longbridge

syntax = "proto3";

package longbridge.quote.v1;

// 协议指令定义
enum Command {
  UNKNOWN_COMMAND = 0;
  HEART_BEAT = 1; //心跳
  AUTH = 2; //鉴权
  RECONNECT = 3; //重新连接

  QueryUserQuoteProfile = 4; //查询用户行情信息
  Subscription = 5; //查询连接的已订阅数据
  Subscribe = 6; //订阅行情数据
  Unsubscribe = 7; //取消订阅行情数据
  QueryMarketTradePeriod = 8; //查询各市场的当日交易时段
  QueryMarketTradeDay = 9; //查询交易日
  QuerySecurityStaticInfo = 10; //查询标的基础信息
  QuerySecurityQuote = 11; //查询标的行情(所有标的通用行情)
  QueryOptionQuote = 12; //查询期权行情(仅支持期权)
  QueryWarrantQuote = 13; //查询轮证行情(仅支持轮证)
  QueryDepth = 14; //查询盘口
  QueryBrokers = 15; //查询经纪队列
  QueryParticipantBrokerIds = 16; //查询券商经纪席位
  QueryTrade = 17; //查询成交明细
  QueryIntraday = 18; //查询当日分时
  QueryCandlestick = 19; //查询k线
  QueryOptionChainDate = 20; //查询标的期权链日期列表
  QueryOptionChainDateStrikeInfo = 21; //查询标的期权链某日的行权价信息
  QueryWarrantIssuerInfo = 22; //查询轮证发行商对应Id
  QueryWarrantFilterList = 23; //查询轮证筛选列表
  QueryCapitalFlowIntraday = 24; //查询标的的资金流分时
  QueryCapitalFlowDistribution = 25; //查询标的资金流大小单
  QuerySecurityCalcIndex = 26; //查询标的指标数据
  QueryHistoryCandlestick = 27; //查询标的历史 k 线

  PushQuoteData = 101; //推送行情
  PushDepthData = 102; //推送盘口
  PushBrokersData = 103; //推送经纪队列
  PushTradeData = 104; //推送成交明细
}

message SecurityRequest {
  string symbol = 1;
}

message MultiSecurityRequest {
  repeated string symbol = 1;
}

message SecurityStaticInfoResponse {
  repeated StaticInfo secu_static_info = 1;
}

message StaticInfo {
  string symbol = 1;
  string name_cn = 2;
  string name_en = 3;
  string name_hk = 4;
  string listing_date = 5;
  string exchange = 6;
  string currency = 7;
  int32 lot_size = 8;
  int64 total_shares = 9;
  int64 circulating_shares = 10;
  int64 hk_shares = 11;
  string eps = 12;
  string eps_ttm = 13;
  string bps = 14;
  string dividend_yield = 15;
  repeated int32 stock_derivatives = 16;
  string board = 17;
}

message SecurityQuoteResponse {
  repeated SecurityQuote secu_quote = 1;
}

message SecurityQuote {
  string symbol = 1;
  string last_done = 2;
  string prev_close = 3;
  string open = 4;
  string high = 5;
  string low = 6;
  int64 timestamp = 7;
  int64 volume = 8;
  string turnover = 9;
  TradeStatus trade_status = 10;
  PrePostQuote pre_market_quote = 11;
  PrePostQuote post_market_quote = 12;
  PrePostQuote over_night_quote = 13;
}

enum TradeStatus {
  NORMAL = 0;
  HALTED = 1;
  DELISTED = 2;
  FUSE = 3;
  PREPARE_LIST = 4;
  CODE_MOVED = 5;
  TO_BE_OPENED = 6;
  SPLIT_STOCK_HALTS = 7;
  EXPIRED = 8;
  WARRANT_PREPARE_LIST = 9;
  SUSPEND_TRADE = 10;
}

enum TradeSession {
  NORMAL_TRADE = 0;
  PRE_TRADE = 1;
  POST_TRADE = 2;
  OVERNIGHT_TRADE = 3;
}

