{"id":10974,"date":"2026-07-06T11:47:23","date_gmt":"2026-07-06T03:47:23","guid":{"rendered":"https:\/\/blog.alltick.co\/zh-CN\/?p=10974"},"modified":"2026-07-06T11:47:23","modified_gmt":"2026-07-06T03:47:23","slug":"%e5%a4%96%e6%b1%87api%e6%8e%a5%e5%8f%a3%e5%9c%a8%e5%a4%9a%e8%b4%a7%e5%b8%81%e5%af%b9%e5%90%8c%e6%97%b6%e8%ae%a2%e9%98%85%e6%97%b6%e5%a6%82%e4%bd%95%e9%81%bf%e5%85%8d%e6%95%b0%e6%8d%ae%e4%b9%b1","status":"publish","type":"post","link":"https:\/\/blog.alltick.co\/zh-CN\/%e5%a4%96%e6%b1%87api%e6%8e%a5%e5%8f%a3%e5%9c%a8%e5%a4%9a%e8%b4%a7%e5%b8%81%e5%af%b9%e5%90%8c%e6%97%b6%e8%ae%a2%e9%98%85%e6%97%b6%e5%a6%82%e4%bd%95%e9%81%bf%e5%85%8d%e6%95%b0%e6%8d%ae%e4%b9%b1\/","title":{"rendered":"\u5916\u6c47API\u63a5\u53e3\u5728\u591a\u8d27\u5e01\u5bf9\u540c\u65f6\u8ba2\u9605\u65f6\u5982\u4f55\u907f\u514d\u6570\u636e\u4e71\u5e8f\u95ee\u9898\uff1f"},"content":{"rendered":"\n<figure class=\"wp-block-image size-large\"><img data-recalc-dims=\"1\" fetchpriority=\"high\" decoding=\"async\" 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\/><\/figure>\n\n\n\n<p>\u5728\u5916\u6c47\u5b9e\u65f6\u884c\u60c5\u7cfb\u7edf\u91cc\uff0c\u201c\u591a\u8d27\u5e01\u5bf9\u540c\u65f6\u8ba2\u9605\u201d\u770b\u8d77\u6765\u53ea\u662f\u4e00\u4e2a\u6269\u5c55\u80fd\u529b\u95ee\u9898\uff0c\u4f46\u771f\u6b63\u8fdb\u5165\u751f\u4ea7\u73af\u5883\u540e\uff0c\u5f88\u5feb\u5c31\u4f1a\u9047\u5230\u4e00\u4e2a\u66f4\u9690\u853d\u4f46\u66f4\u81f4\u547d\u7684\u95ee\u9898\uff1a<strong>\u6570\u636e\u4e71\u5e8f\uff08Out-of-Order Data\uff09<\/strong>\u3002<\/p>\n\n\n\n<p>\u5c24\u5176\u662f\u5728\u9ad8\u9891\u884c\u60c5\u63a8\u9001\u573a\u666f\u4e2d\uff0c\u6bd4\u5982 EURUSD\u3001GBPUSD\u3001USDJPY \u540c\u65f6\u8ba2\u9605\u65f6\uff0c\u4f60\u4f1a\u53d1\u73b0\u540c\u4e00\u65f6\u95f4\u7a97\u53e3\u5185\u7684\u6570\u636e\u5e76\u4e0d\u4f1a\u6309\u7167\u201c\u65f6\u95f4\u987a\u5e8f\u201d\u7a33\u5b9a\u5230\u8fbe\uff0c\u800c\u662f\u88ab\u7f51\u7edc\u5ef6\u8fdf\u3001\u670d\u52a1\u7aef\u5206\u7247\u3001\u751a\u81f3\u5ba2\u6237\u7aef\u8c03\u5ea6\u6253\u4e71\u987a\u5e8f\u3002<\/p>\n\n\n\n<p>\u8868\u9762\u4e0a\u770b\u53ea\u662f tick \u987a\u5e8f\u9519\u4e86\uff0c\u4f46\u5728\u7b56\u7565\u7cfb\u7edf\u91cc\uff0c\u8fd9\u4f1a\u76f4\u63a5\u5f71\u54cd\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>K\u7ebf\u751f\u6210\u9519\u4f4d<\/li>\n\n\n\n<li>\u6307\u6807\u8ba1\u7b97\u504f\u79fb<\/li>\n\n\n\n<li>\u505a\u5e02\u62a5\u4ef7\u5f02\u5e38\u8df3\u52a8<\/li>\n\n\n\n<li>\u98ce\u63a7\u8bef\u89e6\u53d1<\/li>\n<\/ul>\n\n\n\n<p>\u672c\u8d28\u4e0a\uff0c\u8fd9\u4e0d\u662f\u201c\u6570\u636e\u95ee\u9898\u201d\uff0c\u800c\u662f<strong>\u6d41\u5f0f\u7cfb\u7edf\u7684\u987a\u5e8f\u4e00\u81f4\u6027\u95ee\u9898<\/strong>\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">\u4e00\u3001\u591a\u8d27\u5e01\u5bf9\u8ba2\u9605\u7684\u672c\u8d28\uff1a\u4e00\u4e2a\u8fde\u63a5\uff0c\u591a\u6761\u65f6\u95f4\u7ebf<\/h2>\n\n\n\n<p>\u5728\u5916\u6c47 