How FAK, FOK, Market, and Best-Level Orders Behave
Summary
This reference explains advanced order instructions for futures and options trading through TqSDK. It compares ordinary limit orders, FAK orders that cancel any unfilled remainder, and FOK orders that cancel unless the full quantity can execute immediately. It also describes market orders and best-price or five-level instructions, including which parameter combinations produce each behavior.
The document provides order examples and a venue-by-venue compatibility table covering several Chinese exchanges and ETF options markets. That table is practical guidance for constructing valid requests, but supported combinations vary by exchange and product. The material explains order mechanics rather than a trading strategy, and it gives no evidence about execution quality, slippage, or whether any instruction is suitable for a particular market condition. Traders should therefore treat venue support and the consequences of immediate execution or cancellation as operational constraints when designing order handling.
Key ideas
- FAK orders execute immediately and cancel any remaining quantity.
- FOK orders require the full order quantity to execute immediately or the order is canceled.
- Market, best-level, and five-level orders have distinct price specifications and execution behavior.
- Supported parameter combinations vary across exchanges and product types.
- The reference describes order mechanics but does not assess execution quality or strategy performance.
Tags
Full text
# 当日有效限价单
.. _advanced_order:
高级委托指令
=================================================
在实盘交易中, 除常见的限价委托指令外, tqsdk 提供了 FAK / FOK 两种高级市价指令。
insert_order 为用户提供了 limit_price，advanced 两个参数指定下单指令，两个参数支持的值的组合为：
=========== ======== ====================================
limit_price advanced memo
=========== ======== ====================================
指定价格 None 限价指令，即时成交，当日有效
指定价格 FAK 限价指令，即时成交剩余撤销
指定价格 FOK 限价指令，即时全部成交或撤销
None None 市价指令，即时成交剩余撤销
None FAK 市价指令，即时成交剩余撤销
None FOK 市价指令，即时全部成交或撤销
BEST None 最优一档即时成交剩余撤销指令
BEST FAK 最优一档即时成交剩余撤销指令
FIVELEVEL None 最优五档即时成交剩余撤销指令
FIVELEVEL FAK 最优五档即时成交剩余撤销指令
=========== ======== ====================================
* limit_price 默认值为 ``None``
* advance 默认值为 ``None``
* 对于市价单、BEST、FIVELEVEL，``advanced="FAK"`` 与默认参数 ``None`` 的实际报单请求一样。
例如::
from tqsdk import TqApi, TqAuth
api = TqApi(auth=TqAuth("快期账户", "账户密码"))
# 当日有效限价单
api.insert_order("SHFE.cu2607", "BUY", "OPEN", 3, limit_price=14200)
# FAK 限价单
api.insert_order("SHFE.cu2607", "BUY", "OPEN", 3, limit_price=14200, advanced="FAK")
# FOK 限价单
api.insert_order("SHFE.cu2607", "BUY", "OPEN", 3, limit_price=14200, advanced="FOK")
# 市价单
api.insert_order("DCE.m2609", "BUY", "OPEN", 3)
# FOK 市价单
api.insert_order("DCE.m2609", "BUY", "OPEN", 3, advanced="FOK")
# BEST
api.insert_order("CFFEX.T2609", "BUY", "OPEN", 3, limit_price="BEST")
# FIVELEVEL
api.insert_order("CFFEX.T2609", "BUY", "OPEN", 3, limit_price="FIVELEVEL")
不同交易所支持的高级指令参数组合：
======== ============== ==================== ====================
交易所 品种 limit_price advance
======== ============== ==================== ====================
郑商所 期货 指定价格 / None None / FAK
郑商所 期权 指定价格 / None None / FAK / FOK
大商所 期货 指定价格 / None None / FAK / FOK
大商所 期权 指定价格 None / FAK / FOK
上期所 期货/期权 指定价格 None / FAK / FOK
中金所 期货/期权 指定价格 None / FAK / FOK
中金所 期货/期权 BEST / FIVELEVEL None / FAK
上交所 ETF期权 指定价格 None / FOK
深交所 ETF期权 指定价格 None / FOK
======== ============== ==================== ====================Shown in full with attribution under the source's licence. Licence: Apache-2.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.