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https://github.com/shinnytech/diff
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73 lines
3.7 KiB
ReStructuredText
73 lines
3.7 KiB
ReStructuredText
.. _quote:
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行情报价数据
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==================================================
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请求订阅行情报价
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--------------------------------------------------
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终端通过发送 subscribe_quote 包实现订阅行情报价
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.. code-block:: javascript
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{
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"aid": "subscribe_quote", //必填, 请求订阅实时报价数据
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"ins_list": "SHFE.cu1612,CFFEX.IF1701", //必填, 需要订阅的合约列表,以逗号分隔
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}
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需要注意几点:
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* 合约代码必须带交易所代码, 例如cu1801应该写作 SHFE.cu1801. 目前支持的交易所为 CFFEX, SHFE, DCE, CZCE, INE
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* 用户自定义的组合, 交易所代码都为 USER
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* 合约代码及交易所代码都是大小写敏感的
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* 每次发送 subscribe_quote 时,应在 ins_list 中列出所有需要订阅的合约代码。多次发送 subscribe_quote,后一次的订阅列表会覆盖前一次的
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行情报价数据同步
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--------------------------------------------------
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行情报价数据通过 `rtn_data` 包的 quotes 字段进行差分发送, 如下所示:
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.. code-block:: javascript
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{
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"aid": "rtn_data", //数据推送
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"data": [ //diff数据数组, 一次推送中可能含有多个数据包
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{
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"quotes": { //实时行情数据
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"SHFE.cu1612": {
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"instrument_id": "SHFE.cu1612", //合约代码
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"volume_multiple": 300, //合约乘数
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"price_tick": 0.2, //合约价格单位
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"price_decs": 1, //合约价格小数位数
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"max_market_order_volume": 1000, //市价单最大下单手数
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"min_market_order_volume": 1, //市价单最小下单手数
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"max_limit_order_volume": 1000, //限价单最大下单手数
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"min_limit_order_volume": 1, //限价单最小下单手数
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"margin": 4480.0, //每手保证金
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"commission": 2.5, //每手手续费
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"datetime": "2016-12-30 13:21:32.500000", //时间
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"ask_price1": 36590.0, //卖价
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"ask_volume1": 121, //卖量
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"bid_price1": 36580.0, //买价
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"bid_volume1": 3, //买量
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"last_price": 36580.0, //最新价
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"highest": 36580.0, //最高价
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"lowest": 36580.0, //最低价
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"amount": 213445312.5, //成交额
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"volume": 23344, //成交量
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"open_interest": 23344, //持仓量
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"pre_open_interest": 23344, //昨持
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"pre_close": 36170.0, //昨收
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"open": 36270.0, //今开
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"close": 36270.0, //收盘
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"lower_limit": 34160.0, //跌停
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"upper_limit": 38530.0, //涨停
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"average": 36270.1, //均价
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"pre_settlement": 36270.0, //昨结
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"settlement": 36270.0, //结算价
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},
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},
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]
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}
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}
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