
{
"position": 3,
"price": "335.400",
"volume": 500,
"order_num": 2
},
{
"position": 4,
"price": "335.600",
"volume": 1200,
"order_num": 3
},
{
"position": 5,
"price": "335.800",
"volume": 14000,
"order_num": 8
}
],
"bid": [
{
"position": 1,
"price": "334.800",
"volume": 69400,
"order_num": 13
},
{
"position": 2,
"price": "334.600",
"volume": 266600,
"order_num": 27
},
{
"position": 3,
"price": "334.400",
"volume": 61300,
"order_num": 29
},
{
"position": 4,
"price": "334.200",
"volume": 125900,
"order_num": 31
},
{
"position": 5,
"price": "334.000",
"volume": 194600,
"order_num": 94
}
]
}