The first is the A-share stock market. For Shanghai Stock Exchange and Shenzhen Stock Exchange, the TA1 second data of level exchange has 3 fast data and time-sharing data, among which the order entrustment data in AQ is 5 market data; for level2 exchange and Shenzhen Stock Exchange For the exchange, the level is still the TAQ data of the 3-second snapshot, the queuing and transaction data of 50 orders in a 3-second snapshot, the real-time push of the Shenzhen Stock Exchange, and the tick-level order entrustment data, of which the order entrustment data of taq2 is 10 There are 5 levels more than the level1 market data; the order entrustment queue data is the order data of a price arranged in order of transaction priority, and there are 50 entrustment queues in total.
To sum up, in fact, only the level 2 line of the Shanghai Stock Exchange provides transaction tick data, which is pushed every 3 seconds; the level 2 market of the Shenzhen Stock Exchange provides transaction and order entrustment tick data, which is pushed in real time in milliseconds.
# Push entrusted queue market data
def order_queue_record_stream():
StreamResult = Stub.NewOrderQueueRecordStream(entity_pb2.Void())
# Use For loop to consume data continuously
for Result in StreamResult:
print(Result)
# Push ten stock market data
def stock_quote_record_stream():
StreamResult = Stub.NewStockQuoteRecordStream(entity_pb2.Void())
# Use For loop to consume data continuously
for Result in StreamResult:
print(Result)