API\uff08Forex API\uff09\u4e2d\uff0c\u591a\u6570 WebSocket \u8bbe\u8ba1\u90fd\u662f\u201c\u5355\u8fde\u63a5\u591a\u8ba2\u9605\u201d\u6a21\u5f0f\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u4e00\u4e2a TCP \u8fde\u63a5<\/li>\n\n\n\n<li>\u540c\u65f6\u8ba2\u9605\u591a\u4e2a symbol<\/li>\n\n\n\n<li>\u670d\u52a1\u7aef\u5e76\u884c\u63a8\u9001\u4e0d\u540c\u8d27\u5e01\u5bf9\u6570\u636e<\/li>\n<\/ul>\n\n\n\n<p>\u4f8b\u5982\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>EURUSD\uff1a\u62a5\u4ef7\u66f4\u65b0\u9891\u7387\u9ad8<\/li>\n\n\n\n<li>GBPUSD\uff1a\u6ce2\u52a8\u5267\u70c8\u4f46\u95f4\u6b47\u6027<\/li>\n\n\n\n<li>USDJPY\uff1a\u6d41\u52a8\u6027\u96c6\u4e2d\u5728\u7279\u5b9a\u65f6\u6bb5<\/li>\n<\/ul>\n\n\n\n<p>\u8fd9\u4e9b\u6570\u636e\u5728\u670d\u52a1\u7aef\u662f<strong>\u5e76\u884c\u751f\u6210\u7684<\/strong>\uff0c\u4f46\u5728\u5ba2\u6237\u7aef\u63a5\u6536\u65f6\u4f1a\u88ab\u538b\u7f29\u6210\u4e00\u6761\u6d88\u606f\u6d41\u3002<\/p>\n\n\n\n<p>\u95ee\u9898\u5c31\u5728\u8fd9\u91cc\uff1a<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p>\u591a\u6761\u72ec\u7acb\u65f6\u95f4\u7ebf\uff0c\u88ab\u5f3a\u884c\u5408\u5e76\u6210\u5355\u7ebf\u7a0b\u6d88\u606f\u961f\u5217\u3002<\/p>\n<\/blockquote>\n\n\n\n<p>\u8fd9\u4f1a\u5bfc\u81f4\u4e00\u4e2a\u5f88\u73b0\u5b9e\u7684\u73b0\u8c61\uff1a<\/p>\n\n\n\n<p>\u540c\u4e00\u65f6\u95f4\u6233\u9644\u8fd1\u7684\u6570\u636e\uff0c\u5728\u5ba2\u6237\u7aef\u770b\u5230\u7684\u987a\u5e8f\u5e76\u4e0d\u53ef\u9760\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">\u4e8c\u3001\u6570\u636e\u4e71\u5e8f\u662f\u5982\u4f55\u4ea7\u751f\u7684\uff1f<\/h2>\n\n\n\n<p>\u5728\u5916\u6c47\u884c\u60c5\u7cfb\u7edf\u4e2d\uff0c\u4e71\u5e8f\u901a\u5e38\u6765\u81ea\u56db\u4e2a\u5c42\u9762\uff1a<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">1. \u7f51\u7edc\u4f20\u8f93\u6296\u52a8\uff08Network Jitter\uff09<\/h3>\n\n\n\n<p>TCP \u4fdd\u8bc1\u53ef\u9760\u6027\uff0c\u4f46\u4e0d\u4fdd\u8bc1\u201c\u4e1a\u52a1\u65f6\u95f4\u987a\u5e8f\u201d\u3002<\/p>\n\n\n\n<p>\u4e0d\u540c symbol \u7684\u6570\u636e\u5305\u53ef\u80fd\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u8d70\u4e0d\u540c\u7f51\u7edc\u8def\u5f84<\/li>\n\n\n\n<li>\u5728\u4e2d\u95f4\u8282\u70b9\u6392\u961f\u65f6\u95f4\u4e0d\u540c<\/li>\n\n\n\n<li>\u88ab\u6279\u91cf ACK \u5408\u5e76<\/li>\n<\/ul>\n\n\n\n<p>\u6700\u7ec8\u8868\u73b0\u4e3a\uff1a<strong>\u540e\u53d1\u751f\u7684\u6570\u636e\u5148\u5230\u8fbe<\/strong><\/p>\n\n\n\n<h3 