QAExchange 前后端交互协议文档
@yutiansut @quantaxis
本文档定义了 QAExchange 系统前后端交互的完整协议规范，包括 HTTP REST API 和 WebSocket 实时通信协议。
目录
1. 概述
1.1 系统架构
┌─────────────────────────────────────────────────────────────┐
│ 前端应用 (Vue.js) │
├─────────────────────────────────────────────────────────────┤
│ HTTP REST API (8094) │ WebSocket DIFF (8095) │
│ - 用户认证 │ - 实时行情推送 │
│ - 账户管理 │ - 订单状态推送 │
│ - 订单操作 │ - 业务截面同步 │
│ - 数据查询 │ - K线数据订阅 │
└─────────────────────────────────────────────────────────────┘
│
▼
┌─────────────────────────────────────────────────────────────┐
│ 后端服务 (Rust) │
│ ┌─────────────┐ ┌─────────────┐ ┌─────────────┐ │
│ │ HTTP Server │ │ WS Server │ │ 撮合引擎 │ │
│ │ (Actix-web) │ │ (Actix-ws) │ │ (Orderbook) │ │
│ └─────────────┘ └─────────────┘ └─────────────┘ │
└─────────────────────────────────────────────────────────────┘
1.2 端口配置
| 服务 | 端口 | 用途 |
|---|---|---|
| HTTP API | 8094 | REST API 接口 |
| WebSocket (DIFF) | 8095 | 实时数据推送 |
| 前端开发服务器 | 8096 | Vue.js 开发服务器 |
1.3 通用响应格式
所有 HTTP API 响应均使用统一格式：
{
"success": true,
"data": { ... },
"error": null
}
失败响应：
{
"success": false,
"data": null,
"error": {
"code": 1001,
"message": "错误描述"
}
}
2. HTTP REST API
2.1 用户认证 (/api/auth)
2.1.1 用户注册
POST /api/auth/register
Content-Type: application/json
{
"username": "string",
"password": "string"
}
响应:
{
"success": true,
"data": {
"user_id": "uuid-string",
"username": "string",
"created_at": "2025-12-15T10:00:00Z"
}
}
2.1.2 用户登录
POST /api/auth/login
Content-Type: application/json
{
"username": "string",
"password": "string"
}
响应:
{
"success": true,
"data": {
"user_id": "uuid-string",
"username": "string",
"token": "jwt-token-string"
}
}
2.1.3 获取当前用户信息
GET /api/auth/user/{user_id}
响应:
{
"success": true,
"data": {
"user_id": "uuid-string",
"username": "string",
"account_ids": ["account1", "account2"],
"created_at": "2025-12-15T10:00:00Z"
}
}
2.1.4 获取所有用户列表（管理员）
GET /api/auth/users
2.2 用户账户管理 (/api/user)
2.2.1 为用户创建交易账户
POST /api/user/{user_id}/account/create
Content-Type: application/json
{
"account_id": "string (可选，不传则自动生成)",
"initial_balance": 1000000.0
}
2.2.2 获取用户的所有交易账户
GET /api/user/{user_id}/accounts
响应:
{
"success": true,
"data": {
"accounts": [
{
"account_id": "account1",
"balance": 1000000.0,
"available": 950000.0,
"margin": 50000.0
}
]
}
}
2.3 账户管理 (/api/account)
2.3.1 开户
POST /api/account/open
Content-Type: application/json
{
"user_id": "string",
"account_id": "string (可选)",
"initial_balance": 1000000.0
}
2.3.2 查询账户
GET /api/account/{account_id}
响应（QIFI 格式）:
{
"success": true,
"data": {
"account_cookie": "account1",
"accounts": {
"user_id": "user1",
"currency": "CNY",
"pre_balance": 1000000.0,
"balance": 1050000.0,
"available": 900000.0,
"margin": 100000.0,
"frozen_margin": 0.0,
"float_profit": 50000.0,
"position_profit": 30000.0,
"risk_ratio": 0.1
},
