基础定义¶
这里对FutuOpenD开放协议接口中用到基本数据结构作出归档说明。
Note
- XXX.proto表示协议文件名, 点击超链接可打开github上的协议文件，每条协议内容以github上的为准，此文档更新可能存在滞后
- 为避免增删导致的版本兼容问题，所有enum枚举类型只用于值的定义，在protobuf结构体中声明类型时使用int32类型
- 所有类型定义使用protobuf格式声明，不同语言对接时请自行通过相关工具转换成对应的接口头文件
InitConnect.proto - 1001初始化连接¶
import "Common.proto";
message C2S
{
required int32 clientVer = 1; //客户端版本号，clientVer = "."以前的数 * 100 + "."以后的，举例：1.1版本的clientVer为1 * 100 + 1 = 101，2.21版本为2 * 100 + 21 = 221
required string clientID = 2; //客户端唯一标识，无生具体生成规则，客户端自己保证唯一性即可
optional bool recvNotify = 3; //此连接是否接收市场状态、交易需要重新解锁等等事件通知，true代表接收，FutuOpenD就会向此连接推送这些通知，反之false代表不接收不推送
}
message S2C
{
required int32 serverVer = 1; //FutuOpenD的版本号
required uint64 loginUserID = 2; //FutuOpenD登陆的牛牛用户ID
required uint64 connID = 3; //此连接的连接ID，连接的唯一标识
required string connAESKey = 4; //此连接后续AES加密通信的Key，固定为16字节长字符串
required int32 keepAliveInterval = 5; //心跳保活间隔
}
message Request
{
required C2S c2s = 1;
}
message Response
{
required int32 retType = 1 [default = -400]; //返回结果，参见Common.RetType的枚举定义
optional string retMsg = 2; //返回结果描述
optional int32 errCode = 3; //错误码，客户端一般通过retType和retMsg来判断结果和详情，errCode只做日志记录，仅在个别协议失败时对账用
optional S2C s2c = 4;
}
Note
- 请求其它协议前必须等InitConnect协议先完成
- 若FutuOpenD配置了加密， “connAESKey”将用于后续协议加密
- keepAliveInterval 为建议client发起心跳 KeepAlive 的间隔
GetGlobalState.proto - 1002获取全局状态¶
import "Common.proto";
import "Qot_Common.proto";
message C2S
{
required uint64 userID = 1; //需要跟FutuOpenD登陆的牛牛用户ID一致，否则会返回失败
}
message S2C
{
required int32 marketHK = 1; //Qot_Common.QotMarketState,港股主板市场状态
required int32 marketSH = 3; //Qot_Common.QotMarketState,沪市状态
required int32 marketSZ = 4; //Qot_Common.QotMarketState,深市状态
required int32 marketHKFuture = 5; //Qot_Common.QotMarketState,港股期货市场状态
required bool qotLogined = 6; //是否登陆行情服务器
required bool trdLogined = 7; //是否登陆交易服务器
required int32 serverVer = 8; //版本号
required int32 serverBuildNo = 9; //buildNo
required int64 time = 10; //当前格林威治时间
}
message Request
{
required C2S c2s = 1;
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType,返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
Note
- 市场状态参考 QotMarketState
Notify.proto - 1003系统推送通知¶
syntax = "proto2";
package Notify;
import "Common.proto";
enum NotifyType
{
NotifyType_None = 0; //无
NotifyType_GtwEvent = 1; //OpenD运行事件通知
NotifyType_ProgramStatus = 2; //程序状态
NotifyType_ConnStatus = 3; //连接状态
NotifyType_QotRight = 4; //行情权限
NotifyType_APILevel = 5; //用户等级
}
enum GtwEventType
{
GtwEventType_None = 0; //正常无错
GtwEventType_LocalCfgLoadFailed = 1; //加载本地配置失败
GtwEventType_APISvrRunFailed = 2; //服务器启动失败
GtwEventType_ForceUpdate = 3; //客户端版本过低
GtwEventType_LoginFailed = 4; //登录失败
GtwEventType_UnAgreeDisclaimer = 5; //未同意免责声明
GtwEventType_NetCfgMissing = 6; //缺少必要网络配置信息;例如控制订阅额度 //已优化，不会再出现该情况
GtwEventType_KickedOut = 7; //牛牛帐号在别处登录
GtwEventType_LoginPwdChanged = 8; //登录密码被修改
GtwEventType_BanLogin = 9; //用户被禁止登录
GtwEventType_NeedPicVerifyCode = 10; //需要图形验证码
GtwEventType_NeedPhoneVerifyCode = 11; //需要手机验证码
GtwEventType_AppDataNotExist = 12; //程序自带数据不存在
GtwEventType_NessaryDataMissing = 13; //缺少必要数据
GtwEventType_TradePwdChanged = 14; //交易密码被修改
GtwEventType_EnableDeviceLock = 15; //启用设备锁
}
message GtwEvent
{
required int32 eventType = 1; //GtwEventType,事件类型
required string desc = 2; //事件描述
}
message ProgramStatus
{
required Common.ProgramStatus programStatus = 1; //当前程序状态
}
message ConnectStatus
{
required bool qotLogined = 1; //是否登陆行情服务器
required bool trdLogined = 2; //是否登陆交易服务器
}
message QotRight
{
required int32 hkQotRight = 4; //港股行情权限, QotRight
required int32 usQotRight = 5; //美股行情权限, QotRight