class=\"wp-block-heading\">2. \u670d\u52a1\u7aef\u5e76\u53d1\u63a8\u9001\u673a\u5236<\/h3>\n\n\n\n<p>\u884c\u60c5\u670d\u52a1\u5668\u901a\u5e38\u662f\u591a\u7ebf\u7a0b\/\u591a\u8fdb\u7a0b\u7ed3\u6784\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>symbol A \u5728\u7ebf\u7a0b1\u751f\u6210<\/li>\n\n\n\n<li>symbol B \u5728\u7ebf\u7a0b2\u751f\u6210<\/li>\n\n\n\n<li>\u63a8\u9001\u961f\u5217\u7edf\u4e00\u5408\u5e76<\/li>\n<\/ul>\n\n\n\n<p>\u5408\u5e76\u8fc7\u7a0b\u4e0d\u662f\u4e25\u683c\u6309\u65f6\u95f4\u6392\u5e8f\uff0c\u800c\u662f\u201c\u8c01\u5148\u8fdb\u5165\u961f\u5217\u8c01\u5148\u53d1\u9001\u201d\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">3. \u5ba2\u6237\u7aef\u4e8b\u4ef6\u5faa\u73af\u8c03\u5ea6<\/h3>\n\n\n\n<p>\u5728 Python \/ Node.js WebSocket \u5ba2\u6237\u7aef\u4e2d\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u56de\u8c03\u51fd\u6570\u662f\u4e8b\u4ef6\u9a71\u52a8<\/li>\n\n\n\n<li>IO \u7ebf\u7a0b\u4e0e\u4e1a\u52a1\u7ebf\u7a0b\u5206\u79bb<\/li>\n\n\n\n<li>\u6d88\u606f\u5904\u7406\u5b58\u5728\u8c03\u5ea6\u5ef6\u8fdf<\/li>\n<\/ul>\n\n\n\n<p>\u8fd9\u4f1a\u9020\u6210\uff1a<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p>\u6536\u5230\u7684\u987a\u5e8f \u2260 \u5b9e\u9645\u751f\u6210\u987a\u5e8f \u2260 \u65f6\u95f4\u6233\u987a\u5e8f<\/p>\n<\/blockquote>\n\n\n\n<h3 class=\"wp-block-heading\">4. \u591asymbol\u5171\u4eab\u7f13\u51b2\u961f\u5217<\/h3>\n\n\n\n<p>\u5f88\u591a\u521d\u7ea7\u5b9e\u73b0\u4f1a\u76f4\u63a5\uff1a<\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">\u6240\u6709 symbol \u2192 \u4e00\u4e2a on_message \u2192 \u4e00\u4e2a\u961f\u5217\n<\/pre>\n\n\n\n<p>\u7ed3\u679c\u5c31\u662f\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>EURUSD tick<\/li>\n\n\n\n<li>USDJPY tick<\/li>\n\n\n\n<li>GBPUSD tick<\/li>\n<\/ul>\n\n\n\n<p>\u6df7\u5728\u540c\u4e00\u4e2a FIFO \u961f\u5217\u91cc\uff0c\u5b8c\u5168\u5931\u53bb\u7ed3\u6784\u6027\u987a\u5e8f\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">\u4e09\u3001\u4e71\u5e8f\u5bf9\u4ea4\u6613\u7cfb\u7edf\u7684\u771f\u5b9e\u5f71\u54cd<\/h2>\n\n\n\n<p>\u4e71\u5e8f\u4e0d\u662f\u201c\u770b\u8d77\u6765\u4e0d\u6574\u9f50\u201d\uff0c\u800c\u662f\u4f1a\u76f4\u63a5\u7834\u574f\u4ea4\u6613\u903b\u8f91\uff1a<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">1. K\u7ebf\u9519\u4f4d<\/h3>\n\n\n\n<p>\u4f8b\u5982 1\u79d2K\u7ebf\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>tick B \u5148\u8fdb\u5165<\/li>\n\n\n\n<li>tick A \u540e\u8fdb\u5165<\/li>\n<\/ul>\n\n\n\n<p>\u7ed3\u679c OHLC \u8ba1\u7b97\u9519\u8bef<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">2. \u52a8\u91cf\u7b56\u7565\u5931\u771f<\/h3>\n\n\n\n<p>\u77ed\u5468\u671f\u7b56\u7565\u4f9d\u8d56\u987a\u5e8f\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>return(t) vs