"positions": { ... },
"orders": { ... },
"trades": { ... }
}
}
2.3.3 存款
POST /api/account/deposit
Content-Type: application/json
{
"account_id": "string",
"amount": 100000.0
}
2.3.4 取款
POST /api/account/withdraw
Content-Type: application/json
{
"account_id": "string",
"amount": 50000.0
}
2.3.5 获取账户权益曲线
GET /api/account/{user_id}/equity-curve
响应:
{
"success": true,
"data": {
"equity_curve": [
{ "timestamp": 1702627200000, "equity": 1000000.0 },
{ "timestamp": 1702713600000, "equity": 1050000.0 }
]
}
}
2.3.6 银期转账 (Phase 11) @yutiansut @quantaxis
POST /api/account/transfer
Content-Type: application/json
{
"account_id": "string",
"bank_id": "string",
"amount": 100000.0,
"bank_password": "string",
"future_password": "string"
}
字段说明:
| 字段 | 类型 | 必填 | 说明 |
|---|---|---|---|
| amount | float | 是 | 金额（正数入金，负数出金） |
| bank_password | string | 是 | 银行密码 |
| future_password | string | 是 | 期货资金密码 |
响应:
{
"success": true,
"data": {
"transfer_id": "XFER_xxxx",
"datetime": 1702627200000,
"amount": 100000.0,
"error_id": 0,
"error_msg": "成功"
}
}
2.3.7 获取签约银行列表 (Phase 11) @yutiansut @quantaxis
GET /api/account/{account_id}/banks
响应:
{
"success": true,
"data": [
{ "id": "ICBC", "name": "工商银行" },
{ "id": "CCB", "name": "建设银行" },
{ "id": "ABC", "name": "农业银行" }
]
}
2.3.8 获取转账记录 (Phase 11) @yutiansut @quantaxis
GET /api/account/{account_id}/transfers
响应:
{
"success": true,
"data": [
{
"id": "XFER_xxxx",
"datetime": 1702627200000,
"currency": "CNY",
"amount": 100000.0,
"error_id": 0,
"error_msg": "成功",
"bank_id": "ICBC",
"bank_name": "工商银行"
}
]
}
2.4 订单管理 (/api/order)
2.4.1 提交订单
POST /api/order/submit
Content-Type: application/json
{
"user_id": "string",
"account_id": "string (推荐)",
"instrument_id": "cu2512",
"exchange_id": "SHFE",
"direction": "BUY",
"offset": "OPEN",
"volume": 10,
"price": 75000.0,
"price_type": "LIMIT"
}
字段说明:
| 字段 | 类型 | 必填 | 说明 |
|---|---|---|---|
| user_id | string | 是 | 用户ID |
| account_id | string | 推荐 | 交易账户ID |
| instrument_id | string | 是 | 合约代码 |
| exchange_id | string | 是 | 交易所代码 (SHFE/DCE/CZCE/CFFEX/INE) |
| direction | string | 是 | 方向 (BUY/SELL) |
| offset | string | 是 | 开平 (OPEN/CLOSE/CLOSETODAY/CLOSEYESTERDAY) |
| volume | int | 是 | 数量 |
| price | float | 条件 | 价格（限价单必填） |
| price_type | string | 是 | 价格类型 (LIMIT/MARKET/ANY) |
2.4.2 撤单
POST /api/order/cancel
Content-Type: application/json
{
"user_id": "string",
"account_id": "string (推荐)",
"order_id": "string"
}
2.4.3 查询订单
GET /api/order/{order_id}
2.4.4 查询用户订单
GET /api/order/user/{user_id}
2.4.5 批量下单 (Phase 11) @yutiansut @quantaxis
POST /api/order/batch
Content-Type: application/json
{
"account_id": "string",
"orders": [
{
"instrument_id": "cu2512",
"direction": "BUY",
"offset": "OPEN",
"volume": 10,
"price": 75000.0,
"order_type": "LIMIT"
},
{
"instrument_id": "au2512",
"direction": "SELL",