message PrePostQuote {
  string last_done = 1;
  int64 timestamp = 2;
  int64 volume = 3;
  string turnover = 4;
  string high = 5;
  string low = 6;
  string prev_close = 7;
}

message OptionQuoteResponse {
  repeated OptionQuote secu_quote = 1;
}

message OptionQuote {
  string symbol = 1;
  string last_done = 2;
  string prev_close = 3;
  string open = 4;
  string high = 5;
  string low = 6;
  int64 timestamp = 7;
  int64 volume = 8;
  string turnover = 9;
  TradeStatus trade_status = 10;
  OptionExtend option_extend = 11;
}

message OptionExtend {
  string implied_volatility = 1;
  int64 open_interest = 2;
  string expiry_date = 3;
  string strike_price = 4;
  string contract_multiplier = 5;
  string contract_type = 6;
  string contract_size = 7;
  string direction = 8;
  string historical_volatility = 9;
  string underlying_symbol = 10;
}

message WarrantQuoteResponse {
  repeated WarrantQuote secu_quote = 2;
}

message WarrantQuote {
  string symbol = 1;
  string last_done = 2;
  string prev_close = 3;
  string open = 4;
  string high = 5;
  string low = 6;
  int64 timestamp = 7;
  int64 volume = 8;
  string turnover = 9;
  TradeStatus trade_status = 10;
  WarrantExtend warrant_extend = 11;
}

message WarrantExtend {
  string implied_volatility = 1;
  string expiry_date = 2;
  string last_trade_date = 3;
  string outstanding_ratio = 4;
  int64 outstanding_qty = 5;
  string conversion_ratio = 6;
  string category = 7;
  string strike_price = 8;
  string upper_strike_price = 9;
  string lower_strike_price = 10;
  string call_price = 11;
  string underlying_symbol = 12;
}

message SecurityDepthResponse {
  string symbol = 1;
  repeated Depth ask = 2;
  repeated Depth bid = 3;
}

message Depth {
  int32 position = 1;
  string price = 2;
  int64 volume = 3;
  int64 order_num = 4;
}

message SecurityBrokersResponse {
  string symbol = 1;
  repeated Brokers ask_brokers = 2;
  repeated Brokers bid_brokers = 3;
}

message Brokers {
  int32 position = 1;
  repeated int32 broker_ids = 2;
}

message ParticipantBrokerIdsResponse {
  repeated ParticipantInfo participant_broker_numbers = 1;
}

message ParticipantInfo {
  repeated int32 broker_ids = 1;
  string participant_name_cn = 2;
  string participant_name_en = 3;
  string participant_name_hk = 4;
}

message SecurityTradeRequest {
  string symbol = 1;
  int32 count = 2;
}

message SecurityTradeResponse {
  string symbol = 1;
  repeated Trade trades = 2;
}

message Trade {
  string price = 1;
  int64 volume = 2;
  int64 timestamp = 3;
  string trade_type = 4;
  int32 direction = 5;
  TradeSession trade_session = 6;
}

message SecurityIntradayRequest {
  string symbol = 1;
  int32 trade_session = 2;
}

message SecurityIntradayResponse {
  string symbol = 1;
  repeated Line lines = 2;
}

message Line {
  string price = 1;
  int64 timestamp = 2;
  int64 volume = 3;
  string turnover = 4;
  string avg_price = 5;
}

message SecurityCandlestickRequest {
  string symbol = 1;
  Period period = 2;
  int32 count = 3;
  AdjustType adjust_type = 4;
  int32 trade_session = 5;
}

enum AdjustType {
  NO_ADJUST = 0;
  FORWARD_ADJUST = 1;
}

enum Period {
  UNKNOWN_PERIOD = 0;
  ONE_MINUTE = 1;
  TWO_MINUTE = 2;
  THREE_MINUTE = 3;
  FIVE_MINUTE = 5;
  TEN_MINUTE = 10;
  FIFTEEN_MINUTE = 15;
  TWENTY_MINUTE = 20;
  THIRTY_MINUTE = 30;
  FORTY_FIVE_MINUTE = 45;
  SIXTY_MINUTE = 60;
  TWO_HOUR = 120;
  THREE_HOUR = 180;
  FOUR_HOUR = 240;
  DAY = 1000;
  WEEK = 2000;
  MONTH = 3000;
  QUARTER = 3500;
  YEAR = 4000;
}

