cooronxon/AShareTickData

1---2license: mit3language:4  - zh5  - en6tags:7- AShare8- stock9size_categories:10- 1K<n<10K11---12 13  # Mirro-Ex Shanghai/Shenzhen L1 and L2 Market Data14 15  <details open>16  <summary>中文</summary>17 18  ## 数据集简介19 20  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21  证和高频数据研究。22 23  数据按交易日期和证券代码组织，证券代码使用统一格式：24 25  - `.XSHG` 表示上海证券交易所26  - `.XSHE` 表示深圳证券交易所27 28  ## 数据内容29 30  本数据集包含两类数据：31 32  1. **L2 逐笔数据**33     - 包括逐笔委托和逐笔成交数据。34     - 可用于按消息序号或时间顺序重建订单簿。35     - 逐笔委托记录订单提交、撤单等事件。36     - 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。37 38  2. **L1 五档行情快照**39     - 包含买一到买五、卖一到卖五的价格和数量。40     - 每行代表一个行情快照。41     - 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。42 43  ## 覆盖范围44 45  当前数据覆盖 2026-05-06 至 2026-05-29 之间的 18 个交易日。46 47  包含证券：48 49  - `000651.XSHE`50  - `001896.XSHE`51  - `300274.XSHE`52  - `600410.XSHG`53  - `600900.XSHG`54  - `601899.XSHG`55 56  ## L1 字段示例57 58  - `ts`: 毫秒级 Unix 时间戳59  - `code`: 标准化证券代码60  - `source_seq`: L1 源数据序号61  - `ask1_price` 到 `ask5_price`: 卖一至卖五价格62  - `ask1_size` 到 `ask5_size`: 卖一至卖五数量63  - `bid1_price` 到 `bid5_price`: 买一至买五价格64  - `bid1_size` 到 `bid5_size`: 买一至买五数量65 66  ## 使用场景67 68  - A 股市场回放69  - L2 订单簿重建70  - L1 与 L2 数据对齐71  - 高频交易研究72  - 模拟撮合与模拟交易73  - 市场微观结构分析74 75  ## 注意事项76 77  L1 五档快照和 L2 逐笔数据来自不同数据口径。L1 是已经生成好的行情快照，L2 是逐笔事件流。使用 L2 重建出的订单簿状78  态不一定能在每个时间点与 L1 快照完全一致，差异可能来自快照发布时间、事件排序、集合竞价规则、撤单处理和数据源口径79  差异。80 81  </details>82 83  <details>84  <summary>English</summary>85 86  ## Dataset Description87 88  This dataset contains Shanghai and Shenzhen A-share L2 tick-by-tick market data together with corresponding L189  five-level order book snapshots. It can be used for market replay, order book reconstruction, L1/L2 alignment,90  and high-frequency market data research.91 92  Data is organized by trading date and instrument code. Instrument codes use the following suffixes:93 94  - `.XSHG`: Shanghai Stock Exchange95  - `.XSHE`: Shenzhen Stock Exchange96 97  ## Data Contents98 99  The dataset contains two types of data:100 101  1. **L2 tick-by-tick data**102     - Includes order events and transaction events.103     - Can be used to reconstruct order books by message sequence or event time.104     - Order records represent order submissions and cancellations.105     - Transaction records include trade price, trade volume, buy/sell order IDs, and trade type.106 107  2. **L1 five-level market snapshots**108     - Contains top-five bid and ask prices and sizes.109     - Each row represents one market snapshot.110     - Can be used as a reference for validating reconstructed order books from L2 data.111 112  ## Coverage113 114  The current dataset covers 18 trading days from 2026-05-06 to 2026-05-29.115 116  Included instruments:117 118  - `000651.XSHE`119  - `001896.XSHE`120  - `300274.XSHE`121  - `600410.XSHG`122  - `600900.XSHG`123  - `601899.XSHG`124 125  ## Example L1 Fields126 127  - `ts`: Unix timestamp in milliseconds128  - `code`: normalized instrument code129  - `source_seq`: source sequence number from the L1 feed130  - `ask1_price` to `ask5_price`: ask level 1 to 5 prices131  - `ask1_size` to `ask5_size`: ask level 1 to 5 sizes132  - `bid1_price` to `bid5_price`: bid level 1 to 5 prices133  - `bid1_size` to `bid5_size`: bid level 1 to 5 sizes134 135  ## Use Cases136 137  - A-share market replay138  - L2 order book reconstruction139  - L1/L2 data alignment140  - High-frequency trading research141  - Simulated matching and paper trading142  - Market microstructure analysis143 144  ## Notes145 146  L1 five-level snapshots and L2 tick-by-tick event streams use different market data representations. L1 data147  consists of already published market snapshots, while L2 data consists of individual order and transaction148  events. An order book reconstructed from L2 data may not match the L1 snapshot exactly at every timestamp due to149  snapshot publication timing, event ordering, call auction logic, cancellation handling, and vendor-specific data150  conventions.151 152  </details>