return(t-1)<\/li>\n<\/ul>\n\n\n\n<p>\u4e00\u65e6\u987a\u5e8f\u9519\u4e71\uff1a<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p>\u52a8\u91cf\u4fe1\u53f7\u4f1a\u88ab\u201c\u4f2a\u6ce2\u52a8\u201d\u6c61\u67d3<\/p>\n<\/blockquote>\n\n\n\n<h3 class=\"wp-block-heading\">3. \u505a\u5e02\u62a5\u4ef7\u5f02\u5e38\u8df3\u52a8<\/h3>\n\n\n\n<p>\u5982\u679c\u62a5\u4ef7\u66f4\u65b0\u987a\u5e8f\u9519\u4e71\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>spread \u88ab\u9519\u8bef\u653e\u5927<\/li>\n\n\n\n<li>mid price \u6296\u52a8\u5f02\u5e38<\/li>\n\n\n\n<li>inventory hedge \u8bef\u89e6\u53d1<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\">\u56db\u3001\u6838\u5fc3\u89e3\u51b3\u601d\u8def\uff1a\u628a\u201c\u65f6\u95f4\u201d\u4ece\u6d88\u606f\u4e2d\u5265\u79bb\u51fa\u6765<\/h2>\n\n\n\n<p>\u8981\u89e3\u51b3\u4e71\u5e8f\u95ee\u9898\uff0c\u5173\u952e\u4e0d\u662f\u201c\u8ba9\u5b83\u4e0d\u4e71\u201d\uff0c\u800c\u662f\uff1a<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p>\u5728\u5ba2\u6237\u7aef\u91cd\u5efa\u201c\u786e\u5b9a\u6027\u987a\u5e8f\u201d<\/p>\n<\/blockquote>\n\n\n\n<p>\u901a\u5e38\u6709\u4e09\u79cd\u5173\u952e\u5b57\u6bb5\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>timestamp\uff08\u65f6\u95f4\u6233\uff09<\/li>\n\n\n\n<li>seq_id\uff08\u5e8f\u5217\u53f7\uff09<\/li>\n\n\n\n<li>symbol\uff08\u8d44\u4ea7\u6807\u8bc6\uff09<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\">\u4e94\u3001\u5de5\u7a0b\u7ea7\u89e3\u51b3\u65b9\u6848\uff1a\u4e09\u5c42\u91cd\u6392\u5e8f\u7ed3\u6784<\/h2>\n\n\n\n<h3 class=\"wp-block-heading\">\u7b2c\u4e00\u5c42\uff1a\u6309 symbol \u62c6\u5206\u6d41<\/h3>\n\n\n\n<p>\u4e0d\u8981\u8ba9\u6240\u6709\u6570\u636e\u8fdb\u5165\u540c\u4e00\u4e2a\u961f\u5217\uff1a<\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">streams = {\n    \"EURUSD\": Queue(),\n    \"GBPUSD\": Queue(),\n    \"USDJPY\": Queue()\n}\n<\/pre>\n\n\n\n<p>\u6bcf\u4e2a\u8d27\u5e01\u5bf9\u72ec\u7acb\u7ef4\u62a4\u65f6\u95f4\u7ebf\u3002<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">\u7b2c\u4e8c\u5c42\uff1a\u5f15\u5165\u65f6\u95f4\u7a97\u53e3\u7f13\u51b2\uff08Reorder Buffer\uff09<\/h3>\n\n\n\n<p>\u5bf9\u6bcf\u4e2a symbol \u4f7f\u7528\u77ed\u6682 buffer\uff1a<\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">BUFFER_MS = 200\n<\/pre>\n\n\n\n<p>\u903b\u8f91\uff1a<\/p>\n\n\n\n<ol class=\"wp-block-list\">\n<li>\u6536\u5230 tick<\/li>\n\n\n\n<li>\u4e0d\u7acb\u5373\u6d88\u8d39<\/li>\n\n\n\n<li>\u653e\u5165 buffer<\/li>\n\n\n\n<li>\u6309 timestamp \u6392\u5e8f\u540e\u8f93\u51fa<\/li>\n<\/ol>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">from collections import defaultdict\nimport time\n\nbuffers = defaultdict(list)\n\ndef on_tick(symbol, tick):\n    buffers[symbol].append(tick)\n\ndef flush(symbol):\n    now = time.time() * 1000\n    valid = []\n\n    for t in buffers[symbol]:\n        