Books

Receive the latest five best bids and asks for subscribed futures/options contracts.

Parameters

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

Response

Name	Type	Description
symbol*	string	Futures/options contract symbol
type*	string	Ticker type
exchange*	string	Exchange
market	string	Market type
time*	number	Time
bids	object[]	Five best bids
>> price	number	Bid price
>> size	number	Bid size
asks	object[]	Five best asks
>> price	number	Ask price
>> size	number	Ask size
derivedBid	object	Derived best bid (one additional level; price/size are 0 when no derived level is available)
>> price	number	Derived bid price
>> size	number	Derived bid size
derivedAsk	object	Derived best ask (one additional level; price/size are 0 when no derived level is available)
>> price	number	Derived ask price
>> size	number	Derived ask size
isTrial	boolean	true during trial matching (present only during the trial-matching phase)

info

'*' indicates fields that are always disclosed.

Derived levels and trial-matching field

• derivedBid/derivedAsk provide an additional derived quote level, primarily for spread contracts. For ordinary futures contracts, price=0 and size=0 are typical.
• isTrial may be true whenever the instrument is in trial matching, including pre-open trial matching and an intraday auction/cooling period. During normal continuous matching, the field may be false or omitted.
• These advanced futures/options market data fields appear only when supported by the service.

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

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

futopt = sdk.marketdata.websocket_client.futopt
futopt.on('message', handle_message)
futopt.connect()
futopt.subscribe({ 
    'channel': 'books', 
    'symbol': 'TXFA4'
    #'afterHours' : True   # After-hours market data
})

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(); // Initialize the market-data connection

const futopt = sdk.marketdata.webSocketClient.futopt;

futopt.connect().then(() => {
  futopt.subscribe({ 
                     channel: "books", 
                     symbol: "TXFA4" 
                     // afterHours: true    // After-hours market data
                   });
});

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();  // 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.Books, "TXFA4");

// await futopt.Subscribe(FugleMarketData.WebsocketModels.FutureOptionChannel.Books,  new FutureOptionParams { Symbol = "TXFC4", AfterHours = true });  // After-hours market data

Subscribe to multiple products

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

Receive data

{
    "event": "data",
    "data": {
        "symbol": "TXFA4",
        "type": "FUTURE",
        "exchange": "TAIFEX",
        "bids": [
          {
            "price": 17539,
            "size": 2
          }, 
          {
            "price": 17538,
            "size": 4
          }, 
          {
            "price": 17537,
            "size": 3
          }, 
          {
            "price": 17536,
            "size": 10
          }, 
          {
            "price": 17535,
            "size": 10
          }
        ],
        "asks": [
          {
            "price": 17541,
            "size": 2
          }, 
          {
            "price": 17542,
            "size": 15
          }, 
          {
            "price": 17543,
            "size": 3
          }, 
          {
            "price": 17544,
            "size": 5
          }, 
          {
            "price": 17545,
            "size": 4
          }
        ],
        "derivedBid": {
          "price": 17540,
          "size": 1
        },
        "derivedAsk": {
          "price": 0,
          "size": 0
        },
        "time": 1702956500113000
    },
    "id": "<CHANNEL_ID>",
    "channel": "books"
}