行情 参数与回复
{"Symbol":"TC.F.CFFEX.IF.201903","SubDataType":"REALTIME",...}
Field | 类型 | 说明 |
Symbol | BSTR | 合约代码 |
SubDataType | BSTR | 即时行情 (REALTIME) Greeks (GREEKS) 历史ticks (TICKS) 历史1K (1K) 历史日K (DK) |
StartTime | BSTR | YYMMDDHH 回补历史时，才需填写。 |
EndTime | BSTR | YYMMDDHH 回补历史时，才需填写。 |
{"Request":"GETHISDATA","SessionKey":"XXXXXXXXX","Param":{"Symbol":"TC.F.CFFEX.IF.201903","SubDataType":"x","QryIndex":"n",...}}
注1 : SubDataType、StartTime、EndTime，需与回补资料指令相同
Field | 类型 | 说明 |
Symbol | BSTR | 合约代码 |
SubDataType | BSTR | 即时行情 (REALTIME) 历史ticks (TICKS) 历史1K (1K) 历史日K (DK) Greeks (GREEKS) |
StartTime | BSTR | YYMMDDHH |
EndTime | BSTR | YYMMDDHH |
QryIndex | BSTR | 取得资料，从第几笔开始。 |
查询需要带入QryIndex(带空则当作0)，每次最多回50笔，拿最後一笔QryIndex资讯继续往下查询，直到回空代表已无资料。
TC.F.CFFRX.IF.201903:{"DataType":"REALTIME","Quote":{"Symbol":"TC.F.CFFRX.IF.201903","TradingPrice":"3886.5","TradeQuantity":"35435",...}}
Field | 类型 | 说明 |
Symbol | BSTR | 合约代码 |
TradeDate | BSTR | 交易日期(UTC+0) |
FilledTime | BSTR | 成交时间(UTC+0) |
TradingPrice | BSTR | 成交价 |
TradeQuantity | BSTR | 成交单量 |
Change | BSTR | 涨跌 |
TradeVolume | BSTR | 累计成交量 |
OpeningPrice | BSTR | 开盘价 |
HighPrice | BSTR | 当日最高价 |
LowPrice | BSTR | 当日最高价 |
ClosingPrice | BSTR | 收盘价 |
ReferencePrice | BSTR | 参考价 |
UpperLimitPrice | BSTR | 涨停价 |
LowerLimitPrice | BSTR | 跌停价 |
YClosedPrice | BSTR | 昨收 |
YTradeVolume | BSTR | 昨量 |
OpenInterest | BSTR | 今日未平仓量 |
YOpenInterest | BSTR | 昨日未平仓量 |
FlagOfBuySell | BSTR | 内外盘 |
OpenTime | BSTR | 开盘时间(UTC+0) |
CloseTime | BSTR | 收盘时间(UTC+0) |
Bid | BSTR | 买价#1 |
Bid1 | BSTR | 买价#2 |
Bid2 | BSTR | 买价#3 |
Bid3 | BSTR | 买价#4 |
Bid4 | BSTR | 买价#5 |
Bid5 | BSTR | 买价#6 |
Bid6 | BSTR | 买价#7 |
Bid7 | BSTR | 买价#8 |
Bid8 | BSTR | 买价#9 |
Bid9 | BSTR | 买价#10 |
BidVolume | BSTR | 买量#1 |
BidVolume1 | BSTR | 买量#2 |
BidVolume2 | BSTR | 买量#3 |
BidVolume3 | BSTR | 买量#4 |
BidVolume4 | BSTR | 买量#5 |
BidVolume5 | BSTR | 买量#6 |
BidVolume6 | BSTR | 买量#7 |
BidVolume7 | BSTR | 买量#8 |
BidVolume8 | BSTR | 买量#9 |
BidVolume9 | BSTR | 买量#10 |
Ask | BSTR | 卖价#1 |
Ask1 | BSTR | 卖价#2 |
Ask2 | BSTR | 卖价#3 |
Ask3 | BSTR | 卖价#4 |
Ask4 | BSTR | 卖价#5 |
Ask5 | BSTR | 卖价#6 |
Ask6 | BSTR | 卖价#7 |
Ask7 | BSTR | 卖价#8 |
Ask8 | BSTR | 卖价#9 |
Ask9 | BSTR | 卖价#10 |
AskVolume | BSTR | 卖量#1 |
AskVolume1 | BSTR | 卖量#2 |
AskVolume2 | BSTR | 卖量#3 |
AskVolume3 | BSTR | 卖量#4 |
AskVolume4 | BSTR | 卖量#5 |
AskVolume5 | BSTR | 卖量#6 |
AskVolume6 | BSTR | 卖量#7 |
AskVolume7 | BSTR | 卖量#8 |
AskVolume8 | BSTR | 卖量#9 |
AskVolume9 | BSTR | 卖量#10 |
TotalBidCount | BSTR | 委托买进总笔数 |
TotalBidVolume | BSTR | 委托买进总笔数 |
TotalAskCount | BSTR | 委托卖出总笔数 |
TotalAskVolume | BSTR | 委托卖出总数量 |
BuyCount | BSTR | 累进买进成交笔数 |
SellCount | BSTR | 累进卖出成交笔数 |
SettlementPrice | BSTR | 结算价 |
EndDate | BSTR | 到期日 |
TradeStatus | BSTR | 连续交易(<=0) 盘前试撮(1) 暂停交易(2) 禁删(3) 闭市(4) 集合竞价(5) 熔断(可恢复交易)(6) 熔断(不可恢复交易)(7) 停牌(8) 非交易(9) 波动性中断(10) 无状态(11) 开盘前(12) 盘後交易(13) |
TC.F.CFFRX.IF.201903:{"DataType":"GREEKS","Quote":{"Symbol":"TC.F.CFFRX.IF.201903","TradingPrice":"3886.5","TradeQuantity":"35435",...}}
