本篇重点

• 订阅期货盘中tick资讯
• 订阅期货盘中bidask资讯
  官方说明文件：https://sinotrade.github.io/tutor/market_data/streaming/futures/

订阅期货盘中tick资讯

订阅期货盘中tick v1版报价资讯，范例如下：

api.quote.subscribe(
    api.Contracts.Futures.TXF['TXF202110'], #期货Contract
    quote_type = sj.constant.QuoteType.Tick, #报价类型为Tick
    version = sj.constant.QuoteVersion.v1, #回传资讯版本为v1
)
# 定义quote_callback，即回传报价资讯时所要执行的动作
@api.on_tick_fop_v1()
def quote_callback(exchange:Exchange, tick:TickFOPv1):
    print(f"Exchange: {exchange}, Tick: {tick}")

Event().wait() #盘中执行程序时，若看不到quote_callback的执行结果，请加入此行，让程序进入等待状态

Tick QuoteVersion.v1，quote_callback的执行结果

Exchange: TAIFEX, Tick: Tick(code='TXFJ1', datetime=datetime.datetime(2021, 9, 24, 11, 31, 3, 208000), open=Decimal('17191'), underlying_price=Decimal('17249.79'), bid_side_total_vol=44400, ask_side_total_vol=44529, avg_price=Decimal('17223.595502'), close=Decimal('17234'), high=Decimal('17275'), low=Decimal('17170'), amount=Decimal('34468'), total_amount=Decimal('1208510802'), volume=2, total_volume=70166, tick_type=1, chg_type=2, price_chg=Decimal('154'), pct_chg=Decimal('0.901639'), simtrade=0)

Tick QuoteVersion.v1的报价内容说明

订阅期货盘中tick v0版报价资讯，范例如下：

api.quote.subscribe(
    api.Contracts.Futures.TXF['TXF202110'], #期货Contract
    quote_type = sj.constant.QuoteType.Tick, #报价类型为Tick
    version = sj.constant.QuoteVersion.v0, #回传资讯版本为v0
)
# 定义quote_callback，即回传报价资讯时所要执行的动作
@api.quote.on_quote
def quote_callback(topic: str, quote: dict):
    print(f"Topic: {topic}, Quote: {quote}")

Event().wait()

Tick QuoteVersion.v0，quote_callback的执行结果

L/TFE/TXFJ1 {'Amount': [17233.0], 'AmountSum': [1213025639.0], 'AvgPrice': [17223.62752], 'Close': [17233.0], 'Code': 'TXFJ1', 'Date': '2021/09/24', 'DiffPrice': [153.0], 'DiffRate': [0.895785], 'DiffType': [2], 'High': [17275.0], 'Low': [17170.0], 'Open': 17191.0, 'TargetKindPrice': 17244.35, 'TickType': [0], 'Time': '11:34:06.678000', 'TradeAskVolSum': 44684, 'TradeBidVolSum': 44596, 'VolSum': [70428], 'Volume': [1]}    
L/TFE/TXFJ1 {'Amount': [17234.0], 'AmountSum': [1213042873.0], 'AvgPrice': [17223.627668], 'Close': [17234.0], 'Code': 'TXFJ1', 'Date': '2021/09/24', 'DiffPrice': [154.0], 'DiffRate': [0.901639], 'DiffType': [2], 
'High': [17275.0], 'Low': [17170.0], 'Open': 17191.0, 'TargetKindPrice': 17244.35, 'TickType': [1], 'Time': '11:34:09.279000', 'TradeAskVolSum': 44685, 'TradeBidVolSum': 44598, 'VolSum': [70429], 'Volume': [1]} 

Tick QuoteVersion.v0的报价内容说明

期货虽然也有成交价格，但跟个股不同的是期货保证金是固定的，以小台指期为例，买进一口小台指期货，不管你的成交价格(点)是多少，保证金都是46,000。所以虽然在回传的报价资讯中也有Amount跟AmountSum，但实际上期货是没有在计算成交金额

订阅期货盘中bidask资讯

订阅期货盘中bidask v1版报价资讯，范例如下：

api.quote.subscribe(
    api.Contracts.Futures.TXF['TXF202110'], #期货Contract
    quote_type = sj.constant.QuoteType.BidAsk, #报价类型为BidAsk
    version = sj.constant.QuoteVersion.v1 #回传资讯版本为v1
)

@api.on_bidask_fop_v1()
def quote_callback(exchange:Exchange, bidask:BidAskFOPv1):
    print(f"Exchange: {exchange}, BidAsk: {bidask}")

Event().wait()

BidAsk QuoteVersion.v1，quote_callback的执行结果

Exchange: TAIFEX, BidAsk: BidAsk(code='TXFJ1', datetime=datetime.datetime(2021, 9, 24, 11, 37, 20, 698000), bid_total_vol=109, ask_total_vol=90, bid_price=[Decimal('17232'), Decimal('17231'), Decimal('17230'), Decimal('17229'), Decimal('17228')], bid_volume=[14, 19, 17, 26, 33], diff_bid_vol=[-1, 0, 0, 0, 0], ask_price=[Decimal('17234'), Decimal('17235'), Decimal('17236'), Decimal('17237'), Decimal('17238')], ask_volume=[3, 15, 16, 20, 36], diff_ask_vol=[2, 0, 0, 0, 1], first_derived_bid_price=Decimal('17230'), first_derived_ask_price=Decimal('17237'), first_derived_bid_vol=5, first_derived_ask_vol=1, underlying_price=Decimal('17243.26'), simtrade=0)

BidAsk QuoteVersion.v1的报价内容说明

订阅期货盘中bidask v0版报价资讯，范例如下：

api.quote.subscribe(
    api.Contracts.Futures.TXF['TXF202110'], #期货Contract
    quote_type = sj.constant.QuoteType.BidAsk, #报价类型为BidAsk
    version = sj.constant.QuoteVersion.v0 #回传资讯版本为v0
)

@api.quote.on_quote
def quote_callback(topic: str, quote: dict):
    print(f"Topic: {topic}, Quote: {quote}")

Event().wait()

BidAsk QuoteVersion.v1，quote_callback的执行结果

Topic: Q/TFE/TXFJ1, Quote: {'AskPrice': [17229.0, 17230.0, 17231.0, 17232.0, 17233.0], 'AskVolSum': 64, 'AskVolume': [2, 15, 17, 14, 16], 'BidPrice': [17228.0, 17227.0, 17226.0, 17225.0, 17224.0], 'BidVolSum': 106, 'BidVolume': [3, 18, 20, 37, 28], 'Code': 'TXFJ1', 'Date': '2021/09/24', 'DiffAskVol': [-4, -1, 0, 0, 0], 'DiffAskVolSum': 0, 'DiffBidVol': [-2, 4, 0, 0, 0], 'DiffBidVolSum': 0, 'FirstDerivedAskPrice': 17231.0, 
'FirstDerivedAskVolume': 1, 'FirstDerivedBidPrice': 17225.0, 'FirstDerivedBidVolume': 1, 'TargetKindPrice': 17244.94, 'Time': '11:40:26.948000'}

BidAsk QuoteVersion.v0的报价内容说明

衍生一档

所谓的「衍生一档」，也就是一般俗称ROLL单或是转仓单
详细委托及成交机制，请参考期交所文件
http://www.taifex.com.tw/chinese/9/期货商品跨月价差委托机制说明.ppt