"offset": "CLOSE",
"volume": 5,
"price": 480.0,
"order_type": "LIMIT"
}
]
}
响应:
{
"success": true,
"data": {
"total": 2,
"success_count": 2,
"failed_count": 0,
"results": [
{
"success": true,
"order_id": "ORD_xxx1",
"instrument_id": "cu2512"
},
{
"success": true,
"order_id": "ORD_xxx2",
"instrument_id": "au2512"
}
]
}
}
2.4.6 批量撤单 (Phase 11) @yutiansut @quantaxis
POST /api/order/batch-cancel
Content-Type: application/json
{
"account_id": "string",
"order_ids": ["ORD_xxx1", "ORD_xxx2"]
}
2.4.7 修改订单 (Phase 11) @yutiansut @quantaxis
PUT /api/order/modify/{order_id}
Content-Type: application/json
{
"account_id": "string",
"new_price": 75500.0,
"new_volume": 8
}
2.4.8 创建条件单 (Phase 11) @yutiansut @quantaxis
POST /api/order/conditional
Content-Type: application/json
{
"account_id": "string",
"instrument_id": "cu2512",
"direction": "SELL",
"offset": "CLOSE",
"volume": 10,
"order_type": "MARKET",
"limit_price": null,
"condition_type": "StopLoss",
"trigger_price": 74000.0,
"trigger_condition": "LessOrEqual",
"valid_until": 1702800000000
}
字段说明:
| 字段 | 类型 | 必填 | 说明 |
|---|---|---|---|
| condition_type | string | 是 | 条件类型 (StopLoss/TakeProfit/PriceTouch) |
| trigger_price | float | 是 | 触发价格 |
| trigger_condition | string | 是 | 触发条件 (GreaterOrEqual/LessOrEqual) |
| valid_until | int | 否 | 有效期（毫秒时间戳） |
响应:
{
"success": true,
"data": {
"conditional_order_id": "COND_xxxx",
"status": "Pending",
"created_at": 1702627200000
}
}
2.4.9 查询条件单列表 (Phase 11) @yutiansut @quantaxis
GET /api/order/conditional/list?account_id={account_id}
2.4.10 取消条件单 (Phase 11) @yutiansut @quantaxis
DELETE /api/order/conditional/{conditional_order_id}
2.4.11 条件单统计 (Phase 11) @yutiansut @quantaxis
GET /api/order/conditional/statistics
响应:
{
"success": true,
"data": {
"total": 100,
"pending": 30,
"triggered": 50,
"cancelled": 15,
"expired": 3,
"failed": 2
}
}
2.5 持仓查询 (/api/position)
2.5.1 按账户查询持仓
GET /api/position/account/{account_id}
2.5.2 按用户查询所有持仓
GET /api/position/user/{user_id}
响应（QIFI Position 格式）:
{
"success": true,
"data": {
"positions": {
"SHFE.cu2512": {
"exchange_id": "SHFE",
"instrument_id": "cu2512",
"volume_long": 10,
"volume_short": 0,
"open_price_long": 75000.0,
"float_profit_long": 5000.0,
"margin_long": 50000.0,
"last_price": 75500.0
}
}
}
}
2.6 成交记录查询 (/api/trades)
2.6.1 按账户查询成交
GET /api/trades/account/{account_id}
2.6.2 按用户查询成交
GET /api/trades/user/{user_id}
2.7 市场数据 (/api/market)
2.7.1 获取合约列表
GET /api/market/instruments
2.7.2 获取订单簿
GET /api/market/orderbook/{instrument_id}?depth=5
响应:
{
"success": true,
"data": {
"instrument_id": "cu2512",
"bids": [
{ "price": 75000.0, "volume": 100, "order_count": 5 }
],
"asks": [
{ "price": 75010.0, "volume": 80, "order_count": 3 }
],
"timestamp": 1702627200000
}
}
2.7.3 获取 Tick 行情
GET /api/market/tick/{instrument_id}
