User Guide

Securities and Futures

Futu Securities

Futu NiuNiu live trading and paper trading are supported. FutuOpenD must run on the docker's machine. For configuring the exchange object and running FutuOpenD, see the Futu Securities configuration guide.

When FutuOpenD is used for paper trading, some stock codes are not supported and cannot be traded (paper trading works in the Futu NiuNiu mobile app).

Call frequency
GetOrder, GetOrders, GetPositions and GetAccount use cached data by default, so their call frequency is not limited; FutuOpenD updates the cache automatically when new data arrives.
exchange.IO("refresh", true) disables the cache; without the cache the limit is at most 10 queries every 30 seconds, and exceeding it returns an error.

Stock codes
The format is code.market, e.g. 600519.SH. Market suffixes:

HK: Hong Kong stocks
US: US stocks
SH: Shanghai
SZ: Shenzhen
SG: Singapore futures
JP: Japan futures

Set the stock code with exchange.SetContractType() in the strategy, for example:


            javascript
            
            
function main() {
    var info = exchange.SetContractType("600519.SH")    // set the stock 600519.SH (Moutai); the account switches to the mainland market
    Log(info)
    Log(exchange.GetAccount())                          // the current stock is Moutai, so GetAccount returns the mainland market assets
    Log(exchange.GetTicker())                           // current quote of Moutai
}


            python
            
            
def main():
    info = exchange.SetContractType("600519.SH")
    Log(info)
    Log(exchange.GetAccount())
    Log(exchange.GetTicker())


            rust
            
            
fn main() {
    let info = exchange.SetContractType("600519.SH");    // set the stock 600519.SH (Moutai); the account switches to the mainland market
    Log!(info);
    Log!(exchange.GetAccount());                          // the current stock is Moutai, so GetAccount returns the mainland market assets
    Log!(exchange.GetTicker(None));                       // current quote of Moutai
}

exchange.SetDirection (trade direction), exchange.Buy/exchange.Sell (orders), exchange.CancelOrder (cancellation), exchange.GetOrder (order query) and the like are used the same way as in futures markets.

Account information
Futu uses TrdMarket to tell the Hong Kong, US, mainland and other markets apart. From the Futu API documentation:


            mylang
            
            
const (
    TrdMarket_TrdMarket_Unknown TrdMarket = 0 // unknown market
    TrdMarket_TrdMarket_HK      TrdMarket = 1 // Hong Kong market
    TrdMarket_TrdMarket_US      TrdMarket = 2 // US market
    TrdMarket_TrdMarket_CN      TrdMarket = 3 // mainland market
    TrdMarket_TrdMarket_HKCC    TrdMarket = 4 // Hong Kong Stock Connect market
    TrdMarket_TrdMarket_Futures TrdMarket = 5 // futures market
)

Data returned by exchange.GetAccount():


            json
            
            
{
    "Info": [{
        "Header": {
            ...                 // omitted
            "TrdMarket": 1      // market ID in the raw Info data: assets of the Hong Kong market
        },
        "Funds": {              // account assets in this market
            ...
        }
    }, ...],
    "Stocks": 0,
    "FrozenStocks": 0,
    "Balance": 1000000,         // assets in the current market
    "FrozenBalance": 0
}

FutuOpenD decides the region by the IP address it logs in from; accounts logged in from outside mainland China have some market data restrictions. See the official FutuOpenD (Futu) documentation.

Interactive Brokers

Configure the exchange
Run "IB Gateway" or "TWS (Trader Workstation)" on the docker's machine. With TWS: after logging in, click the configuration button at the top right, open "Configure" → "API" → "Settings", uncheck "Read-Only API", check "Enable ActiveX and Socket Clients", and note the "Socket port" (TWS defaults to 7496 for live and 7497 for paper; IB Gateway to 4001 for live and 4002 for paper).
Then choose Interactive Brokers on the platform's add exchange page:
- Server address: the address and port of TWS or IB Gateway, e.g. localhost:7496.
- Market data type: realtime, frozen, delayed or delayed frozen. Accounts without a realtime market data subscription can choose delayed data. It can also be switched at run time with exchange.IO("marketDataType", n) (n from 1 to 4, in the order above).
Contract codes
Set with exchange.SetContractType() in the form symbol.currency[.type[.exchange]]; the type defaults to stock STK and the exchange to SMART:
- US stocks: AAPL.US, TSLA.US (US means priced in USD).
- Hong Kong stocks: symbol.HK (HK means priced in HKD).
- Futures (FUT): symbol-expiry[-multiplier].currency.FUT.exchange, with the expiry month written as YYYYMM and the exchange as IB's exchange code.
- Options (OPT) and futures options (FOP): symbol-expiry-C or P-strike×100[-multiplier].currency.OPT or FOP.exchange, with the strike multiplied by 100 and written as an integer.
- A plain number: used directly as the IB contract ID (conId).
Other notes
- The docker connects to TWS with the live trading ID as its client ID (clientId), so the client ID stays the same across restarts and orders placed earlier can still be cancelled or modified. TWS only lets the client ID that placed an order (or the master client) modify or cancel it.
- Symbol in positions and orders is the short form (e.g. Z74.SGD); exchange.GetPositions() and exchange.GetOrders() accept either the short form or the full code used when ordering (e.g. Z74.SGD.STK.SGX).
- When the gateway rejects an order, the Reject field in the order's Info holds the reason.
- After exchange.IO("debug", true), every frame sent to or received from TWS is logged in the TWS API log format, so it can be matched against the gateway's own log.