Aggregates

Subscribe to aggregated market data for futures or options

Parameters

Name	Type	Description
channel*	string	Subscribe Channel：trades, candles, books, aggregates
symbol*	string	Contract Code
afterHours*	bool	Subscription AfterHours Session true : AfterHours false : Regular default : false

Response

Name	Type	Description
date*	string	Date
type*	string	Type
exchange	string	Exchange
symbol	string	Contract Code
name	string	Contract Name
previousClose	number	The closing price of the previous trading day
openPrice	number	Opening Price
openTime	number	Opening price transaction time
highPrice	number	Highest Trading Price
highTime	number	Highest Trading Price transaction time
lowPrice	number	Lowest Trading Price
lowTime	number	Lowest Trading Price transaction time
closePrice	number	Close Price
closeTime	number	Close Price transaction time
avgPrice	number	Trading Average Price Today
change	number	Last Trading Price Change
changePercent	number	Last Trading price Change Percentage
amplitude	number	Price Range Today
lastPrice	number	Last Price（include trial）
lastSize	number	Last Trading Volume（include trial）
total	object	List
>> tradeVolume	number	Accumulative Trading Volume
>> tradeVolumeAtBid	number	Accumulative Bid Volume
>> tradeVolumeAtAsk	number	Accumulative Ask Volume
lastTrade	object	List
>> price	number	Last Trading Price
>> size	number	Last Trading Volume
>> time	number	Last Trading Time
>> serial	number	Last Trading Serial Number
serial	number	Serial Number
lastUpdated	number	Last Updated Time

Example

Subscribe channel

Python

from fubon_neo.sdk import FubonSDK, Order

def handle_message(message):
    print(f'market data message: {message}')


sdk = FubonSDK()
accounts = sdk.login("Your ID", "Your password", "Your cert path", "Your cert password")  

sdk.init_realtime(Mode.Normal) # Establish market-data

futopt = sdk.marketdata.websocket_client.futopt
futopt.on('message', handle_message)
futopt.connect()
futopt.subscribe({ 
    'channel': 'aggregates', 
    'symbol': 'TXFA4'
})

Node.js

const { FubonSDK } = require('fubon-neo');

const sdk = new FubonSDK();

const accounts = sdk.login("Your ID", "Your password", "Your cert path", "Your cert password");

sdk.initRealtime(Mode.Normal); // Establish market-data

const futopt = sdk.marketdata.webSocketClient.futopt;

futopt.connect().then(() => {
  futopt.subscribe({ channel: "aggregates", symbol: "TXFA4" });
});

futopt.on("message", (message) => {
  const data = JSON.parse(message);
  console.log(data);
});

C#

using FubonNeo.Sdk;

var sdk = new FubonSDK();

var result = sdk.Login("Your ID", "Your password", "Your cert path", "Your cert password");

sdk.InitRealtime(Mode.Normal); // Establish market-data

var futopt = sdk.MarketData.WebSocketClient.FutureOption;

futopt.OnMessage += (msg) => Console.WriteLine($"receive: { msg }");

await futopt.Connect();

await futopt.Subscribe(FugleMarketData.WebsocketModels.FutureOptionChannel.Aggregates, "TXFA4");

Receive data

{
    "event": "data",
    "data": {
        "date": "2023-12-26",
        "type": "FUTURE",
        "exchange": "TAIFEX",
        "symbol": "TXFA4",
        "name": "臺股期貨014",
        "previousClose": 17622,
        "openPrice": 17651,
        "openTime": 1703551500020000,
        "highPrice": 17740,
        "highTime": 1703560921393000,
        "lowPrice": 17634,
        "lowTime": 1703552892448000,
        "closePrice": 17735,
        "closeTime": 1703569500075000,
        "avgPrice": 17700.51,
        "change": 113,
        "changePercent": 0.64,
        "amplitude": 0.6,
        "lastPrice": 17735,
        "lastSize": 7,
        "total": {
            "tradeVolume": 52553,
            "totalBidMatch": 26280,
            "totalAskMatch": 26273
        },
        "lastTrade": {
            "price": 17735,
            "size": 7,
            "time": 1703569500075000,
            "serial": "00136127"
        },
        "serial": 136127,
        "lastUpdated": 1703569500075000
    },
    "id": "<CHANNEL_ID>",
    "channel": "aggregates"
}