2.7.4 获取最近成交
GET /api/market/trades/{instrument_id}?limit=20
2.7.5 获取K线数据
GET /api/market/kline/{instrument_id}?period=5&count=500
参数说明:
period: K线周期 (0=日线, 4=1分钟, 5=5分钟, 6=15分钟, 7=30分钟, 8=60分钟)count: 返回条数
2.8 监控统计 (/api/monitoring)
GET /api/monitoring/system # 系统监控
GET /api/monitoring/accounts # 账户统计
GET /api/monitoring/orders # 订单统计
GET /api/monitoring/trades # 成交统计
GET /api/monitoring/storage # 存储统计
GET /api/monitoring/report # 生成报告
2.9 管理端路由
2.9.1 账户管理 (/api/management)
GET /api/management/accounts # 所有账户列表
GET /api/management/account/{user_id}/detail # 账户详情
GET /api/management/orders # 全市场订单
GET /api/management/trades # 全市场成交
POST /api/management/deposit # 管理端入金
POST /api/management/withdraw # 管理端出金
GET /api/management/transactions/{user_id} # 资金流水
2.9.2 风控监控 (/api/management/risk)
GET /api/management/risk/accounts # 风险账户列表
GET /api/management/risk/margin-summary # 保证金汇总
GET /api/management/risk/liquidations # 强平记录
POST /api/management/risk/force-liquidate # 触发强平
2.9.3 合约管理 (/api/admin)
GET /api/admin/instruments # 所有合约
POST /api/admin/instrument/create # 创建合约
PUT /api/admin/instrument/{id}/update # 更新合约
PUT /api/admin/instrument/{id}/suspend # 暂停交易
PUT /api/admin/instrument/{id}/resume # 恢复交易
DELETE /api/admin/instrument/{id}/delist # 下市合约
2.9.4 结算管理 (/api/admin/settlement)
POST /api/admin/settlement/set-price # 设置结算价
POST /api/admin/settlement/batch-set-prices # 批量设置结算价
POST /api/admin/settlement/execute # 执行日终结算
GET /api/admin/settlement/history # 结算历史
GET /api/admin/settlement/detail/{date} # 结算详情
3. WebSocket 协议
3.1 连接地址
ws://{host}:8095/ws/diff?user_id={user_id}
开发环境（通过 Vue proxy）:
ws://{frontend_host}:8096/ws/diff?user_id={user_id}
3.2 消息格式
所有 WebSocket 消息均为 JSON 格式，通过 aid 字段标识消息类型。
3.3 客户端消息类型
3.3.1 业务截面更新请求
{
"aid": "peek_message"
}
客户端发送此消息请求服务端推送最新的业务数据更新。
3.3.2 登录请求
{
"aid": "req_login",
"bid": "broker_id (可选)",
"user_name": "username",
"password": "password"
}
3.3.3 订阅行情
{
"aid": "subscribe_quote",
"ins_list": "SHFE.cu2512,CFFEX.IF2501"
}
注意:
- 合约代码必须带交易所前缀
- 多个合约用逗号分隔
- 后一次订阅会覆盖前一次
3.3.4 下单
{
"aid": "insert_order",
"user_id": "user1",
"account_id": "account1 (推荐)",
"order_id": "order_001 (可选)",
"exchange_id": "SHFE",
"instrument_id": "cu2512",
"direction": "BUY",
"offset": "OPEN",
"volume": 10,
"price_type": "LIMIT",
"limit_price": 75000.0,
"volume_condition": "ANY",
"time_condition": "GFD"
}
3.3.5 撤单
{
"aid": "cancel_order",
"user_id": "user1",
"account_id": "account1 (推荐)",
"order_id": "order_001"
}
3.3.6 订阅图表数据（K线）
{
"aid": "set_chart",
"chart_id": "chart_main",
"ins_list": "SHFE.cu2512",
"duration": 300000000000,
"view_width": 500
}
duration 参数说明: | 周期 | duration (ns) | |------|---------------| | Tick | 0 | | 1分钟 | 60000000000 | | 5分钟 | 300000000000 | | 15分钟 | 900000000000 | | 30分钟 | 1800000000000 | | 60分钟 | 3600000000000 | | 日线 | 86400000000000 |