required int32 cnQotRight = 6; //A股行情权限, QotRight
}
message APILevel
{
required string apiLevel = 3; //api用户等级描述
}
message S2C
{
required int32 type = 1; //通知类型
optional GtwEvent event = 2; //事件通息
optional ProgramStatus programStatus = 3; //程序状态
optional ConnectStatus connectStatus = 4; //连接状态
optional QotRight qotRight = 5; //行情权限
optional APILevel apiLevel = 6; //用户等级
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType,返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
Note
- Notify是系统推送协议
- FutuOpenD将内部的一些重要运行状态通知到client前端，可用于前端的管理平台监控处理
KeepAlive.proto - 1004保活心跳¶
import "Common.proto";
message C2S
{
required int64 time = 1; //客户端发包时的格林威治时间戳，单位秒
}
message S2C
{
required int64 time = 1; //服务器回包时的格林威治时间戳，单位秒
}
message Request
{
required C2S c2s = 1;
}
message Response
{
required int32 retType = 1 [default = -400]; //RetType,返回结果
optional string retMsg = 2;
optional int32 errCode = 3;
optional S2C s2c = 4;
}
Note
- 心跳时间间隔由 InitConnect 协议返回，若FutuOpenD在30秒内未收到一次心跳，将主动断开连接
Common.proto - 通用定义¶
RetType - 协议返回值¶
//返回结果
enum RetType
{
RetType_Succeed = 0; //成功
RetType_Failed = -1; //失败
RetType_TimeOut = -100; //超时
RetType_Unknown = -400; //未知结果
}
Note
- RetType 定义协议请求返回值
- 请求失败情况，除网络超时外，其它具体原因参见各协议定义的retMsg字段
PacketID - 请求包标识¶
//包的唯一标识，用于回放攻击的识别和保护
message PacketID
{
required uint64 connID = 1; //当前TCP连接的连接ID，一条连接的唯一标识，InitConnect协议会返回
required uint32 serialNo = 2; //包头中的包自增序列号
}
Note
- PacketID 用于唯一标识一次请求
- serailNO 由请求方自定义填入包头，为防回放攻击要求自增，否则新的请求将被忽略
ProgramStatus - 程序的当前状态¶
//程序的当前状态
enum ProgramStatusType
{
ProgramStatusType_None = 0;
ProgramStatusType_Loaded = 1; //已完成类似加载配置,启动服务器等操作,服务器启动之前的状态无需返回
ProgramStatusType_Loging = 2; //登录中
ProgramStatusType_NeedPicVerifyCode = 3; //需要图形验证码
ProgramStatusType_NeedPhoneVerifyCode = 4; //需要手机验证码
ProgramStatusType_LoginFailed = 5; //登录失败,详细原因在描述返回
ProgramStatusType_ForceUpdate = 6; //客户端版本过低
ProgramStatusType_NessaryDataPreparing = 7; //正在拉取类似免责声明等一些必要信息
ProgramStatusType_NessaryDataMissing = 8; //缺少必要信息
ProgramStatusType_UnAgreeDisclaimer = 9; //未同意免责声明
ProgramStatusType_Ready = 10; //可以接收业务协议收发,正常可用状态
//OpenD登录后被强制退出登录，会导致连接全部断开,需要重连后才能得到以下该状态（并且需要在ui模式下）
ProgramStatusType_ForceLogout = 11; //被强制退出登录,例如修改了登录密码,中途打开设备锁等,详细原因在描述返回
}
message ProgramStatus
{
required ProgramStatusType type = 1; //当前状态
optional string strExtDesc = 2; // 额外描述
}
Qot_Common.proto - 行情通用定义¶
QotMarket - 行情市场¶
enum QotMarket { QotMarket_Unknown = 0; //未知市场 QotMarket_HK_Security = 1; //港股 QotMarket_HK_Future = 2; //港期货(目前是恒指的当月、下月期货行情) QotMarket_CNSH_Security = 21; //沪股 QotMarket_CNSZ_Security = 22; //深股 }Note
- QotMarket定义一支证券所属的行情市场分类
- QotMarket_HK_Future 港股期货，目前仅支持 999010(恒指当月期货)、999011(恒指下月期货)
SecurityType - 证券类型¶
enum SecurityType { SecurityType_Unknown = 0; //未知 SecurityType_Bond = 1; //债券 SecurityType_Bwrt = 2; //一揽子权证 SecurityType_Eqty = 3; //正股 SecurityType_Trust = 4; //信托,基金 SecurityType_Warrant = 5; //涡轮 SecurityType_Index = 6; //指数 SecurityType_Plate = 7; //板块 SecurityType_Drvt = 8; //期权 SecurityType_PlateSet = 9; //板块集 }
PlateSetType - 板块集合类型¶
enum PlateSetType { PlateSetType_All = 0; //所有板块 PlateSetType_Industry = 1; //行业板块 PlateSetType_Region = 2; //地域板块,港美股市场的地域分类数据暂为空 PlateSetType_Concept = 3; //概念板块 PlateSetType_Other = 4; //其他板块, 仅用于3207（获取股票所属板块）协议返回,不可作为其他协议的请求参数 }Note
- Qot_GetPlateSet 请求参数类型
WarrantType - 窝轮类型¶
enum WarrantType { WarrantType_Unknown = 0; //未知 WarrantType_Buy = 1; //认购 WarrantType_Sell = 2; //认沽 WarrantType_Bull = 3; //牛 WarrantType_Bear = 4; //熊 WarrantType_InLine = 5; //界内证 };
OptionType - 期权类型¶