message SecurityCandlestickResponse {
  string symbol = 1;
  repeated Candlestick candlesticks = 2;
}

message Candlestick {
  string close = 1;
  string open = 2;
  string low = 3;
  string high = 4;
  int64 volume = 5;
  string turnover = 6;
  int64 timestamp = 7;
  TradeSession trade_session = 8;
}

message OptionChainDateListResponse {
  repeated string expiry_date = 1;
}

message OptionChainDateStrikeInfoRequest {
  string symbol = 1;
  string expiry_date = 2;
}

message OptionChainDateStrikeInfoResponse {
  repeated StrikePriceInfo strike_price_info = 1;
}

message StrikePriceInfo {
  string price = 1;
  string call_symbol = 2;
  string put_symbol = 3;
  bool standard = 4;
}

message IssuerInfoResponse {
  repeated IssuerInfo issuer_info = 1;
}

message IssuerInfo {
  int32 id = 1;
  string name_cn = 2;
  string name_en = 3;
  string name_hk = 4;
}

message WarrantFilterListRequest {
  string symbol = 1;
  FilterConfig filter_config = 2;
  int32 language = 3;
}

message FilterConfig {
  int32 sort_by = 1;
  int32 sort_order = 2;
  int32 sort_offset = 3;
  int32 sort_count = 4;
  repeated int32 type = 5;
  repeated int32 issuer = 6;
  repeated int32 expiry_date = 7;
  repeated int32 price_type = 8;
  repeated int32 status = 9;
}

message WarrantFilterListResponse {
  repeated FilterWarrant warrant_list = 1;
  int32 total_count = 2;
}

message FilterWarrant {
  string symbol = 1;
  string name = 2;
  string last_done = 3;
  string change_rate = 4;
  string change_val = 5;
  int64 volume = 6;
  string turnover = 7;
  string expiry_date = 8;
  string strike_price = 9;
  string upper_strike_price = 10;
  string lower_strike_price = 11;
  string outstanding_qty = 12;
  string outstanding_ratio = 13;
  string premium = 14;
  string itm_otm = 15;
  string implied_volatility = 16;
  string delta = 17;
  string call_price = 18;
  string to_call_price = 19;
  string effective_leverage = 20;
  string leverage_ratio = 21;
  string conversion_ratio = 22;
  string balance_point = 23;
  int32 status = 24;
  int32 type = 25;
}

message MarketTradePeriodResponse {
  repeated MarketTradePeriod market_trade_session = 1;
}

message MarketTradePeriod {
  string market = 1;
  repeated TradePeriod trade_session = 2;
}

message TradePeriod {
  int32 beg_time = 1;
  int32 end_time = 2;
  TradeSession trade_session = 3;
}

message SubscriptionRequest {}

message SubscriptionResponse {
  repeated SubTypeList sub_list = 1;
}

message SubTypeList {
  string symbol = 1;
  repeated SubType sub_type = 2;
}

enum SubType {
  UNKNOWN_TYPE = 0;
  QUOTE = 1;
  DEPTH = 2;
  BROKERS = 3;
  TRADE = 4;
}

message SubscribeRequest {
  repeated string symbol = 1;
  repeated SubType sub_type = 2;
  bool is_first_push = 3;
}

message UnsubscribeRequest {
  repeated string symbol = 1;
  repeated SubType sub_type = 2;
  bool unsub_all = 3;
}

message UnsubscribeResponse {}

enum PushQuoteTag {
  Normal = 0;
  Eod = 1;
}

message PushQuote {
  string symbol = 1;
  int64 sequence = 2;
  string last_done = 3;
  string open = 4;
  string high = 5;
  string low = 6;
  int64 timestamp = 7;
  int64 volume = 8;
  string turnover = 9;
  TradeStatus trade_status = 10;
  TradeSession trade_session = 11;
  int64 current_volume = 12;
  string current_turnover = 13;
  PushQuoteTag tag = 14;
}

