30 knowledge points that must be mastered in quantitative development [what is individual data]?

“ Split pen ” “ One by one ” Data base concepts

Before , We've been 《 Quantitative development must master 30 A knowledge 【 What is? Level-2 data 】》 This paper introduces Level-1 and Level-2 The difference between the data . today , Let's study one of them in detail Split data and Data by data .

If the market is compared to a video stream that keeps showing , Then the market snapshot is the timed screenshot in the video stream , This is also a snapshot （Snpashot） The most intuitive understanding of names . because Level-1 The market only provides snapshot data , To reflect the data difference between two adjacent snapshots , Individual data came into being .

Split data , Also known as time-sharing data or detailed data , It is calculated by using the difference between the current snapshot market and the previous snapshot market , The purpose is based on Limited Level-1 Market information to describe the trading power of the market from more dimensions 、 Transaction direction and other information .

First of all, we need to understand some basic concepts ：

In conclusion , It can be summed up as ：「 Outer disc red , The inner disk is green , It can't be judged to be neutral 」.

Next , Let's see the actual algorithm is How to calculate the split data .

Call auction stage ¶

The call auction stage is a virtual transaction , The first is to match the trading volume and price , The second is the unmatched quantity , Because it can't match , There is no price . The amount revealed on the second sale = Unmatched sales , The amount revealed on the second purchase = Unmatched purchase , At this time, sell two quantities as the internal market , Buy two quantities as an outside offer , The unmatched quantity is the larger of the two quantities of buying or selling . The closing of call auction is fixed as unable to distinguish between internal and external markets , It is a neutral disk .

Huatai Securities 601688.SH,20210622 Daily data as an example ：

Continuous bidding stage

Sell for more than 0, And the latest price of the snapshot is greater than or equal to the selling price , For the outer disk .
The purchase price is greater than 0, And the latest price of the snapshot is less than or equal to the purchase price , For the inner plate .
What cannot be judged is the neutral disk , The quantity shown is the difference between the trading volume of two snapshots .

To Vanke A 000002.SZ,20210712 Daily data as an example ：

More informative transaction by transaction data

Data by data , As the name implies, it means Every consignment and transaction information that occurs in the market in real time , It can present the current transaction details of the market in the most fine-grained , Through one by one data , It can restore the current real-time state of the market . at present , Shanghai and Shenzhen Stock Exchange Level-2 Market services can provide transaction by transaction data , Let's go deep into it , See how to use it ！

Shenzhen stock exchange transaction by transaction data

It can be seen that Shenzhen Stock Exchange has revealed every consignment and transaction record , In the transaction, it can be associated with the original corresponding entrustment record , And the cancellation information is revealed in the transaction by transaction , The details of the transaction are clear at a glance .

Data of Shanghai stock exchange one by one

The transaction by transaction data of Shanghai Stock Exchange is similar to that of Shenzhen Stock Exchange , The main difference lies in the trust data one by one .

The transaction by transaction entrustment data of Shanghai stock exchange reveals the remaining entrustment quantity after the matching transaction , It can be seen from the data in the above table that when the entrusted quantity is all matched , The corresponding entrustment information is no longer disclosed . Different from the cancellation revealed by Shenzhen Stock Exchange in the transaction by transaction , The cancellation of Shanghai Stock Exchange is revealed in the trust data one by one .

From the above comparison of Shanghai and Shenzhen transaction by transaction data, we can see , The data of Shenzhen stock exchange is more understandable , The transaction by transaction data of Shanghai Stock Exchange is more convenient to build an order book .

Besides , In the process of actually using the transaction by transaction entrustment data of Shanghai Stock Exchange , You also need to pay attention to the following information ：

1. The valid entrustment received in the call auction and suspension stage of Shanghai Stock Exchange is not released in real time , It will be released uniformly after the call auction or suspension stage ;
2. The entrustment data generated by the fixed price transaction after hours of Shanghai Stock Exchange will not be released ;
3. When the Shanghai Stock Exchange cancels the order, the entrustment number of the cancellation entrustment is the entrustment number in the initial one by one entrustment ;
4. The Shanghai Stock Exchange is responsible for the transaction by transaction data distributed in the same data channel , The message number in the transaction by transaction data and the message number in the transaction by transaction entrustment data are uniformly numbered in business , Monotonically and continuously increasing , This number value is irrelevant to business , And in terms of technical reception, it is not necessary to receive the small number first ;
5. The transaction number in the transaction by transaction of Shanghai Stock Exchange is numbered separately , Monotone increasing . But number value and message number 、 The Commission number doesn't matter .

From the above analysis process, it is not difficult to see , There are obvious limitations in individual data . First , The transaction by transaction data only analyzes the data of active transaction from the perspective of Statistics , There is no passive transaction and entrustment information . secondly , There is a great difference between the transaction data and the real transaction , Only the cumulative difference in transaction results between the two snapshots , There are many missing transaction details . These two limitations , Can be eliminated by data one by one . That means , By accessing transaction by transaction data , You can get more entrustment and transaction information in the market , Grasp market changes more accurately and timely ！

Besides , On a technical level , The transaction by transaction data is provided by the exchange Level-2 data , It adopts a communication protocol with higher transmission efficiency 、 Technical system with lower delay and more reliable transmission mechanism , The overall data quality has been achieved Level-Up The effect of .

How to obtain market data

Huatai Securities is recommended INSIGHT Financial data services , It can push the market in real time Level-2 Stocks 、 bond 、 fund 、 option 、 Raw data of futures market , And the derived index data calculated based on the original market data .

Shanghai and Shenzhen level1 The market is completely free , Compared with the payment data provided by other data providers , Not only free, but also fast and stable , It is highly recommended that you use

Application see ：
https://findata-insight.htsc.com:9151/help/sdk/SDKDownload/