enum OptionType { OptionType_Unknown = 0; //未知 OptionType_Call = 1; //认购 OptionType_Put = 2; //认沽 };
QotMarketState - 行情市场状态¶
enum QotMarketState { QotMarketState_None = 0; // 无交易,美股未开盘 QotMarketState_Auction = 1; // 竞价 QotMarketState_WaitingOpen = 2; // 早盘前等待开盘 QotMarketState_Morning = 3; // 早盘 QotMarketState_Rest = 4; // 午间休市 QotMarketState_Afternoon = 5; // 午盘 QotMarketState_Closed = 6; // 收盘 QotMarketState_PreMarketBegin = 8; // 盘前 QotMarketState_PreMarketEnd = 9; // 盘前结束 QotMarketState_AfterHoursBegin = 10; // 盘后 QotMarketState_AfterHoursEnd = 11; // 盘后结束 QotMarketState_NightOpen = 13; // 夜市开盘 QotMarketState_NightEnd = 14; // 夜市收盘 QotMarketState_FutureDayOpen = 15; // 期指日市开盘 QotMarketState_FutureDayBreak = 16; // 期指日市休市 QotMarketState_FutureDayClose = 17; // 期指日市收盘 QotMarketState_FutureDayWaitForOpen = 18; // 期指日市等待开盘 QotMarketState_HkCas = 19; // 盘后竞价,港股市场增加CAS机制对应的市场状态 }
TradeDateType - 交易时间类型¶
enum TradeDateType { TradeDateType_Whole = 0; //全天交易 TradeDateType_Morning = 1; //上午交易，下午休市 TradeDateType_Afternoon = 2; //下午交易，上午休市 }
RehabType - K线复权类型¶
enum RehabType { RehabType_None = 0; //不复权 RehabType_Forward = 1; //前复权 RehabType_Backward = 2; //后复权 }
KLType - K线类型¶
//枚举值兼容旧协议定义 //新类型季K,年K,3分K暂时没有支持历史K线 enum KLType { KLType_1Min = 1; //1分K KLType_Day = 2; //日K KLType_Week = 3; //周K KLType_Month = 4; //月K KLType_Year = 5; //年K KLType_5Min = 6; //5分K KLType_15Min = 7; //15分K KLType_30Min = 8; //30分K KLType_60Min = 9; //60分K KLType_3Min = 10; //3分K KLType_Quarter = 11; //季K }
KLFields - K线数据字段¶
enum KLFields { KLFields_High = 1; //最高价 KLFields_Open = 2; //开盘价 KLFields_Low = 4; //最低价 KLFields_Close = 8; //收盘价 KLFields_LastClose = 16; //昨收价 KLFields_Volume = 32; //成交量 KLFields_Turnover = 64; //成交额 KLFields_TurnoverRate = 128; //换手率 KLFields_PE = 256; //市盈率 KLFields_ChangeRate = 512; //涨跌幅 }
SubType - 行情定阅类型¶
//订阅类型 //枚举值兼容旧协议定义 enum SubType { SubType_None = 0; SubType_Basic = 1; //基础报价 SubType_OrderBook = 2; //摆盘 SubType_Ticker = 4; //逐笔 SubType_RT = 5; //分时 SubType_KL_Day = 6; //日K SubType_KL_5Min = 7; //5分K SubType_KL_15Min = 8; //15分K SubType_KL_30Min = 9; //30分K SubType_KL_60Min = 10; //60分K SubType_KL_1Min = 11; //1分K SubType_KL_Week = 12; //周K SubType_KL_Month = 13; //月K SubType_Broker = 14; //经纪队列 SubType_KL_Qurater = 15; //季K SubType_KL_Year = 16; //年K SubType_KL_3Min = 17; //3分K }
TickerDirection - 逐笔方向¶
enum TickerDirection { TickerDirection_Bid = 1; //外盘 TickerDirection_Ask = 2; //内盘 TickerDirection_Neutral = 3; //中性盘 }
TickerType - 逐笔类型¶
//逐笔类型 enum TickerType { TickerType_Unknown = 0; //未知 TickerType_Automatch = 1; //自动对盘 TickerType_Late = 2; //开市前成交盘 TickerType_NoneAutomatch = 3; //非自动对盘 TickerType_InterAutomatch = 4; //同一证券商自动对盘 TickerType_InterNoneAutomatch = 5; //同一证券商非自动对盘 TickerType_OddLot = 6; //碎股交易 TickerType_Auction = 7; //竞价交易 TickerType_Bulk = 8; //批量交易 TickerType_Crash = 9; //现金交易 TickerType_CrossMarket = 10; //跨市场交易 TickerType_BulkSold = 11; //批量卖出 TickerType_FreeOnBoard = 12; //离价交易 TickerType_Rule127Or155 = 13; //第127条交易（纽交所规则）或第155条交易 TickerType_Delay = 14; //延迟交易 TickerType_MarketCenterClosePrice = 15; //中央收市价 TickerType_NextDay = 16; //隔日交易 TickerType_MarketCenterOpening = 17; //中央开盘价交易 TickerType_PriorReferencePrice = 18; //前参考价 TickerType_MarketCenterOpenPrice = 19; //中央开盘价 TickerType_Seller = 20; //卖方 TickerType_T = 21; //T类交易(盘前和盘后交易) TickerType_ExtendedTradingHours = 22; //延长交易时段 TickerType_Contingent = 23; //合单交易 TickerType_AvgPrice = 24; //平均价成交 TickerType_OTCSold = 25; //场外售出 TickerType_OddLotCrossMarket = 26; //碎股跨市场交易 TickerType_DerivativelyPriced = 27; //衍生工具定价 TickerType_ReOpeningPriced = 28; //再开盘定价 TickerType_ClosingPriced = 29; //收盘定价 TickerType_ComprehensiveDelayPrice = 30; //综合延迟价格 }