Field | 类型 | 说明 |
TradingHours | BSTR | 交易时间 |
TradingDay | BSTR | 交易日 |
Last | BSTR | 最新价 |
Vol | BSTR | 合约交易量 |
Bid | BSTR | 买价 |
Ask | BSTR | 卖价 |
ImpVol | BSTR | IV |
BIV | BSTR | BIV |
SIV | BSTR | SIV |
Delta | BSTR | Delta |
Gamma | BSTR | Gamma |
Vega | BSTR | Vega |
Theta | BSTR | Theta |
Rho | BSTR | Rho |
TheoVal | BSTR | 理论价 |
ExtVal | BSTR | 时间价值 |
Margin | BSTR | 保证金 |
OI | BSTR | 未平仓量 |
PreOI | BSTR | 昨日未平仓量 |
IntVal | BSTR | 内含价值 |
PreImpVol | BSTR | 昨日IV |
VIX | BSTR | VIX值 |
UndVol | BSTR | 标的交易量 |
UndOI | BSTR | 标的交易量 |
HV_W4 | BSTR | HV-w4 |
HV_W8 | BSTR | HV-w8 |
HV_W13 | BSTR | HV-w13 |
HV_W26 | BSTR | HV-w26 |
HV_W52 | BSTR | HV-w52 |
UnderlyingAsset | BSTR | 标的 (using GetGreeksString) |
VIX1 | BSTR | VIX1 (using GetGreeksValue) |
VIX2 | BSTR | VIX2 (using GetGreeksValue) |
CallOI | BSTR | Call的未平仓量 (using GetGreeksValue) |
CallVol | BSTR | Call的交易量 (using GetGreeksValue) |
PutOI | BSTR | Put的未平仓量 (using GetGreeksValue) |
PutVol | BSTR | Put的交易量 (using GetGreeksValue) |
message["DataType"]
TC.F.CFFRX.IF.201903:{"DataType":"1K","StartTime":"YYMMDDHH","EndTime":"YYMMDDHH","Symbol":"TC.F.CFFRX.IF.201903","Status":"Ready"}
收到ready后，呼叫get_history分页取得历史资料。
注意事项： 分页查询需要带入QryIndex(带空则回第一页)，每页50笔资料，拿最后一笔QryIndex资料可以往下查，最后一页则回空资料。
TC.F.CFFRX.IF.201903:{"DataType":"1K","HisData":[{"Date":"YYYYMMDD","Time":"HHMMSS","Open":"3882","High":"3886.5","QryIndex":""...},{"Date":"YYYYMMDD","Time":"HHMMSS","Open":"3882","High":"3886.5","QryIndex":""...}]}
1K / DK 资料栏位
Field | 类型 | 说明 |
Date | BSTR | 日期(UTC+0) |
Time | BSTR | 时间(UTC+0) |
Open | BSTR | 开盘价 |
High | BSTR | 最高价 |
Low | BSTR | 最低价 |
Close | BSTR | 收盘价 |
Volume | BSTR | 成交量 |
UpTick | BSTR | 分K上涨Tick数 |
UpVolume | BSTR | 分K上涨交易量 |
DownTick | BSTR | 分K下跌Tick数 |
DownVolume | BSTR | 分K下跌交易量 |
UnchVolume | BSTR | 未变动交易量 |
Ticks 资料栏位
Field | 类型 | 说明 |
Date | BSTR | 日期(UTC+0) |
FilledTime | BSTR | 成交時間(UTC+0) |
Bid | BSTR | 买价 |
Ask | BSTR | 卖价 |
TradingPrice | BSTR | 成交价 |
TradeQuantity | BSTR | 成交单量 |
TradeVolume | BSTR | 总量 |
{"Reply":"QUERYINSTRUMENTINFO","Success":"OK","Info":{"TC.F.CFFEX.IF":{"Currency":"CNY","Denominator":"1","EXG":"CFFEX","EXG.CTP":"CFFEX","EXG.SIM":"CFFEX","Group.CHS":"指数","Group.CHT":"指數","Group.ENG":"Equities","I3_TickSize":"0.2","Multiplier.ESNH":"1","Multiplier.ESXYA":"1","Multiplier.GQ2":"1","Name.CHS":"沪深300","Name.CHT":"滬深300","Name.ENG":"CSI 300","pinyin":"hs300","OpenCloseTime":"09:30~11:30;13:00~15:00","Symbol":"IF","Symbol.CTP":"IF"...}}}
{"Reply":"QUERYALLINSTRUMENT","Success":"OK","Instruments":{"CHS" : "期货","CHT" : "期貨","ENG" : "ALGOSTARS_EXG","EXGID" : "","Node" :[{"CHS" : "中国金融交易所","CHT" : "中國金融交易所","ENG" : "CFFEX","EXGID" : null,"Node" :[{"CHS" : "热门月","CHT" : "熱門月","ENG" : "HOT","Contracts" :["TC.F.CFFEX.IF.201906","TC.F.CFFEX.IH.201906","TC.F.CFFEX.IC.201906","TC.F.CFFEX.TF.201906","TC.F.CFFEX.T.201909"],"ExpirationDate" :["20190621","20190621","20190621","20190614","20190916"],"InstrumentID" :["IF1906","IH1906","IC1906",…]…}…]…}…]…}}
