Nuggets Quantification—Python SDK Documentation—4. Data Structure

parameter name	type	illustrate
symbol	str	target code
open	float	Daily opening price
high	float	Daily highest price
low	float	Daily lowest price
price	float	Latest price
with_volume	long	The latest total trading volume, cumulative value (daily trading volume)
cum_amount	float	The latest total turnover, cumulative value (daily turnover)
cum_position	int	Contract position (only applicable to futures), cumulative value (the value of stock is 0)
trade_type	int	Transaction type (applicable to futures only) 1: 'double open', 2: 'double close', 3: 'long open', 4: 'short open', 5: 'short close', 6: 'long close', 7 : 'multiple change', 8: 'empty change'
last_volume	int	Latest Instantaneous Trading Volume
last_amount	float	The latest instantaneous turnover (ZCE last_amount is 0)
created_at	datetime.datetime	creation time
quotes	[] (list of dict)	Stocks provide 5 levels of buying and selling data, list[0]~list[4] correspond to buying and selling levels 1 to 5, and futures provide buying and selling 1 level data, list[0] means buying and selling one level; level2 market corresponds to list[0 ]~list[9] buy and sell one to ten stalls, note : there may be missing quotes for buy or sell stalls, for example, there is no bid quote at the time of limit-down (bid_p and bid_v are 0), and there is no quote for sell at the time of daily limit (ask_p and ask_v is 0); The quotation structure of each file `quote`is as follows:

quotes `quote` - (dict type)

parameter name	type	illustrate
bid_p	float	purchase price
bid_v	int	Buy volume
ask_p	float	selling price
ask_v	int	Sales volume
bid_q	dict	The entrusted purchase queue includes (total_orders (int) the total number of entrusted orders, queue_volumes (list) entrusted volume queue), only supported by level2 market
ask_q	dict	The entrusted sales queue includes (total_orders (int) the total number of orders, queue_volumes (list) the order volume queue), only supported by level2 market

Note : 1. Tick is the transaction data in batches. The stock frequency is 3s, the futures is 0.5s, and the index is 5s. It includes call auction data. The number of call auctions in the morning stock market is the tick data from 09:15:00-09:25:00 2 , When the limit is up, there is no selling price and selling volume, ask_p and ask_v are filled with 0, when the limit is down, there is no buying price and buying volume, bid_p and bid_v are filled with 0 3, queue_volumes entrusted volume queue, only the first optimal file can be obtained The first 50 commissions (inactive targets may be less than 50)

Bar - a Bar object

Bar data refers to the market data of various frequencies

parameter name	type	illustrate
symbol	str	target code
frequency	str	Frequency, supports 'tick', '60s', '300s', '900s', etc., the default is '1d', see stock market data and futures market data for details , frequency supported by real-time market
open	float	opening price
close	float	Closing price
high	float	highest price
low	float	lowest price
amount	float	turnover
volume	long	turnover
position	long	Open interest (futures only)
bob	datetime.datetime	bar start time
he	datetime.datetime	bar end time

Note: if the target is not active, no bar will be generated if there is no trading volume

L2Order - Level2 order by order

parameter name	type	illustrate
symbol	str	target code
side	str	Entrusting direction Shenzhen: '1' buy, '2' sell, 'F' borrow, 'G' lend, Shanghai: 'B' buy, 'S' sell
price	float	commission price
volume	int	Order amount
order_type	str	Order type Shenzhen: '1' market price, '2' limit price, 'U' best, Shanghai: 'A' to add an order, 'D' to delete an order
order_index	int	Principal ID
created_at	datetime.datetime	creation time

L2Transaction - Level2 tick-by-tick

parameter name	type	illustrate
symbol	str	target code
side	str	Entrusted direction Shanghai stock market: B - external order, active buy, S - internal order, active sell, N - call auction, no such field in Shenzhen market
price	float	final price
volume	int	turnover
exec_type	str	Transaction type Shenzhen: '4' cancels order, 'F' closes, no such field in Shanghai
exec_index	int	transaction number
ask_order_index	int	Bid order number
bid_order_index	int	Call order number
created_at	datetime.datetime	creation time

4.2 Transaction class

Account - the account object

Attributes	type	illustrate
id	str	Account id, which is used to specify the trading account in real trading
cash	dict	Funding Dictionary
positions(symbol='', side=None)	list	持仓情况列表, 默认全部持仓, 可根据单一 symbol（类型 str）, [side](/sdk/python/枚举常量.html#PositionSide - 持仓方向 "PositionSide - 持仓方向") 参数可缩小查询范围
position(symbol, side)	dict	持仓情况查询指定单一 symbol（类型 str）及持仓方向的持仓情况
status	dict	交易账户状态查询交易账户连接状态