PushDataType - 推送数据来源分类，目前只有逐笔在使用¶
//推送数据来源分类，目前只有逐笔在使用 enum PushDataType { PushDataType_Unknow = 0; PushDataType_Realtime = 1; //实时推送的数据 PushDataType_ByDisConn = 2; //对后台行情连接断开期间拉取补充的数据 最多50个 PushDataType_Cache = 3; //非实时非连接断开补充数据 }
DarkStatus - 暗盘交易状态¶
//暗盘交易状态 enum DarkStatus { DarkStatus_None = 0; //无暗盘交易 DarkStatus_Trading = 1; //暗盘交易中 DarkStatus_End = 2; //暗盘交易结束 }
CompanyAct - 公司行动¶
//公司行动 enum CompanyAct { CompanyAct_None = 0; //无 CompanyAct_Split = 1; //拆股 CompanyAct_Join = 2; //合股 CompanyAct_Bonus = 4; //送股 CompanyAct_Transfer = 8; //转赠股 CompanyAct_Allot = 16; //配股 CompanyAct_Add = 32; //增发股 CompanyAct_Dividend = 64; //现金分红 CompanyAct_SPDividend = 128; //特别股息 }
HolderCategory - 持有者类别¶
enum HolderCategory { HolderCategory_Unknow = 0; //未知 HolderCategory_Agency = 1; //机构 HolderCategory_Fund = 2; //基金 HolderCategory_SeniorManager = 3; //高管 }
SortField - 涡轮排序¶
enum SortField { SortField_Unknow = 0; SortField_Code = 1; //代码 SortField_CurPrice = 2; //最新价 SortField_PriceChangeVal = 3; //涨跌额 SortField_ChangeRate = 4; //涨跌幅% SortField_Status = 5; //状态 SortField_BidPrice = 6; //买入价 SortField_AskPrice = 7; //卖出价 SortField_BidVol = 8; //买量 SortField_AskVol = 9; //卖量 SortField_Volume = 10; //成交量 SortField_Turnover = 11; //成交额 SortField_Amplitude = 30; //振幅% //以下排序字段只支持用于Qot_GetWarrant协议 SortField_Score = 12; //综合评分 SortField_Premium = 13; //溢价% SortField_EffectiveLeverage = 14; //有效杠杆 SortField_Delta = 15; //对冲值,仅认购认沽支持该字段 SortField_ImpliedVolatility = 16; //引伸波幅,仅认购认沽支持该字段 SortField_Type = 17; //类型 SortField_StrikePrice = 18; //行权价 SortField_BreakEvenPoint = 19; //打和点 SortField_MaturityTime = 20; //到期日 SortField_ListTime = 21; //上市日期 SortField_LastTradeTime = 22; //最后交易日 SortField_Leverage = 23; //杠杆比率 SortField_InOutMoney = 24; //价内/价外% SortField_RecoveryPrice = 25; //收回价,仅牛熊证支持该字段 SortField_ChangePrice = 26; // 换股价 SortField_Change = 27; //换股比率 SortField_StreetRate = 28; //街货比% SortField_StreetVol = 29; //街货量 SortField_WarrantName = 31; // 窝轮名称 SortField_Issuer = 32; //发行人 SortField_LotSize = 33; // 每手 SortField_IssueSize = 34; //发行量 SortField_UpperStrikePrice = 45; //上限价，仅用于界内证 SortField_LowerStrikePrice = 46; //下限价，仅用于界内证 SortField_InLinePriceStatus = 47; //界内界外，仅用于界内证 //以下排序字段只支持用于Qot_GetPlateSecurity协议，并仅支持美股 SortField_PreCurPrice = 35; //盘前最新价 SortField_AfterCurPrice = 36; //盘后最新价 SortField_PrePriceChangeVal = 37; //盘前涨跌额 SortField_AfterPriceChangeVal = 38; //盘后涨跌额 SortField_PreChangeRate = 39; //盘前涨跌幅% SortField_AfterChangeRate = 40; //盘后涨跌幅% SortField_PreAmplitude = 41; //盘前振幅% SortField_AfterAmplitude = 42; //盘后振幅% SortField_PreTurnover = 43; //盘前成交额 SortField_AfterTurnover = 44; //盘后成交额 }
Issuer - 涡轮发行人¶
enum Issuer { Issuer_Unknow = 0; //未知 Issuer_SG = 1; //法兴 Issuer_BP = 2; //法巴 Issuer_CS = 3; //瑞信 Issuer_CT = 4; //花旗 Issuer_EA = 5; //东亚 Issuer_GS = 6; //高盛 Issuer_HS = 7; //汇丰 Issuer_JP = 8; //摩通 Issuer_MB = 9; //麦银 Issuer_SC = 10; //渣打 Issuer_UB = 11; //瑞银 Issuer_BI = 12; //中银 Issuer_DB = 13; //德银 Issuer_DC = 14; //大和 Issuer_ML = 15; //美林 Issuer_NM = 16; //野村 Issuer_RB = 17; //荷合 Issuer_RS = 18; //苏皇 Issuer_BC = 19; //巴克莱 Issuer_HT = 20; //海通 Issuer_VT = 21; //瑞通 Issuer_KC = 22; //比联 Issuer_MS = 23; //摩利 }
IpoPeriod - 涡轮上市日¶
enum IpoPeriod { IpoPeriod_Unknow = 0; //未知 IpoPeriod_Today = 1; //今日上市 IpoPeriod_Tomorrow = 2; //明日上市 IpoPeriod_Nextweek = 3; //未来一周上市 IpoPeriod_Lastweek = 4; //过去一周上市 IpoPeriod_Lastmonth = 5; //过去一月上市 }
