The A-share market data L2 interface has the advantages of more complete data and more timely push speed, helping investors to grasp the main intraday capital flows in a timely manner and make more accurate investment decisions. In short, the biggest function of Level-2 is to see the main orders in advance, which is very useful for chasing the daily limit. It is very useful to compare the L2 market data with the A-share market interface. We have been used as basic data for trading systems. We have level2 data on the Internet, which has a statistical analysis tool to see large orders, small orders and active trends.
The Level-2 product is a real-time market information charging service launched by the Shanghai Stock Exchange, which mainly provides real-time transaction data for securities products listed and traded on the Shanghai Stock Exchange. Including new data such as ten market snapshots, transaction queues, transaction by transaction, total entrustment, weighted price, etc. Investors who use Level-2 software can see market makers and retail investors buying and selling stocks at any time during the opening hours.
# New subscription
def add_subscription():
# Example ProtoBuf protocol method
String = entity_pb2.String()
# Modify the value of the protocol
# 2: Market code identification (1 is Shanghai Securities, 2 is Shenzhen Securities)
# 000002: Stock Code
# 15: Subscribe to all logos (1 is deal-by-transaction, 2 is order-by-order, 4 is entrustment queue, and 8 is ten-level stock market. If you want to subscribe to all, you can directly fill in 15. The principle is 1+2+4+8, If you want to subscribe to several market quotations, you can add several quotation marks together)
String.value = '2_000002_15'
# String.value = '2_000001_15,2_000002_5,2_000003_12, subscribe in batches'
#rep return code is 1 means success, other status Code can refer to the access document
Result = Stub.AddSubscription(String)
print(Result)