3.4 服务端消息类型
3.4.1 业务截面更新 (rtn_data)
{
"aid": "rtn_data",
"data": [
{ "balance": 1050000.0 },
{ "quotes": { "SHFE.cu2512": { "last_price": 75500.0 } } },
{ "positions": { "SHFE.cu2512": { "float_profit": 5000.0 } } }
]
}
处理规则:
data数组中每个元素是一个 JSON Merge Patch (RFC 7386)- 客户端需按顺序应用所有 patch 到本地业务截面
- 处理完整个数组后，业务截面才是一致的
4. DIFF 协议详解
4.1 设计理念
DIFF (Differential Information Flow for Finance) 协议将异步事件回调转为同步数据访问：
传统模式: DIFF模式:
┌─────────┐ ┌─────────┐
│ 事件回调 │ │ 业务截面 │
│ onTrade │ │ snapshot│
│ onOrder │ ──────> │ { │
│ onQuote │ │ trade │
│ ... │ │ order │
└─────────┘ │ quote │
│ } │
└─────────┘
4.2 业务截面结构
{
"ins_list": "SHFE.cu2512,CFFEX.IF2501",
"quotes": {
"SHFE.cu2512": {
"instrument_id": "SHFE.cu2512",
"datetime": "2025-12-15 10:30:00.000000",
"last_price": 75500.0,
"bid_price1": 75490.0,
"bid_volume1": 50,
"ask_price1": 75510.0,
"ask_volume1": 30,
"volume": 12345,
"open_interest": 98765
}
},
"trade": {
"user1": {
"user_id": "user1",
"accounts": {
"CNY": {
"balance": 1050000.0,
"available": 900000.0,
"margin": 100000.0,
"float_profit": 50000.0
}
},
"positions": {
"SHFE.cu2512": {
"volume_long": 10,
"open_price_long": 75000.0,
"float_profit_long": 5000.0
}
},
"orders": {
"order_001": {
"order_id": "order_001",
"status": "FINISHED",
"volume_left": 0
}
},
"trades": {
"trade_001": {
"trade_id": "trade_001",
"price": 75000.0,
"volume": 10
}
}
}
},
"klines": {
"SHFE.cu2512": {
"300000000000": {
"last_id": 1234,
"data": {
"1230": {
"datetime": 1702627200000000000,
"open": 75000.0,
"high": 75600.0,
"low": 74900.0,
"close": 75500.0,
"volume": 1000
}
}
}
}
},
"notify": {
"1001": {
"type": "MESSAGE",
"level": "INFO",
"code": 1000,
"content": "登录成功"
}
}
}
4.3 数据同步流程
┌──────────┐ ┌──────────┐
│ Client │ │ Server │
└────┬─────┘ └────┬─────┘
│ │
│ 1. connect (ws://host/ws/diff) │
│ ─────────────────────────────────> │
│ │
│ 2. { "aid": "peek_message" } │
│ ─────────────────────────────────> │
│ │
│ 3. { "aid": "rtn_data", ... } │
│ <───────────────────────────────── │
│ │
│ [收到数据后立即发送下一个 peek] │
│ 4. { "aid": "peek_message" } │
│ ─────────────────────────────────> │
│ │
│ [服务端无更新则等待] │
│ ... │
│ │
│ 5. { "aid": "rtn_data", ... } │
│ <───────────────────────────────── │
│ │
4.4 JSON Merge Patch 示例
原始截面:
{
"balance": 1000000.0,
"positions": {
"SHFE.cu2512": { "volume": 10, "profit": 0 }
}
}
收到 Patch:
[
{ "balance": 1050000.0 },
{ "positions": { "SHFE.cu2512": { "profit": 5000 } } }
]
更新后截面:
{
"balance": 1050000.0,
"positions": {
"SHFE.cu2512": { "volume": 10, "profit": 5000 }
}
}
5. 数据结构定义
5.1 QIFI 账户结构
interface QIFIAccount {
account_cookie: string;
accounts: {
user_id: string;
currency: string;
pre_balance: number; // 昨日权益
deposit: number; // 入金
withdraw: number; // 出金
static_balance: number; // 静态权益
close_profit: number; // 平仓盈亏
