Push Real-time Depth

Real-time depth data push of the subscribed security.

SDK Links

Python	longbridge.openapi.QuoteContext.set_on_depth
Rust	longbridge::quote::QuoteContext#set_on_depth
Go	QuoteContext.OnDepth
Node.js	QuoteContext#setOnDepth
Java	QuoteContext.setOnDepth
C++	longbridge::quote::QuoteContext::set_on_depth

Info

Business Command: 102

Data Format

Properties

Name	Type	Description
symbol	string	Security code, for example: AAPL.US
sequence	int64	Sequence number
ask	object[]	Ask depth
∟ position	int32	Position
∟ price	string	Price
∟ volume	int64	Volume
∟ order_num	int64	Number of orders
bid	object[]	Bid depth
∟ position	int32	Position
∟ price	string	Price
∟ volume	int64	Volume
∟ order_num	int64	Number of orders

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

from time import sleep
from longbridge.openapi import QuoteContext, Config, SubType, PushDepth, OAuthBuilder

def on_depth(symbol: str, event: PushDepth):
    print(symbol, event)

oauth = OAuthBuilder("your-client-id").build(lambda url: print("Visit:", url))
config = Config.from_oauth(oauth)
ctx = QuoteContext(config)
ctx.set_on_depth(on_depth)

ctx.subscribe(["700.HK", "AAPL.US"], [SubType.Depth])
sleep(30)

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
    }
  ]
}