longbridge__developers/docs/quote/push/depth.md

id, title, slug, sidebar_position

id	title	slug	sidebar_position
push_depth	实时盘口推送	depth	2

已订阅标的的实时盘口数据推送。

:::info

业务指令：102

:::

数据格式

Properties

Name	Type	Description
symbol	string	标的代码，例如：AAPL.US
sequence	int64	序列号
ask	object[]	卖盘
∟ position	int32	档位
∟ price	string	价格
∟ volume	int64	挂单辆
∟ order_num	int64	订单数量
bid	object[]	买盘
∟ position	int32	档位
∟ price	string	价格
∟ volume	int64	挂单辆
∟ order_num	int64	订单数量

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

# 实时盘口推送
# https://open.longbridgeapp.com/docs/quote/push/push-depth
import os
import time
from longbridge.http import Auth, Config, HttpClient
from longbridge.ws import ReadyState, WsCallback, WsClient
# Protobuf 变量定义参见：https://github.com/longbridgeapp/openapi-protobufs/blob/main/quote/api.proto
from longbridge.proto.quote_pb2 import (Command, PushDepth, SubscribeRequest, SubscriptionResponse, SubType)

class MyWsCallback(WsCallback):
    def on_push(self, command: int, body: bytes):
        if command == Command.PushDepthData:
            quote = PushDepth()
            quote.ParseFromString(body)
            print(f"quote-> {quote}")
        else:
            print(f"-> unknow: {command}")

    def on_state(self, state: ReadyState):
        print(f"-> state: {state}")

auth = Auth(os.getenv("LONGBRIDGE_APP_KEY"), os.getenv("LONGBRIDGE_APP_SECRET"), access_token=os.getenv("LONGBRIDGE_ACCESS_TOKEN"))
http = HttpClient(auth, Config(base_url="https://openapi.longbridgeapp.com"))
ws = WsClient("wss://openapi-quote.longbridgeapp.com", http, MyWsCallback())

# 订阅行情数据请检查 “开发者中心“ - “行情权限” 是否正确
# https://open.longbridgeapp.com/account
#
# - 港股 - BMP 基础报价，无实时行情推送，无法用 WebSocket 订阅
# - 美股 - LV1 纳斯达克最优报价 (只限 Open API）
#
# 运行前请访问 “开发者中心“ 确保账户有正确的行情权限。
# 如没有开通行情权限，可以通过 "长桥" 手机客户端，并进入 “我的 - 我的行情 - 行情商城“ 购买开通行情权限。
req = SubscribeRequest(symbol=["700.HK", "AAPL.US"], sub_type=[SubType.DEPTH], is_first_push=True)
result = ws.send_request(Command.Subscribe, req.SerializeToString())
resp = SubscriptionResponse()
resp.ParseFromString(result)

print(f"Subscribed symbol:\n\n {resp.sub_list}")

print("\n\nWaiting for push...\nPress [Ctrl + c] to quit.")
while True:
    time.sleep(10)

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
    }
  ]
}