Order book data function

7. Detailed real-time data on price steps within each order book

How to use the library after logging in. Detailed examples are provided at the end of this chapter.

event = client.BidAsk(tickers = tickers, callback = callback)

Paramtere

Parameter	Description	Data type	Required
tickers	Code name, including stock codes, index codes, derivative codes, and covered warrant codes. These codes are written in uppercase.	list [str]	Yes
callback	This is a user-defined function for data manipulation.	function	Yes

The data receiving class is BidAsk, with the following two methods:

callback function

This is a user-defined method for data manipulation, which will be passed as an argument when initializing the data receiving object. This method will have the following format:

//pseudocode
//callback_function
def name_of_callback(data: BidAskData):
    //do something

event = client.BidAsk(tickers = ['ticker_1','ticker_2',,,'ticker_n'], callback = name_of_callback)
event.start()
# tickers can include ticker, coveredwarrant, index and derivative.
event = client.BidAsk(tickers = ['ticker_1','ticker_2',,,'ticker_n'], callback = name_of_callback)
evente.start()

BidAskData has the following methods and attributes:

BidAskData has the following attributes:	Description
to_dataFrame( )	Returns all data attributes instead of individual ones, stored as a Pandas DataFrame.

Data BidAskData has the following attributes:

Name	Description	Data type
ComGroupCode	Company group code	str
StockType	Securities type	str
Ticker	Code name	str
TradingDate	Time	str
Timestamp	Time (rounded to seconds)	str
Spread	Best1Ask - Best1Bid.	float
SpreadDelta	Current spread tick - Previous spread tick	float
DepthImbalance	TotalBidVolume / (TotalBidVolume + TotalAskVolume).	float
TotalBuyTradeVolume	Total buy trading volume	int
TotalSellTradeVolum	Total sell trading volume	int
TotalBidVolume	Total bid volume	int
TotalAskVolume	Total ask volume	int
Best1Bid	Bid price level 1	float
Best2Bid	Bid price level 2	float
Best3Bid	Bid price level 3	float
Best4Bid	Bid price level 4	float
Best5Bid	Bid price level 5	float
Best6Bid	Bid price level 6	float
Best7Bid	Bid price level 7	float
Best8Bid	Bid price level 8	float
Best9Bid	Bid price level 9	float
Best10Bid	Bid price level 10	float
Best1Ask	Ask price level 1	float
Best2Ask	Ask price level 2	float
Best3Ask	Ask price level 3	float
Best4Ask	Ask price level 4	float
Best5Ask	Ask price level 5	float
Best6Ask	Ask price level 6	float
Best7Ask	Ask price level 7	float
Best8Ask	Ask price level 8	float
Best9Ask	Ask price level 9	float
Best10Ask	Ask price level 10	float
Best1BidVolume	Bid volume at bid price level 1	int
Best2BidVolume	Bid volume at bid price level 2	int
Best3BidVolume	Bid volume at bid price level 3	int
Best4BidVolume	Bid volume at bid price level 4	int
Best5BidVolume	Bid volume at bid price level 5	int
Best6BidVolume	Bid volume at bid price level 6	int
Best7BidVolume	Bid volume at bid price level 7	int
Best8BidVolume	Bid volume at bid price level 8	int
Best9BidVolume	Bid volume at bid price level 9	int
Best10BidVolume	Bid volume at bid price level 10	int
Best1AskVolume	Ask volume at bid price level 1	int
Best2AskVolume	Ask volume at bid price level 2	int
Best3AskVolume	Ask volume at bid price level 3	int
Best4AskVolume	Ask volume at bid price level 4	int
Best5AskVolume	Ask volume at bid price level 5	int
Best6AskVolume	Ask volume at bid price level 6	int
Best7AskVolume	Ask volume at bid price level 7	int
Best8AskVolume	Ask volume at bid price level 8	int
Best9AskVolume	Ask volume at bid price level 9	int
Best10AskVolume	Ask volume at bid price level 10	int
BidPriceDelta1	Current best bid price tick difference from previous tick	float
BidPriceDelta2	Current 2nd best bid price tick difference from previous tick.	float
BidPriceDelta3	Current 3rd best bid price tick difference from previous tick.	float
BidPriceDelta4	Current 4th best bid price tick difference from previous tick.	float
BidPriceDelta5	Current 5th best bid price tick difference from previous tick.	float
