Openctp/Python 接入新浪/腾讯 行情

本篇文章主要介绍如何通过openctp dll的方式，使用 python 快速接入新浪/腾讯 行情

环境信息

Win64 / CTPAPI 6.6.7 / Python 3.9.10

准备文件

准备需要的文件：

_thostmduserapi.pyd
thostmduserapi.py
thostmduserapi_se.dll
md_demo.py

文件来源:

https://github.com/krenx1983/openctp/blob/master/ctpapi-python/6.6.7_20220613/win64/thostmduserapi.py
https://github.com/krenx1983/openctp/blob/master/ctpapi-python/6.6.7_20220613/win64/py39/_thostmduserapi.pyd

新浪使用

https://github.com/krenx1983/openctp/blob/master/ctp2Sina%E8%A1%8C%E6%83%85/6.6.7_20220304/win64/thostmduserapi_se.dll

腾讯使用

https://github.com/krenx1983/openctp/blob/master/ctp2QQ%E8%A1%8C%E6%83%85/6.6.7_20220304/win64/thostmduserapi_se.dll

md_demo.py 如下

# date: 2023/03/13
# author: Jedore
# github: https://github.com/Jedore

import thostmduserapi as mdapi


class CFtdcMdSpi(mdapi.CThostFtdcMdSpi):

    def __init__(self, tapi):
        mdapi.CThostFtdcMdSpi.__init__(self)
        self.tapi = tapi

    def OnRtnDepthMarketData(self, pDepthMarketData: mdapi.CThostFtdcDepthMarketDataField):
        print(pDepthMarketData.TradingDay,
              pDepthMarketData.reserve1,
              pDepthMarketData.ExchangeID,
              pDepthMarketData.reserve2,
              pDepthMarketData.LastPrice,
              pDepthMarketData.InstrumentID,
              pDepthMarketData.AveragePrice)


def main():
    mduserapi = mdapi.CThostFtdcMdApi.CreateFtdcMdApi()
    mduserspi = CFtdcMdSpi(mduserapi)
    mduserapi.RegisterSpi(mduserspi)
    mduserapi.Init()
    instruments = ["600000", "000001", "00700", "AAPL"]
    mduserapi.SubscribeMarketData([i.encode('utf8') for i in instruments], len(instruments))
    input()


if __name__ == '__main__':
    main()

执行

python md_demo.py
20230313  SZSE  13.05 000001 0.0
20230313  HKEX  344.8 00700 0.0
20230313  SSE  7.06 600000 0.0
20230313  NASD  148.5 AAPL 0.0
20230313  SZSE  13.05 000001 0.0
20230313  HKEX  344.8 00700 0.0
20230313  SSE  7.06 600000 0.0
20230313  NASD  148.5 AAPL 0.0
20230313  SZSE  13.05 000001 0.0
20230313  HKEX  344.8 00700 0.0
20230313  SSE  7.06 600000 0.0
20230313  NASD  148.5 AAPL 0.0

注意一定使用正确的Python版本及CTPAPI Python动态库

参考

干货！CTP程序免费接A股、港股、美股实时行情

干货！CTP程序接入新浪行情（支持A股、港股、美股）