PriceType - 涡轮价(界)外/内¶
enum PriceType { PriceType_Unknow = 0; PriceType_Outside = 1; //价外,界内证表示界外 PriceType_WithIn = 2; //价内,界内证表示界内 }
WarrantStatus - 涡轮状态¶
enum WarrantStatus { WarrantStatus_Unknow = 0; //未知 WarrantStatus_Normal = 1; //正常状态 WarrantStatus_Suspend = 2; //停牌 WarrantStatus_StopTrade = 3; //终止交易 WarrantStatus_PendingListing = 4; //等待上市 }
QotRight - 行情权限¶
enum QotRight { QotRight_Unknow = 0; //未知 QotRight_Bmp = 1; //Bmp，无法订阅 QotRight_Level1 = 2; //Level1 QotRight_Level2 = 3; //Level2 }
StockField - 条件选股的简单属性筛选条件¶
enum StockField { StockField_Unknown = 0; // 未知 StockField_StockCode = 1; // 股票代码，不能填区间上下限值。 StockField_StockName = 2; // 股票名称，不能填区间上下限值。 StockField_CurPrice = 3; // 最新价 例如填写[10,20]值区间 StockField_CurPriceToHighest52WeeksRatio = 4; // (现价 - 52周最高)/52周最高，对应PC端离52周高点百分比 例如填写[-0.8,0]值区间，区间合法范围[-1,0] StockField_CurPriceToLowest52WeeksRatio = 5; // (现价 - 52周最低)/52周最低，对应PC端离52周低点百分比 例如填写[0,100]值区间，区间合法范围[0,正无穷] StockField_HighPriceToHighest52WeeksRatio = 6; // (今日最高 - 52周最高)/52周最高 例如填写[-0.8,0]值区间，区间合法范围[-1,0] StockField_LowPriceToLowest52WeeksRatio = 7; // (今日最低 - 52周最低)/52周最低 例如填写[0,100]值区间，区间合法范围[0,正无穷] StockField_VolumeRatio = 8; // 量比 例如填写[0.5,30]值区间 StockField_BidAskRatio = 9; // 委比 例如填写[-20,85.01]值区间 StockField_LotPrice = 10; // 每手价格 例如填写[40,100]值区间 StockField_MarketVal = 11; // 市值 例如填写[50000000,3000000000]值区间 StockField_PeAnnual = 12; // 市盈率 (静态) 例如填写[-8,65.3]值区间 StockField_PeTTM = 13; // 市盈率TTM 例如填写[-10,20.5]值区间 StockField_PbRate = 14; // 市净率 例如填写[0,0.8]值区间 }
SortDir - 条件选股的排序方向¶
enum SortDir { SortDir_No = 0; // 不排序 SortDir_Ascend = 1; // 升序 SortDir_Descend = 2; // 降序 }
Security - 证券标识¶
message Security { required int32 market = 1; //QotMarket,股票市场 required string code = 2; //股票代码 }
KLine - K线数据点¶
message KLine { required string time = 1; //时间戳字符串 required bool isBlank = 2; //是否是空内容的点,若为ture则只有时间信息 optional double highPrice = 3; //最高价 optional double openPrice = 4; //开盘价 optional double lowPrice = 5; //最低价 optional double closePrice = 6; //收盘价 optional double lastClosePrice = 7; //昨收价 optional int64 volume = 8; //成交量 optional double turnover = 9; //成交额 optional double turnoverRate = 10; //换手率（该字段为百分比字段，展示为小数表示） optional double pe = 11; //市盈率 optional double changeRate = 12; //涨跌幅（该字段为百分比字段，默认不展示%） optional double timestamp = 13; //时间戳 }
BasicQot - 基础报价¶
message OptionBasicQotExData { required double strikePrice = 1; //行权价 required int32 contractSize = 2; //每份合约数 required int32 openInterest = 3; //未平仓合约数 required double impliedVolatility = 4; //隐含波动率（该字段为百分比字段，默认不展示%） required double premium = 5; //溢价（该字段为百分比字段，默认不展示%） required double delta = 6; //希腊值 Delta required double gamma = 7; //希腊值 Gamma required double vega = 8; //希腊值 Vega required double theta = 9; //希腊值 Theta required double rho = 10; //希腊值 Rho } message BasicQot { required Security security = 1; //股票 required bool isSuspended = 2; //是否停牌 required string listTime = 3; //上市日期字符串 required double priceSpread = 4; //向上价差 required string updateTime = 5; //更新时间字符串 required double highPrice = 6; //最高价 required double openPrice = 7; //开盘价 required double lowPrice = 8; //最低价 required double curPrice = 9; //最新价 required double lastClosePrice = 10; //昨收价 required int64 volume = 11; //成交量 required double turnover = 12; //成交额 required double turnoverRate = 13; //换手率（该字段为百分比字段，默认不展示%） required double amplitude = 14; //振幅（该字段为百分比字段，默认不展示%） optional int32 darkStatus = 15; //DarkStatus, 暗盘交易状态 optional OptionBasicQotExData optionExData = 16; //期权特有字段 optional double listTimestamp = 17; //上市日期时间戳 optional double updateTimestamp = 18; //更新时间戳 }