commission: number; // 手续费
float_profit: number; // 浮动盈亏
position_profit: number; // 持仓盈亏
balance: number; // 当前权益
margin: number; // 保证金
frozen_margin: number; // 冻结保证金
available: number; // 可用资金
risk_ratio: number; // 风险度
};
positions: Record<string, Position>;
orders: Record<string, Order>;
trades: Record<string, Trade>;
}
5.2 持仓结构
interface Position {
user_id: string;
exchange_id: string;
instrument_id: string;
volume_long: number;
volume_long_today: number;
volume_long_his: number;
volume_short: number;
volume_short_today: number;
volume_short_his: number;
open_price_long: number;
open_price_short: number;
position_price_long: number;
position_price_short: number;
open_cost_long: number;
open_cost_short: number;
position_cost_long: number;
position_cost_short: number;
float_profit_long: number;
float_profit_short: number;
float_profit: number;
position_profit_long: number;
position_profit_short: number;
position_profit: number;
margin_long: number;
margin_short: number;
margin: number;
last_price: number;
}
5.3 订单结构
interface Order {
user_id: string;
order_id: string;
exchange_id: string;
instrument_id: string;
direction: 'BUY' | 'SELL';
offset: 'OPEN' | 'CLOSE' | 'CLOSETODAY' | 'CLOSEYESTERDAY';
volume_orign: number;
volume_left: number;
price_type: 'LIMIT' | 'MARKET' | 'ANY';
limit_price: number;
time_condition: 'IOC' | 'GFS' | 'GFD' | 'GTD' | 'GTC' | 'GFA';
volume_condition: 'ANY' | 'MIN' | 'ALL';
insert_date_time: number; // 纳秒时间戳
exchange_order_id: string;
status: 'ALIVE' | 'FINISHED';
last_msg: string;
}
5.4 成交结构
interface Trade {
user_id: string;
trade_id: string;
order_id: string;
exchange_id: string;
instrument_id: string;
exchange_trade_id: string;
direction: 'BUY' | 'SELL';
offset: 'OPEN' | 'CLOSE';
price: number;
volume: number;
trade_date_time: number; // 纳秒时间戳
commission: number;
}
5.5 行情结构
interface Quote {
instrument_id: string;
datetime: string;
last_price: number;
highest: number;
lowest: number;
open: number;
close: number;
pre_close: number;
pre_settlement: number;
settlement: number;
upper_limit: number;
lower_limit: number;
bid_price1: number;
bid_volume1: number;
ask_price1: number;
ask_volume1: number;
volume: number;
amount: number;
open_interest: number;
pre_open_interest: number;
}
5.6 K线结构
interface Kline {
datetime: number; // 纳秒时间戳
open: number;
high: number;
low: number;
close: number;
volume: number;
open_oi: number;
close_oi: number;
}
6. 错误码定义
6.1 通用错误码
| 错误码 | 说明 |
|---|---|
| 1000 | 成功 |
| 1001 | 参数错误 |
| 1002 | 认证失败 |
| 1003 | 权限不足 |
| 1004 | 资源不存在 |
| 1005 | 服务内部错误 |
6.2 账户错误码
| 错误码 | 说明 |
|---|---|
| 2001 | 账户不存在 |
| 2002 | 账户已存在 |
| 2003 | 余额不足 |
| 2004 | 保证金不足 |
| 2005 | 账户被冻结 |
6.3 订单错误码
| 错误码 | 说明 |
|---|---|
| 3001 | 订单不存在 |
| 3002 | 订单已完成 |
| 3003 | 合约不存在 |
| 3004 | 合约已停牌 |
| 3005 | 超出持仓限制 |
