For the study of some typical problems in finance and economics, ��itkovi�� %[G. ��itkovi��, Convex compactness and its applications, Math. Finan. Eco., 3(1)(2010) 1--12] introduced convex compactness and gave many remarkable applications. Recently, motivated by random convex optimization and random variational inequalities, Guo, et al introduced $L^0$-convex compactness, developed the related theory of $L^0$-convex compactness in random normed modules and further applied it to backward stochastic equations. %[T.X. Guo, et al, Two fixed point theorems in complete random normed modules and their applications to backward stochastic equations, J. Math. Anal. Appl., 483(2020) 123644]. In this paper, we extensively study $L^0$-convexly compact sets in random locally convex modules so that a series of fundamental results are obtained. First, we show that every $L^0$-convexly compact set is complete (hence is also closed and has the countable concatenation property). Then, we prove that any $L^0$-convexly compact set is linearly homeomorphic to a weakly compact subset of some locally convex space, and simultaneously establish the equivalence between $L^0$-convex compactness and convex compactness for a closed $L^0$-convex set. Finally, we establish Tychonoff type, James type and Banach-Alaoglu type theorems for $L^0$-convex compactness, respectively.

14 pages