订单提交——TWAP 分笔下单

# Python (websocket-client)
# pip install websocket-client
import json
import websocket

def send(ws, obj):
    ws.send(json.dumps(obj))

def on_open(ws):
    send(ws, {"type": "auth", "params": { "hmac": { "public_key": "qfex_pub_xxxxx", "nonce": "c0ffee...", "unix_ts": 1760545414, "signature": "5f2e..." }}})
    send(ws, {
        "type": "add_twap",
        "params": {
            "symbol": "AAPL-USD",
            "side": "BUY",
            "total_quantity": 10,
            "num_orders": 5,
            "order_interval_secs": 30,
            "reduce_only": False,
            "client_twap_id": "rebalance-aapl-001",
            "start_time": 1785499200.25,
            "worst_price": 250
        }
    })

ws = websocket.WebSocketApp(
    "wss://trade.qfex.com?api_key=YOUR_API_KEY",
    on_open=on_open,
    on_message=lambda _, m: print(m),
)
ws.run_forever()

// Node.js (ws)
// npm i ws
import WebSocket from "ws";

const ws = new WebSocket("wss://trade.qfex.com?api_key=YOUR_API_KEY");

ws.on("open", () => {
  ws.send(JSON.stringify({
    type: "auth",
    params: {
      hmac: {
        public_key: "qfex_pub_xxxxx",
        nonce: "c0ffee...",
        unix_ts: 1760545414,
        signature: "5f2e...",
      },
    },
  }));

  ws.send(JSON.stringify({
    type: "add_twap",
    params: {
      symbol: "AAPL-USD",
      side: "BUY",
      total_quantity: 10,
      num_orders: 5,
      order_interval_secs: 30,
      reduce_only: false,
      client_twap_id: "rebalance-aapl-001",
      start_time: 1785499200.25,
      worst_price: 250,
    },
  }));
});

ws.on("message", (m) => console.log(m.toString()));

// Go (gorilla/websocket)
package main

import (
	"log"

	"github.com/gorilla/websocket"
)

func mustWriteJSON(c *websocket.Conn, v any) {
	if err := c.WriteJSON(v); err != nil {
		log.Fatal("write:", err)
	}
}

func main() {
	c, _, err := websocket.DefaultDialer.Dial("wss://trade.qfex.com?api_key=YOUR_API_KEY", nil)
	if err != nil {
		log.Fatal("dial:", err)
	}
	defer c.Close()

	mustWriteJSON(c, map[string]any{
		"type": "auth",
		"params": map[string]any{"hmac": map[string]any{"public_key": "qfex_pub_xxxxx", "nonce": "c0ffee...", "unix_ts": 1760545414, "signature": "5f2e..."}},
	})

	mustWriteJSON(c, map[string]any{
		"type": "add_twap",
		"params": map[string]any{
			"symbol":              "AAPL-USD",
			"side":                "BUY",
			"total_quantity":      10,
			"num_orders":          5,
			"order_interval_secs": 30,
			"reduce_only":         false,
			"client_twap_id":      "rebalance-aapl-001",
			"start_time":          1785499200.25,
			"worst_price":         250,
		},
	})
}

// Java (OkHttp WebSocket)
import java.util.concurrent.TimeUnit;
import okhttp3.*;

public class AddTwapWs {
  public static void main(String[] args) {
    OkHttpClient client = new OkHttpClient.Builder()
        .pingInterval(20, TimeUnit.SECONDS)
        .build();

    Request req = new Request.Builder()
        .url("wss://trade.qfex.com?api_key=YOUR_API_KEY")
        .build();

    WebSocketListener li = new WebSocketListener() {
      @Override public void onOpen(WebSocket ws, Response r) {
        ws.send("{\"type\":\"auth\",\"params\":{\"hmac\":{\"public_key\":\"qfex_pub_xxxxx\",\"nonce\":\"c0ffee...\",\"unix_ts\":1760545414,\"signature\":\"5f2e...\"}}}");
        ws.send("{\"type\":\"add_twap\",\"params\":{\"symbol\":\"AAPL-USD\",\"side\":\"BUY\",\"total_quantity\":10,\"num_orders\":5,\"order_interval_secs\":30,\"reduce_only\":false,\"client_twap_id\":\"rebalance-aapl-001\",\"start_time\":1785499200.25,\"worst_price\":250}}");
      }

      @Override public void onMessage(WebSocket ws, String text) {
        System.out.println(text);
      }
    };

    client.newWebSocket(req, li);
    try { Thread.sleep(Long.MAX_VALUE); } catch (InterruptedException ignored) {}
  }
}