| 3006 | 价格超出涨跌停 |
| 3007 | 数量不合法 |
6.4 风控错误码
| 错误码 | 说明 |
|---|---|
| 4001 | 风险度超限 |
| 4002 | 触发强平 |
| 4003 | 超出保证金率 |
7. 前端集成指南
7.1 环境变量配置
.env.development:
# 使用相对路径，通过 Vue devServer 代理
VUE_APP_WS_URL=/ws/diff
VUE_APP_API_BASE_URL=/api
VUE_APP_DEFAULT_INSTRUMENTS=CFFEX.IF2501,SHFE.cu2501
7.2 Vue.config.js 代理配置
module.exports = {
devServer: {
port: 8096,
proxy: {
'/api': {
target: 'http://127.0.0.1:8094',
changeOrigin: true
},
'/ws': {
target: 'http://127.0.0.1:8095',
changeOrigin: true,
ws: true
}
}
}
}
7.3 WebSocket 连接示例
class WebSocketManager {
constructor(options = {}) {
this.options = {
url: process.env.VUE_APP_WS_URL || '/ws/diff',
userId: null,
...options
}
this.snapshot = {}
}
connect(userId) {
let wsUrl = this.options.url
if (wsUrl.startsWith('/')) {
const protocol = window.location.protocol === 'https:' ? 'wss:' : 'ws:'
wsUrl = `${protocol}//${window.location.host}${wsUrl}`
}
this.ws = new WebSocket(`${wsUrl}?user_id=${userId}`)
this.ws.onopen = () => {
this.sendPeekMessage()
}
this.ws.onmessage = (event) => {
this.handleMessage(JSON.parse(event.data))
}
}
sendPeekMessage() {
this.ws.send(JSON.stringify({ aid: 'peek_message' }))
}
handleMessage(message) {
if (message.aid === 'rtn_data') {
// 应用 JSON Merge Patch
for (const patch of message.data) {
this.applyPatch(this.snapshot, patch)
}
// 发送下一个 peek_message
this.sendPeekMessage()
}
}
applyPatch(target, patch) {
for (const [key, value] of Object.entries(patch)) {
if (value === null) {
delete target[key]
} else if (typeof value === 'object' && !Array.isArray(value)) {
if (!target[key]) target[key] = {}
this.applyPatch(target[key], value)
} else {
target[key] = value
}
}
}
}
7.4 Vuex Store 集成
// store/modules/websocket.js
export default {
namespaced: true,
state: {
connected: false,
snapshot: {}
},
mutations: {
SET_CONNECTED(state, connected) {
state.connected = connected
},
UPDATE_SNAPSHOT(state, patches) {
for (const patch of patches) {
applyMergePatch(state.snapshot, patch)
}
}
},
getters: {
quotes: state => state.snapshot.quotes || {},
positions: state => state.snapshot.trade?.[state.userId]?.positions || {},
orders: state => state.snapshot.trade?.[state.userId]?.orders || {},
account: state => state.snapshot.trade?.[state.userId]?.accounts?.CNY || {}
}
}
附录
A. 交易所代码
| 代码 | 名称 |
|---|---|
| SHFE | 上海期货交易所 |
| DCE | 大连商品交易所 |
| CZCE | 郑州商品交易所 |
| CFFEX | 中国金融期货交易所 |
| INE | 上海国际能源交易中心 |
| USER | 用户自定义组合 |
B. 订单状态
| 状态 | 说明 |
|---|---|
| ALIVE | 活跃（未成交/部分成交） |
| FINISHED | 已完成（全部成交/已撤销） |
C. 价格类型
| 类型 | 说明 |
|---|---|
| LIMIT | 限价 |
| MARKET | 市价 |
| ANY | 任意价 |
| BEST | 最优价 |
| FIVELEVEL | 五档价 |
D. 时间条件
| 条件 | 说明 |
|---|---|
| IOC | 立即完成，否则撤销 |
| GFS | 本节有效 |
| GFD | 当日有效 |
| GTD | 指定日期前有效 |
| GTC | 撤销前有效 |
| GFA | 集合竞价有效 |
文档版本: 1.0 最后更新: 2025-12-15 维护者: @yutiansut @quantaxis