SecurityStaticBasic - 证券基本静态信息¶
message SecurityStaticBasic { required Qot_Common.Security security = 1; //股票 required int64 id = 2; //股票ID required int32 lotSize = 3; //每手数量,期权类型表示一份合约的股数 required int32 secType = 4; //Qot_Common.SecurityType,股票类型 required string name = 5; //股票名字 required string listTime = 6; //上市时间字符串 optional bool delisting = 7; //是否退市 optional double listTimestamp = 8; //上市时间戳 }
WarrantStaticExData - 窝轮额外静态信息¶
message WarrantStaticExData { required int32 type = 1; //Qot_Common.WarrantType,涡轮类型 required Qot_Common.Security owner = 2; //所属正股 }
OptionStaticExData - 期权额外静态信息¶
message OptionStaticExData { required int32 type = 1; //Qot_Common.OptionType,期权 required Qot_Common.Security owner = 2; //标的股 required string strikeTime = 3; //行权日 required double strikePrice = 4; //行权价 required bool suspend = 5; //是否停牌 required string market = 6; //发行市场名字 }
SecurityStaticInfo - 证券静态信息¶
message SecurityStaticInfo { required SecurityStaticBasic basic = 1; //基本股票静态信息 optional WarrantStaticExData warrantExData = 2; //窝轮额外股票静态信息 optional OptionStaticExData optionExData = 3; //期权额外股票静态信息 }
Broker - 买卖经纪摆盘¶
message Broker { required int64 id = 1; //经纪ID required string name = 2; //经纪名称 required int32 pos = 3; //经纪档位 }
Ticker - 逐笔成交¶
message Ticker { required string time = 1; //时间字符串 required int64 sequence = 2; // 唯一标识 required int32 dir = 3; //TickerDirection, 买卖方向 required double price = 4; //价格 required int64 volume = 5; //成交量 required double turnover = 6; //成交额 optional double recvTime = 7; //收到推送数据的本地时间戳，用于定位延迟 optional int32 type = 8; //TickerType, 逐笔类型 optional int32 typeSign = 9; //逐笔类型符号 optional int32 pushDataType = 10; //用于区分推送情况，仅推送时有该字段 optional double timestamp = 11; //时间戳 }
OrderBook - 买卖十档摆盘¶
message OrderBook { required double price = 1; //委托价格 required int64 volume = 2; //委托数量 required int32 orederCount = 3; //委托订单个数 }
SubInfo - 单个定阅类型信息¶
message SubInfo { required int32 subType = 1; //Qot_Common.SubType,订阅类型 repeated Qot_Common.Security securityList = 2; //订阅该类型行情的证券 }
ConnSubInfo - 单条连接定阅信息¶
message ConnSubInfo { repeated SubInfo subInfoList = 1; //该连接订阅信息 required int32 usedQuota = 2; //该连接已经使用的订阅额度 required bool isOwnConnData = 3; //用于区分是否是自己连接的数据 }Note
- 一条连接重复定阅其它连接已经订阅过的，不会额外消耗订阅额度
PlateInfo - 单条连接定阅信息¶
message PlateInfo { required Qot_Common.Security plate = 1; //板块 required string name = 2; //板块名字 optional int32 plateType = 3; //PlateSetType 板块类型, 仅3207（获取股票所属板块）协议返回该字段 }
Rehab - 复权信息¶
message Rehab { required string time = 1; //时间字符串 required int64 companyActFlag = 2; //公司行动(CompanyAct)组合标志位,指定某些字段值是否有效 required double fwdFactorA = 3; //前复权因子A required double fwdFactorB = 4; //前复权因子B required double bwdFactorA = 5; //后复权因子A required double bwdFactorB = 6; //后复权因子B optional int32 splitBase = 7; //拆股(例如，1拆5，Base为1，Ert为5) optional int32 splitErt = 8; optional int32 joinBase = 9; //合股(例如，50合1，Base为50，Ert为1) optional int32 joinErt = 10; optional int32 bonusBase = 11; //送股(例如，10送3, Base为10,Ert为3) optional int32 bonusErt = 12; optional int32 transferBase = 13; //转赠股(例如，10转3, Base为10,Ert为3) optional int32 transferErt = 14; optional int32 allotBase = 15; //配股(例如，10送2, 配股价为6.3元, Base为10, Ert为2, Price为6.3) optional int32 allotErt = 16; optional double allotPrice = 17; optional int32 addBase = 18; //增发股(例如，10送2, 增发股价为6.3元, Base为10, Ert为2, Price为6.3) optional int32 addErt = 19; optional double addPrice = 20; optional double dividend = 21; //现金分红(例如，每10股派现0.5元,则该字段值为0.05) optional double spDividend = 22; //特别股息(例如，每10股派特别股息0.5元,则该字段值为0.05) optional double timestamp = 23; //时间戳 }
