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教程：如何快速查询 A 股实时 K线和5档盘口

news 2025/7/17 11:00:53

实时行情数据是量化交易策略、看板系统和交易决策系统的重要输入。本文将以 Infoway API 提供的 WebSocket API 为例，教你如何使用 Python 快速接入并获取 A 股的实时 K线数据 和 盘口数据。

一、准备工作

安装 WebSocket 库：

pip install websockets

二、查询 1 分钟 K 线数据

以下是订阅 A 股平安银行1 分钟 K 线的完整代码：

import asyncio
import json
import websocketsWS_URL = "wss://data.infoway.io/ws?business=stock&apikey=yourApiKey"# API KEY申请: www.infoway.ioasync def connect_and_receive():async with websockets.connect(WS_URL) as websocket:init_message = {"code": 10004,  # K线订阅请求号"trace": "trace-id-001",  # 自定义追踪ID"data": {"arr": [{"type": 1,            # 1 表示 1 分钟K线"codes": "000001.SZ"  # A股代码}]}}await websocket.send(json.dumps(init_message))async def send_ping():while True:await asyncio.sleep(30)ping = {"code": 10010, "trace": "trace-id-001"}await websocket.send(json.dumps(ping))ping_task = asyncio.create_task(send_ping())try:while True:message = await websocket.recv()print("K线数据：", message)finally:ping_task.cancel()asyncio.run(connect_and_receive())

返回数据说明：

{"c": "11.25",       // 收盘价"h": "11.28",       // 最高价"l": "11.22",       // 最低价"o": "11.23",       // 开盘价"v": "258400",      // 成交量（单位：股）"vw": "11.2458",    // 加权平均价"pca": "0.02",      // 价格变化"pfr": "0.18%",     // 涨跌幅"t": 1747550648097, // 时间戳"s": "000001.SZ",   // 股票代码"ty": 1             // K线类型（1分钟）
}

三、查询盘口数据（Level 2）

以下是订阅平安银行盘口数据的完整代码：

import asyncio
import json
import websocketsWS_URL = "wss://data.infoway.io/ws?business=stock&apikey=yourApiKey"# 申请API KEY: www.infoway.ioasync def connect_and_receive():async with websockets.connect(WS_URL) as websocket:init_message = {"code": 10002,  # 盘口订阅请求号"trace": "trace-id-002","data": {"codes": "000001.SZ"}}await websocket.send(json.dumps(init_message))async def send_ping():while True:await asyncio.sleep(30)ping = {"code": 10010, "trace": "trace-id-002"}await websocket.send(json.dumps(ping))ping_task = asyncio.create_task(send_ping())try:while True:message = await websocket.recv()print("盘口数据：", message)finally:ping_task.cancel()asyncio.run(connect_and_receive())

返回数据说明：

{"a": [                // 卖盘数据["11.25", "11.26", "11.27", "11.28", "11.29"],  // 卖五档价格["23000", "18000", "9500", "6000", "7200"]      // 对应数量],"b": [                // 买盘数据["11.24", "11.23", "11.22", "11.21", "11.20"],  // 买五档价格["26000", "20000", "10000", "7500", "8500"]     // 对应数量],"s": "000001.SZ",     // 股票代码"t": 1747553102161    // 时间戳
}