期货交易的业务规则比较复杂,报单时需要填写不少字段。下面以CTP接口为例,详细说明一下不同的业务指令应该如何填写CTP报单指令。
交易所代码 | 产品类型 | 业务类型 | 价格类型 | 指令类型 | 报单价格条件 OrderPriceType | 触发条件 ContingentCondition | 有效期类型 TimeCondition | 成交量类型 VolumeCondition | 备注 |
CZCE 郑商所 | 期货 | 单腿 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |
FAK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
市价单 | 市价 | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | 剩余未成交部分不允许挂单。 | |||
FAK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
跨期套利 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |||
FAK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
跨品种套利 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |||
FAK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
互换(跨期、跨品种) | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | IsSwapOrder=True, CombOffsetFlag=”01″或”10″ | ||
FAK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | IsSwapOrder=True, CombOffsetFlag=”01″或”10″ | ||||
期权 | 单腿 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | ||
FAK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
FOK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV | |||||
市价单 | 市价 | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | 剩余未成交部分不允许挂单。 | |||
FAK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
FOK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV | |||||
跨式套利 | 限价单 | FAK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||
FOK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV | |||||
宽跨式套利 | 限价单 | FAK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||
FOK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV | |||||
DCE 大商所 | 期货 | 单腿 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |
FAK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
FOK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV | |||||
止损 | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Touch | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |||||
止盈 | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_TouchProfit | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |||||
市价单 | 市价 | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | 市价单,剩余未成交部分转为涨跌停价限价单 | |||
FAK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
FOK | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV | |||||
止损 | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Touch | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | 当市场最新价触及投资者预先设定止损价(或止盈价)时,指令立即转为市价指令。 | ||||
止盈 | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_TouchProfit | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |||||
套利 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | 大连套利单不支持限价fak fok。 | ||
互换 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | IsSwapOrder=True, , CombOffsetFlag=”01″或”10″, 大连互换单不支持限价fak fok。 | ||
期权 | 单腿 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | ||
FAK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
FOK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV | |||||
止损 | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_Touch | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |||||
止盈 | THOST_FTDC_OPT_AnyPrice | THOST_FTDC_CC_TouchProfit | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |||||
SHFE 上期所 | 期货/期权 | 单腿 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |
FAK任意成交数量 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
FAK指定成交数量 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_MV | MinVolume填非0值 | ||||
FOK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV | |||||
CFFEX 中金所 | 期货 | 单腿 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | |
FAK任意成交数量 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | 立即成交剩余指令自动撤销 | ||||
FAK指定成交数量 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_MV | MinVolume填非0值, 指定数量成交剩余指令自动撤销 | ||||
FOK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV | 立即全部成交否则自动撤销 | ||||
市价单 | 五档市价 | THOST_FTDC_OPT_FiveLevelPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | 市价单与对手方五档价格报单尝试成交,剩余未成交部分撤销 | |||
五档市价转限价 | THOST_FTDC_OPT_FiveLevelPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | 市价单与对手方五档价格报单尝试成交,剩余未成交部分转为最新价限价单 | ||||
最优价 | THOST_FTDC_OPT_BestPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | 市价单与对手方最优一档价格报单尝试成交,剩余未成交部分撤销 | ||||
最优价转限价 | THOST_FTDC_OPT_BestPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | 市价单与对手方最优一档价格报单尝试成交,剩余未成交部分转为最新价限价单 | ||||
期权 | 单腿 | 限价单 | 限价 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_GFD | THOST_FTDC_VC_AV | ||
FAK任意成交数量 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_AV | |||||
FAK指定成交数量 | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_MV | MinVolume填非0值 | ||||
FOK | THOST_FTDC_OPT_LimitPrice | THOST_FTDC_CC_Immediately | THOST_FTDC_TC_IOC | THOST_FTDC_VC_CV |