message PushDepth {
  string symbol = 1;
  int64 sequence = 2;
  repeated Depth ask = 3;
  repeated Depth bid = 4;
}

message PushBrokers {
  string symbol = 1;
  int64 sequence = 2;
  repeated Brokers ask_brokers = 3;
  repeated Brokers bid_brokers = 4;
}

message PushTrade {
  string symbol = 1;
  int64 sequence = 2;
  repeated Trade trade = 3;
}

message MarketTradeDayRequest {
  string market = 1;
  string beg_day = 2;
  string end_day = 3;
}

message MarketTradeDayResponse {
  repeated string trade_day = 1;
  repeated string half_trade_day = 2;
}

message CapitalFlowIntradayRequest {
  string symbol = 1;
}

message CapitalFlowIntradayResponse {
  message CapitalFlowLine {
    string inflow = 1;
    int64 timestamp = 2;
  }
  string symbol = 1;
  repeated CapitalFlowLine capital_flow_lines = 2;
}

message CapitalDistributionResponse {
  message CapitalDistribution {
    string large = 1;
    string medium = 2;
    string small = 3;
  }
  string symbol = 1;
  int64 timestamp = 2;
  CapitalDistribution capital_in = 3;
  CapitalDistribution capital_out = 4;
}

enum CalcIndex {
  CALCINDEX_UNKNOWN = 0;
  CALCINDEX_LAST_DONE = 1;
  CALCINDEX_CHANGE_VAL = 2;
  CALCINDEX_CHANGE_RATE = 3;
  CALCINDEX_VOLUME = 4;
  CALCINDEX_TURNOVER = 5;
  CALCINDEX_YTD_CHANGE_RATE = 6;
  CALCINDEX_TURNOVER_RATE = 7;
  CALCINDEX_TOTAL_MARKET_VALUE = 8;
  CALCINDEX_CAPITAL_FLOW = 9;
  CALCINDEX_AMPLITUDE = 10;
  CALCINDEX_VOLUME_RATIO = 11;
  CALCINDEX_PE_TTM_RATIO = 12;
  CALCINDEX_PB_RATIO = 13;
  CALCINDEX_DIVIDEND_RATIO_TTM = 14;
  CALCINDEX_FIVE_DAY_CHANGE_RATE = 15;
  CALCINDEX_TEN_DAY_CHANGE_RATE = 16;
  CALCINDEX_HALF_YEAR_CHANGE_RATE = 17;
  CALCINDEX_FIVE_MINUTES_CHANGE_RATE = 18;
  CALCINDEX_EXPIRY_DATE = 19;
  CALCINDEX_STRIKE_PRICE = 20;
  CALCINDEX_UPPER_STRIKE_PRICE = 21;
  CALCINDEX_LOWER_STRIKE_PRICE = 22;
  CALCINDEX_OUTSTANDING_QTY = 23;
  CALCINDEX_OUTSTANDING_RATIO = 24;
  CALCINDEX_PREMIUM = 25;
  CALCINDEX_ITM_OTM = 26;
  CALCINDEX_IMPLIED_VOLATILITY = 27;
  CALCINDEX_WARRANT_DELTA = 28;
  CALCINDEX_CALL_PRICE = 29;
  CALCINDEX_TO_CALL_PRICE = 30;
  CALCINDEX_EFFECTIVE_LEVERAGE = 31;
  CALCINDEX_LEVERAGE_RATIO = 32;
  CALCINDEX_CONVERSION_RATIO = 33;
  CALCINDEX_BALANCE_POINT = 34;
  CALCINDEX_OPEN_INTEREST = 35;
  CALCINDEX_DELTA = 36;
  CALCINDEX_GAMMA = 37;
  CALCINDEX_THETA = 38;
  CALCINDEX_VEGA = 39;
  CALCINDEX_RHO = 40;
}