BidPriceDelta6	Current 6th best bid price tick difference from previous tick.	float
BidPriceDelta7	Current 7th best bid price tick difference from previous tick.	float
BidPriceDelta8	Current 8th best bid price tick difference from previous tick.	float
BidPriceDelta9	Current 9th best bid price tick difference from previous tick.	float
BidPriceDelta10	Current 10th best bid price tick difference from previous tick.	float
AskPriceDelta1	Current best ask price tick difference from previous tick.	float
AskPriceDelta2	Current 2nd best ask price tick difference from previous tick.	float
AskPriceDelta3	Current 3rd best ask price tick difference from previous tick.	float
AskPriceDelta4	Current 4th best ask price tick difference from previous tick.	float
AskPriceDelta5	Current 5th best ask price tick difference from previous tick.	float
AskPriceDelta6	Current 6th best ask price tick difference from previous tick.	float
AskPriceDelta7	Current 7th best ask price tick difference from previous tick.	float
AskPriceDelta8	Current 8th best ask price tick difference from previous tick.	float
AskPriceDelta9	Current 9th best ask price tick difference from previous tick.	float
AskPriceDelta10	Current 10th best ask price tick difference from previous tick.	float
BidVolumeDelta1	Current best bid volume tick difference from previous tick.	int
BidVolumeDelta2	Current 2nd best bid volume tick difference from previous tick.	int
BidVolumeDelta3	Current 3rd best bid volume tick difference from previous tick.	int
BidVolumeDelta4	Current 4th best bid volume tick difference from previous tick.	int
BidVolumeDelta5	Current 5th best bid volume tick difference from previous tick.	int
BidVolumeDelta6	Current 6th best bid volume tick difference from previous tick.	int
BidVolumeDelta7	Current 7th best bid volume tick difference from previous tick.	int
BidVolumeDelta8	Current 8th best bid volume tick difference from previous tick.	int
BidVolumeDelta9	Current 9th best bid volume tick difference from previous tick.	int
BidVolumeDelta10	Current 10th best bid volume tick difference from previous tick.	int
AskVolumeDelta1	Current best ask volume tick difference from previous tick.	int
AskVolumeDelta2	Current 2nd best ask volume tick difference from previous tick.	int
AskVolumeDelta3	Current 3rd best ask volume tick difference from previous tick.	int
AskVolumeDelta4	Current 4th best ask volume tick difference from previous tick.	int
AskVolumeDelta5	Current 5th best ask volume tick difference from previous tick.	int
AskVolumeDelta6	Current 6th best ask volume tick difference from previous tick.	int
AskVolumeDelta7	Current 7th best ask volume tick difference from previous tick.	int
AskVolumeDelta8	Current 8th best ask volume tick difference from previous tick.	int
AskVolumeDelta9	Current 9th best ask volume tick difference from previous tick.	int
AskVolumeDelta10	Current 10th best ask volume tick difference from previous tick.	int
VWAPBid	Average price that buyers are willing to pay.	float
VWAPAsk	Average price that sellers are willing to pay.	float
VWAPBidSpread	Difference between best bid price (Best1Bid) and VWAP Bid.	float
VWAPAskSpread	Difference between VWAP Ask and best ask price (Best1Ask).	float
VWAPBidAskSpread	Difference between VWAP Ask and VWAP Bid.	float
OrderFlowImbalance	VWAP Bid Spread / (VWAP Bid Spread + VWAP Ask Spread).	float

Example of Order Book Data (BidAskData):

import FiinQuantX as fq
from FiinQuantX import BidAskData
import pandas as pd
import time

client = fq.FiinSession(
    username='Enter your username',
    password='Enter your password'
)
client.login()

tickers = ['HPG','VNINDEX','VN30F1M']

def onTickerEvent(data: RealTimeData):
    print('----------------')
    print(data.to_dataFrame())
    # data.to_dataFrame().to_csv('callback.csv', mode='a', header=True)
Events = client.BidAsk(tickers=tickers, callback = onTickerEvent)
Events.start()

try:
    while not Events._stop: 
        time.sleep(1)
except KeyboardInterrupt:
    print("KeyboardInterrupt received, stopping...")
    Events.stop()