Order - 委托对象

属性	类型	说明
strategy_id	str	策略 ID
account_id	str	账号 ID
account_name	str	账户登录名
cl_ord_id	str	委托客户端 ID，下单生成，固定不变（掘金维护，下单唯一标识）
order_id	str	委托柜台 ID（系统字段，下单不会立刻生成，委托报到柜台才会生成）
ex_ord_id	str	委托交易所 ID（系统字段，下单不会立刻生成，委托报到柜台才会生成）
algo_order_id	str	算法单 ID
symbol	str	标的代码
status	int	委托状态取值参考 OrderStatus
side	int	买卖方向取值参考 OrderSide
position_effect	int	开平标志取值参考 PositionEffect
position_side	int	持仓方向取值参考 PositionSide
order_type	int	委托类型取值参考 OrderType
order_duration	int	委托时间属性取值参考 OrderDuration
order_qualifier	int	委托成交属性取值参考 OrderQualifier
order_business	int	委托业务属性取值参考 OrderBusiness
ord_rej_reason	int	委托拒绝原因取值参考 OrderRejegectReason
ord_rej_reason_detail	str	委托拒绝原因描述
position_src	int	头寸来源（系统字段）
volume	int	委托量
price	float	委托价格
value	int	委托额
percent	float	委托百分比
target_volume	int	委托目标量
target_value	int	委托目标额
target_percent	float	委托目标百分比
filled_volume	int	已成量（一笔委托对应多笔成交为累计值）
filled_vwap	float	已成均价，公式为`(price*(1+backtest_slippage_ratio))` （仅股票实盘支持，期货实盘不支持）
filled_amount	float	已成金额，公式为`(filled_volume*filled_vwap)` （仅股票实盘支持，期货实盘不支持）
filled_commission	float	已成手续费，（实盘不支持）
created_at	datetime.datetime	委托创建时间
updated_at	datetime.datetime	委托更新时间

ExecRpt - 回报对象

属性	类型	说明
strategy_id	str	策略 ID
account_id	str	账号 ID
account_name	str	账户登录名
cl_ord_id	str	委托客户端 ID
order_id	str	柜台委托 ID
exec_id	str	交易所成交 ID
symbol	str	委托标的
side	int	买卖方向取值参考 OrderSide
position_effect	int	开平标志取值参考 PositionEffect
order_business	int	委托业务属性 OrderBusiness
order_style	int	委托风格 OrderStyle
ord_rej_reason	int	委托拒绝原因取值参考 OrderRejectReason
ord_rej_reason_detail	str	委托拒绝原因描述
exec_type	int	执行回报类型取值参考 ExecType
price	float	成交价格
volume	int	成交量
amount	float	成交金额
cost	float	成交成本金额（仅期货实盘支持，股票实盘不支持）
created_at	datetime.datetime	回报创建时间

Cash - 资金对象

属性	类型	说明
account_id	str	账号 ID
account_name	str	账户登录名
currency	int	币种
nav	float	总资产
fpnl	float	浮动盈亏
frozen	float	持仓占用资金（仅期货实盘支持，股票实盘不支持）
order_frozen	float	冻结资金
available	float	可用资金
market_value	float	市值
balance	float	资金余额
created_at	datetime.datetime	资金初始时间
updated_at	datetime.datetime	资金变更时间

Position - 持仓对象

属性	类型	说明
account_id	str	账号 ID
account_name	str	账户登录名
symbol	str	标的代码
side	int	持仓方向取值参考 PositionSide
volume	int	总持仓量; 如果要得到昨持仓量，公式为 `(volume - volume_today)`
volume_today	int	今日买入量
market_value	float	持仓市值
vwap	float	持仓均价 `new_vwap=((position.vwap * position.volume)+(trade.volume*trade.price))/(position.volume+trade.volume)` （实盘时，期货跨天持仓，会自动变成昨结价，仿真是开仓均价）
vwap_open	float	开仓均价（期货适用，实盘适用）
vwap_diluted	float	摊薄成本（股票适用，实盘适用）
amount	float	持仓额 `(volumevwapmultiplier)`
price	float	当前行情价格（回测时值为 0）
fpnl	float	持仓浮动盈亏 `((price - vwap) * volume * multiplier)` （基于效率的考虑，回测模式 fpnl 只有仓位变化时或者一天更新一次,仿真模式 3s 更新一次, 回测的 price 为当天的收盘价）（根据持仓均价计算）
fpnl_open	float	浮动盈亏（期货适用，根据开仓均价计算）
cost	float	持仓成本 `(vwap * volume * multiplier * margin_ratio)`
order_frozen	int	挂单冻结仓位
order_frozen_today	int	挂单冻结今仓仓位(仅上期所和上海能源交易所标的支持)
available	int	非挂单冻结仓位，公式为`(volume - order_frozen)`; 如果要得到可平昨仓位，公式为 `(available - available_today)`
available_today	int	非挂单冻结今仓位，公式为 `(volume_today - order_frozen_today)`(仅上期所和上海能源交易所标的支持)
available_now	int	当前可用仓位
credit_position_sellable_volume	int	可卖担保品数
created_at	datetime.datetime	建仓时间（实盘不支持）
updated_at	datetime.datetime	仓位变更时间（实盘不支持）

Indicator - 绩效指标对象

属性	类型	说明
account_id	str	账号 ID
pnl_ratio	float	累计收益率 (pnl/cum_inout)
pnl_ratio_annual	float	年化收益率 (pnl_ratio/自然天数*365)
sharp_ratio	float	夏普比率（[E(Rp)-Rf]/δp*sqrt(250),E(Rp) = mean(pnl_ratio),Rf = 0,δp = std(pnl_ratio) )
max_drawdown	float	最大回撤 max_drawdown=max（Di-Dj）/Di；D 为某一天的净值（j>i)
risk_ratio	float	风险比率（持仓市值/nav）
calmar_ratio	float	卡玛比率年化收益率/最大回撤
open_count	int	开仓次数
close_count	int	平仓次数
win_count	int	盈利次数（平仓价格大于持仓均价 vwap 的次数）
lose_count	int	Number of losses (the number of times the closing price is less than or equal to the average position price vwap)
win_ratio	float	胜率 (win_count / (win_count + lose_count))
created_at	datetime.datetime	Indicator Creation Time
updated_at	datetime.datetime	Indicator change time