Shanghai and Shenzhen stock data is the most traditional and historically significant data service project of Tushare Quantification. It has provided investors, especially quantitative investors, with a stable and convenient interface from the very beginning.
1. Basic data
Provide the basic information needed for trading and backtesting. Currently, it mainly provides stock lists of listed companies and trading calendars, etc.
2. Market data
The market data is still continuing to be regulated and improved. At present, only the daily market with relatively high quality is provided, and the minute data is still on the line.
In addition to using tushare to quantify and obtain market data, investors can also use the level2 market interface to obtain market data. Next, the editor will introduce the level2 market interface functions to you by the way!
1.level2 market interface (ten market snapshots)
| field name |
type |
Remark |
| stock_exchange |
uint32 |
Securities market, see Data Dictionary |
| stock_code |
string |
Securities code |
| created_at |
int64 |
snapshot date timestamp (milliseconds) |
| status |
uint32 |
Status: 0-before market opening, 1-opening call auction, 2-call auction to continuous auction, 3-continuous auction, 4-closed at noon, 5-closing call auction, 6-closed market |
| prev_close_price |
uint32 |
previous closing price |
| open_price |
uint32 |
opening price |
| latest_price |
uint32 |
Latest price |
| high_price |
uint32 |
highest price |
| low_price |
uint32 |
lowest price |
| limit_up_price |
uint32 |
limit price |
| limit_down_price |
uint32 |
limit price |
| order_quantity |
uint32 |
Number of transactions |
| volume |
uint64 |
The number of transactions |
| amount |
uint64 |
Turnover |
| bid_volume |
uint64 |
Entrusted purchase quantity |
| bid_price |
uint32 |
Weighted average price of entrusted buying |
| ask_volume |
uint64 |
Entrusted selling quantity |
| ask_price |
uint32 |
Weighted average price of entrusted selling |
| bid_price_detail |
repeated uint32 |
Details of entrusted purchase price (ten levels) |
| bid_volume_detail |
repeated uint32 |
Details of entrusted purchase quantity (ten files) |
| ask_price_detail |
repeated uint32 |
Details of entrusted selling price (ten files) |
| ask_volume_detail |
repeated uint32 |
Details of entrusted selling quantity (ten files) |
Return example:
The above is the editor’s introduction to tushare quantification and level2 market interface. More level2 interface information can be viewed at L2gogogo (l2gogogo) - Gitee.com , and you can also leave a message with the editor through the business card below!