Trd_Common.proto - 交易通用定义¶
OrderStatus - 订单状态¶
enum OrderStatus { OrderStatus_Unsubmitted = 0; //未提交 OrderStatus_Unknown = -1; //未知状态 OrderStatus_WaitingSubmit = 1; //等待提交 OrderStatus_Submitting = 2; //提交中 OrderStatus_SubmitFailed = 3; //提交失败，下单失败 OrderStatus_TimeOut = 4; //处理超时，结果未知 OrderStatus_Submitted = 5; //已提交，等待成交 OrderStatus_Filled_Part = 10; //部分成交 OrderStatus_Filled_All = 11; //全部已成 OrderStatus_Cancelling_Part = 12; //正在撤单_部分(部分已成交，正在撤销剩余部分) OrderStatus_Cancelling_All = 13; //正在撤单_全部 OrderStatus_Cancelled_Part = 14; //部分成交，剩余部分已撤单 OrderStatus_Cancelled_All = 15; //全部已撤单，无成交 OrderStatus_Failed = 21; //下单失败，服务拒绝 OrderStatus_Disabled = 22; //已失效 OrderStatus_Deleted = 23; //已删除，无成交的订单才能删除 };
TrdEnv - 交易环境¶
enum TrdEnv { TrdEnv_Simulate = 0; //仿真环境(模拟环境) TrdEnv_Real = 1; //真实环境 }
TrdMarket - 交易市场¶
//交易市场，是大的市场，不是具体品种 enum TrdMarket { TrdMarket_Unknown = 0; //未知市场 TrdMarket_HK = 1; //香港市场 TrdMarket_US = 2; //美国市场 TrdMarket_CN = 3; //大陆市场 TrdMarket_HKCC = 4; //香港A股通市场 }
TrdSide - 交易方向¶
enum TrdSide { //客户端下单只传Buy或Sell即可，SellShort是美股订单时服务器返回有此方向，BuyBack目前不存在，但也不排除服务器会传 TrdSide_Unknown = 0; //未知方向 TrdSide_Buy = 1; //买入 TrdSide_Sell = 2; //卖出 TrdSide_SellShort = 3; //卖空 TrdSide_BuyBack = 4; //买回 }
OrderType - 订单类型¶
enum OrderType { OrderType_Unknown = 0; //未知类型 OrderType_Normal = 1; //普通订单(港股的增强限价订单、A股的限价委托、美股的限价订单) OrderType_Market = 2; //市价订单(目前仅美股) OrderType_AbsoluteLimit = 5; //绝对限价订单(目前仅港股)，只有价格完全匹配才成交，比如你下价格为5元的买单，卖单价格必须也要是5元才能成交，低于5元也不能成交。卖出同理 OrderType_Auction = 6; //竞价订单(目前仅港股)，A股的早盘竞价订单类型不变还是OrderType_Normal OrderType_AuctionLimit = 7; //竞价限价订单(目前仅港股) OrderType_SpecialLimit = 8; //特别限价订单(目前仅港股)，成交规则同增强限价订单，且部分成交后，交易所自动撤销订单 OrderType_SpecialLimit_All = 9; //特别限价且要求全部成交订单(目前仅港股)，要么全部成交，要么自动撤单 }
OrderFillStatus - 一笔成交的状态¶
enum OrderFillStatus { OrderFillStatus_OK = 0; //正常 OrderFillStatus_Cancelled = 1; //成交被取消 OrderFillStatus_Changed = 2; //成交被更改 }
PositionSide - 持仓方向类型¶
enum PositionSide { PositionSide_Unknown = -1; //未知方向 PositionSide_Long = 0; //多仓，默认情况是多仓 PositionSide_Short = 1; //空仓 };
ModifyOrderOp - 修改订单操作类型¶
enum ModifyOrderOp { //港股支持全部操作，美股目前仅支持ModifyOrderOp_Normal和ModifyOrderOp_Cancel ModifyOrderOp_Unknown = 0; //未知操作 ModifyOrderOp_Normal = 1; //修改订单的价格、数量等，即以前的改单 ModifyOrderOp_Cancel = 2; //撤单 ModifyOrderOp_Disable = 3; //失效 ModifyOrderOp_Enable = 4; //生效 ModifyOrderOp_Delete = 5; //删除 };
TrdAccType - 交易账户类型¶
enum TrdAccType { TrdAccType_Unknown = 0; //未知类型 TrdAccType_Cash = 1; //现金账户 TrdAccType_Margin = 2; //保证金账户 };
ReconfirmOrderReason - 确认订单类型¶
enum ReconfirmOrderReason { ReconfirmOrderReason_Unknown = 0; //未知原因 ReconfirmOrderReason_QtyTooLarge = 1; //订单数量太大，确认继续下单并否拆分成多个小订单 ReconfirmOrderReason_PriceAbnormal = 2; //价格异常，偏离当前价太大，确认继续下单 };
TrdHeader - 交易公共参数头¶
message TrdHeader { required int32 trdEnv = 1; //交易环境, 参见TrdEnv的枚举定义 required uint64 accID = 2; //业务账号, 业务账号与交易环境、市场权限需要匹配，否则会返回错误 required int32 trdMarket = 3; //交易市场, 参见TrdMarket的枚举定义 }
TrdAcc - 交易账户¶
message TrdAcc { required int32 trdEnv = 1; //交易环境，参见TrdEnv的枚举定义 required uint64 accID = 2; //业务账号 repeated int32 trdMarketAuthList = 3; //业务账户支持的交易市场权限，即此账户能交易那些市场, 可拥有多个交易市场权限，目前仅单个，取值参见TrdMarket的枚举定义 optional int32 accType = 4; //账户类型，取值见TrdAccType optional string cardNum = 5; //卡号 }
Funds - 账户资金¶
message Funds { required double power = 1; //购买力，3位精度，下同 required double totalAssets = 2; //资产净值 required double cash = 3; //现金 required double marketVal = 4; //证券市值 required double frozenCash = 5; //冻结金额 required double debtCash = 6; //欠款金额 required double avlWithdrawalCash = 7; //可提金额 }
