Aggregates

Receive aggregated market data for subscribed futures/options contracts.

Parameters

Name	Type	Description
channel*	string	Subscription channel: trades, books, aggregates, candles
symbol*	string	Futures/options contract symbol
afterHours*	bool	Subscribe to after-hours market data. true: after-hours session; false: regular session; default: false

Response

Name	Type	Description
date*	string	Date
type*	string	Futures/options contract type
exchange	string	Exchange
symbol	string	Product symbol
name	string	Product name
previousClose	number	Previous closing price
openPrice	number	Opening price
openTime	number	Time of the opening-price trade
highPrice	number	Highest price
highTime	number	Time of the highest-price trade
lowPrice	number	Lowest price
lowTime	number	Time of the lowest-price trade
closePrice	number	Closing price (latest trade price)
closeTime	number	Time of the closing-price (latest-price) trade
avgPrice	number	Average trade price for the day
change	number	Change in the latest trade price
changePercent	number	Percentage change in the latest trade price
amplitude	number	Intraday amplitude
lastPrice	number	Latest price (including trial matching)
lastSize	number	Latest trade size (including trial matching)
total	object	Trading statistics
>> tradeVolume	number	Cumulative trade volume
>> tradeVolumeAtBid	number	Bid-side matched volume
>> tradeVolumeAtAsk	number	Ask-side matched volume
lastTrade	object	Latest trade details
>> price	number	Latest trade price
>> size	number	Latest trade size
>> time	number	Latest trade time
>> serial	number	Latest trade serial number
lastTrial	object	Latest trial-matching details (available during trial matching only)
>> bid	number	Latest trial bid price
>> ask	number	Latest trial ask price
>> price	number	Latest trial-matching price
>> size	number	Latest trial-matching size
>> time	number	Latest trial-matching time
>> serial	string	Latest trial-matching serial number
serial	number	Serial number
lastUpdated	number	Last updated time

Trial-matching fields

lastTrial contains the latest pre-open trial-matching indication (bid/ask/price/size/time/serial). Availability depends on advanced futures/options market data support. Once trial matching ends at market open, refer to the current specification for its update behavior.

Example

Subscribe channel

Python

from fubon_neo.sdk import FubonSDK, Order, Mode

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")  # Login is required to obtain market-data permissions

sdk.init_realtime(Mode.Normal) # Initialize the market-data connection

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

Node.js

const { FubonSDK, Mode } = 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); // Initialize the market-data connection

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;
using FugleMarketData.WebsocketModels;

var sdk = new FubonSDK();

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

sdk.InitRealtime(Mode.Normal); // Initialize the market-data connection

var futopt = sdk.MarketData.WebSocketClient.FutureOption;

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

await futopt.Connect();

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

Subscribe to multiple products

To subscribe to multiple products at the same time, see Subscribe Channel.

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"
        },
        "lastTrial": {
            "bid": 17734,
            "ask": 17736,
            "price": 17735,
            "size": 1,
            "time": 1703551499000000,
            "serial": "00000003"
        },
        "serial": 136127,
        "lastUpdated": 1703569500075000
    },
    "id": "<CHANNEL_ID>",
    "channel": "aggregates"
}