if now - t[\"ts\"] &gt; BUFFER_MS:\n            valid.append(t)\n\n    valid.sort(key=lambda x: x[\"ts\"])\n\n    buffers[symbol] = [\n        t for t in buffers[symbol] if t not in valid\n    ]\n\n    return valid\n<\/pre>\n\n\n\n<h3 class=\"wp-block-heading\">\u7b2c\u4e09\u5c42\uff1a\u5f15\u5165\u201c\u5355\u8c03\u5e8f\u5217\u6821\u9a8c\u201d<\/h3>\n\n\n\n<p>\u5982\u679c API \u63d0\u4f9b seq_id\uff08\u4f8b\u5982 AllTick \u5916\u6c47\u6d41\uff09\uff1a<\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">last_seq = {}\n\ndef check_order(symbol, tick):\n    seq = tick[\"seq\"]\n\n    if symbol not in last_seq:\n        last_seq[symbol] = seq\n        return True\n\n    if seq &gt; last_seq[symbol]:\n        last_seq[symbol] = seq\n        return True\n\n    return False  # \u4e22\u5f03\u4e71\u5e8f\u6570\u636e\n<\/pre>\n\n\n\n<p>\u8fd9\u4e00\u6b65\u53ef\u4ee5\u8fc7\u6ee4\u6389\u7edd\u5927\u591a\u6570\u201c\u56de\u653e\u578b\u4e71\u5e8f\u201d\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">\u516d\u3001WebSocket \u591a\u8d27\u5e01\u5bf9\u8ba2\u9605\u7ed3\u6784\u4f18\u5316\uff08\u5b9e\u6218\u7248\uff09<\/h2>\n\n\n\n<p>\u4ee5\u4e0b\u662f\u4e00\u4e2a\u66f4\u63a5\u8fd1\u751f\u4ea7\u73af\u5883\u7684\u8ba2\u9605\u6a21\u578b\uff1a<\/p>\n\n\n\n<pre class=\"EnlighterJSRAW\" data-enlighter-language=\"generic\" data-enlighter-theme=\"\" data-enlighter-highlight=\"\" data-enlighter-linenumbers=\"\" data-enlighter-lineoffset=\"\" data-enlighter-title=\"\" data-enlighter-group=\"\">import websocket\nimport json\nimport uuid\nimport time\nfrom collections import defaultdict, deque\n\nAPI_KEY = \"YOUR_API_KEY\"\nWS_URL = f\"wss:\/\/quote.alltick.co\/quote-b-ws-api?token={API_KEY}\"\n\nSYMBOLS = [\"EURUSD\", \"GBPUSD\", \"USDJPY\"]\n\nbuffers = defaultdict(deque)\nlast_seq = {}\n\ndef subscribe_msg():\n    return {\n        \"cmd_id\": 22004,\n        \"seq_id\": int(time.time()),\n        \"trace\": str(uuid.uuid4()),\n        \"data\": {\n            \"symbol_list\": [{\"code\": s} for s in SYMBOLS]\n        }\n    }\n\ndef on_open(ws):\n    ws.send(json.dumps(subscribe_msg()))\n\ndef process_tick(symbol, tick):\n    seq = tick.get(\"seq\")\n\n    if seq is not None:\n        if symbol in last_seq and seq &lt;= last_seq[symbol]:\n            return\n        last_seq[symbol] = seq\n\n    buffers[symbol].append(tick)\n\ndef on_message(ws, message):\n    msg = json.loads(message)\n\n    if msg.get(\"cmd_id\") == 22998:\n        tick = msg[\"data\"]\n        symbol = tick[\"code\"]\n        process_tick(symbol, tick)\n\ndef start():\n    ws = websocket.WebSocketApp(\n        WS_URL,\n        on_open=on_open,\n        on_message=on_message\n    )\n    ws.run_forever(ping_interval=10)\n\nif __name__ == \"__main__\":\n    start()\n<\/pre>\n\n\n\n<p>\u8fd9\u4e2a\u7ed3\u6784\u7684\u5173\u952e\u70b9\u5728\u4e8e\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>symbol \u7ea7\u9694\u79bb<\/li>\n\n\n\n<li>seq \u7ea7\u53bb\u91cd<\/li>\n\n\n\n<li>buffer \u7ea7\u6392\u5e8f<\/li>\n<\/ul>\n\n\n\n<h2 class=\"wp-block-heading\">\u4e03\u3001\u4e3a\u4ec0\u4e48\u5916\u6c47\u5e02\u573a\u6bd4\u52a0\u5bc6\u5e02\u573a\u66f4\u5bb9\u6613\u51fa\u73b0\u4e71\u5e8f\u95ee\u9898\uff1f<\/h2>\n\n\n\n<p>\u76f8\u6bd4\u52a0\u5bc6\u5e02\u573a\uff0c\u5916\u6c47 API \u6709\u51e0\u4e2a\u7279\u6b8a\u6027\uff1a<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">1. \u6d41\u52a8\u6027\u6765\u6e90\u5206\u6563<\/h3>\n\n\n\n<p>\u62a5\u4ef7\u6765\u81ea\u591a\u4e2a LP\uff08Liquidity Provider\uff09<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">2. \u4ef7\u683c\u66f4\u65b0\u9891\u7387\u4e0d\u5747\u5300<\/h3>\n\n\n\n<p>EURUSD vs USDTRY \u5dee\u5f02\u5de8\u5927<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">3. \u4ea4\u6613\u65f6\u6bb5\u7ed3\u6784\u6027\u6ce2\u52a8<\/h3>\n\n\n\n<p>\u4e9a\u6d32\u76d8 \/ \u4f26\u6566\u76d8 \/ \u7f8e\u76d8\u5207\u6362<\/p>\n\n\n\n<p>\u7ed3\u679c\u5c31\u662f\uff1a<\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p>\u6570\u636e\u4e0d\u662f\u8fde\u7eed\u6d41\uff0c\u800c\u662f\u201c\u95f4\u6b47\u6027\u7a81\u53d1\u6d41\u201d<\/p>\n<\/blockquote>\n\n\n\n<h2 class=\"wp-block-heading\">\u516b\u3001\u5de5\u7a0b\u4f18\u5316\u65b9\u5411\uff1a\u4ece\u201c\u4fee\u987a\u5e8f\u201d\u5230\u201c\u91cd\u5efa\u5e02\u573a\u65f6\u95f4\u201d<\/h2>\n\n\n\n<p>\u66f4\u9ad8\u9636\u7684\u7cfb\u7edf\u4e0d\u4f1a\u53ea\u505a reorder\uff0c\u800c\u4f1a\u505a\uff1a<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">1. Event-time \u8ba1\u7b97\uff08\u4e8b\u4ef6\u65f6\u95f4\uff09<\/h3>\n\n\n\n<p>\u800c\u4e0d\u662f arrival-time\uff08\u5230\u8fbe\u65f6\u95f4\uff09<\/p>\n\n\n\n<h3 class=\"wp-block-heading\">2. watermark \u673a\u5236<\/h3>\n\n\n\n<p>\u5141\u8bb8\u4e00\u5b9a\u5ef6\u8fdf\u7a97\u53e3\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u5141\u8bb8 late tick<\/li>\n\n\n\n<li>\u8d85\u8fc7\u7a97\u53e3\u624d\u4e22\u5f03<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\">3. symbol-level clock sync<\/h3>\n\n\n\n<p>\u5bf9\u4e0d\u540c\u8d27\u5e01\u5bf9\u5efa\u7acb\u7edf\u4e00\u65f6\u95f4\u57fa\u51c6<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">\u4e5d\u3001\u5f53\u7cfb\u7edf\u5f00\u59cb\u7a33\u5b9a\u65f6\uff0c\u4f60\u770b\u5230\u7684\u4f1a\u4e0d\u53ea\u662f\u884c\u60c5<\/h2>\n\n\n\n<p>\u5f53\u4e71\u5e8f\u95ee\u9898\u88ab\u5904\u7406\u5e72\u51c0\u4e4b\u540e\uff0c\u5e02\u573a\u6570\u636e\u4f1a\u5448\u73b0\u51fa\u53e6\u4e00\u79cd\u7ed3\u6784\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>EURUSD \u4e0d\u518d\u201c\u8df3\u201d<\/li>\n\n\n\n<li>GBPUSD \u4e0d\u518d\u201c\u62a2\u4ef7\u201d<\/li>\n\n\n\n<li>USDJPY \u4e0d\u518d\u201c\u7a81\u523a\u201d<\/li>\n<\/ul>\n\n\n\n<p>\u4f60\u770b\u5230\u7684\u5c06\u4e0d\u662f\u6570\u636e\u6d41\uff0c\u800c\u662f\u4e00\u4e2a<strong>\u7ed3\u6784\u5316\u65f6\u95f4\u7cfb\u7edf<\/strong>\uff1a<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li>\u6bcf\u4e2a symbol \u6709\u81ea\u5df1\u7684\u8282\u594f<\/li>\n\n\n\n<li>\u6bcf\u4e2a tick \u6709\u660e\u786e\u4f4d\u7f6e<\/li>\n\n\n\n<li>\u6bcf\u4e00\u6b21\u53d8\u5316\u90fd\u53ef\u4ee5\u88ab\u8ffd\u6eaf<\/li>\n<\/ul>\n\n\n\n<p>\u5728\u8fd9\u4e00\u5c42\u4e4b\u4e0a\uff0c\u65e0\u8bba\u662f\u505a\u5e02\u7b56\u7565\u3001\u5957\u5229\u6a21\u578b\uff0c\u8fd8\u662f\u98ce\u9669\u7cfb\u7edf\uff0c\u624d\u771f\u6b63\u5177\u5907\u7a33\u5b9a\u8fd0\u884c\u7684\u57fa\u7840\u3002<\/p>\n\n\n\n<p>\u800c\u50cf<a href=\"http:\/\/alltick.co\" target=\"_blank\" rel=\"noopener\"> AllTick API<\/a>\u8fd9\u6837\u7684\u591a\u8d44\u4ea7\u5b9e\u65f6\u884c\u60c5\u63a5\u53e3\uff0c\u672c\u8d28\u4e0a\u63d0\u4f9b\u7684\u5e76\u4e0d\u4ec5\u662f\u6570\u636e\uff0c\u800c\u662f\u4e00\u4e2a\u53ef\u4ee5\u88ab\u5de5\u7a0b\u5316\u5904\u7406\u7684\u201c\u65f6\u95f4\u6d41\u5165\u53e3\u201d\u3002<\/p>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u5728\u5916\u6c47\u5b9e\u65f6\u884c\u60c5\u7cfb\u7edf\u91cc\uff0c\u201c\u591a\u8d27\u5e01\u5bf9\u540c\u65f6\u8ba2\u9605\u201d\u770b\u8d77\u6765\u53ea\u662f\u4e00\u4e2a\u6269\u5c55\u80fd\u529b\u95ee\u9898\uff0c\u4f46\u771f\u6b63\u8fdb\u5165\u751f\u4ea7\u73af\u5883\u540e\uff0c\u5f88\u5feb\u5c31\u4f1a\u9047\u5230\u4e00\u4e2a\u66f4&#8230;<\/p>\n","protected":false},"author":5,"featured_media":10975,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[8],"tags":[],"class_list":["post-10974","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-tick-data-wiki"],"acf":[],"_links":{"self":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/10974","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/users\/5"}],"replies":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/comments?post=10974"}],"version-history":[{"count":1,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/10974\/revisions"}],"predecessor-version":[{"id":10976,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/posts\/10974\/revisions\/10976"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/media\/10975"}],"wp:attachment":[{"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/media?parent=10974"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/categories?post=10974"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/blog.alltick.co\/zh-CN\/wp-json\/wp\/v2\/tags?post=10974"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}