Position - 账户持仓¶
message Position { required uint64 positionID = 1; //持仓ID，一条持仓的唯一标识 required int32 positionSide = 2; //持仓方向，参见PositionSide的枚举定义 required string code = 3; //代码 required string name = 4; //名称 required double qty = 5; //持有数量，2位精度，期权单位是"张"，下同 required double canSellQty = 6; //可卖数量 required double price = 7; //市价，3位精度 optional double costPrice = 8; //成本价，无精度限制，如果没传，代表此时此值无效 required double val = 9; //市值，3位精度 required double plVal = 10; //盈亏金额，3位精度 optional double plRatio = 11; //盈亏比例，无精度限制，如果没传，代表此时此值无效（该字段为百分比字段，默认不展示%） //以下是此持仓今日统计 optional double td_plVal = 21; //今日盈亏金额，3位精度，下同 optional double td_trdVal = 22; //今日交易额 optional double td_buyVal = 23; //今日买入总额 optional double td_buyQty = 24; //今日买入总量 optional double td_sellVal = 25; //今日卖出总额 optional double td_sellQty = 26; //今日卖出总量 }
Order - 订单¶
message Order { required int32 trdSide = 1; //交易方向, 参见TrdSide的枚举定义 required int32 orderType = 2; //订单类型, 参见OrderType的枚举定义 required int32 orderStatus = 3; //订单状态, 参见OrderStatus的枚举定义 required uint64 orderID = 4; //订单号 required string orderIDEx = 5; //扩展订单号(仅查问题时备用) required string code = 6; //代码 required string name = 7; //名称 required double qty = 8; //订单数量，2位精度，期权单位是"张" optional double price = 9; //订单价格，3位精度 required string createTime = 10; //创建时间，严格按YYYY-MM-DD HH:MM:SS或YYYY-MM-DD HH:MM:SS.MS格式传 required string updateTime = 11; //最后更新时间，严格按YYYY-MM-DD HH:MM:SS或YYYY-MM-DD HH:MM:SS.MS格式传 optional double fillQty = 12; //成交数量，2位精度，期权单位是"张" optional double fillAvgPrice = 13; //成交均价，无精度限制 optional string lastErrMsg = 14; //最后的错误描述，如果有错误，会有此描述最后一次错误的原因，无错误为空 optional int32 secMarket = 15; //（2018/07/17新增）证券所属市场，参见TrdSecMarket的枚举定义 optional double createTimestamp = 16; //创建时间戳 optional double updateTimestamp = 17; //最后更新时间戳 optional string remark = 18; //用户备注字符串，最大长度64字节 }
OrderFill - 成交¶
message OrderFill { required int32 trdSide = 1; //交易方向, 参见TrdSide的枚举定义 required uint64 fillID = 2; //成交号 required string fillIDEx = 3; //扩展成交号(仅查问题时备用) optional uint64 orderID = 4; //订单号 optional string orderIDEx = 5; //扩展订单号(仅查问题时备用) required string code = 6; //代码 required string name = 7; //名称 required double qty = 8; //成交数量，2位精度，期权单位是"张" required double price = 9; //成交价格，3位精度 required string createTime = 10; //创建时间（成交时间），严格按YYYY-MM-DD HH:MM:SS或YYYY-MM-DD HH:MM:SS.MS格式传 optional int32 counterBrokerID = 11; //对手经纪号，港股有效 optional string counterBrokerName = 12; //对手经纪名称，港股有效 optional int32 secMarket = 13; //（2018/07/17新增）证券所属市场，参见TrdSecMarket的枚举定义 optional double createTimestamp = 14; //时间戳 optional double updateTimestamp = 15; //最后更新时间戳 optional int32 status = 16; //成交状态, 参见OrderFillStatus的枚举定义 }
MaxTrdQtys - 最大交易数量¶
message MaxTrdQtys { //因目前服务器实现的问题，卖空需要先卖掉持仓才能再卖空，是分开两步卖的，买回来同样是逆向两步；而看多的买是可以现金加融资一起一步买的，请注意这个差异 required double maxCashBuy = 1; //不使用融资，仅自己的现金最大可买整手股数 optional double maxCashAndMarginBuy = 2; //使用融资，自己的现金 + 融资资金总共的最大可买整手股数 required double maxPositionSell = 3; //不使用融券(卖空)，仅自己的持仓最大可卖整手股数 optional double maxSellShort = 4; //使用融券(卖空)，最大可卖空整手股数，不包括多仓 optional double maxBuyBack = 5; //卖空后，需要买回的最大整手股数。因为卖空后，必须先买回已卖空的股数，还掉股票，才能再继续买多。 }
TrdFilterConditions - 过滤条件¶
//过滤条件，条件组合是"与"不是"或"，用于获取订单、成交、持仓等时二次过滤 message TrdFilterConditions { repeated string codeList = 1; //代码过滤，只返回包含这些代码的数据，没传不过滤 repeated uint64 idList = 2; //ID主键过滤，只返回包含这些ID的数据，没传不过滤，订单是orderID、成交是fillID、持仓是positionID optional string beginTime = 3; //开始时间，严格按YYYY-MM-DD HH:MM:SS或YYYY-MM-DD HH:MM:SS.MS格式传，对持仓无效，拉历史数据必须填 optional string endTime = 4; //结束时间，严格按YYYY-MM-DD HH:MM:SS或YYYY-MM-DD HH:MM:SS.MS格式传，对持仓无效，拉历史数据必须填 }