message SecurityCalcQuoteRequest {
  repeated string symbols = 1;
  repeated CalcIndex calc_index = 2;
}

message SecurityCalcIndex {
  string symbol = 1;
  string last_done = 2;
  string change_val = 3;
  string change_rate = 4;
  int64 volume = 5;
  string turnover = 6;
  string ytd_change_rate = 7;
  string turnover_rate = 8;
  string total_market_value = 9;
  string capital_flow = 10;
  string amplitude = 11;
  string volume_ratio = 12;
  string pe_ttm_ratio = 13;
  string pb_ratio = 14;
  string dividend_ratio_ttm = 15;
  string five_day_change_rate = 16;
  string ten_day_change_rate = 17;
  string half_year_change_rate = 18;
  string five_minutes_change_rate = 19;
  string expiry_date = 20;
  string strike_price = 21;
  string upper_strike_price = 22;
  string lower_strike_price = 23;
  int64 outstanding_qty = 24;
  string outstanding_ratio = 25;
  string premium = 26;
  string itm_otm = 27;
  string implied_volatility = 28;
  string warrant_delta = 29;
  string call_price = 30;
  string to_call_price = 31;
  string effective_leverage = 32;
  string leverage_ratio = 33;
  string conversion_ratio = 34;
  string balance_point = 35;
  int64 open_interest = 36;
  string delta = 37;
  string gamma = 38;
  string theta = 39;
  string vega = 40;
  string rho = 41;
}

message SecurityCalcQuoteResponse {
  repeated SecurityCalcIndex security_calc_index = 1;
}

enum HistoryCandlestickQueryType {
  UNKNOWN_QUERY_TYPE = 0;
  QUERY_BY_OFFSET = 1;
  QUERY_BY_DATE = 2;
}

enum Direction {
  // 老数据, 从最新的数据往历史数据翻页
  BACKWARD = 0;
  // 新数据, 从当前数据往最新数据翻页
  FORWARD = 1;
}

message SecurityHistoryCandlestickRequest {
  message OffsetQuery {
    Direction direction = 1;
    string date = 2;
    string minute = 3;
    int32 count = 4;
  }

  message DateQuery {
    string start_date = 1;
    string end_date = 2;
  }

  string symbol = 1;
  Period period = 2;
  AdjustType adjust_type = 3;
  HistoryCandlestickQueryType query_type = 4;
  OffsetQuery offset_request = 5;
  DateQuery date_request = 6;
  int32 trade_session = 7;
}

message UserQuoteProfileRequest {
  string language = 1;
}

message RateLimit {
  Command command = 1;
  int32 limit = 2;
  int32 burst = 3;
}

message UserQuoteLevelDetail {
  message PackageDetail {
    // 行情包 Key
    string key = 1;
    // 行情包名称
    string name = 2;
    // 行情包描述, 根据入参 lang 适配多语言
    string description = 4;
    // 行情包生效开始时间 Unix 时间戳
    int64 start = 5;
    // 行情包生效结束时间 Unix 时间戳
    int64 end = 6;
    
  }

  message MarketPackageDetail {
    repeated PackageDetail packages = 1;
    // 当一个包也没有时, 会有如下, 多语言的文案
    // `您没有访问该市场 Open API 行情的权限，如需请前往行情商店购买`
    string warning_msg = 4;
  }

  // 按行情包描述
  map<string, PackageDetail> by_package_key = 1;
  // 按市场描述, 目前写死的, 仅有 US HK CN USOption(期权) 4个
  map<string, MarketPackageDetail> by_market_code = 2;
}

message UserQuoteProfileResponse {
  int64 member_id = 1;
  // 行情权限信息
  string quote_level = 2;
  // 订阅数量限制
  int32 subscribe_limit = 3;
  // 历史 k 线限制
  int32 history_candlestick_limit = 4;
  // command rate limit
  repeated RateLimit rate_limit = 5;
  // 用户等级详情
  UserQuoteLevelDetail quote_level_detail = 6;
}