cooronxon/AShareTickData
Mirro-Ex Shanghai/Shenzhen L1 and L2 Market Data 中文 数据集简介 本数据集包含上海、深圳 A 股市场的 L2 逐笔数据和对应的 L1 五档行情快照，可用于市场回放、订单簿重建、L1/L2 对齐验 证和高频数据研究。 数据按交易日期和证券代码组织，证券代码使用统一格式： .XSHG 表示上海证券交易所 .XSHE 表示深圳证券交易所 数据内容 本数据集包含两类数据： L2 逐笔数据 包括逐笔委托和逐笔成交数据。 可用于按消息序号或时间顺序重建订单簿。 逐笔委托记录订单提交、撤单等事件。 逐笔成交记录成交价格、成交数量、买卖方订单编号和成交类型等信息。 L1 五档行情快照 包含买一到买五、卖一到卖五的价格和数量。 每行代表一个行情快照。 可作为订单簿重建结果的参考基准，用于一致性分析和误差检查。 覆盖范围 当前数据覆盖 2026-05-06 至 2026-05-29… See the full description on the dataset page: https://huggingface.co/datasets/cooronxon/AShareTickData.
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