Aggregates

Subscribe to aggregated market data for stocks

Parameters

Name	Type	Description
channel*	string	Subscribe Channel：trades, candles, books, aggregates, indices
symbol*	string	Stock Number
intradayOddLot	boolean	intradayOddLot true: intraday OddLot, false: Common Stock, default: false

Response

Name	Type	Description
date*	string	Date
type*	string	Ticker Type
exchange*	string	Exchange
market	string	Market Type
symbol*	string	Stock Number
name*	string	Stock Abbreviation in Chinese
referencePrice	number	Reference Price
previousClose	number	The closing price of the previous trading day.
openPrice	number	Opening Price
openTime	number	The 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）
bids	object[]	Top 5 bid
>> price	number	Top 5 bid price
>> size	number	Top 5 bid volume
asks	object[]	Top 5 ask
>> price	number	Top 5 ask price
>> size	number	Top 5 ask volume
total	object	list
>> tradeValue	number	Accumulative Trading Value
>> tradeVolume	number	Accumulative Trading Volume
>> tradeVolumeAtBid	number	Accumulative Bid Volume
>> tradeVolumeAtAsk	number	Accumulative Ask Volume
>> transaction	number	Accumulative Transaction count
>> time	number	Accumulative Time Interval
lastTrade	object	list
>> bid	number	Last Trading Bid Price
>> ask	number	Last Trading Ask Price
>> price	number	Last Trading Price
>> size	number	Last Trading Volume
>> time	number	Last Trading Time
lastTrial	object	list
>> bid	number	Last Trial Bid Price
>> ask	number	Last Trial Ask Price
>> price	number	Last Trial Matched Price
>> size	number	Last Trial Matched Volume
>> time	number	Last Trial Matched Time
isLimitDownPrice	boolean	Last Matched is Fall Stop Price：true
isLimitUpPrice	boolean	Last Matched is Rise Stop Price：true
isLimitDownBid	boolean	Optimal position purchase Fall remarks：true
isLimitUpBid	boolean	Optimal position purchase Rise remarks：true
isLimitDownAsk	boolean	Optimal position Sale Fall remarks：true
isLimitUpAsk	boolean	Optimal position Sale Rise remarks：true
isLimitDownHalt	boolean	Held Match And Instantaneous Fall Trend：true
isLimitUpHalt	boolean	Held Match And Instantaneous Rise Trend：true
isTrial	boolean	Trial：true
isDelayedOpen	boolean	Delayed Open：true
isDelayedClose	boolean	Delayed Close：true
isContinuous	boolean	Last Matched is Continuous Market：true
isOpen	boolean	Open Mark：true
isClose	boolean	Close Mark：true
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

stock = sdk.marketdata.websocket_client.stock
stock.on('message', handle_message)
stock.connect()
stock.subscribe({ 
    'channel': 'aggregates', 
    'symbol': '2330'
})

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 stock = sdk.marketdata.webSocketClient.stock;

stock.connect().then(() => {
  stock.subscribe({ channel: "aggregates", symbol: "0050" });
});

stock.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); // Establish market-data

var stock = sdk.MarketData.WebSocketClient.Stock;

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

await stock.Connect();

await stock.Subscribe(StockChannel.Aggregates, "2330");

Receive data

{
  "event": "data",
  "data": {
    "date": "2023-05-29",
    "type": "EQUITY",
    "exchange": "TWSE",
    "market": "TSE",
    "symbol": "2330",
    "name": "台積電",
    "referencePrice": 566,
    "previousClose": 566,
    "openPrice": 574,
    "openTime": 1685322000049353,
    "highPrice": 574,
    "highTime": 1685322000049353,
    "lowPrice": 564,
    "lowTime": 1685327142152580,
    "closePrice": 568,
    "closeTime": 1685338200000000,
    "avgPrice": 568.77,
    "change": 2,
    "changePercent": 0.35,
    "amplitude": 1.77,
    "lastPrice": 568,
    "lastSize": 4778,
    "bids": [
      {
        "price": 567,
        "size": 87
      },
      {
        "price": 566,
        "size": 2454
      },
      {
        "price": 565,
        "size": 611
      },
      {
        "price": 564,
        "size": 609
      },
      {
        "price": 563,
        "size": 636
      }
    ],
    "asks": [
      {
        "price": 568,
        "size": 800
      },
      {
        "price": 569,
        "size": 806
      },
      {
        "price": 570,
        "size": 3643
      },
      {
        "price": 571,
        "size": 1041
      },
      {
        "price": 572,
        "size": 2052
      }
    ],
    "total": {
      "tradeValue": 31019803000,
      "tradeVolume": 54538,
      "tradeVolumeAtBid": 19853,
      "tradeVolumeAtAsk": 27900,
      "transaction": 9530,
      "time": 1685338200000000
    },
    "lastTrade": {
      "bid": 567,
      "ask": 568,
      "price": 568,
      "size": 4778,
      "time": 1685338200000000,
      "serial": 6652422
    },
    "lastTrial": {
      "bid": 567,
      "ask": 568,
      "price": 568,
      "size": 4772,
      "time": 1685338196400347,
      "serial": 6651941
    },
    "isClose": true,
    "serial": 6652422,
    "lastUpdated": 1685338200000000
  },
  "id": "<CHANNEL_ID>",
  "channel": "aggregates"
}