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梁轩伟
152 lines
3.3 KiB
Markdown
152 lines
3.3 KiB
Markdown
---
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id: push_depth
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title: 实时盘口推送
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slug: depth
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sidebar_position: 2
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---
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已订阅标的的实时盘口数据推送。
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:::info
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[业务指令](../../socket/protocol/push)：`102`
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:::
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## 数据格式
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### Properties
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| Name | Type | Description |
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| ----------- | -------- | ------------------------- |
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| symbol | string | 标的代码，例如：`AAPL.US` |
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| sequence | int64 | 序列号 |
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| ask | object[] | 卖盘 |
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| ∟ position | int32 | 档位 |
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| ∟ price | string | 价格 |
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| ∟ volume | int64 | 挂单量 |
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| ∟ order_num | int64 | 订单数量 |
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| bid | object[] | 买盘 |
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| ∟ position | int32 | 档位 |
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| ∟ price | string | 价格 |
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| ∟ volume | int64 | 挂单量 |
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| ∟ order_num | int64 | 订单数量 |
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### Protobuf
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```protobuf
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message PushDepth {
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string symbol = 1;
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int64 sequence = 2;
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repeated Depth ask = 3;
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repeated Depth bid = 4;
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}
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message Depth {
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int32 position = 1;
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string price = 2;
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int64 volume = 3;
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int64 order_num = 4;
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}
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```
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### Example
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```python
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# 实时盘口推送
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# https://open.longbridgeapp.com/docs/quote/push/push-depth
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# 订阅行情数据请检查“开发者中心” - “行情权限”是否正确
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# https://open.longbridgeapp.com/account
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#
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# - 港股 - BMP 基础报价，无实时行情推送，无法用 WebSocket 订阅
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# - 美股 - LV1 纳斯达克最优报价 (只限 Open API）
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#
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# 运行前请访问“开发者中心”确保账户有正确的行情权限。
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# 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。
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from time import sleep
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from longbridge.openapi import QuoteContext, Config, SubType
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class EventHandler:
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def on_event(self, symbol: str, msg):
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print(symbol, msg)
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config = Config.from_env()
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ctx = QuoteContext(config, EventHandler())
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ctx.subscribe(["700.HK", "AAPL.US"], [SubType.Depth], is_first_push = True)
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sleep(30)
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```
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### JSON Example
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```json
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{
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"symbol": "700.HK",
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"sequence": 160808750000000,
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"ask": [
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{
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"position": 1,
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"price": "335.000",
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"volume": 500,
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"order_num": 1
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},
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{
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"position": 2,
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"price": "335.200",
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"volume": 400,
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"order_num": 1
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},
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{
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"position": 3,
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"price": "335.400",
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"volume": 500,
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"order_num": 2
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},
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{
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"position": 4,
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"price": "335.600",
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"volume": 1200,
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"order_num": 3
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},
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{
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"position": 5,
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"price": "335.800",
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"volume": 14000,
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"order_num": 8
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}
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],
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"bid": [
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{
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"position": 1,
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"price": "334.800",
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"volume": 69400,
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"order_num": 13
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},
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{
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"position": 2,
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"price": "334.600",
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"volume": 266600,
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"order_num": 27
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},
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{
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"position": 3,
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"price": "334.400",
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"volume": 61300,
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"order_num": 29
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},
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{
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"position": 4,
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"price": "334.200",
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"volume": 125900,
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"order_num": 31
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},
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{
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"position": 5,
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"price": "334.000",
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"volume": 194600,
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"order_num": 94
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}
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]
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}
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```
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